N-30D TABLE OF CONTENTS
<TABLE>
<CAPTION>
SSgA Fund Name N-30D Page
- -------------- ----------
<S> <C>
SSgA-SM-Life Solutions-SM- Funds ..................................
Income and Growth Fund .......................................
Balanced Fund ................................................
Growth Fund ..................................................
Money Market Fund .................................................
Matrix Equity Fund ................................................
Prime Money Market Fund ...........................................
Small Cap Fund ....................................................
US Treasury Money Market Fund .....................................
Yield Plus Fund ...................................................
Bond Market Fund ..................................................
S&P 500 Index Fund ................................................
Active International Fund .........................................
Tax Free Money Market Fund ........................................
US Government Money Market Fund ...................................
Growth and Income Fund ............................................
Intermediate Fund .................................................
Emerging Markets Fund .............................................
Tuckerman Active REIT Fund ........................................
International Growth Opportunities ................................
High Yield Bond ...................................................
Special Equity ....................................................
Aggressive Equity Fund ............................................
IAM Shares Fund ...................................................
</TABLE>
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Life Solutions Funds
February 29, 2000
<PAGE>
SSgA(R) Life Solutions(sm) Funds
Income and Growth Fund
Balanced Fund
Growth Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
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
"SSgA(R)" is a registered trademark and "Life Solutionssm" 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 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Number Value
of (000)
Shares $
------ ------
<S> <C> <C>
Investments
Domestic Equities - 24.7%
SSgA Aggressive Equity Fund 49,005 966
SSgA Matrix Equity Fund 225,599 3,431
SSgA S&P 500 Index Fund 34,722 826
SSgA Small Cap Fund 42,905 886
------
6,109
------
International Equities - 8.8%
SSgA Active International Fund 167,175 1,943
SSgA Emerging Markets Fund 18,842 236
------
2,179
------
Bonds - 64.2%
SSgA Bond Market Fund 1,488,973 14,115
SSgA High Yield Bond Fund 166,988 1,723
------
15,838
------
Short-Term Assets - 1.6%
SSgA Money Market Fund (a) 404,517 405
------
Total Investments - 99.3%
(identified cost $24,602) 24,531
------
Other Assets and Liabilities
Deferred organization expenses 18
Receivable from Adviser 22
Other assets 180
Liabilities (54)
------
Total Other Assets and Liabilities, Net - 0.7% 166
------
Net Assets - 100.0% 24,697
======
</TABLE>
2 Semiannual Report
<PAGE>
SSgA Life Solutions
Income and Growth Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Value
(000)
$
------
<S> <C>
Net Assets Consist of:
Accumulated distributions in excess of net investment income (356)
Accumulated net realized gain (loss) 34
Unrealized appreciation (depreciation) on investments (71)
Shares of beneficial interest 2
Additional paid-in capital 25,088
------
Net Assets 24,697
======
Net Asset Value, offering and redemption price per share:
($24,697,234 divided by 1,974,022 shares of $.001 par value
shares of beneficial interest outstanding) 12.51
======
</TABLE>
(a) At amortized cost, which approximates market.
See the accompanying notes which 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 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Income distributions from Underlying Funds .............................. $ 574
Expenses
Distribution fees ............................................. $ 2
Transfer agent fees ........................................... 10
Fund accounting fees .......................................... 7
Professional fees ............................................. 5
Registration fees ............................................. 16
Shareholder servicing fees .................................... 16
Amortization of deferred organization expenses ................ 3
Miscellaneous ................................................. 6
-------
Expenses before reductions .................................... 65
Expense reductions ............................................ (10)
-------
Expenses, net ............................................. 55
-------
Net investment income ............................................. 519
-------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments ................................................... 218
Capital gain distributions from Underlying Funds .............. 761 979
-------
Net change in unrealized appreciation (depreciation) on investments (96)
-------
Net realized and unrealized gain (loss) ........................... 883
-------
Net increase (decrease) in net assets from operations ............. $ 1,402
=======
</TABLE>
See the accompanying notes which 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 For the
Months Ended Fiscal Year
February 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ............................................. $ 519 $ 922
Net realized gain (loss) .......................................... 979 1,066
Net change in unrealized appreciation (depreciation) .............. (96) 758
-------- --------
Net increase (decrease) in net assets from operations ......... 1,402 2,746
-------- --------
Distributions
From net investment income ........................................ (1,449) (1,186)
From net realized gain ............................................ (691) (983)
-------- --------
Net decrease in net assets from distributions ................. (2,140) (2,169)
-------- --------
Share Transactions
Net increase (decrease) in net assets from share transactions ..... (307) 1,394
-------- --------
Total net increase (decrease) in net assets ........................... (1,045) 1,971
Net Assets
Beginning of period ............................................... 25,742 23,771
-------- --------
End of period (including accumulated distributions in excess of
net investment income of $356 and undistributed net investment
income of $574, respectively) ..................................... $ 24,697 $ 25,742
======== ========
</TABLE>
See the accompanying notes which 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>
Fiscal Years Ended August 31,
--------------------------------------------
2000* 1999 1998 1997**
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ......... $ 12.93 $ 12.65 $ 12.93 $ 12.68
---------- ---------- ---------- ----------
Income From Operations
Net investment income (a) ................ .26 .44 .46 --
Net realized and unrealized gain (loss) .45 .95 (.01) .25
---------- ---------- ---------- ----------
Total income from operations ......... .71 1.39 .45 .25
---------- ---------- ---------- ----------
Distributions
From net investment income ............... (.77) (.61) (.41) --
From net realized gain ................... (.36) (.50) (.32) --
---------- ---------- ---------- ----------
Total distributions .................. (1.13) (1.11) (.73) --
---------- ---------- ---------- ----------
Net Asset Value, End of Period ............... $ 12.51 $ 12.93 $ 12.65 $ 12.93
========== ========== ========== ==========
Total Return (%)(b) .......................... 5.81 11.27 3.53 1.97
Ratios/Supplemental Data:
Net Assets, end of period (in thousands).. 24,697 25,742 23,771 13,979
Ratios to average net assets (%)(c):
Operating expenses, net (d) .......... .45 .45 .45 .35
Operating expenses, gross (d) ........ .53 .50 .72 1.14
Net investment income ................ 4.19 3.37 3.00 .16
Portfolio turnover rate (%) .............. 15.97 93.34 93.28 106.68
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
** For the period July 1, 1997 (commencement of operations) to August 31, 1997.
(a) For the periods subsequent to August 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts and Underlying Funds.
6 Semiannual Report
<PAGE>
(This page has been left blank intentionally.)
<PAGE>
SSgA Life Solutions
Balanced Fund
Statement of Net Assets
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Number Value
of (000)
Shares $
------ ------
<S> <C> <C>
Investments
Domestic Equities - 39.4%
SSgA Aggressive Equity Fund 381,183 7,513
SSgA Matrix Equity Fund 1,843,250 28,036
SSgA S&P 500 Index Fund 207,660 4,938
SSgA Small Cap Fund 319,694 6,602
-------
47,089
-------
International Equities - 14.0%
SSgA Active International Fund 1,286,492 14,949
SSgA Emerging Markets Fund 146,697 1,840
-------
16,789
-------
Bonds - 45.3%
SSgA Bond Market Fund 5,114,408 48,485
SSgA High Yield Bond Fund 543,817 5,612
-------
54,097
-------
Short-Term Assets - 1.2%
SSgA Money Market Fund (a) 1,410,464 1,410
-------
Total Investments - 99.9%
(identified cost $116,286) 119,385
-------
Other Assets and Liabilities
Deferred organization expenses 18
Other assets 233
Liabilities (212)
-------
Total Other Assets and Liabilities, Net - 0.1% 39
-------
Net Assets - 100.0% 119,424
=======
</TABLE>
8 Semiannual Report
<PAGE>
SSgA Life Solutions
Balanced Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Value
(000)
$
-------
<S> <C>
Net Assets Consist of:
Accumulated distributions in excess of net investment income (2,352)
Accumulated net realized gain (loss) 1,515
Unrealized appreciation (depreciation) on investments 3,099
Shares of beneficial interest 9
Additional paid-in capital 117,153
-------
Net Assets 119,423
=======
Net Asset Value, offering and redemption price per share:
($119,423,042 divided by 8,672,804 shares of $.001 par value
shares of beneficial interest outstanding) 13.77
=======
</TABLE>
(a) At amortized cost, which approximates market.
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 9
<PAGE>
SSgA Life Solutions
Balanced Fund
Statement of Operations
Amounts in thousands
For the Six Months Ended February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Income distributions from Underlying Funds .................... $2,273
Expenses
Distribution fees ............................................. $ 12
Transfer agent fees ........................................... 12
Fund accounting fees .......................................... 7
Professional fees ............................................. 5
Registration fees ............................................. 20
Shareholder servicing fees .................................... 77
Amortization of deferred organization expenses ................ 3
Miscellaneous ................................................. 13
------
Total expenses ............................................ 149
------
Net investment income ............................................. 2,124
------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments ................................................... 1,082
Capital gain distributions from Underlying Funds .............. 5,424 6,506
------
Net change in unrealized appreciation (depreciation) on investments 705
------
Net realized and unrealized gain (loss) ........................... 7,211
------
Net increase (decrease) in net assets from operations ............. $9,335
======
</TABLE>
See the accompanying notes which 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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ............................................ $ 2,124 $ 2,837
Net realized gain (loss) ......................................... 6,506 5,339
Net change in unrealized appreciation (depreciation) ............. 705 7,816
--------- ---------
Net increase (decrease) in net assets from operations ........ 9,335 15,992
--------- ---------
Distributions
From net investment income ....................................... (6,007) (4,311)
From net realized gain ........................................... (3,568) (5,336)
--------- ---------
Net decrease in net assets from distributions ................ (9,575) (9,647)
--------- ---------
Share Transactions
Net increase (decrease) in net assets from share transactions .... 20,572 1,943
--------- ---------
Total net increase (decrease) in net assets .......................... 20,332 8,288
Net Assets
Beginning of period .............................................. 99,092 90,804
--------- ---------
End of period (including accumulated distributions in excess of
net investment income of $2,352 and undistributed net investment
income of $1,531, respectively) .................................. $ 119,423 $ 99,092
========= =========
</TABLE>
See the accompanying notes which 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>
Fiscal Years Ended August 31,
---------------------------------------
2000* 1999 1998 1997**
----------- ----------- ----------- -----------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ............ $ 13.80 $ 12.95 $ 13.98 $ 13.69
----------- ----------- ----------- -----------
Income From Operations
Net investment income (a) ................... .25 .38 .50 --
Net realized and unrealized gain (loss) ..... .82 1.84 (.45) .29
----------- ----------- ----------- -----------
Total income from operations ............ 1.07 2.22 .05 .29
----------- ----------- ----------- -----------
Distributions
From net investment income .................. (.70) (.61) (.56) --
From net realized gain ...................... (.40) (.76) (.52) --
----------- ----------- ----------- -----------
Total distributions ..................... (1.10) (1.37) (1.08) --
----------- ----------- ----------- -----------
Net Asset Value, End of Period .................. $ 13.77 $ 13.80 $ 12.95 $ 13.98
=========== =========== =========== ===========
Total Return (%)(b) ............................. 8.15 17.89 .33 2.12
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) .... 119,423 99,092 90,804 47,003
Ratios to average net assets (%)(c):
Operating expenses, net (d) ............. .25 .28 .36 .35
Operating expenses, gross (d) ........... .25 .28 .36 .49
Net investment income ................... 3.59 2.83 2.07 .07
Portfolio turnover rate (%) ................. 15.35 51.09 101.40 51.61
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
** For the period July 1, 1997 (commencement of operations) to August 31, 1997.
(a) For the periods subsequent to August 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts and Underlying Funds.
12 Semiannual Report
<PAGE>
(This page has been left blank intentionally.)
<PAGE>
SSgA Life Solutions
Growth Fund
Statement of Net Assets
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Number Value
of (000)
Shares $
------ ------
<S> <C> <C>
Investments
Domestic Equities - 55.5%
SSgA Aggressive Equity Fund 274,641 5,413
SSgA Matrix Equity Fund 1,401,014 21,309
SSgA S&P 500 Index Fund 137,077 3,260
SSgA Small Cap Fund 231,962 4,790
------
34,772
------
International Equities - 18.3%
SSgA Active International Fund 880,916 10,236
SSgA Emerging Markets Fund 98,619 1,236
------
11,472
------
Bonds - 24.8%
SSgA Bond Market Fund 1,462,643 13,866
SSgA High Yield Bond Fund 157,541 1,626
------
15,492
------
Short-Term Assets - 1.2%
SSgA Money Market Fund (a) 774,586 775
------
Total Investments - 99.8%
(identified cost $59,711) 62,511
------
Other Assets and Liabilities
Deferred organization expenses 18
Other assets 306
Liabilities (232)
------
Total Other Assets and Liabilities, Net - 0.2% 92
------
Net Assets - 100.0% 62,603
======
</TABLE>
14 Semiannual Report
<PAGE>
SSgA Life Solutions
Growth Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Value
(000)
$
------
<S> <C>
Net Assets Consist of:
Accumulated distributions in excess of net investment income (1,943)
Accumulated net realized gain (loss) 2,199
Unrealized appreciation (depreciation) on investments 2,800
Shares of beneficial interest 4
Additional paid-in capital 59,543
------
Net Assets 62,603
======
Net Asset Value, offering and redemption price per share:
($62,602,971 divided by 4,227,100 shares of $.001 par value
shares of beneficial interest outstanding) 14.81
======
</TABLE>
(a) At amortized cost, which approximates market.
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 15
<PAGE>
SSgA Life Solutions
Growth Fund
Statement of Net Assets
February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Income distributions from Underlying Funds ....................... $ 821
------
Expenses
Distribution fees ................................................ $ 6
Transfer agent fees .............................................. 12
Fund accounting fees ............................................. 10
Professional fees ................................................ 5
Registration fees ................................................ 27
Shareholder servicing fees ....................................... 42
Amortization of deferred organization expenses ................... 3
Miscellaneous .................................................... 15
------
Total expenses ............................................... 120
------
Net investment income ................................................ 701
------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments ...................................................... 1,302
Capital gain distributions from Underlying Funds ................. 4,212 5,514
------
Net change in unrealized appreciation (depreciation) on investments .. 502
------
Net realized and unrealized gain (loss) .............................. 6,016
------
Net increase (decrease) in net assets from operations ................ $6,717
======
</TABLE>
See the accompanying notes which 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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ............................................. $ 701 $ 1,215
Net realized gain (loss) .......................................... 5,514 4,065
Net change in unrealized appreciation (depreciation) .............. 502 8,203
-------- --------
Net increase (decrease) in net assets from operations ......... 6,717 13,483
-------- --------
Distributions
From net investment income ........................................ (3,157) (2,340)
From net realized gain ............................................ (2,360) (3,927)
-------- --------
Net decrease in net assets from distributions ................. (5,517) (6,267)
-------- --------
Share Transactions
Net increase (decrease) in net assets from share transactions ..... (3,615) 4,370
-------- --------
Total Net Increase (Decrease) in Net Assets ........................... (2,415) 11,586
-------- --------
Net Assets
Beginning of period ............................................... 65,018 53,432
-------- --------
End of period (including accumulated distributions in excess of
net investment income of $1,943 and undistributed net investment
income of $513, respectively) ..................................... $ 62,603 $ 65,018
======== ========
</TABLE>
See the accompanying notes which 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>
Fiscal Years Ended August 31,
------------------------------------
2000* 1999 1998 1997**
---------- ---------- ---------- ----------
<S> <C> <C> <C> <C>
Net Asset Value, Beginning of Period .......... $ 14.62 $ 13.02 $ 14.79 $ 14.44
---------- ---------- ---------- ----------
Income From Operations
Net investment income (a) ................. .16 .26 .38 --
Net realized and unrealized gain (loss) ... 1.28 2.81 (.75) .35
---------- ---------- ---------- ----------
Total income from operations .......... 1.44 3.07 (.37) .35
---------- ---------- ---------- ----------
Distributions
From net investment income ................ (.72) (.55) (.71) --
From net realized gain .................... (.53) (.92) (.69) --
---------- ---------- ---------- ----------
Total distributions ................... (1.25) (1.47) (1.40) --
---------- ---------- ---------- ----------
Net Asset Value, End of Period ................ $ 14.81 $ 14.62 $ 13.02 $ 14.79
========== ========== ========== ==========
Total Return (%)(b) ........................... 10.30 24.72 (2.68) 2.42
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) .. 62,603 65,018 53,432 43,603
Ratios to average net assets (%)(c):
Operating expenses, net (d) ........... .37 .38 .41 .35
Operating expenses, gross (d) ......... .37 .38 .41 .54
Net investment income ................. 2.16 1.89 1.52 .09
Portfolio turnover rate (%) ............... 17.72 43.15 67.66 39.49
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
** For the period July 1, 1997 (commencement of operations) to August 31, 1997.
(a) For the periods subsequent to August 31, 1997, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts and Underlying Funds.
18 Semiannual Report
<PAGE>
SSgA
Life Solutions Funds
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 23 investment portfolios which are in operation as of February
29, 2000. These financial statements report on three portfolios, the SSgA
Life Solutions Income and Growth Fund, Balanced Fund and Growth Fund (the
"Funds"). The Investment Company is a registered and diversified open-end
investment company, as defined in the Investment Company Act of 1940, as
amended (the "1940 Act"), that was organized as a Massachusetts business
trust on October 3, 1987 and operates under a First Amended and Restated
Master Trust Agreement, dated October 13, 1993, as amended (the
"Agreement"). The Investment Company's Agreement permits the Board of
Trustees to issue an unlimited number of full and fractional shares of
beneficial interest at a $.001 par value. The Funds are designed primarily
for tax-advantaged retirement accounts and other long-term investment
strategies. Each Fund allocates its assets by investing in shares of a
combination of the Investment Company's portfolios (the "Underlying Funds").
The table below illustrates the equity, bond and short-term fund asset
allocation ranges for each Fund.
<TABLE>
<CAPTION>
Asset Class/Underlying Fund Asset Allocation Ranges
----------------------------------------
Income and Balanced Growth
Growth Fund Fund Fund
----------- -------- -------
<S> <C> <C> <C>
Equities
US Equities 20 - 60% 40 - 80% 60 - 100%
SSgA S&P 500 Index Fund
SSgA Matrix Equity Fund
SSgA Small Cap Fund
SSgA Growth and Income Fund
SSgA Special Equity Fund
SSgA Real Estate Equity Fund
SSgA Aggressive Equity Fund
International Equities* 15% 20% 25%
SSgA Active International Fund
SSgA Emerging Markets Fund
SSgA International Growth Opportunities Fund
Bonds 40 - 80% 20 - 60% 0 - 40%
SSgA Bond Market Fund
SSgA Intermediate Fund
SSgA High Yield Bond Fund
SSgA Yield Plus Fund
Short Term Assets 0 - 20% 0 - 20% 0 - 20%
SSgA Money Market Fund
SSgA US Government Money Market Fund
</TABLE>
* International equities are included in the total equity exposure indicated
above and should not exceed the listed percentages.
Semiannual Report 19
<PAGE>
SSgA
Life Solutions Funds
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Objectives of the Underlying Funds:
The Life Solutions Funds are comprised of various combinations of the
Underlying Funds. Each of the Life Solutions Funds will invest in at least
six of the Underlying Funds. The Board of Trustees has approved investment
in all of the Underlying Funds presented above. The fundamental investment
objectives of the Underlying Funds utilized by the Life Solutions Funds are
listed below.
SSgA S&P 500 Index Fund: To seek to replicate the total return of the S&P
500 Index.
SSgA Matrix Equity Fund: To provide total returns that exceed over time the
S&P 500 Index through investment in equity securities.
SSgA Small Cap Fund: To maximize total return through investment in equity
securities; under normal market conditions, at least 65% of total assets
will be invested in securities of smaller capitalized issuers.
SSgA Growth and Income Fund: To achieve long-term capital growth, current
income and growth of income primarily through investments in equity
securities.
SSgA Special Equity Fund: To maximize total return through investment in
mid- and small capitalization US equity securities.
SSgA Tuckerman Active REIT Fund (formerly SSgA Real Estate Equity Fund): To
provide income and capital growth by investing primarily in publicly traded
securities of real estate companies.
SSgA Aggressive Equity Fund: To maximize total return through investing in
US equity securities that are under-valued relative to their growth
potential as measured by SSgA's proprietary models.
SSgA Active International Fund: To provide long-term capital growth by
investing primarily in securities of foreign issuers.
SSgA Emerging Markets Fund: To provide maximum total return, primarily
through capital appreciation, by investing in securities of foreign issuers.
SSgA International Growth Opportunities Fund: To provide long-term capital
growth by investing primarily in securities of foreign issuers.
SSgA Bond Market Fund: To maximize total return by investing in fixed income
securities, including, but not limited to, those represented by the Lehman
Brothers Aggregate Bond Index (the "LBAB Index").
SSgA Intermediate Fund: To seek a high level of current income while
preserving principal by investing primarily in a diversified portfolio of
debt securities with a dollar-weighted average maturity between three and
ten years.
SSgA High Yield Bond Fund: To maximize total return by investing in fixed
income securities, including, but not limited to, those represented by the
Lehman Brothers High Yield Bond Index.
20 Semiannual Report
<PAGE>
SSgA
Life Solutions Funds
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
SSgA Yield Plus Fund: To seek high current income and liquidity by investing
in a diversified portfolio of high-quality debt securities and by
maintaining a portfolio duration of one year or less.
SSgA Money Market Fund: To maximize current income, to the extent consistent
with the preservation of capital and liquidity and the maintenance of a
stable $1.00 per share net asset value, by investing in dollar dominated
securities with remaining maturities of one year or less.
SSgA US Government Money Market Fund: To maximize current income to the
extent consistent with the preservation of capital and liquidity and the
maintenance of a stable $1.00 per share net asset value, by investing in
obligations of the US Government or its agencies or instrumentalities with
remaining maturities of one year or less.
2. Significant Accounting Policies
The Funds' financial statements are prepared in accordance with generally
accepted accounting principles which require the use of management
estimates. The following is a summary of the significant accounting policies
consistently followed by the Funds in the preparation of their financial
statements.
Security valuation: Investments in Underlying Funds are valued at the net
asset value per share of each Underlying Fund as of the close of regular
trading on the New York Stock Exchange.
Securities transactions: Securities transactions of the Underlying Funds are
recorded on a trade date basis. Realized gains and losses from securities
transactions are recorded on the basis of identified cost.
Investment income: Distributions of income and capital gains are recorded
from the Underlying Funds on the ex-dividend date.
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 each Fund's intention to qualify as a regulated investment company, as
defined by the Internal Revenue Code of 1986, as amended. This requires the
Funds to distribute all of their taxable income. Therefore, the Funds paid
no federal income taxes and no federal income tax provision was required. As
permitted by tax regulations, the Growth Fund intends to defer a net
realized capital loss of $32,528 incurred from November 1, 1998 to August
31, 1999, and treat it as arising in fiscal year 2000.
Semiannual Report 21
<PAGE>
SSgA
Life Solutions Funds
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
The Funds' aggregate cost of investments and the composition of unrealized
appreciation and depreciation of investment securities for federal income
tax purposes as of February 29, 2000 are as follows:
<TABLE>
<CAPTION>
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
------------ ------------ -------------- --------------
<S> <C> <C> <C> <C>
Income and Growth Fund $ 25,063,080 $ 7,013,255 $ (7,545,276) $ (532,021)
Balanced Fund 118,065,994 2,732,653 (1,414,001) 1,318,652
Growth Fund 60,687,021 2,747,515 (923,050) 1,824,465
</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 Funds to avoid imposition of federal income tax on any remaining
undistributed net investment income and capital gains.
The timing and characterization of certain income and capital gain
distributions are determined in accordance with federal tax regulations
which may differ from generally accepted accounting principles ("GAAP"). As
a result, net investment income and net realized gain (or loss) from
investment transactions for a reporting period may differ significantly from
distributions during such period. The differences between tax regulations
and GAAP relate primarily to certain securities sold at a loss. Accordingly,
the Funds may periodically make reclassifications among certain of their
capital accounts without impacting their net asset value.
Expenses: The Funds will pay all of their expenses other than those
expressly assumed by the Adviser and the Administrator. Certain expenses not
directly attributable to any one Fund but applicable to all Funds, such as
Trustee fees, insurance, legal and other expenses will be allocated to each
Fund based on each Fund's net assets. Expenses included in the accompanying
statements of operations reflect the expenses of each Fund and do not
include any expenses associated with the Underlying Funds.
Deferred organization expenses: The Funds have incurred expenses in
connection with their organization. These costs were deferred and are being
amortized over 60 months on a straight-line basis.
3. Securities Transactions
Investment transactions: During the six months ended February 29, 2000,
purchases and sales of the Underlying Funds aggregated to the following:
<TABLE>
<CAPTION>
Purchases Sales
----------- -----------
<S> <C> <C>
Income and Growth Fund $ 3,946,579 $ 5,739,349
Balanced Fund 36,460,203 17,830,220
Growth Fund 11,547,679 17,440,279
</TABLE>
22 Semiannual Report
<PAGE>
SSgA
Life Solutions Funds
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company (the "Adviser") under which the Adviser
directs the investments of the Fund in accordance with its investment
objectives, policies, and limitations. The Funds will not be charged a fee
by the Adviser. However, each Fund, as a shareholder in the Underlying
Funds, will bear its proportionate share of any investment advisory fees and
other expenses paid by the Underlying Funds. Each Underlying Fund pays the
Adviser a fee, calculated daily and paid monthly, that on an annual basis is
equal to a certain percentage of each Underlying Fund's average daily net
assets. For the six months ended February 29, 2000, the Adviser voluntarily
agreed to reimburse the Funds for all expenses (except 12b-1 distribution
and shareholder servicing expenses) in excess of .30% of average daily net
assets on an annual basis.
In addition, the Fund has entered into arrangements with its Adviser whereby
custody credits realized as a result of uninvested cash balances were used
to reduce a portion of the Fund's expenses. During the six months ended
February 29, 2000, the custodian fees for the Income and Growth Fund,
Balanced Fund and Growth Fund were reduced by $4, $4 and $12, respectively,
under these arrangements.
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. For these
services, the Underlying Funds pay the Administrator a combined fee that on
an annual basis is equal to the percentages, stated below, of their average
aggregate daily net assets. The Funds will not be charged a fee by the
Administrator. Instead, the Administrator will assess administration fees on
the Underlying Funds. Each Fund will pay indirectly its proportionate share
of the following: All Underlying Funds combined (except Active
International, Emerging Markets and International Growth Opportunities) up
to and including $500 million - .06%; over $500 million up to and including
$1 billion - .05%; and over $1 billion - .03%. Active International,
Emerging Markets and International Growth Opportunities up to and including
$500 million - .07%; over $500 million up to and including $1 billion -
.06%; over $1 billion up to and including $1.5 billion - .04%; and over $1.5
billion - .03%.
The percentage of the fee paid by the each Underlying Fund is equal to the
percentage of average aggregate daily net assets that are attributable to
that Underlying Fund. Administrator will also receive reimbursement of
expenses it incurs in connection with establishing new investment
portfolios, including the Funds.
Distributor and Shareholder Servicing: Pursuant to the Distribution
Agreement with Investment Company, Russell Fund Distributors, Inc.
("Distributor"), a wholly-owned subsidiary of the Administrator, serves as
distributor for all Investment Company portfolio shares, including the
Funds.
Semiannual Report 23
<PAGE>
SSgA
Life Solutions Funds
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
The Funds and Underlying Funds have a distribution plan pursuant to Rule
12b-1 (the "Plan") under the 1940 Act. The purpose of the Plan is to provide
for the payment of certain Investment Company distribution and shareholder
servicing expenses. Under the Plan, Distributor will be reimbursed in an
amount up to .25% of the Funds and Underlying Funds' average annual net
assets for distribution-related and shareholder servicing expenses. Payments
under the Plan will be made to Distributor to finance activity that is
intended to result in the sale and retention of the Funds and Underlying
Fund shares including: (1) payments made to certain broker-dealers,
investments advisors and other third party intermediaries; (2) the costs of
prospectuses, reports to shareholders and sales literature; (3) advertising;
and (4) expenses incurred in connection with the promotion and sale of
shares, including Distributor's overhead expenses for rent, office supplies,
equipment, travel, communication, compensation and benefits of sales
personnel.
Payments to Distributor, as well as payments to Service Organizations from a
Fund, are not permitted by the Plan to exceed .25% of a Fund's average net
asset value per year. Any payments that are required to be made by the
Distribution Agreement and any Service Agreement but could not be made
because of the .25% limitation may be carried forward and paid in subsequent
years so long as the Plan is in effect. A Fund's liability for any such
expenses carried forward shall terminate at the end of two years following
the year in which the expenditure was incurred. The Trustees or a majority
of the Fund's shareholders have the right, however, to terminate the Plan
and all payments thereunder at anytime. The Fund will not be obligated to
reimburse the Distributor for carryover expenses subsequent to the Plan's
termination or noncontinuance. There were no carryover expenses as of
February 29, 2000. Service Organizations will be responsible for prompt
transmission of purchase and redemption orders and may charge fees for their
services.
The Funds have entered into service agreements with State Street Solutions
("Solutions"), State Street Brokerage Services, Inc. ("SSBSI"), the State
Street Retirement Investment Services Division ("RIS"), (collectively the
"Agents"), as well as other non-related party service providers. For these
services, the Fund pays .13% each, based upon the average daily value of all
Fund shares held by or for customers of these Agents. For the six months
ended February 29, 2000, the Funds were charged shareholder servicing
expenses by Solutions, SSBSI and RIS as follows:
<TABLE>
<CAPTION>
Solutions SSBSI RIS
--------- ------- -------
<S> <C> <C> <C>
Income and Growth Fund $12,006 $ 527 $ 3,061
Balanced Fund 54,476 398 26,809
Growth Fund 40,485 275 4,326
</TABLE>
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. These expenses are allocated among
all of the Funds based upon their relative net assets.
24 Semiannual Report
<PAGE>
SSgA
Life Solutions Funds
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Accrued fees payable to affiliates and trustees as of February 29, 2000 were
as follows:
<TABLE>
<CAPTION>
Income and Balanced Growth
Growth Fund Fund Fund
----------- -------- ------
<S> <C> <C> <C>
Custodian fees $ 2,088 $ 4,618 $17,369
Distribution 6,332 30,766 20,168
Shareholder servicing fees 2,699 7,584 10,378
Transfer agent fees 397 922 3,047
------- ------- -------
$11,516 $43,890 $50,962
======= ======= =======
</TABLE>
Beneficial interest: In the Income and Growth Fund, as of February 29, 2000,
two shareholders (who were also affiliates of the Investment Company) were
record owners of approximately 57% and 18%, respectively, of the total
outstanding shares of the Fund. In the Balanced Fund, as of February 29,
2000, two shareholders (who were also affiliates of the Investment Company)
were record owners of approximately 60% and 31%, respectively, of the total
outstanding shares of the Fund. In the Growth Fund, as of February 29, 2000,
three shareholders (who were also affiliates of the Investment Company) were
record owners of approximately 74%, 12% and 10%, respectively, of the total
outstanding shares of the Fund.
Transactions with Affiliated Companies: An affiliated company is a company
in which a Fund has ownership of at least 5% of voting securities.
Transactions during the six months ended February 29, 2000 with Underlying
Funds which are or were affiliates are as follows:
<TABLE>
<CAPTION>
Dividend and
Distribution
Affiliate Purchase Cost Sales Cost Income
--------------------------------------- ------------- ------------ ------------
<S> <C> <C> <C>
Income and Growth Fund
SSgA Aggressive Equity Fund $ 574,301 $ 181,966 $ 162,704
------------ ------------ ------------
$ 574,301 $ 181,966 $ 162,704
============ ============ ============
Balanced Fund
SSgA Aggressive Equity Fund $ 4,433,341 $ 403,894 $ 1,183,861
SSgA Active International Fund 12,568,083 2,321,654 187,384
SSgA Bond Market Fund 50,754,626 2,862,649 1,520,381
SSgA Matrix Equity Fund 29,650,645 2,041,438 4,135,945
SSgA High Yield Bond Fund 5,701,416 108,966 257,274
------------ ------------ ------------
$103,108,111 $ 7,738,601 $ 7,284,845
============ ============ ============
Growth Fund
SSgA Aggressive Equity Fund $ 2,959,738 $ 599,434 $ 928,450
SSgA Active International Fund 8,540,644 3,176,689 131,663
------------ ------------ ------------
$ 11,500,382 $ 3,776,123 $ 1,060,113
============ ============ ============
</TABLE>
The values of the above Underlying Funds are shown in the accompanying
Statements of Net Assets.
Semiannual Report 25
<PAGE>
SSgA
Life Solutions Funds
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
---------------------------------------------------------
February 29, 2000 August 31, 1999
----------------------- -----------------------
Shares Dollars Shares Dollars
------ -------- ------ --------
<S> <C> <C> <C> <C>
Income and Growth Fund
Proceeds from shares sold .................... 220 $ 2,779 866 $ 10,846
Proceeds from reinvestment of distributions .. 173 2,139 172 2,169
Payments for shares redeemed ................. (409) (5,225) (926) (11,621)
------ -------- ------ --------
Total net increase (decrease) ................ (16) $ (307) 112 $ 1,394
====== ======== ====== ========
Balanced Fund
Proceeds from shares sold .................... 1,974 $ 27,512 992 $ 12,420
Proceeds from reinvestment of distributions .. 713 9,575 737 9,647
Payments for shares redeemed ................. (1,192) (16,515) (1,560) (20,124)
------ -------- ------ --------
Total net increase (decrease) ................ 1,495 $ 20,572 169 $ 1,943
====== ======== ====== ========
<CAPTION>
For the Periods Ended
---------------------------------------------------------
February 29, 2000 August 31, 1999
----------------------- -----------------------
Shares Dollars Shares Dollars
------ -------- ------ --------
<S> <C> <C> <C> <C>
Growth Fund
Proceeds from shares sold .................... 426 $ 6,326 776 $ 10,200
Proceeds from reinvestment of distributions .. 385 5,517 465 6,267
Payments for shares redeemed ................. (1,030) (15,458) (898) (12,097)
------ -------- ------ --------
Total net increase (decrease) ................ (219) $ (3,615) 343 $ 4,370
====== ======== ====== ========
</TABLE>
6. Interfund Lending Program
The Funds and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an Interfund
Credit Facility. This allows the Funds to directly lend to and borrow money
from the SSgA Money Market Fund for temporary purposes in accordance with
certain conditions. The borrowing Funds are charged the average of the
current Repo Rate and the Bank Loan Rate. The Funds did not utilize the
interfund lending program during this period.
26 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
160 Federal Street
Boston, Massachusetts 02110
Semiannual Report 27
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Money Market Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Money Market Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements..................................................... 3
Financial Highlights..................................................... 12
Notes to Financial Statements............................................ 13
Fund Management and Service Providers.................................... 17
"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 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity $
--------- ----- -------- -------
<S> <C> <C> <C> <C>
Corporate Bonds and Notes - 26.8%
Abbey National Treasury Services PLC (MTN) 50,000 5.130 05/04/00 49,990
Abbey National Treasury Services PLC (MTN) 25,000 5.185 05/12/00 24,996
Associates Corp. N.A. (a) 40,000 5.760 03/20/00 39,998
AT&T Corp. (a) 75,000 5.990 07/13/00 74,989
AT&T Corp. (a) 100,000 6.128 08/07/00 100,000
Bank of New York 60,000 6.070 11/20/00 59,971
Bank of New York (MTN) 35,000 5.345 05/24/00 34,996
Bank of New York (MTN)(a) 25,000 5.900 05/15/00 24,997
Bank One Corp. (MTN) 60,000 5.980 03/27/00 60,000
Bank One Corp. (MTN)(a) 25,000 6.080 06/01/00 25,000
Bank One Corp. (MTN)(a) 50,000 6.180 10/06/00 49,986
Branch Banking & Trust (a) 48,000 5.980 03/08/00 47,999
Chase Manhattan Corp. (MTN)(a) 10,000 6.170 02/26/01 10,011
Citigroup, Inc. (MTN)(a) 35,000 5.882 05/15/00 34,995
Comerica Bank (a) 45,000 5.816 03/07/00 45,000
Comerica Bank (a) 50,000 5.790 05/11/00 49,994
Comerica Bank (a) 25,000 5.870 11/20/00 24,993
Commerzbank AG (a) 125,000 5.790 02/16/01 124,941
DaimlerChrysler NA Holding (MTN) 30,000 6.680 02/07/01 29,981
DaimlerChrysler NA Holding (MTN)(a) 20,000 5.980 02/22/01 19,986
Diageo Capital PLC (a) 55,000 6.049 08/10/00 54,981
du Pont (E.I.) de Nemours & Co. 25,000 9.150 04/15/00 25,117
du Pont (E.I.) de Nemours & Co. (MTN) 25,000 5.235 03/03/00 25,000
Emerson Electric Co. 25,000 5.125 03/17/00 24,999
Fifth Third Bancorp 150,000 5.810 03/06/00 150,000
Fifth Third Bancorp 50,000 5.810 03/10/00 50,000
First Union National Bank 60,000 5.300 03/01/00 60,000
First Union National Bank (a) 75,000 5.850 03/10/00 75,000
First Union National Bank (a) 27,115 6.125 04/20/00 27,119
First Union National Bank (a) 40,000 6.040 07/28/00 40,000
Ford Motor Credit Co. (MTN)(a) 100,000 5.950 05/05/00 100,000
Ford Motor Credit Co. (MTN)(a) 50,000 6.060 11/22/00 49,982
General Electric Capital Corp. (MTN)(a) 25,000 6.041 05/03/00 25,000
General Electric Capital Corp. (MTN)(a) 40,000 6.049 05/12/00 40,000
GTE Corp. (a) 75,000 6.034 06/02/00 74,979
Harris Trust & Savings (a) 75,000 5.905 06/01/00 74,990
Household Finance Corp. (MTN) 75,000 5.678 07/07/00 74,987
Household Finance Corp. (MTN)(a) 50,000 6.025 04/17/00 49,996
IBM Corp. (MTN)(a) 20,000 5.940 07/28/00 19,992
Key Bank N.A. 50,000 5.670 07/17/00 49,991
Key Bank N.A. (a) 50,000 6.053 04/20/00 50,000
Key Bank N.A. (a) 25,000 6.055 04/20/00 25,000
National City Bank (a) 40,000 6.170 09/18/00 40,025
</TABLE>
Semiannaul Report 3
<PAGE>
SSgA
Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity $
--------- ----- -------- -------
<S> <C> <C> <C> <C>
National City Bank, Ohio 25,000 5.200 05/15/00 24,998
PNC Bank, Pittsburgh (a) 38,000 5.779 02/26/01 37,978
STEERS-A37 (a) 62,456 5.879 10/25/11 62,456
US Bank, Minnesota (a) 40,000 5.840 11/20/00 39,983
Wells Fargo & Company (MTN)(a) 60,000 5.977 06/13/00 59,990
Westpac Banking Corp. 25,000 5.825 08/02/00 24,995
Xerox Capital Group PLC (MTN)(a) 50,000 6.035 08/18/00 49,985
Xerox Corp. (MTN) 20,000 5.635 07/14/00 19,994
Xerox Credit Corp. (MTN) 40,000 5.113 03/21/00 39,998
---------
Total Corporate Bonds and Notes (cost $2,500,358) 2,500,358
---------
Domestic Certificates of Deposit - 4.0%
ABN AMRO Bank NV Chicago (a) 50,000 5.895 05/25/00 49,993
First Tennessee Bank N.A. 30,000 5.900 04/24/00 30,000
First Tennessee Bank N.A. 60,000 5.920 04/27/00 60,000
Key Bank N.A. (a) 100,000 5.950 07/14/00 99,976
Royal Bank of Scotland (a) 75,000 5.818 11/27/00 74,962
SunTrust Banks, Inc. 32,000 5.900 04/24/00 32,000
SunTrust Banks, Inc. 30,000 5.900 04/25/00 30,000
---------
Total Domestic Certificates of Deposit (cost $376,931) 376,931
---------
Eurodollar Certificates of Deposit - 8.0%
Abbey National PLC 30,000 6.140 03/21/00 30,005
Abbey National PLC 50,000 5.880 03/31/00 50,000
ABN AMRO Bank NV 75,000 6.010 03/03/00 75,001
Bank of Montreal 15,000 5.190 03/28/00 14,999
Bank of Scotland 75,000 6.000 05/10/00 75,000
Barclays Bank 100,000 5.900 03/06/00 100,000
Barclays Bank 30,000 5.800 07/28/00 30,000
Halifax PLC 50,000 5.940 04/18/00 50,000
Halifax PLC 85,000 6.000 05/10/00 85,000
National Australia Bank, Ltd. 30,000 5.935 04/14/00 30,000
Royal Bank of Scotland 50,000 5.845 03/20/00 50,000
Toronto Dominion 50,000 5.865 03/23/00 50,000
Toronto Dominion 100,000 5.930 04/27/00 100,000
Westpac Banking 10,000 5.190 03/27/00 10,000
---------
Total Eurodollar Certificates of Deposit (cost $750,005) 750,005
---------
</TABLE>
4 Semiannaul Report
<PAGE>
SSgA
Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity $
--------- ----- -------- -------
<S> <C> <C> <C> <C>
Eurodollar Time Deposits - 0.8%
Credit Communal Debelgique 20,000 6.100 03/09/00 20,001
Den Denske Bank 50,000 5.890 03/31/00 50,000
---------
Total Eurodollar Time Deposits (cost $70,001) 70,001
---------
Foreign Commercial Paper - 2.1%
Commonwealth Bank of Australia 50,000 5.820 03/20/00 49,846
Commonwealth Bank of Australia 30,000 5.855 04/20/00 29,756
Commonwealth Bank of Australia 75,000 5.830 04/28/00 74,296
Woolwich 40,000 5.230 03/06/00 39,971
---------
Total Foreign Commercial Paper (cost $193,869) 193,869
---------
Domestic Commercial Paper - 12.8%
Asset Securitization Cooperative Corp. 20,000 5.940 05/31/00 19,700
Campbell Soup Co. 25,000 5.840 04/24/00 24,781
Chase Manhattan Corp. 50,000 5.760 04/28/00 49,536
Corporate Asset Funding Co. Inc. 35,000 5.720 03/08/00 34,961
Corporate Asset Funding Co. Inc. 15,000 5.750 03/23/00 14,947
Corporate Asset Funding Co. Inc. 30,000 5.850 04/18/00 29,766
Corporate Asset Funding Co. Inc. 15,000 5.840 04/20/00 14,878
Delaware Funding Corp. 65,000 5.800 03/15/00 64,853
Delaware Funding Corp. 10,000 5.770 03/17/00 9,974
Delaware Funding Corp. 19,000 5.820 03/21/00 18,939
Edison Asset Securitization 53,062 5.940 03/03/00 53,044
Edison Asset Securitization 35,000 5.760 03/20/00 34,894
Edison Asset Securitization 40,000 5.780 03/21/00 39,872
Edison Asset Securitization 50,000 5.850 04/07/00 49,699
Edison Asset Securitization 25,000 5.920 05/22/00 24,663
Falcon Asset Securitization 15,000 5.750 03/03/00 14,995
Falcon Asset Securitization 21,300 5.750 03/06/00 21,283
Falcon Asset Securitization 48,000 5.900 04/17/00 47,630
GE Capital International Funding 25,000 5.840 03/15/00 24,943
GE Capital International Funding 50,000 5.900 03/16/00 49,877
GE Capital International Funding 50,000 5.930 05/18/00 49,358
General Electric Capital Corp. 50,000 5.920 03/14/00 49,893
Merrill Lynch & Co. Inc. 100,000 5.850 04/03/00 99,464
Morgan Stanley Dean Witter 100,000 5.900 03/01/00 100,000
Morgan Stanley Dean Witter 60,000 5.780 03/22/00 59,798
Morgan Stanley Dean Witter 50,000 5.880 04/19/00 49,600
</TABLE>
Semiannaul Report 5
<PAGE>
SSgA
Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity $
--------- ----- -------- -------
<S> <C> <C> <C> <C>
Preferred Receivables Funding Corp. 30,000 5.800 03/15/00 29,932
Preferred Receivables Funding Corp. 25,000 5.810 03/17/00 24,935
Salomon Smith Barney Holdings, Inc. 50,000 5.880 04/24/00 49,559
Salomon Smith Barney Holdings, Inc. 35,000 5.930 05/22/00 34,527
---------
Total Domestic Commercial Paper (cost $1,190,301) 1,190,301
---------
Time Deposits - 12.5%
Bank of America N.A. 50,000 6.010 05/03/00 50,000
Bayerisch Hypo Verbk London 400,000 5.937 03/01/00 400,000
Chase Bank 350,000 5.875 03/01/00 350,000
Marshall Isley Grand Cayman 150,000 5.875 03/01/00 150,000
SunTrust Banks, Inc. 220,708 5.750 03/01/00 220,708
---------
Total Time Deposits (cost $1,170,708) 1,170,708
---------
United States Government Agencies - 3.2%
Federal Farm Credit Bank 50,925 5.000 05/03/00 50,915
Federal Home Loan Bank 50,000 5.160 03/08/00 49,999
Federal Home Loan Bank (a) 25,000 5.870 08/03/00 24,996
Federal Home Loan Mortgage Association 20,000 5.720 03/30/00 19,908
Federal Home Loan Mortgage Association 100,000 5.805 05/18/00 98,742
Federal National Mortgage Association 30,000 5.720 03/30/00 29,862
Federal National Mortgage Association 25,000 6.350 02/02/01 24,974
---------
Total United States Government Agencies (cost $299,396) 299,396
---------
Yankee Certificates of Deposit - 15.0%
ABN AMRO 30,000 5.700 07/10/00 29,995
ANZ Bank 55,000 5.940 04/28/00 55,000
ANZ Delaware 50,000 5.840 04/13/00 49,651
Bank of Nova Scotia 25,000 5.800 08/02/00 24,995
Bank of Nova Scotia 30,000 5.880 08/07/00 29,991
Bank of Nova Scotia 30,000 6.550 01/16/01 29,987
Bank of Nova Scotia 24,000 6.550 01/24/01 23,990
Barclays Bank PLC 40,000 5.230 03/01/00 40,000
Barclays Bank PLC (a) 50,000 5.890 05/12/00 49,994
Canadian Imperial Bank (a) 65,000 5.905 04/07/00 64,995
Canadian Imperial Bank (a) 49,475 5.080 04/12/00 49,471
Commerzbank AG 25,000 6.530 01/25/01 24,989
Commerzbank AG (a) 75,000 6.700 02/12/01 74,966
Deutsche Bank AG 50,000 6.215 12/01/00 49,973
Deutsche Bank AG 20,000 6.500 01/08/01 19,992
</TABLE>
6 Semiannaul Report
<PAGE>
SSgA
Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity $
--------- ----- -------- -------
<S> <C> <C> <C> <C>
Deutsche Bank AG 68,000 6.550 01/16/01 67,972
Deutsche Bank AG 50,000 6.550 01/24/01 49,979
Deutsche Bank AG 43,000 6.750 02/22/01 42,980
Lloyds Bank PLC 50,000 6.050 03/17/00 50,005
National City Bank 36,000 6.550 01/22/01 35,985
National Westminster Bank PLC 25,000 5.620 06/19/00 24,997
National Westminster Bank PLC 50,000 6.080 11/24/00 49,975
National Westminster Bank PLC 40,000 6.100 11/24/00 39,980
Royal Bank of Canada 25,000 5.700 07/03/00 24,996
Royal Bank of Canada 25,000 6.550 01/16/01 24,990
Royal Bank of Canada 21,000 6.550 01/22/01 20,991
Svenska Handelsbanken 19,000 5.210 03/01/00 19,000
Svenska Handelsbanken 25,000 5.285 03/01/00 25,000
Svenska Handelsbanken 35,000 5.155 04/28/00 34,997
Svenska Handelsbanken 20,000 5.470 06/01/00 19,999
UBS AG Stamford Branche 25,000 5.550 06/05/00 24,997
UBS AG Stamford Branche 25,000 5.670 07/07/00 24,996
UBS AG Stamford Branche 35,000 6.080 11/20/00 34,983
UBS AG Stamford Branche 50,000 6.085 11/27/00 49,978
UBS AG Stamford Branche 50,000 6.240 12/06/00 49,974
UBS AG Stamford Branche 50,000 6.500 01/08/01 49,981
Westpac Banking 20,000 6.710 02/09/01 19,991
---------
Total Yankee Certificates of Deposit (cost $1,404,735) 1,404,735
---------
Total Investments - 85.2% (amortized cost $7,956,304) 7,956,304
---------
</TABLE>
Semiannaul Report 7
<PAGE>
SSgA
Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Value
(000)
$
-------
<S> <C>
Repurchase Agreements - 14.5%
Agreement with Bear Stearns of $350,000
acquired February 29, 2000 at 5.850% to be repurchased at $350,057 on
March 1, 2000, collateralized by:
various United States Treasury Obligations, valued at $358,633 350,000
Agreement with Deutsche Bank of $50,000
acquired February 29, 2000 at 5.780% to be repurchased at $50,008 on March 1,
2000, collateralized by:
$54,255 Federal Home Loan Mortgage Corp., valued at $51,090 50,000
Agreement with JP Morgan of $460,000
acquired February 29, 2000 at 5.850% to be repurchased at $460,075 on March
1, 2000, collateralized by:
various United States Government Agencies, valued at $469,051 460,000
Agreement with Warburg of $498,038
acquired February 29, 2000 at 5.850% to be repurchased at $498,119 on March
1, 2000, collateralized by:
various United States Government Agencies, valued at $508,140 498,038
---------
Total Repurchase Agreements (identified cost $1,358,038) 1,358,038
---------
Total Investments and Repurchase Agreements - 99.7% (cost $9,314,342)(b) 9,314,342
Other Assets and Liabilities, Net - 0.3% 25,890
---------
Net Assets - 100.0% 9,340,232
=========
</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
See the accompanying notes which are an integral part of the financial
statements.
8 Semiannaul Report
<PAGE>
SSgA
Money Market Fund
Statement of Assets and Liabilities
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at amortized cost which approximates market .................................. $ 7,956,304
Repurchase agreements (identified cost $1,358,038) ....................................... 1,358,038
Interest receivable ...................................................................... 71,566
Prepaid expenses ......................................................................... 260
-----------
Total assets ....................................................................... 9,386,168
Liabilities
Payables:
Dividends ................................................................. $ 40,990
Accrued fees to affiliates ................................................ 4,946
----------
Total liabilities .................................................................. 45,936
-----------
Net Assets ............................................................................... $ 9,340,232
Net Assets Consist of:
Accumulated net realized gain (loss) ..................................................... $ 8
Shares of beneficial interest ............................................................ 9,340
Additional paid-in capital ............................................................... 9,330,884
-----------
Net Assets ............................................................................... $ 9,340,232
===========
Net Asset Value, offering and redemption price per share:
($9,340,231,518 divided by 9,340,223,948 shares of $.001 par value
shares of beneficial interest outstanding) ......................................... $1.00
===========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannaul Report 9
<PAGE>
SSgA
Money Market Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29, 2000 (Unaudited)
<TABLE>
<S> <C>
Investment Income
Interest .............................................................................. $ 249,378
Expenses
Advisory fees ............................................................. $ 11,046
Administrative fees ....................................................... 1,435
Custodian fees ............................................................ 937
Distribution fees ......................................................... 1,609
Transfer agent fees ....................................................... 557
Professional fees ......................................................... 79
Registration fees ......................................................... 39
Shareholder servicing fees ................................................ 1,754
Trustees' fees ............................................................ 65
Miscellaneous ............................................................. 152
----------
Total expenses ..................................................................... 17,673
-----------
Net investment income .................................................................... 231,705
-----------
Net Realized Gain (Loss)
Net realized gain (loss) on investments .................................................. 260
-----------
Net increase in net assets from operations ............................................... $ 231,965
===========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
10 Semiannaul 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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ............................................ $ 231,705 $ 358,632
Net realized gain (loss) ......................................... 260 1,666
------------ ------------
Net increase (decrease) in net assets from operations ......... 231,965 360,298
------------ ------------
Distributions
From net investment income ....................................... (231,705) (358,632)
------------ ------------
Share Transactions
Net increase (decrease) in net assets from share transactions .... (744,311) 4,605,291
------------ ------------
Total net increase (decrease) in net assets ......................... (744,051) 4,606,957
Net Assets
Beginning of period .............................................. 10,084,283 5,477,326
------------ ------------
End of period .................................................... $ 9,340,232 $ 10,084,283
============ ============
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannaul 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>
Fiscal Years Ended August 31,
-------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
---------- ----------- ---------- ---------- ---------- ----------
<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 Operations
Net investment income ...................... .0261 .0476 .0528 .0516 .0524 .0538
---------- ----------- ---------- ---------- ---------- ----------
Distributions
From net investment income ................. (.0261) (.0476) (.0528) (.0516) (.0524) (.0538)
---------- ----------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period ................ $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========== =========== ========== ========== ========== ==========
Total Return (%)(a) ........................... 2.62 4.86 5.41 5.28 5.36 5.52
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) ... 9,340,232 10,084,283 5,477,326 4,278,165 3,475,409 2,752,895
Ratios to average net assets (%)(b):
Operating expenses ...................... .40 .40 .41 .39 .39 .39
Net investment income ................... 5.24 4.74 5.28 5.17 5.20 5.37
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for periods less than one year are annualized.
12 Semiannual Report
<PAGE>
SSgA
Money Market Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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 utilizes the amortized cost valuation method
in accordance with Rule 2a-7 of the 1940 Act, 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.
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, 1999, the Fund had a net tax basis capital loss carryover of
$251,856, 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 29, 2000 (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. State Street Bank and Trust Company
(the "Adviser") will monitor repurchase agreements daily to determine that
the market value (including accrued interest) of the underlying securities
remains equal to at least 102% of the repurchase price at Fedwire closing
time. The Adviser or third-party custodian will notify the seller to
immediately increase the collateral on the repurchase agreement to 102% of
the repurchase price if collateral falls below 102%.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases, sales, and maturities of investment securities, excluding US
Government and Agency obligations and repurchase agreements, for the Fund
aggregated to $203,626,659,707, $661,250,376, and $218,548,564,702,
respectively.
For the six months ended February 29, 2000, purchases and maturities of US
Government and Agency obligations, excluding repurchase agreements
aggregated to $1,052,345,705 and $1,079,225,000, respectively.
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $52,038 under these
arrangements.
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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses the Administrator
for out-of-pocket expenses and start-up costs for new funds.
14 Semiannual Report
<PAGE>
SSgA
Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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 service agreements with the Adviser, State Street Brokerage
Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and
State Street Solutions ("Solutions")(collectively the "Agents"), as well
as several unaffiliated service providers. For these services, the Fund
pays .025%, .175%, .175%, .175% and .175% to the Adviser, SSBSI, RIS,
Commercial Banking, and Solutions, respectively, based upon the average
daily value of all Fund shares held by or for customers of these Agents.
For the six months ended February 29, 2000, the Fund was charged
shareholder servicing expenses of $1,104,295, $277,368, $52,348, $182,231,
and $38,011, 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 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000 (Unaudited)
Accrued fees payable to affiliates and trustees as of February 29, 2000
were as follows:
<TABLE>
<S> <C>
Advisory fees $ 3,662,591
Administration fees 273,717
Custodian fees 189,529
Distribution fees 197,856
Shareholder servicing fees 379,544
Transfer agent fees 239,122
Trustees' fees 3,869
-----------
$ 4,946,228
===========
</TABLE>
5. Fund Share Transactions (On a Constant Dollar Basis):
<TABLE>
<CAPTION>
(amounts in thousands)
For the Periods Ended
------------------------------------
February 29, 2000 August 31, 1999
----------------- ---------------
<S> <C> <C>
Proceeds from shares sold ....................... 63,833,110 105,783,537
Proceeds from reinvestment of
distributions ................................ 208,987 298,285
Payments for shares redeemed .................... (64,786,408) (101,476,531)
----------- ------------
Total net increase (decrease) ................... (744,311) 4,605,291
=========== ============
</TABLE>
6. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. Interest Income
on the Statement of Operations includes $28,391 received under the
interfund lending program.
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
160 Federal Street
Boston, Massachusetts 02110
Semiannual Report 17
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Matrix Equity Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Matrix Equity Fund
Semiannual Report
February 29, 2000 (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
Statement of Net Assets
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
------ ------
<S> <C> <C>
Common Stocks - 99.9%
Basic Industries - 2.4%
Alcoa, Inc. 41,700 2,856
Boise Cascade Corp. 76,200 2,272
FMC Corp. (a) 31,300 1,512
Nucor Corp. 16,800 835
Sigma Aldrich Corp. 32,900 781
Solutia, Inc. 78,000 1,077
Temple-Inland, Inc. 55,000 2,812
---------
12,145
---------
Capital Goods - 5.1%
Cummins Engine Co., Inc. 45,400 1,512
General Electric Co. 154,800 20,463
Johnson Controls, Inc. 68,300 3,646
---------
25,621
---------
Consumer Basics - 11.6%
Allergan, Inc. 50,500 2,541
Bristol-Myers Squibb Co. 137,200 7,795
Coca-Cola Co. (The) 66,000 3,197
Dean Foods Co. 31,700 860
IBP, Inc. 62,800 785
Interstate Bakeries Corp. 47,700 546
Johnson & Johnson 80,500 5,776
Kroger Co. (a) 117,100 1,742
Lilly (Eli) & Co. 19,700 1,171
Merck & Co., Inc. 107,300 6,606
PacifiCare Health Systems, Inc. (a) 27,800 1,263
Pfizer, Inc. 133,200 4,279
Philip Morris Cos., Inc. 46,200 927
Procter & Gamble Co. 40,800 3,590
Quaker Oats Co. 54,200 2,923
Schering-Plough Corp. 43,700 1,524
United Healthcare Corp. 105,400 5,389
Warner-Lambert Co. 72,100 6,169
Wellpoint Health Networks, Inc. (a) 23,200 1,566
---------
58,649
---------
Consumer Durables - 1.6%
Best Buy Co. (a) 44,900 2,441
Ford Motor Co. 110,700 4,608
PACCAR, Inc. 20,800 896
---------
7,945
---------
Consumer Non-Durables - 9.2%
Anheuser-Busch Cos., Inc. 60,600 3,886
Brunswick Corp. 52,300 925
Federated Department Stores, Inc. (a) 147,600 5,415
Fortune Brands, Inc. 63,100 1,380
Home Depot, Inc. (The) 155,700 9,001
Pep Boys - Manny, Moe & Jack 38,400 238
Sears Roebuck & Co. 193,700 5,339
Shaw Industries, Inc. 114,000 1,446
SuperValu, Inc. 105,900 1,820
Tiffany & Co. 66,800 4,288
Wal-Mart Stores, Inc. 250,300 12,186
Zale Corp. (a) 12,100 455
---------
46,379
---------
Consumer Services - 1.1%
Darden Restaurants, Inc. 74,900 988
Disney (Walt) Co. 18,900 633
Tricon Global Restaurants, Inc. (a) 146,100 3,890
---------
5,511
---------
Energy - 6.2%
Atlantic Richfield Co. 56,300 3,997
Chevron Corp. 62,900 4,698
Exxon Mobil Corp. 175,558 13,222
Lyondell Petrochemical Co. 59,900 513
Occidental Petroleum Corp. 122,900 1,974
Phillips Petroleum Co. 63,600 2,433
Tosco Corp. 119,800 3,205
Ultramar Diamond Shamrock Corp. 49,000 1,063
---------
31,105
---------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
Matrix Equity Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
------ ------
<S> <C> <C>
Finance - 11.2%
American Express Co. 2,600 349
American International Group, Inc 45,150 3,993
AmSouth Bancorp 53,300 773
AXA Financial, Inc. 82,900 2,482
Bank of America Corp. 19,500 898
Chase Manhattan Corp. 74,200 5,908
Citigroup, Inc. 113,450 5,864
Conseco, Inc. 216,400 3,165
Federal National Mortgage
Association 137,900 7,309
FleetBoston Financial Corp. 172,800 4,709
Lehman Brothers Holdings, Inc. 48,100 3,487
Loews Corp. 69,900 3,111
Meditrust Cos 116,700 328
MGIC Investment Corp. 101,800 3,805
Morgan (J.P.) & Co., Inc. 9,100 1,010
Morgan Stanley Dean Witter & Co. 49,700 3,501
Paine Webber Group, Inc. 82,100 3,140
PMI Group, Inc. (The) 41,200 1,496
UnionBanCal Corp. 45,300 1,455
---------
56,783
---------
General Business - 4.0%
First Data Corp. 51,200 2,304
Reader's Digest Association, Inc.
Class A 85,600 2,943
SBC Communications, Inc. 197,418 7,502
Time Warner, Inc. 23,900 2,043
Tribune Co. 110,700 4,310
Viad Corp. 55,100 1,291
---------
20,393
---------
Shelter - 0.8%
Georgia-Pacific Group 72,700 2,522
Louisiana Pacific Corp. 68,700 812
Sherwin-Williams Co. 47,700 912
---------
4,246
---------
Technology - 38.1%
Altera Corp. (a) 78,700 6,276
America Online, Inc. (a) 117,900 6,956
Apple Computer, Inc. (a) 36,500 4,184
Applied Materials, Inc. (a) 56,900 10,406
Cisco Systems, Inc. (a) 161,200 21,299
Computer Associates
International, Inc. 47,600 3,061
Dell Computer Corp. (a) 56,400 2,298
EMC Corp. (a) 62,300 7,414
Hewlett-Packard Co. 21,600 2,905
Intel Corp. 153,600 17,357
International Business Machines
Corp 59,200 6,038
KLA Tencor Corporation (a) 25,100 1,956
Linear Technology Corp. 12,800 1,343
Lucent Technologies, Inc. 88,800 5,284
Microsoft Corp. (a) 288,700 25,785
Motorola, Inc. 36,400 6,206
Nortel Networks Corp. 35,500 3,958
Northrop Grumman Corp. 51,900 2,358
Oracle Systems Corp. (a) 209,300 15,527
QUALCOMM, Inc. (a) 25,500 3,632
Sun Microsystems, Inc. (a) 139,400 13,278
Texas Instruments, Inc. 15,900 2,647
Thermo Electron Corp. (a) 94,700 1,480
United Technologies Corp. 126,600 6,449
Xilinx, Inc. (a) 104,300 8,318
Yahoo!, Inc. (a) 36,400 5,813
---------
192,228
---------
Transportation - 0.7%
Burlington Northern, Inc. 117,200 2,306
Tidewater, Inc. 37,500 1,061
---------
3,367
---------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
Matrix Equity Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
------ ------
<S> <C> <C>
Utilities - 7.9%
AT&T Corp. 140,500 6,946
Bell Atlantic Corp. 121,100 5,926
BellSouth Corp. 157,100 6,402
GPU, Inc. 87,800 2,184
GTE Corp. 14,500 856
MCI WorldCom, Inc. (a) 196,450 8,767
PPL Corp. 64,700 1,302
Public Service Enterprise Group,
Inc 83,500 2,422
U.S. West, Inc. 59,100 4,292
UtiliCorp United, Inc. 39,500 647
---------
39,744
---------
Total Common Stocks
(cost $476,351) 504,116
---------
<CAPTION>
Principal
Amount
(000)
$
---------
<S> <C> <C>
Short-Term Investments - 0.0%
Federated Investors Prime Cash
Obligations Fund (b) 114 114
---------
Total Short-Term Investments
(cost $114) 114
---------
Total Investments - 99.9%
(identified cost $476,465) 504,230
Other Assets and Liabilities,
Net - 0.1% 623
---------
Net Assets - 100.0% 504,853
=========
</TABLE>
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 5
<PAGE>
SSgA
Matrix Equity Fund
Statement of Assets and Liabilities
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at market (identified cost $476,465) .................................. $504,230
Receivables:
Dividends ...................................................................... 565
Fund shares sold ............................................................... 1,842
Short-term investments held as collateral for securities loaned, at market ........ 11,459
--------
Total assets ................................................................ 518,096
Liabilities
Payables:
Fund shares redeemed ........................................................... $ 988
Accrued fees to affiliates ..................................................... 785
Other accrued expenses ......................................................... 11
Payable upon receipt of securities loaned, at market .............................. 11,459
--------
Total liabilities ........................................................... 13,243
--------
Net Assets ........................................................................ $504,853
========
Net Assets Consist of:
Undistributed net investment income ............................................... $459
Accumulated net realized gain (loss) .............................................. 44,277
Unrealized appreciation (depreciation) on investments ............................. 27,765
Shares of beneficial interest ..................................................... 33
Additional paid-in capital ........................................................ 432,319
--------
Net Assets ........................................................................ $504,853
========
Net Asset Value, offering and redemption price per share:
($504,853,103 divided by 33,198,881 shares of $.001 par value
shares of beneficial interest outstanding) .................................. $ 15.21
========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
6 Semiannual Report
<PAGE>
SSgA
Matrix Equity Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Dividends ...................................................................... $ 3,390
Interest ....................................................................... 14
--------
Total investment income ..................................................... 3,404
Expenses
Advisory fees .................................................................. $ 2,109
Administrative fees ............................................................ 86
Custodian fees ................................................................. 62
Distribution fees .............................................................. 80
Transfer agent fees ............................................................ 81
Professional fees .............................................................. 13
Registration fees .............................................................. 44
Shareholder servicing fees ..................................................... 276
Trustees' fees ................................................................. 7
Miscellaneous .................................................................. 34
--------
Expenses before reductions ..................................................... 2,792
Expense reductions ............................................................. (240)
--------
Expenses, net ............................................................... 2,552
--------
Net investment income ............................................................. 852
--------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments ........................................... 54,040
Net change in unrealized appreciation (depreciation) on investments ............... (42,150)
--------
Net realized and unrealized gain (loss) ........................................... 11,890
--------
Net increase (decrease) in net assets from operations ............................. $ 12,742
========
</TABLE>
See the accompanying notes which 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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ............................................. $ 852 $ 2,843
Net realized gain (loss) .......................................... 54,040 70,599
Net change in unrealized appreciation (depreciation) .............. (42,150) 72,637
-------- --------
Net increase (decrease) in net assets from operations .......... 12,742 146,079
-------- --------
Distributions
From net investment income ........................................ (1,083) (3,191)
From net realized gain ............................................ (80,236) (74,416)
-------- --------
Net decrease in net assets from distributions .................. (81,319) (77,607)
-------- --------
Share Transactions
Net increase (decrease) in net assets from share transactions ..... 16,401 43,480
-------- --------
Total net increase (decrease) in net assets .......................... (52,126) 111,952
Net Assets
Beginning of period ............................................... 557,029 445,077
-------- --------
End of period (including undistributed net investment income of
$459 and $690, respectively) ................................... $504,853 $557,029
======== ========
</TABLE>
See the accompanying notes which 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>
Fiscal Years Ended August 31,
-------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ............ $ 17.51 $ 15.68 $ 18.41 $ 14.13 $ 13.93 $ 12.06
--------- --------- --------- --------- --------- ---------
Income From Operations
Net investment income (a) .................... .02 .09 .17 .21 .24 .28
Net realized and unrealized gain (loss) ...... .16 4.42 .29 5.43 1.64 1.93
--------- --------- --------- --------- --------- ---------
Total income from operations .............. .18 4.51 .46 5.64 1.88 2.21
--------- --------- --------- --------- --------- ---------
Distributions
From net investment income ................... (.03) (.10) (.19) (.22) (.24) (.28)
From net realized gain ....................... (2.45) (2.58) (3.00) (1.14) (1.44) (.06)
--------- --------- --------- --------- --------- ---------
Total distributions ....................... (2.48) (2.68) (3.19) (1.36) (1.68) (.34)
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of Period .................. $ 15.21 $ 17.51 $ 15.68 $ 18.41 $ 14.13 $ 13.93
========= ========= ========= ========= ========= =========
Total Return (%)(b) ............................. 1.92 32.83 2.09 42.75 14.67 18.81
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) ..... 504,853 557,029 445,077 429,397 261,888 198,341
Ratios to average net assets (%)(c):
Operating expenses, net (d) ............... .91 .78 .69 .58 .66 .68
Operating expenses, gross (d) ............. .99 .94 .97 .96 1.04 1.06
Net investment income ..................... .30 .52 .97 1.33 1.76 2.25
Portfolio turnover rate (%) .................. 48.27 130.98 133.63 117.27 150.68 129.98
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
(a) For the periods subsequent to August 31, 1998, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts.
Semiannual Report 9
<PAGE>
SSgA
Matrix Equity Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 23 investment portfolios which are in operation as of February
29, 2000. 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.
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 distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
10 Semiannual Report
<PAGE>
SSgA
Matrix Equity Fund
Notes to Financial Statements, continued
February 29, 2000 (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.
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 29, 2000 are as follows:
<TABLE>
<CAPTION>
Net
Unrealized
Unrealized Unrealized Appreciation
Federal Tax Cost Appreciation (Depreciation) (Depreciation)
---------------- -------------- -------------- --------------
<S> <C> <C> <C>
$ 478,973,433 $ 32,565,885 $ (7,309,736) $ 25,256,149
</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 individual Fund.
Expenses which cannot be directly attributed are allocated among all funds
based principally on their relative net assets.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and sales of investment securities, excluding short-term
investments, aggregated to $268,638,133 and $331,751,839, respectively.
Securities Lending: The Investment Company has a securities lending program
whereby each Fund can 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 recorded 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
Semiannual Report 11
<PAGE>
SSgA
Matrix Equity Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
recorded 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 29, 2000,
the value of outstanding securities on loan and the value of collateral
amounted to $11,106,703 and $11,459,442, respectively. The Fund recorded
securities lending income of $12,278 during the period.
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company 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 Adviser
voluntarily agreed to waive .25% of its advisory fee to the Fund. As of
January 1, 1999, the Adviser 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.
In addition, the Fund has entered into arrangements with its Adviser whereby
custody credits realized as a result of uninvested cash balances were used
to reduce a portion of the Fund's expenses. During the period, the Fund's
custodian fees were reduced by $3,787 under these arrangements.
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 for services supplied by the Administrator
pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses the Administrator for out-of-pocket
expenses and start-up costs for new funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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
12 Semiannual Report
<PAGE>
SSgA
Matrix Equity Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
the Distributor in connection with the distribution and marketing of shares
of the Investment Company and the servicing of investor accounts.
The Fund has service agreements with the Adviser, State Street Brokerage
Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the Adviser, the
Adviser's Retirement Investment Services Division ("RIS") the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and State
Street Solutions ("Solutions")(collectively the "Agents"), as well as
several unaffiliated service providers. For these services, the Fund pays
.025%, .175%, .175%, .175%, and .175% to the Adviser, SSBSI, RIS, Commercial
Banking, and Solutions, respectively, based upon the average daily value of
all Fund shares held by or for customers of these Agents. For the six months
ended February 29, 2000, the Fund was charged shareholder servicing expenses
of $63,465, $1,416, $74,648 and $125,212, 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 February 29, 2000.
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 $77,246 for the six months ended February
29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000 were
as follows:
Advisory fees $ 668,967
Administration fees 11,867
Custodian fees 11,744
Distribution fees 6,618
Shareholder servicing fees 47,674
Transfer agent fees 34,076
Trustees' fees 3,800
-----------
$ 784,746
===========
Beneficial Interest: As of February 29, 2000, three shareholders (who were
also affiliates of the Investment Company) were record owners of
approximately 22%, 13% and 10%, respectively, of the total outstanding
shares of the Fund.
Semiannual Report 13
<PAGE>
SSgA
Matrix Equity Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
---------------------------------------------------------
February 29, 2000 August 31, 1999
------------------------- -------------------------
Shares Dollars Shares Dollars
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Proceeds from shares sold ..................... 2,728 $ 45,051 11,235 $ 181,145
Proceeds from reinvestment of distributions ... 5,338 77,644 5,170 73,530
Payments for shares redeemed .................. (6,675) (106,294) (12,986) (211,195)
--------- --------- --------- ---------
Total net increase (decrease) ................. 1,391 $ 16,401 3,419 $ 43,480
========= ========= ========= =========
</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 .09% 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 net assets under the
agreement. The Fund did not have any drawdowns during the period.
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an Interfund
Credit Facility. This allows the Funds to directly lend to and borrow money
from the SSgA Money Market Fund for temporary purposes in accordance with
certain conditions. The borrowing Funds are charged the average of the
current Repo Rate and the Bank Loan Rate. Miscellaneous Expenses on the
Statement of Operations includes $19,979 of interest expense paid under the
interfund lending program.
8. Dividends
On March 1, 2000, the Board of Trustees declared a dividend of $.0140 from
net investment income, payable on March 7, 2000 to shareholders of record on
March 2, 2000.
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
160 Federal Street
Boston, Massachusetts 02110
Semiannual Report 15
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Prime Money Market Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Prime Money Market Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements.................................................... 3
Financial Highlights.................................................... 10
Notes to Financial Statements........................................... 11
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. 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 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- ------ -------- ------
<S> <C> <C> <C> <C>
Corporate Bonds and Notes - 41.7%
Corporate Bonds and Notes - 41.7%
Abbey National Treasury Services PLC (MTN) 12,000 5.185 05/12/00 11,998
Associates Corp. N.A. (MTN)(a) 20,000 5.760 03/20/00 19,999
AT&T Co. (MTN)(a) 25,000 5.990 07/13/00 24,996
AT&T Co. (MTN)(a) 25,000 6.128 08/07/00 25,000
Bank of New York 15,000 6.070 11/20/00 14,993
Bank of NY, Inc. (MTN)(a) 25,000 5.900 05/15/00 24,997
Bank One (MTN) 25,000 5.980 03/27/00 25,000
Barclays Bank PLC (MTN)(a) 15,000 5.890 05/12/00 14,998
Branch Banking & Trust (MTN)(a) 25,000 5.980 03/08/00 25,000
Chase Manhattan Corp. (MTN)(a) 15,000 6.170 02/26/01 15,017
Cit Group, Inc. (MTN)(a) 25,000 5.883 05/15/00 24,997
Comerica Bank, Michigan (MTN)(a) 25,000 5.816 03/07/00 25,000
Comerica Bank, Michigan (MTN)(a) 20,000 5.900 04/17/00 19,999
Comerica Bank, Michigan (MTN)(a) 15,000 5.790 05/11/00 14,998
Daimlerchrysler North America Holding (MTN) 9,900 6.680 02/07/01 9,894
Daimlerchrysler North America Holding (MTN)(a) 5,000 5.980 02/22/01 4,997
Du Pont E I De Nemours & Co. 20,000 9.150 04/15/00 20,094
Emerson Electric Co. (MTN) 20,000 5.125 03/17/00 19,999
Fifth Third Bancorp 50,000 5.810 03/06/00 50,000
Fifth Third Bancorp 25,000 5.820 03/17/00 25,000
First National Bank, Illinois 10,000 6.000 08/11/00 9,998
First Union National Bank (MTN)(a) 20,000 5.915 05/17/00 20,000
First Union National Bank 25,000 5.300 03/01/00 25,000
Fleet National Bank (MTN)(a) 5,000 6.270 05/09/00 5,001
Ford Motor Credit Co. (MTN)(a) 50,000 5.950 05/05/00 50,000
General Electric Capital Corp. (MTN)(a) 15,000 6.049 05/12/00 15,000
General Electric Capital Corp. (MTN)(a) 25,000 5.976 04/12/00 25,000
GTE Corp. (MTN)(a) 25,000 6.034 06/02/00 24,993
Household Finance Corp. (MTN) 20,000 5.678 07/07/00 19,997
Household Finance Corp. (MTN)(a) 25,000 6.025 04/17/00 24,998
Key Bank N.A. 20,000 5.670 07/17/00 19,996
M&I Marshall & Ilsley Bank 10,000 6.070 09/28/00 10,000
National City Bank 12,000 6.550 01/22/01 11,995
PNC Bank NA (MTN)(a) 10,000 5.779 02/26/01 9,994
STEERS-A37 (MTN)(a) 41,638 5.879 10/25/11 41,638
Wells Fargo & Co. (MTN)(a) 15,000 5.977 06/13/00 14,998
Westpac Banking Corp., New York 10,000 5.825 08/02/00 9,998
Westpac Banking Corp., New York 25,000 6.255 10/23/00 24,988
Xerox Capital PLC (MTN)(a) 25,000 6.035 08/18/00 24,993
Xerox Credit Corp. (MTN) 25,000 5.113 03/21/00 24,999
---------
Total Corporate Bonds and Notes (cost $830,562) 830,562
---------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
Prime Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- ------ -------- ------
<S> <C> <C> <C> <C>
Domestic Certificates of Deposit - 2.4%
Asset Securitization Cooperative Corp. 4,000 5.940 05/31/00 3,940
Canadian Imperial (a) 30,000 5.905 04/07/00 29,998
First Bank N.A., Tennessee 20,000 5.920 04/27/00 20,000
Royal Bank of Canada, New York (a) 20,000 5.890 05/04/00 19,998
SunTrust Banks, Inc. 10,000 5.900 04/24/00 10,000
SunTrust Banks, Inc. 10,000 5.900 04/25/00 10,000
---------
Total Domestic Certificates of Deposit (cost $93,936) 93,936
---------
Eurodollar Certificates of Deposit - 6.3%
Abbey National Treasury Services PLC Corp. 25,000 6.140 03/21/00 25,004
Bank of Scotland 25,000 6.000 05/10/00 25,000
Barclays Bank 50,000 5.900 03/06/00 50,000
Barclays Bank 10,000 5.800 07/28/00 10,000
Commerzbank AG (a) 25,000 5.790 02/16/01 24,988
Dresdner Bank AG 50,000 6.020 03/06/00 50,001
Halifax Group PLC 25,000 5.940 04/18/00 25,000
Halifax Group PLC 30,000 6.000 05/10/00 30,000
---------
Total Eurodollar Certificates of Deposit (cost $239,993) 239,993
---------
Yankee Certificates of Deposit - 11.4%
Algemene Bank Neder Land (a) 25,000 5.895 05/25/00 24,997
ANZ Banking Group 25,000 5.940 04/28/00 25,000
Bank Of Nova Scotia 20,000 5.800 08/02/00 19,996
Bank Of Nova Scotia 20,000 6.550 01/16/01 19,992
Bank Of Nova Scotia 8,000 6.550 01/24/01 7,997
Canadian Imperial (a) 20,000 5.080 04/12/00 19,998
Deutsche Bank, New York 10,000 6.500 01/08/01 9,996
Deutsche Bank, New York 25,000 6.550 01/16/01 24,990
Deutsche Bank, New York 25,000 6.550 01/24/01 24,989
National Australia Bank, Ltd. 20,000 5.935 04/14/00 19,999
Svenska Handelsbanken 10,000 5.210 03/01/00 10,000
UBS AG Stamford Branche 10,000 6.500 01/08/01 9,995
Westpac Banking Corp., New York 25,000 6.710 02/12/01 24,988
Westpac Banking Corp., New York 7,000 6.710 02/09/01 6,996
---------
Total Yankee Certificates of Deposit (cost $249,933) 249,933
---------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
Prime Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- ------ -------- ------
<S> <C> <C> <C> <C>
Domestic Commercial Paper - 10.5%
BANKAMERICA Corp. (a) 20,000 5.850 03/10/00 19,971
Corporate Asset Funding Co, Inc. 15,000 5.720 03/08/00 14,983
Corporate Asset Funding Co, Inc. 5,000 5.750 03/23/00 4,982
Corporate Asset Funding Co, Inc. 9,000 5.850 04/18/00 8,930
Corporate Asset Funding Co, Inc. 5,000 5.840 04/20/00 4,959
Daimlerchrysler North America Holding 15,000 5.790 04/05/00 14,916
Delaware Funding Corp. 6,000 5.880 03/16/00 5,985
Delaware Funding Corp. 5,000 5.770 03/17/00 4,987
Edison Asset Securitization 15,000 5.760 03/20/00 14,954
Edison Asset Securitization 15,000 5.800 03/20/00 14,954
Falcon Asset Securitization 14,645 5.790 03/09/00 14,626
Falcon Asset Securitization 30,000 5.900 04/17/00 29,769
General Electric Capital Corp. 25,000 5.930 05/17/00 24,683
Merrill Lynch & Co., Inc. 25,000 5.850 04/03/00 24,866
Park Avenue Receivables Corp. 10,000 5.800 03/13/00 9,981
Preferred Receivables Funding Corp. 10,000 5.880 03/16/00 9,976
Salomon Smith Barney Holdings 25,000 5.880 04/24/00 24,780
---------
Total Domestic Commercial Paper (cost $248,302) 248,302
---------
Foreign Commercial Paper - 3.0%
Anz Delaware 30,000 5.840 04/13/00 29,791
Commonwealth Bank Australia 25,000 5.855 04/20/00 24,797
Woolwich PLC 20,000 5.230 03/06/00 19,985
---------
Total Foreign Commercial Paper (cost $74,573) 74,573
---------
Domestic Time Deposits - 4.1%
Branch Banking & Trust 92,007 5.812 03/01/00 92,007
Chase Bank 100,000 5.875 03/01/00 100,000
---------
Total Domestic Time Deposits (cost $192,007) 192,007
---------
Eurodollar Time Deposit - 4.1%
Bayerische Hypo-VEREINSBANK 100,000 5.937 03/01/00 100,000
---------
Total Eurodollar Time Deposit (cost $100,000) 100,000
---------
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
Prime Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- ------ -------- ------
<S> <C> <C> <C> <C>
United States Government Agency - 1.0%
Federal Home Loan Bank 25,000 5.795 04/14/00 24,999
---------
Total United States Government Agency (cost $24,999) 24,999
---------
Total Investments - 83.5% (amortized cost $2,054,305) 2,054,305
---------
Repurchase Agreement - 16.3%
Agreement with Swiss Bank Corp. of $401,962
acquired Feb 29, 2000 at 5.85% to be repurchased at $402,027
on March 1, 2000, collateralized by:
$413,280 various United States Government Agencies, valued at $409,930 401,962
---------
Total Repurchase Agreement (identified cost $401,962) 401,962
---------
Total Investments and Repurchase Agreement - 99.8% (cost $2,456,267)(b) 2,456,267
Other Assets and Liabilities, Net - 0.2% 5,107
---------
Net Assets - 100.0% 2,461,374
=========
</TABLE>
* The interest rate for all securities with a maturity greater than thirteen
months has an automatic reset feature resulting in an effective maturity of
thirteen months or less.
(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
See the accompanying notes which are an integral part of the financial
statements.
6 Semiannual Report
<PAGE>
SSgA
Prime Money Market Fund
Statement of Assets and Liabilities
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at amortized cost which approximates market ...................................... $2,054,305
Repurchase agreement (identified cost $401,962) .............................................. 401,962
Interest receivable .......................................................................... 17,978
----------
Total assets ........................................................................... 2,474,245
Liabilities
Payables:
Dividends ...................................................................... $12,212
Accrued fees to affiliates ..................................................... 634
Other accrued expenses ......................................................... 25
-------
Total liabilities ...................................................................... 12,871
----------
Net Assets ................................................................................... $2,461,374
==========
Net Assets Consist of:
Accumulated net realized gain (loss) ......................................................... $ (27)
Shares of beneficial interest ................................................................ 2,461
Additional paid-in capital ................................................................... 2,458,940
----------
Net Assets ................................................................................... $2,461,374
==========
Net Asset Value, offering and redemption price per share:
($2,461,374,463 divided by 2,461,413,182 shares of $.001 par value
shares of beneficial interest outstanding) ............................................. $ 1.00
==========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 7
<PAGE>
SSgA
Prime Money Market Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Interest ................................................................................... $ 73,415
Expenses
Advisory fees .................................................................... $ 1,953
Administrative fees .............................................................. 415
Custodian fees ................................................................... 240
Distribution fees ................................................................ 310
Transfer agent fees .............................................................. 72
Professional fees ................................................................ 18
Registration fees ................................................................ 28
Shareholder servicing fees ....................................................... 331
Trustees' fees ................................................................... 20
Miscellaneous .................................................................... 36
-------
Expenses before reductions ....................................................... 3,423
Expense reductions ............................................................... (819)
-------
Expenses, net ........................................................................... 2,604
----------
Net investment income ......................................................................... 70,811
----------
Net Realized Gain (Loss)
Net realized gain (loss) on investments ....................................................... (78)
----------
Net increase in net assets from operations .................................................... $70,733
==========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
8 Semiannual Report
<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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ............................................. $ 70,811 $ 133,335
Net realized gain (loss) .......................................... (78) 58
----------- -----------
Net increase in net assets from operations ..................... 70,733 133,393
----------- -----------
Distributions
From net investment income ........................................ (70,811) (133,335)
----------- -----------
Share Transactions
Net increase (decrease) in net assets from share transactions ..... 46,221 290,153
----------- -----------
Total net increase (decrease) in net assets .......................... 46,143 290,211
Net Assets
Beginning of period ............................................... 2,415,231 2,125,020
----------- -----------
End of period ..................................................... $ 2,461,374 $ 2,415,231
=========== ===========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 9
<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
statements.
<TABLE>
<CAPTION>
Fiscal Years Ended August 31,
-----------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ---------- ----------
<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 Operations
Net investment income ..................... .2707 .0496 .0544 .0528 .0546 .0567
---------- ---------- ---------- ---------- ---------- ----------
Distributions
From net investment income ................ (.2707) (.0496) (.0544) (.0528) (.0546) (.0567)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period ............... $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========== ========== ========== ========== ========== ==========
Total Return (%)(a) .......................... 2.74 5.08 5.63 5.52 5.60 5.82
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) .. 2,461,374 2,415,231 2,125,020 1,406,263 1,095,631 1,076,630
Ratios to average net assets (%)(b):
Operating expenses, net (c) ............ .20 .20 .20 .20 .20 .14
Operating expenses, gross (c) .......... .26 .26 .28 .28 .25 .27
Net investment income .................. 5.44 4.96 5.48 5.40 5.44 5.76
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for periods less than one year are annualized.
(c) See Note 4 for current period amounts.
10 Semiannual Report
<PAGE>
SSgA
Prime Money Market Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 23 investment portfolios which are in operation as of February
29, 2000. 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 utilizes the amortized cost valuation method in
accordance with Rule 2a-7 of the 1940 Act, 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.
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 11
<PAGE>
SSgA
Prime Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases, sales, and maturities of investment securities, excluding US
Government and Agency obligations and repurchase agreements, for the Fund
aggregated to $58,268,957,194, $756,717,493, and $57,457,187,000,
respectively.
For the six months ended February 29, 2000, purchases, sales and maturities
of US Government and Agency obligations, excluding repurchase agreements
aggregated to $303,434,889, $244,437,144, and $109,818,000, respectively.
4. Related Parties
Adviser: The Investment Company has investment advisory agreements with
State Street Bank and Trust Company 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 29, 2000, the receivable due from the
Adviser for expenses in excess of the expense cap has been netted against
the Advisory 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.
In addition, the Fund has entered into arrangements with its Adviser whereby
custody credits realized as a result of uninvested cash balances were used
to reduce a portion of the Fund's expenses. During the period, the Fund's
custodian fees were reduced by $33,095 under these arrangements.
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 for services supplied by the Administrator
pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses the Administrator for out-of-pocket
expenses and start-up costs for new funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter into
sub-distribution agreements with other non-related parties. The amounts paid
to the Distributor are included in the accompanying Statement of Operations.
12 Semiannual Report
<PAGE>
SSgA
Prime Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
The Investment Company has 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 service agreements with the Adviser. For these services, the
Fund pays .025% to the Adviser, based upon the average daily value of all
Fund shares held. For the six months ended February 29, 2000, the Fund was
charged shareholder servicing expenses of $325,440 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 February 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000 were
as follows:
Advisory fees $ 352,236
Administration fees 76,041
Custodian fees 36,288
Distribution fees 89,312
Shareholder servicing fees 58,660
Transfer agent fees 17,364
Trustees' fees 3,667
-----------
$ 633,568
===========
Beneficial Interest: As of February 29, 2000, one shareholder (who was also
an affiliate of the Investment Company) was a record owner of approximately
46% of the total outstanding shares of the Fund.
Semiannual Report 13
<PAGE>
SSgA
Prime Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
5. Fund Share Transactions (On a Constant Dollar Basis):
<TABLE>
<CAPTION>
(amounts in thousands)
For the Periods Ended
------------------------------------
February 29, 2000 August 31, 1999
----------------- ---------------
<S> <C> <C>
Proceeds from shares sold..................... 21,237,001 44,635,015
Proceeds from reinvestment of distributions... 62,102 117,035
Payments for shares redeemed.................. (21,252,882) (44,461,897)
----------- -----------
Total net increase (decrease)................. 46,221 290,153
=========== ===========
</TABLE>
6. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an Interfund
Credit Facility. This allows the Funds to directly lend to and borrow money
from the SSgA Money Market Fund for temporary purposes in accordance with
certain conditions. The borrowing Funds are charged the average of the
current Repo Rate and the Bank Loan Rate. The Fund did not utilize the
interfund lending program during this period.
14 Semiannual Report
<PAGE>
SSgA Prime Money Market Fund
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
Trustees
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
Officers
Lynn L. Anderson, President, 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
160 Federal Street
Boston, Massachusetts 02110
Semiannual Report 15
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Small Cap Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Small Cap Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements...................................................... 3
Financial Highlights...................................................... 10
Notes to Financial Statements............................................. 11
Fund Management and Service Providers..................................... 16
"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 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------- -------
Common Stocks - 98.5%
Basic Industries - 4.0%
Advanced Energy Industries, Inc. (a) 30,500 2,217
Cambrex Corp. 42,200 1,693
CONSOL Energy, Inc. 133,000 1,545
Cytec Industries, Inc. (a) 24,700 599
Geon Co. 50,900 1,063
Georgia Gulf Corp. 146,400 3,331
Hexcel Corp. (a) 59,300 289
Mueller Industries, Inc. (a) 22,100 633
W.R. Grace & Co. (a) 208,000 2,093
-------
13,463
-------
Capital Goods - 6.0%
Applied Industrial Technology,
Inc 12,200 221
Briggs & Stratton Corp. 4,100 137
Centex Construction Products, Inc. 23,400 544
Cognex Corp. (a) 5,400 237
D.R. Horton, Inc. 30,300 341
Dura Automotive Systems, Inc. (a) 53,700 698
Kaufman & Broad Home Corp. 167,000 3,194
Kennametal, Inc. 78,000 1,814
Kent Electronics Corp. (a) 96,100 3,255
Manitowoc Co., Inc. 85,512 2,303
NVR, Inc. (a) 32,600 1,438
Plantronics, Inc. (a) 27,000 2,145
Pulte Corp. 3,700 62
Ryland Group, Inc. (The) 43,300 769
Standard Pacific Corp. 112,700 1,198
Superior TeleCom, Inc. 24,552 307
Terex Corp. (a) 105,500 1,253
-------
19,916
-------
Consumer Basics - 14.8%
Alpharma, Inc. Class A 124,900 4,325
AmeriSource Health Corp. Class A
(a) 220,100 3,205
Apria Healthcare Group, Inc. (a) 162,300 2,313
Barr Laboratories, Inc. (a) 102,100 4,863
Bindley Western Industries, Inc. 27,777 477
Buckeye Technologies, Inc. (a) 400 6
Celera Genomics (a) 4,000 976
Cooper Companies, Inc. 39,700 1,089
Human Genome Sciences, Inc. (a) 5,900 1,286
Incyte Pharmaceuticals, Inc. (a) 1,500 413
JAKKS Pacific, Inc. (a) 63,500 1,048
Liposome Co., Inc. (a) 42,000 564
Medicis Pharmaceutical Corp.
Class A (a) 74,350 3,750
Medquist, Inc. (a) 192,700 4,962
Mid Atlantic Medical Services, Inc. (a) 30,600 251
Millennium Pharmaceuticals, Inc. (a) 5,700 1,478
NBTY, Inc. (a) 222,500 3,129
Patterson Dental Co. (a) 43,600 1,570
Priority Healthcare Corp. Class B (a) 59,628 2,855
ResMed, Inc. (a) 38,600 2,881
Rexall Sundown, Inc. (a) 191,000 2,853
Suiza Foods Corp. (a) 500 20
Syncor International Corp. (a) 22,600 547
Theragenics Corp. (a) 120,500 1,663
Topps Co., Inc. (a) 88,000 655
Trigon Healthcare, Inc. (a) 74,800 2,389
-------
49,568
-------
Consumer Durables - 2.0%
Donaldson Co., Inc. 19,100 435
Furniture Brands International, Inc. (a) 226,200 3,632
La-Z-Boy Inc. 66,800 1,111
Libbey, Inc. 30,800 828
Toro Co. 20,400 676
-------
6,682
-------
Consumer Non-Durables - 5.9%
Bebe Stores, Inc. (a) 35,800 376
Canandaigua Brands Co., Inc.
Class A (a) 67,700 3,317
Cost Plus, Inc. (a) 110,750 2,049
Footstar, Inc. (a) 62,500 1,543
Fossil, Inc. (a) 16,200 367
Guess?, Inc. (a) 39,100 833
Handleman Co. (a) 37,700 391
Semiannual Report 3
<PAGE>
SSgA
Small Cap Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------- -------
Haverty Furniture Co., Inc. 5,700 62
Michaels Stores, Inc. (a) 77,600 2,104
Mohawk Industries, Inc. (a) 90,200 2,001
Musicland Stores Corp. (a) 130,800 891
Nortek, Inc. (a) 21,200 464
Reebok International, Ltd. (a) 268,100 2,145
Spiegel, Inc. Class A (a) 44,100 314
Whitehall Jewellers, Inc. (a) 2,600 51
Zale Corp. (a) 76,700 2,886
-------
19,794
-------
Consumer Services - 3.2%
Applebee's International, Inc. 82,900 2,326
Argosy Gaming Co. (a) 123,900 1,402
Brinker International, Inc. (a) 68,000 1,479
CEC Entertainment, Inc. (a) 1,600 36
Jack in the Box, Inc. (a) 63,200 1,268
RARE Hospitality International,
Inc. NPV (a) 27,400 517
Ruby Tuesday, Inc. 41,100 696
Sonic Corp. (a) 28,600 694
Station Casinos, Inc. (a) 124,000 2,434
-------
10,852
-------
Energy - 1.7%
Energen Corp. 32,900 534
Patterson Energy, Inc. (a) 85,300 1,930
Stone Energy Corp. New (a) 7,400 301
Valero Energy Corp. 115,300 2,940
-------
5,705
-------
Finance - 12.2%
Affiliated Managers Group, Inc. (a) 10,200 401
AmeriCredit Corp. (a) 152,200 2,112
BancWest Corp. 42,000 638
Bank United Corp. Class A 121,500 3,182
CBL & Associates Properties, Inc. (c) 68,400 1,530
Chittenden Corp. 24,500 623
Commercial Federal Corp. 86,250 1,116
Community First Bankshares, Inc. 61,600 862
East West Bancorp, Inc. 147,700 1,837
Enhance Financial Services Group,
Inc. 91,700 1,077
Fidelity National Financial, Inc. 147,863 1,858
First Industrial Realty Trust, Inc. (c) 66,900 1,739
FirstFed Financial Corp. (a) 49,000 625
Flagstar Bancorp, Inc. 20,700 267
General Growth Properties, Inc. (c) 51,400 1,487
Glimcher Realty Trust (c) 47,400 587
Health Care REIT, Inc. (c) 51,300 798
Hudson United Bancorp NPV 108,049 2,181
Irwin Financial Corp. 24,500 413
Liberty Property Trust 57,300 1,300
MeriStar Hospitality Corp. (c) 129,200 2,059
Metris Companies, Inc. 120,732 3,124
Mills Corp. (c) 15,500 263
Nationwide Financial Services,
Inc. Class A 47,700 1,100
PFF Bancorp, Inc. 21,900 329
Radian Group, Inc. 107,200 3,719
Reckson Associates Realty Corp. (c) 98,600 1,824
Roslyn Bancorp, Inc. 18,000 277
Security Capital Group, Inc.
Class B (a) 78,600 1,017
Smith (Charles E.) Residential
Realty, Inc. (c) 30,800 1,076
Trustmark Corp. 14,600 247
Urban Shopping Centers, Inc. (c) 22,400 622
Washington Real Estate Investment
Trust (c) 33,600 517
-------
40,807
-------
General Business - 6.7%
Advo Systems, Inc. (a) 66,500 1,845
Diamond Technology Partners, Inc. (a) 9,400 643
Education Management Corp. New (a) 28,900 376
F.Y.I., Inc. (a) 29,900 890
Great Plains Software, Inc. (a) 12,600 876
Harmonic Lightwaves, Inc. (a) 10,000 1,369
Interim Services, Inc. (a) 124,300 3,100
Learning Tree International,
Inc. (a) 53,100 1,407
MemberWorks, Inc. (a) 28,600 2,313
PairGain Technologies, Inc. (a) 25,600 454
Pulitzer, Inc. 22,900 889
R.H. Donnelley Corp. 29,000 489
S1 Corp. (a) 5,400 544
4 Semiannual Report
<PAGE>
SSgA
Small Cap Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------- -------
Sinclair Broadcast Group, Inc.
Class A (a) 339,300 3,203
TeleTech Holdings, Inc. (a) 43,700 1,655
United Stationers, Inc. (a) 91,900 2,464
-------
22,517
-------
Technology - 35.5%
Acclaim Entertainment, Inc. (a) 21,200 105
ACX Technologies, Inc. (a) 58,800 187
Adtran, Inc. (a) 32,900 2,420
Advanced Digital Information (a) 27,300 2,464
American Management Systems, Inc. (a) 47,900 1,524
Amphenol Corp. Class A (a) 400 32
AVT Corp. (a) 105,500 2,789
AXENT Technologies, Inc. (a) 46,000 1,248
Brightpoint, Inc. (a) 310,300 3,995
BroadVision, Inc. (a) 24,300 6,136
Checkpoint Systems, Inc. (a) 35,600 303
Credence Systems Corp. (a) 6,800 906
CTS Corp. 42,000 2,709
Cybex Computer Products Corp. (a) 6,600 307
Cypress Semiconductor Corp. (a) 157,900 7,204
Dallas Semiconductor Corp. 109,400 4,417
Electro Scientific Industries, Inc. (a) 30,600 1,735
Emulex Corp. (a) 42,100 6,736
ESS Technology, Inc. (a) 89,800 1,386
Go2Net, Inc. (a) 17,400 1,513
In Focus Systems, Inc. (a) 136,500 4,556
Inet Technologies, Inc. (a) 19,600 845
Insight Enterprises, Inc. (a) 57,700 1,810
IT Group, Inc. (a) 127,700 974
Kemet Corp. (a) 39,700 2,439
Lam Research Corp. (a) 40,700 6,349
Lattice Semiconductor Corp. (a) 44,700 3,140
Littlefuse, Inc. (a) 32,700 971
Mercury Interactive Corp. (a) 84,000 8,085
Micromuse, Inc. (a) 42,500 6,027
MicroStrategy, Inc. (a) 15,600 2,169
National Computer Systems, Inc. 68,000 2,703
NeoMagic Corp. (a) 201,400 1,089
PerkinElmer, Inc. 64,100 4,142
Progress Software Corp. (a) 75,800 1,890
Proxicom, Inc. (a) 22,000 920
Proxim, Inc. (a) 44,000 6,308
RadiSys Corp. (a) 16,400 804
RSA Security, Inc. (a) 26,200 1,749
Semtech Corp. (a) 3,700 231
Sensormatic Electronics Corp. (a) 88,600 1,682
Sybase, Inc. (a) 237,000 5,940
Technitrol, Inc. 6,400 297
Unigraphics Solutions, Inc. 14,700 407
Verity, Inc. (a) 28,000 1,491
VerticalNet, Inc. (a) 8,300 1,826
Xircom, Inc. (a) 39,100 1,623
-------
118,583
-------
Transportation - 1.5%
America West Holding Corp.
Class B (a) 112,700 1,507
Roadway Express, Inc. 31,200 644
USFreightways Corp. 62,700 2,084
Yellow Corp. (a) 43,600 698
-------
4,933
-------
Utilities - 5.0%
CellStar Corp. (a) 31,100 298
Dycom Industries, Inc. (a) 60,125 3,006
MDU Resources Group, Inc. 48,750 929
Minnesota Power, Inc. 147,000 2,251
Price Communications Corp. (a) 159,270 3,804
Public Service Co. of New Mexico 113,200 1,740
Razorfish, Inc. (a) 23,400 781
RGS Energy Group, Inc. 34,000 669
TALK.com, Inc. (a) 139,200 2,349
UGI Corp. 42,000 788
-------
16,615
-------
Total Common Stocks
(cost $299,261) 329,435
-------
Semiannual Report 5
<PAGE>
SSgA
Small Cap Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- -------
Short-Term Investments - 0.1%
AIM Short-Term Investment Prime
Portfolio Class A (b) 188 188
Federated Investors Prime Cash
Obligations Fund (b) 1 1
United States Treasury Bill
5.26% due 3/16/00 (b)(d) 309 309
-------
Total Short-Term Investments
(cost $498) 498
-------
Total Investments - 98.6%
(identified cost $299,759) 329,933
Other Assets and Liabilities,
Net - 1.4% 4,713
-------
Net Assets - 100.0% 334,646
=======
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Real Estate Investment Trust (REIT).
(d) Rate noted is yield-to-maturity from date of acquisition.
Abbreviations:
NPV - No Par Value
See the accompanying notes which 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 29, 2000 (Unaudited)
<TABLE>
<S> <C>
Assets
Investments at market (identified cost $299,759) ............................ $ 329,933
Receivables:
Dividends ................................................................ 170
Investments sold ......................................................... 14,218
Fund shares sold ......................................................... 2,541
Daily variation margin on futures contracts .............................. 103
Prepaid expenses ............................................................ 14
Short-term investments held as collateral for securities loaned, at market .. 36,155
---------
Total assets .......................................................... 383,134
Liabilities
Payables:
Due to Custodian ........................................... $ 2,427
Investments purchased ...................................... 7,459
Fund shares redeemed ....................................... 1,923
Accrued fees to affiliates ................................. 524
Payable upon return of securities loaned, at market ........... 36,155
---------
Total liabilities ..................................................... 48,488
---------
Net Assets .................................................................. $ 334,646
=========
Net Assets Consist of:
Undistributed net investment income ......................................... $ 21
Accumulated net realized gain (loss) ........................................ (42,606)
Unrealized appreciation (depreciation) on investments ....................... 30,174
Shares of beneficial interest ............................................... 16
Additional paid-in capital .................................................. 347,041
---------
Net Assets .................................................................. $ 334,646
=========
Net Asset Value, offering and redemption price per share:
($334,646,044 divided by 16,211,865 shares of $.001 par value
shares of beneficial interest outstanding) ............................... $ 20.64
=========
</TABLE>
See the accompanying notes which 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 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Dividends ...................................................... $ 1,785
Interest ....................................................... 67
-------
Total investment income ..................................... 1,852
Expenses
Advisory fees .................................................. $ 1,277
Administrative fees ............................................ 53
Custodian fees ................................................. 46
Distribution fees .............................................. 103
Transfer agent fees ............................................ 83
Professional fees .............................................. 10
Registration fees .............................................. 37
Shareholder servicing fees ..................................... 209
Trustees' fees ................................................. 4
Miscellaneous .................................................. 9
-------
Total expenses .............................................. 1,831
-------
Net investment income ............................................. 21
-------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments .................................................... 14,677
Futures contracts .............................................. 576 15,253
-------
Net change in unrealized appreciation (depreciation) on investments 35,992
-------
Net realized and unrealized gain (loss) ........................... 51,245
-------
Net increase (decrease) in net assets from operations ............. $51,266
=======
</TABLE>
See the accompanying notes which 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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income .......................................... $ 21 $ 678
Net realized gain (loss) ....................................... 15,253 (53,028)
Net change in unrealized appreciation (depreciation) ........... 35,992 88,963
--------- ---------
Net increase (decrease) in net assets from operations ....... 51,266 36,613
--------- ---------
Distributions
From net investment income ..................................... (238) (468)
From net realized gain ......................................... -- (24)
--------- ---------
Net decrease in net assets from distributions ............... (238) (492)
--------- ---------
Share Transactions
Net increase (decrease) in net assets from share transactions .. (68,395) (28,738)
--------- ---------
Total net increase (decrease) in net assets ....................... (17,367) 7,383
Net Assets
Beginning of period ............................................ 352,013 344,630
--------- ---------
End of period (including undistributed net investment income of
$21 and $238, respectively) ................................. $ 334,646 $ 352,013
========= =========
</TABLE>
See the accompanying notes which 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
each period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
Fiscal Years Ended August 31,
-------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995**
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ......... $ 17.75 $ 15.96 $ 22.11 $ 17.44 $ 14.42 $ 11.88
----------- ----------- ----------- ----------- ----------- -----------
Income From Operations
Net investment income (a) ................. -- .03 .02 .03 .04 .13
Net realized and unrealized gain (loss) ... 2.90 1.78 (4.54) 5.87 3.25 3.19
----------- ----------- ----------- ----------- ----------- -----------
Total income from operations ........... 2.90 1.81 (4.52) 5.90 3.29 3.32
----------- ----------- ----------- ----------- ----------- -----------
Distributions
From net investment income ................ (.01) (.02) (.04) (.01) (.07) (.15)
From net realized gain .................... -- -- (1.59) (1.22) (.20) (.63)
----------- ----------- ----------- ----------- ----------- -----------
Total distributions .................... (.01) (.02) (1.63) (1.23) (.27) (.78)
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period ............... $ 20.64 $ 17.75 $ 15.96 $ 22.11 $ 17.44 $ 14.42
=========== =========== =========== =========== =========== ===========
Total Return (%)(b) .......................... 16.42 11.35 (22.32) 35.85 23.14 30.04
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) .. 334,646 352,013 344,630 149,808 55,208 23,301
Ratios to average net assets (%)(c):
Operating expenses, net (d) ............ 1.08 1.07 1.04 1.00 1.00 .97
Operating expenses, gross (d) .......... 1.08 1.07 1.04 1.09 1.18 1.58
Net investment income .................. .01 .17 .10 .18 .26 .81
Portfolio turnover rate (%) ............... 58.19 110.82 86.13 143.79 76.85 192.88
</TABLE>
* For the six months ended February 29, 2000 (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 periods subsequent to August 31, 1998, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts.
10 Semiannual Report
<PAGE>
SSgA
Small Cap Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 23 investment portfolios which are in operation as of February
29, 2000. 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.
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
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
Small Cap Fund
Notes to Financial Statements, continued
February 29, 2000 (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
August 31, 1999, the Fund had a net tax basis capital loss carryover of
$37,417,888 which may be applied against any realized net taxable gains in
each succeeding year or until its expiration date of August 31, 2007. As
permitted by tax regulations, the Fund intends to defer a net realized
capital loss of $20,502,864 incurred from November 1, 1998 to August 31,
1999, and treat it as arising in the fiscal year 2000.
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 29, 2000 are as follows:
Net Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
------------ ------------ -------------- --------------
$299,759,592 $ 65,920,607 $(35,747,084) $30,173,523
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.
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 six months ended February 29, 2000,
purchases and sales of investment securities, excluding short-term
investments and futures contracts, aggregated to $196,794,485 and
$266,561,860, respectively.
12 Semiannual Report
<PAGE>
SSgA
Small Cap Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Securities Lending: The Investment Company has a securities lending program
whereby each Fund can 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 recorded 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
recorded 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 29, 2000,
the value of outstanding securities on loan and the value of collateral
amounted to $34,740,973 and $36,155,195, respectively. The Fund recorded
securities lending income of $65,067 during the period.
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company 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.
In addition, the Fund has entered into arrangements with its Adviser whereby
custody credits realized as a result of uninvested cash balances were used to
reduce a portion of the Fund's expenses. During the period, the Fund's
custodian fees were reduced by $2,345 under these arrangements.
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 for services supplied by the Administrator pursuant to
the Administration Agreement, 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
Semiannual Report 13
<PAGE>
SSgA
Small Cap Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
$1 billion - .05%; over $1 billion - .03%. In addition, the Fund reimburses
the Administrator for out-of-pocket expenses and start-up costs for new
funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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 service agreements with the Adviser, State Street Brokerage
Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and State
Street Solutions ("Solutions")(collectively the "Agents"), as well as several
unaffiliated service providers. For these services, the Fund pays .025%,
.175%, .175%, .175% and .175% to the Adviser, SSBSI, RIS, Commercial Banking,
and Solutions, respectively, based upon the average daily value of all Fund
shares held by or for customers of these Agents. For the six months ended
February 29, 2000, the Fund was charged shareholder servicing expenses of
$40,974, $3,006, $114,070, $325 and $31,443, 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 29, 2000.
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 $2,802 for the six months ended February 29,
2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. These expenses are allocated among all
of the Funds based upon their relative net assets.
14 Semiannual Report
<PAGE>
SSgA
Small Cap Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Accrued fees payable to affiliates and trustees as of February 29, 2000 were
as follows:
Advisory fees $405,589
Administration fees 7,424
Custodian fees 22,833
Distribution fees 2,752
Shareholder servicing fees 46,040
Transfer agent fees 37,252
Trustees' fees 1,909
--------
$523,799
========
Beneficial Interest: As of February 29, 2000, one shareholder was a record
owner of approximately 20% of the total outstanding shares of the Fund.
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
------------------------------------------
February 29, 2000 August 31, 1999
------------------ ------------------
Shares Dollars Shares Dollars
------ --------- ------ ---------
<S> <C> <C> <C> <C>
Proceeds from shares sold 4,523 $ 85,492 20,403 $ 358,555
Proceeds from reinvestment of distributions 11 180 23 405
Payments for shares redeemed (8,158) (154,067) (22,182) (387,698)
Total net increase (decrease) (3,624) $ (68,395) (1,756) $ (28,738)
====== ========= ====== =========
</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 .09% 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 net assets under the agreement. The Fund did
not have any drawdowns during the period.
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an Interfund
Credit Facility. This allows the Funds to directly lend to and borrow money
from the SSgA Money Market Fund for temporary purposes in accordance with
certain conditions. The borrowing Funds are charged the average of the
current Repo Rate and the Bank Loan Rate. Miscellaneous Expenses on the
Statement of Operations includes $3,578 of interest paid under the interfund
lending program.
Semiannual Report 15
<PAGE>
SSgA Small Cap Fund
One International Place, 27th Floor
Boston, Massachusetts 02110
(800) 997-7327
- --------------------------------------------------------------------------------
Trustees
Lynn L. Anderson, Chairman
William L. Marshall
Steven J. Mastrovich
Patrick J. Riley
Richard D. Shirk
Bruce D. Taber
Henry W. Todd
Officers
Lynn L. Anderson, President, 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
160 Federal Street
Boston, Massachusetts 02110
16 Semiannual Report
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
US Treasury Money Market Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
US Treasury Money Market Fund
Semiannual Report
February 29, 2000 (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 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity $
--------- ----- -------- -------
<S> <C> <C> <C> <C>
United States Government Agencies - 69.0%
United States Treasury Bills 200,000 5.697 04/27/00 198,196
United States Treasury Bills 350,000 5.700 04/27/00 346,841
United States Treasury Bills 50,000 5.710 04/27/00 49,548
United States Treasury Notes 120,000 5.500 03/31/00 120,028
--------
Total United States Government Agencies (cost $714,613) 714,613
--------
Total Investments - 69.0% (amortized cost $714,613) 714,613
--------
Repurchase Agreements - 31.2%
Agreement with Bear Stearns & Co., Inc. of $135,000
acquired February 29, 2000 at 5.740% to be repurchased at $135,021
on March 1, 2000, collateralized by:
$122,984 various United States Treasury obligations valued at $138,433 135,000
Agreement with Goldman, Sachs & Co. of $40,000
acquired February 29, 2000 at 5.450% to be repurchased at $40,005
on March 1, 2000, collateralized by:
$35,190 various United States Treasury obligations valued at $41,019 40,000
Agreement with JP Morgan Securities, Inc. of $12,399
acquired February 29, 2000 at 5.400% to be repurchased at $12,401
on March 1, 2000, collateralized by:
$11,563 various United States Treasury obligations valued at $12,678 12,399
Agreement with Swiss Bank Corp. of $135,000
acquired February 29, 2000 at 5.780% to be repurchased at $135,022 on
March 1, 2000, collateralized by:
$116,327 various United States Treasury obligations valued at $137,892 135,000
--------
Total Repurchase Agreements (identified cost $322,399) 322,399
--------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
US Treasury Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Value
(000)
$
-------
<S> <C>
Total Investments and Repurchase Agreements - 100.2% (cost $1,037,012)(a) 1,037,012
Other Assets and Liabilities, Net - (0.2%) (1,725)
---------
Net Assets - 100.0% 1,035,287
=========
</TABLE>
(a) The identified cost for federal income tax purposes is the same as shown
above.
See the accompanying notes which are an integral part of the financial
statements.
4 Semiannaul Report
<PAGE>
SSgA
US Treasury Money Market Fund
Statement of Assets and Liabilities
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at amortized cost which approximates market ................................. $ 714,613
Repurchase agreements (identified cost $322,399) ........................................ 322,399
Interest receivable ..................................................................... 2,811
-----------
Total assets ...................................................................... 1,039,823
Liabilities
Payables:
Dividends ................................................................ $ 4,220
Other accrued expenses ................................................... 316
---------
Total liabilities ................................................................. 4,536
-----------
Net Assets .............................................................................. $ 1,035,287
===========
Net Assets Consist of:
Accumulated net realized gain (loss) .................................................... $ 2
Shares of beneficial interest ........................................................... 1,035
Additional paid-in capital .............................................................. 1,034,250
-----------
Net Assets .............................................................................. $ 1,035,287
===========
Net Asset Value, offering and redemption price per share:
($1,035,287,391 divided by 1,035,297,017 shares of $.001 par value
shares of beneficial interest outstanding) ........................................ $ 1.00
===========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannaul Report 5
<PAGE>
SSgA
US Treasury Money Market Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Interest ............................................................................. $ 27,397
Expenses
Advisory fees ............................................................. $ 1,309
Administrative fees ....................................................... 160
Custodian fees ............................................................ 194
Distribution fees ......................................................... 138
Transfer agent fees ....................................................... 39
Professional fees ......................................................... 10
Registration fees ......................................................... 42
Shareholder servicing fees ................................................ 127
Trustees' fees ............................................................ 9
Miscellaneous ............................................................. 17
---------
Expenses before reductions ................................................ 2,045
Expenses reductions ....................................................... (998)
---------
Total expenses .................................................................... 1,047
-----------
Net investment income ................................................................... 26,350
-----------
Net increase in net assets from operations .............................................. $ 26,350
===========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
6 Semiannaul 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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ..................................................... $ 26,350 $ 48,643
----------- -----------
Distributions
From net investment income ................................................ (26,350) (48,643)
----------- -----------
Share Transactions
Net increase (decrease) in net assets from share transactions ............. (80,327) 115,247
----------- -----------
Total net increase (decrease) in net assets .................................. (80,327) 115,247
Net Assets
Beginning of period ....................................................... 1,115,614 1,000,367
----------- -----------
End of period ............................................................. $ 1,035,287 $ 1,115,614
=========== ===========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannaul 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>
Fiscal Years Ended August 31,
-------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
---------- ----------- ---------- ---------- ---------- ----------
<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 Operations
Net investment income .0003 .0473 .0540 .0515 .0529 .0536
---------- ----------- ---------- ---------- ---------- ----------
Distributions
From net investment income (.0003) (.0473) (.0540) (.0515) (.0529) (.0536)
---------- ----------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========== =========== ========== ========== ========== ==========
Total Return (%)(a) 2.54 4.84 5.53 5.36 5.42 5.48
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) 1,035,287 1,115,614 1,000,367 916,845 189,004 160,893
Ratios to average net assets (%)(b):
Operating expenses, net (c) .20 .20 .20 .20 .20 .13
Operating expenses, gross (c) .39 .39 .39 .46 .38 .39
Net investment income 5.03 4.73 5.40 5.28 5.29 5.38
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for periods less than one year are annualized.
(c) See Note 4 for current period amounts.
8 Semiannaul Report
<PAGE>
SSgA
US Treasury Money Market Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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 Fund in the preparation of its
financial statements.
Security valuation: The Fund utilizes the amortized cost valuation method
in accordance with Rule 2a-7 of the 1940 Act, 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.
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.
Semiannaul Report 9
<PAGE>
SSgA
US Treasury Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (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. State Street Bank and Trust Company
(the "Advisor") will monitor repurchase agreements daily to determine that
the market value (including accrued interest) of the underlying securities
remains equal to at least 102% of the repurchase price at Fedwire closing
time. The Adviser or third-party custodian will notify the seller to
immediately increase the collateral on the repurchase agreement to 102% of
the repurchase price if collateral falls below 102%.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and maturities of US Government and Agency obligations,
excluding repurchase agreements aggregated to $1,177,209,124 and
$885,000,000, respectively.
4. Related Parties
Adviser: The Investment Company has investment advisory agreements with
State Street Bank and Trust Company 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 29, 2000, the receivable due
from the Adviser for expenses in excess of the expense cap has been netted
against the Advisory 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $17,639 under these
arrangements.
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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses the Administrator
for out-of-pocket expenses and start-up costs for new funds.
Distributor and shareholder servicing: The Investment Company has 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 enter into
sub-distribution agreements with other
10 Semiannaul Report
<PAGE>
SSgA
US Treasury Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
non-related parties. The amounts paid to the Distributor are included in
the accompanying Statement of Operations.
The Investment Company has 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 service agreements with the Adviser. For these services, the
Fund pays .025% to the Adviser, based upon the average daily value of all
Fund shares held. For the six months ended February 29, 2000, the Fund was
charged shareholder servicing expenses of $130,902 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 February 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000
were as follows:
Advisory fees $179,303
Administration fees 20,545
Custodian fees 53,447
Distribution fees 41,074
Shareholder servicing fees 16,075
Transfer agent fees 17,537
Trustees' fees 1,549
--------
$329,530
========
Beneficial interest: As of February 29, 2000, two shareholders (who were
also affiliates of the Investment Company) were record owners of
approximately 63% and 18%, respectively, of the total outstanding shares
of the Fund.
Semiannaul Report 11
<PAGE>
SSgA
US Treasury Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
5. Fund Share Transactions (On a Constant Dollar Basis):
<TABLE>
<CAPTION>
(amounts in thousands)
For the Periods Ended
------------------------------------
February 29, 2000 August 31, 1999
----------------- ---------------
<S> <C> <C>
Proceeds from shares sold ........................ 5,353,752 8,297,431
Proceeds from reinvestment of distributions ...... 6,660 9,755
Payments for shares redeemed ..................... (5,440,739) (8,191,939)
---------- ----------
Total net increase (decrease) .................... (80,327) 115,247
========== ==========
</TABLE>
6. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
12 Semiannaul 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
160 Federal Street
Boston, Massachusetts 02110
Semiannaul Report 13
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Yield Plus Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Yield Plus Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements.......................................... 3
Financial Highlights.......................................... 10
Notes to Financial Statements................................. 11
Fund Management and Service Providers......................... 17
"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 Funds
Yield Plus Fund
Statement of Net Assets
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
-------- --------
Long-Term Investments - 91.0%
Asset-Backed Securities - 30.8%
American Express Master Trust
Series 1996-1 Class A
6.035% due 08/15/04 (a) 24,000 24,007
Capital Automobile Receivables
Asset Trust
Series 1999-1 Class A2
5.580% due 06/15/02 7,250 7,164
CIT RV Trust
Series 1996-A Class A
5.400% due 12/15/11 5,963 5,890
Citibank Credit Card Master Trust I
Series 1998-1 Class A
5.750% due 01/15/03 4,000 3,962
Delta Funding Home Equity Loan
Trust
Series 1998-1 Class A2F
6.310% due 08/25/19 10,000 9,933
Distribution Financial Services
Trust
Series 1999-1 Class A4
5.840% due 10/17/11 9,000 8,767
EQCC Home Equity Loan Trust
Series 1999-3 Class A2F
6.887% due 10/25/13 10,000 9,900
First Chicago Master Trust II
Series 1996-Q Class A
6.015% due 04/15/03 (a) 10,900 10,900
First USA Credit Card Master Trust
Series 1998-7 Class A
5.980% due 04/19/04 (a) 10,000 10,003
Ford Credit Auto Owner Trust
Series 1999-D Class A3
6.200% due 04/15/02 16,100 16,045
General Electric Capital Mortgage
Services, Inc.
Series 1997-HE3 Class A3
6.520% due 08/25/13 2,307 2,294
Household Consumer Loan Trust
Series 1996-2 Class A2
6.205% due 08/15/06 (a) 20,720 20,629
IMC Home Equity Loan Trust
Series 1998-3 Class A3
6.160% due 05/20/14 (a) 6,225 6,183
MBNA Master Credit Card Trust
Series 1996-E Class A
6.055% due 10/15/05 (a) 4,485 4,491
Saxon Asset Securities Trust
Series 1998-3 Class AF2
5.750% due 05/25/18 (a) 13,000 12,862
Step Up Bond
Series 1996-2 Class A6
6.054% due 11/25/26 (a) 2,954 2,952
Student Loan Marketing Association
Loan Trust
Series 1996-4 Class A1
6.298% due 07/25/04 (a) 19,310 19,208
Textron Financial Corp. Receivables
Series 1997-A Class A
6.050% due 03/16/09 2,306 2,297
Series 1998-A Class A1
5.820% due 01/15/02 (a) 5,439 5,415
The Money Store Home Equity Trust
Series 1993-D Class A-1
5.675% due 12/15/08 6,947 6,719
Series 1994-A Class A3
5.525% due 09/15/18 (a) 733 729
-------
190,350
-------
Corporate Bonds and Notes - 27.8%
Airtouch Communications, Inc.
7.125% due 07/15/01 5,000 4,996
AT&T Capital Corp.
7.500% due 11/15/00 (MTN) 5,750 5,776
BankBoston Corp.
6.235% due 02/10/01 (a) 5,000 4,986
6.189% due 07/14/03 (MTN)(a)10,000 10,000 9,833
Semiannual Report 3
<PAGE>
SSgA Funds
Yield Plus Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
-------- --------
Boeing Capital Corp.
6.281% due 03/27/02 (MTN)(a) 12,500 12,475
Case Credit Corp.
Series B
6.236% due 08/01/01 (MTN)(a) 5,500 5,494
Caterpillar Financial Services
Corp
Series F
6.176% due 07/09/01 (MTN)(a) 12,000 12,046
Finova Capital Corp.
6.278% due 08/14/01 (MTN)(a) 16,500 16,538
6.625% due 09/15/01 5,000 4,934
Series EMTN
6.390% due 06/18/03 (MTN)(a) 2,000 1,987
Goldman Sachs Group LP
5.316% due 06/02/04 (a) 5,000 4,986
Heller Financial, Inc. Step Up Bond
Series I
6.370% due 10/22/01 (MTN) 20,000 20,133
Household Finance Corp.
6.440% due 06/17/05 (MTN)(a) 23,000 22,894
Lehman Brothers Holdings, Inc.
Series E
6.375% due 03/15/01 (MTN) 8,500 8,415
Main Place Funding, LLC
Series 99-1
6.050% due 05/28/02 (a) 8,000 7,979
Morgan Stanley Dean Witter & Co.
6.355% due 12/17/01 (a) 20,000 20,031
Raytheon Co.
6.300% due 08/15/00 5,000 4,978
Sprint Spectrum LP
Step-Up Bond
Zero Coupon due 08/15/06(a) 4,000 3,747
-------
172,228
-------
Eurodollar Bonds - 12.0%
Allied Irish Banks, Ltd.
6.340% due 10/31/06 (MTN)(a) 15,000 14,948
Denmark Danske Bank
6.452% due 06/04/06 (a) 2,000 1,991
Gracechurch Card Funding PLC
Series 1 Class A
6.065% due 11/15/04 (a) 13,500 13,504
Lehman Brothers Holdings PLC
6.610% due 02/20/01 (MTN)(a) 5,000 5,000
6.421% due 09/03/02 (MTN)(a) 7,300 7,274
6.472% due 11/06/00 (MTN)(a) 2,280 2,286
Lloyds Bank PLC
6.327% due 06/29/49 (a)(e) 4,000 3,371
National Westminster Finance
6.187% due 04/18/05 (a) 20,000 19,650
Nordbanken AB
Series 35
6.621% due 03/29/49 (MTN)(a)(e) 6,250 6,127
-------
74,151
-------
Mortgage-Backed Securities - 20.4%
Federal Home Loan Mortgage Corp. Participation
Certificate
7.000% due 2000 161 161
5.806% due 2018 (a) 2,359 2,320
6.659% due 2020 (a) 5,922 6,007
6.861% due 2020 (a) 11,729 11,868
6.843% due 2023 (a) 741 755
7.211% due 2024 (a) 1,875 1,913
Federal Home Loan Mortgage Corp.
Interest Only Strip
5.867% due 07/01/29 (a) 3,847 3,817
Federal National Mortgage Association
7.057% due 2008 (a) 3,987 4,100
8.000% due 2013 3,739 3,767
6.645% due 2019 (a) 754 756
6.668% due 2019 (a) 4,617 4,643
7.187% due 2020 (a) 3,457 3,540
7.372% due 2022 (a) 10,962 11,289
6.673% due 2023 (a) 3,714 3,800
6.979% due 2025 (a) 1,642 1,695
6.957% due 2030 (a) 9,849 10,132
Government National Mortgage
Association
8.000% due 2012 1,385 1,409
5.500% due 2028 (a) 29,602 28,881
4.500% due 2029 (a) 5,972 5,849
4.500% due 2029 2,554 2,501
4 Semiannual Report
<PAGE>
SSgA Funds
Yield Plus Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
-------- --------
Nationslink Funding Corp.
Series 1999-SL Class A1
5.805% due 02/10/01 2,682 2,658
Sasco Floating Rate Commercial
Mortgage Trust
Series 1993-C3 Class A
6.280% due 11/20/01 (a) 14,359 14,380
-------
126,241
-------
Total Long-Term Investments
(cost $565,680) 562,970
-------
Short-Term Investments - 3.4%
AIM Short Term Investment
Portfolio Class A (b) 20,237 20,237
United States Treasury Bills
5.550% due 05/18/00 (c)(d) 650 642
-------
Total Short-Term Investments
(cost $20,879) 20,879
-------
Total Investments - 94.4%
(identified cost $586,559) 583,849
-------
Repurchase Agreement - 5.5%
Agreement with ABN AMRO of $34,145 acquired
02/29/00 at 5.350% to be repurchased at
$34,150 on 03/01/00, collateralized by:
$34,145 Federal Home Loan Mortgage Corp.
Discount Note,
6.170% due 06/30/00, valued at $34,752 34,145
-------
Total Repurchase Agreement
(identified cost $34,145) 34,145
-------
Total Investments and Repurchase Agreements - 99.9%
(cost $620,704) 617,994
Other Assets and Liabilities,
Net - 0.1% 861
-------
Net Assets - 100.0% 618,855
=======
(a) Adjustable or floating-rate security.
(b) At amortized cost, which approximates market.
(c) Rate noted is yield-to-maturity from date of acquisition.
(d) Held as collateral in connection with open futures contracts
purchased by the Fund.
(e) Perpetual floating rate note.
Abbreviations:
MTN - Medium Term Note
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 5
<PAGE>
SSgA Funds
Yield Plus Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Unrealized
Number Apprecciation
of (Depreciation)
Contracts (000)
--------- ---------------
Futures Contracts
Eurodollar Futures Contracts
Expiration date 06/00 200 $ (308)
----------
Total Unrealized Appreciation
(Depreciation) on Open Futures
Contracts Purchased $ (308)
==========
* $2,500 notional amount represents 1 contract.
Notional Market
Amount Value
(000) (000)
$ $
-------- ----------
Options Written
Eurodollar Futures*
Sept 93.00 Put 750 108
----------
Total Liability for Options Written
(premiums received $157) 108
==========
See the accompanying notes which are an integral part of the financial
statements.
6 Semiannual Report
<PAGE>
SSgA Funds
Yield Plus Fund
Statement of Assets and Liabilities
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Assets
<S> <C>
Investments at market (identified cost $586,559) ........................ $ 583,849
Repurchase agreement (identified cost $34,145) .......................... 34,145
Receivables:
Dividends and interest ............................................... 4,192
Fund shares sold ..................................................... 172
Prepaid expenses ........................................................ 30
---------
Total assets ....................................................... 622,388
Liabilities
Payables:
Dividends ............................................... $2,820
Fund shares redeemed .................................... 272
Accrued fees to affiliates .............................. 309
Other accrued expenses .................................. 17
Daily variation margin on futures contracts ............. 7
Options written, at market value (premiums received $157) .. 108
-------
Total liabilities .................................................. 3,533
---------
Net Assets .............................................................. $ 618,855
=========
Net Assets Consist of:
Accumulated distributions in excess of net investment income ............ $ (108)
Accumulated net realized gain (loss) .................................... (3,010)
Unrealized appreciation (depreciation) on:
Investments .......................................................... (2,710)
Futures contracts .................................................... (308)
Options written ...................................................... 49
Shares of beneficial interest ........................................... 62
Additional paid-in capital .............................................. 624,880
---------
Net Assets .............................................................. $ 618,855
=========
Net Asset Value, offering and redemption price per share:
($618,854,978 divided by 62,418,398 shares of $.001 par value
shares of beneficial interest outstanding) ......................... $ 9.91
=========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 7
<PAGE>
SSgA Funds
Yield Plus Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29, 2000 (Unadited)
Investment Income
Interest ................................................... $ 15,971
Dividends .................................................. 341
---------
Total investment income .................................. 16,312
Expenses
Advisory fees ........................................ $669
Administrative fees .................................. 88
Custodian fees ....................................... 51
Distribution fees .................................... 106
Transfer agent fees .................................. 27
Professional fees .................................... 12
Registration fees .................................... 17
Shareholder servicing fees ........................... 138
Trustees' fees ....................................... 6
Miscellaneous ........................................ 11
-------
Total expenses ........................................... 1,125
---------
Net investment income ......................................... 15,187
---------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments ....................... (113)
Net change in unrealized appreciation (depreciation) on:
Investments ........................................ 843
Futures contracts .................................. (159)
Options written .................................... 49 733
------- ---------
Net realized and unrealized gain (loss) ....................... 620
---------
Net increase (decrease) in net assets from operations ......... $ 15,807
=========
See the accompanying notes which are an integral part of the financial
statements.
8 Semiannual Report
<PAGE>
SSgA Funds
Yield Plus Fund
Statement of Changes in Net Assets
Amounts in thousands
<TABLE>
<CAPTION>
For the Six For the
Months Ended Fiscal Year
February 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
Increase (Decrease) in Net Assets
Operations
<S> <C> <C>
Net investment income ......................................... $ 15,187 $ 33,673
Net realized gain (loss) ...................................... (113) (961)
Net change in unrealized appreciation (depreciation) .......... 733 (2,482)
--------- ---------
Net increase (decrease) in net assets from operations ....... 15,807 30,230
--------- ---------
Distributions
From net investment income .................................... (15,187) (33,700)
--------- ---------
Share Transactions
Net increase (decrease) in net assets from share transactions . 92,741 (143,501)
--------- ---------
Total net increase (decrease) in net assets ...................... 93,361 (146,971)
Net Assets
Beginning of period ........................................... 525,494 672,465
--------- ---------
End of period (including accumulated distributions in excess of
net investment income of $108 and $108, respectively) ....... $ 618,855 $ 525,494
========= =========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 9
<PAGE>
SSgA Funds
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>
Fiscal Years Ended August 31,
-------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
--------- --------- --------- --------- --------- ---------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ........ $ 9.90 $ 9.97 $ 10.01 $ 10.00 $ 10.00 $ 9.99
--------- --------- --------- --------- --------- ---------
Income From Operations
Net investment income (a) ................ .28 .54 .57 .54 .56 .56
Net realized and unrealized gain (loss) .. .01 (.07) (.04) .01 -- .02
--------- --------- --------- --------- --------- ---------
Total income from operations ........... .29 .47 .53 .55 .56 .58
--------- --------- --------- --------- --------- ---------
Distributions
From net investment income ............... (.28) (.54) (.57) (.54) (.56) (.56)
From net realized gain ................... -- -- -- -- -- (.01)
--------- --------- --------- --------- --------- ---------
Total distributions .................... (.28) (.54) (.57) (.54) (.56) (.57)
--------- --------- --------- --------- --------- ---------
Net Asset Value, End of Period .............. $ 9.91 $ 9.90 $ 9.97 $ 10.01 $ 10.00 $ 10.00
========= ========= ========= ========= ========= =========
Total Return (%)(b) ......................... 2.95 4.67 5.40 5.67 5.73 6.01
Ratios/Supplemental Data:
Net Assets, end of period (in ............ 618,855 525,494 672,465 840,055 933,485 1,447,097
thousands)
Ratios to average net assets (%)(c):
Operating expenses ..................... .42 .41 .41 .38 .36 .38
Net investment income .................. 5.68 5.29 5.66 5.42 5.59 5.64
Portfolio turnover rate (%) .............. 40.13 167.12 249.10 92.38 97.05 199.69
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
(a) For the periods subsequent to August 31, 1998, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
10 Semiannual Report
<PAGE>
SSgA Funds
Yield Plus Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund, currently
comprised of 23 investment portfolios which are in operation as of February
29, 2000. 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.
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 Funds
Yield Plus Fund
Notes to Financial Statements, continued
February 29, 2000 (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
August 31, 1999, the Fund had net tax basis capital loss carryovers of
$1,086,432 and $1,891,302, which may be applied against any realized net
taxable gains in each succeeding year or until their expiration dates of
August 31, 2004, and August 31, 2007, respectively, whichever occurs first.
As permitted by tax regulations, the Fund intends to defer a net realized
capital loss of $68,543 incurred from November 1, 1998 to August 31, 1999,
and treat it as arising in fiscal year 2000.
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 29, 2000 are as follows:
Net Unrealized
Unrealized Unrealized Appreciation
Federal Tax Cost Appreciation (Depreciation) (Depreciation)
---------------- ------------ -------------- --------------
$620,703,997 $324,960 $(3,034,794) $(2,709,834)
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, 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.
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. 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.
12 Semiannual Report
<PAGE>
SSgA Funds
Yield Plus Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
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 six months ended February 29, 2000,
purchases and sales of investment securities, excluding US Government and
Agency obligations, short-term investments, futures contracts, and repurchase
agreements aggregated to $258,591,679 and $183,498,200, respectively.
For the six months ended February 29, 2000, purchases and sales of US
Government and Agency obligations, excluding short-term investments and
futures contracts, aggregated to $31,102,892 and $22,758,510, respectively.
Securities Lending: The Investment Company has a securities lending program
whereby each Fund can 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 recorded 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
Semiannual Report 13
<PAGE>
SSgA Funds
Yield Plus Fund
Notes to Financial Statements, continued
February 29, 2000 (U naudited)
recorded 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 29, 2000,
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 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.
In addition, the Fund has entered into arrangements with its Adviser whereby
custody credits realized as a result of uninvested cash balances were used to
reduce a portion of the Fund's expenses. During the period, the Fund's
custodian fees were reduced by $6,182 under these arrangements.
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 for services supplied by the Administrator pursuant to
the Administration Agreement, 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%.
In addition, the Fund reimburses the Administrator for out-of-pocket expenses
and start-up costs for new funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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 Funds
Yield Plus Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
The Fund has service agreements with the Adviser, State Street Brokerage
Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and State
Street Solutions ("Solutions")(collectively the "Agents"), as well as several
unaffiliated service providers. For these services, the Fund pays .025%,
.175%, .175%, .175%, and .175% to the Adviser, SSBSI, RIS, Commercial
Banking, and Solutions, respectively, based upon the average daily value of
all Fund shares held by or for customers of these Agents. For the six months
ended February 29, 2000, the Fund was charged shareholder servicing expenses
of $66,890, $498, $16,082 and $53,974, 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 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 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000 were
as follows:
Advisory fees $233,696
Administration fees 20,078
Custodian fees 12,537
Distribution fees 5,225
Shareholder servicing fees 20,279
Transfer agent fees 16,117
Trustees' fees 664
--------
$308,596
========
Beneficial Interest: As of February 29, 2000, two shareholders (who were also
affiliates of the Investment Company) were record owners of approximately 45%
and 14%, respectively, of the total outstanding shares of the Fund.
Semiannual Report 15
<PAGE>
SSgA Funds
Yield Plus Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
------------------------------------------------
February 29, 2000 August 31, 1999
---------------------- -----------------------
Shares Dollars Shares Dollars
--------- --------- -------- ----------
<S> <C> <C> <C> <C>
Proceeds from shares sold 39,223 $ 388,827 91,330 $ 905,446
--------- --------- -------- ----------
Proceeds from reinvestment of
distributions 1,390 13,773 3,008 29,841
Payments for shares redeemed (31,256) (309,859) (108,708) (1,078,788)
--------- --------- -------- ----------
Total net increase (decrease) 9,357 $ 92,741 (14,370) $ (143,501)
========= ========= ======== ==========
</TABLE>
6. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an Interfund
Credit Facility. This allows the Funds to directly lend to and borrow money
from the SSgA Money Market Fund for temporary purposes in accordance with
certain conditions. The borrowing Funds are charged the average of the
current Repo Rate and the Bank Loan Rate. The Fund did not utilize the
interfund lending program during this period.
16 Semiannual Report
<PAGE>
SSgA Yield Plus Fund
One International Place, 27th Floor
Boston, Massachusettes 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
160 Federal Street
Boston, Massachusetts 02110
Semiannual Report 17
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Bond Market Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Bond Market Fund
Semiannual Report
February 29, 2000 (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
Bond Market Fund
Statement of Net Assets
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- -------
Long-Term Investments - 98.7%
Asset-Backed Securities - 2.6%
Citibank Credit Card Master Trust I
Series 1998-6 Class A
5.850% due 04/10/03 830 819
Series 1999-1 Class A
5.500% due 02/15/06 650 610
Discover Card Master Trust I
Series 1996-3 Class A
6.050% due 08/18/08 200 186
First USA Credit Card Master Trust
Series 1997-6 Class A
6.420% due 03/17/05 1,000 985
Honda Automobile Lease Trust
Series 1999-A Class A5
6.650% due 07/15/05 1,100 1,092
Premier Automobile Trust
Series 1999-2 Class A3
5.490% due 02/10/03 4,000 3,923
--------
7,615
--------
Corporate Bonds and Notes - 27.7%
Alltel Corp.
6.650% due 01/15/08 850 803
Amerada Hess Corp.
7.875% due 10/01/29 250 242
Apache Corp.
7.950% due 04/15/26 500 489
Associates Corp. of North America
6.625% due 05/15/01 500 497
Associates First Capital
7.375% due 08/15/01 1,000 1,004
Bank of America Corp.
9.500% due 04/01/01 1,000 1,023
Burlington Northern Santa Fe
6.700% due 08/01/28 500 436
7.290% due 06/01/36 1,000 948
Burlington Resources, Inc.
7.375% due 03/01/29 750 697
Canadian National Railway Co.
6.900% due 07/15/28 750 662
CIT Group, Inc.
5.800% due 03/26/02 (MTN) 500 484
5.910% due 11/10/03 (MTN) 1,000 949
Citigroup, Inc.
9.500% due 03/01/02 285 296
CMS Panhandle Holding Co.
6.500% due 07/15/09 450 397
Comcast Cable Communications
6.200% due 11/15/08 500 445
Conoco, Inc.
5.900% due 04/15/04 500 472
6.950% due 04/15/29 750 676
Conseco, Inc.
8.750% due 02/09/04 600 603
Continental Airlines Pass Through
Certificates
Series 981A
6.648% due 09/15/17 294 266
Continental Cablevision, Inc.
8.875% due 09/15/05 450 472
8.300% due 05/15/06 850 870
DaimlerChrysler North America
Holding Corp.
Series B
6.630% due 09/21/01 (MTN) 2,000 1,983
Delta Air Lines, Inc.
Series B
7.900% due 12/15/09 2,000 1,956
Series C
6.650% due 03/15/04 (MTN) 500 474
Donaldson, Lufkin & Jenrette, Inc.
6.110% due 05/15/01 (MTN) 500 494
5.875% due 04/01/02 1,000 968
8.000% due 03/01/05 600 602
El Paso Energy Corp.
6.750% due 05/15/09 500 465
Enron Corp.
9.650% due 05/15/01 250 256
9.125% due 04/01/03 1,000 1,038
EOP Operating, L.P.
6.500% due 01/15/04 250 237
Semiannual Report 3
<PAGE>
SSgA
Bond Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- -------
Equitable Life Assurance Society
6.950% due 12/01/05 500 481
7.700% due 12/01/15 500 498
Financing Corp.
9.400% due 02/08/18 500 626
Finova Capital Corp.
7.250% due 11/08/04 2,400 2,367
Firstar Corp.
6.350% due 07/13/01 1,000 988
Fleet Financial Group Inc.
6.875% due 01/15/28 500 433
FMR Corp.
7.570% due 06/15/29 500 482
Ford Motor Co.
7.700% due 05/15/97 450 425
Ford Motor Credit Co.
7.000% due 09/25/01 500 498
6.110% due 12/28/01 (MTN) 900 882
7.500% due 01/15/03 1,000 1,002
5.750% due 02/23/04 1,050 987
7.375% due 10/28/09 3,250 3,143
Gatx Capital Corp.
6.500% due 11/01/00 1,000 995
General Motors Acceptance Corp.
7.125% due 05/01/01 500 499
5.350% due 05/04/01 (MTN) 2,000 1,958
6.450% due 08/27/01 (MTN) 2,750 2,724
6.375% due 09/28/01 (MTN) 900 887
9.625% due 12/15/01 1,810 1,878
5.500% due 01/14/02 500 484
6.000% due 02/01/02 1,000 976
5.950% due 03/14/03 1,000 957
5.750% due 11/10/03 1,000 944
Georgia-Pacific Corp.
7.750% due 11/15/29 500 472
Georgia-Pacific Group
7.250% due 06/01/28 300 269
Goldman Sachs Group, Inc.
Series E
7.800% due 01/28/10 (MTN) 500 493
GTE Florida, Inc.
Series E
6.860% due 02/01/28 140 123
GTE North, Inc.
Series H
5.650% due 11/15/08 500 438
Harrahs Operating Co., Inc.
7.500% due 01/15/09 100 94
Hartford Life, Inc.
7.100% due 06/15/07 1,000 959
International Paper Co.
6.875% due 04/15/29 400 349
J Seagram & Sons, Inc.
5.790% due 04/15/01 2,000 1,965
Kemper Corp.
6.875% due 09/15/03 345 336
Kroger Co.
Series B
6.340% due 06/01/01 1,000 988
Lehman Brothers Holdings
Series E
6.375% due 03/15/01 (MTN) 500 495
6.750% due 09/24/01 (MTN) 1,000 989
6.625% due 04/01/04 500 479
7.750% due 01/15/05 1,200 1,199
Mack-Cali Realty L.P.
7.000% due 03/15/04 1,000 956
Masco Corp.
7.125% due 08/15/13 250 231
6.625% due 04/15/18 250 224
Massachusetts Mutual Life
7.625% due 11/15/23 875 864
Mellon Financial Co.
5.750% due 11/15/03 500 471
Merrill Lynch & Co., Inc.
6.000% due 02/17/09 500 440
Midamerican Funding LLC
6.339% due 03/01/09 400 355
Mirage Resorts, Inc.
7.250% due 10/15/06 600 537
6.750% due 08/01/07 500 432
6.750% due 02/01/08 500 428
Morgan Stanley Dean Witter & Co.
7.125% due 01/15/03 1,000 990
5.625% due 01/20/04 (MTN) 500 468
National City Bank of Cleveland, Ohio
6.350% due 03/15/01 1,000 991
4 Semiannual Report
<PAGE>
SSgA
Bond Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- -------
Nationsbank Corp.
7.250% due 10/15/25 250 228
6.800% due 03/15/28 250 214
New York Life Insurance Co.
6.400% due 12/15/03 1,500 1,443
News America Holdings, Inc.
9.250% due 02/01/13 750 818
News America, Inc.
7.625% due 11/30/28 1,000 913
Niagara Mohawk Power Corp.
Series G
7.750% due 10/01/08 500 495
Northrop-Grumman Corp.
9.375% due 10/15/24 400 409
Paine Webber Group, Inc.
6.375% due 05/15/04 1,000 948
Pennzoil-Quaker State Co.
7.375% due 04/01/29 500 417
Pepsi Bottling Group, Inc.
Series B
7.000% due 03/01/29 500 444
Progressive Corp.
6.625% due 03/01/29 200 168
Rohm & Haas Co.
7.850% due 07/15/29 500 502
Seagram (Joseph) & Sons, Inc.
6.400% due 12/15/03 500 480
6.800% due 12/15/08 350 326
Simon Property Group, Inc.
7.125% due 02/09/09 300 272
Sola International, Inc.
6.875% due 03/15/08 150 129
Sprint Capital Corp.
6.500% due 11/15/01 (MTN) 2,000 1,973
6.875% due 11/15/28 1,500 1,311
Sun Life Canada (US) Capital Trust
8.526% due 05/29/49 (d) 500 463
SunTrust Banks, Inc.
6.125% due 02/15/04 1,300 1,231
Time Warner, Inc.
7.250% due 10/15/17 500 463
Tosco Corp.
8.125% due 02/15/30 600 588
Union Pacific Corp.
7.375% due 09/15/09 1,000 964
6.625% due 02/01/29 500 418
US Bancorp
7.625% due 05/01/05 500 498
Vastar Resources, Inc.
6.500% due 04/01/09 500 464
Westvaco Corp.
8.200% due 01/15/30 800 816
Williams Cos., Inc.
7.625% due 07/15/19 450 429
Zions Institutional Capital Trust A
8.536% due 12/15/26 400 387
--------
81,564
--------
Eurodollar Bonds - 5.2%
Alberta, Province of
4.875% due 10/29/03 500 463
Bank of Tokyo Mitsubishi, Ltd.
8.400% due 04/15/10 550 553
Cable & Wireless Optus, Ltd.
8.125% due 06/15/09 710 699
Chile, Republic of
6.875% due 04/28/09 100 91
Hyder PLC
6.750% due 12/15/04 1,000 950
Korea Development Bank
7.625% due 10/01/02 2,570 2,548
7.125% due 04/22/04 1,060 1,024
Korea, Republic of
8.750% due 04/15/03 1,000 1,024
8.875% due 04/15/08 695 726
Ontario, Province of
7.375% due 01/27/03 1,070 1,074
7.625% due 06/22/04 585 591
Quebec, Province of Canada
5.750% due 02/15/09 4,500 3,953
Telekomunikacja Polska SA
7.125% due 12/10/03 1,000 951
7.750% due 12/10/08 560 528
--------
15,175
--------
Semiannual Report 5
<PAGE>
SSgA
Bond Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- -------
Mortgage-Backed Securities - 47.9%
Bear Stearns Commercial Mortgage
Securities, Inc.
Series 1999-WF2 Class A2
7.080% due 06/15/09 1,900 1,834
COMM
Series 1999-1 Class A2
6.455% due 09/15/08 4,300 3,950
Commercial Mortgage Acceptance Corp.
Series 1999-C1 Class A2
7.030% due 05/15/09 1,050 1,005
DLJ Commercial Mortgage Corp.
Series 1998-CF2 Class A1A
5.880% due 11/12/31 2,130 1,990
Federal Home Loan Mortgage Corp.
7.500% 30 Year TBA (b) 18,405 18,066
Federal Home Loan Mortgage
Corp. Pools
8.500% due 2025 27 28
Federal Home Loan Mortgage
Corp. Participation Certificate
7.000% due 2001 50 50
9.000% due 2004 30 31
9.000% due 2005 213 216
9.000% due 2010 245 253
6.000% due 2011 85 80
8.000% due 2011 61 62
7.000% due 2028 2,903 2,787
7.000% due 2029 2,250 2,158
Federal National Mortgage Association (b)
6.000% 15 Year TBA 8,975 8,421
6.500% 15 Year TBA 1,545 1,485
7.500% 15 Year TBA 1,545 1,547
6.500% 30 Year TBA 23,060 21,536
7.000% 30 Year TBA 5,775 5,534
7.500% 30 Year TBA 11,400 11,179
8.000% 30 Year TBA 8,700 8,708
8.500% 30 Year TBA 1,933 1,973
Federal National Mortgage
Association Pools
6.500% due 2004 80 78
6.000% due 2009 116 110
6.000% due 2011 140 133
5.500% due 2014 154 141
8.000% due 2023 3 3
8.500% due 2024 9 9
7.500% due 2025 65 64
9.000% due 2026 49 51
6.500% due 2027 169 159
8.000% due 2027 3,165 3,172
6.000% due 2029 4,957 4,493
6.500% due 2029 4,910 4,589
8.000% due 2029 625 626
Government National Mortgage
Association (b)
6.000% 30 Year TBA 3,360 3,035
8.000% 30 Year TBA 8,020 8,050
Government National Mortgage
Association Pools
8.000% due 2012 1,040 1,058
10.000% due 2013 14 15
10.000% due 2014 4 4
7.500% due 2022 9 9
7.000% due 2023 1,798 1,736
7.500% due 2023 30 29
6.500% due 2024 29 27
7.500% due 2024 762 752
8.500% due 2025 134 137
9.500% due 2025 84 88
6.000% due 2028 357 322
6.500% due 2028 1,556 1,451
7.000% due 2028 443 425
6.000% due 2029 6,644 6,000
6.500% due 2029 702 654
8.000% due 2099 89 90
6 Semiannual Report
<PAGE>
SSgA
Bond Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- -------
Government National Mortgage
Association I (b)
7.500% 30 Year TBA 1,400 1,374
8.500% 30 Year TBA 6,550 6,694
LB Commercial Conduit Mortgage
Trust
Series 1999-C1 Class A2
6.780% due 04/15/09 2,065 1,950
Nomura Asset Securities Corp.
Series 1998-D6 Class A1B
6.590% due 03/17/28 385 358
--------
140,779
--------
United States Government Agencies - 2.6%
Federal Home Loan Bank
7.310% due 06/16/04 1,000 1,005
6.995% due 04/02/07 300 295
Federal National Mortgage
Association
5.400% due 05/07/01 (MTN) 2,000 1,970
6.560% due 11/26/07 400 375
6.400% due 05/14/09 1,000 924
6.250% due 05/15/29 3,000 2,691
State of Israel, United States
Government Guaranteed Notes
Series 7-B
5.700% due 02/15/03 500 479
--------
7,739
--------
United States Government
Treasuries - 10.3%
United States Treasury Bonds
10.000% due 05/15/10 320 363
12.000% due 08/15/13 2,000 2,658
11.250% due 02/15/15 3,000 4,332
9.875% due 11/15/15 380 504
8.125% due 08/15/19 2,745 3,247
8.125% due 08/15/21 3,455 4,129
7.625% due 11/15/22 635 726
7.125% due 02/15/23 3,600 3,909
5.250% due 02/15/29 535 462
6.125% due 08/15/29 4,085 4,017
United States Treasury Notes
6.500% due 02/28/02 1,225 1,224
3.625% due 07/15/02 2,627 2,603
5.875% due 11/15/05 500 481
6.500% due 02/15/10 215 217
United States Treasury Strips
5.890% due 02/15/10 2,500 1,300
--------
30,172
--------
Yankee Bonds - 2.4%
Apache Finance Canada Corp.
7.750% due 12/15/29 500 483
AT&T Canada, Inc.
12.000% due 08/15/07 500 568
Step Up Bond
Zero Coupon due 11/01/07 (e) 585 497
Banco Santiago SA
7.000% due 07/18/07 200 174
Manitoba, Province of
Series CN
8.750% due 05/15/01 1,000 1,020
Orange PLC
9.000% due 06/01/09 425 434
Petroleum Geo-Services
7.125% due 03/30/28 200 173
8.150% due 07/15/29 100 97
Quebec, Province of
11.000% due 06/15/15 1,000 1,049
Royal Caribbean Cruises, Ltd.
6.750% due 03/15/08 200 181
7.500% due 10/15/27 600 541
Saskatchewan, Province of
6.625% due 07/15/03 1,000 980
Svenska Handelsbanken
8.350% due 07/15/04 500 514
Westpac Banking, Ltd.
9.125% due 08/15/01 500 514
--------
7,225
--------
Total Long-Term Investments
(cost $295,832) 290,269
--------
Semiannual Report 7
<PAGE>
SSgA
Bond Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- -------
Short-Term Investments - 29.9%
Dreyfus Cash Management Plus, Inc.
Money Market Fund (a) 809 809
Federal Home Loan Bank Discount
Notes (a)(c)
5.640% due 03/15/00 52,000 51,886
5.660% due 03/15/00 28,000 27,938
Federated Investors Prime Cash
Obligations Fund (a) 7,250 7,250
--------
Total Short-Term Investments
(identified cost $87,883) 87,883
--------
Total Investments - 128.6%
(cost $383,715) 378,152
Other Assets and Liabilities,
Net - (28.6%) (84,185)
--------
Net Assets - 100.0% 293,967
========
(a) At amortized cost, which approximates market.
(b) Forward commitment.
(c) Rate noted is yield-to-maturity from date of acquisition.
(d) Perpetual floating rate note.
(e) Adjustable or floating rate security.
Abbreviations:
MTN - Medium Term Note
TBA - To Be Announced Security
See the accompanying notes which are an integral part of the financial
statements.
8 Semiannual Report
<PAGE>
SSgA
Bond Market Fund
Statement of Assets and Liabilities
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at market (identified cost $383,715) ........................................ $ 378,152
Receivables:
Dividends and interest ............................................................... 2,982
Investments sold (regular settlement) ................................................ 18,031
Investments sold (delayed settlement) ................................................ 10,871
Fund shares sold ..................................................................... 704
---------
Total assets ...................................................................... 410,740
Liabilities
Payables:
Investments purchased (regular settlement) ............................... $ 7,712
Investments purchased (delayed settlement) ............................... 108,300
Fund shares redeemed ..................................................... 568
Accrued fees to affiliates ............................................... 180
Other accrued expenses ................................................... 13
---------
Total liabilities ................................................................. 116,773
---------
Net Assets .............................................................................. $ 293,967
=========
Net Assets Consist of:
Undistributed net investment income ..................................................... $2,714
Accumulated net realized gain (loss) .................................................... (10,710)
Unrealized appreciation (depreciation) on investments ................................... (5,563)
Shares of beneficial interest ........................................................... 31
Additional paid-in capital .............................................................. 307,495
---------
Net Assets .............................................................................. $ 293,967
=========
Net Asset Value, offering and redemption price per share:
($293,966,701 divided by 31,023,335 shares of $.001 par value
shares of beneficial interest outstanding) $ 9.48
=========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 9
<PAGE>
SSgA
Bond Market Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Interest ............................................................................. $ 8,932
Dividends ............................................................................ 298
---------
Total investment income ........................................................... 9,230
Expenses
Advisory fees ............................................................ $ 425
Administrative fees ...................................................... 45
Custodian fees ........................................................... 69
Distribution fees ........................................................ 41
Transfer agent fees ...................................................... 25
Professional fees ........................................................ 8
Registration fees ........................................................ 23
Shareholder servicing fees ............................................... 50
Trustees' fees ........................................................... 4
Miscellaneous ............................................................ 5
---------
Total expenses .................................................................... 695
---------
Net investment income ................................................................... 8,535
---------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments ................................................. (5,475)
Net change in unrealized appreciation (depreciation) on investments ..................... 1,880
---------
Net realized and unrealized gain (loss) ................................................. (3,595)
---------
Net increase (decrease) in net assets from operations ................................... $ 4,940
=========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
10 Semiannual Report
<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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ..................................................... $ 8,535 $ 12,073
Net realized gain (loss) .................................................. (5,475) (3,422)
Net change in unrealized appreciation (depreciation) ...................... 1,880 (9,931)
--------- ---------
Net increase (decrease) in net assets from operations .................. 4,940 (1,280)
--------- ---------
Distributions
From net investment income ................................................ (9,652) (10,558)
From net realized gain .................................................... (8) (3,345)
--------- ---------
Net decrease in net assets from distributions .......................... (9,660) (13,903)
--------- ---------
Share Transactions
Net increase (decrease) in net assets from share transactions ............. 29,403 94,316
--------- ---------
Total net increase (decrease) in net assets .................................. 24,683 79,133
Net Assets
Beginning of period ....................................................... 269,284 190,151
--------- ---------
End of period (including undistributed net investment income of
$2,714 and $3,831, respectively) ....................................... $ 293,967 $ 269,284
========= =========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 11
<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
statements.
<TABLE>
<CAPTION>
Fiscal Years Ended August 31,
----------------------------------------------------------
2000* 1999 1998 1997 1996**
----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period .......... $ 9.63 $ 10.35 $ 9.97 $ 9.63 $ 10.00
----------- ----------- ----------- ----------- -----------
Income From Operations
Net investment income (a) .................. .29 .54 .55 .53 .27
Net realized and unrealized gain (loss) .... (.11) (.52) .40 .35 (.49)
----------- ----------- ----------- ----------- -----------
Total income from operations ............ .18 .02 .95 .88 (.22)
----------- ----------- ----------- ----------- -----------
Distributions
From net investment income ................. (.33) (.54) (.54) (.54) (.15)
From net realized gain ..................... -- (.20) (.03) -- --
----------- ----------- ----------- ----------- -----------
Total distributions ..................... (.33) (.74) (.57) (.54) (.15)
----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period ................ $ 9.48 $ 9.63 $ 10.35 $ 9.97 $ 9.63
=========== =========== =========== =========== ===========
Total Return (%)(b) ........................... 1.87 .07 9.86 9.47 (2.19)
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) ... 293,967 269,284 190,151 87,670 29,015
Ratios to average net assets (%)(c):
Operating expenses, net (d) ............. .49 .50 .48 .50 .63
Operating expenses, gross (d) ........... .49 .50 .52 .74 .93
Net investment income ................... 6.02 5.50 5.74 6.05 5.66
Portfolio turnover rate (%)(e) ............. 123.49 327.83 300.77 375.72 253.30
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
** For the period February 7, 1996 (commencement of operations) to August 31,
1996.
(a) For the periods subsequent to August 31, 1998, 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 29, 2000 and August 31, 1996 are
annualized.
(d) See Note 4 for current period amounts.
(e) The ratio for the period ended August 31, 1996 is annualized.
12 Semiannual Report
<PAGE>
SSgA
Bond Market Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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.
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 distributed to each fund's shareholders without regard to the income
and capital gains (or losses) of the other funds.
Semiannual Report 13
<PAGE>
SSgA
Bond Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
It is the Fund's intention to qualify as a regulated investment company,
as defined by the Internal Revenue Code of 1986, as amended. This requires
the Fund to distribute all of its taxable income. Therefore, the Fund paid
no federal income taxes and no federal income tax provision was required.
As permitted by tax regulations, the Fund intends to defer a net realized
capital loss of $5,238,860 incurred from November 1, 1998 to August 31,
1999, and treat it as arising in the fiscal year 2000.
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 29, 2000 are as follows:
Net
Unrealized
Unrealized Unrealized Appreciation
Federal Tax Cost Appreciation (Depreciation) (Depreciation)
---------------- ------------ ------------- -------------
$ 383,714,553 $ 358,854 $ (5,921,399) $ (5,562,545)
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, 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. These costs were deferred and are being amortized
over 60 months on a straight-line basis.
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
14 Semiannual Report
<PAGE>
SSgA
Bond Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
commitment transaction involves a risk of loss if the value of the
security to be purchased declines prior to the settlement date or the
other party to the transaction fails to complete the transaction.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and sales of investment securities, excluding US Government and
Agency obligations and short-term investments, aggregated to $86,910,652
and $79,818,927, respectively.
For the six months ended February 29, 2000, purchases and sales of US
Government and Agency obligations, excluding short-term investments,
aggregated to $258,449,625 and $286,983,951, respectively.
Securities Lending: The Investment Company has a securities lending
program whereby each Fund can 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
recorded 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 recorded 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 29, 2000, 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 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $1,566 under these arrangements.
Semiannual Report 15
<PAGE>
SSgA
Bond Market Fund
Notes to Financial Statements, continued
February 29, 2000 (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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses the Administrator
for out-of-pocket expenses and start-up costs for new funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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 service agreements with the Adviser, the Adviser's Retirement
Investment Services Division ("RIS"), the Adviser's Metropolitan Division
of Commercial Banking ("Commercial Banking") and State Street Solutions
("Solutions")(collectively the "Agents"), as well as several unaffiliated
service providers. For these services, the Fund pays .025%, .050%, .050%,
and .100% to the Adviser, RIS, Commercial Banking, and Solutions,
respectively, based upon the average daily value of all Fund shares held
by or for customers of these Agents. For the six months ended February 29,
2000, the Fund was charged shareholder servicing expenses of $26,390, $6,
and $12,794, by the Adviser, Commercial Banking and Solutions. The Fund
did not incur any expenses from RIS during the period.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments that exceed the
maximum amount of allowable reimbursement may be carried forward for two
years following the year in which the expenditure was incurred so long as
the plan is in effect. The Fund's responsibility for any such expenses
carried forward shall terminate at the end of two years following the year
in which the expenditure was incurred. The Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent
to the Distribution Plan's termination or noncontinuance. There were no
carryover expenses as of February 29, 2000.
16 Semiannual Report
<PAGE>
SSgA
Bond Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000
were as follows:
Advisory fees $143,392
Administration fees 7,851
Custodian fees 5,099
Distribution fees 1,676
Shareholder servicing fees 17,014
Transfer agent fees 4,216
Trustees' fees 597
--------
$179,845
========
Beneficial Interest: As of February 29, 2000, one shareholder (who is also
a series of the Investment Company) was a record owner of approximately
16% of the total outstanding shares of the Fund.
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
------------------------------------------
February 29, 2000 August 31, 1999
------------------ -------------------
Shares Dollars Shares Dollars
------ -------- ------ ---------
<S> <C> <C> <C> <C>
Proceeds from shares sold ............................. 5,856 $ 55,964 18,503 $ 184,824
Proceeds from reinvestment of
distributions ...................................... 506 4,804 934 9,418
Payments for shares redeemed .......................... (3,291) (31,365) (9,860) (99,926)
Total net increase (decrease) ......................... 3,071 $ 29,403 9,577 $ 94,316
------ -------- ------ ---------
</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 .09% 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 net assets under the
agreement. The Fund did not have any drawdowns during the period.
Semiannual Report 17
<PAGE>
SSgA
Bond Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
8. Dividends
On March 1, 2000, the Board of Trustees declared a dividend of $.0874 from
net investment income, payable on March 7, 2000 to shareholders of record
on March 2, 2000.
18 Semiannual Report
<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
160 Federal Street
Boston, Massachusetts 02110
Semiannaul Report 19
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
S&P 500 Index Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
S&P 500 Index Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements.......................................... 3
Financial Highlights.......................................... 14
Notes to Financial Statements................................. 15
Fund Management and Service Providers......................... 22
"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 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
-------- --------
Common Stocks - 98.9%
Basic Industries - 3.0%
Air Products & Chemicals, Inc. 55,600 1,432
Alcan Aluminum, Ltd. 54,700 1,805
Alcoa, Inc. 93,500 6,405
Allegheny Technologies, Inc. 23,188 393
B.F. Goodrich Co. 26,700 639
Barrick Gold Corp. 102,300 1,669
Bemis Co., Inc. 13,300 396
Bethlehem Steel Corp. (a) 29,700 169
Boise Cascade Corp. 14,400 429
Champion International Corp. 23,300 1,206
Crown Cork & Seal Co., Inc. 30,300 424
Dow Chemical Co. 54,900 5,957
du Pont (E.I.) de Nemours & Co. 264,141 13,339
Eastman Chemical Co. 18,925 680
Engelhard Corp. 30,525 416
FMC Corp. (a) 8,200 396
Freeport-McMoRan Copper & Gold,
Inc. Class B 41,000 564
Great Lakes Chemical Corp. 14,700 427
Hercules, Inc. 25,700 424
Homestake Mining Co. 64,500 419
Illinois Tool Works, Inc. 75,700 3,913
Inco, Ltd. 47,400 830
International Paper Co. 104,083 3,832
Kimberly-Clark Corp. 136,036 7,031
Mead Corp. 24,800 742
Minnesota Mining &
Manufacturing Co. 102,200 9,006
Monsanto Co. 159,300 6,183
Newmont Mining Corp. 40,567 898
Nucor Corp. 21,100 1,048
Owens-Illinois, Inc. (a) 37,800 522
Phelps Dodge Corp. 21,339 1,006
Placer Dome, Inc. 80,300 703
Potlatch Corp. 6,500 247
PPG Industries, Inc. 45,500 2,247
Praxair, Inc. 38,600 1,303
Reynolds Metals Co. 15,200 965
Rohm & Haas Co. 56,220 2,270
Sealed Air Corp. New (a) 20,643 1,026
Sigma Aldrich Corp. 24,400 580
Temple-Inland, Inc. 13,800 706
Union Carbide Corp. 35,400 1,900
USX-U.S. Steel Group 21,400 467
W.R. Grace & Co. (a) 16,800 169
Westvaco Corp. 24,900 685
Willamette Industries, Inc. 27,100 919
Worthington Industries, Inc. 20,500 272
--------
87,059
--------
Capital Goods - 5.3%
Allied Waste Industries, Inc.(a) 47,700 268
Ball Corp. 7,400 199
Boston Scientific Corp. (a) 109,000 1,989
Briggs & Stratton Corp. 5,100 171
Caterpillar, Inc. 89,700 3,145
Cooper Industries, Inc. 22,900 693
Crane Co. 16,400 326
Cummins Engine Co., Inc. 10,400 346
Deere & Co. 61,200 2,188
Dover Corp. 50,500 1,947
Emerson Electric Co. 109,000 4,966
Fluor Corp. 18,600 529
General Electric Co. 828,100 109,464
Grainger (W.W.), Inc. 23,100 989
Ingersoll-Rand Co. 40,000 1,533
ITT Industries, Inc. 21,700 526
Johnson Controls, Inc. 20,700 1,105
Milacron, Inc. 9,500 132
Millipore Corp. 10,500 561
Molex, Inc. 40,500 2,258
NACCO Industries, Inc. Class A 1,400 61
National Service Industries,
Inc. 10,200 209
Pall Corp. 30,600 604
Parker-Hannifin Corp. 30,350 1,100
Raytheon Co. Class B 81,900 1,515
Timken Co. 13,700 196
TRW, Inc. 29,400 1,411
Tyco International, Ltd. 426,648 16,187
--------
154,618
--------
Semiannual Report 3
<PAGE>
SSgA
S&P 500 Index Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
-------- --------
Consumer Basics - 15.3%
Abbott Laboratories 388,900 12,736
Albertson's, Inc. 107,303 2,629
Allergan, Inc. 32,000 1,610
ALZA Corp. (a) 25,100 921
American Home Products Corp. 329,900 14,351
Amgen, Inc. (a) 258,000 17,576
Archer-Daniels-Midland Co. 149,684 1,506
Bard (C.R.), Inc. 12,700 502
Bausch & Lomb, Inc. 13,800 728
Baxter International, Inc. 73,300 3,995
Becton, Dickinson & Co. 65,900 2,047
Bestfoods 71,100 2,982
Biogen, Inc. (a) 37,400 4,037
Biomet, Inc. 27,700 914
Black & Decker Corp. 21,400 705
Bristol-Myers Squibb Co. 499,700 28,389
Campbell Soup Co. 110,800 3,144
Cardinal Health, Inc. 69,712 2,876
Clorox Co. (The) 60,300 2,438
Coca-Cola Co. (The) 621,900 30,123
Coca-Cola Enterprises, Inc. 108,600 2,539
Colgate-Palmolive Co. 146,100 7,625
Columbia/HCA Healthcare Corp. 142,632 2,755
ConAgra, Inc. 126,100 2,065
Corning, Inc. 68,300 12,840
Costco Wholesale Corp. (a) 110,800 5,512
CVS Corp. 99,500 3,483
Fort James Corp. 53,600 1,008
General Mills, Inc. 79,300 2,612
Gillette Co. (The) 272,800 9,616
Great Atlantic & Pacific
Tea Co., Inc. 8,500 199
HEALTHSOUTH Corp. (a) 102,200 498
Heinz (H.J.) Co. 91,250 2,914
Hershey Foods Corp. 33,800 1,485
Humana, Inc. (a) 41,500 283
Johnson & Johnson 350,400 25,141
Kellogg Co. 106,300 2,691
Kroger Co. (The) (a) 210,600 3,133
Lilly (Eli) & Co. 275,500 16,375
Mallinckrodt, Inc. 17,300 426
Manor Care, Inc. (a) 27,400 238
McKesson HBOC, Inc. 68,151 1,320
Medtronic, Inc. 302,300 14,643
Merck & Co., Inc. 588,400 36,223
Nabisco Group Holdings Corp. 80,100 691
Pactiv Corp. (a) 41,900 348
PE Corp. 52,200 5,507
PepsiCo, Inc. 369,600 11,920
Pfizer, Inc. 974,800 31,315
Pharmacia & Upjohn, Inc. 130,325 6,207
Philip Morris Cos., Inc. 599,500 12,027
Procter & Gamble Co. 331,000 29,128
Quaker Oats Co. 32,500 1,753
Ralston-Purina Group 78,400 2,220
Safeway, Inc. (a) 128,500 4,955
Sara Lee Corp. 227,700 3,416
Schering-Plough Corp. 371,300 12,949
Snap-On Tools Corp. 12,100 264
St. Jude Medical, Inc. (a) 20,850 545
Stanley Works 22,100 508
SYSCO Corp. 85,600 2,809
Tenet Healthcare Corp. (a) 75,300 1,318
Tupperware Corp. 13,700 235
Unilever NV 146,028 6,644
United Healthcare Corp. 42,000 2,147
UST Corp. 42,200 815
Warner-Lambert Co. 216,700 18,541
Watson Pharmaceuticals, Inc. (a) 23,200 928
Wellpoint Health Networks, Inc.
(a) 15,900 1,073
Winn-Dixie Stores, Inc. 36,600 590
Wrigley (Wm.), Jr. Co. 30,400 2,057
--------
450,743
--------
Consumer Durables - 1.4%
AutoZone, Inc. (a) 36,000 884
Best Buy Co. (a) 52,500 2,855
Cooper Tire & Rubber Co. 17,300 187
Dana Corp. 40,165 856
Danaher Corp. 34,400 1,404
Delphi Automotive Systems Corp. 147,941 2,469
Eaton Corp. 17,500 1,311
Ford Motor Co. 305,500 12,716
General Motors Corp. 162,100 12,330
Genuine Parts Co. 43,350 978
Goodyear Tire & Rubber Co. 37,900 860
4 Semiannual Report
<PAGE>
SSgA
S&P 500 Index Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
-------- --------
Harley-Davidson, Inc. 37,700 2,568
Leggett & Platt, Inc. 47,700 802
Maytag Corp. 21,100 558
PACCAR, Inc. 18,990 818
Whirlpool Corp. 18,300 994
--------
42,590
--------
Consumer Non-Durables - 6.0%
Alberto Culver Co. Class B 12,600 269
Anheuser-Busch Cos., Inc. 116,400 7,464
Avon Products, Inc. 61,300 1,659
Bed Bath & Beyond, Inc. (a) 33,900 960
Brown-Forman Distillers, Inc.
Class B 16,600 791
Brunswick Corp. 22,300 394
Circuit City Stores, Inc. 52,500 2,120
Consolidated Stores Corp. (a) 27,242 306
Coors (Adolph) Co. Class B 8,900 390
Dillard's, Inc. Class A 26,500 460
Dollar General Corp. 64,293 1,346
Eastman Kodak Co. 79,400 4,551
Federated Department
Stores, Inc. (a) 53,900 1,977
Fortune Brands, Inc. 40,300 882
Gap, Inc. 214,475 10,362
Hasbro, Inc. 47,200 743
Home Depot, Inc. (The) 579,697 33,514
Ikon Office Solutions, Inc. 35,100 246
International Flavors &
Fragrances, Inc. 25,700 771
JC Penney & Co., Inc. 63,900 1,006
Jostens, Inc. 7,214 174
Kmart Corp. (a) 119,700 1,055
Kohl's Corp. (a) 41,500 3,146
Limited, Inc. (The) 51,868 1,764
Liz Claiborne, Inc. 14,900 558
Longs Drug Stores, Inc. 9,100 169
Lowe's Cos., Inc. 96,300 4,586
Mattel, Inc. 101,887 981
May Department Stores Co. 87,600 2,294
Newell Rubbermaid, Inc. 68,357 1,581
NIKE, Inc. Class B 71,200 2,025
Nordstrom, Inc. 34,000 725
Office Depot, Inc. (a) 90,700 1,105
Pep Boys - Manny, Moe & Jack 10,148 63
Polaroid Corp. 10,700 268
Reebok International, Ltd. (a) 12,900 103
Rite Aid Corp. 64,200 441
Russell Corp. 6,800 94
Seagram Co., Ltd. NPV 108,600 6,380
Sears Roebuck & Co. 98,400 2,712
Springs Industries, Inc. 3,600 128
Staples, Inc. (a) 118,450 3,198
SuperValu, Inc. 33,700 579
Target Corp. 110,300 6,508
TJX Cos., Inc. 77,000 1,227
Toys "R" Us, Inc. (a) 60,000 743
V.F. Corp. 28,800 711
Wal-Mart Stores, Inc. 1,124,100 54,729
Walgreen Co. 256,300 6,616
--------
174,874
--------
Consumer Services - 1.5%
AMR Corp. (a) 36,400 1,925
Carnival Corp. 155,600 4,483
Darden Restaurants, Inc. 31,700 418
Delta Air Lines, Inc. 33,900 1,547
Disney (Walt) Co. 520,586 17,440
Harrah's Entertainment, Inc. (a) 31,300 599
Hilton Hotels Corp. 97,500 683
Marriot International, Inc.
Class A 65,500 1,805
McDonald's Corp. 344,100 10,861
Mirage Resorts, Inc. (a) 48,200 765
Southwest Airlines Co. 132,487 2,442
Tricon Global Restaurants, Inc.
(a) 37,210 990
USAirways Group, Inc. (a) 17,400 325
Wendy's International, Inc. 30,300 477
--------
44,760
--------
Energy - 5.5%
Amerada Hess Corp. 22,000 1,112
Anadarko Petroleum Corp. 30,800 947
Apache Corp. 27,600 1,007
Ashland, Inc. 17,500 545
Atlantic Richfield Co. 82,650 5,868
Baker Hughes, Inc. 86,480 2,238
Semiannual Report 5
<PAGE>
SSgA
S&P 500 Index Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
-------- --------
Burlington Resources, Inc. 54,922 1,517
Chevron Corp. 166,100 12,406
Conoco, Inc. Class B NPV 158,900 3,128
Constellation Energy Group 36,300 1,080
El Paso Energy Corp. 59,900 2,220
Exxon Mobil Corp. NPV 872,105 65,680
Halliburton Co. 111,300 4,250
Kerr-McGee Corp. 24,956 1,117
McDermott International, Inc. 14,000 131
Occidental Petroleum Corp. 93,000 1,494
ONEOK, Inc. 7,700 175
Phillips Petroleum Co. 66,300 2,536
Rowan Cos., Inc. (a) 20,600 518
Royal Dutch Petroleum Co. 540,100 28,355
Schlumberger, Ltd. 137,900 10,187
Sempra Energy 59,011 1,062
Sunoco, Inc. 22,155 547
Texaco, Inc. 140,900 6,684
Tosco Corp. 38,500 1,030
Transocean Sedco Forex, Inc. 50,852 2,005
Union Pacific Resources
Group, Inc. 61,118 546
Unocal Corp. 58,700 1,571
USX-Marathon Group 82,000 1,774
--------
161,730
--------
Finance - 12.1%
Aetna, Inc. 36,302 1,493
AFLAC, Inc. 67,800 2,479
Allstate Corp. 199,888 3,898
American Express Co. 113,000 15,163
American General Corp. 61,087 3,188
American International Group,
Inc. 389,745 34,468
AmSouth Bancorp 95,450 1,384
AON Corp. 62,150 1,301
Associates First Capital Corp.
Class A 183,516 3,647
Bank of America Corp. 430,795 19,843
Bank of New York Co., Inc. 188,300 6,273
Bank One Corp. 286,568 7,397
BB&T Corp. 88,700 2,084
Bear Stearns Cos., Inc. 29,668 1,164
Capital One Financial Corp. 47,900 1,763
Chase Manhattan Corp. 208,328 16,588
Chubb Corp. (The) 46,000 2,263
CIGNA Corp. 47,200 3,484
Cincinnati Financial Corp. 40,000 1,195
Citigroup, Inc. 852,025 44,039
Comerica, Inc. 37,950 1,402
Conseco, Inc. 79,245 1,159
Countrywide Credit Industries,
Inc. 27,900 696
Dun & Bradstreet Corp. 39,500 1,034
Equifax, Inc. 35,600 754
Fannie Mae 259,200 13,738
Federal Home Loan
Mortgage Corp. 176,900 7,386
Fifth Third Bancorp 79,250 4,121
First Union Corp. 246,912 7,284
Firstar Corp. 246,076 4,383
FleetBoston Financial Corp. 230,064 6,269
Franklin Resources, Inc. 66,500 1,808
Golden West Financial Corp. 40,000 1,140
Hartford Financial Services
Group, Inc. (The) 54,700 1,709
Household International Corp. 116,399 3,717
Huntington Bancshares, Inc. 57,016 1,190
Jefferson-Pilot Corp. 25,475 1,326
KeyCorp 108,798 1,843
Lehman Brothers Holdings, Inc. 31,600 2,291
Lincoln National Corp. 48,200 1,341
Loews Corp. 26,000 1,157
Marsh & McLennan Cos., Inc. 67,350 5,211
MBIA, Inc. 24,200 929
MBNA Corp. 201,382 4,581
Mellon Financial Corp. 126,000 3,796
Merrill Lynch & Co., Inc. 93,200 9,553
MGIC Investment Corp. 26,400 987
Morgan (J.P.) & Co., Inc. 44,400 4,928
Morgan Stanley Dean Witter &
Co. 281,212 19,808
National City Corp. 156,700 3,016
Northern Trust Corp. 56,600 3,194
Old Kent Financial Corp. 28,800 754
Paine Webber Group, Inc. 35,300 1,350
Paychex, Inc. 63,050 3,156
PNC Bank Corp. 73,400 2,840
Price (T. Rowe) & Associates,
Inc. 29,400 968
6 Semiannual Report
<PAGE>
SSgA
S&P 500 Index Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
-------- --------
Progressive Corp. 17,700 1,053
Providian Financial Corp. 36,200 2,346
Regions Financial Corp. 54,200 1,098
SAFECO Corp. 31,900 670
Schwab (Charles) Corp. 206,300 8,626
SLM Holding Corp. 39,000 1,221
SouthTrust Corp. 40,600 931
St. Paul Cos., Inc. 54,872 1,228
State Street Corp. 41,500 3,024
Summit Bancorp 42,900 1,027
SunTrust Banks, Inc. 82,400 4,188
Synovus Financial Corp. 73,500 1,204
Torchmark Corp. 32,900 652
U.S. Bancorp 184,317 3,375
Union Planters Corp. 34,600 947
UnumProvident Corp. 57,928 775
Wachovia Corp. 51,400 2,940
Washington Mutual, Inc. 146,498 3,242
Wells Fargo Co. 415,059 13,724
--------
356,204
--------
General Business - 5.4%
American Greetings Corp. Class A 15,700 271
Automatic Data Processing, Inc. 157,100 6,844
Block (H&R) Co., Inc. 23,700 1,040
CBS Corp. (a) 193,076 11,500
Cendant Corp. (a) 184,336 3,283
Clear Channel
Communications, Inc. (a) 85,200 5,676
Comcast Corp. Special Class A 217,300 9,235
Computer Sciences Corp. (a) 41,200 3,247
Deluxe Corp. 18,400 431
Donnelley (R.R.) & Sons Co. 30,900 591
Dow Jones & Co., Inc. 22,400 1,397
Ecolab, Inc. 32,100 907
First Data Corp. 107,400 4,833
Gannett Co., Inc. 70,100 4,570
Harcourt General, Inc. 17,700 610
IMS Health, Inc. 75,900 1,527
Interpublic Group Cos., Inc. 71,300 2,865
Knight-Ridder, Inc. 22,300 1,045
McGraw-Hill, Inc. 51,200 2,605
MediaOne Group, Inc. (a) 155,500 12,207
Meredith Corp. 12,600 361
New York Times Co. Class A 42,200 1,783
Omnicom Group, Inc. 44,700 4,210
Quintiles Transnational
Corp. (a) 27,800 825
SBC Communications, Inc. 858,945 32,640
Service Corp. International 67,200 248
Time Warner, Inc. 324,300 27,728
Times Mirror Co. Class A 14,500 740
Tribune Co. 60,700 2,364
Viacom, Inc. Class B (a) 174,622 9,735
Waste Management, Inc. 158,359 2,375
Young & Rubicam, Inc. 17,900 905
--------
158,598
--------
Shelter - 0.3%
Armstrong World Industries,
Inc. 9,900 188
Centex Corp. 13,600 268
Georgia-Pacific Group 41,600 1,443
Kaufman & Broad Home Corp. 10,400 199
Louisiana Pacific Corp. 26,900 318
Masco Corp. 114,900 2,054
Owens Corning 14,600 212
Pulte Corp. 10,800 182
Sherwin-Williams Co. 41,000 784
Vulcan Materials Co. 24,200 968
Weyerhaeuser Co. 59,700 3,063
--------
9,679
--------
Technology - 34.5%
3Com Corp. (a) 88,125 8,653
Adaptec, Inc. (a) 25,000 1,023
ADC Telecommunications, Inc. (a) 76,600 3,437
Adobe Systems, Inc. 29,600 3,017
Advanced Micro Devices, Inc. (a) 35,900 1,405
America Online, Inc. (a) 563,098 33,223
Analog Devices, Inc. (a) 44,600 7,002
Andrew Corp. (a) 19,068 470
Apple Computer, Inc. (a) 40,500 4,642
Applied Materials, Inc. (a) 95,600 17,483
Autodesk, Inc. 14,000 623
Avery Dennison Corp. 27,600 1,675
BMC Software, Inc. (a) 60,000 2,760
Semiannual Report 7
<PAGE>
SSgA
S&P 500 Index Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
-------- --------
Boeing Co. 238,076 8,779
Cabletron Systems, Inc. (a) 46,900 2,298
Ceridian Corp. (a) 36,000 713
Cisco Systems, Inc. (a) 864,200 114,182
Citrix Systems, Inc. (a) 45,000 4,745
COMPAQ Computer Corp. 432,129 10,749
Computer Associates
International, Inc. 137,162 8,821
Compuware Corp. (a) 94,100 2,082
Comverse Technology, Inc. (a) 19,500 3,828
Conexant Systems, Inc. (a) 50,300 4,942
Dell Computer Corp. (a) 640,600 26,104
Electronic Data Systems Corp. 118,200 7,653
EMC Corp. (a) 256,312 30,501
Gateway, Inc. (a) 81,300 5,589
General Dynamics Corp. 51,500 2,227
Guidant Corp. 78,800 5,309
Hewlett-Packard Co. 256,600 34,513
Honeywell International, Inc. 201,637 9,704
Intel Corp. 843,400 95,304
International Business Machines
Corp. 455,400 46,451
KLA Tencor Corporation (a) 45,200 3,523
Lexmark International Group,
Inc. Class A (a) 32,500 3,876
Lockheed Martin Corp. 95,846 1,671
LSI Logic Corp. (a) 75,400 4,830
Lucent Technologies, Inc. 791,792 47,112
Micron Technology, Inc. (a) 68,000 6,668
Microsoft Corp. (a) 1,302,200 116,303
Motorola, Inc. 178,707 30,470
National Semiconductor Corp. (a) 44,000 3,306
NCR Corp. (a) 23,700 899
Network Appliance, Inc. (a) 37,700 7,116
Nextel Communications, Inc.
Class A (a) 92,400 12,636
Nortel Networks Corp. 337,560 37,638
Northrop Grumman Corp. 16,800 763
Novell, Inc. (a) 84,900 2,807
Oracle Systems Corp. (a) 719,510 53,379
Parametric Technology Corp. (a) 65,300 1,979
PeopleSoft, Inc. (a) 68,600 1,419
PerkinElmer, Inc. 11,100 717
Pitney Bowes, Inc. 68,700 3,401
QUALCOMM, Inc. (a) 178,900 25,482
Rockwell International Corp. 49,700 2,249
Scientific-Atlanta, Inc. 20,300 2,085
Seagate Technology (a) 53,500 2,668
Shared Medical Systems 6,400 249
Silicon Graphics, Inc. (a) 45,700 448
Solectron Corp. (a) 73,600 4,821
Sun Microsystems, Inc. (a) 393,300 37,462
Tandy Corp. 50,900 1,937
Tektronix, Inc. 11,600 673
Tellabs, Inc. (a) 101,300 4,862
Teradyne, Inc. (a) 43,600 3,793
Texas Instruments, Inc. 202,100 33,650
Textron, Inc. 39,000 2,379
Thermo Electron Corp. (a) 36,500 570
Thomas & Betts Corp. 13,800 310
Unisys Corp. (a) 79,000 2,365
United Technologies Corp. 119,900 6,107
Xerox Corp. 167,900 3,642
Xilinx, Inc. (a) 80,700 6,437
Yahoo!, Inc.(a) 133,300 21,287
---------
1,013,896
---------
Transportation - 0.4%
Burlington Northern, Inc. 112,607 2,217
CSX Corp. 52,800 1,172
FedEx Corp. (a) 76,140 2,660
Kansas City Southern
Industries, Inc. 29,100 2,292
Navistar International Corp. (a) 16,350 535
Norfolk Southern Corp. 92,200 1,250
Ryder System, Inc. 15,500 289
Union Pacific Corp. 64,000 2,432
---------
12,847
---------
Utilities - 8.2%
AES Corp. (a) 52,100 4,367
Alltel Corp. 79,100 4,588
Ameren Corp. 33,277 998
American Electric Power Co.,
Inc. 46,900 1,319
AT&T Corp. 807,663 39,929
Bell Atlantic Corp. 391,764 19,172
BellSouth Corp. 475,000 19,356
8 Semiannual Report
<PAGE>
SSgA
S&P 500 Index Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
-------- --------
Carolina Power & Light Co. 38,700 1,151
Central & Southwest Corp. 52,700 886
CenturyTel, Inc. 33,850 1,138
Cinergy Corp. 39,326 841
CMS Energy Corp. 29,000 486
Coastal Corp. 55,900 2,351
Columbia Energy Group 19,900 1,174
Consolidated Edison, Inc. 53,600 1,477
Dominion Resources, Inc. NPV 62,608 2,297
DTE Energy Co. 35,700 1,078
Duke Energy Corp. 91,874 4,456
Eastern Enterprises, Inc. 6,500 376
Edison International 89,200 2,347
Enron Corp. 181,700 12,537
Entergy Corp. 59,800 1,211
FirstEnergy Corp. 56,700 1,060
Florida Progress Corp. 23,800 1,014
FPL Group, Inc. 47,300 1,827
Global Crossing, Ltd. (a) 193,010 8,999
GPU, Inc. 31,100 774
GTE Corp. 245,600 14,490
MCI WorldCom, Inc. (a) 714,683 31,893
New Century Energies, Inc. 28,400 769
Niagara Mohawk Holdings, Inc.(a) 45,300 532
NICOR, Inc. 12,100 368
Northern States Power Co. 37,900 666
Peco Energy Co. 45,200 1,687
Peoples Energy Corp. 7,900 229
PG&E Corp. 100,600 2,075
Pinnacle West Capital Corp. 20,500 566
PPL Corp. 38,300 771
Public Service Enterprise
Group, Inc. 53,100 1,540
Reliant Energy, Inc. NPV 71,710 1,475
Southern Co. 166,900 3,703
Sprint Corp. (Fon Group) 220,400 13,444
Sprint Corp. (PCS Group) (a) 219,300 11,349
Texas Utilities Co. 72,330 2,360
U.S. West, Inc. NPV 126,759 9,205
Unicom Corp. 57,200 2,162
Williams Cos. (The) 109,480 4,577
---------
241,070
---------
Total Common Stocks
(cost $2,242,418) 2,908,668
---------
Principal
Amount
(000)
$
---------
Short-Term Investments - 1.1%
AIM Short Term Investment
Prime Portfolio (b) 21,413 21,413
Federated Investors Prime Cash
Obligations Fund (b) 4,478 4,478
United States Treasury Bill
5.160% due 03/16/00 (b)(c)(d) 5,400 5,388
---------
Total Short-Term Investments
(cost $31,279) 31,279
Total Investments - 100.0%
(identified cost $2,273,697) 2,939,947
Other Assets and Liabilities
Net - 0.0% (294)
---------
Net Assets - 100.0% 2,939,653
=========
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Rate noted is yield-to-maturity from date of acquisition.
(d) Held as collateral in connection with open futures contracts purchased
by the Fund.
Abbreviations:
NPV - No Par Value
NV - Nonvoting
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 9
<PAGE>
SSgA
S&P 500 Index Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Unrealized
Number Apprecciation
of (Depreciation)
Contracts (000)
--------- ---------------
Futures Contracts
S&P 500 Financial Futures
Contracts
expiration date 03/00 115 $ (1,966)
-------------
Total Unrealized Appreciation
(Depreciation) on Open
Futures
Contracts Purchased $ (1,966)
=============
See the accompanying notes which are an integral part of the financial
statements.
10 Semiannual Report
<PAGE>
SSgA
S&P 500 Index Fund
Statement of Assets and Liabilities
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at market (identified cost $2,273,697) ............................. $ 2,939,947
Receivables:
Dividends ................................................................. 3,641
Fund shares sold .......................................................... 3,845
Daily variation margin on futures contracts ............................... 699
Prepaid expenses ............................................................... 64
Short-term investments held as collateral for securities loaned, at market ..... 87,590
----------------
Total assets ......................................................... 3,035,786
Liabilities
Payables:
Fund shares redeemed .......................................... $ 7,796
Accrued fees to affiliates .................................... 747
Payable upon return of securities loaned, at market ................ 87,590
-----------
Total liabilities .................................................... 96,133
----------------
Net Assets ..................................................................... $ 2,939,653
================
Net Assets Consist of:
Undistributed net investment income ............................................ $ 7,881
Accumulated net realized gain (loss) ........................................... 107,104
Unrealized appreciation (depreciation) on:
Investments ............................................................... 666,250
Futures contracts ......................................................... (1,966)
Shares of beneficial interest .................................................. 124
Additional paid-in capital ..................................................... 2,160,260
----------------
Net Assets ..................................................................... $ 2,939,653
================
Net Asset Value, offering and redemption price per share:
($2,939,653,279 divided by 123,638,269 shares of $.001 par value
shares of beneficial interest outstanding) ........................... $ 23.78
================
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 11
<PAGE>
SSgA
S&P 500 Index Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29,2000 (unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Dividends ..................................................................... $ 18,112
Interest ...................................................................... 248
-----------
Total investment income .................................................. 18,360
Expenses
Advisory fees ................................................. $ 1,430
Administrative fees ........................................... 457
Custodian fees ................................................ 251
Distribution fees ............................................. 451
Transfer agent fees ........................................... 134
Professional fees ............................................. 25
Registration fees ............................................. 97
Shareholder servicing fees .................................... 741
Trustees' fees ................................................ 22
Miscellaneous ................................................. 37
-----------
Expenses before reductions .................................... 3,645
Expense reductions ............................................ (1,072)
-----------
Expenses, net ............................................................ 2,573
-----------
Net investment income .............................................................. 15,787
-----------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments ................................................... 108,355
Futures contracts ............................................. 1,830 110,185
-----------
Net change in unrealized appreciation (depreciation) on:
Investments ................................................... (12,134)
Futures contracts ............................................. (1,216) (13,350)
----------- -----------
Net realized and unrealized gain (loss) ............................................ 96,835
-----------
Net increase (decrease) in net assets from operations .............................. $ 112,622
===========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
12 Semiannual Report
<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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ............................................. $ 15,787 $ 30,644
Net realized gain (loss) .......................................... 110,185 165,310
Net change in unrealized appreciation (depreciation) .............. (13,350) 480,768
----------- -----------
Net increase (decrease) in net assets from operations ........ 112,622 676,722
----------- -----------
Distributions
From net investment income ........................................ (16,550) (28,913)
From net realized gain ............................................ (83,817) (211,531)
----------- -----------
Net decrease in net assets from distributions ................ (100,367) (240,444)
----------- -----------
Share Transactions
Net increase (decrease) in net assets from share transactions ..... 253,435 621,772
----------- -----------
Total net increase (decrease) in net assets ............................ 265,690 1,058,050
Net Assets
Beginning of period ............................................... 2,673,963 1,615,913
----------- -----------
End of period (including undistributed net investment income of
$7,881 and $8,644, respectively) ............................. $ 2,939,653 $ 2,673,963
=========== ===========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 13
<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 drived from the financial
statements
<TABLE>
<CAPTION>
Fiscal Years Ended August 31,
------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
------------- ------------- ------------- ------------ ------------ ------------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ........ $ 23.74 $ 19.42 $ 18.96 $ 14.41 $ 12.81 $ 10.89
------------- ------------- ------------- ------------ ------------ ------------
Income From Operations
Net investment income (a) .............. .13 .29 .31 .32 .32 .29
Net realized and unrealized gain (loss) .77 6.74 1.18 5.22 1.98 1.95
------------- ------------- ------------- ------------ ------------ ------------
Total income from operations ...... .90 7.03 1.49 5.54 2.30 2.24
------------- ------------- ------------- ------------ ------------ ------------
Distributions
From net investment income ............. (.14) (.29) (.32) (.32) (.31) (.29)
From net realized gain ................. (.72) (2.42) (.71) (.67) (.39) (.03)
------------- ------------- ------------- ------------ ------------ ------------
Total distributions ............... (.86) (2.71) (1.03) (.99) (.70) (.32)
------------- ------------- ------------- ------------ ------------ ------------
Net Asset Value, End of Period .............. $ 23.78 $ 23.74 $ 19.42 $ 18.96 $ 14.41 $ 12.81
============= ============= ============= ============ ============ ============
Total Return (%)(b) ......................... 4.11 39.52 7.91 40.30 18.46 21.11
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) 2,939,653 2,673,963 1,615,913 1,299,571 704,683 545,200
Ratios to average net assets (%)(c):
Operating expenses, net (d) ....... .18 .18 .17 .16 .18 .19
Operating expenses, gross (d) ..... .25 .28 .27 .26 .28 .29
Net investment income ............. 1.10 1.29 1.50 2.00 2.32 2.76
Portfolio turnover rate (%) ............ 7.28 13.80 26.17 7.54 28.72 38.56
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
(a) For the periods subsequent to August 31, 1998, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts.
14 Semiannual Report
<PAGE>
SSgA
S&P 500 Index Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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.
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 distributed to each fund's shareholders without regard to the income and
capital gains (or losses) of the other funds.
Semiannual Report 15
<PAGE>
SSgA
S&P 500 Index Fund
Notes to Financial Statements, continued
February 29, 2000 (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 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 29, 2000 are as follows:
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
--------------- -------------- -------------- ---------------
$ 2,276,870,451 $ 729,208,320 $ (66,131,527) $ 663,076,793
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.
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.
16 Semiannual Report
<PAGE>
SSgA
S&P 500 Index Fund
Notes to Financial Statements, continued
February 29, 2000 (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.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and sales of investment securities, excluding short-term
investments and futures contracts, aggregated to $368,385,497, and
$205,701,380, respectively.
Securities Lending: The Investment Company has a securities lending program
whereby each Fund can 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 recorded 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 recorded 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 29, 2000,
the value of outstanding securities on loan and the value of collateral
amounted to $85,336,555 and $87,590,121, respectively. The Fund recorded
securities lending income of $95,062 during the period.
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company 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
31, 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
Semiannual Report 17
<PAGE>
SSgA
S&P 500 Index Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
the Adviser to provide custody, shareholder servicing and transfer agent
services to the Fund. These amounts are presented on the accompanying
Statement of Operations.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $11,763 under these arrangements.
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 for services supplied by the Administrator
pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses the Administrator for
out-of-pocket expenses and start-up costs for new funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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 service agreements with the Adviser, the Adviser's Retirement
Investment Services Division ("RIS"), the Adviser's Metropolitan Division
of Commercial Banking ("Commercial Banking") and State Street Solutions
("Solutions")(collectively the "Agents"), as well as several unaffiliated
service providers. For these services, the Fund pays .025%, .050%, .050%
and .100% to the Adviser, RIS, Commercial Banking, and Solutions,
respectively based upon the average daily value of all Fund shares held by
or for customers of these Agents. For the six months ended February 29,
2000, the Fund was charged shareholder servicing expenses of $355,801, and
$72,051, $371, and $93,556, 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
18 Semiannual Report
<PAGE>
SSgA
S&P 500 Index Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
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 29, 2000.
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 $73,028 for the six months ended February 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000
were as follows:
Advisory fees $ 230,331
Administration fees 81,249
Custodian fees 42,670
Distribution fees 9,258
Shareholder servicing fees 362,956
Transfer agent fees 19,080
Trustees' fees 1,278
------------
$ 746,822
============
Beneficial Interest: As of February 29, 2000, one shareholder was a record
owner of approximately 10% of the total outstanding shares of the Fund.
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
--------------------------------------------------------
February 29, 2000 August 31, 1999
-------------------------- --------------------------
Shares Dollars Shares Dollars
----------- ------------ ----------- -----------
<S> <C> <C> <C> <C>
Proceeds from shares sold 31,247 $ 754,238 66,940 $ 1,498,677
----------- ------------ ----------- -----------
Proceeds from reinvestment of
distributions 4,383 96,477 11,888 232,051
Payments for shares redeemed (24,621) (597,280) (49,413) (1,108,956)
----------- ------------ ----------- -----------
Total net increase (decrease) 11,009 $ 253,435 29,415 $ 621,772
=========== ============ =========== ===========
</TABLE>
Semiannual Report 19
<PAGE>
SSgA
S&P 500 Index Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
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 .09% 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 net assets under the
agreement. The Fund did not have any drawdowns during the period.
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
8. Dividends
On March 1, 2000, the Board of Trustees declared a dividend of $.0632 from
net investment income, payable on March 7, 2000 to shareholders of record
on March 2, 2000.
20 Semiannual Report
<PAGE>
SSgA
S&P 500 Index Fund
Matter Submitted to a Vote of Shareholders
February 29, 2000 (Unaudited)
FOLLOWING MATTER WAS BROUGHT TO THE SHAREHOLDERS AS A PROXY VOTE.
The approval of items necessary to convert the SSgA S&P 500 Index Fund into a
Master/Feeder structure will be put to a proxy vote in a shareholders meeting on
April 11, 2000.
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
160 Federal Street
Boston, Massachusetts 02110
22 Semiannual Report
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Active International Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Active International Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements...................................................... 3
Financial Highlights...................................................... 16
Notes to Financial Statements............................................. 17
Fund Management and Service Providers..................................... 24
"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 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------ ------
Common Stocks - 91.2%
Australia - 0.8%
AMP, Ltd. 3,572 33
Brambles Industries, Ltd. 1,126 28
BRL Hardy, Ltd. 2,200 10
Broken Hill Proprietary Co. 8,007 79
Colonial, Ltd. 8,058 31
CSL, Ltd. 1,037 14
CSR, Ltd. 8,146 18
ecorp, Ltd. NPV (a) 2,297 10
Foster's Brewing Group, Ltd. 13,482 35
Futuris Corp., Ltd. 22,026 23
Harvey Norman Holdings, Ltd. NPV 5,200 9
Lang Corp., Ltd. NPV (a) 4,038 20
Lend Lease Corp. 2,300 30
National Australia Bank, Ltd. 6,664 88
News Corp., Ltd. 15,592 228
Publishing Broadcasting, Ltd. 1,100 10
QBE Insurance Group 4,350 20
Rio Tinto Ltd. NPV 1,275 18
Sonic Healthcare, Ltd. NPV 2,200 9
Telstra Corp., Ltd. (a) 7,600 22
Telstra Corp., Ltd. NPV 24,888 117
Westpac Banking Corp. 8,698 56
WMC, Ltd. 9,188 35
-------
943
-------
Austria - 0.2%
Austria Tabak AG 3,360 134
Brau-Union
Goess-Reininghaus-Osterreichische
Brau AG 1,700 71
-------
205
-------
Belgium - 0.5%
Dexia NPV 345 47
Fortis B NPV 11,700 293
Solvay SA NPV 430 30
UCB SA NPV 4,480 154
-------
524
-------
Bermuda - 0.1%
FLAG Telecom Holdings, Ltd. (a) 4,900 133
-------
Denmark - 0.1%
Unidanmark Class A (Regd) 2,110 120
-------
Finland - 4.0%
Kemira Ojy 14,000 88
Nokia Oyj 20,178 4,028
Pohjola Group Insurance Corp.
Series B 2,800 158
Sonera Group Oyj 1,240 96
UPM-Kymmene Oyj 6,400 177
-------
4,547
-------
France - 8.9%
Alcatel Alsthom 880 206
Atos SA (a) 600 101
AXA - UAP 2,620 330
Banque Nationale Paris 8,878 702
Banque Nationale Paris 2002
Warrants (a) 1,742 12
Cap Gemini Sogeti 671 185
Carrefour SA (a) 781 119
Chargeurs International SA 2,900 161
Cie de St. Gobain 1,080 150
Credit Lyonnais NPV (a) 7,200 244
Elf Gabon SA 300 27
France Telecom SA 10,002 1,616
Galeries Lafayette (a) 2,500 434
Groupe Air France (a) 11,350 176
Hachette Filipacchi Medias SA (a) 2,500 205
L'Oreal (Societe) 495 329
Lafarge SA (BR) 2,190 164
Michelin (Cie Gen) Class B (Regd) 3,450 108
Pechiney International Class A 4,079 238
Peugeot SA 2,450 506
Pinault-Printemps-Redoute SA 844 170
Renault (Regie Nationale) 7,355 294
Rhone-Poulenc SA Class A - ADR 4,954 253
Sanofi-Synthelabo SA (a) 5,979 231
Societe Generale 2,850 592
Sommer Allibert 1,400 31
Semiannual Report 3
<PAGE>
SSgA
Active International Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------ ------
Suez Lyonnaise des Eaux SA,
Belgium registered 1,100 184
Suez Lyonnaise des Eaux SA 1,218 201
Thomson Multimedia (a) 3,500 462
Total Fina Elf SA Class B 9,839 1,304
Total Fina Elf SA Class B, Belgium
registered 810 107
Usinor Sacilor 8,862 129
Vivendi 2,048 241
-------
10,212
-------
Germany - 7.7%
Allianz AG (Regd) 2,019 699
AMB Aachener & Muenchener
Beteiligungs AG 2,200 151
BASF AG 8,600 397
Bayer AG 3,500 148
DaimlerChrysler AG 7,593 513
DBV-Winterthur Holding AG NPV (a) 2,700 94
Deutsche Bank AG (Regd) NPV (a) 6,450 547
Deutsche Lufthansa AG 4,518 101
Deutsche Telekom AG NPV (a) 33,846 2,810
Dyckerhoff AG NPV (a) 5,000 144
Karstadt AG NPV (a) 5,000 157
MAN AG NPV 3,000 97
PopNet Internet AG NPV (a) 3,408 212
SAP AG 805 505
Schmalbach Lubeca AG 950 119
Siemens AG NPV 9,100 1,617
Thyssen Krupp AG NPV (a) 10,304 252
Veba AG 5,550 251
-------
8,814
-------
Greece - 0.4%
Aegek SA 1,050 13
Aluminum Co. of Greece SA 960 37
Bank of Piraues 540 12
Commercial Bank of Greece 1,235 82
Credit Bank (Regd) 1,000 72
Hellas Can Packaging SA 660 28
Hellenic Telecommunication
Organization SA - GDR 1,040 31
Intracom SA 1,056 47
Michaniki SA 4,280 47
National Bank of Greece SA 1,100 75
Titan Cement Co. SA 800 38
-------
482
-------
Hong Kong - 1.1%
Bank of East Asia, Ltd. 11,400 26
Cathay Pacific Airways 30,000 42
Cheung Kong Holdings, Ltd. 12,000 161
CLP Holdings, Ltd. 20,000 88
Esprit Holdings, Ltd. 15,407 15
Hang Seng Bank 9,000 81
Hong Kong & Shanghai Hotel (a) 8,500 4
Hong Kong Electric Holding, Ltd. 14,310 44
Hong Kong Telecommunications, Ltd. 56,808 189
Hutchison Whampoa, Ltd. 20,000 314
Jardine Matheson Holdings, Ltd. -
ADR (a) 4,917 17
Johnson Electric Holdings, Ltd. 4,500 29
Shangri-La Asia, Ltd. 8,000 6
Sino Land Co. 21,587 10
Sun Hung Kai Properties, Ltd. 15,000 135
Swire Pacific, Ltd. Class A 6,500 31
Television Broadcast 2,000 16
Wing Lung Bank 4,200 16
Yue Yuen Industrial Holdings 7,000 14
-------
1,238
-------
Ireland - 0.6%
Avonmore Waterford Group PLC 15,900 15
Bank of Ireland 42,001 246
CRH PLC 10,841 188
Fyffes PLC 30,800 101
Independent Newspapers PLC 14,268 150
-------
700
-------
4 Semiannual Report
<PAGE>
SSgA
Active International Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------ ------
Israel - 1.4%
Africa - Israel Investments, Ltd. 125 160
Agis Industries Ltd. 8,745 84
Bank Hapoalim, Ltd. 61,495 182
Bank Leumi Le-Israel 41,500 91
Bezeq Israeli Telecommunication
Corp., Ltd. 30,950 188
ECI Telecom, Ltd. 4,340 143
Elco Holdings, Ltd. 9,030 100
IDB Holding Corp., Ltd. 2,530 93
Israel Chemicals, Ltd. 46,275 54
Koor Industries, Ltd. 620 61
RT-SET, Ltd. (a) 10,000 220
Scitex Corp., Ltd. (a) 3,560 55
Teva Pharmaceutical Industries,
Ltd 4,500 185
-------
1,616
-------
Italy - 2.7%
Assicurazioni Generali SPA 6,688 182
Beni Stabili SPA (a) 12,020 6
Danieli & Co. di Risp 14,000 32
Enel SPA (a) 75,860 299
Ente Nazionale Idrocarburi SPA
(Regd) 110,400 514
Telecom Italia Mobile SPA 30,000 409
Telecom Italia Mobile SPA di Risp 150,800 783
Telecom Italia SPA 113,825 901
Toro Assicurazioni 2000 Warrants
(a) 1,600 5
-------
3,131
-------
Japan - 26.1%
Acom Co., Ltd. 2,900 308
Asahi Bank, Ltd. 33,000 140
Autobacs Seven Co., Ltd. 4,900 118
Azel Corp. 19,000 51
Bank of Tokyo - Mitsubishi, Ltd. 52,000 636
Bank of Yokohama 33,000 118
Benesse Corp. 3,400 681
Canon, Inc. 16,000 665
Casio Computer Co., Ltd. 17,000 169
Chiba Bank, Ltd. 27,000 116
Chugoku Electric Power 7,300 90
Dai Ichi Pharmaceutical Co. 9,000 117
Dainippon Ink and Chemical, Inc. 17,000 60
Daito Trust Construction 14,900 194
Daiwa Bank 81,000 201
Daiwa Industries, Ltd. 6,000 16
Daiwa Securities Group, Inc. 32,000 508
Denki Kagaku Kogyo 43,000 117
Eiden Sakakiya Co., Ltd. 16,000 152
Fanuc Co. 3,800 370
Fuji Bank, Ltd. 37,000 288
Fuji Heavy Industries, Ltd. 23,000 147
Fujitsu, Ltd. 19,000 631
Funai Electric Co., Ltd. 1,300 935
Futaba Industrial 2,000 17
Hikari Tsushin, Inc. 250 475
Hisamitsu Pharmaceutical Co. 10,000 129
Hitachi, Ltd. 41,000 559
Hokkaido Electric Power Co., Inc. 4,600 55
Hokkaido Takushoku Bank, Ltd.
(a)(c) 130,000 0
Honda Motor Co., Ltd. 15,000 491
Inabata & Co. 12,000 56
Industrial Bank of Japan, Ltd. 31,000 242
Internet Initiative Japan, Inc. -
ADR (a) 7,309 765
Ito-Yokado Co., Ltd. 3,000 175
Itochu Fuel Corp. 21,000 59
JGC Corp. (a) 61,000 147
Kamigumi Co., Ltd. 38,000 149
Kansai Electric Power Co., Inc. 8,800 129
Kao Corp. 6,000 159
Kawasho Corp. 15,000 15
Konami Co., Ltd. 2,700 475
Konica Corp. 16,000 72
Kyocera Corp. 4,100 695
Mabuchi Motor Co., Ltd. 900 111
Maeda Corp. 27,000 76
Marubeni Corp. 59,000 240
Matsushita Electric Industrial
Co., Ltd. 22,000 641
Mazda Motor Corp. 20,000 58
Mitsubishi Corp. 52,000 384
Semiannual Report 5
<PAGE>
SSgA
Active International Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------ ------
Mitsubishi Rayon 59,000 125
Morita Corp. 17,000 43
Murata Manufacturing Co., Ltd. 3,000 571
Mycal Corp. 17,000 62
NEC Corp. 22,000 492
Nichia Steel Works 800 3
Nichido Fire & Marine 30,000 121
Nikko Securities Co., Ltd. 17,000 219
Nippon Express Co., Ltd. 24,000 160
Nippon Hodo Co., Ltd. 39,000 162
Nippon Kayaku Co., Ltd. 24,000 105
Nippon Shinpan Co. 64,000 146
Nippon Steel Corp. 53,000 112
Nippon Suisan 47,000 71
Nippon Telegraph & Telephone Corp. 167 2,310
Nissho Corp. 15,000 119
Nittoc Construction Co. 19,000 31
Nomura Securities Co., Ltd. 32,000 903
NTT Mobile Communication Network,
Inc. NPV 11 443
Omron Corp. 3,000 83
Ono Pharmaceutical 8,000 226
Orient Corp. 35,000 129
Ricoh Co., Ltd. 9,000 161
Rohm Co. 1,600 519
Sakura Bank, Ltd. 29,000 165
Sanshin Electronics 11,000 70
Santen Pharmaceutical Co., Ltd. 9,000 155
Sanwa Bank 10,000 92
Sanyo Shinpan Finance Co. 2,000 65
Secom Co. 3,000 269
Seino Transportation 16,000 80
Sekisui House, Ltd. 9,000 67
Sharp Corp. 14,000 293
Showa Denko 97,000 124
Sintokogio 22,000 45
Softbank Corp. 1,200 1,747
Sony Corp. 4,600 1,361
Sumitomo Bank 27,000 319
Sumitomo Realty & Development 96,000 291
Taiyo Yuden Co., Ltd. 7,000 373
Takara Standard Co., Ltd. 19,000 69
Takeda Chemical Industries 7,000 395
Takefuji Corp. 2,200 287
Takuma Co. 16,000 110
TDK Corp. 2,000 191
Toenec Corp. 9,000 31
Tokio Marine & Fire Insurance Co. 12,000 110
Tokyo Electric Power 15,300 334
Tokyo Electron, Ltd. 1,000 152
Toshiba Corp. 39,000 318
Toyo Seikan Kaisha, Ltd. 5,000 65
Toyo Trust & Banking Co., Ltd.
(The) 14,000 40
Toyota Motor Corp. 39,000 1,558
Uniden Corp. 20,000 174
Yamaha Motor Co. 23,000 163
-------
30,031
-------
Luxembourg - 1.1%
Atlantic Richfield Co. 2000
Warrants (a) 16,508 1,165
Carrier 1 International SA (a) 800 125
-------
1,290
-------
Netherlands - 5.1%
ABN Amro Holding NV 39,374 816
Aegon NV 4,405 304
DSM NV (a) 7,292 240
Fortis (NL) NV 60 2
Getronics NV 2,136 179
Heineken NV 1,286 65
Hollandsche Beton Groep NV 9,880 137
ING Groep NV 17,205 871
Koninklijke (Royal) Philips
Electronics NV (a) 3,963 735
Koninklijke Ahold NV 4,828 112
Koninklijke Boskalis Westminster
NV 11,231 251
Koninklijke KPN NV 1,858 237
Koninklijke Luchtvaart
Maatschappij NV (a) 7,614 142
Koninklijke Vopak NV (a) 6,651 157
Royal Dutch Petroleum Co. 5,934 311
STMicroelectronics (a) 5,400 1,073
6 Semiannual Report
<PAGE>
SSgA
Active International Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------ ------
TNT Post Group NV 29 1
Unilever NV 4,553 206
-------
5,839
-------
New Zealand - 0.4%
Telecom Corp. of New Zealand, Ltd.
NPV 118,300 489
-------
Norway - 0.3%
Elkem ASA Series A 13,500 234
SAS Norske ASA Series B 8,356 74
Storebrand ASA Series A (a) 7,600 46
-------
354
-------
Portugal - 0.2%
PT MULTIMEDIA - Servicos de
Telecomunicacoes e Multimedia
SGPS SA (a) 1,700 217
-------
Singapore - 1.8%
City Developments 10,000 41
Cycle & Carriage, Ltd. 21,000 46
DBS Group Holdings, Ltd. (a) 28,350 350
DBS Land 41,000 54
Elec & Eltek International Co.,
Ltd. (a) 5,000 13
Hai Sun Hup Group 39,000 16
Haw Par Brothers International,
Ltd 24,000 41
Keppel Bank 14,000 29
Keppel Bank 2000 Warrants (a) 7,250 1
Keppel Corp. 27,000 60
Marco Polo Developments, Ltd. 25,000 27
Natsteel Electronics, Ltd. 13,000 78
Natsteel, Ltd. 34,000 67
Oversea-Chinese Banking Corp.,
Ltd 25,905 164
Overseas Union Bank 15,074 67
Singapore Airlines, Ltd. (Alien
Market) 37,000 343
Singapore Land 12,000 22
Singapore Press Holdings, Ltd. 7,090 136
Singapore Technologies
Engineering, Ltd. 35,000 43
Singapore Telecommunications, Ltd. 149,000 242
United Industrial Corp., Ltd. 64,000 28
United Overseas Bank, Ltd. 25,344 160
United Overseas Land 71,000 51
Want Want Holdings, Ltd. (a) 38,000 41
-------
2,120
-------
South Africa - 0.4%
Amalgamated Banks of South Africa 7,300 28
Anglo American Platinum Corp.,
Ltd 900 26
AngloGold, Ltd. 300 16
De Beers Centenary Linked Units 2,100 46
Driefontein Consolidated 5,200 24
FirstRand, Ltd. 20,300 25
Impala Platinum Holdings, Ltd. 700 25
Imperial Holdings, Ltd. (a) 2,500 24
Metropolitan Life, Ltd. 18,300 25
Murray & Roberts Holdings, Ltd. 36,000 24
Nedcor, Ltd. 1,400 30
Rembrandt Group, Ltd. 2,900 25
Reunert, Ltd. 25,600 37
Sanlam, Ltd. 27,200 34
Sappi, Ltd. 2,500 21
Sasol NPV 4,600 29
Standard Bank Investment
Corporation, Ltd. 6,100 24
Tongaat-Hulett Group, Ltd. 3,600 21
-------
484
-------
South Korea - 0.7%
Daewoo Corp. 6,420 2
Daewoo Electronics Co. (a) 4,410 2
Daewoo Heavy Industries 5,620 3
Daewoo Securities 1,515 16
Dongwon Securities 1,180 24
Hana Bank 1,950 14
Hanjin Shipping Co. (a) 990 4
Hanvit Bank - GDR (a) 1,800 6
Semiannual Report 7
<PAGE>
SSgA
Active International Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------ ------
Housing & Commercial Bank, Korea 627 11
Kookmin Bank 2,220 25
Koram Bank 2,190 12
Korea Electric Power Corp. 1,900 48
Korea Telecom Corp. - ADR 300 13
Korean Air 1,113 8
L.G. Information & Communication 300 33
LG Chemical, Ltd. 810 21
LG Electronics 1,440 30
LG Insurance Co., Ltd. (a) 5,100 19
Oriental Chemical Industries Co.,
Ltd 1,460 14
Pohang Iron & Steel Co., Ltd. 590 58
Samsung Display Devices Co. 560 16
Samsung Electro-Mechanics Co. 468 28
Samsung Electronics 1,440 326
Samsung Fire & Marine Insurance (a) 722 21
Samsung Heavy Industries (a) 5,460 20
Samsung Securities Co., Ltd. 990 31
Ssangyong Oil Refining Co. 1,180 21
-------
826
-------
Spain - 3.3%
Banco Santander Central Hispano SA 8,100 85
Endesa SA 25,309 536
Hidroelectrica del Cantabrico SA 3,150 50
Iberdrola SA 7,405 93
Repsol SA 27,288 517
Sogecable SA (a) 6,400 413
Telefonica SA (a) 55,363 1,594
Terra Networks SA (a) 2,150 280
Union Electrica Fenosa SA 10,492 218
-------
3,786
-------
Sweden - 1.8%
Electrolux AB Series B 15,688 296
Svenska Handelsbanken AB Series A
(a) 15,674 184
Telefonaktiebolaget LM Ericsson
Series B 16,897 1,619
-------
2,099
-------
Switzerland - 4.7%
ABB, Ltd. (a) 3,230 344
Baloise Holding, Ltd. 210 164
Bobst AG (BR) 50 65
Credit Suisse Group (Regd) 2,639 420
Forbo Holding AG (Regd) 130 54
Helvetia Patria Holding Co. (Regd) 215 148
Jelmoli Holding AG (Regd) 710 183
Nestle SA (Regd) 336 567
Novartis AG (Regd) 656 836
Roche Holdings Genusscheine AG NPV 109 1,176
Schweiz Ruckversicher (Regd) 194 312
SGS Holding (BR)(a) 204 378
UBS AG (Regd) 1,026 250
Vontobel Holding AG 83 149
Zurich Allied AG 703 298
-------
5,344
-------
Thailand - 0.0%
Finance One Public Co., Ltd.
(Alien Market)(a)(c) 31,600 0
-------
United Kingdom - 16.8%
Abbey National PLC 13,200 141
Allied Zurich AG 35,169 296
Anglian Water PLC 14,368 101
Bank of Scotland Governor & Co.
PLC 10,483 90
Barclays Bank PLC 34,314 820
8 Semiannual Report
<PAGE>
SSgA
Active International Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------ ------
BG Group PLC (a) 53,688 236
BP Amoco PLC 12,793 98
Britannic PLC 6,200 72
British Aerospace PLC 8,695 43
British Energy PLC 24,008 92
British Telecom PLC 61,217 1,068
Cable & Wireless PLC 17,763 368
Caradon PLC 58,379 122
CMG PLC 1,400 136
Daily Mail and General Trust Class
A (a) 7,336 133
Diageo PLC 25,423 195
Dicom Group PLC - German
Certificate (a) 20,800 295
Enterprise Oil PLC 20,636 104
FKI Babcock PLC 64,829 278
Glaxo Wellcome PLC 32,631 783
Granada Group PLC 28,518 287
Halifax PLC 29,358 263
Hanson PLC 13,587 87
HSBC Holdings PLC, Hong Kong
Registered 12,800 147
HSBC Holdings PLC 70,844 830
Hyder PLC 33,397 106
Imperial Chemical Industries PLC 45,033 347
Imperial Tobacco Group PLC 11,068 73
Interactive Investor International
PLC (a) 17,624 90
Invensys PLC 37,014 170
Invesco PLC 15,800 180
Jazztel PLC - ADR (a) 1,500 176
LASMO PLC 88,509 132
Lloyds TSB Group PLC 31,661 284
Logica PLC 4,000 172
Marconi PLC 8,779 109
National Westminster Bank PLC 26,651 505
National Westminster Bank PLC (a) 7,500 142
Northern Foods PLC 65,746 96
Norwich Union PLC 21,800 135
Pearson PLC 4,701 158
Premier Farnell PLC 23,400 163
Reuters Group PLC 17,698 389
Severn Trent PLC 25,783 215
Shell Transport & Trading Co. PLC
(Regd) 62,929 434
Signet Group PLC 463,552 370
Slough Estates PLC 30,900 136
SmithKline Beecham PLC 68,184 766
Tarmac PLC (a) 356 3
Taylor Woodrow PLC 133,595 286
Tesco Store Holdings PLC 85,698 234
Thames Water PLC 25,377 274
Tomkins PLC 43,440 121
Unilever PLC 25,628 155
United Utilities PLC 10,909 113
Vodafone AirTouch PLC 864,757 4,839
Yorkshire Water PLC 36,258 150
Zeneca Group PLC 22,479 734
-------
19,342
-------
Total Common Stocks
(cost $82,944) 104,886
-------
Preferred Stocks - 0.8%
Germany - 0.8%
Dyckerhoff AG NPV (a) 2,330 59
M.A.N. AG 6,650 134
ProSieben Media AG NV 2,650 379
RWE AG 11,700 317
Volkswagen AG 3,700 85
-------
974
-------
Italy - 0.0%
Compagnia Assicuratrice Unipol 5,069 9
-------
Total Preferred Stocks
(cost $885) 983
-------
Semiannual Report 9
<PAGE>
SSgA
Active International Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Principal Value
Amount (000)
(000) $
--------- --------
Long-Term Investments - 0.3%
Germany - 0.0%
Deutsche Finance BV (conv.)
1.000% due 05/02/01 (a) DEM 60 53
--------
Italy - 0.1%
Italy, Republic of (conv.)
5.000% due 06/28/01 (a) $ 35 59
--------
Japan - 0.2%
MTI Capital (Cayman), Ltd. (conv.)
0.500% due 10/01/07 (a) JPY 39,000 184
--------
United Kingdom - 0.0%
British Aerospace PLC
7.450% due 11/29/03 (a) GBP 3 4
--------
Total Long-Term Investments
(cost $278) 300
--------
Short-Term Investments - 3.9%
United States - 3.9%
AIM Short-Term Investment Prime
Portfolio Class A (b) $ 3,938 3,938
Federated Investors Prime Cash
Obligations Fund (b) 514 514
--------
Total Short-Term Investments
(cost $4,452) 4,452
--------
Total Investments - 96.2%
(identified cost $88,559) 110,621
Other Assets and Liabilities,
Net - 3.8% 4,399
--------
Net Assets - 100.0% 115,020
========
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) These securities have been valued by the Security Valuation Committee of
the Board of Trustees. It is possible that the estimated value may differ
significantly from the amount that might ultimately be realized.
Abbreviations:
ADR - American Depositary Receipt
BR - Bearer
GDR - Global Depositary Receipt
NPV - No Par Value
NV - Nonvoting
Foreign Currency Abbreviations:
AUD - Australian dollar
DEM - German mark
EUR - Eurodollar
GBP - British pound
JPY - Japanese yen
SEK - Swedish krona
SGD - Singapore dollar
USD - United States dollar
See the accompanying notes which are an intergral part of the financial
statements.
10 Semiannual Report
<PAGE>
SSgA
Active International Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Unrealized
Number Appreciation
of (Depreciation)
Contracts (000)
--------- --------------
Futures Contracts
Euro STOXX 50 Index Futures Contracts
(Europe)
expiration date 03/00 44 $ 195
FTSE-100 Index Futures Contracts (UK)
expiration date 03/00 13 (50)
TOPIX Index Futures Contracts (Japan)
expiration date 03/00 9 57
------------
Total Unrealized Appreciation
(Depreciation) on Open
Futures Contracts Purchased
(ss.) $ 202
============
(ss.) At February 29, 2000, $602 cash was held as collateral in connection with
open futures contracts held by the Fund.
Forward Foreign Currency Exchange Contracts
Unrealized
Contracts to In Exchange Appreciation
Deliver For Settlement (Depreciation)
(000) (000) Date (000)
- -------------- -------------- ---------- --------------
USD 1,865 AUD 2,926 04/06/00 $ (64)
USD 5,138 EUR 4,999 04/06/00 (305)
USD 7,727 GBP 4,735 04/06/00 (253)
USD 1,914 JPY 203,266 04/06/00 (53)
USD 1,473 SEK 12,180 04/06/00 (78)
AUD 622 USD 396 04/06/00 13
EUR 3,915 USD 4,046 04/06/00 261
GBP 8,116 USD 13,031 04/06/00 220
JPY 1,352,099 USD 12,977 04/06/00 598
SGD 2,139 USD 1,292 04/06/00 47
-------------
$ 386
=============
See the accompanying notes which are an intergral part of the financial
statements.
Semiannual Report 11
<PAGE>
SSgA
Active International Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
% of Value
Net (000)
Industry Diversification Assets $
- ------------------------------------------------------- -------- --------
Basic Industries 4.4 5,094
Capital Goods 5.9 6,861
Consumer Basics 7.9 9,051
Consumer Durables 5.7 6,554
Consumer Non-Durables 2.8 3,178
Consumer Services 0.7 781
Energy 4.7 5,374
Finance 17.2 19,790
General Business 5.7 6,579
Miscellaneous 2.4 2,794
Shelter 0.9 1,006
Technology 13.8 15,860
Transportation 0.5 604
Utilities 19.4 22,343
Long-Term Investments 0.3 300
Short-Term Investments 3.9 4,452
-------- --------
Total Investments 96.2 110,621
Other Assets and Liabilities, Net 3.8 4,399
-------- --------
Net Assets 100.0% 115,020
======== ========
Geographic Diversification
- -------------------------------------------------------
Africa 0.4 484
Europe 42.3 48,646
Japan 26.1 30,031
Middle East 1.4 1,616
Pacific Basin 4.9 5,617
United Kingdom 16.8 19,342
Other 0.1 133
Long-Term Investments 0.3 300
Short-Term Investments 3.9 4,452
-------- --------
Total Investments 96.2 110,621
Other Assets and Liabilities, Net 3.8 4,399
-------- --------
Net Assets 100.0% 115,020
======== ========
See the accompanying notes which are an intergral part of the financial
statements.
12 Semiannual Report
<PAGE>
SSgA
Active International Fund
Statement of Assets and Liabilities
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at market (identified cost $88,559) ............................. $ 110,621
Cash ........................................................................ 536
Foreign currency holdings (identified cost $2,439) .......................... 2,412
Unrealized appreciation on forward foreign currency exchange contracts ...... 1,139
Unrealized appreciation on foreign currency exchange spot contracts ......... 4
Receivables:
Dividends and interest ................................................... 114
Investments sold ......................................................... 600
Fund shares sold ......................................................... 2,173
Foreign taxes recoverable ................................................ 73
Daily variation margin on futures contracts .............................. 65
Deferred organization expenses .............................................. 2
Short-term investments held as collateral for securities loaned, at market... 12,497
----------
Total assets .......................................................... 130,236
Liabilities
Payables:
Investments purchased .............................................. $ 1,714
Fund shares redeemed ............................................... 63
Accrued fees to affiliates ......................................... 168
Other accrued expenses ............................................. 21
Unrealized depreciation on forward foreign currency exchange contracts. 753
Payable upon return of securities loaned, at market ................... 12,497
-------
Total liabilities ..................................................... 15,216
---------
Net Assets .................................................................. $ 115,020
=========
Net Assets Consist of:
Accumulated net realized gain (loss) ........................................ $ 4,219
Accumulated distributions in excess of net investment income ................ (630)
Unrealized appreciation (depreciation) on:
Investments .............................................................. 22,062
Futures contracts ........................................................ 202
Foreign currency-related transactions .................................... 324
Shares of beneficial interest ............................................... 10
Additional paid-in capital .................................................. 88,833
---------
Net Assets .................................................................. $ 115,020
=========
Net Asset Value, offering and redemption price per share:
($115,019,942 divided by 9,895,070 shares of $.001 par value
shares of beneficial interest outstanding) ............................ $ 11.62
=========
</TABLE>
See the accompanying notes which are an intergral part of the financial
statements.
Semiannual Report 13
<PAGE>
SSgA
Active International Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Dividends ................................................................ $ 501
Interest ................................................................. 14
Less foreign taxes withheld............................................... (53)
--------
Total investment income................................................ 462
Expenses
Advisory fees ...................................................... $ 412
Administrative fees ................................................ 38
Custodian fees ..................................................... 136
Distribution fees .................................................. 16
Transfer agent fees ................................................ 20
Professional fees .................................................. 13
Registration fees .................................................. 16
Shareholder servicing fees ......................................... 20
Trustees' fees ..................................................... 3
Amortization of deferred organization expenses...................... 3
Miscellaneous ...................................................... 6
-------
Expenses before reductions ......................................... 683
Expense reductions ................................................. (129)
-------
Expenses, net ............................................................ 554
--------
Net investment income (loss) ................................................... (92)
--------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments ........................................................ 7,951
Foreign currency-related transactions .............................. (658) 7,293
Net change in unrealized appreciation (depreciation) on: ------
Investments ........................................................ 6,361
Futures contracts .................................................. 202
Foreign currency-related transactions .............................. 752 7,315
------ --------
Net realized and unrealized gain (loss) ............................... 14,608
--------
Net increase (decrease) in net assets from operations ................. $14,516
========
</TABLE>
See the accompanying notes which are an intergral part of the financial
statements.
14 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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income (loss) .................................. $ (92) $ 1,221
Net realized gain (loss) ...................................... 7,293 1,365
Net change in unrealized appreciation (depreciation) .......... 7,315 20,360
----------------- ---------------
Net increase (decrease) in net assets from operations ...... 14,516 22,946
Distributions
From net investment income .................................... (1,269) (3,396)
From net realized gain ........................................ -- (5,999)
----------------- ---------------
Net decrease in net assets from distributions .............. (1,269) (9,395)
----------------- ---------------
Share Transactions
Net increase (decrease) in net assets from share transactions . 1,857 9,800
----------------- ---------------
Total net increase (decrease) in net assets ...................... 15,104 23,351
Net Assets
Beginning of period ........................................... 99,916 76,565
----------------- ---------------
End of period (including accumulated distributions in excess of
net investment income of $630 and undistributed net investment
income of $731, respectively) .............................. $ 115,020 $ 99,916
================= ===============
</TABLE>
See the accompanying notes which are an intergral part of the financial
statements.
Semiannual Report 15
<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>
Fiscal Years Ended August 31,
-----------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995**
----------- ----------- ----------- ----------- ----------- -----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ...... $ 10.37 $ 9.24 $ 10.85 $ 10.96 $ 10.89 $ 10.00
----------- ----------- ----------- ----------- ----------- -----------
Income From Operations
Net investment income (loss)(a) ........ (.01) .12 .16 .10 .36 .03
Net realized and unrealized gain (loss) 1.39 2.09 (1.13) .03 .28 .86
----------- ----------- ----------- ----------- ----------- -----------
Total income from operations ........ 1.38 2.21 (.97) .13 .64 .89
----------- ----------- ----------- ----------- ----------- -----------
Distributions
From net investment income ............. (.13) (.39) (.15) (.18) (.57) --
From net realized gain ................. -- (.69) (.49) (.06) -- --
----------- ----------- ----------- ----------- ----------- -----------
Total distributions ................. (.13) (1.08) (.64) (.24) (.57) --
----------- ----------- ----------- ----------- ----------- -----------
Net Asset Value, End of Period ............ $ 11.62 $ 10.37 $ 9.24 $ 10.85 $ 10.96 $ 10.89
=========== =========== =========== =========== =========== ===========
Total Return (%)(b) ....................... 13.41 26.88 (9.50) 1.17 6.22 8.90
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) 115,020 99,916 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 1.00 1.79
Operating expenses, gross (d) ....... 1.24 1.37 1.29 1.40 1.47 2.56
Net investment income (loss)(e) ..... (.08) 1.30 1.23 1.12 1.16 1.11
Portfolio turnover rate (%)(f) ......... 30.13 62.02 74.79 48.29 22.02 7.17
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
** For the period March 7, 1995 (commencement of operations) to August 31,
1995.
(a) For the periods subsequent to August 31, 1998, 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 29, 2000 and August 31, 1995 are
annualized.
(d) See Note 4 for current period amounts.
(e) The ratio for the period ended February 29, 2000 is not annualized, as
dividend income is not earned ratably throughout the fiscal year.
(f) The ratio for the period ended August 31, 1995 is annualized.
16 Semiannual Report
<PAGE>
SSgA
Active International Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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.
Money market instruments maturing within 60 days of the valuation date are
valued at amortized cost.
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.
At August 31, 1999, the Fund had a net tax basis capital loss carryover of
$3,074,685, which may be applied against any realized net taxable gains in
each
Semiannual Report 17
<PAGE>
SSgA
Active International Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
succeeding year or until its expiration date of August 31, 2007. As
permitted by tax regulations, the Fund intends to defer a net realized
currency loss of $358,398 incurred from November 1, 1998 to August 31,
1999, and treat it as arising in fiscal year 2000.
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 29, 2000 are as follows:
Net Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
-------------- -------------- -------------- --------------
$ 89,185,917 $ 28,163,140 $ (6,727,884) $ 21,435,256
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. These costs were 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
18 Semiannual Report
<PAGE>
SSgA
Active International Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
the value of assets and liabilities, other than investments in securities,
at fiscal year-end, resulting from changes in the exchange rates.
It is not practical to isolate that portion of the results of operations
of the Fund that arises as a result of changes in exchange rates, from
that portion that arises from changes in market prices of investments
during the year. Such fluctuations are included with the net realized and
unrealized gain or loss from investments. However, for federal income tax
purposes the Fund does isolate the effects of changes in foreign exchange
rates from the fluctuations arising from changes in market prices for
realized gain (or loss) on debt obligations.
Derivatives: To the extent permitted by the investment objectives,
restrictions and policies set forth in the Fund's Prospectus and Statement
of Additional Information, the Fund may participate in various
derivative-based transactions. Derivative securities are instruments or
agreements whose value is derived from an underlying security or index.
They include options, futures, swaps, forwards, structured notes and
stripped securities. These instruments offer unique characteristics and
risks that assist the Fund in meeting its investment strategies.
The Fund typically uses derivatives in three ways: cash equitization,
hedging, and return enhancement. Cash equitization is a technique that may
be used by the Fund through the use of options and futures to earn
"market-like" returns with the Fund's excess and liquidity reserve cash
balances. Hedging is used by the Fund to limit or control risks, such as
adverse movements in exchange rates and interest rates. Return enhancement
can be accomplished through the use of derivatives in the Fund. By
purchasing certain instruments, the Fund may more effectively achieve the
desired portfolio characteristics that assist in meeting the Fund's
investment objectives. Depending on how the derivatives are structured and
utilized, the risks associated with them may vary widely. These risks are
generally categorized as market risk, liquidity risk and counterparty or
credit risk.
Foreign currency exchange contracts: In connection with portfolio
purchases and sales of securities denominated in a foreign currency, the
Fund may enter into foreign currency exchange spot contracts and forward
foreign currency exchange contracts ("contracts"). Contracts are recorded
at market value. Certain risks may arise upon entering into these
contracts from the potential inability of counterparties to meet the terms
of their 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 February 29, 2000
are presented in the accompanying Statement of Net Assets.
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.
Semiannual Report 19
<PAGE>
SSgA
Active International Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Equity swaps: The Fund may enter into equity swap agreements 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 may be 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
may segregate certain short-term investments 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 six months ended February 29, 2000,
purchases and sales of investment securities, excluding short-term
investments and futures contracts, aggregated to $32,226,544 and
$40,269,090, respectively.
Securities Lending: The Investment Company has a securities lending
program whereby each Fund can 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
recorded 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 recorded 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
20 Semiannual Report
<PAGE>
SSgA
Active International Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
to be of good financial standing. As of February 29, 2000, the value of
outstanding securities on loan and the value of collateral amounted to
$11,880,879 and $12,497,478, respectively. The Fund recorded securities
lending income of $26,512 during the period.
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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $866 under these arrangements.
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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses the Administrator
for out-of-pocket expenses and start-up costs for new funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 a Distribution Plan pursuant to Rule 12b-1 (the
"Plan") under the 1940 Act. Under this Plan, the Investment Company is
authorized to make payments to the Distributor, or any Shareholder
Servicing Agent, as defined in the Plan, for providing distribution and
marketing services, for furnishing assistance to investors on an ongoing
basis, and for the reimbursement of direct out-of-pocket expenses incurred
by the Distributor in connection with the distribution and marketing of
shares of the Investment Company and the servicing of investor accounts.
Semiannual Report 21
<PAGE>
SSgA
Active International Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
The Fund has service agreements with the Adviser, State Street Brokerage
Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and
State Street Solutions ("Solutions")(collectively the "Agents"), as well
as several unaffiliated service providers. For these services, the Fund
pays .025%, .175%, .175%, .175% and .175%, to the Adviser, SSBSI, RIS,
Commercial Banking, and Solutions, respectively, based upon the average
daily value of all Fund shares held by or for customers of these Agents.
For the six months ended February 29, 2000, the Fund was charged
shareholder servicing expenses of $10,189, $880, $68, $17 and $4,456, 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 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000
were as follows:
Advisory fees $ 98,259
Administration fees 5,874
Custodian fees 40,297
Distribution fees 3,531
Shareholder servicing fees 11,915
Transfer agent fees 7,053
Trustees' fees 669
----------
$ 167,598
==========
Beneficial Interest: As of February 29, 2000, one shareholder (who is also
a series of the Investment Company) was a record owner of approximately
13% of the total outstanding shares of the Fund.
22 Semiannual Report
<PAGE>
SSgA
Active International Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
--------------------------------------------
February 29, 2000 August 31, 1999
-------------------- --------------------
Shares Dollars Shares Dollars
-------- -------- -------- --------
<S> <C> <C> <C> <C>
Proceeds from shares sold .................. 7,573 $ 83,626 8,857 $ 81,077
Proceeds from reinvestment of
distributions ........................... 56 575 879 7,304
Payments for shares redeemed ............... (7,373) (82,344) (8,387) (78,581)
-------- -------- -------- --------
Total net increase (decrease) .............. 256 $ 1,857 1,349 $ 9,800
======== ======== ======== ========
</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 .09% 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 net assets under the agreement. The Fund did not have any
drawdowns during the period.
7. Interfund Lending Program The Fund and all the affiliated Funds received
from the Securities and Exchange Commission an exemptive order to
establish and operate an Interfund Credit Facility. This allows the Funds
to directly lend to and borrow money from the SSgA Money Market Fund for
temporary purposes in accordance with certain conditions. The borrowing
Funds are charged the average of the current Repo Rate and the Bank Loan
Rate. Miscellaneous Expenses on the Statement of Operations include $4,834
of interest expense paid under the interfund lending program.
Semiannual Report 23
<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
160 Federal Street
Boston, Massachusetts 02110
24 Semiannual Report
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Tax Free Money Market Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Tax Free Money Market Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements........................................................ 3
Financial Highlights........................................................ 15
Notes to Financial Statements............................................... 16
Fund Management and Service Providers....................................... 20
"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 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- ----- --------- --------
<S> <C> <C> <C> <C>
Municipal Bonds - 99.7%
Alabama - 1.6%
Montgomery, Alabama Baptist Medical Center
Special Care Facilities Financing Authority
Revenue, Series A, weekly demand (a) 1,000 3.950 12/01/30 1,000
Montgomery, Alabama Baptist Medical Center
Special Care Facilities Financing Authority
Revenue, Series G, weekly demand (a) 700 3.950 12/01/30 700
University of Alabama Revenue, Series A, weekly
demand 3,800 3.900 10/01/07 3,800
--------
5,500
--------
Alaska - 1.0%
Alaska Industrial Development & Export Authority
Revenue Lot 5, weekly demand 2,100 4.400 07/01/03 2,100
Alaska Industrial Development & Export Authority
Revenue Lot 6, weekly demand 1,420 4.400 07/01/01 1,420
--------
3,520
--------
Arizona - 1.5%
Arizona State Transportation Board Highway
Revenue, Series A 3,750 6.000 07/01/00 3,776
Maricopa County, Arizona Pollution Control
Revenue, Series F, daily demand 200 3.800 05/01/29 200
Phoenix, Arizona Civic Improvement Corp. Water
System Revenue 1,215 6.000 07/01/00 1,224
--------
5,200
--------
Arkansas - 0.9%
Arkansas, State of, Development Financial
Authority Health Care Facilities Revenue,
Series B, weekly demand 3,100 3.850 06/01/12 3,100
--------
California - 0.9%
California Higher Education Loan Authority, Inc.
Student Loan Revenue, Series D-2, semiannual
demand 3,000 1.750 04/01/00 3,000
--------
Colorado - 0.6%
Jefferson County, Colorado School District Number
R-001 General Obligation (a) 2,075 5.250 12/15/00 2,097
--------
Connecticut - 0.7%
Connecticut, State of, Health & Educational
Facilities Authority Revenue, Series T-2,
weekly demand 2,500 3.850 07/01/29 2,500
--------
District of Columbia - 0.6%
District of Columbia Revenue, weekly demand (a) 1,900 3.900 10/01/15 1,900
--------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
Tax Free Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- ----- --------- --------
<S> <C> <C> <C> <C>
Florida - 6.0%
Broward County, Florida Professional Sports
Facilities Tax Revenue, Series SGA38, weekly
demand (a) 5,000 3.950 09/01/21 5,000
Dade County, Florida Industrial Development
Authority Revenue, Series A, weekly demand 450 3.850 01/01/16 450
Dade County, Florida Industrial Development
Authority Revenue, Series B, weekly demand 900 3.850 01/01/16 900
Dade County, Florida Industrial Development
Authority Revenue, Series C, weekly demand (a) 500 3.850 01/01/16 500
Dade County, Florida Industrial Development
Authority Revenue, Series D, weekly demand 100 3.850 01/01/16 100
Jacksonville, Florida Electric Authority Revenue,
Series A 2,065 4.100 10/01/00 2,066
Manatee County, Florida Pollution Control
Revenue, daily demand 1,100 3.850 09/01/24 1,100
North Miami, Florida Health Facilities Authority
Revenue (pre-refunded 08/01/00)(b) 2,405 7.500 09/01/12 2,488
Putnam County, Florida Development Authority
Pollution Control Revenue, Series H-4,
semiannual demand 2,920 3.600 03/15/14 2,920
St. Lucie County, Florida Pollution Control
Revenue, daily demand 4,700 3.850 01/01/26 4,700
--------
20,224
--------
Georgia - 1.5%
Burke County, Georgia Development Authority
Pollution Control Revenue, Series A, weekly
demand (a) 650 3.850 01/01/19 650
Clayton County, Georgia Housing Authority
Multi-family Housing Revenue, Series A, weekly
demand 2,315 3.900 01/01/21 2,315
Clayton County, Georgia Housing Authority
Multi-family Housing Revenue, Series D, weekly
demand 2,215 3.900 01/01/21 2,215
--------
5,180
--------
Illinois - 8.1%
Illinois Development Finance Authority, Economic
Development Revenue, weekly demand 700 4.000 12/01/09 700
Illinois Development Finance Authority Revenue,
weekly demand 5,000 3.850 11/15/11 5,000
Illinois Development Finance Authority Revenue,
weekly demand 8,000 3.850 09/01/15 8,000
Illinois Development Finance Authority Revenue,
weekly demand 1,700 3.850 11/15/24 1,700
Illinois Health Facilities Authority Revenue,
Series B, weekly demand 10,000 3.900 08/01/20 10,000
Illinois, State of, General Obligation 2,000 6.375 08/01/00 2,020
--------
27,420
--------
Indiana - 1.5%
North Harrison, Indiana High School Building
Corp. Revenue (pre-refunded 01/15/01)(b) 5,000 7.300 01/15/13 5,232
--------
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
Tax Free Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- ----- --------- --------
<S> <C> <C> <C> <C>
Iowa - 3.6%
Des Moines, Iowa Commmercial Development Revenue,
Series E, monthly demand 2,700 3.750 04/01/15 2,700
Iowa Finance Authority Hospital Facility Revenue,
Series B, weekly demand (a) 3,300 3.850 07/01/07 3,300
Iowa Finance Authority Hospital Facility Revenue,
Series B, weekly demand (a) 3,800 3.850 01/01/28 3,800
Iowa Higher Education Loan Authority Revenue,
weekly demand (a) 2,400 3.950 12/01/15 2,400
--------
12,200
--------
Kentucky - 6.0%
Kentucky Economic Development Finance Authority
Pooled Hospital Loan Revenue, weekly demand 13,970 4.000 08/01/18 13,970
Lexington-Fayette, Kentucky Urban County Airport
Corp. Revenue, Series A, daily demand (a) 1,200 3.950 07/01/28 1,200
Lexington-Fayette, Kentucky Urban County Airport
Corp. Revenue, Series C, daily demand (a) 3,000 3.950 07/01/13 3,000
Lexington-Fayette, Kentucky Urban County
Government Public Facilities Corp. Mortgage
Revenue 2,000 4.375 02/01/01 2,004
--------
20,174
--------
Louisiana - 0.2%
Ascension Parish, Louisiana Pollution Control
Revenue, weekly demand 700 3.875 12/01/09 700
--------
Maine - 0.7%
Maine Regional Waste System, Inc. Solid Waste
Resource Recovery Revenue, Series M, weekly
demand 2,500 4.000 07/01/04 2,500
--------
Maryland - 4.4%
Maryland, State of, Health & Higher Educational
Facilities Authority Revenue, Series A, weekly
demand 4,000 3.850 04/01/35 4,000
Maryland, State of, Stadium Authority Sports
Facilities Lease Revenue, weekly demand 11,000 3.950 12/15/19 11,000
--------
15,000
--------
Massachusetts - 3.7%
Massachusetts, State of, General Obligation,
Series A 1,000 5.000 08/01/00 1,004
Massachusetts, State of, General Obligation,
Series C (a) 1,000 6.900 06/01/00 1,007
Massachusetts, State of, Health & Educational
Facilities Authority Revenue, Series D, weekly
demand (a) 1,000 3.800 10/01/27 1,000
Massachusetts, State of, Health & Educational
Facilites Authority Revenue, Series G, daily
demand 900 3.650 07/01/39 900
Massachusetts, State of, Health & Educational
Facilities Authority Revenue, Series G-1,
weekly demand (a) 600 3.650 01/01/19 600
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
Tax Free Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (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 P-1,
weekly demand 8,000 3.800 07/01/27 8,000
--------
12,511
--------
Michigan - 2.3%
Delta County, Michigan Economic Development Corp.
Environmental Improvement Revenue, Series D,
daily demand 1,500 3.800 12/01/23 1,500
Delta County, Michigan Economic Development Corp.
Environmental Improvement Revenue, Series F,
daily demand 1,500 3.800 12/01/13 1,500
Michigan Municipal Bond Authority Revenue, Series
B-2 2,000 4.250 08/25/00 2,006
Michigan, State of, Building Authority Revenue,
Series II (pre-refunded 09/01/00)(b) 1,880 7.250 09/01/00 1,880
Royal Oak, Michigan Hospital Finance Authority
Revenue, Series L, daily demand 1,000 3.800 01/01/27 1,000
--------
7,886
--------
Missouri - 4.3%
Kansas City, Missouri Industrial Development
Authority Multi-family Housing Revenue, monthly
demand 2,220 3.750 12/01/15 2,220
Missouri, State of, Health & Educational
Facilities Authority Revenue, Series A, weekly
demand 1,800 3.850 09/01/10 1,800
Missouri, State of, Health & Educational
Facilities Authority Revenue, Series A, weekly
demand 1,000 3.850 12/01/19 1,000
Missouri, State of, Health & Educational
Facilities Authority Revenue, Series B, weekly
demand 1,100 3.850 06/01/14 1,100
Missouri, State of, Health & Educational
Facilities Authority Revenue, Series C, weekly
demand 3,200 3.850 06/01/19 3,200
Missouri, State of, Health & Educational
Facilities Authority Revenue, Series C, weekly
demand 1,100 3.850 12/01/19 1,100
Missouri, State of, Health & Educational
Facilities Authority Revenue, Series D, weekly
demand 4,100 3.850 06/01/19 4,100
--------
14,520
--------
Nevada - 3.2%
Nevada Housing Division Revenue, weekly demand 1,700 3.950 10/01/27 1,700
Nevada Housing Division Revenue, Series A, weekly
demand 1,140 3.950 10/01/30 1,140
Nevada Housing Division Revenue, Series C, weekly
demand 1,080 3.950 10/01/30 1,080
Nevada Housing Division Revenue, Series E, weekly
demand 400 3.950 10/01/30 400
Nevada Housing Division Revenue, Series K, weekly
demand 3,220 3.950 04/01/31 3,220
Nevada Housing Division Revenue, Series M, weekly
demand 3,310 3.950 04/01/31 3,310
--------
10,850
--------
</TABLE>
6 Semiannual Report
<PAGE>
SSgA
Tax Free Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- ----- --------- --------
<S> <C> <C> <C> <C>
New Hampshire - 1.5%
New Hampshire Municipal Bond Bank Revenue, Series
C (a) 4,280 5.625 08/15/00 4,310
New Hampshire, State of, Business Finance
Authority Resource Recovery Revenue, Series A,
weekly demand 300 3.850 01/01/18 300
New Hampshire, State of, Higher Educational &
Health Facilites Authority Revenue, Series A,
weekly demand (a) 600 3.950 12/01/25 600
--------
5,210
--------
New Jersey - 0.3%
New Jersey Economic Development Authority
Pollution Control Revenue, Series A, weekly
demand (a) 1,000 3.600 03/01/12 1,000
--------
New Mexico - 1.6%
New Mexico, State of, Tax & Revenue Anticipation
Notes 5,500 4.500 06/30/00 5,510
--------
New York - 9.1%
New York, New York General Obligation, Series
A-9, weekly demand 2,550 3.750 08/01/18 2,550
New York, New York General Obligation, Series B,
weekly demand 1,300 3.750 08/15/24 1,300
New York, New York General Obligation, Series D,
weekly demand (a) 2,600 3.800 02/01/21 2,600
New York, New York General Obligation, Sub-Series
J2, weekly demand 7,000 3.800 02/15/16 7,000
New York, New York General Obligation, Sub-Series
J3, weekly demand 5,000 3.800 02/15/16 5,000
New York, New York Municipal Trust, Series SGB
36, weekly demand 3,600 3.900 06/01/22 3,600
New York, New York Transitional Finance Authority
Revenue, Series A-2, weekly demand 3,100 3.750 11/15/22 3,100
New York, State of, Energy Research & Development
Authority Pollution Control Revenue, Series B,
weekly demand (a) 5,715 3.800 08/01/32 5,715
--------
30,865
--------
North Carolina - 0.9%
Charlotte, North Carolina Airport Revenue, Series
A, weekly demand (a) 800 3.850 07/01/16 800
University of North Carolina School of Medicine
Ambulatory Care Clinic Revenue, weekly demand 2,100 3.950 07/01/12 2,100
--------
2,900
--------
Ohio - 6.5%
Clermont County, Ohio Hospital Facilities
Revenue, Series A, weekly demand 400 3.850 12/01/21 400
Clermont County, Ohio Hospital Facilities
Revenue, Series B, weekly demand 880 4.000 09/01/21 880
Cuyahoga County, Ohio Hospital Revenue, Series A,
weekly demand 5,300 3.900 01/01/24 5,300
Franklin County, Ohio Hospital Revenue, weekly
demand 9,100 3.950 06/01/16 9,100
Ohio, State of, Building Authority Revenue,
Series B 1,000 4.500 09/01/00 1,002
Ohio, State of, Public Facilities Commission
Revenue, Series II-A 5,500 4.500 12/01/00 5,519
--------
22,201
--------
</TABLE>
Semiannual Report 7
<PAGE>
SSgA
Tax Free Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- ----- --------- --------
<S> <C> <C> <C> <C>
Oklahoma - 1.5%
Muskogee, Oklahoma Industrial Trust Pollution
Control Revenue, Series A, weekly demand 5,000 4.000 01/01/25 5,000
--------
Oregon - 0.8%
Washington County, Oregon School District Number
48J General Obligation 2,670 4.500 08/01/00 2,674
--------
Pennsylvania - 4.3%
Dauphin County, Pennsylvania General Obligation,
Series B, weekly demand 9,500 3.950 10/01/27 9,500
Geisinger Authority Pennsylvania Health System
Revenue, Series B, daily demand 2,700 3.800 08/15/28 2,700
Pennsylvania, State of, Higher Education
Assistance Agency Student Loan Revenue, Series
A, semiannual demand 1,000 4.625 12/01/00 1,003
Philadelphia, Pennsylvania Hospitals & Higher
Education Facilities Authority Hospital
Revenue, daily demand 1,400 3.800 03/01/27 1,400
--------
14,603
--------
Rhode Island - 0.4%
Rhode Island, State of, Public Buildings
Authority Revenue, Series A, (pre-refunded
02/01/01)(a)(b) 1,200 6.000 02/01/11 1,219
--------
South Carolina - 1.3%
Florence County, South Carolina Public Facilities
Corp. Participation Certificate (pre-refunded
03/01/00)(a)(b) 1,000 7.600 03/01/10 1,010
Piedmont, South Carolina Municipal Power Agency
Electric Revenue, Series C, weekly demand (a) 500 3.900 01/01/19 500
York County, South Carolina Pollution Control
Revenue, semiannual demand 3,000 3.000 09/15/14 3,000
--------
4,510
--------
Tennessee - 2.8%
Knox County, Tennessee Health Education & Housing
Facilities Board Hospital Facilities Revenue,
Series B, weekly demand 2,700 4.000 09/01/14 2,700
Memphis, Tennesee General Obligation, Series B,
weekly demand 500 4.000 08/01/02 500
Shelby County, Tennessee General Obligation,
Series A, weekly demand 6,300 3.850 03/01/08 6,300
--------
9,500
--------
Texas - 8.4%
Brownsville, Texas Utility System Revenue (a) 1,500 6.500 09/01/17 1,547
Harris County, Texas General Obligation, Series A 500 6.000 08/15/00 505
Harris County, Texas General Obligation, Series
H, weekly demand 1,500 3.850 08/01/20 1,500
Harris County, Texas Health Facilities
Development Corp. Hospital Revenue, daily demand 700 3.800 12/01/26 700
Lower Neches Valley, Texas Authority Revenue,
semiannual demand 1,000 3.950 02/15/17 1,000
</TABLE>
8 Semiannual Report
<PAGE>
SSgA
Tax Free Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- ----- --------- --------
<S> <C> <C> <C> <C>
Lubbock, Texas Independent School District
General Obligation (pre-refunded 08/15/00)(b) 1,000 6.000 08/15/06 1,008
North Texas Municipal Water District Regulated
Wastewater Revenue (pre-refunded 06/01/00)(a)(b) 2,915 7.050 06/01/02 2,940
San Antonio, Texas Electric & Gas Revenue 2,500 6.375 02/01/01 2,551
San Antonio, Texas Water Revenue, Series SGA 42,
weekly demand 4,115 3.950 05/15/26 4,115
Texas A&M University Revenue, weekly demand (a) 4,130 3.950 05/15/16 4,130
Texas, State of, Tax & Revenue Anticipation
Notes, Series A 8,500 4.500 08/31/00 8,533
--------
28,529
--------
Utah - 2.2%
Intermountain Power Agency Utah Power Supply
Revenue, Series E, semiannual demand (a) 2,000 3.125 07/01/14 2,000
Salt Lake City, Utah Revenue, Series A, weekly
demand 5,450 3.850 01/01/20 5,450
--------
7,450
--------
Vermont - 1.4%
Vermont Educational & Health Buildings Financing
Agency Revenue, Series D, weekly demand (a) 600 3.950 12/01/25 600
Vermont Educational & Health Buildings Financing
Agency Revenue, Series E, weekly demand (a) 1,900 3.950 12/01/25 1,900
Vermont Educational & Health Buildings Financing
Agency Revenue, Series F, weekly demand (a) 2,300 3.950 12/01/25 2,300
--------
4,800
--------
Virginia - 0.2%
Lynchburg, Virginia Industrial Development
Authority Hospital Facilities Revenue, Series
F, weekly demand (a) 700 3.950 12/01/25 700
--------
Washington - 1.2%
Kent, Washington General Obligation, Series SGA
27, weekly demand (a) 1,200 3.950 12/01/16 1,200
King County, Washington General Obligation,
Series A 1,000 6.800 12/01/00 1,020
Port of Kalama, Washington Public Corporation
Port, weekly demand 830 3.900 01/01/04 830
Washington, State of, General Obligation, Series
B (pre-refunded 08/01/00)(b) 1,000 6.750 08/01/02 1,011
--------
4,061
--------
West Virginia - 0.3%
West Virginia, State of, Hospital Finance
Authority Revenue, Series A, weekly demand (a) 600 3.950 12/01/25 600
--------
</TABLE>
Semiannual Report 9
<PAGE>
SSgA
Tax Free Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity* $
--------- ----- --------- --------
<S> <C> <C> <C> <C>
Wisconsin - 1.7%
University of Wisconsin Hospitals & Clinics
Authority Revenue, weekly demand (a) 5,500 3.850 04/01/26 5,500
--------
Total Investments - 99.7%
(amortized cost $338,046)(c) 338,046
--------
Other Assets and Liabilities, Net - 0.3% 948
--------
Net Assets - 100.0% 338,994
========
</TABLE>
(a) Bond is insured by AMBAC, FGIC, or MBIA/BIG.
(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 on 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.
See the accompanying notes which are an integral part of the financial
statements.
10 Semiannual Report
<PAGE>
SSgA
Tax Free Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Quality Ratings as a % of Value
VMIG1, SP-1+ or equivalent * ...... 100%
Economic Sector Emphasis as a % of Value
Healthcare Revenue ................ 25%
General Obligation ................ 16
Industrial Revenue/Pollution
Control Revenue ................. 13
Housing Revenue ................... 10
Education Revenue ................. 9
Electricity & Power Revenue ....... 6
Pre-refunded ...................... 5
Stadium Revenue ................... 5
Water & Sewer ..................... 2
Bond Bank ......................... 2
Student Loan Revenue .............. 2
Transportation .................... 2
Utility Revenue ................... 1
Airport Revenue ................... 1
Highway Revenue ................... 1
----
100%
====
* VMIG1: The highest short-term municipal note credit rating given by
Moody's Investors Services to notes with a demand feature which
are of the "best quality."
SP-1+: The highest short-term municipal note credit rating given by
Standard & Poor's Corporation to notes with a "very strong or
strong capacity to pay principal and interest."
See the accompanying notes which 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 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at amortized cost which approximates market ........................... $ 338,046
Interest receivable ............................................................... 1,914
Deferred organization expenses .................................................... 1
Prepaid expenses .................................................................. 20
---------
Total assets ................................................................ 339,981
Liabilities
Payables:
Dividends ....................................................... $ 788
Accrued fees to affiliates ...................................... 199
---------
Total liabilities ........................................................... 987
---------
Net Assets ........................................................................ $ 338,994
=========
Net Assets Consist of:
Accumulated net realized gain (loss) .............................................. $ (1)
Shares of beneficial interest ..................................................... 339
Additional paid-in capital ........................................................ 338,656
---------
Net Assets ........................................................................ $ 338,994
=========
Net Asset Value, offering and redemption price per share:
($338,994,345 divided by 339,000,464 shares of $.001 par value
shares of beneficial interest outstanding) .................................. $ 1.00
=========
</TABLE>
See the accompanying notes which 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 29, 2000 (Unaudited)
Investment Income
Interest .......................................................... $ 5,101
Expenses
Advisory fees ....................................... $ 356
Administrative fees ................................. 47
Custodian fees ...................................... 26
Distribution fees ................................... 222
Transfer agent fees ................................. 4
Professional fees ................................... 7
Registration fees ................................... 5
Shareholder servicing fees .......................... 121
Trustees' fees ...................................... 4
Amortization of deferred organization expenses ...... 2
Miscellaneous ....................................... 7
-------
Total expenses ................................................. 801
-------
Net investment income ................................................ 4,300
-------
Net Realized Gain (Loss)
Net realized gain (loss) on investments .............................. (7)
-------
Net increase in net assets from operations ........................... $ 4,293
=======
See the accompanying notes which 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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ........................................... $ 4,300 $ 7,575
Net realized gain (loss) ........................................ (7) 34
------------ ------------
Net increase (decrease) in net assets from operations ........ 4,293 7,609
------------ ------------
Distributions
From net investment income ...................................... (4,300) (7,575)
------------ ------------
Share Transactions
Net increase (decrease) in net assets from share transactions ... 76,608 2,275
------------ ------------
Total net increase (decrease) in net assets ........................ 76,601 2,309
Net Assets
Beginning of period ............................................. 262,393 260,084
------------ ------------
End of period ................................................... $ 338,994 $ 262,393
============ ============
</TABLE>
See the accompanying notes which 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>
Fiscal Years Ended August 31,
------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995**
---------- ---------- ---------- ---------- ---------- ----------
<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 Operations
Net investment income ...................... .0150 .0267 .0304 .0295 .0302 .0251
---------- ---------- ---------- ---------- ---------- ----------
Distributions
From net investment income ................. (.0150) (.0267) (.0304) (.0295) (.0302) (.0251)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period ................ $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========== ========== ========== ========== ========== ==========
Total Return (%)(a) ........................... 1.51 2.71 3.08 2.99 3.07 2.54
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) ... 338,994 262,393 260,084 163,502 45,061 42,607
Ratios to average net assets (%)(b):
Operating expenses, net ................. .56 .56 .56 .58 .57 .59
Operating expenses, gross ............... .56 .56 .56 .58 .57 .60
Net investment income ................... 3.02 2.67 3.04 2.98 3.01 3.40
</TABLE>
* For the six months ended February 29, 2000 (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 29, 2000 and August 31, 1995 are
annualized.
Semiannual Report 15
<PAGE>
SSgA
Tax Free Money Market Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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 utilizes the amortized cost valuation method
in accordance with Rule 2a-7 of the 1940 Act, 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.
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.
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.
16 Semiannual Report
<PAGE>
SSgA
Tax Free Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Deferred organization expenses: The Fund has incurred expenses in
connection with its organization. These costs were deferred and are being
amortized over 60 months on a straight-line basis.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases, sales and maturities of tax-exempt obligations were
$750,519,675, $528,706,114, and $144,970,000, 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $10,301 under these
arrangements.
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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses the Administrator
for out-of-pocket expenses and start-up costs for new funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 a Distribution Plan pursuant to Rule 12b-1 (the
"Plan" under the 1940 Act. Under this Plan, the Investment Company is
authorized to make payments to the Distributor, or any Shareholder
Servicing Agent, as defined in the Plan, for providing distribution and
marketing services, for furnishing assistance to investors on an ongoing
basis, and for the reimbursement of direct out-of-pocket expenses incurred
by the Distributor in connection with the distribution and marketing of
shares of the Investment Company and the servicing of investor accounts.
Semiannual Report 17
<PAGE>
SSgA
Tax Free Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
The Fund has 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 six months ended February 29, 2000, the Fund was charged
shareholder servicing expenses of $35,558 and $78,955 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 February 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000
were as follows:
Advisory fees $ 127,206
Administration fees 10,986
Custodian fees 3,499
Distribution fees 28,046
Shareholder servicing fees 26,950
Transfer agent fees 2,075
Trustees' fees 623
----------
$ 199,385
==========
Beneficial Interest: As of February 29, 2000, three shareholders (two of
which were also affiliates of the Investment Company) were record owners
of approximately 43%, 34% and 15%, respectively, of the total outstanding
shares of the Fund.
18 Semiannual Report
<PAGE>
SSgA
Tax Free Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
5. Fund Share Transactions (On a Constant Dollar Basis):
<TABLE>
<CAPTION>
(amounts in thousands)
For the Periods Ended
----------------------------------
February 29, 2000 August 31, 1999
----------------- ---------------
<S> <C> <C>
Proceeds from shares sold .......................... 540,843 887,427
Proceeds from reinvestment of distributions ........ 2,231 4,738
Payments for shares redeemed ....................... (466,466) (889,890)
-------- --------
Total net increase (decrease) ...................... 76,608 2,275
======== ========
</TABLE>
6. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
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
160 Federal Street
Boston, Massachusetts 02110
20 Semiannual Report
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
US Government Money Market Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
US Government Money Market Fund
Semiannual Report
February 29, 2000 (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 Government Money Market Fund
Statement of Net Assets
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal
Amount Date Value
(000) Rate of (000)
$ % Maturity $
--------- ----- --------- ---------
<S> <C> <C> <C> <C>
United States Government Agencies - 68.7%
Federal Farm Credit Bank 15,000 5.000 05/03/00 14,997
Federal Farm Credit Bank (a) 50,000 5.868 08/02/00 49,989
Federal Farm Credit Bank (a) 30,000 5.720 10/20/00 29,991
Federal Home Loan Bank (a) 25,000 5.795 04/14/00 24,999
Federal Home Loan Bank 10,000 4.970 04/20/00 9,999
Federal Home Loan Bank 20,000 5.100 05/17/00 19,998
Federal Home Loan Bank (a) 25,000 5.718 07/12/00 24,995
Federal Home Loan Bank 15,000 5.520 08/02/00 14,993
Federal Home Loan Bank (a) 25,000 5.890 08/17/00 24,998
Federal Home Loan Bank (a) 50,000 5.727 09/28/00 49,988
Federal Home Loan Bank 28,250 6.350 01/02/02 28,221
Federal Home Loan Bank Discount Notes 29,065 5.780 04/24/00 28,813
Federal Home Loan Bank Discount Notes 19,566 5.930 08/16/00 19,025
Federal Home Loan Mortgage Corp. (a) 34,800 5.685 05/18/00 34,794
Federal Home Loan Mortgage Corp. 20,000 5.505 07/14/00 19,991
Federal Home Loan Mortgage Corp. (MTN)(a) 35,000 5.815 01/01/10 34,971
Federal Home Loan Mortgage Corp. (MTN) 20,000 6.255 01/01/12 19,983
Federal Home Loan Mortgage Discount Notes 30,000 5.660 03/07/00 29,972
Federal Home Loan Mortgage Discount Notes 20,000 5.730 03/15/00 19,955
Federal Home Loan Mortgage Discount Notes 60,000 5.850 03/28/00 59,737
Federal National Mortgage Association (a) 25,000 5.697 03/15/00 24,999
Federal National Mortgage Association (MTN)(a) 40,000 5.398 03/23/00 39,998
Federal National Mortgage Association (MTN) 25,000 5.020 04/26/00 24,998
Federal National Mortgage Association (MTN)(a) 20,000 5.890 05/10/00 19,998
Federal National Mortgage Association (MTN)(a) 45,000 5.702 08/02/00 44,989
Federal National Mortgage Association (MTN)(a) 20,000 5.920 08/04/00 19,995
Federal National Mortgage Association (MTN)(a) 15,000 5.870 08/09/00 14,997
Federal National Mortgage Association (a) 25,000 5.878 11/13/00 24,985
Federal National Mortgage Association (MTN) 25,000 5.600 01/02/02 24,791
Federal National Mortgage Association 25,000 6.570 01/02/22 24,993
Federal National Mortgage Association Discount Notes 25,000 5.720 03/30/00 24,885
Federal National Mortgage Association Discount Notes 25,000 5.730 04/13/00 24,829
Federal National Mortgage Association Discount Notes 46,500 5.810 04/27/00 46,072
Federal National Mortgage Association Discount Notes 20,000 5.820 05/18/00 19,748
Federal National Mortgage Association Discount Notes 50,000 5.840 05/18/00 49,368
Student Loan Marketing Association (MTN) 15,000 5.900 12/01/00 14,987
---------
Total United States Government Agencies 1,005,041
---------
Total Investments (amortized cost $1,005,041) 1,005,041
---------
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
US Government Money Market Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Value
(000)
$
---------
<S> <C>
Repurchase Agreements - 31.7%
Agreement with Bear, Stearns & Co., Inc. of $210,000
acquired February 29, 2000 at 5.850% to be repurchased at $210,034
on March 1, 2000, collateralized by:
$217,400 various United States Government Agencies, valued at $214,458 210,000
Agreement with J.P. Morgan Securities, Inc. of $190,000
acquired February 29, 2000 at 5.850% to be repurchased at $190,031
on March 1, 2000, collateralized by:
$198,450 various United States Government Agencies, valued at $194,063 190,000
Agreement with Lehman Brothers, Inc. of $63,311
acquired February 29, 2000 at 5.550% to be repurchased at $63,321
on March 1, 2000, collateralized by:
$68,145 various United States Government Agencies, valued at $64,838 63,311
---------
Total Repurchase Agreements (identified cost $463,311) 463,311
---------
Total Investments and Repurchase Agreements - 100.4% (cost $1,468,352)(b) 1,468,352
Other Assets and Liabilities, Net - (0.4%) (5,362)
---------
Net Assets - 100.0% 1,462,990
=========
</TABLE>
(a) Adjustable of floating rate security.
(b) The identified cost for federal income tax purposes is the same as shown
above.
Abbreviations:
MTN - Medium Term Note
See the accompanying notes which are an integral 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 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at amortized cost which approximates market ................................ $1,005,041
Repurchase agreements (identified cost $463,311) ....................................... 463,311
Interest receivable .................................................................... 3,962
----------
Total assets ..................................................................... 1,472,314
Liabilities
Payables:
Due to Custodian .................................................... $ 1,986
Accrued fees to affiliates .......................................... 969
Income distribution .................................................... 6,369
----------
Total liabilities ................................................................ 9,324
----------
Net Assets ............................................................................. $1,462,990
==========
Net Assets Consist of:
Accumulated net realized gain (loss) ................................................... $ 47
Shares of beneficial interest .......................................................... 1,463
Additional paid-in capital ............................................................. 1,461,480
----------
Net Assets ............................................................................. $1,462,990
==========
Net Asset Value, offering and redemption price per share:
($1,462,989,760 divided by 1,462,942,983 shares of $.001 par value
shares of beneficial interest outstanding) ....................................... $ 1.00
==========
</TABLE>
See the accompanying notes which 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 29, 2000 (Unaudited)
Investment Income
Interest ........................................................... $36,078
Expenses
Advisory fees .................................... $ 1,630
Administrative fees .............................. 219
Custodian fees ................................... 185
Distribution fees ................................ 159
Transfer agent fees .............................. 49
Professional fees ................................ 12
Registration fees ................................ 32
Shareholder servicing fees ....................... 441
Trustees' fees ................................... 11
Miscellaneous .................................... 24
-------
Total expenses .................................................. 2,762
-------
Net investment income ................................................. 33,316
-------
Net Realized Gain (Loss)
Net realized gain (loss) on investments ............................... 18
-------
Net increase in net assets from operations ............................ $33,334
=======
See the accompanying notes which are an integral part of the financial
statements.
6 Semiannual Report
<PAGE>
SSgA
US Government Money Market Fund
Statement of Changes in Net Assets
Amounts in thousands
<TABLE>
<CAPTION>
For the Six For the
Months Ended Fiscal Year
February 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income .......................................... $ 33,316 $ 61,120
Net realized gain (loss) ....................................... 18 2
----------- -----------
Net increase (decrease) in net assets from operations ....... 33,334 61,122
----------- -----------
Distributions
From net investment income ..................................... (33,316) (61,120)
----------- -----------
Share Transactions
Net increase (decrease) in net assets from share transactions .. 223,668 293,405
----------- -----------
Total net increase (decrease) in net assets ....................... 223,686 293,407
Net Assets
Beginning of period ............................................ 1,239,304 945,897
----------- -----------
End of period .................................................. $ 1,462,990 $ 1,239,304
=========== ===========
</TABLE>
See the accompanying notes which 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 period and other performance information derived from the financial
statements.
<TABLE>
<CAPTION>
Fiscal Years Ended August 31,
------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ---------- ----------
<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 Operations
Net investment income ...................... .0253 .0462 .0500 .0500 .0515 0.528
---------- ---------- ---------- ---------- ---------- ----------
Distributions
From net investment income ................. (.0253) (.0462) (.0500) (.0500) (.0515) (0.528)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period ................ $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000 $ 1.0000
========== ========== ========== ========== ========== ==========
Total Return (%)(a) ........................... 2.56 4.74 5.33 5.19 5.27 5.38
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) ... 1,462,990 1,239,304 945,897 904,483 683,210 490,138
Ratios to average net assets (%)(b):
Operating expenses ...................... .42 .42 .42 .44 .40 .42
Net investment income ................... 5.11 4.62 5.20 5.08 5.12 5.37
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
(a) Periods less than one year are not annualized.
(b) The ratios for periods less than one year are annualized.
8 Semiannual Report
<PAGE>
SSgA
US Government Money Market Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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 utilizes the amortized cost valuation method
in accordance with Rule 2a-7 of the 1940 Act, 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.
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
US Government Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (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. State Street Bank and Trust Company
(the "Advisor") will monitor repurchase agreements daily to determine that
the market value (including accrued interest) of the underlying securities
remains equal to at least 102% of the repurchase price at Fedwire closing
time. The Adviser or third-party custodian will notify the seller to
immediately increase the collateral on the repurchase agreement to 102% of
the repurchase price if collateral falls below 102%.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and maturities of US Government and Agency obligations,
excluding repurchase agreements aggregated to $1,390,281,258 and
$2,823,650,372 , respectively.
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $225 under these arrangements.
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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses the Administrator
for out-of-pocket expenses and start-up costs for new funds.
10 Semiannual Report
<PAGE>
SSgA
US Government Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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 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 six months ended February 29, 2000, the Fund was charged
shareholder servicing expenses of $163,010, $14,186 and $143,177 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 February 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meeting attended. These expenses are allocated among
all of the Funds based upon their relative net assets.
Beneficial Interest: As of February 29, 2000, one shareholder (who was
also an affiliate of the Investment Company) was a record owner of
approximately 10% of the total outstanding shares of the Fund.
Semiannual Report 11
<PAGE>
SSgA
US Government Money Market Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Accrued fees payable to affiliates and trustees as of February 29, 2000
were as follows:
Advisory fees $581,168
Administration fees 52,345
Custodian fees 20,710
Distribution fees 26,683
Shareholder servicing fees 285,589
Transfer agent fees 1,832
Trustees' fees 748
--------
$969,075
========
5. Fund Share Transactions (On a Constant Dollar Basis):
<TABLE>
<CAPTION>
(amounts in thousands)
For the Periods Ended
-----------------------------------
February 29, 2000 August 31, 1999
----------------- ---------------
<S> <C> <C>
Proceeds from shares sold ...................... 6,751,097 11,294,180
Proceeds from reinvestment of distributions .... 24,050 46,676
Payments for shares redeemed ................... (6,551,479) (11,047,451)
---------- -----------
Total net increase (decrease) .................. 223,668 293,405
========== ===========
</TABLE>
6. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
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
160 Federal Street
Boston, Massachusetts 02110
Semiannual Report 13
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Growth and Income Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Growth and Income Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements........................................................ 3
Financial Highlights........................................................ 8
Notes to Financial Statements............................................... 9
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
Growth and Income Fund
Statement of Net Assets
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------- -------
Common Stocks - 99.3%
Basic Industries - 3.2%
du Pont (E.I.) de Nemours & Co. 80,000 4,040
Illinois Tool Works, Inc. 105,000 5,427
Smurfit-Stone Container Corp. (a) 220,000 2,998
-------
12,465
-------
Capital Goods - 5.4%
Emerson Electric Co. 120,000 5,468
General Electric Co. 101,800 13,457
SPX Corp. (a) 25,000 2,176
-------
21,101
-------
Consumer Basics - 17.0%
American Home Products Corp. 86,900 3,780
Bestfoods 187,400 7,859
Corning, Inc. 31,000 5,828
Medtronic, Inc. 240,000 11,625
PepsiCo, Inc. 220,000 7,095
Pfizer, Inc. 299,500 9,621
Pharmacia & Upjohn, Inc. 255,000 12,144
Philip Morris Cos., Inc. 360,000 7,223
Procter & Gamble Co. 16,000 1,408
-------
66,583
-------
Consumer Non-Durables - 5.3%
Home Depot, Inc. (The) 75,000 4,336
Target Corp. 86,200 5,086
Wal-Mart Stores, Inc. 234,000 11,393
-------
20,815
-------
Consumer Services - 0.5%
Carnival Corp. 75,000 2,161
-------
Energy - 5.1%
Anadarko Petroleum Corp. 115,000 3,536
Atlantic Richfield Co. 48,000 3,408
Baker Hughes, Inc. 230,000 5,951
Burlington Resources, Inc. 75,000 2,072
Texaco, Inc. 105,000 4,981
-------
19,948
-------
Finance - 11.8%
Bank of America Corp. 158,000 7,278
Capital One Financial Corp. 74,500 2,743
Citigroup, Inc. 60,000 3,108
Mellon Financial Corp. 360,000 10,845
Morgan Stanley Dean Witter & Co. 150,000 10,566
Price (T. Rowe) & Associates, Inc. 162,400 5,349
Wells Fargo Co. 200,000 6,612
-------
46,501
-------
General Business - 5.8%
Automatic Data Processing, Inc. 255,100 11,113
Comcast Corp. Special Class A 182,500 7,756
MediaOne Group, Inc. (a) 50,000 3,925
-------
22,794
-------
Technology - 33.8%
America Online, Inc. (a) 65,000 3,835
Applied Materials, Inc. (a) 49,000 8,961
Cisco Systems, Inc. (a) 90,000 11,891
Dell Computer Corp. (a) 60,000 2,445
EMC Corp. (a) 143,000 17,017
Gentex Corp. (a) 95,000 2,773
Intel Corp. 82,000 9,266
International Business Machines Corp 96,000 9,792
Linear Technology Corp. 162,100 17,010
Lucent Technologies, Inc. 180,000 10,710
Microsoft Corp. (a) 157,700 14,085
Motorola, Inc. 60,000 10,230
NorthPoint Communications Group, Inc. (a) 65,000 1,475
Oracle Systems Corp. (a) 45,000 3,338
Rhythms NetConnections, Inc. (a) 40,000 1,428
Solectron Corp. (a) 25,000 1,638
Sun Microsystems, Inc. (a) 72,000 6,856
-------
132,750
-------
Transportation - 0.1%
United Parcel Service, Inc. Class B 4,129 226
-------
Semiannual Report 3
<PAGE>
SSgA
Growth and Income Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------- -------
Utilities - 11.3%
Alltel Corp. 137,000 7,946
AT&T Corp. 200,000 9,888
Duke Energy Corp. 248,000 12,028
MCI WorldCom, Inc. (a) 92,550 4,130
VoiceStream Wireless Corp. NPV (a) 77,200 10,272
-------
44,264
-------
Total Common Stocks
(cost $351,701) 389,608
-------
Principal
Amount
(000)
$
---------
Short-Term Investments - 3.2%
AIM Short Term Investment Prime Portfolio (b) 6,389 6,389
Federated Government Obligations Fund (b) 6,367 6,367
-------
Total Short-Term Investments
(cost $12,756) 12,756
-------
Total Investments - 102.5%
(identified cost $364,457) 402,364
Other Assets and Liabilities,
Net - (2.5%) (9,953)
-------
Net Assets - 100.0% 392,411
=======
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
Abbreviations:
NPV - No Par Value
See the accompanying notes which 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 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at market (identified cost $364,457) .............................................. $402,364
Receivables:
Dividends and interest ..................................................................... 515
Investments sold ........................................................................... 1,751
Fund shares sold ........................................................................... 774
Prepaid expenses .............................................................................. 20
Short-term investments held as collateral for securities loaned, at market .................... 15,983
--------
Total assets ............................................................................ 421,407
Liabilities
Payables:
Investments purchased ........................................................ $ 12,014
Fund shares redeemed ......................................................... 321
Accrued fees to affiliates ................................................... 678
Payable upon return of securities loaned, at market ............................. 15,983
--------
Total liabilities ....................................................................... 28,996
--------
Net Assets .................................................................................... $392,411
========
Net Assets Consist of:
Undistributed net investment income ........................................................... $ 294
Accumulated net realized gain (loss) .......................................................... 5,405
Unrealized appreciation (depreciation) on:
Investments ................................................................................ 37,907
Shares of beneficial interest ................................................................. 17
Additional paid-in capital .................................................................... 348,788
--------
Net Assets .................................................................................... $392,411
========
Net Asset Value, offering and redemption price per share:
($392,411,609 divided by 16,934,668 shares of $.001 par value
shares of beneficial interest outstanding) .............................................. $ 23.17
========
</TABLE>
See the accompanying notes which 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 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Dividends .............................................................................. $ 2,519
Interest ............................................................................... 29
--------
Total investment income ............................................................. 2,548
Expenses
Advisory fees ............................................................ $ 1,513
Administrative fees ...................................................... 59
Custodian fees ........................................................... 36
Distribution fees ........................................................ 134
Transfer agent fees ...................................................... 34
Professional fees ........................................................ 9
Registration fees ........................................................ 21
Shareholder servicing fees ............................................... 233
Trustees' fees ........................................................... 4
Miscellaneous ............................................................ 5
--------
Expenses before reductions ............................................... 2,048
Expense reductions ....................................................... (80)
--------
Expenses, net ....................................................................... 1,968
--------
Net investment income ..................................................................... 580
--------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments ................................................ 7,861
Net change in unrealized appreciation (depreciation) on investments .................... 16,266
--------
Net realized and unrealized gain (loss) ................................................... 24,127
--------
Net increase (decrease) in net assets from operations ..................................... $ 24,707
========
</TABLE>
See the accompanying notes which 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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ............................................... $ 580 $ 927
Net realized gain (loss) ............................................ 7,861 41,787
Net change in unrealized appreciation (depreciation) ................ 16,266 9,643
--------- ---------
Net increase (decrease) in net assets from operations ............ 24,707 52,357
--------- ---------
Distributions
From net investment income .......................................... (566) (813)
From net realized gain .............................................. (15,079) (16,521)
--------- ---------
Net decrease in net assets from distributions .................... (15,645) (17,334)
--------- ---------
Share Transactions
Net increase (decrease) in net assets from share transactions ....... 91,633 145,067
--------- ---------
Total Net Increase (Decrease) in Net Assets ............................ 100,695 180,090
Net Assets
Beginning of period ................................................. 291,716 111,626
--------- ---------
End of period (including undistributed net investment income of
$294 and $280, respectively) ..................................... $ 392,411 $ 291,716
========= =========
</TABLE>
See the accompanying notes which 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>
Fiscal Years Ended August 31,
------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period .......... $ 22.53 $ 18.10 $ 18.08 $ 13.36 $ 11.95 $ 10.51
---------- ---------- ---------- ---------- ---------- ----------
Income From Operations
Net investment income (a) .................. .04 .09 .11 .12 .15 .18
Net realized and unrealized gain (loss) .... 1.72 6.79 1.83 5.18 1.46 1.44
---------- ---------- ---------- ---------- ---------- ----------
Total income from operations ............ 1.76 6.88 1.94 5.30 1.61 1.62
---------- ---------- ---------- ---------- ---------- ----------
Distributions
From net investment income ................. (.04) (.09) (.11) (.14) (.16) (.18)
From net realized gain ..................... (1.08) (2.36) (1.81) (.44) (.04)
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ..................... (1.12) (2.45) (1.92) (.58) (.20) (.18)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period ................ $ 23.17 $ 22.53 $ 18.10 $ 18.08 $ 13.36 $ 11.95
========== ========== ========== ========== ========== ==========
Total Return (%)(b) ........................... 8.28 41.55 10.93 40.95 13.57 15.66
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) ... 392,411 291,716 111,626 71,736 55,823 43,884
Ratios to average net assets (%)(c):
Operating expenses, net (d) ............. 1.10 1.03 .95 .95 .95 .95
Operating expenses, gross (d) ........... 1.15 1.11 1.14 1.21 1.40 1.61
Net investment income ................... .33 .41 .57 .82 1.15 1.72
Portfolio turnover rate (%) ................ 20.30 72.27 66.44 29.88 38.34 39.32
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
(a) For the periods subsequent to August 31, 1998, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts.
8 Semiannual Report
<PAGE>
SSgA
Growth and Income Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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.
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 distributed to each fund's shareholders without regard to the income
and capital gains (or losses) of the other funds.
Semiannual Report 9
<PAGE>
SSgA
Growth and Income Fund
Notes to Financial Statements, continued
February 29, 2000 (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.
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 29, 2000 are as follows:
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
------------ ------------ -------------- --------------
$364,957,156 $52,733,274 $(15,326,745) $37,406,529
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.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and sales of investment securities, excluding short-term
investments, aggregated to $154,088,995, and $70,559,426, respectively.
Securities Lending: The Investment Company has a securities lending
program whereby each Fund can 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.
10 Semiannual Report
<PAGE>
SSgA
Growth and Income Fund
Notes to Financial Statements, continued
February 29, 2000 (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
recorded 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 recorded 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 29, 2000, the value of outstanding securities on
loan and the value of collateral amounted to $15,548,737 and $15,983,000,
respectively. The Fund recorded securities lending income of $35,520
during the year.
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company 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 29, 2000, the receivable due from the Adviser
for expenses in excess of the expense cap has been netted against the
Advisory 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $1,280 under these arrangements.
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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses
the Administrator for out-of-pocket expenses and start-up costs for new
funds.
Semiannual Report 11
<PAGE>
SSgA
Growth and Income Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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 service agreements with the Adviser, State Street Brokerage
Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and
State Street Solutions ("Solutions")(collectively the "Agents"), as well
as several unaffiliated service providers. For these services, the Fund
pays .025%, .175%, .175%, .175%, and .175% to the Adviser, SSBSI, RIS,
Commercial Banking, and Solutions, respectively, based upon the average
daily value of all Fund shares held by or for customers of these Agents.
For the six months ended February 29, 2000, the Fund was charged
shareholder servicing expenses of $44,493, $14,913, $6,550, $3,329 and
$130,351 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 29, 2000.
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 $37,110 for the six months
ended February 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. These expenses are allocated among
all of the Funds based upon their relative net assets.
12 Semiannual Report
<PAGE>
SSgA
Growth and Income Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Accrued fees payable to affiliates and trustees as of February 29, 2000
were as follows:
Advisory fees $595,586
Administration fees 12,758
Custodian fees 3,692
Distribution fees 7,006
Shareholder servicing fees 57,220
Transfer agent fees 578
Trustees' fees 931
--------
$677,771
========
Beneficial Interest: As of February 29, 2000, two shareholders (one of
which was also an affiliate of the Investment Company) were record owners
of approximately 34% and 10%, respectively, of the total outstanding
shares of the Fund.
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
---------------------------------------------
February 29, 2000 August 31, 1999
------------------- -------------------
Shares Dollars Shares Dollars
------ --------- ------ ---------
<S> <C> <C> <C> <C>
Proceeds from shares sold ........................ 5,401 $ 126,739 11,203 $ 241,058
Proceeds from reinvestment of distributions ...... 675 14,478 900 16,164
Payments for shares redeemed ..................... (2,092) (49,584) (5,320) (112,155)
------ --------- ------ ---------
Total net increase (decrease) .................... 3,984 $ 91,633 6,783 $ 145,067
====== ========= ====== =========
</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 .09% 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 net assets under the
agreement. The Fund did not have any drawdowns during the period.
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
Semiannual Report 13
<PAGE>
SSgA
Growth and Income Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
8. Dividends
On March 1, 2000, the Board of Trustees declared a dividend of $.0242 from
net investment income, payable on March 7, 2000 to shareholders of record
on March 2, 2000.
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
160 Federal Street
Boston, Massachusetts 02110
Semiannual Report 15
<PAGE>
[GRAPHIC OMITTED]
SSgA(R) funds
SEMIANNUAL REPORT
Intermediate Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Intermediate Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements........................................................ 3
Financial Highlights........................................................ 10
Notes to Financial Statements............................................... 11
Fund Management and Service Providers....................................... 17
"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 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- ------
Long-Term Investments - 98.9%
Asset-Backed Securities - 4.5%
Citibank Credit Card Master Trust I
Series 1998-6 Class A
5.850% due 04/10/03 830 819
Ford Credit Auto Loan Master Trust
Series 1996-1 Class A
5.500% due 02/15/03 370 365
Honda Automobile Lease Trust
Series 1999-A Class A5
6.650% due 07/15/05 350 347
Premier Automobile Trust
Series 1999-2 Class A3
5.490% due 02/10/03 1,000 981
USAA Auto Loan Grantor Trust
Series 1998-1 Class A
5.800% due 01/15/05 102 101
------
2,613
------
Corporate Bonds and Notes - 43.7%
Alltel Corp.
6.650% due 01/15/08 500 472
AT&T Corp.
6.000% due 03/15/09 500 446
Banc One, Milwaukee, N.A
6.625% due 04/15/03 500 488
BankBoston Corp. (MTN)
6.125% due 03/15/02 150 146
Burlington Northern Santa Fe
6.125% due 03/15/09 300 268
CIT Group, Inc. (MTN)
5.800% due 03/26/02 500 484
5.910% due 11/10/03 500 474
CMS Panhandle Holding Co.
6.500% due 07/15/09 100 88
Comcast Cable Communications
6.200% due 11/15/08 250 222
Conoco, Inc.
5.900% due 04/15/04 250 236
Conseco, Inc.
8.750% due 02/09/04 200 201
Continental Cablevision, Inc.
8.875% due 09/15/05 310 325
8.300% due 05/15/06 250 256
DaimlerChrysler North America
Holding Corp. (MTN)
Series B
6.630% due 09/21/01 300 297
Delta Air Lines, Inc.
Series B
7.700% due 12/15/05 500 486
Series C (MTN)
6.650% due 03/15/04 100 95
Donaldson, Lufkin & Jenrette, Inc.
5.875% due 04/01/02 500 484
Edison International, Inc.
6.875% due 09/15/04 500 488
El Paso Energy Corp.
6.750% due 05/15/09 200 186
Enron Corp.
9.650% due 05/15/01 150 154
6.500% due 08/01/02 750 734
9.125% due 04/01/03 200 208
EOP Operating L.P.
6.500% due 01/15/04 250 237
Equitable Cos., Inc.
9.000% due 12/15/04 250 262
Equitable Life Assurance Society
6.950% due 12/01/05 300 289
Finova Capital Corp.
7.250% due 11/08/04 100 99
6.375% due 05/15/05 250 235
Firstar Corp.
6.350% due 07/13/01 500 494
Fleet National Bank
Series BKNT
5.750% due 01/15/09 500 430
Ford Motor Credit Co.
6.110% due 12/28/01 (MTN) 700 686
6.500% due 02/28/02 500 492
7.500% due 01/15/03 500 501
Semiannual Report 3
<PAGE>
SSgA
Intermediate Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- ------
Gatx Capital Corp.
6.500% due 11/01/00 500 498
General Motors Acceptance Corp.
7.125% due 05/01/01 500 499
5.350% due 05/04/01 (MTN) 1,000 979
6.375% due 09/28/01 (MTN) 600 592
9.625% due 12/15/01 500 519
5.500% due 01/14/02 500 484
5.950% due 03/14/03 500 478
Goldman Sachs Group, Inc.
Series B (MTN)
7.800% due 01/28/10 250 247
Harrahs Operating Co., Inc.
7.500% due 01/15/09 100 94
International Business Machines
Corp. (MTN)
5.250% due 12/01/03 500 466
International Paper Co.
7.625% due 01/15/07 250 245
J Seagram & Sons, Inc.
5.790% due 04/15/01 500 491
Jones Intercable, Inc.
8.875% due 04/01/07 250 259
Kemper Corp.
6.875% due 09/15/03 500 487
Lehman Brothers Holdings, Inc.
6.625% due 04/01/04 100 96
Series E (MTN)
6.375% due 03/15/01 250 247
Mack-Cali Realty L.P.
7.000% due 03/15/04 500 478
MCI WorldCom, Inc.
6.125% due 08/15/01 500 494
Mellon Financial Co.
5.750% due 11/15/03 500 471
Midamerican Funding LLC
6.339% due 03/01/09 150 133
Mirage Resorts, Inc.
7.250% due 10/15/06 250 224
6.750% due 02/01/08 250 214
Morgan Stanley Dean Witter & Co.
7.125% due 01/15/03 400 396
5.625% due 01/20/04 (MTN) 500 468
News America Holdings, Inc.
7.375% due 10/17/08 200 192
Niagara Mohawk Power Corp.
7.750% due 10/01/08 250 247
Paine Webber Group, Inc.
6.375% due 05/15/04 500 474
Raytheon Co.
5.950% due 03/15/01 500 492
5.700% due 11/01/03 300 278
Rohm & Haas Co.
6.950% due 07/15/04 250 245
Salomon, Inc.
7.250% due 05/01/01 250 250
Seagram (Joseph) & Sons, Inc.
6.400% due 12/15/03 500 480
Simon Property Group, Inc.
7.125% due 02/09/09 150 136
Sola International, Inc.
6.875% due 03/15/08 100 86
Sprint Capital Corp. (MTN)
6.500% due 11/15/01 500 493
Time Warner, Inc.
8.180% due 08/15/07 552 563
Union Pacific Corp.
7.375% due 09/15/09 500 483
Vastar Resources, Inc.
6.500% due 04/01/09 250 232
------
25,173
------
Eurodollar Bonds - 8.4%
Alberta, Province of
4.875% due 10/29/03 300 278
Bank of Tokyo Mitsubishi, Ltd.
8.400% due 04/15/10 100 101
Cable & Wireless Optus, Ltd.
8.125% due 06/15/09 300 295
Chile, Republic of
6.875% due 04/28/09 200 183
Hyder PLC
6.750% due 12/15/04 1,000 950
Korea Development Bank
7.625% due 10/01/02 600 595
7.125% due 04/22/04 470 454
4 Semiannual Report
<PAGE>
SSgA
Intermediate Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- ------
Korea, Republic of
8.750% due 04/15/03 350 358
Ontario, Province of
7.375% due 01/27/03 500 502
Quebec, Province of Canada
5.750% due 02/15/09 250 220
Telekomunikacja Polska SA
7.125% due 12/10/03 550 523
7.750% due 12/10/08 30 28
Toyota Motor Credit Corp.
5.625% due 11/13/03 400 376
------
4,863
------
Mortgage-Backed Securities - 15.5%
COMM
Series 1999-1 Class A2
6.455% due 09/15/08 1,000 919
Commercial Mortgage Acceptance Corp.
Series 1999-C1 Class A2
7.030% due 05/15/09 60 57
Federal Home Loan Mortgage Corp. Participation
Certificate
4.500% due 2001 326 313
Federal National Mortgage Association
6.500% due 2004 80 78
6.000% due 2009 364 348
6.000% due 2014 273 256
6.000% due 2029 1,489 1,350
Federal National Mortgage Association (a)
6.500% 30 Year TBA 475 444
7.500% 30 Year TBA 4,375 4,290
Government National Mortgage
Association (a)
8.000% 30 Year TBA 270 271
LB Commercial Conduit Mortgage
Trust
Series 1999-C1 Class A2
6.780% due 04/15/09 120 113
Nationslink Funding Corp.
Series 1999-1 Class A2
6.316% due 11/20/08 500 459
Nomura Asset Securities Corp.
6.590% due 03/17/28 20 19
------
8,917
------
United States Government
Agencies - 6.6%
Federal Home Loan Bank
7.310% due 06/16/04 500 502
6.995% due 04/02/07 300 295
Federal Home Loan Mortgage Corp.
5.950% due 01/19/06 500 468
6.625% due 09/15/09 740 709
Federal National Mortgage Association
6.400% due 05/14/09 400 370
7.250% due 01/15/10 980 981
State of Israel, United States
Government Guaranteed Notes
Series 7-B
5.700% due 02/15/03 500 481
------
3,806
------
United States Government
Treasuries - 15.2%
United States Treasury Bonds
10.000% due 05/15/10 320 363
12.000% due 08/15/13 600 797
United States Treasury Notes
6.125% due 12/31/01 580 576
6.375% due 01/31/02 2,345 2,337
6.500% due 02/28/02 650 650
5.875% due 11/15/04 2,575 2,500
3.875% due 01/15/09 1,026 993
6.500% due 02/15/10 520 523
------
8,739
------
Yankee Bonds - 5.0%
AT&T Canada, Inc.
7.650% due 09/15/06 500 498
12.000% due 08/15/07 500 568
Canadian National Railroad
6.625% due 05/15/03 500 485
Semiannual Report 5
<PAGE>
SSgA
Intermediate Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- ------
Ireland, Republic of
7.125% due 07/15/02 600 600
Metronet Communications Corp. Step
Up Bond
Zero Coupon due 11/01/07 (d) 330 281
Orange PLC
9.000% due 06/01/09 150 153
Royal Caribbean Cruises, Ltd.
6.750% due 03/15/08 100 91
Svenska Handelsbanken
8.350% due 07/15/04 200 206
------
2,882
------
Total Long-Term Investments
(cost $58,609) 56,993
------
Short-Term Investments - 11.2%
Dreyfus Cash Management Plus, Inc.
Money Market Fund (b) 81 81
Federal Home Loan Bank
Discount Notes
5.660% due 03/15/00 (b)(c) 4,500 4,482
Federated Investors Prime Cash
Obligations Fund (b) 1,904 1,904
------
Total Short-Term Investments
(cost $6,467) 6,467
------
Total Investments - 110.1%
(identified cost $65,076) 63,460
Other Assets and Liabilities,
Net - (10.1%) (5,805)
------
Net Assets - 100.0% 57,655
======
(a) Forward commitment.
(b) At amortized cost, which approximates market.
(c) Rate noted is yield-to-maturity from date of acquisition.
(d) Adjustable or floating rate security.
Abbreviations:
MTN - Medium Term Notes
TBA - To Be Announced Security
See the accompanying notes which 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 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at market (identified cost $65,076) ............................... $ 63,460
Receivables:
Interest ................................................................... 862
Investments sold (regular settlement) ...................................... 1,248
Investments sold (delayed settlement) ...................................... 442
Fund shares sold ........................................................... 13
--------
Total assets ............................................................ 66,025
Liabilities
Payables:
Investments purchased (regular settlement) ................... $ 2,874
Investments purchased (delayed settlement) ................... 5,433
Fund shares redeemed ......................................... 4
Accrued fees to affiliates ................................... 41
Other accrued expenses ....................................... 18
--------
Total liabilities ....................................................... 8,370
--------
Net Assets .................................................................... $ 57,655
========
Net Assets Consist of:
Undistributed net investment income ........................................... $ 420
Accumulated distributions in excess of net realized gain ...................... (1,581)
Unrealized appreciation (depreciation) on investments ......................... (1,616)
Shares of beneficial interest ................................................. 6
Additional paid-in capital .................................................... 60,426
--------
Net Assets .................................................................... $ 57,655
========
Net Asset Value, offering and redemption price per share:
($57,655,146 divided by 6,185,567 shares of $.001 par value
shares of beneficial interest outstanding) .............................. $ 9.32
========
</TABLE>
See the accompanying notes which 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 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Interest ................................................................... $ 1,994
Dividends .................................................................. 85
-------
Total investment income ................................................. 2,079
Expenses
Advisory fees ................................................. $ 266
Administrative fees ........................................... 10
Custodian fees ................................................ 26
Distribution fees ............................................. 12
Transfer agent fees ........................................... 13
Professional fees ............................................. 7
Registration fees ............................................. 15
Shareholder servicing fees .................................... 29
Trustees' fees ................................................ 2
Miscellaneous ................................................. 1
-------
Expenses before reductions .................................... 381
Expense reductions ............................................ (182)
-------
Expenses, net ........................................................... 199
-------
Net investment income ......................................................... 1,880
-------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments ....................................... (1,017)
Net change in unrealized appreciation (depreciation) on investments ........... 207
-------
Net realized and unrealized gain (loss) ....................................... (810)
-------
Net increase (decrease) in net assets from operations ......................... $ 1,070
=======
</TABLE>
See the accompanying notes which 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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ............................................... $ 1,880 $ 3,876
Net realized gain (loss) ............................................ (1,017) (9)
Net change in unrealized appreciation (depreciation) ................ 207 (2,882)
---------- ----------
Net increase (decrease) in net assets from operations ............ 1,070 985
---------- ----------
Distributions
From net investment income .......................................... (2,452) (3,873)
From net realized gain .............................................. (51) (1,163)
---------- ----------
Net decrease in net assets from distributions .................... (2,503) (5,036)
---------- ----------
Share Transactions
Net increase (decrease) in net assets from share transactions ....... (12,462) (1,090)
---------- ----------
Total net increase (decrease) in net assets ............................ (13,895) (5,141)
Net Assets
Beginning of period ................................................. 71,550 76,691
---------- ----------
End of period (including undistributed net investment income of
$420 and $992, respectively) ..................................... $ 57,655 $ 71,550
========== ==========
</TABLE>
See the accompanying notes which 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 derived from the financial
statements.
<TABLE>
<CAPTION>
Fiscal Years Ended August 31,
------------------------------------------------------------------
2000* 1999 1998 1997 1996 1995
---------- ---------- ---------- ---------- ---------- ----------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period .......... $ 9.51 $ 10.04 $ 9.76 $ 9.57 $ 9.72 $ 9.37
---------- ---------- ---------- ---------- ---------- ----------
Income From Operations
Net investment income (a) .................. .27 .49 .53 .54 .53 .56
Net realized and unrealized gain (loss) .... (.12) (.35) .28 .20 (.14) .34
---------- ---------- ---------- ---------- ---------- ----------
Total income from operations ............ .15 .14 .81 .74 .39 .90
---------- ---------- ---------- ---------- ---------- ----------
Distributions
From net investment income ................. (.33) (.51) (.53) (.55) (.54) (.55)
From net realized gain ..................... (.01) (.16) -- -- -- --
---------- ---------- ---------- ---------- ---------- ----------
Total distributions ..................... (.34) (.67) (.53) (.55) (.54) (.55)
---------- ---------- ---------- ---------- ---------- ----------
Net Asset Value, End of Period ................ $ 9.32 $ 9.51 $ 10.04 $ 9.76 $ 9.57 $ 9.72
========== ========== ========== ========== ========== ==========
Total Return (%)(b) ........................... 1.59 1.36 8.64 8.00 4.12 10.05
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) ... 57,655 71,550 76,691 53,834 41,518 33,893
Ratios to average net assets (%)(c):
Operating expenses, net (d) ............. .60 .60 .60 .60 .60 .60
Operating expenses, gross (d) ........... 1.14 1.11 1.13 1.30 1.38 1.67
Net investment income ................... 5.64 5.02 5.51 5.78 5.57 6.29
Portfolio turnover rate (%) ................ 92.45 304.47 244.58 242.76 221.73 26.31
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
(a) For the periods subsequent to August 31, 1998, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts.
10 Semiannual Report
<PAGE>
SSgA
Intermediate Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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.
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 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
Intermediate Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
It is the Fund's intention to qualify as a regulated investment company,
as defined by the Internal Revenue Code of 1986, as amended. This requires
the Fund to distribute all of its taxable income. Therefore, the Fund paid
no federal income taxes and no federal income tax provision was required.
As permitted by tax regulations, the Fund intends to defer a net realized
capital loss of $562,512 incurred from November 1, 1998 to August 31,
1999, and treat it as arising in the fiscal year 2000.
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 29, 2000 are as follows:
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
----------- ------------ -------------- --------------
$65,076,058 $52,609 $(1,669,061) $(1,616,452)
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.
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. 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.
12 Semiannual Report
<PAGE>
SSgA
Intermediate Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and sales of investment securities, excluding US Government and
Agency obligations and short-term investments, aggregated to $17,270,487,
and $20,925,387, respectively.
For the six months ended February 29, 2000, purchases and sales of US
Government and Agency obligations, excluding short-term investments,
aggregated to $42,801,235, and $50,929,001, respectively.
Securities Lending: The Investment Company has a securities lending
program whereby each Fund can 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
recorded 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 recorded 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 29, 2000, 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 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 29, 2000, the receivable due from the
Adviser for expenses in excess of the expense cap has been netted against
the Advisory 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the year, the
Fund's custodian fees were reduced by $537 under these arrangements.
Semiannual Report 13
<PAGE>
SSgA
Intermediate Fund
Notes to Financial Statements, continued
February 29, 2000 (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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses the Administrator
for out-of-pocket expenses and start-up costs for new funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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 service agreements with the Adviser, State Street Brokerage
Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and
State Street Solutions ("Solutions")(collectively the "Agents"), as well
as several unaffiliated service providers. For these services, the Fund
pays .025%, .175%, .175%, .175%, and .175% to the Adviser, SSBSI, RIS,
Commercial Banking, and Solutions, respectively, based upon the average
daily value of all Fund shares held by or for customers of these Agents.
For the six months ended February 29, 2000, the Fund was charged
shareholder servicing expenses of $7,978, $1,319, $1,687, $2,172, and
$14,481, 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 29, 2000.
14 Semiannual Report
<PAGE>
SSgA
Intermediate Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000
were as follows:
Advisory fees $24,022
Administration fees 867
Custodian fees 4,983
Distribution fees 837
Shareholder servicing fees 5,082
Transfer agent fees 4,312
Trustees' fees 553
-------
$40,656
=======
Beneficial Interest: As of February 29, 2000, one shareholder (who was
also an affiliate of the Investment Company) was a record owner of
approximately 20% of the total outstanding shares of the Fund.
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
------------------------------------------
February 29, 2000 August 31, 1999
------------------ ------------------
Shares Dollars Shares Dollars
------ -------- ------ --------
<S> <C> <C> <C> <C>
Proceeds from shares sold ........................ 1,621 $ 15,287 4,663 $ 45,790
Proceeds from reinvestment of distributions ...... 218 2,038 444 4,359
Payments for shares redeemed ..................... (3,179) (29,787) (5,220) (51,239)
------ -------- ------ --------
Total net increase (decrease) .................... (1,340) $(12,462) (113) $ (1,090)
====== ======== ====== ========
</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 .09% 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 net assets under the
agreement. The Fund did not have any drawdowns during the period.
Semiannual Report 15
<PAGE>
SSgA
Intermediate Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
8. Dividends
On March 1, 2000, the Board of Trustees declared a dividend of $.0679 from
net investment income, payable on March 7, 2000 to shareholders of record
on March 2, 2000.
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
160 Federal Street
Boston, Massachusetts 02110
Semiannual Report 17
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Emerging Markets Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Emerging Markets Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements.......................................... 3
Financial Highlights.......................................... 17
Notes to Financial Statements................................. 18
Fund Management and Service Providers......................... 25
"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 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
----------- ------
<S> <C> <C>
Common Stocks - 87.4%
Argentina - 0.1%
El Sitio, Inc. (a) 11,858 267
------
Brazil - 5.0%
Centrais Eletricas Brasileiras
SA NPV 130,840,600 2,271
Companhia Cervejaria Brahma
NPV 1,676,800 759
Companhia de Saneamento
Basico do Estado de Sao
Paulo NPV 4,850,000 481
Companhia Siderurgica de
Tubarao NPV (a) 7,300,000 75
Companhia Siderurgica Nacional
NPV 29,212,200 894
Embratel Participacoes SA 136,572,192 2,008
Petroleo Brasileiro SA NPV (a) 6,167,400 1,500
Souza Cruz NPV 147,977 891
Tele Celular Sul Participacoes
SA NPV 372,500,800 938
Tele Centro Sul Participacoes
SA NPV 136,572,192 1,296
Tele Norte Leste Participacoes
SA NPV 136,572,192 2,257
Tele Sudeste Celular Participacoes
SA NPV 136,572,192 803
Telesp Celular Participacoes
SA NPV 136,581,264 1,584
Telesp Participacoes
SA NPV 183,968,048 3,757
------
19,514
------
Chile - 1.3%
Banco de A. Edwards Series A
NPV - ADR 15,553 286
Banco Santander Chile Series
A - ADR 13,400 198
Chile Fund, Inc. 130,700 1,487
Compania de Telecomunicaciones de
Chile SA - ADR 38,850 777
Cristalerias de Chile - ADR 7,500 158
Embotelladora Andina SA -
ADR Series A 20,200 303
Enersis SA - ADR 21,300 415
Five Arrows Chile Investment
Trust (a) 330,000 917
Gener SA - ADR 31,300 485
Vina Concha Y Toro SA - ADR 4,800 182
------
5,208
------
China - 0.6%
Beijing Datang Power
Generation Company, Ltd. 684,000 83
China Merchants Holdings
International Co. Ltd. 768,000 476
China Resources Enterprise, Ltd 432,000 558
China Shipping Development
Co., Ltd. Class H (a) 690,000 86
Cosco Pacific, Ltd. 1,206,000 690
Guangdong Kelon Electrical
Holdings Co., Ltd. 283,000 138
Huaneng Power International
Inc. Series H 518,000 90
New World China Land, Ltd. (a) 433,000 128
Shandong Huaneng Power Co.,
Ltd. Series N - ADR 16,500 58
Shanghai Petrochemical Co.,
Ltd. Class H 704,000 72
Yanzhou Coal Mining Co.,
Ltd. Series H 364,000 57
Yizheng Chemical Fibre Class
H (a) 702,000 110
------
2,546
------
Colombia - 0.2%
Banco de Bogota NPV 85,123 194
Banco Ganadero SA Class B - ADR 16,400 212
Banco Industrial Colombiano 194,974 101
Cia Nacional de Chocolates 32,038 123
Valores Bavaria SA 56,292 55
------
685
------
Egypt - 1.2%
Ameriyah Cement Co. 16,400 402
Commercial International Bank 31,070 347
</TABLE>
Semiannual Report 3
<PAGE>
SSgA
Emerging Markets Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
--------- ------
<S> <C> <C>
Eastern Company Tobacco &
Cigarettes 9,800 222
Egypt American Bank 12,600 191
Egypt International
Pharmaceutical Industries Co. 4,700 221
Egyptian Mobile Phone
Network (a) 6,981 330
Helwan For Cement 12,200 174
Misr International Bank SAE
- GDR 125,500 1,158
National Societe Generale Bank 23,550 314
Orascom Construction (a) 37,500 630
Suez Cement Co. (Regd) - GDR 22,700 309
Suez Cement Co. - GDR 22,700 313
------
4,611
------
Greece - 2.7%
Aegek SA 38,150 467
Aluminum Co. of Greece SA 10,260 398
Bank of Piraues 42,260 903
Commercial Bank of Greece 13,954 923
Credit Bank (Regd) 21,840 1,572
Hellenic Bottling Co. SA 19,900 387
Hellenic Petroleum SA 19,562 231
Hellenic Telecommunication
Organization SA - GDR 41,731 1,242
Intracom SA 15,872 710
Michaniki SA 19,400 211
National Bank of Greece SA 21,548 1,466
Panafon Hellenic Telecom SA 75,440 1,220
Papastratos Cigarettes Co. 10,260 225
Strintzis Shipping 49,520 501
Titan Cement Co. SA 6,320 302
------
10,758
------
Hong Kong - 2.9%
China Eastern Airlines
Corp., Ltd. (a) 904,000 87
China Everbright - IHD Pacific Ltd. 154,000 109
China Telecom (Hong Kong),
Ltd. (a) 1,032,000 9,514
Guangshen Railway Co., Ltd. 1,858,000 191
Legend Holdings, Ltd. 320,000 1,480
Shanghai Industrial
Holdings, Ltd. 76,000 143
------
11,524
------
Hungary - 1.9%
BorsodChem Rt 4,600 183
Danubius Hotel (Regd) (a) 9,317 199
Egis Gyogyszergyar 5,743 272
Magyar Olaj Es Gas 26,082 496
Magyar Tavkozlesi Rt. (Regd) 509,550 4,747
Mol Magyar Olaj-Es Gazipari
Rt. - GDR 10,300 195
OTP Bank Rt 13,685 783
Gedeon Richter, Ltd. - GDR 6,300 440
Tiszai Vegyi Kombinat Rt 15,790 290
------
7,605
------
India - 1.3%
Bharat Heavy Electricals,
Ltd 34,200 113
Bharat Petroleum Corp., Ltd. 18,400 119
CESC, Ltd. (a) 87,500 56
Dr. Reddy's Laboratories, Ltd. 5,500 194
Hindustan Lever, Ltd. 25,600 1,685
ITC, Ltd. 27,400 465
Madras Refineries, Ltd. (a) 105,300 104
Mahanagar Telephone Nigam, Ltd. 25,100 163
Mahindra & Mahindra, Ltd. 12,500 138
Reliance Industries, Ltd. 96,200 687
Tata Engineering and
Locomotive Co., Ltd. 72,850 278
Tata Iron and Steel Co., Ltd. 64,700 179
Videsh Sanchar Nigam, Ltd. 16,900 834
------
5,015
------
Israel - 5.1%
Agis Industries Ltd. 96,600 929
Bank Hapoalim - GDR (a) 12,210 184
Bank Hapoalim, Ltd. 825,644 2,448
Bank Leumi Le-Israel 641,721 1,409
Bezeq Israeli Telecommunication
Corp., Ltd 189,650 1,149
Check Point Software
Technologies, Ltd. NPV (a) 5,000 1,019
</TABLE>
4 Semiannual Report
<PAGE>
SSgA
Emerging Markets Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
--------- ------
<S> <C> <C>
Clal Industries, Ltd. 82,667 1,059
Clal Israel, Ltd. 18,184 733
ECI Telecom, Ltd. 19,100 630
Elco Holdings, Ltd. 134,240 1,484
Electric Wire & Cable (a) 14,000 63
F.I.B.I. Holdings, Ltd. 20,537 212
IDB Development Corp., Ltd. 5,780 254
IDB Holding Corp., Ltd. 8,219 302
Koor Industries, Ltd. 13,135 1,296
Leumi Insurance Holdings 471,227 557
Magic Software Enterprises, Ltd. NPV 9,170 230
Makhteshim-Agan Industries, Ltd. (a) 155,723 306
NICE Systems, Ltd. (a) 3,788 333
Osem Investment, Ltd. 93,925 641
Supersol, Ltd. 220,551 797
Teva Pharmaceutical Industries, Ltd. - ADR 85,650 3,684
United Mizrahi Bank Group, Ltd. 66,616 151
------
19,870
------
Malaysia - 7.2%
AMMB Holdings Berhad 121,000 462
Arab Malaysian Finance (Alien Market)(a) 238,000 379
Berjaya Sports 84,000 213
Commerce Asset-Holding Berhad 423,000 1,325
Edaran Otomobil 236,000 994
Faber Group Berhad (a) 445,600 94
Gamuda Berhad 444,000 637
Genting Berhad 368,000 1,627
Golden Hope Plantation 390,000 347
Hicom Holdings Berhad 414,000 368
Hong Leong Credit 140,000 302
Hong Leong Industries Berhad 159,000 636
IGB Corp. Berhad 450,000 200
IOI Corporated Berhad 1,526,000 1,052
Kuala Lumpur Kepong 259,000 365
Lion Land Berhad 154,000 43
Magnum CP Berhad 1,403,000 1,233
Malakoff Berhad 152,000 412
Malayan Banking Berhad 853,000 3,839
Malaysian International Shipping Corp. Berhad (Alien
Market) 551,000 834
Malaysian Pacific 66,000 838
Oriental Holdings Berhad 170,000 400
Perlis Plantations 157,000 215
Petronas Gas Berhad 565,000 1,145
Public Bank Berhad (Alien Market) 565,000 766
Renong Berhad (a) 408,000 337
Resorts World Berhad 265,000 962
RHB Capital Berhad 559,000 890
Rothmans of Pall Mall (Malaysia) Berhad 196,000 1,444
Sime Darby Berhad 890,000 1,194
Tanjong PLC 185,000 465
Telekom Malaysia Berhad 370,000 1,568
Tenaga Nasional Berhad 314,000 1,041
United Engineers (Malaysia) Berhad (a) 254,000 702
YTL Corp. Berhad 487,600 898
YTL Power International Berhad 294,000 246
------
28,473
------
Mexico - 12.3%
Alfa SA de CV Class A NPV 211,662 746
Altos Hornos de Mexico SA NPV (a)(d) 499,000 67
Carso Global Telecom Series A1 NPV (a) 377,000 4,710
Cemex SA de CV 2002 Warrants (a) 43,000 29
Cemex SA de CV NPV (a) 710,081 3,071
Cifra SA de CV Series V NPV (a) 1,513,661 3,621
Compania Cervecerias Unidas SA - ADR 9,750 251
Controladora Comercial Mexicana SA de CV NPV 842,000 809
Corporacion GEO SA de CV Series B NPV (a) 94,000 232
Cydsa SA Series A NPV 356,000 305
Desc SA de CV NPV 110,655 72
Desc SA de CV Series B NPV 731,000 484
</TABLE>
Semiannual Report 5
<PAGE>
SSgA
Emerging Markets Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
--------- ------
<S> <C> <C>
Empresa Nacional de Electricidad SA - ADR 19,650 233
Empresas La Moderna SA de CV NPV (a) 78,000 458
Fomento Economico Mexicano SA de CV 92,000 410
Fomento Economico Mexicano SA de CV Series B - ADR 19,400 862
Grupo Bimbo SA de CV Series A NPV 398,761 658
Grupo Carso Series A NPV (a) 246,000 959
Grupo Casa Autrey SA de CV NPV (a) 360,000 288
Grupo Cementos Chihuahua Series B NPV 633,000 399
Grupo Financiero Banamex Accival SA de CV (Banacci)
Series O (a) 798,000 3,404
Grupo Financiero Bancomer SA de CV NPV Series O (a) 3,012,000 1,486
Grupo Gigante SA Series B NPV (a) 2,359,000 1,033
Grupo Herdez SA Class B NPV (a) 1,408,000 436
Grupo Industrial Maseca Series B NPV 366,000 223
Grupo Mexico SA Series B NPV 334,108 1,659
Grupo Posadas SA Series A NPV (a) 680,000 363
Grupo Televisa SA NPV (a) 660,000 2,537
Grupo Television SA de CV - GDR (a) 15,030 1,154
Industrias Penoles SA NPV 120,000 324
Kimberly-Clark, Mexico Class A NPV 257,000 800
Nuevo Grupo Iusacell SA de CV Series V - ADR (a) 44,000 935
Organizacion Soriana SA de CV Series B NPV 165,000 677
Sanluis Corporacion SA de CV - CPO (Units)(a) 164,000 268
Telefonos de Mexico SA Series L - ADR 106,600 7,009
Telefonos de Mexico SA Series L NPV 1,858,800 6,103
TV Azteca SA de CV NPV 805,000 688
Vitro SA NPV 279,000 405
------
48,168
------
Pakistan - 0.1%
Crescent Textile Mills 29,208 15
Dandot Cement Co. (a) 35,000 3
Fauji Fertilizer 85,100 103
Hub Power Co. - GDR (a) 174,300 93
Pakistan State Oil 37,876 179
Sui Northern Gas Pipelines (a) 160,511 69
Sui Southern Gas Co., Ltd. (a) 175,877 79
------
541
------
Russia - 1.3%
Lukoil Oil Co. - ADR 42,396 1,738
Rostelecom - ADR (a) 33,000 578
Surgutneftegaz SP - ADR (a) 189,438 2,197
Unified Energy Systems - GDR 34,246 488
------
5,001
------
South Africa - 10.6%
AECI, Ltd. 367,402 858
Amalgamated Banks of South Africa 262,867 1,016
Anglo American Platinum Corp., Ltd. 62,500 1,775
AngloGold, Ltd. 47,242 2,453
Anglovaal Industries, Ltd. 610,939 583
Anglovaal Mining, Ltd. 79,000 564
Barlow, Ltd. 60,500 444
Bidvest Group, Ltd. 162,112 1,330
Coronation Holdings, Ltd. Class N 27,000 548
DataTec, Ltd. (a) 50,400 1,145
De Beers Centenary Linked Units 164,444 3,607
Del Monte Royal Food, Ltd. 1,008,639 772
Dimension Data Holdings, Ltd. (a) 147,490 1,373
Driefontein Consolidated 39,200 182
Ellerine Holdings, Ltd. (a) 314,200 1,339
FirstRand, Ltd. 921,500 1,153
Foschini, Ltd. 269,200 610
</TABLE>
6 Semiannual Report
<PAGE>
SSgA
Emerging Markets Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
--------- ------
<S> <C> <C>
Gencor, Ltd. 376,200 1,517
Impala Platinum Holdings, Ltd. 34,600 1,234
Imperial Holdings, Ltd. (a) 42,082 412
Investec Group, Ltd. 37,400 1,558
Iscor, Ltd. (a) 309,455 867
Liberty Life Association of Africa 218,700 2,133
Liberty Life Strategic 92,707 1
Murray & Roberts Holdings, Ltd. 624,600 414
Nedcor Investment Bank Holdings (a) 97,239 45
Nedcor, Ltd. 97,239 2,056
Persetel Holdings, Ltd. 97,500 681
Rembrandt Group, Ltd. 325,294 2,824
Reunert, Ltd. 527,500 770
Safmarine & Rennies Holdings, Ltd. 905,300 421
Sanlam, Ltd. 1,609,470 2,032
Sappi, Ltd. 189,132 1,567
Sasol NPV 239,946 1,538
Standard Bank Investment Corporation, Ltd. 350,700 1,368
Tongaat-Hulett Group, Ltd. 67,719 371
------
41,561
------
South Korea - 14.7%
Anam Semiconductor, Inc. (a) 21,470 179
Cheil Jedang Corp. 13,610 877
Dacom Corp. 4,270 1,234
Daegu Bank (a) 78,820 163
Daelim Industrial Co. 32,314 171
Daewoo Securities 53,000 558
Daum Communications Corp. 1,460 238
Dongwon Securities 18,590 380
Haansoft, Inc. 7,870 282
Hana Bank 60,720 440
Hanjin Heavy Industries 87,171 232
Hanjin Shipping Co. (a) 52,580 218
Hansol Paper Co. 46,720 339
Hanvit Bank - GDR 45,700 155
Housing & Commercial Bank, Korea 77,957 1,389
Hyosung T&C Co. (a) 33,507 355
Hyundai Electronics Industries Co. (a) 106,780 1,690
Hyundai Engineering & Construction (a) 40,612 141
Hyundai Merchant Marine 99,810 688
Hyundai Motor Co., Ltd. (a) 81,260 866
Kolon Industries, Inc. 38,560 329
Kookmin Bank 118,050 1,315
Koram Bank 62,000 351
Korea Chemical Co., Ltd. 9,500 592
Korea Electric Power Corp. 97,000 2,427
Korea Telecom Corp. 40,900 3,453
Korea Telecom Corp. - ADR 12,600 548
Korea Thrunet Co., Ltd. Class A (a) 3,800 225
Korean Air 29,558 203
L.G. Information & Communication 12,770 1,417
LG Cable & Machinery 25,700 425
LG Chemical, Ltd. 52,690 1,395
LG Electronics 76,000 1,562
LG Securities 33,560 599
Namhae Chemical Corp. 27,656 427
Nong Shim Co., Ltd. 9,950 378
Pacific Corp. 13,300 210
Pohang Iron & Steel Co., Ltd. 21,360 2,106
Poongsan Corp. 65,180 357
Samsung Corp. (a) 72,490 788
Samsung Display Devices Co. 23,660 688
Samsung Electronics 65,241 14,766
Samsung Fire & Marine Insurance (a) 24,092 685
Samsung Heavy Industries (a) 130,482 475
Samsung Securities Co., Ltd. 53,438 1,635
Shin Han Bank 61,570 588
Shin Young Securities 19,010 318
Shinsegae Department Store Co. 5,950 245
Sindo Ricoh Co. 18,431 521
SK Corp. 18,410 415
SK Telecomm Co., Ltd. 1,613 5,989
Ssangyong Oil Refining Co. 38,430 642
Taehan Electric Wire Co. 36,580 450
Trigem Computer, Inc. 6,360 639
------
57,758
------
</TABLE>
Semiannual Report 7
<PAGE>
SSgA
Emerging Markets Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
--------- ------
<S> <C> <C>
Spain - 0.5%
Terra Networks SA - ADR (a) 15,200 1,970
------
Sri Lanka - 0.5%
Development Finance Corp. of Ceylon 393,866 563
John Keells Holdings, Ltd. 647,013 1,277
------
1,840
------
Taiwan - 11.6%
Acer, Inc. (a) 471,256 1,282
Advanced Semiconductor Engineering, Inc. (a) 199,260 665
Ambassador Hotel (a) 256,992 120
Asia Cement Corp. 661,920 707
Asustek Computer, Inc. 181,102 2,259
Cathay Construction Corp. 613,200 260
Cathay Life Insurance 659,335 1,826
Chang Hwa Bank 188,000 225
China Bills Finance Corp. (a) 619,020 227
China Development Industrial Bank (a) 1,033,218 1,750
China Steel Corp. 2,131,569 1,652
Chinatrust Commercial Bank (a) 796,080 856
CMC Magnetics Corp. 86,000 440
Compal Electronics, Inc. 343,400 1,197
Delta Electronics, Inc. 103,200 498
Ensure Co., Ltd. (a) 151,008 36
Evergreen Marine Corp. (a) 125,280 118
Far Eastern Department Stores, Ltd. 690,120 416
Far Eastern Textile Co., Ltd. 249,941 545
First Commercial Bank 132,000 192
Formosa Chemicals & Fibre Corp. 513,120 769
Formosa Plastics Corp. 616,540 1,356
Formosa Taffeta Co. 699,240 569
Fubon Insurance Co. 293,700 309
GigaMedia, Ltd. 19,630 1,384
Hon Hai Precision Industry Co. (a) 219,200 2,042
Hua Nan Bank 363,079 503
International Commercial Bank of China 489,500 550
Inventec Co., Ltd. (a) 162,200 428
Lite-On Electronics, Inc. 210,240 370
Macronix International Co., Ltd. 209,000 494
Mosel Vitelic, Inc. (a) 645,000 1,187
Nan Ya Plastic Corp. 782,550 1,733
Pacific Electrical Wire & Cable (a) 609,050 633
Ritek, Inc. (a) 73,399 457
Taipei Business Bank (a) 555,872 641
Taiwan Cement Corp. 160,600 225
Taiwan Semiconductor Manufacturing Co. (a) 1,221,968 8,001
Tatung Co., Ltd. (a) 743,886 1,037
Teco Electric & Machinery 322,576 464
United Microelectronics Corp., Ltd. (a) 1,108,400 4,062
Walsin Lihwa Wire 1,138,981 1,035
Winbond Electronics Corp. (a) 369,000 913
Yageo Corp. 537,100 814
Yang Ming Marine Transport (a) 352,000 195
Yue Loong Motor 270,934 228
------
45,670
------
Thailand - 0.0%
Finance One Public Co., Ltd.
(Alien Market)(a)(d) 153,300 0
------
Turkey - 5.7%
Akbank TAS 53,710,176 1,098
Alcatel Teletas Telekomunikasyon Endustri ve Ticaret AS 2,078,000 579
Anadolu Isuzu Otom 7,490,000 541
Arcelik AS 11,730,600 694
Brisa Bridgestone Sabanci Lastik San. Ve Tic AS 9,898,000 637
Dogan Sirketler Grubu Holding AS (a) 43,139,800 1,277
Eregli Demir ve Celik Fabrikalari TAS (a) 14,493,000 624
Haci Omer Sabanci Holding AS 50,588,000 2,333
Izmir Demir Celik Sanayii AS (a) 27,929,090 185
Koc Holding AS 12,716,000 2,435
Mardin Cimento Sanayii Ve Ticaret 18,730,050 513
Medya Holdings Class C (a) 30,271,000 501
Migros 969,000 582
Turk Ekonomi Bankasi AS - GDR 39,240 598
</TABLE>
8 Semiannual Report
<PAGE>
SSgA
Emerging Markets Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Market
Number Value
of (000)
Shares $
----------- ------
<S> <C> <C>
Turkiye Garanti Bankasi AS (a) 125,882,400 1,884
Turkiye Is Bankasi 110,558,896 5,292
Yapi ve Kredi Bankasi AS 90,656,248 2,684
-------
22,457
-------
United States - 0.1%
Deltathree.com, Inc. Class A (a) 8,545 357
-------
Venezuela - 0.5%
Banco Provincial SA 222,000 156
Companhia Anonima Nacional Telefonos de Venezuela - ADR 32,000 1,066
Corp. Industrial de Energia (a) 1,536,172 19
Electricidad de Caracas (Regd) 1,976,630 573
Mavesa SA 2,019,899 93
Venezolana de Cementos S.A.C.A 729,928 237
-------
2,144
-------
Total Common Stocks
(cost $279,127) 343,543
-------
Preferred Stocks - 7.9%
Brazil - 7.2%
Aracruz Celulose SA Class B NPV 402,100 839
Banco Bradesco SA 14,124,532 102
Banco Bradesco SA NPV 217,521,056 1,564
Banco do Estado de Sao Paulo NPV 40,285,800 1,618
Banco Itau SA NPV 20,263,000 1,610
Caemi Mineracao e Metalurgia SA NPV 8,192,000 811
CIA Energetica De Minas Gerais 38,731,944 638
Companhia Brasileira de Distribuicao Grupo Pao de Acucar 16,267,800 551
Companhia Paranaense de Energia - Copel 43,681,100 400
Companhia Vale Do Rio Doce Series A NPV 83,965 2,232
Companmia Cervejaria Brahma NPV 1,197,900 739
Copene Petroquimica do Nordestse Series A (Regd) 3,187,341 1,096
Embratel Participacoes SA NPV 49,879,200 1,202
Gerdau SA NPV 27,194,100 757
Itausa Investimentos Itau SA 977,000 906
Itausa- Investimentos Itau SA NPV 22,896 21
Petroleo Brasileiro SA NPV 16,817,000 4,375
Tele Centro Sul Participacoes SA NPV 41,207,200 597
Tele Nordeste Celular Participacoes SA 215,866,800 659
Tele Norte Leste Participacoes SA NPV 57,297,500 1,476
Telecomunicacoes de Minas Gerais Class B NPV 35,388,100 1,371
Telecomunicacoes do Parana SA NPV 1,640,000 677
Telecomunicacoes do Rio de Janeiro SA NPV (a) 7,900,000 229
Telesp Celular Participacoes SA NPV 17,028,044 366
Telesp Participacoes SA NPV 40,300,000 1,367
Uniao de Bancos Brasileiros SA (Units) 11,857,400 697
Usinas Siderurgicas de Minas Gerais SA NPV 219,300 1,191
Votorantim Celulose e Papel SA - ADR 9,043,700 313
-------
28,404
-------
Greece - 0.1%
Delta Dairy SA 11,804 303
-------
South Korea - 0.6%
Daishin Securities 30,930 324
Hyundai Motor Co., Ltd. 62,500 260
Samsung Electronic, Ltd. 17,050 1,553
Shinsegae Department Store Co. 1,800 62
-------
2,199
-------
Total Preferred Stocks
(cost $22,458) 30,906
-------
</TABLE>
Semiannual Report 9
<PAGE>
SSgA
Emerging Markets Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Principal Market
Amount Value
(000) (000)
$ $
--------- -------
<S> <C> <C>
Long-Term Investments - 0.2%
Chile - 0.2%
Five Arrows Chile Investment Trust (conv.)
3.500% due 11/13/40 220 616
-------
Total Long-Term Investments
(cost $600) 616
-------
Short-Term Investments - 1.4%
United States - 1.4%
AIM Short-Term Investment Prime Portfolio Class A (b) 1 1
Federated Investors Prime Cash Obligations Fund (b) 1 1
Ford Motor Credit Co.
5.347% due 06/08/00 (c)(e) 3,000 3,002
Key Bank NA
5.720% due 07/17/00 (e) 2,500 2,498
-------
Total Short-Term Investments
(cost $5,504) 5,502
-------
Total Investments - 96.9%
(identified cost $307,689) 380,567
-------
Other Assets and Liabilities,
Net - 3.1% 12,322
-------
Net Assets - 100.0% 392,889
=======
</TABLE>
(a) Non-income producing security.
(b) At amortized cost, which approximates market.
(c) Adjustable or floating rate security.
(d) These securities have been valued by the Security Valuation Committee of The
Board of Trustees. It is possible that the estimated value may differ
significantly from the amount that might ultimately be realized.
(e) Held as collateral in connection with equity swap agreements held by the
Fund.
Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
NPV - No Par Value
Foreign Currency Abbreviations:
BRL - Brazilian real
GRD - Greek drachma
HKD - Hong Kong dollar
IDR - Indonesian rupiah
KRW - South Korean won
MXN - Mexican peso
USD - United States dollar
ZAR - South African rand
See the accompanying notes which are an integral part of the financial
statements.
10 Semiannual Report
<PAGE>
SSgA
Emerging Markets Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
Unrealized
Number Appreciation
of (Depreciation)
Contracts (000)
--------- --------------
<S> <C> <C>
Futures Contracts
MSCI Index Futures Contracts (Taiwan)
expiration date 03/00 121 $ 22
------
Total Unrealized Appreciation
(Depreciation) on Open Futures Contracts
Purchased (ss.) $ 22
======
</TABLE>
(ss.) At February 29, 2000, $512 cash was held as collateral in connection with
open futures contracts held by the Fund.
Forward Foreign Currency Exchange Contracts
<TABLE>
<CAPTION>
Unrealized
Contracts to In Exchange Appreciation
Deliver For Settlement (Depreciation)
(000) (000) Date (000)
- ------------- -------------- ---------- --------------
<S> <C> <C> <C> <C>
USD 14,139 GRD 4,726,784 05/25/00 $(562)
USD 6,730 IDR 50,102,037 05/25/00 (38)
BRL 7,520 USD 4,097 05/25/00 (57)
HKD 32,544 USD 4,181 05/25/00 --
KRW 4,800,714 USD 4,217 05/25/00 (25)
MXN 24,074 USD 2,485 05/25/00 (16)
ZAR 36,670 USD 5,742 05/25/00 9
-----
$(689)
=====
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 11
<PAGE>
SSgA
Emerging Markets Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
% of Value
Net (000)
Industry Diversification Assets $
- ------------------------ ------ -------
Basic Industries 10.4 40,834
Capital Goods 6.2 24,492
Consumer Basics 6.1 23,841
Consumer Durables 2.6 10,027
Consumer Non-Durables 2.5 9,817
Consumer Services 1.2 4,801
Energy 3.8 15,025
Finance 20.5 80,604
General Business 2.9 11,338
Miscellaneous 3.2 12,658
Shelter 0.4 1,689
Technology 15.4 60,436
Transportation 0.7 2,685
Utilities 19.4 76,202
Long-Term Investments 0.2 616
Short-Term Investments 1.4 5,502
----- -------
Total Investments 96.9 380,567
Other Assets and Liabilities, Net 3.1 12,322
----- -------
Net Assets 100.0 392,889
===== =======
Geographic Diversification
- --------------------------
Africa 10.6 41,561
Europe 6.5 25,638
Latin America 26.5 104,389
Middle East 13.4 52,494
Pacific Basin 38.2 150,010
Other 0.1 357
Long-Term Investments 0.2 616
Short-Term Investments 1.4 5,502
----- -------
Total Investments 96.9 380,567
Other Assets and Liabilities, Net 3.1 12,322
----- -------
Net Assets 100.0 392,889
===== =======
See the accompanying notes which are an integral part of the financial
statements.
12 Semiannual Report
<PAGE>
SSgA
Emerging Markets Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Equity Swaps
<TABLE>
<CAPTION>
Notional Unrealized
Amount Appreciation
(000) Termination (Depreciation)
Underlying Security $ Floating Rate Date (000)
- ------------------------------- -------- ------------------------- ----------- --------------
<S> <C> <C> <C> <C>
IFC Emerging Markets Investable
Total Return Chile Index 3,808 USD LIBOR-BBA minus .25% 06/30/00 $ (286)
IFC Emerging Markets Investable
India Index 2,500 USD LIBOR-BBA minus 3.05% 06/29/00 1,435
--------
$ 1,149
========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 13
<PAGE>
SSgA
Emerging Markets Fund
Statement of Assets and Liabilities
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at market (identified cost $307,689) ........................................ $ 380,567
Cash .................................................................................... 231
Foreign currency holdings (identified cost $2,988) ...................................... 2,980
Unrealized appreciation on forward foreign currency exchange contracts .................. 9
Receivables:
Dividends and interest ............................................................. 994
Investments sold ................................................................... 8,449
Fund shares sold ................................................................... 1,759
Daily variation margin on futures contracts ........................................ 44
Prepaid expenses ........................................................................ 23
Short-term investments held as collateral for securities loaned, at market .............. 23,305
Receivable for equity swaps ............................................................. 1,149
---------
Total assets .................................................................. 419,510
Liabilities
Payables:
Investments purchased .................................................. $ 1,406
Fund shares redeemed ................................................... 612
Accrued fees to affiliates ............................................. 600
Unrealized depreciation on forward foreign currency exchange contracts ...... 698
Payable upon return of securities loaned, at market ......................... 23,305
---------
Total liabilities ............................................................. 26,621
---------
Net Assets .............................................................................. $ 392,889
=========
Net Assets Consist of:
Accumulated distributions in excess of net investment income ............................ $ (1,062)
Accumulated net realized gain (loss) .................................................... (7,655)
Unrealized appreciation (depreciation) on:
Investments ........................................................................ 72,878
Futures contracts .................................................................. 22
Equity swaps ....................................................................... 1,149
Foreign currency-related transactions .............................................. (730)
Shares of beneficial interest ........................................................... 31
Additional paid-in capital .............................................................. 328,256
---------
Net Assets .............................................................................. $ 392,889
=========
Net Asset Value, offering and redemption price per share:
($392,888,640 divided by 31,320,237 shares of $.001 par value
shares of beneficial interest outstanding) ......................................... $ 12.54
=========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
14 Semiannual Report
<PAGE>
SSgA
Emerging Markets Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Dividends (net of foreign taxes withheld of $228) ............... $ 3,284
Expenses
Advisory fees ........................................ $ 1,398
Administrative fees .................................. 134
Custodian fees ....................................... 670
Distribution fees .................................... 143
Transfer agent fees .................................. 36
Professional fees .................................... 16
Registration fees .................................... 24
Shareholder servicing fees ........................... 94
Trustees' fees ....................................... 5
Miscellaneous ........................................ 6
--------
Expenses before reductions ........................... 2,526
Expense reductions ................................... (195)
--------
Expenses, net .............................................. 2,331
--------
Net investment income ................................................ 953
--------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments .......................................... 17,155
Futures contracts .................................... 1,746
Equity swaps ......................................... 419
Foreign currency-related transactions ................ 266 19,586
--------
Net change in unrealized appreciation (depreciation) on:
Investments .......................................... 54,214
Futures contracts .................................... (242)
Equity swaps ......................................... 778
Foreign currency-related transactions ................ (609) 54,141
-------- --------
Net realized and unrealized gain (loss) .............................. 73,727
--------
Net increase (decrease) in net assets from operations ................ $ 74,680
========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 15
<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 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income .......................................... $ 953 $ 4,830
Net realized gain (loss) ....................................... 19,586 (8,139)
Net change in unrealized appreciation (depreciation) ........... 54,141 135,065
--------- ---------
Net increase (decrease) in net assets from operations ..... 74,680 131,756
--------- ---------
Distributions
From net investment income ..................................... (7,555) (8,219)
--------- ---------
Share Transactions
Net increase (decrease) in net assets from share transactions... (9,891) 5,748
--------- ---------
Total net increase (decrease) in net assets ......................... 57,234 129,285
Net Assets
Beginning of period ............................................ 335,655 206,370
End of period (including accumulated distributions in excess of
net investment income of $1,062 and undistributed
net investment income of $5,540, respectively) ............... $ 392,889 $ 335,655
========= =========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
16 Semiannual Report
<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>
Fiscal Years Ended August 31,
--------------------------------------------------------
2000* 1999 1998 1997 1996 1995
-------- -------- -------- -------- -------- --------
<S> <C> <C> <C> <C> <C> <C>
Net Asset Value, Beginning of Period ........... $ 10.47 $ 6.52 $ 12.33 $ 10.87 $ 10.30 $ 11.45
-------- -------- -------- -------- -------- --------
Income From Operations
Net investment income (a) ................. .03 .15 .18 .12 .11 .14
Net realized and unrealized gain (loss) ... 2.27 4.07 (5.58) 1.51 .68 (1.19)
-------- -------- -------- -------- -------- --------
Total income from operations ......... 2.30 4.22 (5.40) 1.63 .79 (1.05)
-------- -------- -------- -------- -------- --------
Distributions
From net investment income ................ (.23) (.27) (.15) (.11) (.12) (.10)
From net realized gain .................... -- -- (.26) (.06) (.10) --
-------- -------- -------- -------- -------- --------
Total distributions .................. (.23) (.27) (.41) (.17) (.22) (.10)
-------- -------- -------- -------- -------- --------
Net Asset Value, End of Period ................. $ 12.54 $ 10.47 $ 6.52 $ 12.33 $ 10.87 $ 10.30
======== ======== ======== ======== ======== ========
Total Return (%)(b) ............................ 22.47 66.41 (45.36) 15.12 7.83 (9.28)
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) .. 392,889 335,655 206,370 252,708 120,216 68,385
Ratios to average net assets (%)(c):
Operating expenses, net (d) .......... 1.25 1.25 1.25 1.25 1.28 1.50
Operating expenses, gross (d) ........ 1.35 1.34 1.38 1.51 1.67 1.90
Net investment income ................ .51 1.78 1.85 1.07 1.10 1.74
Portfolio turnover rate (%) ............... 31.06 39.64 38.94 15.00 4.36 19.77
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
(a) For the periods subsequent to August 31, 1998, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts.
Semiannual Report 17
<PAGE>
SSgA
Emerging Markets Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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.
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. At
August 31, 1999, the Fund had net tax basis capital loss carryovers of
$62,851 and $22,276,310, which may be applied against any realized net
taxable
18 Semiannual Report
<PAGE>
SSgA
Emerging Markets Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
gains in each year or until their expiration dates of August 31, 2006, and
August 31, 2007, respectively, whichever occurs first. As permitted by tax
regulations, the Fund intends to defer a net realized capital loss of
$4,775,701 incurred from November 1, 1998 to August 31, 1999, and treat it
as arising in fiscal year 2000.
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 29, 2000 are as follows:
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
------------- ------------ -------------- --------------
$ 309,033,785 $110,032,577 $(38,499,753) $71,532,824
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.
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
Semiannual Report 19
<PAGE>
SSgA
Emerging Markets Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
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 29, 2000
are presented in the accompanying Statement of Net Assets.
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.
20 Semiannual Report
<PAGE>
SSgA
Emerging Markets Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Equity Swaps: The Fund has entered into several equity swap agreements in
order to efficiently participate in certain foreign markets. Pursuant to
these agreements, the Fund pays the swap counterparties based on the
notional amount and an agreed upon rate (i.e. the 12-month USD LIBOR BBA
rate). During the terms of the agreements, changes in the underlying values
of the swaps are recorded as unrealized gain (loss) and are based on
changes in the value of the underlying index. The underlying index is
valued at the published daily closing price. Accrued interest expense to be
paid to the swap counterparties or accrued interest income to be paid to
the Fund, at the agreed upon dates, are recognized as unrealized gain
(loss). Amounts paid to the swap counterparties representing capital
depreciation on the underlying securities and accrued interest expense and
interest income are recorded as net realized gain (loss). The Fund is
exposed to credit risk in the event of non-performance by the swap
counterparties; however, the Fund does not anticipate non-performance by
the counterparties. The Fund has segregated certain short-term investments
(identified in the accompanying Statement of Net Assets) as collateral for
the notional amount under the equity swap agreements.
Investment in emerging markets: Investing in emerging markets may involve
special risks and considerations not typically associated with investing in
the United States markets. These risks include revaluation of currencies,
high rates of inflation, repatriation, restrictions on income and capital,
and future adverse political and economic developments. Moreover,
securities issued in these markets may be less liquid, subject to
government ownership controls, delayed settlements, and their prices more
volatile than those of comparable securities in the United States.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and sales of investment securities, excluding short-term
investments and futures contracts, aggregated to $107,630,451 and
$108,795,816, respectively.
Securities Lending: The Investment Company has a securities lending program
whereby each Fund can 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 recorded 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 recorded 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 21
<PAGE>
SSgA
Emerging Markets Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
to be of good financial standing. As of February 29, 2000, the value of
outstanding securities on loan and the value of collateral amounted to
$22,286,954 and $23,304,901, respectively. The Fund recorded securities
lending income of $76,316 during the period.
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company 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
29, 2000, the receivable due from the Adviser for expenses in excess of the
expense cap has been netted against the Advisory 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $3,490 under these arrangements.
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 for services supplied by the Administrator pursuant
to the Administration Agreement, 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%. In
addition, the Fund reimburses the Administrator for out-of-pocket expenses
and start-up costs for new funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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.
22 Semiannual Report
<PAGE>
SSgA
Emerging Markets Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
The Fund has service agreements with the Adviser, State Street Brokerage
Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and
State Street Solutions ("Solutions")(collectively the "Agents"), as well as
several unaffiliated service providers. For these services, the Fund pays
.025%, .175%, .175%, .175% and .175%, to the Adviser, SSBSI, RIS,
Commercial Banking, and Solutions, respectively, based upon the average
daily value of all Fund shares held by or for customers of these Agents.
For the six months ended February 29, 2000, the Fund was charged
shareholder servicing expenses of $46,195, $1,859, $15,937, $484 and $3,156
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 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000
were as follows:
Advisory fees $ 387,106
Administration fees 27,353
Custodian fees 139,922
Distribution fees 2,106
Shareholder servicing fees 29,080
Transfer agent fees 13,152
Trustees' fees 1,072
----------
$ 599,791
==========
Beneficial Interest: As of February 29, 2000, one shareholder was a record
owner of approximately 39% of the total outstanding shares of the Fund.
Semiannual Report 23
<PAGE>
SSgA
Emerging Markets Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
--------------------------------------------
February 29, 2000 August 31, 1999
------------------- ---------------------
Shares Dollars Shares Dollars
------- --------- --------- --------
<S> <C> <C> <C> <C>
Proceeds from shares sold...................................... 14,901 $ 173,809 25,947 $ 225,323
Proceeds from reinvestment of distributions.................... 642 6,594 993 7,446
Payments for shares redeemed................................... (16,267) (190,294) (26,560) (227,021)
------- --------- ------- ---------
Total net increase (decrease).................................. (724) $ (9,891) 380 $ 5,748
======= ========= ======= =========
</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 .09% 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 net assets under the
agreement. The Fund did not have any drawdowns during the period.
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
24 Semiannual Report
<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
160 Federal Street
Boston, Massachusetts 02110
Semiannual Report 25
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Tuckerman Active REIT Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Tuckerman Active REIT Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements....................................................... 3
Financial Highlights....................................................... 7
Notes to Financial Statements.............................................. 8
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. Russell Fund Distributors,
Inc., is the distributor of the SSgA Funds.
<PAGE>
SSgA(R) Funds
Tuckerman Active REIT Fund
Statement of Net Assets
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------ -------
Common Stocks (a) - 98.6%
Apartment - 25.5%
Apartment Investment &
Management Co. Class A 46,900 1,735
Archstone Communities Trust 39,100 765
Avalonbay Communities, Inc. 49,900 1,684
Equity Residential 58,500 2,336
Properties Trust
Essex Property Trust, Inc. 22,500 793
Sun Communities, Inc. 25,200 742
------
8,055
------
Hotels/Leisure - 3.3%
Host Marriott Corp. 49,500 439
Starwood Hotels & Resorts
Woldwide, Inc. 27,000 606
------
1,045
------
Leasing - 7.8%
Captec Net Lease Realty, Inc. 71,700 592
MeriStar Hospitality Corp. 118,100 1,883
------
2,475
------
Office/Industrial - 44.2%
Alexandria Real Estate
Equities, Inc. 52,600 1,608
Boston Properties, Inc. 42,200 1,279
Brandywine Realty Trust 44,000 704
Corporate Office Properties Trust 55,300 446
Duke Realty Investments, Inc. 82,498 1,516
Equity Office Properties Trust 114,700 2,746
First Industrial Realty Trust, Inc. 34,400 894
Prentiss Properties Trust 33,500 689
ProLogis Trust 55,700 1,006
SL Green Realty Corp. 73,000 1,697
Spieker Properties, Inc. 34,400 1,381
------
13,966
------
Outlet Centers - 3.0%
Chelsea GCA Realty, Inc. 35,800 949
------
Regional Malls - 8.4%
CBL & Associates Properties, Inc. 38,100 852
Simon Property Group, Inc. 76,600 1,801
------
2,653
------
Self Storage - 2.2%
Storage USA, Inc. 22,600 709
------
Shopping Center - 4.2%
Equity One, Inc. 28,800 283
Kimco Realty Corp. 30,300 1,044
------
1,327
------
Total Common Stocks
(cost $31,417) 31,179
------
Principal
Amount
(000)
$
---------
Short-Term Investments - 1.5%
AIM Short Term Investment
Prime Portfolio (b) 296 296
Federated Investors Prime
Cash Obligations Fund (b) 153 153
------
Total Short-Term Investments
(cost $449) 449
------
Total Investments - 100.1%
(identified cost $31,866) 31,628
Other Assets and Liabilities,
Net - (0.1%) (22)
------
Net Assets - 100.0% 31,606
======
(a) All common stocks held are Real Estate Investment Trusts (REITs).
(b) At amortized cost, which approximates market.
See the accompanying notes which are an integral part of the financial
statments.
Semiannual Report 3
<PAGE>
SSgA(R) Funds
Tuckerman Active REIT Fund
Statement of Assets and LIABILITIES
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at market (identified cost $31,866) .............. $ 31,628
Receivables:
Dividends ................................................. 3
Investments sold .......................................... 598
Fund shares sold .......................................... 53
Deferred organization expenses ............................... 1
Prepaid expenses ............................................. 6
Short-term investments held as collateral for
securities loaned, at market ................................. 4,319
--------
Total assets ............................................ 36,608
Liabilities
Payables:
Investments purchased ..................................... $ 620
Fund shares redeemed ...................................... 24
Accrued fees to affiliates ................................ 30
Other accrued expenses .................................... 9
Payable upon return of securities loaned, at market .......... 4,319
--------
Total liabilities ....................................... 5002
--------
Net Assets ................................................... $ 31,606
========
Net Assets Consist of:
Accumulated distributions in excess of net investment income . $ (380)
Accumulated net realized gain (loss) ......................... (6,746)
Unrealized appreciation (depreciation) on investments ........ (238)
Shares of beneficial interest ................................ 4
Additional paid-in capital ................................... 38,966
--------
Net Assets ................................................... $ 31,606
========
Net Asset Value, offering and redemption price per share:
($31,605,666 divided by 4,246,725 shares of $.001 par value
shares of beneficial interest outstanding) .............. $ 7.44
========
</TABLE>
See the accompanying notes which are an integral part of the financial
statments.
4 Semiannual Report
<PAGE>
SSgA(R) Funds
Tuckerman Active REIT Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Dividends ...................................................... $ 1,318
Interest ....................................................... 7
-------
Total investment income ...................................... 1,325
Expenses
Advisory fees .................................................. $ 107
Administrative fees ............................................ 5
Custodian fees ................................................. 9
Distribution fees .............................................. 5
Transfer agent fees ............................................ 13
Professional fees .............................................. 8
Registration fees .............................................. 15
Shareholder servicing fees ..................................... 5
Trustees' fees ................................................. 2
Miscellaneous .................................................. 1
Expenses before reductions ..................................... 170
Expense reductions ............................................. (5)
-------
Expenses, net ................................................ 165
-------
Net investment income ............................................. 1,160
-------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments ........................... (3,128)
Net change in unrealized appreciation (depreciation) on investments 315
-------
Net realized and unrealized gain (loss) ........................... (2,813)
-------
Net increase (decrease) in net assets from operations ............. $(1,653)
=======
</TABLE>
See the accompanying notes which are an integral part of the financial
statments.
Semiannual Report 5
<PAGE>
SSgA(R) Funds
Tuckerman Active REIT Fund
Statement of Chnages in Net Assets
Amounts in thousands
<TABLE>
<CAPTION>
For the Six For the
Months Ended Fiscal Year
February 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income .......................................... $ 1,160 $ 2,248
Net realized gain (loss) ....................................... (3,128) (3,566)
Net change in unrealized appreciation (depreciation) ........... 315 3,593
-------- --------
Net increase (decrease) in net assets from operations ........ (1,653) 2,275
-------- --------
Distributions
From net investment income ..................................... (1,689) (2,374)
-------- --------
Share Transactions
Net increase (decrease) in net assets from share transactions .. (10,580) 27,169
-------- --------
Total net increase (decrease) in net assets ....................... (13,922) 27,070
Net Assets
Beginning of period ............................................ 45,528 18,458
-------- --------
End of period (including accumulated distributions in excess of
net investment income of $380 and undistributed net investment
income of $149, respectively) ................................ $ 31,606 $ 45,528
======== ========
</TABLE>
See the accompanying notes which are an integral part of the financial
statments.
6 Semiannual Report
<PAGE>
SSgA(R) Funds
Tuckerman Active REIT 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>
Fiscal Year Ended
August 31,
---------------------------
2000* 1999 1998*
---------- ---------- ----------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period ...... $ 8.08 $ 8.17 $ 10.00
---------- ---------- ----------
Income From Operations
Net investment income (a) .............. .25 .50 .15
Net realized and unrealized gain (loss) (.48) (.01) (1.94)
---------- ---------- ----------
Total income from operations ......... (.23) .49 (1.79)
---------- ---------- ----------
Distributions
From net investment income ............. (.41) (.58) (.04)
---------- ---------- ----------
Net Asset Value, End of Period ............ $ 7.44 $ 8.08 $ 8.17
========== ========== ==========
Total Return (%)(b) ....................... (2.77) 6.09 (17.99)
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) 31,606 45,528 18,458
Ratios to average net assets (%)(c):
Operating expenses, net (d) .......... 1.00 1.00 1.00
Operating expenses, gross (d) ........ 1.03 1.09 1.38
Net investment income ................ 7.04 6.25 5.21
Portfolio turnover rate (%) ............ 64.67 60.13 17.36
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
** For the period May 1, 1998 (commencement of operations) to August 31,
1998.
(a) For the periods subsequent to August 31, 1998, average month-end shares
outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts.
Semiannual Report 7
<PAGE>
SSgA(R) Funds
Tuckerman Active REIT Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. These financial statements report on one portfolio,
the SSgA Tuckerman Active REIT Fund (formerly 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 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.
Money market instruments maturing within 60 days of the valuation date are
valued at amortized cost.
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.
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.
8 Semiannual Report
<PAGE>
SSgA(R) Funds
Tuckerman Active REIT Fund
Notes to Financial Statements, continued
February 29, 2000 (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 August 31, 1999, the Fund had a net tax basis capital loss carryover of
$471,979 which may be applied against any realized net taxable gains in
each succeeding year or until its expiration date of August 31, 2007. As
permitted by tax regulations, the Fund intends to defer a net realized
capital loss of $3,132,796 incurred from November 1, 1998 to August 31,
1999, and treat it as arising in fiscal year 2000.
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 29, 2000 are as follows:
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
------------ ------------- ------------- -------------
$ 31,879,810 $ 831,722 $ (1,083,554) $ (251,832)
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 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. These costs were deferred and are being
amortized over 60 months on a straight-line basis.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and sales of investment securities, excluding short-term
investments, aggregated to $21,007,456 and $32,283,788, respectively.
Securities Lending: The Investment Company has a securities lending
program whereby each Fund can 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
Semiannual Report 9
<PAGE>
SSgA(R)
Tuckerman Active REIT Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
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
recorded 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 recorded 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 29, 2000, the value of outstanding securities on
loan and the value of collateral amounted to $4,150,431 and $4,318,648,
respectively. The Fund recorded securities lending income of $4,630 during
the period.
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $133 under these arrangements.
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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses
the Administrator for out-of-pocket expenses and start-up costs for new
funds.
10 Semiannual Report
<PAGE>
SSgA(R)
Tuckerman Active REIT Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Distributor and Shareholder Servicing: The Investment Company has 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 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 service agreements with the Adviser, State Street Brokerage
Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and
State Street Solutions ("Solutions")(collectively the "Agents"), as well
as several unaffiliated service providers. For these services, the Fund
pays .025%, .175%, .175%, .175% and .175% to the Adviser, SSBSI, RIS,
Commercial Banking, and Solutions, respectively, based upon the average
daily value of all Fund shares held by or for customers of these Agents.
For the six months February 29, 2000, the Fund was charged shareholder
servicing expenses of $4,120, $660, and $271 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 February 29, 2000.
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 $1,425 for the six months
ended February 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. These expenses are allocated among
all of the Funds based upon their relative net assets.
Semiannual Report 11
<PAGE>
SSgA(R)
Tuckerman Active REIT Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Accrued fees payable to affiliates and trustees as of February 29, 2000
were as follows:
Advisory fees $29,276
Administration fees 123
Custodian fees 76
Distribution fees 62
Shareholder servicing fees 169
Transfer agent fees 164
Trustees' fees 7
-------
$29,877
=======
Beneficial Interest: As of February 29, 2000, one shareholder (who was
also an affiliate of the Investment Company) was a record owner of
approximately 17% of the total outstanding shares of the Fund.
5. Fund Share Transactions (amounts in thousands)
For the Periods Ended
-----------------------------------------
February 29, 2000 August 31, 1999
------------------- -------------------
Shares Dollars Shares Dollars
-------- -------- -------- --------
Proceeds from shares sold ... 854 $ 6,456 3,647 $ 29,401
Proceeds from reinvestment of
distributions ............ 49 366 139 1,135
Payments for shares redeemed (2,291) (17,402) (411) (3,367)
-------- -------- -------- --------
Total net increase (decrease) (1,388) $(10,580) 3,375 $ 27,169
======== ======== ======== ========
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 .09% 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 net assets under the
agreement. The Fund did not have any drawdowns during the period.
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
12 Semiannual Report
<PAGE>
SSgA Tuckerman Active REIT 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
160 Federal Street
Boston, Massachusetts 02110
Semiannual Report 13
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
International Growth Opportunities Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
International Growth Opportunities Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements....................................................... 3
Financial Highlights....................................................... 9
Notes to Financial Statements.............................................. 10
Fund Management and Service Providers...................................... 16
"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
International Growth Opportunities Fund
Statement of Net Assets
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
-------- --------
Common Stocks - 94.9%
Australia - 0.7%
Telstra Corp., Ltd. NPV 154,400 726
--------
Canada - 3.4%
Biovail Corp. International (a) 23,000 1,518
Newbridge Networks Corp. (a) 55,000 1,912
--------
3,430
--------
Denmark - 2.4%
Royal Dutch Petroleum Co. 18,010 946
Tele Danmark A/S 3,100 255
Tele Danmark A/S - ADR 29,720 1,228
--------
2,429
--------
Finland - 2.9%
Nokia Oyj 4,800 958
Nokia Oyj - ADR 9,960 1,975
--------
2,933
--------
France - 8.5%
Axa - ADR 22,740 1,433
Axa 6,400 805
Banque Nationale de Paris 24,600 1,945
Cap Gemini SA 7,700 2,124
Sanofi-Synthelabo SA 36,600 1,411
Total Co. SA Class B 2,200 292
Total Fina Elf SA - ADR 8,850 594
--------
8,604
--------
Germany - 13.3%
Allianz AG (Regd) 4,230 1,464
Bayer AG 4,100 173
Bayer AG - ADR 22,180 925
DaimlerChrysler AG NPV 11,100 752
Dresdner Bank AG NPV 30,300 1,447
Global TeleSystems Group, Inc. (a) 77,500 1,938
Mannesmann AG - ADR 7,640 2,520
Muenchener Rueckversicherungs-Gesellschaft AG
NPV 4,350 1,192
SAP AG - ADR 29,140 2,077
Schlumberger, Ltd. 14,200 1,049
--------
13,537
--------
Hong Kong - 1.9%
Hutchison Whampoa, Ltd. 123,000 1,928
--------
Ireland - 0.8%
Jefferson Smurfit Group PLC 380,300 856
--------
Italy - 0.1%
Beni Stabili SPA 109,646 59
--------
Japan - 22.2%
Bank of Tokyo - Mitsubishi, Ltd. 100,000 1,224
Bank of Tokyo - Mitsubishi, Ltd.- ADR 87,940 1,088
Canon, Inc. 15,000 624
Canon, Inc. - ADR 38,980 1,649
Fuji Bank, Ltd. 50,000 389
Fuji Bank, Ltd. - ADR 9,100 709
Honda Motor Co., Ltd. 19,000 622
Honda Motor Co., Ltd. - ADR 15,140 1,022
Internet Initiative Japan, Inc. - ADR (a) 8,700 911
Matsushita Electric Industrial Co., Ltd. 64,000 1,864
NTT Data Corp. 69 1,250
NTT Mobile Communication Network, Inc. NPV 56 2,258
Sony Corp. 3,300 976
Sony Corp. - ADR 9,610 3,012
Takeda Chemical Industries 47,100 2,658
Uni-Charm Corp. 37,000 2,350
--------
22,606
--------
Netherlands - 10.0%
ING Groep NV 26,200 1,327
Koninklijke (Royal) Philips Electronics NV 1,300 241
Koninklijke (Royal) Philips Electronics NV -
NPV 9,574 1,833
Koninklijke Ahold NV 41,235 959
Koninklijke KPN NV 17,859 2,274
Royal Dutch Petroleum Co. 10,700 560
United Pan-Europe Communications NV - ADR (a) 15,100 2,994
--------
10,188
--------
Semiannual Report 3
<PAGE>
SSgA
International Growth Opportunities Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
-------- --------
Spain - 6.4%
Banco Santander Central Hispano SA 138,400 1,455
Endesa SA 19,900 422
Endesa SA - ADR 29,450 631
Telefonica SA (a) 23,600 679
Telefonica SA - ADR (a) 24,767 2,147
Terra Networks SA 9,295 1,210
--------
6,544
--------
Sweden - 3.8%
Telefonaktiebolaget LM Ericsson Class B - ADR 36,820 3,532
Telefonaktiebolaget LM Ericsson Series B 3,400 326
--------
3,858
--------
United Kingdom - 18.5%
AstraZeneca Group PLC - ADR 15,170 503
Barclays PLC 39,700 943
Barclays PLC - ADR 7,090 698
BP Amoco PLC 103,900 802
BP Amoco PLC - ADR 17,194 808
British Telecommunications PLC 21,500 375
British Telecommunications PLC - ADR 3,850 686
Cable & Wireless PLC 93,800 1,943
Cable & Wireless PLC - ADR 10,300 666
Diageo PLC 110,400 845
Diageo PLC - ADR 39,160 1,207
Elan Corp. PLC - ADR (a) 50,720 2,086
HSBC Holdings PLC 189,384 2,218
Smithkline Beecham PLC - ADR 8,550 480
Unilever PLC 142,100 870
Unilever PLC - ADR 34,163 837
Vodafone AirTouch PLC 206,376 1,155
Vodafone AirTouch PLC - ADR 19,300 1,113
Zeneca Group PLC 17,400 569
--------
18,804
--------
Total Common Stocks
(cost $73,530) 96,502
--------
Preferred Stocks - 0.3%
Germany - 0.3%
SAP AG 400 333
--------
Total Preferred Stocks
(cost $263) 333
--------
Principal
Amount
(000)
$
---------
Short-Term Investments - 4.0%
AIM Short Term Investment Prime
Portfolio (b) 3,104 3,104
Federated Investors Prime Cash
Obligations Fund (b) 919 919
--------
Total Short-Term Investments
(cost $4,023) 4,023
--------
Total Investments - 99.2%
(identified cost $77,816) 100,858
Other Assets and Liabilities,
Net - 0.8% 815
--------
Net Assets - 100.0% 101,673
========
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
Abbreviations:
ADR - American Depositary Receipt
NPV - No Par Value
NV - Nonvoting
See the accompanying notes which are an integral part of the financial
statements.
4 Semiannual Report
<PAGE>
SSgA
International Growth Opportunities Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
% of Value
Net (000)
Industry Diversification Assets $
- ----------------------------------- --------- ---------
Basic Industries 1.9% 1,954
Capital Goods 2.4 2,520
Consumer Basics 16.0 16,293
Consumer Durables 10.8 10,995
Energy 5.6 5,682
Finance 18.0 18,338
General Business 3.8 3,836
Miscellaneous 2.0 1,987
Technology 16.0 16,234
Utilities 18.7 18,996
Short-Term Investments 4.0 4,023
--------- ---------
Total Investments 99.2 100,858
Other Assets and Liabilities, Net 0.8 815
--------- ---------
Net Assets 100.0% 101,673
========= =========
Geographic Diversification
- -----------------------------------
Europe 49.2% 50,067
Japan 22.2 22,606
United Kingdom 18.5 18,804
Canada 3.4 3,430
Pacific Basin 1.9 1,928
Short-Term Investments 4.0 4,023
--------- ---------
Total Investments 99.2 100,858
Other Assets and Liabilities, Net 0.8 815
--------- ---------
Net Assets 100.0% 101,673
========= =========
See the accompanying notes which 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 29, 2000 (Unaudited)
<TABLE>
<CAPTION>
<S> <C> <C>
Assets
Investments at market (identified cost $77,816) ........................................... $ 100,858
Receivables:
Dividends and interest ................................................................ 89
Fund shares sold ...................................................................... 936
Prepaid expenses .......................................................................... 6
Short-term investments held as collateral for securities loaned, at market ................ 14,142
---------
Total assets ...................................................................... 116,031
Liabilities
Payables:
Fund shares redeemed ....................................................... $ 66
Accrued fees to affiliates ................................................. 123
Other accrued expenses ..................................................... 27
Payable upon return of securities loaned, at market ............................ 14,142
---------
Total liabilities ................................................................. 14,358
---------
Net Assets ................................................................................ $ 101,673
=========
Net Assets Consist of:
Accumulated distributions in excess of net investment income .............................. $ (130)
Accumulated net realized gain (loss) ...................................................... 5,952
Unrealized appreciation (depreciation) on:
Investments ........................................................................... 23,042
Foreign currency-related transactions ................................................. (1)
Shares of beneficial interest ............................................................. 6
Additional paid-in capital ................................................................ 72,804
---------
Net Assets ................................................................................ $ 101,673
=========
Net Asset Value, offering and redemption price per share:
($101,672,595 divided by 6,498,012 shares of $.001 par value
shares of beneficial interest outstanding) ........................................ $ 15.65
=========
</TABLE>
See the accompanying notes which 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 29, 2000 (Unaudited)
Investment Income
Dividends ..................................................... $ 330
Interest ...................................................... 38
Less foreign taxes withheld ................................... (33)
--------
Total investment income ................................... 335
Expenses
Advisory fees ...................................... $ 272
Administrative fees ................................ 30
Custodian fees ..................................... 54
Distribution fees .................................. 20
Transfer agent fees ................................ 14
Professional fees .................................. 11
Registration fees .................................. 17
Shareholder servicing fees ......................... 13
Trustees' fees ..................................... 2
Miscellaneous ...................................... 1
--------
Expenses before reductions ......................... 434
Expense reductions ................................. (35)
--------
Expenses, net ............................................. 399
--------
Net investment income (loss) ...................................... (64)
--------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments ........................................ 6,949
Foreign currency-related transactions .............. 179 7,128
--------
Net change in unrealized appreciation (depreciation) on:
Investments ........................................ 17,610
Foreign currency-related transactions .............. (1) 17,609
--------
Net realized and unrealized gain (loss) ........................... 24,737
--------
Net increase (decrease) in net assets from operations ............. $ 24,673
========
See the accompanying notes which 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 Fiscal Year
February 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income (loss) ................................. $ (64) $ 433
Net realized gain (loss) ..................................... 7,128 (650)
Net change in unrealized appreciation (depreciation) ......... 17,609 10,342
--------- ---------
Net increase (decrease) in net assets from operations .... 24,673 10,125
--------- ---------
Distributions
From net investment income ................................... (400) (140)
From net realized gain ....................................... (530) --
--------- ---------
Net decrease in net assets from distributions ............ (930) (140)
--------- ---------
Share Transactions
Net increase (decrease) in net assets from share transactions 24,514 20,465
--------- ---------
Total net increase (decrease) in net assets ...................... 48,257 30,450
Net Assets
Beginning of period .......................................... 53,416 22,966
--------- ---------
End of period (including accumulated distributions
in excess of net investment income of $130 and
undistributed net investment income of $334, respectively) $ 101,673 $ 53,416
========= =========
</TABLE>
See the accompanying notes which 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.
Fiscal Years Ended
August 31,
-------------------
2000* 1999 1998**
-------- -------- --------
Net Asset Value, Beginning of Period ....... $ 11.31 $ 8.42 $ 10.00
-------- -------- --------
Income From Operations
Net investment income (loss)(a) ........ (.01) .11 .03
Net realized and unrealized gain (loss) 4.53 2.83 (1.61)
-------- -------- --------
Total income from operations ....... 4.52 2.94 (1.58)
-------- -------- --------
Distributions
From net investment income ............. (.08) (.05) --
From net realized gain ................. (.10) -- --
-------- -------- --------
Total distributions ................ (.18) (.05) --
-------- -------- --------
Net Asset Value, End of Period ............. $ 15.65 $ 11.31 $ 8.42
======== ======== ========
Total Return (%)(b) ........................ 40.29 35.08 (15.80)
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) 101,673 53,416 22,966
Ratios to average net assets (%)(c):
Operating expenses, net (d) ........ 1.10 1.10 1.10
Operating expenses, gross (d) ...... 1.20 1.30 1.66
Net investment income (loss)(e) .... (.09) 1.16 1.27
Portfolio turnover rate (%) ............ 38.73 39.19 17.24
* For the six months ended February 29, 2000 (Unaudited).
** For the period May 1, 1998 (commencement of operations) to August 31,
1998.
(a) For the periods subsequent to August 31, 1998, 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 29, 2000 and August 31, 1998 are
annualized.
(d) See Note 4 for current period amounts.
(e) The ratio for the period ended February 29, 2000 is not annualized, as
dividend income is not earned ratably throughout the fiscal year.
Semiannual Report 9
<PAGE>
SSgA
International Growth Opportunities Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the Investment Company) is a series mutual fund, currently
comprised of 23 investment portfolios which are in operation as of
February 29, 2000. 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 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.
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.
10 Semiannual Report
<PAGE>
SSgA
International Growth Opportunities Fund
Notes to Financial Statements, continued
February 29, 2000 (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 August 31, 1999, the Fund had a net tax basis capital loss carryover of
$509,900, which may be applied against any realized net taxable gains in
each succeeding year or until its expiration date of August 31, 2007. As
permitted by tax regulations, the Fund intends to defer net realized
capital and currency losses of $180,778 incurred from November 1, 1998 to
August 31, 1999, and treat them as arising in fiscal year 2000.
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 29, 2000 are as follows:
Net Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
----------- ------------ -------------- --------------
$77,816,301 $27,383,184 $(4,341,095) $23,042,089
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. These costs were 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.
Semiannual Report 11
<PAGE>
SSgA
International Growth Opportunities Fund
Notes to Financial Statements, continued
February 29, 2000 (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"). 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.
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.
12 Semiannual Report
<PAGE>
SSgA
International Growth Opportunities Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and sales of investment securities, excluding short-term
investments, aggregated to $46,808,718 and $27,369,647, respectively.
Securities Lending: The Investment Company has a securities lending
program whereby each Fund can 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
recorded 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 recorded 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 29, 2000, the value of outstanding securities on
loan and the value of collateral amounted to $13,753,321 and $14,142,469,
respectively. The Fund recorded securities lending income of $40,660
during the period.
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company 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 29, 2000, the receivable due
from the Adviser for expenses in excess of the expense cap has been netted
against the Advisory fees 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $989 under these arrangements.
Semiannual Report 13
<PAGE>
SSgA
International Growth Opportunities Fund
Notes to Financial Statements, continued
February 29, 2000 (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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses the Administrator
for out-of-pocket expenses and start-up costs for new funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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 service agreements with the Adviser, State Street Brokerage
Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and
State Street Solutions ("Solutions")(collectively the "Agents"), as well
as several unaffiliated service providers. For these services, the Fund
pays .025%, .175%, .175%, .175% and .175%, to the Adviser, SSBSI, RIS,
Commercial Banking, and Solutions, respectively, based upon the average
daily value of all Fund shares held by or for customers of these Agents.
For the six months ended February 29, 2000, the Fund was charged
shareholder servicing expenses of $9,056, $411, $3,635 and $292 by the
Adviser, SSBSI, Commercial Banking, and Solutions, respectively. The Fund
did not incur any expenses for RIS during this period.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments that exceed the
maximum amount of allowable reimbursement may be carried forward for two
years following the year in which the expenditure was incurred so long as
the plan is in effect. The Fund's responsibility for any such expenses
carried forward shall terminate at the end of two years following the year
in which the expenditure was incurred. The Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent
to the Distribution Plan's termination or noncontinuance. There were no
carryover expenses as of February 29, 2000.
14 Semiannual Report
<PAGE>
SSgA
International Growth Opportunities Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000
were as follows:
Advisory fees $ 94,225
Administration fees 8,899
Custodian fees 10,465
Distribution fees 6,984
Shareholder servicing fees 949
Transfer agent fees 520
Trustees' fees 651
--------
$122,693
========
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
------------------------------------------------------------
February 29, 2000 August 31, 1999
-------------------------- --------------------------
Shares Dollars Shares Dollars
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Proceeds from shares sold ..... 3,674 $ 50,376 2,497 $ 25,720
Proceeds from reinvestment of
distributions ............. 30 397 5 43
Payments for shares redeemed (1,931) (26,259) (504) (5,298)
--------- --------- --------- ---------
Total net increase (decrease) 1,773 $ 24,514 1,998 $ 20,465
========= ========= ========= =========
</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 .09% 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 net assets under the
agreement. The Fund did not have any drawdowns during the period.
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
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
160 Federal Street
Boston, Massachusetts 02110
16 Semiannual Report
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
High Yield Bond Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
High Yield Bond Fund
Semiannual Report
February 29, 2000 (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
High Yield Bond Fund
Statement of Net Assets
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- ---------
Long-Term Investments - 93.0%
Corporate Bonds and Notes - 80.2%
Acme Television Step Up Bond
Series B
Zero Coupon due 09/30/04 (a) 500 450
Adelphia Business Solutions
12.000% due 11/01/07 500 515
Adelphia Communications Corp.
9.375% due 11/15/09 500 480
Agrosy Gaming Co.
10.750% due 06/01/09 500 515
Alamosa PCS Holdings, Inc.
Step Up Bond
Zero Coupon due 02/15/10 (a) 1,000 535
Allied Waste North America
Series B
10.000% due 08/01/09 1,000 818
American Tissue, Inc.
12.500% due 07/15/06 500 513
ASAT Finance LLC
Series UNIT
12.500% due 11/01/06 500 573
Canandaigua Brands, Inc.
8.500% due 03/01/09 500 475
Charter Communications Holdings LLC
Step Up Bond
Zero Coupon due 01/15/10 (a) 1,500 855
Chattem, Inc.
Series B
8.875% due 04/01/08 500 453
Citadel Broadcasting Co.
9.250% due 11/15/08 500 481
Classic Cable, Inc.
Series B
9.375% due 08/01/09 500 469
Concentra Operating Corp.
13.000% due 08/15/09 500 428
Covad Communications Group
12.000% due 02/15/10 500 491
Crown Castle International Corp.
Step Up Bond
Zero Coupon due 05/15/11 (a) 1,000 605
CSC Holdings, Inc.
9.250% due 11/01/05 600 614
Echostar DBS Corp.
9.250% due 02/01/06 500 490
Eott Energy Partners, L.P.
11.000% due 10/01/09 500 506
Focal Communications Corp.
11.875% due 01/15/10 500 515
Frontier Oil Corp.
11.750% due 11/15/09 500 445
Gentek, Inc.
11.000% due 08/01/09 500 513
Globix Corp.
12.500% due 02/01/10 500 505
Grey Wolf, Inc.
8.875% due 07/01/07 500 450
Gulf Canada Resources, Ltd.
9.250% due 01/15/04 100 100
9.625% due 07/01/05 275 278
Hayes Lemmerz International, Inc.
9.125% due 07/15/07 350 337
HMH Properties, Inc.
Series C
8.450% due 12/01/08 500 449
Huntsman ICI Chemicals, Inc.
10.125% due 07/01/09 500 497
Intersil Corp.
13.250% due 08/15/09 750 844
Iron Mountain, Inc.
8.750% due 09/30/09 450 403
ITC Deltacom, Inc.
9.750% due 11/15/08 500 492
K. Hovnanian Enterprises
9.125% due 05/01/09 500 447
L-3 Communications Corp.
8.500% due 05/15/08 525 475
Semiannual Report 3
<PAGE>
SSgA
High Yield Bond Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Principal Market
Amount Value
(000) (000)
$ $
--------- ---------
Lear Corp.
9.500% due 07/15/06 600 597
Series B
7.960% due 05/15/05 500 490
Level 3 Communications, Inc.
Step Up Bond
Zero Coupon due 03/15/10 (a) 1,000 532
McLeodUSA, Inc.
8.125% due 02/15/09 500 447
Metal Management, Inc.
10.000% due 05/15/08 500 375
Metromedia Fiber Network, Inc.
10.000% due 12/15/09 1,000 985
Nextel Partners, Inc.
11.000% due 03/15/10 500 500
NEXTLINK Communications, Inc.
Step Up Bond
Zero Coupon due 06/01/09 (a) 500 302
Step Up Bond
Zero Coupon due 12/01/09 (a) 1,000 557
Nortek, Inc.
Series B
8.875% due 08/01/08 500 459
NTL, Inc. Step Up Bond
Series A
Zero Coupon due 04/15/05 (a) 1,500 1,515
Plains Resources, Inc.
Series B
10.250% due 03/15/06 500 480
PSINet, Inc.
10.500% due 12/01/06 500 510
RCN Corp. Step Up Bond
Zero Coupon due 10/15/07 (a) 750 499
Rhythms Netconnections, Inc.
12.750% due 04/15/09 500 470
Santa Fe Snyder Corp.
8.050% due 06/15/04 500 483
Snyder Oil Corp.
8.750% due 06/15/07 500 495
Team Health, Inc.
12.000% due 03/15/09 500 462
Tenneco Automotive, Inc.
11.625% due 10/15/09 500 508
Verio, Inc.
11.250% due 12/01/08 500 512
10.625% due 11/15/09 500 500
Voicestream Wireless Corp.
10.375% due 11/15/09 500 517
Williams Communications Group, Inc.
10.875% due 10/01/09 500 509
Willis Corroon Corp.
9.000% due 02/01/09 500 400
---------
30,120
---------
Eurodollar Bonds - 8.8%
GT Group Telecom, Inc.
Step Up Bond
Series UNIT
Zero Coupon due 02/01/10 (a) 1,500 900
KPNQwest BV
8.125% due 06/01/09 1,000 940
Ono Finance PLC
13.000% due 05/01/09 500 529
Telewest Communication PLC
Step Up Bond
Zero Coupon due 02/01/10 (a) 750 438
Worldwide Fiber, Inc.
12.000% due 08/01/09 500 520
---------
3,327
---------
Yankee Bonds - 4.0%
Gulf Canada Resources
8.375% due 11/15/05 500 487
Millar Western Forest Products
9.875% due 05/15/08 500 494
Versatel Telecom International NV
11.875% due 07/15/09 500 510
---------
1,491
---------
Total Long-Term Investments
(cost $35,733) 34,938
---------
4 Semiannual Report
<PAGE>
SSgA
High Yield Bond Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
--------- ---------
Preferred Stocks - 4.4%
Global Crossing Holdings, Ltd. 5 494
Packaging Corp. America
Payment in Kind 10 1,167
---------
Total Preferred Stocks
(cost $1,677) 1,661
---------
Warrants - 1.2%
Intersil Corp. 1 385
Ono Finance PLC 1 76
---------
Total Warrants
(cost $0) 461
---------
Principal
Amount
(000)
$
---------
Short-Term Investments - 2.6%
Federated Investors Prime Cash
Obligations Fund (b) 488 488
Money Market Obligations Trust (b) 472 472
---------
Total Short-Term Investments
(cost $960) 960
---------
Total Investments - 101.2%
(identified cost $38,370) 38,020
Other Assets and Liabilities,
Net - (1.2%) (448)
---------
Net Assets - 100.0% 37,572
=========
(a) Adjustable or floating rate security.
(b) At amortized cost, which approximates market.
Abbreviations:
NV - Nonvoting
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 5
<PAGE>
SSgA
High Yield Bond Fund
Statement of Assets and Liabilities
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at market (identified cost $38,370) ............................... $ 38,020
Receivables:
Dividends and interest .................................................... 724
Investments sold .......................................................... 451
Fund shares sold .......................................................... 120
Deferred organization expenses ................................................ 3
Prepaid expenses .............................................................. 6
--------
Total assets .......................................................... 39,324
Liabilities
Payables:
Investments purchased .......................................... $ 965
Fund shares redeemed ........................................... 745
Accrued fees to affiliates ..................................... 27
Other accrued expenses ......................................... 15
--------
Total liabilities ..................................................... 1,752
--------
Net Assets .................................................................... $ 37,572
========
Net Assets Consist of:
Undistributed net investment income ........................................... $ 563
Accumulated distributions in excess of net realized gain ...................... (25)
Unrealized appreciation (depreciation) on investments ......................... (350)
Shares of beneficial interest ................................................. 4
Additional paid-in capital .................................................... 37,380
--------
Net Assets .................................................................... $ 37,572
========
Net Asset Value, offering and redemption price per share:
($37,572,182 divided by 3,641,406 shares of $.001 par value
shares of beneficial interest outstanding) ............................ $ 10.32
========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
6 Semiannual Report
<PAGE>
SSgA
High Yield Bond Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Interest ....................................................................... $ 1,795
Dividends ...................................................................... 60
Less foreign taxes withheld .................................................... (11)
-------
Total investment income .................................................... 1,844
Expenses
Advisory fees ........................................................ $ 56
Administrative fees .................................................. 6
Custodian fees ....................................................... 11
Distribution fees .................................................... 11
Transfer agent fees .................................................. 13
Professional fees .................................................... 7
Registration fees .................................................... 16
Shareholder servicing fees ........................................... 5
Trustees' fees ....................................................... 2
Amortization of deferred organization expenses ....................... 1
Miscellaneous ........................................................ 1
-------
Expenses before reductions ........................................... 129
Expense reductions ................................................... (2)
-------
Expenses, net .............................................................. 127
-------
Net investment income .............................................................. 1,717
-------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments ............................................ (25)
Net change in unrealized appreciation (depreciation) on investments ................ 143
-------
Net realized and unrealized gain (loss) ............................................ 118
-------
Net increase (decrease) in net assets from operations .............................. $ 1,835
=======
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 7
<PAGE>
SSgA
High Yield Bond Fund
Statement of Changes in Net Assets
Amounts in thousands
<TABLE>
<CAPTION>
For the Six For the
Months Ended Fiscal Year
February 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income .............................................. $ 1,717 $ 1,677
Net realized gain (loss) ........................................... (25) 9
Net change in unrealized appreciation (depreciation) ............... 143 (158)
-------- --------
Net increase (decrease) in net assets from operations .......... 1,835 1,528
-------- --------
Distributions
From net investment income ......................................... (1,803) (1,196)
From net realized gain ............................................. (1) (1)
-------- --------
Net decrease in net assets from distributions .................. (1,804) (1,197)
-------- --------
Share Transactions
Net increase (decrease) in net assets from share transactions ...... 2,694 22,608
-------- --------
Total net increase (decrease) in net assets ............................ 2,725 22,939
Net Assets
Beginning of period ................................................ 34,847 11,908
-------- --------
End of period (including undistributed net investment income of
$563 and $649, respectively) ................................... $ 37,572 $ 34,847
======== ========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
8 Semiannual Report
<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.
Fiscal Years Ended
August 31,
--------------------
2000* 1999 1998**
-------- -------- --------
Net Asset Value, Beginning of Period ....... $ 10.32 $ 9.90 $ 10.00
-------- -------- --------
Income From Operations
Net investment income (a) .............. .47 .78 .18
Net realized and unrealized gain (loss) .02 .30 (.24)
-------- -------- --------
Total income from operations ....... .49 1.08 (.06)
-------- -------- --------
Distributions
From net investment income ............. (.49) (.66) (.04)
-------- -------- --------
Net Asset Value, End of Period ............. $ 10.32 $ 10.32 $ 9.90
======== ======== ========
Total Return (%)(b) ........................ 4.94 11.21 (.59)
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) 37,572 34,847 11,908
Ratios to average net assets (%)(c):
Operating expenses, net (d) ........ .67 .65 .65
Operating expenses, gross (d) ...... .68 .87 1.66
Net investment income .............. 9.12 7.97 6.38
Portfolio turnover rate (%) ............ 85.58 234.31 173.64
* For the six months ended February 29, 2000 (Unaudited).
** For the period May 5, 1998 (commencement of operations) to August 31,
1998.
(a) For the periods subsequent to August 31, 1998, 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 29, 2000 and August 31, 1998 are
annualized.
(d) See Note 4 for current period amounts.
Semiannual Report 9
<PAGE>
SSgA
High Yield Bond Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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 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.
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 distributed to each fund's shareholders without regard to the income
and capital gains (or losses) of the other funds.
10 Semiannual Report
<PAGE>
SSgA
High Yield Bond Fund
Notes to Financial Statements, continued
February 29, 2000 (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.
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 29, 2000 are as follows:
Net Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
----------- ------------ -------------- --------------
$38,370,745 $ 215,789 $ (566,094) $ (350,305)
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, 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. These costs were deferred and are being amortized
over 60 months on a straight-line basis.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and sales of investment securities, excluding US Government and
Agency obligations and short-term investments, aggregated to $34,721,440
and $30,731,226, respectively.
Securities Lending: The Investment Company has a securities lending
program whereby each Fund can 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
Semiannual Report 11
<PAGE>
SSgA
High Yield Bond Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
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
recorded 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 recorded 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 29, 2000, 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 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $1,876 under these arrangements.
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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses the Administrator
for out-of-pocket expenses and start-up costs for new funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter into
sub-distribution agreements with other non-related parties. The amounts
paid to the Distributor are included in the accompanying Statement of
Operations.
12 Semiannual Report
<PAGE>
SSgA
High Yield Bond Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
The Investment Company has 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 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 six months ended
February 29, 2000, the Fund was charged shareholder servicing expenses of
$3,626, $118, $28 and $8 by the Adviser, SSBSI, Commercial Banking and
Solutions, respectively. The Fund did not incur any expenses from RIS or
Solutions during this period.
The combined distribution and shareholder servicing payments shall not
exceed .25% of the average daily value of net assets on an annual basis.
The shareholder servicing payments shall not exceed .20% of the average
daily value of net assets on an annual basis. Any payments that exceed the
maximum amount of allowable reimbursement may be carried forward for two
years following the year in which the expenditure was incurred so long as
the plan is in effect. The Fund's responsibility for any such expenses
carried forward shall terminate at the end of two years following the year
in which the expenditure was incurred. The Trustees or a majority of the
Fund's shareholders have the right, however, to terminate the Distribution
Plan and all payments thereunder at any time. The Fund will not be
obligated to reimburse the Distributor for carryover expenses subsequent
to the Distribution Plan's termination or noncontinuance. There were no
carryover expenses as of February 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000
were as follows:
Advisory fees $18,915
Administration fees 987
Custodian fees 1,759
Distribution fees 3,396
Shareholder servicing fees 1,678
Transfer agent fees 510
Trustees' fees 146
-------
$27,391
=======
Beneficial Interest: As of February 29, 2000, one shareholder (who is also
a series of the Investment Company) was a record owner of approximately
14% of the total outstanding shares of the Fund.
Semiannual Report 13
<PAGE>
SSgA
High Yield Bond Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
------------------------------------------------------------
February 29, 2000 August 31, 1999
-------------------------- --------------------------
Shares Dollars Shares Dollars
--------- --------- --------- ---------
<S> <C> <C> <C> <C>
Proceeds from shares sold ... 508 $ 5,197 2,289 $ 23,775
Proceeds from reinvestment of
distributions ........... 44 446 13 131
Payments for shares redeemed (288) (2,949) (127) (1,298)
--------- --------- --------- ---------
Total net increase (decrease) 264 $ 2,694 2,175 $ 22,608
========= ========= ========= =========
</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 .09% 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 net assets under the
agreement. The Fund did not have any drawdowns during the period.
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
8. Dividends
On March 1, 2000, the Board of Trustees declared a dividend of $.1597 from
net investment income, payable on March 7, 2000 to shareholders of record
on March 2, 2000.
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
160 Federal Street
Boston, Massachusetts 02110
Semiannual Report 15
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Special Equity Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Special Equity Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements....................................................... 3
Financial Highlights....................................................... 8
Notes to Financial Statements.............................................. 9
Fund Management and Service Providers...................................... 14
"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 29, 2000 (Unaudited)
Market
Numbers Value
of (000)
Shares $
------- -------
Common Stocks - 93.4%
Basic Industries - 2.1%
AK Steel Holding Corp. 36,000 299
Smurfit-Stone Container Corp. (a) 27,000 368
Steel Dynamics, Inc. (a) 40,000 615
------
1,282
------
Capital Goods - 1.7%
American Superconductor Corp. (a) 15,000 1,033
------
Consumer Basics - 13.0%
Biogen, Inc. (a) 10,000 1,079
Human Genome Sciences, Inc. (a) 14,000 3,052
IDEC Pharmaceuticals Corp. (a) 9,000 1,267
MedImmune, Inc. (a) 7,900 1,567
Outback Steakhouse, Inc. (a) 32,000 836
------
7,801
------
Consumer Durables - 0.9%
Linens 'N Things, Inc. (a) 26,000 512
------
Consumer Services - 2.1%
Atlas Air, Inc. (a) 23,000 556
Brinker International, Inc. (a) 34,000 740
------
1,296
------
Energy - 8.7%
Apache Corp. 30,000 1,095
Barrett Resources Corp. (a) 31,000 903
Noble Drilling Corp. (a) 35,000 1,260
Smith International, Inc. (a) 22,500 1,410
Union Pacific Resources Group, Inc. 60,000 536
------
5,204
------
Finance - 3.5%
ACE, Ltd. 33,000 590
Legg Mason, Inc. 22,000 863
XL Capital, Ltd. Class A 16,200 655
------
2,108
------
General Business - 1.2%
USA Networks, Inc. (a) 32,000 716
------
Shelter - 0.3%
Southdown, Inc. 3,300 164
------
Technology - 48.5%
Avanex Corp. (a) 527 110
BEA Systems, Inc. (a) 17,000 2,152
Brocade Communications Systems, 7,300 2,111
Inc. (a)
Conexant Systems, Inc. (a) 14,000 1,376
Digex, Inc. (a) 15,000 2,431
Entrust Technologies, Inc. (a) 17,000 1,494
Exodus Communications, Inc. (a) 12,000 1,708
F5 Networks, Inc. NPV (a) 15,000 1,354
Legato Systems, Inc. (a) 19,000 676
Micromuse, Inc. (a) 12,000 1,702
New Era of Networks, Inc. (a) 21,000 1,924
NorthPoint Communications Group, 38,000 862
Inc. (a)
Phone.com, Inc. (a) 13,500 1,883
Rational Software Corp. (a) 22,000 1,565
Red Hat, Inc. (a) 18,000 1,092
RF Micro Devices, Inc. (a) 11,800 1,631
VeriSign, Inc. (a) 7,500 1,898
Vitesse Semiconductor Corp. (a) 21,000 2,180
Zoran Corp. (a) 20,000 1,018
------
29,167
------
Transportation - 1.0%
Teekay Shipping Corp. 27,000 581
------
Utilities - 10.4%
Allegiance Telecom, Inc. (a) 16,500 1,631
interWAVE Communication 8,485 546
International, Ltd. (a)
ITC^DeltaCom, Inc. (a) 19,800 751
Teligent, Inc. Class A (a) 17,000 1,396
VoiceStream Wireless Corp. NPV (a) 9,000 1,197
Semiannual Report 3
<PAGE>
SSgA
Special Equity Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Numbers Value
of (000)
Shares $
------- ------
Western Wireless Corp. NPV Class A (a) 15,000 728
------
6,249
------
Total Common Stocks
(cost $36,931) 56,113
------
Principal
Amount
(000)
---------
Short-Term Investments - 8.1%
AIM Short-Term Investment Prime
Portfolio Class A (b) 2,431 2,431
Federated Investors Prime Cash
Obligations Fund (b) 2,431 2,431
------
Total Short-Term Investments
(cost $4,862) 4,862
------
Total Investments - 101.5%
(identified cost $41,793) 60,975
Other Assets and Liabilities,
Net - (1.5%) (892)
------
Net Assets - 100.0% 60,083
======
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
Abbreviations:
NPV - No Par Value
See the accompanying notes which are an integeral part of the financial
statements.
4 Semiannual Report
<PAGE>
SSgA
Special Equity Fund
Statement of Assets and Liabilities
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at market (identified cost $41,793) .......................................................... $ 60,975
Receivables:
Dividends ............................................................................................. 32
Fund shares sold ...................................................................................... 1,148
Deferred organization expenses ........................................................................... 1
Prepaid expenses ......................................................................................... 4
Short-term investments held as collateral for securities loaned, at market ............................... 15,024
--------
Total assets ....................................................................................... 77,184
Liabilities
Payables:
Investments purchased ..................................................................... $ 1,988
Fund shares redeemed ...................................................................... 13
Accrued fees to affiliates ................................................................ 63
Other accrued expenses .................................................................... 13
Payable upon return of securities loaned, at market .......................................... 15,024
--------
Total liabilities .................................................................................. 17,101
--------
Net Assets ............................................................................................... $ 60,083
========
Net Assets Consist of:
Accumulated distributions in excess of net investment income ............................................. $ (34)
Accumulated net realized gain (loss) ..................................................................... (1,912)
Unrealized appreciation (depreciation) on investments .................................................... 19,182
Shares of beneficial interest ............................................................................ 3
Additional paid-in capital ............................................................................... 42,844
--------
Net Assets ............................................................................................... $ 60,083
========
Net Asset Value, offering and redemption price per share:
($60,083,352 divided by 3,443,629 shares of $.001 par value
shares of beneficial interest outstanding) ......................................................... $ 17.45
========
</TABLE>
See the accompanying notes which are an integeral part of the financial
statements.
Semiannual Report 5
<PAGE>
SSgA
Special Equity Fund
Statement of Operations
Amounts in thousands For the Six Months Ended
February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Dividends ............................................................................................. $ 83
Interest .............................................................................................. 28
--------
Total investment income ............................................................................ 111
Expenses
Advisory fees ............................................................................ $ 95
Administrative fees ...................................................................... 6
Custodian fees ........................................................................... 12
Distribution fees ........................................................................ 6
Transfer agent fees ...................................................................... 15
Professional fees ........................................................................ 7
Registration fees ........................................................................ 19
Shareholder servicing fees ............................................................... 6
Trustees' fees ........................................................................... 2
Miscellaneous ............................................................................ 1
--------
Expenses before reductions ............................................................... 170
Expense reductions ....................................................................... (30)
--------
Total expenses ..................................................................................... 139
--------
Net investment income (loss) ............................................................................. (28)
--------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments .................................................................. 1,061
Net change in unrealized appreciation (depreciation) on investments ...................................... 18,115
--------
Net realized and unrealized gain (loss) .................................................................. 19,176
--------
Net increase (decrease) in net assets from operations .................................................... $ 19,148
========
</TABLE>
See the accompanying notes which are an integeral part of the financial
statements.
6 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 Fiscal Year
February 29, 2000 Ended
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Operations
Net investment income (loss) .......................................................... $ (28) $ 1
Net realized gain (loss) .............................................................. 1,061 (2,399)
Net change in unrealized appreciation (depreciation) .................................. 18,115 5,675
-------- --------
Net increase (decrease) in net assets from operations .............................. 19,148 3,277
-------- --------
Distributions
From net investment income ............................................................ (6) (18)
-------- --------
Share Transactions
Net increase (decrease) in net assets from share transactions ......................... 30,320 (5,784)
-------- --------
Total net increase (decrease) in net assets .............................................. 49,462 (2,525)
Net Assets
Beginning of period ................................................................... 10,621 13,146
-------- --------
End of period (including accumulated distributions in excess of
net investment income of $34 at February 29, 2000) ................................. $ 60,083 $ 10,621
======== ========
</TABLE>
See the accompanying notes which are an integeral part of the financial
statements.
Semiannual Report 7
<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>
Fiscal Years Ended
August 31,
-------------------------------------------
2000* 1999 1998**
---------- ---------- ----------
<S> <C> <C> <C>
Net Asset Value, Beginning of Period ........................... $ 9.17 $ 7.17 $ 10.00
------- ------- -------
Income From Operations
Net investment income (loss)(a) ............................. (.01) -- .01
Net realized and unrealized gain (loss) ..................... 8.29 2.01 (2.84)
------- ------- -------
Total income from operations ............................. 8.28 2.01 (2.83)
------- ------- -------
Distributions
From net investment income .................................. -- (.01) --
------- ------- -------
Net Asset Value, End of Period ................................. $ 17.45 $ 9.17 $ 7.17
======= ======= =======
Total Return (%)(b) ............................................ 90.34 28.06 (28.30)
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) .................... 60,083 10,621 13,146
Ratios to average net assets (%)(c):
Operating expenses, net (d) .............................. 1.10 1.10 1.10
Operating expenses, gross (d) ............................ 1.34 1.57 1.55
Net investment income (loss) ............................. (.22) .01 .24
Portfolio turnover rate (%) ................................. 20.47 211.30 88.36
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
** For the period May 1, 1998 (commencement of operations) to August 31, 1998.
(a) For the periods subsequent to August 31, 1998, 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 August 31, 1998 and February 29, 2000
are annualized.
(d) See Note 4 for current period amounts.
8 Semiannual Report
<PAGE>
SSgA
Special Equity Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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 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.
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.
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 9
<PAGE>
SSgA
Special Equity Fund
Notes to Financial Statements, continued
February 29, 2000 (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 August 31, 1999, the Fund had a net tax basis capital loss carryover of
$1,172,352 which may be applied against any realized net taxable gains in
each succeeding year or until its expiration date of August 31, 2007. As
permitted by tax regulations, the Fund intends to defer a net realized
capital loss of $1,719,108 incurred from November 1, 1998 to August 31,
1999, and treat it as arising in fiscal year 2000.
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 29, 2000 are as follows:
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
----------- ---------- ------------ -----------
$41,875,158 $32,651,232 $(13,551,202) $19,100,030
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 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. These costs were deferred and are being amortized
over 60 months on a straight-line basis.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and sales of investment securities, excluding short-term
investments and futures contracts, aggregated to $32,563,156 and
$5,200,485, respectively.
Securities Lending: The Investment Company has a securities lending
program whereby each Fund can 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
10 Semiannual Report
<PAGE>
SSgA
Special Equity Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
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
recorded 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 recorded 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 29, 2000, the value of outstanding securities on
loan and the value of collateral amounted to $14,628,418 and $15,024,480,
respectively. The Fund recorded securities lending income of $15,603
during the period.
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company 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 29, 2000, the receivable due from the
Adviser for expenses in excess of the expense cap has been netted against
the Advisory 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $857 under these arrangements.
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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses
the Administrator for out-of-pocket expenses and start-up costs for new
funds.
Semiannual Report 11
<PAGE>
SSgA
Special Equity Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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 service agreements with the Adviser, State Street Brokerage
Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and
State Street Solutions ("Solutions")(collectively the "Agents"), as well
as several unaffiliated service providers. For these services, the Fund
pays .025%, .175%, .175%, .175% and .175% to the Adviser, SSBSI, RIS,
Commercial Banking, and Solutions, respectively, based upon the average
daily value of all Fund shares held by or for customers of these Agents.
For the six months ended February 29, 2000, the Fund was charged
shareholder servicing expenses of $3,165, $244 and $1,966 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 February 29, 2000.
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 $550 for the six months ended
February 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. These expenses are allocated among
all of the Funds based upon their relative net assets.
12 Semiannual Report
<PAGE>
SSgA
Special Equity Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Accrued fees payable to affiliates and trustees as of February 29, 2000
were as follows:
Advisory fees $52,200
Administration fees 3,071
Custodian fees 3,429
Distribution fees 537
Shareholder servicing fees 1,860
Transfer agent fees 1,890
Trustees' fees 168
-------
. $63,155
=======
Beneficial Interest: As of February 29, 2000, one shareholder (who was
also an affiliate of the Investment Company) 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 29, 2000 August 31, 1999
----------------------- ------------------------
Shares Dollars Shares Dollars
------- -------- ------- --------
<S> <C> <C> <C> <C>
Proceeds from shares sold .................................. 2,581 $ 33,797 1,173 $ 10,190
Proceeds from reinvestment of distributions ................ -- 1 2 17
Payments for shares redeemed ............................... (296) (3,478) (1,849) (15,991)
----- -------- ------ --------
Total net increase (decrease) .............................. 2,285 $ 30,320 (674) $ (5,784)
===== ======== ====== ========
</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 .09% 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 net assets under the
agreement. The Fund did not have any drawdowns during the period.
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
Semiannual Report 13
<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
160 Federal Street
Boston, Massachusetts 02110
14 Semiannual Report
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
Aggressive Equity Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
Aggressive Equity Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements........................................................ 3
Financial Highlights........................................................ 8
Notes to Financial Statements............................................... 9
Fund Management and Service Providers....................................... 14
"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 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------ ------
Common Stocks - 98.3%
Basic Industries - 1.5%
Alcoa, Inc. 3,300 226
------
Capital Goods - 2.8%
Insituform Technologies, Inc.
Class A (a) 4,200 118
Novellus Systems, Inc. (a) 5,000 297
------
415
------
Consumer Basics - 9.7%
Biogen, Inc. (a) 3,100 335
BJ's Wholesale Club, Inc. (a) 5,500 171
Parexel International Corp. (a) 13,000 175
Pepsi Bottling Group, Inc. (The) 10,000 168
Warner-Lambert Co. 2,700 231
Wellpoint Health Networks, Inc. (a) 3,700 249
Wesley Jessen VisionCare, Inc. (a) 3,500 100
------
1,429
------
Consumer Durables - 0.6%
Best Buy Co. (a) 1,500 82
------
Consumer Non-Durables - 4.7%
American Eagle Outfitters, Inc.
NPV (a) 3,500 89
Federated Department Stores, Inc. (a) 2,600 95
Neiman Marcus Group, Inc. (The)
Class A (a) 5,000 107
Pacific Sunwear of California (a) 2,800 71
Tiffany & Co. 3,500 225
Zale Corp. (a) 3,000 113
------
700
------
Consumer Services - 0.5%
Aztar Corp. (a) 7,500 71
------
Energy - 2.8%
Apache Corp. 3,000 110
BJ Services Co. (a) 5,300 302
------
412
------
Finance - 1.7%
Advanta Corp. Class A 6,800 127
Security Capital Group, Inc.
Class B (a) 10,000 129
------
256
------
General Business - 3.2%
Diamond Technology Partners,
Inc. (a) 2,700 185
Kronos, Inc. (a) 2,200 139
Valassis Communications, Inc. (a) 1,900 53
Viad Corp. 4,000 93
------
470
------
Technology - 65.9%
Adobe Systems, Inc. 2,800 285
Altera Corp. (a) 3,700 295
America Online, Inc. (a) 2,900 171
American Management Systems,
Inc. (a) 3,500 111
Analog Devices, Inc. (a) 1,000 157
Apple Computer, Inc. (a) 2,600 298
Applied Materials, Inc. (a) 1,800 329
BEA Systems, Inc. (a) 3,000 380
Brightpoint, Inc. (a) 19,000 245
Broadcom Corp. Class A (a) 1,200 237
BroadVision, Inc. (a) 1,600 404
Checkpoint Systems, Inc. (a) 11,000 94
Cisco Systems, Inc. (a) 700 92
Computer Associates International,
Inc 3,600 232
CSG Systems International, Inc. (a) 800 41
EMC Corp. (a) 1,100 131
i2 Technologies, Inc. (a) 2,600 425
Intel Corp. 2,800 316
JDS Uniphase Corp. (a) 1,200 316
Semiannual Report 3
<PAGE>
SSgA
Aggressive Equity Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Number Value
of (000)
Shares $
------ ------
Linear Technology Corp. 2,900 304
LSI Logic Corp. (a) 6,000 384
MatrixOne, Inc. New (a) 2,653 66
Microsoft Corp. (a) 800 71
Network Appliance, Inc. (a) 1,600 302
Network Solutions, Inc. (a) 1,000 322
Nextel Communications, Inc.
Class A (a) 1,000 137
Onvia.com, Inc. New (a) 1,481 31
Portal Software, Inc. (a) 3,800 285
QUALCOMM, Inc. (a) 400 57
Quantum Corp. Hard Disk
Drive (a) 16,000 126
Rational Software Corp. (a) 5,500 391
Razorfish, Inc. (a) 2,800 93
SDL, Inc. (a) 1,100 451
Sun Microsystems, Inc. (a) 3,000 286
Sybase, Inc. (a) 11,700 293
Symantec Corp. (a) 4,000 286
Teradyne, Inc. (a) 1,900 165
USWeb Corp. (a) 3,600 139
VeriSign, Inc. (a) 1,100 279
Veritas Software Corp. (a) 1,700 337
Xilinx, Inc. (a) 2,200 176
Yahoo!, Inc. (a) 1,200 193
------
9,733
------
Transportation - 3.5%
Boeing Co. 5,700 210
Kansas City Southern Industries, Inc. 4,000 315
------
525
------
Utilities - 1.4%
United States Cellular Corp. (a) 1,700 114
Western Wireless Corp. NPV
Class A (a) 2,000 97
------
211
------
Total Common Stocks
(cost $11,447) 14,530
------
Principal
Amount
(000)
$
---------
Short-Term Investments - 0.6%
AIM Short-Term Investment Prime
Portfolio Class A (b) 46 45
Federated Investors Prime Cash
Obligations Fund (b) 40 40
------
Total Short-Term Investments
(cost $85) 85
------
Total Investments - 98.9%
(identified cost $11,532) 14,615
Other Assets and Liabilities,
Net - 1.1% 165
------
Net Assets - 100.0% 14,780
======
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
Abbreviations:
NPV - No Par Value
See the accompanying notes which 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 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at market (identified cost $11,532) ........................................... $ 14,615
Receivables:
Dividends .............................................................................. 54
Investments sold ....................................................................... 316
Fund shares sold ....................................................................... 6
From Adviser ........................................................................... 7
Prepaid expenses .......................................................................... 14
Short-term investments held as collateral for securities loaned, at market ................ 3,830
--------
Total assets ........................................................................ 18,842
Liabilities
Payables:
Investments purchased .................................................... $ 232
Payable upon return of securities loaned, at market ......................... 3,830
--------
Total liabilities ................................................................... 4,062
--------
Net Assets ................................................................................ $ 14,780
========
Net Assets Consist of:
Accumulated distributions in excess of net investment income .............................. $ (38)
Accumulated net realized gain (loss) ...................................................... 3,844
Unrealized appreciation (depreciation) on investments ..................................... 3,083
Shares of beneficial interest ............................................................. 1
Additional paid-in capital ................................................................ 7,890
--------
Net Assets ................................................................................ $ 14,780
========
Net Asset Value, offering and redemption price per share:
($14,780,031 divided by 749,257 shares of $.001 par value
shares of beneficial interest outstanding) .......................................... $ 19.73
========
</TABLE>
See the accompanying notes which are an integral part of the financial
statements.
Semiannual Report 5
<PAGE>
SSgA
Aggressive Equity Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Dividends ........................................................................ $ 14
Interest ......................................................................... 3
-------
Total investment income ....................................................... 17
Expenses
Advisory fees ....................................................... $ 37
Administrative fees ................................................. 2
Custodian fees ...................................................... 9
Distribution fees ................................................... 2
Transfer agent fees ................................................. 10
Professional fees ................................................... 8
Registration fees ................................................... 15
Shareholder servicing fees .......................................... 1
Trustees' fees ...................................................... 2
Miscellaneous ....................................................... 1
-------
Expenses before reductions .......................................... 87
Expense reductions .................................................. (32)
-------
Expenses, net ................................................................. 55
-------
Net investment income (loss) ........................................................ (38)
-------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on investments ............................................. 4,763
Net change in unrealized appreciation (depreciation) on investments ................. 2,731
-------
Net realized and unrealized gain (loss) ............................................. 7,494
-------
Net increase (decrease) in net assets from operations ............................... $ 7,456
=======
</TABLE>
See the accompanying notes which 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 For the Period
Six Months Ended December 30, 1998*
February 29, 2000 to
(Unaudited) August 31, 1999
----------------- ------------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income (loss) ............................................ $ (38) $ (23)
Net realized gain (loss) ................................................ 4,763 1,384
Net change in unrealized appreciation (depreciation) .................... 2,731 352
-------- --------
Net increase (decrease) in net assets from operations ................ 7,456 1,713
-------- --------
Distributions
From net investment income .............................................. (10) --
From net realized gain .................................................. (2,303) --
-------- --------
Net decrease in net assets from distributions ........................ (2,313) --
-------- --------
Share Transactions
Net increase (decrease) in net assets from share transactions ........... 2,452 5,472
-------- --------
Total net increase (decrease) in net assets ................................ 7,595 7,185
Net Assets
Beginning of period ..................................................... 7,185 --
-------- --------
End of period (including accumulated distributions in excess of net
investment income of $38 and undistributed net investment income
of $10, respectively) ................................................ $ 14,780 $ 7,185
======== ========
</TABLE>
* Commencement of operations.
See the accompanying notes which 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
each period and other performance information derived from the financial
statements.
2000* 1999**
------- -------
Net Asset Value, Beginning of Period ................. $ 12.73 $ 10.00
------- -------
Income From Operations
Net investment income (loss)(a) ................... (.06) (.04)
Net realized and unrealized gain (loss) ........... 11.09 2.77
------- -------
Total income from operations ................... 11.03 2.73
------- -------
Distributions
From net investment income ........................ (.02) --
From net realized gain ............................ (4.01) --
------- -------
Total distributions ............................ (4.03) --
------- -------
Net Asset Value, End of Period ....................... $ 19.73 $ 12.73
======= =======
Total Return (%)(b) .................................. 109.65 27.30
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) .......... 14,780 7,185
Ratios to average net assets (%)(c):
Operating expenses, net (d) .................... 1.10 1.10
Operating expenses, gross (d) .................. 1.75 2.07
Net investment income (loss) ................... (.75) (.50)
Portfolio turnover rate (%) ....................... 181.67 179.56
* For the six months ended February 29, 2000 (Unaudited).
** For the period December 30, 1998 (commencement of operations) to August
31, 1999.
(a) 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 29, 2000 and August 31, 1999 are
annualized.
(d) See Note 4 for current period amounts.
8 Semiannual Report
<PAGE>
SSgA
Aggressive Equity Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. 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.
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 29, 2000 (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 29, 2000 are as follows:
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
----------- ------------ -------------- --------------
$11,541,269 $6,989,340 $(3,915,329) $3,074,011
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.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and sales of investment securities, excluding short-term
investments, aggregated to $18,015,202 and $18,000,643, respectively.
Securities Lending: The Investment Company has a securities lending
program whereby each Fund can 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
10 Semiannual Report
<PAGE>
SSgA
Aggressive Equity Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
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
recorded 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 recorded 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 29, 2000, the value of outstanding securities on
loan and the value of collateral amounted to $3,728,714 and $3,829,954,
respectively. The Fund recorded securities lending income of $4,072 during
the period.
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company 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 29, 2000, the receivable due
from the Adviser for expenses in excess of the expense cap has been netted
against the Advisory 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $325 under these arrangements.
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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses
the Administrator for out-of-pocket expenses and start-up costs for new
funds.
Semiannual Report 11
<PAGE>
SSgA
Aggressive Equity Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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 service agreements with the Adviser, State Street Brokerage
Services, Inc. ("SSBSI"), a wholly-owned subsidiary of the Adviser, the
Adviser's Retirement Investment Services Division ("RIS"), the Adviser's
Metropolitan Division of Commercial Banking ("Commercial Banking") and
State Street Solutions ("Solutions")(collectively the "Agents"), as well
as several unaffiliated service providers. For these services, the Fund
pays .025%, .175%, .175%, .175% and .175%, to the Adviser, SSBSI, RIS,
Commercial Banking, and Solutions, respectively, based upon the average
daily value of all Fund shares held by or for customers of these Agents.
For the six months ended February 29, 2000, the Fund was charged
shareholder servicing expenses of $37 by the Adviser. The Fund did not
incur any expenses from 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. There were no
carryover expenses as of February 29, 2000.
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 $2,323 for the six months
ended February 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. These expenses are allocated among
all of the Funds based upon their relative net assets.
12 Semiannual Report
<PAGE>
SSgA
Aggressive Equity Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Beneficial Interest: As of February 29, 2000, two shareholders (who are
also other series of the Investment Company) were record owners of
approximately 50% and 36%, respectively, of the total outstanding shares
of the Fund.
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
--------------------------------------
February 29, 2000 August 31, 1999*
----------------- ----------------
Shares Dollars Shares Dollars
------ ------- ------ -------
<S> <C> <C> <C> <C>
Proceeds from shares sold ........................ 143 $ 2,317 679 $ 6,814
Proceeds from reinvestment of distributions ...... 187 2,310 -- --
Payments for shares redeemed ..................... (145) (2,175) (115) (1,342)
---- ------- ---- -------
Total net increase (decrease) .................... 185 $ 2,452 564 $ 5,472
==== ======= ==== =======
</TABLE>
* For the period ended December 30, 1998 (commencement of operations) to
August 31, 1999.
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 .09% 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. The Fund did not have any drawdowns during the period.
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
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
160 Federal Street
Boston, Massachusetts 02110
14 Semiannual Report
<PAGE>
[COVER GRAPHIC]
SSgA(R) funds
SEMIANNUAL REPORT
IAM SHARES Fund
February 29, 2000
<PAGE>
SSgA(R) Funds
IAM SHARES Fund
Semiannual Report
February 29, 2000 (Unaudited)
Table of Contents
Page
Financial Statements....................................................... 3
Financial Highlights....................................................... 11
Notes to Financial Statements.............................................. 12
Fund Management and Service Providers...................................... 17
"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
IAM SHARES Fund
Statement of Net Assets
February 29, 2000 (Unaudited)
Market
Numbers Value
of (000)
Shares $
------- ------
Common Stocks - 97.6%
Basic Industries - 3.8%
Air Products & Chemicals, Inc. 1,000 26
Alcoa, Inc. 5,300 363
Bowater, Inc. 300 15
Champion International Corp. 500 26
Dexter Corp. 500 23
Dow Chemical Co. 2,600 282
Illinois Tool Works, Inc. 3,704 191
International Paper Co. 4,900 180
Kimberly-Clark Corp. 7,500 388
Minnesota Mining & Manufacturing Co. 5,000 441
Phelps Dodge Corp. 800 38
Pitt-Des Moines, Inc. 600 13
Rohm & Haas Co. 36 1
Sigma Aldrich Corp. 4,700 112
Temple-Inland, Inc. 2,800 143
Union Carbide Corp. 800 43
Willamette Industries, Inc. 1,600 54
------
2,339
------
Capital Goods - 7.5%
Applied Power, Inc., Class A 1,700 41
Boston Scientific Corp. (a) 400 7
Caterpillar, Inc. 3,200 112
Chart Industries, Inc. 200 1
Cummins Engine Co., Inc. 100 3
Dover Corp. 3,500 135
Emerson Electric Co. 3,600 164
Fisher Scientific International, Inc. (a) 6,000 261
General Electric Co. 25,400 3,358
Ingersoll-Rand Co. 3,300 126
Johnson Controls, Inc. 2,200 117
Manitowoc Co., Inc. 400 11
Martin Marietta Materials, Inc. 1,300 46
Parker-Hannifin Corp. 700 25
Raytheon Co. Class B 2,700 50
SPX Corp. (a) 500 44
TRW, Inc. 200 10
Tyco International, Ltd. 3,000 114
------
4,625
------
Consumer Basics - 15.3%
Abbott Laboratories 2,500 82
American Home Products Corp. 2,100 91
Amgen, Inc. (a) 2,600 177
Baxter International, Inc. 8,000 436
Black & Decker Corp. 1,600 53
Bristol-Myers Squibb Co. 5,600 318
Campbell Soup Co. 6,900 196
Coca-Cola Co. (The) 19,600 949
ConAgra, Inc. 3,000 49
Costco Wholesale Corp. (a) 1,400 70
Dial Corp. 5,000 72
Gillette Co. (The) 1,100 39
Great Atlantic & Pacific Tea Co., Inc. 300 7
Johnson & Johnson 3,400 244
Kroger Co. (The) (a) 15,000 223
Lilly (Eli) & Co. 3,100 184
Medtronic, Inc. 2,000 97
Merck & Co., Inc. 25,200 1,551
New Brunswick Scientific Co., Inc.(a) 3,600 38
PepsiCo, Inc. 15,000 484
Pfizer, Inc. 13,200 424
Philip Morris Cos., Inc. 20,200 405
Procter & Gamble Co. 12,900 1,135
Ralston-Purina Group 2,500 71
Safeway, Inc. (a) 8,400 324
Sara Lee Corp. 8,900 134
Schering-Plough Corp. 23,100 806
Suiza Foods Corp. (a) 2,200 86
SYSCO Corp. 6,500 213
Unilever NV 7,100 323
Warner-Lambert Co. 1,500 128
Wild Oats Markets, Inc. (a) 1,500 29
------
9,438
------
Consumer Durables - 3.3%
Best Buy Co. (a) 600 33
DaimlerChrysler AG 2,700 183
Dana Corp. 300 6
Danaher Corp. 5,000 204
Eaton Corp. 2,100 157
Semiannual Report 3
<PAGE>
SSgA
IAM SHARES Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Numbers Value
of (000)
Shares $
------- ------
Ethan Allen Interiors, Inc. 3,900 91
Federal-Mogul Corp. 600 8
Ford Motor Co. 6,700 279
General Motors Corp. 6,700 510
Goodyear Tire & Rubber Co. 600 14
Harley-Davidson, Inc. 3,000 204
Lear Corp. (a) 300 6
Leggett & Platt, Inc. 2,900 49
Maytag Corp. 4,200 111
PACCAR, Inc. 1,300 56
Whirlpool Corp. 2,400 130
------
2,041
------
Consumer Non-Durables - 5.7%
99 Cents Only Stores NPV (a) 4,800 120
Anheuser-Busch Cos., Inc. 12,400 795
Brunswick Corp. 800 14
Circuit City Stores, Inc. 400 16
Gap, Inc. 2,700 130
Home Depot, Inc. (The) 7,200 416
Kohl's Corp. (a) 400 30
Lowe's Cos., Inc. 200 10
Newell Rubbermaid, Inc. 4,700 109
Rite Aid Corp. 9,200 63
Seagram Co., Ltd. NPV 6,900 405
Staples, Inc. (a) 200 5
Target Corp. 1,400 83
Tiffany & Co. 6,600 424
TJX Cos., Inc. 100 2
Wal-Mart Stores, Inc. 18,500 901
Walgreen Co. 1,000 26
------
3,549
------
Consumer Services - 1.9%
Alaska Air Group, Inc. (a) 800 21
Continental Airlines, Inc. Class B (a) 2,000 63
Disney (Walt) Co. 19,600 657
Marriot International, Inc. Class A 4,700 130
Southwest Airlines Co. 14,250 263
Starwood Hotels & Resorts Worldwide, Inc. 100 2
UAL Corp. (a) 100 5
USAirways Group, Inc. (a) 2,500 46
------
1,187
------
Energy - 5.9%
Anadarko Petroleum Corp. 100 3
Apache Corp. 200 7
Atlantic Richfield Co. 1,200 85
Baker Hughes, Inc. 2,200 57
BP Amoco PLC - ADR 3,800 179
Burlington Resources, Inc. 400 11
Chevron Corp. 4,700 351
Exxon Mobil Corp. NPV 19,984 1,505
Halliburton Co. 5,600 214
Royal Dutch Petroleum Co. 12,400 651
Schlumberger, Ltd. 5,500 406
Texaco, Inc. 3,000 142
Transocean Sedco Forex, Inc. New 1,064 42
Unocal Corp. 900 25
------
3,678
------
Finance - 10.0%
AFLAC, Inc. 800 29
Allstate Corp. 2,100 41
American Express Co. 1,700 228
American Financial Group, Inc. 500 11
American International Group, Inc. 6,250 553
Associates First Capital Corp. Class A 1,000 20
Bank of America Corp. 8,500 392
Bank of New York Co., Inc. 2,800 93
Bank One Corp. 5,400 139
BB&T Corp. 600 14
Capital One Financial Corp. 300 11
Chase Manhattan Corp. 4,500 358
Chubb Corp. (The) 100 5
CIGNA Corp. 500 37
Cincinnati Financial Corp. 500 15
Citigroup, Inc. 40,400 2,088
Fannie Mae 2,200 117
Federal Home Loan Mortgage Corp. 1,200 50
4 Semiannual Report
<PAGE>
SSgA
IAM SHARES Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Numbers Value
of (000)
Shares $
------- ------
Fifth Third Bancorp 800 42
First Union Corp. 3,200 94
Firstar Corp. 3,909 70
FleetBoston Financial Corp. 1,355 37
Franklin Resources, Inc. 200 5
Golden West Financial Corp. 1,800 51
Hartford Financial Services Group, Inc. (The) 400 13
Household International Corp. 11,400 364
Lehman Brothers Holdings, Inc. 100 7
MBIA, Inc. 200 8
MBNA Corp. 1,500 34
Mellon Financial Corp. 800 24
Merrill Lynch & Co., Inc. 1,600 164
MGIC Investment Corp. 300 11
Morgan (J.P.) & Co., Inc. 1,000 111
Morgan Stanley Dean Witter & Co. 5,600 394
National City Corp. 1,600 31
Northern Trust Corp. 1,000 56
Progressive Corp. 600 36
Providian Financial Corp. 400 26
Schwab (Charles) Corp. 4,000 167
St. Paul Cos., Inc. 200 4
State Street Corp. 800 58
SunTrust Banks, Inc. 1,100 56
Synovus Financial Corp. 100 2
U.S. Bancorp 1,900 35
Wachovia Corp. 700 40
Washington Mutual, Inc. 2,700 60
------
6,201
------
General Business - 4.8%
Butler International, Inc. (a) 1,900 21
CBS Corp. (a) 14,100 840
Cendant Corp. (a) 273 5
Computer Sciences Corp. (a) 9,500 749
Dispatch Management Services Corp. (a) 5,400 10
Knight-Ridder, Inc. 2,100 98
Manpower, Inc. 500 16
MediaOne Group, Inc. (a) 700 55
Meredith Corp. 600 17
New York Times Co. Class A 2,600 110
SBC Communications, Inc. 9,853 374
Time Warner, Inc. 1,300 111
Times Mirror Co. Class A 500 26
Tribune Co. 7,600 296
United Stationers, Inc. (a) 1,300 35
Washington Post Co. Class B 121 59
Waste Management, Inc. 9,200 139
------
2,961
------
Miscellaneous - 0.1%
Katy Industries, Inc. 3,100 29
Williams Industries, Inc. (The) (a) 1,100 3
------
32
------
Shelter - 0.9%
Armstrong World Industries, Inc. 500 10
Georgia-Pacific Group 5,400 187
Masco Corp. 6,600 118
Owens Corning 3,300 48
Vulcan Materials Co. 1,200 48
Weyerhaeuser Co. 2,800 143
------
554
------
Technology - 29.8%
Adobe Systems, Inc. 400 41
Allen Telecom, Inc. (a) 4,100 56
America Online, Inc. (a) 10,400 614
Amphenol Corp. Class A (a) 800 64
Anacomp, Inc. (a) 1,500 26
Applied Materials, Inc. (a) 700 128
Avery Dennison Corp. 1,000 61
BMC Software, Inc. (a) 300 14
Boeing Co. 8,100 299
Cisco Systems, Inc. (a) 13,300 1,757
COMPAQ Computer Corp. 3,800 95
Computer Associates International, Inc. 1,800 116
Compuware Corp. (a) 600 13
Dell Computer Corp. (a) 9,800 399
EMC Corp. (a) 3,300 393
Energy Conversion Devices, Inc. (a) 4,000 89
General Dynamics Corp. 1,400 61
Semiannual Report 5
<PAGE>
SSgA
IAM SHARES Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Numbers Value
of (000)
Shares $
------- ------
Hewlett-Packard Co. 3,300 444
Honeywell International, Inc. 12,162 585
Intel Corp. 13,100 1,480
International Business Machines Corp. 7,500 765
Litton Industries, Inc. (a) 1,000 30
Lockheed Martin Corp. 1,400 24
Lucent Technologies, Inc. 11,595 690
Microsoft Corp. (a) 23,900 2,135
Motorola, Inc. 900 153
Nextel Communications, Inc. Class A (a) 700 96
Nortel Networks Corp. 19,200 2,141
Northrop Grumman Corp. 2,400 109
Novell, Inc. (a) 100 3
Oracle Systems Corp. (a) 11,600 861
PerkinElmer, Inc. 4,600 297
Philips Electronics NPV (a) 3,400 651
QUALCOMM, Inc. (a) 3,200 456
Quantum Corp. DLT & Storage Systems (a) 13,600 141
Quantum Corp. Hard Disk Drive (a) 6,800 54
Rockwell International Corp. 2,300 104
Sun Microsystems, Inc. (a) 4,600 438
Tellabs, Inc. (a) 600 29
Texas Instruments, Inc. 2,200 366
Textron, Inc. 1,500 92
Thomas & Betts Corp. 1,300 29
Titan Corp. (a) 21,600 810
United Technologies Corp. 5,900 301
Xerox Corp. 15,900 344
Yahoo!, Inc.New (a) 3,400 542
------
18,396
------
Transportation - 1.5%
Airborne Freight Corp. 1,900 35
CSX Corp. 500 11
Kansas City Southern Industries, Inc. 6,200 488
Navistar International Corp. (a) 3,000 98
Norfolk Southern Corp. 2,200 30
Trans World Airlines, Inc. New (a) 4,700 11
Union Pacific Corp. 6,100 232
United Parcel Service, Inc. Class B 414 24
------
929
------
Utilities - 7.1%
AES Corp. (a) 800 67
AT&T Corp. 27,300 1,350
Bell Atlantic Corp. 4,500 220
BellSouth Corp. 5,800 236
Dominion Resources, Inc. NPV 300 11
Duke Energy Corp. 500 24
Enron Corp. 2,600 179
GTE Corp. 14,300 844
MCI WorldCom, Inc. (a) 12,900 576
Montana Power Co. 14,000 551
Peco Energy Co. 300 11
Southern Co. 1,200 27
Sprint Corp. (Fon Group) 1,800 110
Sprint Corp. (PCS Group) (a) 3,200 166
Williams Cos. (The) 400 17
------
4,389
------
Total Common Stocks
(cost $59,231) 60,319
------
Principal
Amount
(000)
$
---------
Short-Term Investments - 2.4%
AIM Short Term Investment Prime
Portfolio (b) 1,284 1,284
Federated Investors Prime Cash
Obligations Fund (b) 86 86
United States Treasury Bills
5.080% due 03/16/00 (b)(c)(d) 30 30
5.160% due 03/16/00 (b)(c)(d) 80 80
------
Total Short-Term Investments
(cost $1,480) 1,480
------
6 Semiannual Report
<PAGE>
SSgA
IAM SHARES Fund
Statement of Net Assets, continued
February 29, 2000 (Unaudited)
Market
Value
(000)
$
-------
Total Investments - 100.0%
(identified cost $60,711) 61,799
Other Assets and Liabilities,
Net - 0.0% (14)
------
Net Assets - 100.0% 61,785
======
(a) Nonincome-producing security.
(b) At amortized cost, which approximates market.
(c) Rate noted is yield-to-maturity from date of acquisition.
(d) Held as collateral in connection with open futures contracts
purchased by the Fund.
Abbreviations:
ADR - American Depositary Receipt
NPV - No Par Value
NV - Nonvoting
Futures Contracts
Unrealized
Numbers Appreciation
of Depreciation
Contracts (000)
--------- ------------
S&P 500 Index
Futures Contracts
Expiration date 03/00 4 $ (62)
------
Total Unrealized Appreciation
(Depreciation) on Open
Futures Contracts Purchased $ (62)
======
Semiannual Report 7
<PAGE>
SSgA
IAM SHARES Fund
Statement of Assets and Liabilities
Amounts in thousands (except per share amount) February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Assets
Investments at market (identified cost $60,711) .......................................................... $ 61,799
Receivables:
Dividends and interest ................................................................................ 90
Fund shares sold ...................................................................................... 5
Daily variation margin on futures contracts ........................................................... 24
Prepaid expenses ......................................................................................... 8
--------
Total assets ....................................................................................... 61,926
Liabilities
Payables:
Fund shares redeemed ..................................................................... $ 96
Accrued fees to affiliates ............................................................... 37
Other accrued expenses ................................................................... 8
--------
Total liabilities .................................................................................. 141
--------
Net Assets ............................................................................................... $ 61,785
========
Net Assets Consist of:
Undistributed net investment income ...................................................................... $ 81
Accumulated net realized gain (loss) ..................................................................... 100
Unrealized appreciation (depreciation) on:
Investments ........................................................................................... 1,088
Futures contracts ..................................................................................... (62)
Shares of beneficial interest ............................................................................ 6
Additional paid-in capital ............................................................................... 60,572
--------
Net Assets ............................................................................................... $ 61,785
========
Net Asset Value, offering and redemption price per share:
($61,785,023 divided by 5,989,742 shares of $.001 par value
shares of beneficial interest outstanding) ......................................................... $ 10.32
========
</TABLE>
See the accompanying notes which are an integeral part of the financial
statements.
8 Semiannual Report
<PAGE>
SSgA
IAM SHARES Fund
Statement of Operations
Amounts in thousands For the Six Months Ended February 29, 2000 (Unaudited)
<TABLE>
<S> <C> <C>
Investment Income
Dividends ............................................................................................. $ 403
Interest .............................................................................................. 2
Less foreign taxes withheld ........................................................................... (1)
------
Total investment income ............................................................................ 404
Expenses
Advisory fees .............................................................................. $ 78
Administrative fees ........................................................................ 10
Custodian fees ............................................................................. 21
Distribution fees .......................................................................... 16
Transfer agent fees ........................................................................ 19
Professional fees .......................................................................... 7
Registration fees .......................................................................... 32
Shareholder servicing fees ................................................................. 8
Trustees' fees ............................................................................. 2
Miscellaneous .............................................................................. 2
------
Total expenses ..................................................................................... 195
------
Net investment income .................................................................................... 209
------
Net Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments ................................................................................ 73
Futures contracts .......................................................................... 48 121
------
Net change in unrealized appreciation (depreciation) on:
Investments ................................................................................ 1,101
Futures contracts .......................................................................... (27) 1,074
------ ------
Net realized and unrealized gain (loss) .................................................................. 1,195
------
Net increase (decrease) in net assets from operations .................................................... $1,404
======
</TABLE>
See the accompanying notes which are an integeral part of the financial
statements.
Semiannual Report 9
<PAGE>
SSgA
IAM SHARES Fund
Statement of Changes in Net Assets
Amounts in thousands
<TABLE>
<CAPTION>
For the Six For the
Months Ended Period
February 29, 2000 June 2, 1999 to
(Unaudited) August 31, 1999
----------------- ---------------
<S> <C> <C>
Increase (Decrease) in Net Assets
Operations
Net investment income ................................................................. $ 209 $ 102
Net realized gain (loss) .............................................................. 121 75
Net change in unrealized appreciation (depreciation) .................................. 1,074 (48)
-------- --------
Net increase (decrease) in net assets from operations .............................. 1,404 129
-------- --------
Distributions
From net investment income ............................................................ (263) --
From net realized gain ................................................................ (96) --
-------- --------
Net decrease in net assets from distributions ...................................... (359) --
-------- --------
Share Transactions
Net increase (decrease) in net assets from share transactions ......................... 424 60,187
-------- --------
Total net increase (decrease) in net assets .............................................. 1,469 60,316
Net Assets
Beginning of period ................................................................... 60,316 --
-------- --------
End of period (including undistributed net investment income of
$81 and $135, respectively) ........................................................ $ 61,785 $ 60,316
======== ========
</TABLE>
* Commencement of operations.
See the accompanying notes which are an integeral part of the financial
statements.
10 Semiannual Report
<PAGE>
SSgA
IAM SHARES 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>
2000* 19999**
-------- --------
<S> <C> <C>
Net Asset Value, Beginning of Period .......................................... $ 10.14 $ 10.00
-------- --------
Income From Operations
Net investment income (a) .................................................. .03 .02
Net realized and unrealized gain (loss) .................................... .21 .12
-------- --------
Total income from operations ............................................ .24 .14
-------- --------
Distributions
From net investment income ................................................. (.04) --
From net realized gain ..................................................... (.02) --
-------- --------
Total distributions ..................................................... (.06) --
-------- --------
Net Asset Value, End of Period ................................................ $ 10.32 $ 10.14
======== ========
Total Return (%)(b) ........................................................... 2.37 1.40
Ratios/Supplemental Data:
Net Assets, end of period (in thousands) ................................... 61,785 60,316
Ratios to average net assets (%)(c):
Operating expenses, net (d) ............................................. .62 .65
Operating expenses, gross (d) ........................................... .62 .67
Net investment income ................................................... .67 .72
Portfolio turnover rate (%)(e) ............................................. .63 --
</TABLE>
* For the six months ended February 29, 2000 (Unaudited).
** For the period June 2, 1999 (commencement of operations) to August 31, 1999.
(a) Average month-end shares outstanding were used for this calculation.
(b) Periods less than one year are not annualized.
(c) The ratios for periods less than one year are annualized.
(d) See Note 4 for current period amounts.
(e) For the period June 2, 1999 (commencement of operations) to August 31,
1999, the rate is not meaningful due to the Fund's short period of
operation.
Semiannual Report 11
<PAGE>
SSgA
IAM SHARES Fund
Notes to Financial Statements
February 29, 2000 (Unaudited)
1. Organization
The SSgA Funds (the "Investment Company") is a series mutual fund,
currently comprised of 23 investment portfolios which are in operation as
of February 29, 2000. These financial statements report on one portfolio,
the SSgA IAM SHARES Fund (the "Fund"). The Fund invests primarily in
equity securities of companies that have entered into collective
bargaining agreements with the International Association of Machinists and
Aerospace Workers or affiliated labor unions ("IAM companies"). 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.
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.
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
IAM SHARES Fund
Notes to Financial Statements, continued
February 29, 2000 (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 29, 2000 are as follows:
Net
Unrealized
Federal Tax Unrealized Unrealized Appreciation
Cost Appreciation (Depreciation) (Depreciation)
----------- ---------- ------------ -----------
$60,711,599 $10,181,649 $(9,093,858) $1,087,791
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 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.
Futures: The Fund is currently utilizing exchange-traded futures
contracts. The primary risks associated with the use of futures contracts
are an imperfect correlation between the change in market value of the
securities held by the Fund and the prices of futures contracts and the
possibility of an illiquid market. Changes in initial settlement value are
accounted for as unrealized appreciation (depreciation) until the
contracts are terminated, at which time realized gains and losses are
recognized.
3. Securities Transactions
Investment transactions: For the six months ended February 29, 2000,
purchases and sales of investment securities, excluding short-term
investments and futures contracts, aggregated to $583,109 and $388,333,
respectively.
Semiannual Report 13
<PAGE>
SSgA
IAM SHARES Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
4. Related Parties
Adviser: The Investment Company has an investment advisory agreement with
State Street Bank and Trust Company 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 .25% of
its average daily net assets. The Adviser voluntarily agreed to reimburse
the Fund for all expenses in excess of .65% of average daily net assets on
an annual basis. As of February 29, 2000, the receivable due from the
Adviser for expenses in excess of the expense cap has been netted against
the Advisory 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.
In addition, the Fund has entered into arrangements with its Adviser
whereby custody credits realized as a result of uninvested cash balances
were used to reduce a portion of the Fund's expenses. During the period,
the Fund's custodian fees were reduced by $1,510 under these arrangements.
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 for services supplied by the
Administrator pursuant to the Administration Agreement, 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%. In addition, the Fund reimburses
the Administrator for out-of-pocket expenses and start-up costs for new
funds.
Distributor and Shareholder Servicing: The Investment Company has 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 enter 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 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 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
14 Semiannual Report
<PAGE>
SSgA
IAM SHARES Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
Fund pays .025%, .175%, .175%, .175% and .175% to the Adviser, SSBSI, RIS,
Commercial Banking, and Solutions, respectively, based upon the average
daily value of all Fund shares held by or for customers of these Agents.
For the six months ended February 29, 2000, the Fund was charged
shareholder servicing expenses of $7,821 by the Adviser. The Fund did not
incur any expenses from 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. There were no
carryover expenses as of February 29, 2000.
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 $44 for the six months ended
February 29, 2000.
Board of Trustees: The Investment Company paid each Trustee not affiliated
with the Investment Company an annual retainer, plus specified amounts for
board and committee meetings attended. 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 29, 2000
were as follows:
Advisory fees $ 26,928
Administration fees 295
Custodian fees 3,321
Distribution fees 1,080
Shareholder servicing fees 577
Transfer agent fees 3,965
Trustees' fees 518
-------
$36,684
=======
Beneficial Interest: As of February 29, 2000, two shareholders were record
owners of approximately 83% and 15%, respectively, of the total
outstanding shares of the Fund.
Semiannual Report 15
<PAGE>
SSgA
IAM SHARES Fund
Notes to Financial Statements, continued
February 29, 2000 (Unaudited)
5. Fund Share Transactions (amounts in thousands)
<TABLE>
<CAPTION>
For the Periods Ended
------------------------------------------------------------
February 29, 2000 August 31, 1999
----------------------- ------------------------
Shares Dollars Shares Dollars
------- -------- ------- --------
<S> <C> <C> <C> <C>
Proceeds from shares sold........................................ 47 $ 484 5,952 $ 60,232
Proceeds from reinvestment of distributions...................... 35 358 -- --
Payments for shares redeemed..................................... (40) (418) (4) (45)
--- ------ ----- --------
Total net increase (decrease).................................... 42 $ 424 5,948 $ 60,187
=== ====== ===== ========
</TABLE>
* For the period June 2, 1999 (commencement of operations) to August 31, 1999.
6. Dividend
On March 1, 2000, the Board of Trustees declared a dividend of $.0136 from
net investment income, payable on March 7, 2000 to shareholders of record
on March 2, 2000.
7. Interfund Lending Program
The Fund and all the affiliated Funds received from the Securities and
Exchange Commission an exemptive order to establish and operate an
Interfund Credit Facility. This allows the Funds to directly lend to and
borrow money from the SSgA Money Market Fund for temporary purposes in
accordance with certain conditions. The borrowing Funds are charged the
average of the current Repo Rate and the Bank Loan Rate. The Fund did not
utilize the interfund lending program during this period.
16 Semiannual Report
<PAGE>
SSgA IAM SHARES 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
160 Federal Street
Boston, Massachusetts 02110
Semiannual Report 17
