Ssga Funds NCSRS Certified semi-annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT OF REGISTERED

MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-05430

SSGA FUNDS

(Exact name of registrant as specified in charter)

One Lincoln Street

Boston, Massachusetts 02111

(Address of principal executive offices)(Zip code)


(Name and Address of Agent for Service)		Copy to:

David James, Managing Director and Managing Counsel State Street Bank and Trust Company 100 Huntington Avenue, 3^rd Floor Boston, Massachusetts 02116		Timothy W. Diggins, Esq. Ropes & Gray 800 Boylston Street Boston, Massachusetts 02110-2624

Registrant’s telephone number, including area code: (617) 662-1742

Date of fiscal year end: August 31

Date of reporting period: February 28, 2015

Item 1. Shareholder Report.

Semiannual Report

28 February, 2015

SSGA Funds

SSGA Dynamic Small Cap Fund

SSGA Clarion Real Estate Fund

SSGA Enhanced Small Cap Fund

SSGA Emerging Markets Fund

SSGA International Stock Selection Fund

SSGA High Yield Bond Fund

LOGO

SSGA Funds

Semiannual Report

February 28, 2015 (Unaudited)

Table of Contents


	Page
SSGA Dynamic Small Cap Fund		3
SSGA Clarion Real Estate Fund		12
SSGA Enhanced Small Cap Fund		16
SSGA Emerging Markets Fund		26
SSGA International Stock Selection Fund		36
SSGA High Yield Bond Fund		41
Statements of Assets and Liabilities		50
Statements of Operations		54
Statements of Changes in Net Assets		56
Financial Highlights		60
Notes to Financial Statements		66
Shareholder Requests for Additional Information		87
Fund Management and Service Providers		88

“SSGA” 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 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 quoted represents past performance and past performance does not guarantee future results. Current performance may be higher or lower than the performance quoted. For the most recent month end performance information, visit www.ssgafunds.com. Investment in the Funds poses investment risks, including the possible loss of principal. The investment return and principal value of an investment will fluctuate so that shares, when redeemed, may be worth more or less than their original cost.

An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or another governmental agency. Although a money market fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

This page has been intentionally left blank.

SSGA Dynamic Small Cap Fund

Shareholder Expense Example — February 28, 2015 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding each Fund’s Expense Example, which appears on each Fund’s individual page in this Semi-annual Report. Please refer to this information when reviewing the Expense Example for a Fund.

Example

As a shareholder of the Fund, you incur two types of costs: (1) transaction costs, and (2) ongoing costs, including advisory and administration fees; distribution (12b-1) and/or service fees; and other Fund expenses. The Example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The Example is based on an investment of $1,000 invested at the beginning of the period and held for the entire period indicated, which for this Fund is from September 1, 2014 to February 28, 2015.

Actual Expenses

The information in the table under the heading “Actual Performance” provides information about actual account values and actual expenses. You may use the information in this column, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first column in the row entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during this period.

Hypothetical Example for Comparison Purposes

The information in the table under the heading “Hypothetical Performance (5% return before expenses)” provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of other funds.

Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs. Therefore, the information under the heading “Hypothetical Performance (5% return before expenses)” is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Class N
Beginning Account Value
September 1, 2014		1.10	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,039.40	$	1,019.35
Expenses Paid During Period				$	5.56	$	5.51

Class A
Beginning Account Value
September 1, 2014		1.30	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,038.40	$	1,018.35
Expenses Paid During Period				$	6.57	$	6.51

Class C
Beginning Account Value
September 1, 2014		2.05	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,034.90	$	1,014.63
Expenses Paid During Period				$	10.34	$	10.24


SSGA Dynamic Small Cap Fund			3

SSGA Dynamic Small Cap Fund

Shareholder Expense Example, continued — February 28, 2015 (Unaudited)


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Class I
Beginning Account Value
September 1, 2014		1.04	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,039.60	$	1,019.64
Expenses Paid During Period				$	5.26	$	5.21

Class K
Beginning Account Value
September 1, 2014		0.85	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,040.90	$	1,020.58
Expenses Paid During Period				$	4.30	$	4.26

Expenses are equal to the Fund’s annualized expense ratio (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.


4		SSGA Dynamic Small Cap Fund

SSGA Dynamic Small Cap Fund

Schedule of Investments — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 98.1%
Consumer Discretionary - 15.4%
AH Belo Corp. (Class A)		1,671		14,521
AMC Entertainment Holdings, Inc. (Class A)		536		18,428
American Axle & Manufacturing Holdings, Inc. (a)(b)		5,223		130,157
Asbury Automotive Group, Inc. (a)(b)		1,674		131,694
Barnes & Noble, Inc. (a)(b)		841		20,941
Biglari Holdings, Inc. (b)		156		67,893
BJ’s Restaurants, Inc. (a)(b)		2,150		112,273
Bob Evans Farms, Inc.		564		33,039
Bright Horizons Family Solutions, Inc. (b)		699		35,439
Brown Shoe Co., Inc. (a)		3,881		116,430
Burlington Stores, Inc. (b)		2,651		147,316
Churchill Downs, Inc.		1,016		111,597
Cooper Tire & Rubber Co. (a)		3,837		146,036
Cooper-Standard Holding, Inc. (a)(b)		462		25,045
Core-Mark Holding Co., Inc.		1,728		121,513
Cracker Barrel Old Country Store, Inc. (a)		923		139,401
Denny’s Corp. (b)		9,217		106,088
Diamond Resorts International, Inc. (a)(b)		3,910		135,482
DineEquity, Inc.		1,208		131,104
Group 1 Automotive, Inc. (a)		1,400		113,876
Haverty Furniture Cos., Inc. (a)		317		7,307
Helen of Troy, Ltd. (b)		572		43,827
Jack in the Box, Inc.		1,958		189,319
Libbey, Inc. (a)		2,005		76,250
MarineMax, Inc. (b)		654		16,579
Marriott Vacations Worldwide Corp.		2,023		153,869
Mattress Firm Holding Corp. (a)(b)		1,721		104,826
Meredith Corp. (a)		731		39,211
Nathan’s Famous, Inc. (b)		131		10,711
Nutrisystem, Inc. (a)		1,034		17,795
Orbitz Worldwide, Inc. (b)		1,811		20,971
Papa John’s International, Inc.		1,814		112,178
Popeyes Louisiana Kitchen, Inc. (b)		1,741		104,477
Remy International, Inc.		146		3,339
Ruth’s Hospitality Group, Inc. (a)		4,503		68,716
Skechers U.S.A., Inc. (Class A) (a)(b)		2,386		162,582
Sonic Automotive, Inc. (Class A)		3,793		93,801
Sonic Corp.		3,490		110,947
Speedway Motorsports, Inc. (a)		901		21,372
Strayer Education, Inc. (b)		1,351		82,235
Texas Roadhouse, Inc.		1,322		49,760
The Cato Corp. (Class A) (a)		2,588		114,752


	Principal Amount ($) or Shares		Market Value $
The Marcus Corp.		1,259		24,538
Tilly’s, Inc. (Class A) (a)(b)		1,178		14,796
Tower International, Inc. (a)(b)		2,963		80,208
Unifi, Inc. (b)		448		14,479
Universal Electronics, Inc. (b)		2,027		114,546
Vail Resorts, Inc.		635		55,759
Zumiez, Inc. (a)(b)		2,509		97,399

				3,864,822


Consumer Staples - 2.9%
Casey’s General Stores, Inc.		1,502		131,800
Coca-Cola Hellenic Bottling Co. (a)		246		25,680
Fresh Del Monte Produce, Inc. (a)		2,717		95,666
Harbinger Group, Inc. (b)		2,719		33,498
Ingles Markets, Inc. (Class A) (a)		608		26,290
Medifast, Inc. (a)(b)		657		20,787
Omega Protein Corp. (a)(b)		1,982		21,168
Revlon, Inc. (Class A) (a)(b)		729		24,611
Seaboard Corp. (b)		13		52,130
SpartanNash Co.		1,033		27,426
SUPERVALU, Inc. (b)		13,424		132,629
The Pantry, Inc. (b)		2,691		98,760
USANA Health Sciences, Inc. (a)(b)		276		27,603

				718,048


Energy - 1.7%
Adams Resources & Energy, Inc. (a)		168		11,236
Green Plains, Inc. (a)		3,550		82,537
REX American Resources Corp. (a)(b)		406		22,070
SemGroup Corp. (Class A)		902		69,734
Ship Finance International, Ltd. (a)		5,903		94,507
Teekay Tankers, Ltd. (Class A)		3,143		18,387
Western Refining, Inc.		2,484		116,996

				415,467


Financials - 28.6%
Acadia Realty Trust (a)(c)		3,390		115,802
AG Mortgage Investment Trust, Inc. (a)(c)		1,465		27,557
Alexander’s, Inc. (a)(c)		106		46,683
American Assets Trust, Inc. (c)		2,541		104,232
American Equity Investment Life Holding Co.		1,741		49,601
Amtrust Financial Services, Inc. (a)		2,454		132,271
Apollo Commercial Real Estate Finance, Inc. (a)(c)		2,375		40,589
Apollo Residential Mortgage, Inc. (c)		1,212		19,210
Argo Group International Holdings, Ltd.		2,339		112,042


SSGA Dynamic Small Cap Fund			5

SSGA Dynamic Small Cap Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Associated Estates Realty Corp. (c)		4,457		106,745
BancFirst Corp. (a)		339		20,130
Banco Latinoamericano de Comercio Exterior SA (a)		1,333		41,923
Banner Corp.		1,712		74,746
Berkshire Hills Bancorp, Inc.		849		22,651
BGC Partners, Inc. (Class A) (a)		15,137		137,444
Brookline Bancorp, Inc.		4,110		39,785
Calamos Asset Management, Inc. (Class A)		962		12,285
Capitol Federal Financial, Inc. (a)		2,956		36,684
Cardinal Financial Corp. (a)		1,059		20,725
Central Pacific Financial Corp. (a)		1,161		26,633
Chesapeake Lodging Trust (a)(c)		1,671		59,421
City Holding Co.		926		42,735
Colony Financial, Inc. (a)(c)		5,816		146,621
Community Trust Bancorp, Inc. (a)		803		26,210
Coresite Realty Corp. (c)		2,094		99,339
Crawford & Co. (Class B) (a)		1,241		11,281
CubeSmart (c)		5,899		136,857
DiamondRock Hospitality Co. (c)		8,696		125,918
Dynex Capital, Inc. (a)(c)		2,389		19,924
Employers Holdings, Inc.		1,981		46,732
Enterprise Financial Services Corp.		825		16,599
EPR Properties (a)(c)		1,020		62,230
Equity One, Inc. (c)		4,095		109,664
FBL Financial Group, Inc. (Class A) (a)		1,799		104,054
FelCor Lodging Trust, Inc. (a)(c)		10,901		117,404
Fidelity & Guaranty Life		4,136		85,532
First American Financial Corp. (a)		4,833		169,300
First Busey Corp. (a)		2,630		16,648
First Commonwealth Financial Corp. (a)		918		7,785
First Defiance Financial Corp.		442		14,148
First Financial Corp. (a)		478		16,085
First Interstate Bancsystem, Inc.		1,026		27,076
First Merchants Corp.		3,851		86,879
First Midwest Bancorp, Inc.		6,286		107,491
First NBC Bank Holding Co. (a)(b)		403		13,186
Franklin Street Properties Corp. (a)(c)		7,199		90,923
GAMCO Investors, Inc. (Class A) (a)		229		17,290
German American Bancorp, Inc. (a)		361		10,364
Great Southern Bancorp, Inc. (a)		462		17,288
Greenlight Capital Re, Ltd. (Class A) (a)(b)		3,196		104,605
Hatteras Financial Corp. (c)		2,288		41,985
HCI Group, Inc. (a)		560		26,499
Healthcare Realty Trust, Inc. (c)		4,360		124,434
Horizon Bancorp (a)		715		16,159
Hudson Pacific Properties, Inc. (c)		4,405		140,784
Infinity Property & Casualty Corp.		332		25,747


	Principal Amount ($) or Shares		Market Value $
Investment Technology Group, Inc. (b)		3,564		80,261
Investors Bancorp, Inc.		6,221		71,417
Kansas City Life Insurance Co.		387		18,073
KCG Holdings, Inc. (Class A) (b)		9,407		118,340
Kennedy-Wilson Holdings, Inc.		1,770		47,365
Lakeland Financial Corp.		630		24,595
Maiden Holdings, Ltd. (a)		5,386		77,074
MainSource Financial Group, Inc. (a)		1,384		25,895
Marcus & Millichap, Inc. (a)(b)		833		30,763
MarketAxess Holdings, Inc.		1,624		129,254
National General Holdings Corp. (a)		1,231		22,897
National Western Life Insurance Co. (Class A) (a)		168		42,232
Northfield Bancorp, Inc. (a)		1,548		22,400
NorthStar Realty Finance Corp. (c)		4,223		81,166
OneBeacon Insurance Group, Ltd. (Class A) (a)		1,240		18,600
Pebblebrook Hotel Trust (c)		3,447		167,455
PennyMac Mortgage Investment Trust (c)		5,005		107,307
Peoples Bancorp, Inc. (a)		389		9,235
PHH Corp. (b)		1,222		29,670
Pinnacle Financial Partners, Inc.		1,306		54,852
Piper Jaffray Cos. (b)		2,267		124,118
Preferred Bank/Los Angeles CA		895		24,120
Primerica, Inc.		2,481		130,848
PrivateBancorp, Inc.		3,822		132,738
Pzena Investment Management, Inc. (Class A)		834		6,914
Ramco-Gershenson Properties Trust (c)		5,582		104,495
RLJ Lodging Trust (c)		4,415		140,441
S&T Bancorp, Inc. (a)		1,809		51,249
Safety Insurance Group, Inc.		1,471		86,053
Saul Centers, Inc. (c)		465		25,050
Selective Insurance Group, Inc.		2,179		59,334
Simmons First National Corp. (Class A)		699		28,624
Sovran Self Storage, Inc. (c)		1,394		128,276
Springleaf Holdings, Inc. (a)(b)		2,750		105,737
State Auto Financial Corp. (a)		543		12,864
Strategic Hotels & Resorts, Inc. (b)(c)		5,139		67,424
Summit Hotel Properties, Inc. (a)(c)		8,250		108,322
Sun Communities, Inc. (c)		1,963		132,679
Sunstone Hotel Investors, Inc. (a)(c)		7,861		137,174
Symetra Financial Corp.		5,190		117,190
Terreno Realty Corp. (c)		3,741		82,452
Territorial Bancorp, Inc.		591		12,718
The Geo Group, Inc. (a)(c)		3,537		152,622
The Hanover Insurance Group, Inc.		610		42,846


6		SSGA Dynamic Small Cap Fund

SSGA Dynamic Small Cap Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

The Navigators Group, Inc. (b)		864		64,549
United Community Banks, Inc.		5,067		96,374
United Fire Group, Inc. (a)		1,744		50,297
United Insurance Holdings Corp. (a)		1,121		27,364
Universal Insurance Holdings, Inc.		1,078		26,842
Walker & Dunlop, Inc. (b)		1,067		17,104
West Bancorp., Inc. (a)		500		8,760
Westwood Holdings Group, Inc.		274		17,120
Wintrust Financial Corp.		2,318		109,155
World Acceptance Corp. (a)(b)		1,152		94,591

				7,178,230


Health Care - 12.8%
Abaxis, Inc. (a)		1,732		105,513
ACADIA Pharmaceuticals, Inc. (a)(b)		1,131		42,944
Acceleron Pharma, Inc. (b)		293		11,905
Achillion Pharmaceuticals, Inc. (a)(b)		1,450		17,603
Acorda Therapeutics, Inc. (a)(b)		504		17,055
Aegerion Pharmaceuticals, Inc. (a)(b)		294		7,997
Agenus, Inc. (a)(b)		896		4,390
Agios Pharmaceuticals, Inc. (a)(b)		221		23,709
Akebia Therapeutics, Inc. (a)(b)		110		1,019
Amedisys, Inc. (a)(b)		2,991		90,239
AMN Healthcare Services, Inc. (a)(b)		5,517		124,464
Anacor Pharmaceuticals, Inc. (a)(b)		539		23,447
Arena Pharmaceuticals, Inc. (a)(b)		2,927		13,201
ARIAD Pharmaceuticals, Inc. (a)(b)		2,506		20,374
Array BioPharma, Inc. (a)(b)		2,307		18,364
Asterias Biotherapeutics, Inc. (a)(b)(d)		90		358
BioCryst Pharmaceuticals, Inc. (a)(b)		981		10,006
Bluebird Bio, Inc. (a)(b)		346		32,981
Cambrex Corp. (b)		1,280		43,840
Cantel Medical Corp. (a)		2,132		96,793
Celldex Therapeutics, Inc. (a)(b)		1,276		32,589
Cepheid, Inc. (a)(b)		1,015		57,693
Chemed Corp. (a)		1,287		149,910
Chimerix, Inc. (a)(b)		454		18,378
Clovis Oncology, Inc. (a)(b)		227		17,356
CTI BioPharma Corp. (a)(b)		1,926		4,507
CytRx Corp. (a)(b)		780		2,519
Dendreon Corp. (b)(d)		2,288		128
Durata Therapeutics, Inc. (b)(e)		224		260
Dyax Corp. (b)		1,546		23,360
Dynavax Technologies Corp. (a)(b)		370		6,512
Emergent Biosolutions, Inc. (a)(b)		513		15,375
Enanta Pharmaceuticals, Inc. (a)(b)		147		5,266	��


	Principal Amount ($) or Shares		Market Value $
Epizyme, Inc. (a)(b)		184		4,328
Exact Sciences Corp. (a)(b)		1,192		26,784
ExamWorks Group, Inc. (a)(b)		2,691		108,716
Exelixis, Inc. (a)(b)		2,722		7,975
Five Prime Therapeutics, Inc. (a)(b)		245		6,306
Foundation Medicine, Inc. (b)		211		10,077
Galectin Therapeutics, Inc. (a)(b)		250		850
Galena Biopharma, Inc. (a)(b)		1,665		2,997
Genomic Health, Inc. (a)(b)		234		7,114
Geron Corp. (a)(b)		2,178		6,578
Halozyme Therapeutics, Inc. (a)(b)		1,077		16,230
Heron Therapeutics, Inc. (b)		284		3,689
Horizon Pharma PLC (a)(b)		2,311		47,445
Hyperion Therapeutics, Inc. (a)(b)		186		5,496
ImmunoGen, Inc. (a)(b)		1,249		9,492
Immunomedics, Inc. (a)(b)		1,150		4,692
Infinity Pharmaceuticals, Inc. (b)		811		12,327
Inovio Pharmaceuticals, Inc. (a)(b)		847		5,993
Insmed, Inc. (a)(b)		312		5,785
Insys Therapeutics, Inc. (a)(b)		148		8,889
Intrexon Corp. (a)(b)		507		20,817
Ironwood Pharmaceuticals, Inc. (a)(b)		1,304		20,147
Isis Pharmaceuticals, Inc. (a)(b)		1,758		120,529
Karyopharm Therapeutics, Inc. (a)(b)		182		4,961
Keryx Biopharmaceuticals, Inc. (a)(b)		1,251		15,212
KYTHERA Biopharmaceuticals, Inc. (a)(b)		274		11,385
Lexicon Pharmaceuticals, Inc. (a)(b)		3,269		3,073
LHC Group, Inc. (b)		573		19,367
Ligand Pharmaceuticals, Inc. (Class B) (a)(b)		173		9,527
MacroGenics, Inc. (a)(b)		365		12,618
MannKind Corp. (a)(b)		3,670		23,928
Merrimack Pharmaceuticals, Inc. (a)(b)		2,542		27,250
MiMedx Group, Inc. (a)(b)		1,573		16,281
Molina Healthcare, Inc. (a)(b)		202		12,865
Momenta Pharmaceuticals, Inc. (a)(b)		655		8,941
National Healthcare Corp. (a)		344		21,675
Natus Medical, Inc. (a)(b)		3,775		135,107
Navidea Biopharmaceuticals, Inc. (a)(b)		2,203		3,569
Neuralstem, Inc. (a)(b)		964		3,625
Neurocrine Biosciences, Inc. (a)(b)		1,203		46,977
NewLink Genetics Corp. (a)(b)		350		15,078
Northwest Biotherapeutics, Inc. (a)(b)		521		3,840
Novavax, Inc. (a)(b)		4,066		37,204
NuVasive, Inc. (a)(b)		2,496		114,192


SSGA Dynamic Small Cap Fund			7

SSGA Dynamic Small Cap Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

NxStage Medical, Inc. (b)		5,787		99,421
Ohr Pharmaceutical, Inc. (b)		287		2,207
Omeros Corp. (b)		1,611		33,622
OncoMed Pharmaceuticals, Inc. (a)(b)		173		4,322
Oncothyreon, Inc. (a)(b)		1,039		1,662
Ophthotech Corp. (a)(b)		240		12,896
Opko Health, Inc. (a)(b)		2,806		40,855
Orexigen Therapeutics, Inc. (a)(b)		888		5,008
Organovo Holdings, Inc. (a)(b)		867		5,133
Orthofix International NV (b)		624		20,236
Osiris Therapeutics, Inc. (b)		279		4,818
Pacira Pharmaceuticals, Inc. (a)(b)		1,285		147,479
PAREXEL International Corp. (a)(b)		850		54,791
Peregrine Pharmaceuticals, Inc. (a)(b)		2,439		3,439
PharMerica Corp. (a)(b)		3,807		95,175
Portola Pharmaceuticals, Inc. (a)(b)		526		20,030
Progenics Pharmaceuticals, Inc. (a)(b)		1,225		7,975
Prothena Corp. PLC (a)(b)		318		8,452
PTC Therapeutics, Inc. (a)(b)		362		25,822
Puma Biotechnology, Inc. (a)(b)		337		71,784
RadNet, Inc. (a)(b)		2,766		24,230
Raptor Pharmaceutical Corp. (a)(b)		835		7,740
Receptos, Inc. (a)(b)		262		33,180
Repligen Corp. (a)(b)		404		10,387
Retrophin, Inc. (b)		303		4,291
Rigel Pharmaceuticals, Inc. (a)(b)		1,601		4,787
Sagent Pharmaceuticals, Inc. (a)(b)		289		7,855
Sangamo Biosciences, Inc. (b)		382		6,425
Sarepta Therapeutics, Inc. (a)(b)		398		5,532
Spectrum Pharmaceuticals, Inc. (a)(b)		937		5,838
Sunesis Pharmaceuticals, Inc. (b)		727		1,614
Synageva BioPharma Corp. (a)(b)		236		23,300
Synergy Pharmaceuticals, Inc. (a)(b)		1,306		3,944
Synta Pharmaceuticals Corp. (a)(b)		823		1,975
TESARO, Inc. (b)		351		18,719
Tetraphase Pharmaceuticals, Inc. (b)		1,056		41,670
TG Therapeutics, Inc. (a)(b)		333		4,832
The Ensign Group, Inc.		2,151		94,795
The Providence Service Corp. (b)		506		23,276
Threshold Pharmaceuticals, Inc. (a)(b)		737		3,221
Tornier NV (b)		3,887		94,998
Triple-S Management Corp. (Class B) (a)(b)		1,156		21,791
Ultragenyx Pharmaceutical, Inc. (b)		89		4,830
US Physical Therapy, Inc.		541		22,933
Vanda Pharmaceuticals, Inc. (a)(b)		490		5,272


	Principal Amount ($) or Shares		Market Value $
Verastem, Inc. (a)(b)		294		2,187
Versartis, Inc. (a)(b)		98		1,941
XOMA Corp. (a)(b)		1,160		4,280
ZIOPHARM Oncology, Inc. (a)(b)		1,090		12,273

				3,213,229


Industrials - 12.8%
ABM Industries, Inc. (a)		2,739		85,156
Air Transport Services Group, Inc. (a)(b)		2,546		22,889
Allegiant Travel Co. (a)		912		167,461
AMERCO, Inc. (b)		232		75,822
American Railcar Industries, Inc. (a)		429		24,093
Apogee Enterprises, Inc.		2,317		106,234
Argan, Inc. (a)		1,198		38,851
Atlas Air Worldwide Holdings, Inc. (a)(b)		2,876		130,427
Curtiss-Wright Corp.		968		70,257
Deluxe Corp. (a)		2,530		168,371
Echo Global Logistics, Inc. (b)		3,208		93,160
EMCOR Group, Inc.		637		28,047
ESCO Technologies, Inc.		795		30,639
Federal Signal Corp.		6,675		110,071
G&K Services, Inc. (Class A) (a)		1,615		116,264
Hawaiian Holdings, Inc. (b)		1,662		30,764
Hillenbrand, Inc. (d)		1,520		48,184
Huron Consulting Group, Inc. (a)(b)		1,742		116,104
Insperity, Inc.		2,044		105,879
JetBlue Airways Corp. (a)(b)		10,837		186,288
Kadant, Inc. (a)		441		19,510
Kaman Corp.		694		28,801
Knight Transportation, Inc. (a)		4,511		149,134
Knoll, Inc.		6,146		130,480
Korn/Ferry International (b)		3,814		116,708
L.B. Foster Co. (Class A) (a)		418		20,490
Lydall, Inc. (a)(b)		953		30,363
Masonite International Corp. (b)		1,719		105,443
Matson, Inc.		3,150		124,331
Matthews International Corp. (Class A)		661		31,973
Multi-Color Corp.		1,506		102,830
MYR Group, Inc. (a)(b)		948		26,203
Nortek, Inc. (b)		414		32,147
Orbital ATK, Inc.		—		24
PAM Transportation Services, Inc. (a)(b)		200		10,494
Park-Ohio Holdings Corp.		2,030		117,233
Patrick Industries, Inc. (b)		895		49,449
Quad Graphics, Inc. (a)		1,065		24,953
Republic Airways Holdings, Inc. (b)		2,139		27,529
Saia, Inc. (b)		2,413		111,070


8		SSGA Dynamic Small Cap Fund

SSGA Dynamic Small Cap Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

TriNet Group, Inc. (b)		550		19,987
Viad Corp.		820		21,779
VSE Corp. (a)		373		29,545
West Corp. (a)		4,056		138,512

				3,223,949


Information Technology - 13.6%
Amkor Technology, Inc. (b)		1,906		18,545
Badger Meter, Inc. (a)		448		26,163
Bel Fuse, Inc. (Class B)		619		11,817
Blackbaud, Inc.		935		42,449
Blackhawk Network Holdings, Inc. (a)(b)		3,119		115,528
CACI International, Inc. (Class A) (b)		483		42,161
Cimpress NV (b)		1,507		125,834
comScore, Inc. (a)(b)		1,320		68,099
Comtech Telecommunications Corp.		626		22,373
Constant Contact, Inc. (a)(b)		3,347		138,332
Ebix, Inc. (a)		1,366		35,898
Envestnet, Inc. (a)(b)		2,205		118,805
ePlus, Inc. (b)		530		44,080
Euronet Worldwide, Inc. (a)(b)		1,104		62,376
Fair Isaac Corp.		1,515		128,957
Global Cash Access Holdings, Inc. (b)		8,795		62,532
GSI Group, Inc. (b)		1,655		21,763
II-VI, Inc. (b)		4,389		76,764
Infoblox, Inc. (b)		4,990		116,018
Integrated Silicon Solution, Inc. (a)		992		16,308
LivePerson, Inc. (b)		1,669		19,252
LogMeIn, Inc. (a)(b)		663		34,940
Mantech International Corp. (Class A)		756		25,024
MAXIMUS, Inc.		1,179		69,832
MicroStrategy, Inc. (Class A) (b)		672		119,844
MoneyGram International, Inc. (a)(b)		454		3,857
OSI Systems, Inc. (b)		471		34,133
PC Connection, Inc. (a)		1,069		27,388
PMC - Sierra, Inc. (b)		3,935		37,383
Qorvo, Inc. (b)(d)		2,917		202,440
Qualys, Inc. (b)		2,164		99,609
Rogers Corp. (b)		1,330		104,112
Sanmina Corp. (b)		5,958		135,247
Science Applications International Corp.		2,159		118,054
Spansion, Inc. (Class A) (b)		4,319		155,830
SS&C Technologies Holdings, Inc. (a)		2,889		175,305
Stamps.com, Inc. (b)		1,719		96,367
Super Micro Computer, Inc. (a)(b)		3,582		143,925
Sykes Enterprises, Inc. (b)		5,191		120,691


	Principal Amount ($) or Shares		Market Value $
SYNNEX Corp. (a)		1,618		123,373
Take-Two Interactive Software, Inc. (a)(b)		5,459		144,609
TeleTech Holdings, Inc. (b)		931		22,623
Tessera Technologies, Inc. (a)		1,099		44,026
The Hackett Group, Inc.		1,768		15,576
VASCO Data Security International, Inc. (a)(b)		1,805		46,244

				3,414,486


Materials - 2.9%
Berry Plastics Group, Inc. (b)		1,625		55,754
Boise Cascade Co. (b)		2,944		104,836
Chase Corp. (a)		716		30,838
Clearwater Paper Corp. (b)		1,854		113,205
Graphic Packaging Holding Co. (b)		11,958		180,446
Hawkins, Inc. (a)		195		7,603
Innophos Holdings, Inc.		1,725		96,824
Kaiser Aluminum Corp. (a)		418		31,580
Neenah Paper, Inc.		1,775		107,246

				728,332


Telecommunication Services - 0.5%
Inteliquent, Inc. (a)		1,366		20,148
Premiere Global Services, Inc. (b)		2,070		20,162
Vonage Holdings Corp. (b)		21,307		96,734

				137,044


Utilities - 6.9%
ALLETE, Inc.		2,275		124,761
American States Water Co. (a)		3,086		123,841
Avista Corp. (a)		3,656		124,670
Chesapeake Utilities Corp. (a)		814		38,421
Connecticut Water Service, Inc. (a)		487		18,068
Dynegy, Inc. (b)		4,581		127,672
Empire District Electric Co.		3,861		97,876
IDACORP, Inc. (a)		2,530		158,429
MGE Energy, Inc. (a)		1,629		70,194
New Jersey Resources Corp. (a)		2,306		144,309
Northwest Natural Gas Co.		2,072		97,902
NorthWestern Corp.		869		47,091
ONE Gas, Inc. (a)		1,202		50,015
Piedmont Natural Gas Co., Inc.		1,710		63,783
PNM Resources, Inc.		4,613		131,701
Portland General Electric Co. (a)		1,613		60,149
Southwest Gas Corp.		1,054		60,352
The Laclede Group, Inc.		852		44,100
Unitil Corp. (a)		584		19,844
WGL Holdings, Inc.		2,372		126,546

				1,729,724


Total Common Stocks (cost $20,981,427)				24,623,331


SSGA Dynamic Small Cap Fund			9

SSGA Dynamic Small Cap Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Warrant - 0.0% (f)
Health Care - 0.0% (f)
BIOTIME, Inc. (expires 10/01/18) (a)(b) (cost $109)		110		130


Short-Term Investments - 26.0%
SSGA Prime Money Market Fund 0.20% (g)(h)		382,674		382,674
State Street Navigator Securities Lending Prime Portfolio (h)(i)		6,136,422		6,136,422


Total Short-Term Investments (cost $6,519,096)				6,519,096


Total Investments - 124.1% (identified cost $27,500,632)				31,142,557

Other Assets and Liabilities, Net - (24.1)%				(6,048,489	)


Net Assets - 100.0%				25,094,068

Footnotes:

(a)	All or a portion of the shares of this security are on loan.

(b)	Non-income producing security

(c)	Real Estate Investment Trust (REIT)

(d)	All or a portion of the shares of this security are held as collateral in connection with futures contracts purchased by the Fund.

(e)	Security is fair valued at fair value as determined in good faith by the Trust in accordance with procedures approved by the Board of Trustees. Security value is determined based on Level 2 inputs.

(f)	Less than 0.05% of net assets

(g)	The rate shown is the annualized seven-day yield at period end.

(h)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 4).

(i)	Investments of cash collateral for securities loaned

Abbreviation

PLC Public Limited Company

Futures Contracts

Number of
Contracts

Notional
Amount

Expiration
Date

Unrealized
Appreciation
(Depreciation)
$

Long Positions

Russell 2000 Mini Index Futures

123,160

03/15

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts

During the period ended February 28, 2015, average notional value related to futures contracts was $20,527 or 0.1% of net assets.

See accompanying notes which are an integral part of the financial statements.


10		SSGA Dynamic Small Cap Fund

SSGA Dynamic Small Cap Fund

Presentation of Portfolio Holdings — February 28, 2015 (Unaudited)


	Market Value*								% of Net Assets
Categories	Level 1		Level 2		Level 3		Total		% of Net Assets
Common Stocks
Consumer Discretionary	$	3,864,822	$	—	$	—	$	3,864,822		15.4
Consumer Staples		718,048		—		—		718,048		2.9
Energy		415,467		—		—		415,467		1.7
Financials		7,178,230		—		—		7,178,230		28.6
Health Care		3,212,969		260		—		3,213,229		12.8
Industrials		3,223,949		—		—		3,223,949		12.8
Information Technology		3,414,486		—		—		3,414,486		13.6
Materials		728,332		—		—		728,332		2.9
Telecommunication Services		137,044		—		—		137,044		0.5
Utilities		1,729,724		—		—		1,729,724		6.9
Warrants
Health Care		130		—		—		130		0.0	**
Short-Term Investments		382,674		6,136,422		—		6,519,096		26.0

Total Investments	$	25,005,875	$	6,136,682	$	—	$	31,142,557		124.1

Other Assets & Liabilities, Net										(24.1	)

										100.0


Other Financial Instruments***
Futures Contracts		18		—		—		18		0.0	**

For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2015.

Less than 0.05% of net assets.

***

Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation (depreciation) on the instruments.

See accompanying notes which are an integral part of the financial statements.


SSGA Dynamic Small Cap Fund			11

SSGA Clarion Real Estate Fund

Shareholder Expense Example — February 28, 2015 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Class N
Beginning Account Value
September 1, 2014		1.00	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,114.80	$	1,019.84
Expenses Paid During Period				$	5.24	$	5.01

Class A
Beginning Account Value
September 1, 2014		1.20	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,114.10	$	1,018.85
Expenses Paid During Period				$	6.29	$	6.01

Class C
Beginning Account Value
September 1, 2014		1.95	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,109.10	$	1,015.13
Expenses Paid During Period				$	10.20	$	9.74


12		SSGA Clarion Real Estate Fund

SSGA Clarion Real Estate Fund

Shareholder Expense Example, continued — February 28, 2015 (Unaudited)


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Class I
Beginning Account Value
September 1, 2014		0.95	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,114.30	$	1,020.09
Expenses Paid During Period				$	4.98	$	4.76

Class K
Beginning Account Value
September 1, 2014		0.75	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,116.40	$	1,021.08
Expenses Paid During Period				$	3.94	$	3.76


SSGA Clarion Real Estate Fund			13

SSGA Clarion Real Estate Fund

Schedule of Investments — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 99.8%
Diversified REITs - 5.2%
American Realty Capital Properties, Inc.		24,700		242,307
Cousins Properties, Inc.		14,800		158,804
Liberty Property Trust		8,400		312,648
Vornado Realty Trust		19,438		2,138,958

				2,852,717


Industrial REITs - 6.2%
DCT Industrial Trust, Inc.		24,175		872,234
ProLogis		58,824		2,512,373

				3,384,607


Office REITs - 18.4%
Alexandria Real Estate Equities, Inc.		11,200		1,074,192
BioMed Realty Trust, Inc.		14,200		315,808
Boston Properties, Inc.		14,855		2,041,225
Brandywine Realty Trust (a)		27,100		429,535
Digital Realty Trust, Inc. (a)		6,622		439,568
Douglas Emmett, Inc.		20,723		598,273
Duke Realty Corp.		38,608		824,667
Highwoods Properties, Inc. (a)		13,200		602,052
Kilroy Realty Corp. (a)		17,100		1,264,887
Paramount Group, Inc. (b)		27,000		495,450
QTS Realty Trust, Inc. (Class A)		7,900		282,899
SL Green Realty Corp.		13,248		1,681,569

				10,050,125


Residential REITs - 19.9%
American Residential Properties, Inc. (a)(b)		9,700		168,198
AvalonBay Communities, Inc. (a)		15,278		2,571,899
Camden Property Trust		11,900		866,201
Equity Residential		41,739		3,215,155
Essex Property Trust, Inc. (a)		7,047		1,567,464
Post Properties, Inc.		11,600		659,692
Sun Communities, Inc. (a)		8,900		601,551
UDR, Inc.		37,862		1,209,312

				10,859,472


Retail REITs - 27.1%
CBL & Associates Properties, Inc.		26,800		536,536
DDR Corp. (a)		58,200		1,102,308
General Growth Properties, Inc.		82,900		2,404,929
Kimco Realty Corp.		49,829		1,309,506
Kite Realty Group Trust		13,100		370,992
Ramco-Gershenson Properties Trust (a)		21,400		400,608
Regency Centers Corp.		15,500		1,017,265
Simon Property Group, Inc.		27,135		5,165,419


	Principal Amount ($) or Shares			Market Value $
Tanger Factory Outlet Centers, Inc. (a)		6,110			216,599
Taubman Centers, Inc.		9,049			654,605
The Macerich Co.		16,480			1,378,552
Urban Edge Properties (b)		9,219			220,703

					14,778,022


Specialized REITs - 23.0%
CubeSmart		36,900			856,080
HCP, Inc.		16,906			716,138
Health Care REIT, Inc.		36,195			2,790,996
Healthcare Realty Trust, Inc.		24,726			705,680
Healthcare Trust of America, Inc. (Class A)		14,150			392,663
Host Hotels & Resorts, Inc.		103,152			2,166,192
Pebblebrook Hotel Trust (a)		10,000			485,800
Public Storage		9,141			1,802,788
RLJ Lodging Trust		12,000			381,720
Senior Housing Properties Trust		17,300			386,655
Strategic Hotels & Resorts, Inc. (b)		51,400			674,368
Sunstone Hotel Investors, Inc.		31,386			547,686
Ventas, Inc.		8,834			657,867

					12,564,633


Total Common Stocks (cost $32,276,179)					54,489,576


Short-Term Investments - 4.6%
SSGA Prime Money Market Fund 0.20% (c)(d)		216,975			216,975
State Street Navigator Securities Lending Prime Portfolio (d)(e)		2,315,762			2,315,762


Total Short-Term Investments (cost $2,532,737)			��		2,532,737


Total Investments - 104.4% (identified cost $34,808,916)					57,022,313

Other Assets and Liabilities, Net - (4.4)%					(2,395,475	)


Net Assets - 100.0%					54,626,838

Footnotes:

(a)	All or a portion of the shares of this security are on loan.

(b)	Non-income producing security

(c)	The rate shown is the annualized seven-day yield at period end.

(d)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 4).

(e)	Investments of cash collateral for securities loaned

Abbreviations:

REIT - Real Estate Investment Trust

See accompanying notes which are an integral part of the financial statements.


14		SSGA Clarion Real Estate Fund

SSGA Clarion Real Estate Fund

Presentation of Portfolio Holdings — February 28, 2015 (Unaudited)


	Market Value*								% of Net Assets
Categories	Level 1		Level 2		Level 3		Total		% of Net Assets
Common Stocks
Diversified REITs	$	2,852,717	$	—	$	—	$	2,852,717		5.2
Industrial REITs		3,384,607		—		—		3,384,607		6.2
Office REITs		10,050,125		—		—		10,050,125		18.4
Residential REITs		10,859,472		—		—		10,859,472		19.9
Retail REITs		14,778,022		—		—		14,778,022		27.1
Specialized REITs		12,564,633		—		—		12,564,633		23.0
Short-Term Investments		216,975		2,315,762		—		2,532,737		4.6

Total Investments	$	54,706,551	$	2,315,762	$	—	$	57,022,313		104.4

Other Assets and Liabilities, Net										(4.4	)

										100.0

For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2015.

See accompanying notes which are an integral part of the financial statements.


SSGA Clarion Real Estate Fund			15

SSGA Enhanced Small Cap Fund

Shareholder Expense Example — February 28, 2015 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Class N
Beginning Account Value
September 1, 2014		0.75	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,072.30	$	1,021.08
Expenses Paid During Period				$	3.85	$	3.76

Class A
Beginning Account Value
September 1, 2014		0.95	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,071.40	$	1,020.09
Expenses Paid During Period				$	4.88	$	4.76

Class C
Beginning Account Value
September 1, 2014		1.70	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,067.20	$	1,016.37
Expenses Paid During Period				$	8.71	$	8.50


16		SSGA Enhanced Small Cap Fund

SSGA Enhanced Small Cap Fund

Shareholder Expense Example, continued — February 28, 2015 (Unaudited)


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Class I
Beginning Account Value
September 1, 2014		0.70	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,072.60	$	1,021.33
Expenses Paid During Period				$	3.60	$	3.51

Class K
Beginning Account Value
September 1, 2014		0.51	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,073.60	$	1,022.27
Expenses Paid During Period				$	2.62	$	2.56


SSGA Enhanced Small Cap Fund			17

SSGA Enhanced Small Cap Fund

Schedule of Investments — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 98.9%
Consumer Discretionary - 13.2%
1-800-FLOWERS.COM, Inc. (Class A) (a)		7,849		97,956
AH Belo Corp. (Class A)		5,331		46,326
American Axle & Manufacturing Holdings, Inc. (a)		1,556		38,776
American Public Education, Inc. (a)		179		5,800
ANN, Inc. (a)		1,780		63,920
Arctic Cat, Inc.		478		17,428
Bloomin’ Brands, Inc. (a)		1,286		33,127
Bob Evans Farms, Inc.		181		10,603
Brown Shoe Co., Inc.		5,857		175,710
Brunswick Corp.		77		4,176
Build-A-Bear Workshop, Inc. (a)		5,083		110,149
Burlington Stores, Inc. (a)		100		5,557
Capella Education Co.		1,940		125,751
Christopher & Banks Corp. (a)		1,504		7,520
Cinedigm Corp. (Class A) (a)		10,532		16,325
Citi Trends, Inc. (a)		201		5,357
ClubCorp Holdings, Inc.		525		9,345
Cooper Tire & Rubber Co.		724		27,555
Core-Mark Holding Co., Inc.		2,661		187,121
Crocs, Inc. (a)		5,596		62,395
CSS Industries, Inc.		916		26,472
Culp, Inc.		164		3,565
Dana Holding Corp.		9,403		205,456
Denny’s Corp. (a)		15,679		180,465
Destination Maternity Corp.		254		4,161
DineEquity, Inc.		1,665		180,702
Express, Inc. (a)		5,982		82,671
Famous Dave’s of America, Inc. (a)		572		17,572
Flexsteel Industries, Inc.		176		5,254
FTD Cos., Inc. (a)		208		7,238
Gerber Scientific, Inc. (a)(b)		600		—
Grand Canyon Education, Inc. (a)		4,253		195,043
Harte-Hanks, Inc.		13,271		102,850
Haverty Furniture Cos., Inc.		2,930		67,536
Helen of Troy, Ltd. (a)		2,526		193,542
hhgregg, Inc. (a)		702		4,493
HSN, Inc.		2,446		165,276
Iconix Brand Group, Inc. (a)		4,068		137,376
Installed Building Products, Inc. (a)		429		7,482
Interval Leisure Group, Inc.		271		7,317
Isle of Capri Casinos, Inc. (a)		8,730		108,863
Jack in the Box, Inc. (c)		2,456		237,471
Johnson Outdoors, Inc. (Class A)		435		14,590
K12, Inc. (a)		4,166		70,530
Kirkland’s, Inc. (a)		2,101		49,941
La Quinta Holdings, Inc. (a)		1,382		30,694
La-Z-Boy, Inc.		6,719		167,639


	Principal Amount ($) or Shares		Market Value $
Marriott Vacations Worldwide Corp.		1,192		90,664
Motorcar Parts of America, Inc. (a)		1,353		35,516
National CineMedia, Inc.		6,954		105,979
New York & Co., Inc. (a)		6,149		13,774
Nexstar Broadcasting Group, Inc. (Class A)		134		7,307
Nutrisystem, Inc.		1,324		22,786
Outerwall, Inc.		62		4,000
Papa John’s International, Inc.		378		23,376
Pool Corp.		100		6,917
Radio One, Inc. (Class D) (a)		16,274		42,475
Red Robin Gourmet Burgers, Inc. (a)		44		3,673
Regis Corp. (a)		357		5,726
Ruth’s Hospitality Group, Inc.		6,999		106,805
Scholastic Corp.		1,348		49,889
Sears Hometown and Outlet Stores, Inc. (a)		290		3,854
Speedway Motorsports, Inc.		1,076		25,523
Sportsman’s Warehouse Holdings, Inc. (a)		498		3,665
Standard Motor Products, Inc.		151		6,330
Stein Mart, Inc.		500		8,220
Steiner Leisure, Ltd. (a)		1,752		80,802
Steven Madden, Ltd. (a)		193		7,046
Stoneridge, Inc. (a)		8,076		93,278
Strayer Education, Inc. (a)		243		14,791
Tenneco, Inc. (a)		365		21,258
Texas Roadhouse, Inc.		1,329		50,024
The Cato Corp. (Class A)		3,984		176,651
The Cheesecake Factory, Inc.		77		3,659
The Children’s Place, Inc.		121		6,896
The Finish Line, Inc. (Class A)		5,831		142,743
Tilly’s, Inc. (Class A) (a)		1,638		20,573
Time, Inc.		1,457		34,531
Tower International, Inc. (a)		4,489		121,517
TRI Pointe Homes, Inc. (a)		2,210		35,095
Unifi, Inc. (a)		700		22,624
Vitamin Shoppe, Inc. (a)		1,166		49,438
VOXX International Corp. (a)		841		7,233
Weyco Group, Inc.		219		5,900

				4,785,634


Consumer Staples - 2.7%
Cal-Maine Foods, Inc.		192		7,225
Central Garden & Pet Co. (Class A) (a)		1,320		12,778
Fresh Del Monte Produce, Inc.		4,036		142,108
Ingles Markets, Inc. (Class A)		1,162		50,245
J&J Snack Foods Corp.		101		10,220
John B Sanfilippo & Son, Inc.		1,425		52,796
Lancaster Colony Corp.		172		15,721


18		SSGA Enhanced Small Cap Fund

SSGA Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Medifast, Inc. (a)		4,434		140,292
National Beverage Corp. (a)		1,420		31,822
Nutraceutical International Corp. (a)		2,040		33,415
Omega Protein Corp. (a)		947		10,114
Sanderson Farms, Inc.		1,102		93,901
Seaboard Corp. (a)		17		68,170
SpartanNash Co.		262		6,956
SUPERVALU, Inc. (a)		19,896		196,573
The Andersons, Inc.		2,010		88,983
The Fresh Market, Inc. (a)		187		7,117
Village Super Market, Inc. (Class A)		129		3,564
Weis Markets, Inc.		282		13,302

				985,302


Energy - 3.8%
Abraxas Petroleum Corp. (a)		1,155		3,523
Adams Resources & Energy, Inc.		709		47,418
Alon USA Energy, Inc.		1,240		17,285
Basic Energy Services, Inc. (a)		520		3,869
Bonanza Creek Energy, Inc. (a)		134		3,611
C&J Energy Services, Inc. (a)		348		4,743
Callon Petroleum Co. (a)		9,913		72,563
Carrizo Oil & Gas, Inc. (a)		1,157		55,062
Cloud Peak Energy, Inc. (a)		5,895		48,869
Comstock Resources, Inc.		1,085		5,642
Delek US Holdings, Inc.		654		24,381
Forum Energy Technologies, Inc. (a)		5,526		107,923
Helix Energy Solutions Group, Inc. (a)		7,252		111,971
ION Geophysical Corp. (a)		2,725		6,213
Matrix Service Co. (a)		5,375		99,975
Natural Gas Services Group, Inc. (a)		217		4,184
Newpark Resources, Inc. (a)		674		6,383
Pacific Ethanol, Inc. (a)		10,949		100,512
Parker Drilling Co. (a)		19,248		59,476
Parsley Energy, Inc. (Class A) (a)		1,302		19,387
Penn Virginia Corp. (a)		1,481		9,834
Petroquest Energy, Inc. (a)		17,169		50,133
Pioneer Energy Services Corp. (a)		11,602		61,723
REX American Resources Corp. (a)		1,500		81,540
Stone Energy Corp. (a)		3,364		56,986
Tesco Corp.		2,224		23,641
VAALCO Energy, Inc. (a)		1,090		5,276
W&T Offshore, Inc.		638		3,809
Warren Resources, Inc. (a)		2,891		3,498
Western Refining, Inc. (c)		4,763		224,337
Westmoreland Coal Co. (a)		176		4,963
Willbros Group, Inc. (a)		8,567		54,315

				1,383,045


	Principal Amount ($) or Shares		Market Value $
Financials - 23.1%
1st Source Corp.		226		6,977
AG Mortgage Investment Trust, Inc. (d)		3,874		72,870
Alexander’s, Inc. (d)		15		6,606
Altisource Asset Management Corp. (a)		36		6,374
Altisource Portfolio Solutions SA (a)		417		8,398
Altisource Residential Corp. (d)		436		9,003
American Capital Mortgage Investment Corp. (d)		9,788		180,589
Ameris Bancorp		485		12,692
Anworth Mortgage Asset Corp. (d)		29,268		153,072
Apollo Commercial Real Estate Finance, Inc. (d)		9,060		154,835
Apollo Residential Mortgage, Inc. (d)		10,181		161,369
Ares Commercial Real Estate Corp. (d)		509		6,108
Argo Group International Holdings, Ltd.		1,901		91,067
ARMOUR Residential REIT, Inc. (d)		3,660		11,639
Ashford Hospitality Trust, Inc. (d)		2,376		25,304
Banco Latinoamericano de Comercio Exterior SA		213		6,699
BankFinancial Corp.		299		3,564
Banner Corp.		90		3,929
BBCN Bancorp, Inc.		5,598		76,973
BGC Partners, Inc. (Class A)		4,528		41,114
BNC Bancorp		589		9,554
Capital Bank Financial Corp. (a)		1,876		49,808
Capitol Federal Financial, Inc.		9,594		119,062
Capstead Mortgage Corp. (d)		11,717		140,252
Cascade Bancorp (a)		971		4,700
Cathay General Bancorp		3,814		98,516
Central Pacific Financial Corp.		620		14,223
Chatham Lodging Trust (d)		117		3,395
Chemical Financial Corp.		291		8,782
CNO Financial Group, Inc.		12,724		206,892
Colony Financial, Inc. (d)		7,913		199,487
Columbia Banking System, Inc.		238		6,707
ConnectOne Bancorp, Inc.		1,735		31,681
Consumer Portfolio Services, Inc. (a)		1,296		9,020
Cousins Properties, Inc. (d)		7,314		78,479
Cowen Group, Inc. (Class A) (a)		32,776		173,385
Credit Acceptance Corp. (a)		517		94,766
CyrusOne, Inc. (d)		5,528		164,292
CYS Investments, Inc. (d)		18,002		163,638
DCT Industrial Trust, Inc. (d)		98		3,536
DiamondRock Hospitality Co. (d)		492		7,124


SSGA Enhanced Small Cap Fund			19

SSGA Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Dynex Capital, Inc. (d)		888		7,406
Empire State Realty Trust, Inc. (Class A) (d)		2,511		44,445
Enova International, Inc. (a)		811		18,726
Ezcorp, Inc. (Class A) (a)		1,467		15,315
F.N.B. Corp.		5,379		69,013
FBL Financial Group, Inc. (Class A)		715		41,356
FelCor Lodging Trust, Inc. (d)		16,449		177,156
Fidelity & Guaranty Life		661		13,669
Fifth Street Asset Management, Inc. (a)		963		12,567
First American Financial Corp.		228		7,987
First Bancorp		1,293		22,731
First BanCorp- Puerto Rico (a)		27,368		180,355
First Commonwealth Financial Corp.		15,617		132,432
First Community Bancshares, Inc.		1,061		17,061
First Financial Bancorp		997		17,378
First Merchants Corp.		1,000		22,560
First Midwest Bancorp, Inc.		8,763		149,847
First NBC Bank Holding Co. (a)		4,159		136,082
FirstMerit Corp.		1,673		30,365
Flushing Financial Corp.		2,723		53,316
Gain Capital Holdings, Inc.		3,654		34,676
Gramercy Property Trust, Inc. (d)		547		3,856
Great Western Bancorp, Inc.		635		14,605
Hancock Holding Co.		303		8,869
Hatteras Financial Corp. (d)		10,540		193,409
HCI Group, Inc.		77		3,644
Heartland Financial USA, Inc.		699		21,466
Heritage Financial Corp.		559		9,011
Heritage Insurance Holdings, Inc. (a)		1,145		22,786
Heritage Oaks Bancorp		485		3,735
HFF, Inc. (Class A)		3,491		124,210
Hilltop Holdings, Inc. (a)		1,077		20,032
HomeTrust Bancshares, Inc. (a)		650		10,257
Horace Mann Educators Corp.		2,000		64,460
Horizon Bancorp		183		4,136
International Bancshares Corp.		412		10,201
Invesco Mortgage Capital, Inc. (d)		12,182		194,547
Investment Technology Group, Inc. (a)		5,135		115,640
JG Wentworth Co. (Class A) (a)		462		4,782
KCG Holdings, Inc. (Class A) (a)		9,293		116,906
Kite Realty Group Trust (d)		127		3,597
Ladder Capital Corp. (a)(d)		712		13,101
Lakeland Bancorp, Inc.		624		6,783
Maiden Holdings, Ltd.		5,223		74,741
MainSource Financial Group, Inc.		2,154		40,301
Marcus & Millichap, Inc. (a)		1,824		67,360
MB Financial, Inc.		1,026		32,001
Mercantile Bank Corp.		424		8,060


	Principal Amount ($) or Shares		Market Value $
Meta Financial Group, Inc.		162		5,779
Metro Bancorp, Inc.		244		6,166
MGIC Investment Corp. (a)		23,917		218,362
MidWestOne Financial Group, Inc.		678		19,499
Moelis & Co. (Class A)		230		7,401
Montpelier Re Holdings, Ltd.		4,742		170,902
National Bank Holdings Corp. (Class A)		317		5,909
National Penn Bancshares, Inc.		2,195		23,552
Nelnet, Inc. (Class A)		2,436		113,566
New Residential Investment Corp. (d)		14,088		212,870
Northfield Bancorp, Inc.		253		3,661
OceanFirst Financial Corp.		220		3,595
OFG Bancorp		9,042		157,783
Old National Bancorp		1,771		24,953
Pacific Premier Bancorp, Inc. (a)		223		3,519
Parkway Properties, Inc. (d)		5,973		105,185
PennyMac Financial Services, Inc. (Class A) (a)		394		6,879
PennyMac Mortgage Investment Trust (d)		7,979		171,070
Peoples Bancorp, Inc.		476		11,300
Piper Jaffray Cos. (a)		598		32,741
Preferred Bank/Los Angeles CA		1,224		32,987
Primerica, Inc.		1,656		87,337
PrivateBancorp, Inc.		1,836		63,764
Prosperity Bancshares, Inc.		282		14,588
Provident Financial Services, Inc.		3,943		71,763
PS Business Parks, Inc. (d)		342		28,448
RCS Capital Corp. (Class A)		2,178		24,829
RLJ Lodging Trust (d)		4,417		140,505
Safeguard Scientifics, Inc. (a)		389		7,161
Saul Centers, Inc. (d)		969		52,200
Select Income REIT (d)		399		9,851
Selective Insurance Group, Inc.		5,011		136,450
Simmons First National Corp. (Class A)		906		37,101
Southwest Bancorp, Inc.		3,654		60,876
State Bank Financial Corp.		3,011		61,424
Sterling Bancorp		1,346		18,467
Stewart Information Services Corp.		333		12,531
Strategic Hotels & Resorts, Inc. (a)(d)		476		6,245
Sunstone Hotel Investors, Inc. (d)		12,290		214,460
Symetra Financial Corp.		857		19,351
Talmer Bancorp, Inc. (Class A)		1,015		14,342
The Bancorp, Inc. (a)		531		4,960
Third Point Reinsurance, Ltd. (a)		1,001		14,054
Umpqua Holdings Corp.		13,004		215,086
Union Bankshares Corp.		367		8,026
United Financial Bancorp, Inc.		695		8,611


20		SSGA Enhanced Small Cap Fund

SSGA Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Universal Health Realty Income Trust (d)		264		13,419
Universal Insurance Holdings, Inc.		3,903		97,185
Univest Corp. of Pennsylvania		528		10,027
Walker & Dunlop, Inc. (a)		3,635		58,269
Webster Financial Corp.		6,061		209,286
Western Alliance Bancorp (a)		3,417		97,009
Westwood Holdings Group, Inc.		105		6,560
Wilshire Bancorp, Inc.		12,373		117,667
World Acceptance Corp. (a)		834		68,480
Yadkin Financial Corp. (a)		184		3,542

				8,374,973


Health Care - 14.8%
Aceto Corp.		295		6,316
Achaogen, Inc. (a)		2,402		26,830
Acorda Therapeutics, Inc. (a)		189		6,396
Adamas Pharmaceuticals, Inc. (a)		705		12,182
Aegerion Pharmaceuticals, Inc. (a)		506		13,763
Aerie Pharmaceuticals, Inc. (a)		124		3,487
Agios Pharmaceuticals, Inc. (a)		69		7,402
Alder Biopharmaceuticals, Inc. (a)		706		18,977
Alliance HealthCare Services, Inc. (a)		586		14,011
AmSurg Corp. (a)		121		7,272
Anacor Pharmaceuticals, Inc. (a)		556		24,186
ANI Pharmaceuticals, Inc. (a)		296		19,939
Anika Therapeutics, Inc. (a)		2,816		112,415
ARIAD Pharmaceuticals, Inc. (a)		18,321		148,950
Atrion Corp.		37		12,025
Bluebird Bio, Inc. (a)		431		41,083
Cambrex Corp. (a)		3,793		129,910
Cara Therapeutics, Inc. (a)		1,047		10,732
CONMED Corp.		3,487		178,883
Corcept Therapeutics, Inc. (a)		28,684		94,944
Corvel Corp. (a)		1,419		50,275
CTI BioPharma Corp. (a)		2,604		6,093
Cynosure, Inc. (Class A) (a)		379		11,529
Depomed, Inc. (a)		423		9,285
DexCom, Inc. (a)		1,170		71,066
Dyax Corp. (a)		7,511		113,491
Emergent Biosolutions, Inc. (a)		5,888		176,463
ExamWorks Group, Inc. (a)		119		4,808
Five Prime Therapeutics, Inc. (a)		575		14,800
Five Star Quality Care, Inc. (a)		2,361		8,594
Galena Biopharma, Inc. (a)		3,975		7,155
Genesis Healthcare, Inc. (a)		3,696		26,279
Geron Corp. (a)		27,113		81,881
Globus Medical, Inc. (Class A) (a)		198		4,807
Greatbatch, Inc. (a)		1,510		80,241
HealthSouth Corp.		159		6,910
HealthStream, Inc. (a)		185		4,788
Hyperion Therapeutics, Inc. (a)		1,984		58,627


	Principal Amount ($) or Shares		Market Value $
Infinity Pharmaceuticals, Inc. (a)		11,383		173,022
Inogen, Inc. (a)		107		3,558
Insulet Corp. (a)		275		8,726
Insys Therapeutics, Inc. (a)		351		21,081
Intrexon Corp. (a)		163		6,693
Isis Pharmaceuticals, Inc. (a)		1,087		74,525
Lannett Co., Inc. (a)		551		34,382
MacroGenics, Inc. (a)		2,335		80,721
Magellan Health, Inc. (a)		2,598		166,454
Masimo Corp. (a)		233		6,867
MedAssets, Inc. (a)		7,381		141,789
Merge Healthcare, Inc. (a)		14,092		56,368
Merit Medical Systems, Inc. (a)		9,893		194,002
MiMedx Group, Inc. (a)		623		6,448
Molina Healthcare, Inc. (a)		525		33,437
Natus Medical, Inc. (a)		327		11,703
Nektar Therapeutics (a)		7,889		103,109
Neurocrine Biosciences, Inc. (a)		5,625		219,656
NewLink Genetics Corp. (a)		1,339		57,684
NuVasive, Inc. (a)		2,598		118,858
Omnicell, Inc. (a)		3,257		114,158
OncoMed Pharmaceuticals, Inc. (a)		2,282		57,004
OraSure Technologies, Inc. (a)		867		6,208
Pacira Pharmaceuticals, Inc. (a)		765		87,799
PAREXEL International Corp. (a)		3,587		231,218
PDL BioPharma, Inc.		22,634		157,985
Phibro Animal Health Corp. (Class A)		559		20,275
Progenics Pharmaceuticals, Inc. (a)		760		4,948
Puma Biotechnology, Inc. (a)		852		181,485
RadNet, Inc. (a)		1,017		8,909
Raptor Pharmaceutical Corp. (a)		588		5,451
Repligen Corp. (a)		146		3,754
Rigel Pharmaceuticals, Inc. (a)		2,512		7,511
Sangamo Biosciences, Inc. (a)		10,154		170,790
Select Medical Holdings Corp.		2,556		34,659
STERIS Corp.		105		6,775
Supernus Pharmaceuticals, Inc. (a)		1,064		9,565
Surgical Care Affiliates, Inc. (a)		1,435		46,609
SurModics, Inc. (a)		2,275		54,714
Synergy Pharmaceuticals, Inc. (a)		28,561		86,254
Team Health Holdings, Inc. (a)		85		5,038
The Ensign Group, Inc.		4,097		180,555
The Providence Service Corp. (a)		1,267		58,282
Thoratec Corp. (a)		4,022		163,776
Threshold Pharmaceuticals, Inc. (a)		1,418		6,197
Triple-S Management Corp. (Class B) (a)		1,781		33,572
Vitae Pharmaceuticals, Inc. (a)		340		3,951
WellCare Health Plans, Inc. (a)		1,332		120,959
XenoPort, Inc. (a)		16,865		115,525
Zeltiq Aesthetics, Inc. (a)		5,451		181,900


SSGA Enhanced Small Cap Fund			21

SSGA Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

ZIOPHARM Oncology, Inc. (a)		3,196		35,987
Zogenix, Inc. (a)		6,334		10,641

				5,358,332


Industrials - 14.1%
AAON, Inc.		151		3,399
AAR Corp.		141		4,145
ABM Industries, Inc.		1,620		50,366
ACCO Brands Corp. (a)		16,617		126,455
Accuride Corp. (a)		3,676		19,814
Actuant Corp. (Class A)		53		1,348
Air Transport Services Group, Inc. (a)		930		8,361
American Woodmark Corp. (a)		2,204		116,063
Applied Industrial Technologies, Inc.		1,688		73,951
ARC Document Solutions, Inc. (a)		600		5,076
ArcBest Corp.		774		32,415
Argan, Inc.		2,086		67,649
Astronics Corp. (a)		2,800		194,768
Blount International, Inc. (a)		1,580		26,212
Briggs & Stratton Corp.		535		11,149
Casella Waste Systems, Inc. (Class A) (a)		2,991		13,160
CDI Corp.		787		14,481
CIRCOR International, Inc.		745		39,984
Columbus McKinnon Corp.		300		7,968
Continental Building Products, Inc. (a)		2,999		62,559
CRA International, Inc. (a)		401		12,066
Cubic Corp.		1,448		75,687
Curtiss-Wright Corp.		3,234		234,724
Deluxe Corp.		3,171		211,030
DXP Enterprises, Inc. (a)		438		20,060
Dycom Industries, Inc. (a)		4,628		205,252
Echo Global Logistics, Inc. (a)		226		6,563
EMCOR Group, Inc.		3,538		155,778
EnerSys		2,757		180,032
Engility Holdings, Inc.		3,635		131,224
Enphase Energy, Inc. (a)		2,188		30,151
Esterline Technologies Corp. (a)		99		11,667
Federal Signal Corp.		11,337		186,947
Forward Air Corp.		109		5,832
G&K Services, Inc. (Class A)		27		1,944
General Finance Corp. (a)		1,943		18,051
Global Brass & Copper Holdings, Inc.		595		8,354
H&E Equipment Services, Inc.		996		24,382
Heidrick & Struggles International, Inc.		577		13,813
Herman Miller, Inc.		1,936		59,958
Hillenbrand, Inc.		5,789		183,511
Hurco Cos., Inc.		101		3,447


	Principal Amount ($) or Shares		Market Value $
Huron Consulting Group, Inc. (a)		705		46,988
Hyster-Yale Materials Handling, Inc.		75		4,955
Insperity, Inc.		1,365		70,707
JetBlue Airways Corp. (a)		9,588		164,818
Kadant, Inc.		2,883		127,544
Kforce, Inc.		5,986		141,270
Knoll, Inc.		765		16,241
Korn/Ferry International (a)		2,831		86,629
Lydall, Inc. (a)		3,039		96,823
Marten Transport, Ltd.		2,033		47,145
Matson, Inc.		5,131		202,521
Matthews International Corp. (Class A)		74		3,579
Meritor, Inc. (a)		11,806		168,708
Moog, Inc. (Class A) (a)		51		3,848
Mueller Industries, Inc.		110		3,829
Mueller Water Products, Inc. (Class A)		915		8,381
MYR Group, Inc. (a)		433		11,968
Navigant Consulting, Inc. (a)		425		5,946
Orbital ATK, Inc.		1		48
PAM Transportation Services, Inc. (a)		2,950		154,787
Patrick Industries, Inc. (a)		893		49,338
PGT, Inc. (a)		11,638		118,359
Quality Distribution, Inc. (a)		7,729		84,942
Republic Airways Holdings, Inc. (a)		241		3,102
Resources Connection, Inc.		9,749		172,752
Rexnord Corp. (a)		1,002		27,625
RPX Corp. (a)		1,717		25,034
Saia, Inc. (a)		124		5,708
SP Plus Corp. (a)		572		12,933
Steelcase, Inc. (Class A)		9,547		178,720
Taser International, Inc. (a)		277		6,504
The Greenbrier Cos., Inc.		86		5,054
Thermon Group Holdings, Inc. (a)		2,697		66,130
TrueBlue, Inc. (a)		2,486		57,203
UniFirst Corp.		115		13,665
USA Truck, Inc. (a)		569		17,326
Viad Corp.		5,792		153,836
VSE Corp.		326		25,822
Watsco, Inc.		34		3,986
Werner Enterprises, Inc.		934		29,953
XPO Logistics, Inc. (a)		155		6,843

				5,091,366


Information Technology - 18.2%
ACI Worldwide, Inc. (a)		327		6,491
Actua Corp. (a)		265		4,441
Acxiom Corp. (a)		325		6,500
Advent Software, Inc.		3,864		170,673


22		SSGA Enhanced Small Cap Fund

SSGA Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Amkor Technology, Inc. (a)		6,530		63,537
Aruba Networks, Inc. (a)		204		5,061
Aspen Technology, Inc. (a)		5,827		224,951
AVG Technologies NV (a)		1,630		36,789
Bankrate, Inc. (a)		309		3,943
Barracuda Networks, Inc. (a)		2,789		106,233
Benchmark Electronics, Inc. (a)		6,246		146,531
Black Box Corp.		2,262		49,741
Blucora, Inc. (a)		4,049		60,006
Brooks Automation, Inc.		492		5,904
Cabot Microelectronics Corp. (a)		3,605		186,775
CalAmp Corp. (a)		480		9,192
Cardtronics, Inc. (a)		131		4,793
Checkpoint Systems, Inc. (a)		3,992		53,892
Ciena Corp. (a)		263		5,502
Coherent, Inc. (a)		106		6,810
comScore, Inc. (a)		271		13,981
Comtech Telecommunications Corp.		3,938		140,744
Constant Contact, Inc. (a)		1,424		58,854
Convergys Corp.		2,548		56,948
Cornerstone OnDemand, Inc. (a)		293		9,366
CTS Corp.		858		14,981
Datalink Corp. (a)		448		5,089
Demandware, Inc. (a)		189		11,943
Dice Holdings, Inc. (a)		15,374		134,676
Diodes, Inc. (a)		6,420		182,906
DTS, Inc. (a)		295		8,694
EarthLink Holdings Corp.		16,862		72,001
Ebix, Inc.		188		4,941
Emulex Corp. (a)		589		4,683
Envestnet, Inc. (a)		631		33,998
EPIQ Systems, Inc.		377		6,635
Euronet Worldwide, Inc. (a)		3,689		208,429
EVERTEC, Inc.		915		19,078
ExlService Holdings, Inc. (a)		1,926		67,217
Fabrinet (a)		1,583		28,415
Fair Isaac Corp.		1,569		133,553
Global Cash Access Holdings, Inc. (a)		12,843		91,314
Harmonic, Inc. (a)		22,069		172,359
Infinera Corp. (a)		338		5,763
Insight Enterprises, Inc. (a)		5,234		137,654
Integrated Device Technology, Inc. (a)		606		12,508
IXYS Corp.		1,103		13,203
j2 Global, Inc.		119		8,003
Lattice Semiconductor Corp. (a)		22,319		149,984
Lionbridge Technologies, Inc. (a)		12,510		70,431
Liquidity Services, Inc. (a)		1,008		9,959
LogMeIn, Inc. (a)		296		15,599
Manhattan Associates, Inc. (a)		4,568		227,715
Marchex, Inc. (Class B)		6,000		24,780
MAXIMUS, Inc.		1,955		115,795


	Principal Amount ($) or Shares		Market Value $
Methode Electronics, Inc.		4,734		184,105
Microsemi Corp. (a)		5,567		179,480
MKS Instruments, Inc.		103		3,642
Monolithic Power Systems, Inc.		360		18,983
Monotype Imaging Holdings, Inc.		1,142		36,555
Monster Worldwide, Inc. (a)		12,251		82,327
Netscout Systems, Inc. (a)		314		12,661
Newport Corp. (a)		4,789		95,589
OmniVision Technologies, Inc. (a)		7,394		198,233
OSI Systems, Inc. (a)		2,630		190,596
PC Connection, Inc.		2,857		73,196
Perficient, Inc. (a)		4,858		96,577
Pericom Semiconductor Corp.		8,600		134,160
Plantronics, Inc.		1,175		59,267
PMC - Sierra, Inc. (a)		8,500		80,750
Polycom, Inc. (a)		14,501		200,404
Progress Software Corp. (a)		1,068		29,199
Proofpoint, Inc. (a)		2,460		139,334
QAD, Inc. (Class A)		1,536		33,024
QLogic Corp. (a)		1,196		17,952
Qorvo, Inc. (a)		480		33,312
Quantum Corp. (a)		6,739		10,985
Rambus, Inc. (a)		517		6,204
RetailMeNot, Inc. (a)		1,494		26,040
Ruckus Wireless, Inc. (a)		575		7,280
Sanmina Corp. (a)		6,853		155,563
Science Applications International Corp.		1,778		97,221
ShoreTel, Inc. (a)		953		7,100
Sonus Networks, Inc. (a)		2,937		50,105
Spansion, Inc. (Class A) (a)		679		24,498
SS&C Technologies Holdings, Inc.		83		5,036
Super Micro Computer, Inc. (a)		119		4,781
Sykes Enterprises, Inc. (a)		7,417		172,445
Take-Two Interactive Software, Inc. (a)		1,258		33,324
TeleCommunication Systems, Inc. (Class A) (a)		1,142		3,654
TeleTech Holdings, Inc. (a)		2,110		51,273
Tessera Technologies, Inc.		5,074		203,265
The Hackett Group, Inc.		2,303		20,289
TiVo, Inc. (a)		6,452		72,133
Travelzoo, Inc. (a)		478		4,818
Tyler Technologies, Inc. (a)		57		6,804
Ultra Clean Holdings, Inc. (a)		9,085		75,042
Unisys Corp. (a)		2,051		46,435
Verint Systems, Inc. (a)		2,620		159,493
WebMD Health Corp. (a)		209		9,207
Zix Corp. (a)		934		3,736

				6,586,041


Materials - 4.8%
A. Schulman, Inc.		4,074		173,471
Berry Plastics Group, Inc. (a)		3,582		122,898


SSGA Enhanced Small Cap Fund			23

SSGA Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Boise Cascade Co. (a)		368		13,104
Calgon Carbon Corp. (a)		7,048		145,400
Chase Corp.		666		28,685
Clearwater Paper Corp. (a)		2,421		147,826
Commercial Metals Co.		8,457		127,278
Ferro Corp. (a)		471		6,005
FutureFuel Corp.		3,655		44,957
Graphic Packaging Holding Co. (a)		14,045		211,939
Handy & Harman, Ltd. (a)		1,152		48,303
Hawkins, Inc.		384		14,972
Headwaters, Inc. (a)		458		7,520
Innophos Holdings, Inc.		640		35,923
Innospec, Inc.		325		14,355
KapStone Paper and Packaging Corp.		1,222		42,110
Materion Corp.		1,004		36,767
Minerals Technologies, Inc.		146		10,692
Neenah Paper, Inc.		186		11,238
Olin Corp.		276		7,739
OM Group, Inc.		1,845		53,118
Omnova Solutions, Inc. (a)		6,498		51,789
P.H. Glatfelter Co.		3,557		87,147
Schweitzer-Mauduit International, Inc.		2,508		117,425
Senomyx, Inc. (a)		1,223		6,506
SunCoke Energy, Inc.		7,707		140,653
Tredegar Corp.		661		13,590
Worthington Industries, Inc.		759		20,493

				1,741,903


Telecommunication Services - 1.2%
Cincinnati Bell, Inc. (a)		16,413		54,983
IDT Corp. (Class B)		2,761		58,119
Inteliquent, Inc.		4,901		72,290
magicJack VocalTec, Ltd. (a)		3,150		24,318
Spok Holdings, Inc.		1,963		36,492
Vonage Holdings Corp. (a)		37,470		170,114

				416,316


Utilities - 3.0%
ALLETE, Inc.		178		9,762
American States Water Co.		337		13,524
Avista Corp.		3,755		128,046
Chesapeake Utilities Corp.		832		39,270
Cleco Corp.		2,433		132,428
Dynegy, Inc. (a)		1,490		41,526
El Paso Electric Co.		1,558		58,924
IDACORP, Inc.		2,334		146,155
NorthWestern Corp.		1,330		72,073
PNM Resources, Inc.		5,227		149,231
Portland General Electric Co.		489		18,235
South Jersey Industries, Inc.		111		6,291


	Principal Amount ($) or Shares		Market Value $
Southwest Gas Corp.		3,720		213,007
The Laclede Group, Inc.		707		36,594
UIL Holdings Corp.		293		14,811
Unitil Corp.		197		6,694

				1,086,571


Total Common Stocks (cost $29,098,508)				35,809,483


Short-Term Investment - 1.5%
SSGA Prime Money Market Fund 0.20% (c)(e)(f) (cost $543,138)		543,138		543,138


Total Investments - 100.4% (identified cost $29,641,646)				36,352,621

Other Assets and Liabilities, Net - (0.4)%				(127,773	)


Net Assets - 100.0%				36,224,848

Footnotes:

(a)	Non-income producing security

(b)	Security is valued at fair value as determined in good faith by the Trust’s Oversight Committee in accordance with procedures approved by the Board of Trustees. Security value is determined based on Level 2 inputs.

(c)	All or a portion of the shares of these securities are held as collateral for futures contracts purchased by the Fund.

(d)	Real Estate Investment Trust (REIT)

(e)	The rate shown is the annualized seven-day yield at period end.

(f)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 4).

See accompanying notes which are an integral part of the financial statements.


24		SSGA Enhanced Small Cap Fund

SSGA Enhanced Small Cap Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)

Futures Contracts

Number of
Contracts

Notional
Amount

Expiration
Date

Unrealized
Appreciation
(Depreciation)
$

Long Positions

Russell 2000 Mini Index Futures

492,640

03/15

13,812

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts

13,812

During the period ended February 28, 2015, average notional value related to futures contracts was $662,947 or 1.8% of net assets.

Presentation of Portfolio Holdings — February 28, 2015 (Unaudited)


	Market Value*									% of Net Assets
Categories	Level 1		Level 2			Level 3		Total		% of Net Assets
Common Stocks
Consumer Discretionary	$	4,785,634	$	—	**	$	—	$	4,785,634		13.2
Consumer Staples		985,302		—			—		985,302		2.7
Energy		1,383,045		—			—		1,383,045		3.8
Financials		8,374,973		—			—		8,374,973		23.1
Health Care		5,358,332		—			—		5,358,332		14.8
Industrials		5,091,366		—			—		5,091,366		14.1
Information Technology		6,586,041		—			—		6,586,041		18.2
Materials		1,741,903		—			—		1,741,903		4.8
Telecommunication Services		416,316		—			—		416,316		1.2
Utilities		1,086,571		—			—		1,086,571		3.0
Short-Term Investment		543,138		—			—		543,138		1.5

Total Investments		36,352,621		—			—		36,352,621		100.4

Other Assets and Liabilities, Net											(0.4	)

											100.0

Other Financial Instruments***
Futures Contracts	$	13,812	$	—		$	—	$	13,812		0.0	****

For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2015.

Fund held a Level 2 security that was valued at $0 at February 28, 2015.

***

Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation (depreciation) on the instruments.

****

Less than 0.05% of net assets.

See accompanying notes which are an integral part of the financial statements.


SSGA Enhanced Small Cap Fund			25

SSGA Emerging Markets Fund

Shareholder Expense Example — February 28, 2015 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Class N
Beginning Account Value
September 1, 2014		1.26	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	907.12	$	1,018.55
Expenses Paid During Period				$	5.96	$	6.31

Class A
Beginning Account Value
September 1, 2014		1.46	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	905.65	$	1,017.56
Expenses Paid During Period**				$	6.90	$	7.30

Class C
Beginning Account Value
September 1, 2014		2.21	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	902.44	$	1,013.84
Expenses Paid During Period**				$	10.42	$	11.04


26		SSGA Emerging Markets Fund

SSGA Emerging Markets Fund

Shareholder Expense Example, continued — February 28, 2015 (Unaudited)


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Class I
Beginning Account Value
September 1, 2014		1.22	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	906.81	$	1,018.75
Expenses Paid During Period**				$	5.77	$	6.11

Class K
Beginning Account Value
September 1, 2014		1.02	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	907.47	$	1,019.74
Expenses Paid During Period**				$	4.82	$	5.11

Select Class
Beginning Account Value September 1, 2014		1.02	%	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2015				$	908.19	$	1,019.74
Expenses Paid During Period				$	4.83	$	5.11


SSGA Emerging Markets Fund			27

SSGA Emerging Markets Fund

Schedule of Investments — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Common Stocks - 95.4%
Austria - 0.0% (a)
Erste Group Bank AG		3,269		85,674


Bermuda - 0.3%
Credicorp, Ltd.		5,643		819,477


Brazil - 4.0%
Banco ABC Brasil SA (b)		7,533		31,180
Banco Bradesco SA		73,300		964,164
Banco Bradesco SA ADR		133,293		1,756,802
Banco do Brasil SA		226,905		1,895,971
BB Seguridade Participacoes SA		137,483		1,569,159
Cielo SA		77,600		1,222,191
Direcional Engenharia SA		245,700		485,558
Light SA		156,200		768,138
Multiplus SA		47,400		583,911
Petroleo Brasileiro SA ADR (c)		206,066		1,366,218
Vale SA ADR (c)		183,277		1,359,915

				12,003,207


Canada - 0.1%
Pacific Rubiales Energy Corp.		112,000		334,181


Cayman Islands - 2.9%
ANTA Sports Products, Ltd.		328,000		659,739
ENN Energy Holdings, Ltd.		22,000		116,726
Evergrande Real Estate Group, Ltd.		1		—
Shimao Property Holdings, Ltd.		440,500		934,865
Tencent Holdings, Ltd.		393,300		6,891,548

				8,602,878


China - 14.0%
Agricultural Bank of China, Ltd. (Class H)		1,503,000		746,093
Bank of China, Ltd. (Class H)		9,645,100		5,546,449
Bank of Chongqing Co., Ltd. (Class H)		485,000		400,217
Beijing Capital Land, Ltd. (Class H)		1,222,000		627,087
China CITIC Bank Corp., Ltd. (Class H)		3,190,000		2,418,474
China CNR Corp., Ltd. (Class H) (b)(d)		2,775,000		3,814,113
China Construction Bank Corp. (Class H)		7,828,169		6,510,185
China Petroleum & Chemical Corp. (Class H)		2,282,100		1,912,588
China Sanjiang Fine Chemicals Co., Ltd. (c)		1,527,000		456,773
Chongqing Rural Commercial Bank (Class H)		3,635,000		2,263,732


	Principal Amount ($) or Shares		Market Value $
Great Wall Motor Co., Ltd. (Class H)		15,500		98,726
Guangzhou R&F Properties Co., Ltd. (Class H) (c)		516,000		600,108
Huaneng Power International, Inc. (Class H)		1,090,000		1,370,265
Industrial & Commercial Bank of China, Ltd. (Class H)		5,333,000		3,891,898
KWG Property Holding, Ltd.		3,041,500		1,976,477
Lao Feng Xiang Co., Ltd. (Class B)		161,000		517,454
Peak Sport Products Co., Ltd.		1,475,000		420,298
PetroChina Co., Ltd. (Class H)		1,342,000		1,557,286
Ping An Insurance Group Co of China, Ltd. (Class H)		120,500		1,340,046
Shandong Chenming Paper Holdings, Ltd. (Class B)		1,049,400		616,992
Shanghai Mechanical and Electrical Industry Co., Ltd. (Class B)		347,717		883,201
Shenzhen Expressway Co., Ltd. (Class H)		1,014,000		753,067
Sino-Ocean Land Holdings, Ltd.		1,695,500		1,058,075
Wuxi Little Swan Co., Ltd. (Class B)		261,050		481,319
Zhejiang Expressway Co., Ltd. (Class H)		1,152,000		1,417,014

				41,677,937


Czech Republic - 0.0% (a)
CEZ AS		5,135		129,618


Egypt - 0.5%
Commercial International Bank Egypt SAE		167,231		1,210,718
Orascom Hotels & Development (b)(e)		1		—
Six of October Development & Investment (b)		207,733		363,735

				1,574,453


Hong Kong - 6.2%
China Everbright, Ltd.		38,000		93,092
China Mobile, Ltd.		810,700		11,017,275
China Power International Development, Ltd. (c)		2,671,000		1,387,881
CNOOC, Ltd.		1,008,500		1,448,553
Far East Horizon, Ltd.		1,224,000		1,141,020
Guangdong Investment, Ltd.		794,000		1,022,726
Lenovo Group, Ltd. (c)		1,570,000		2,421,053

				18,531,600


28		SSGA Emerging Markets Fund

SSGA Emerging Markets Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Hungary - 0.3%
OTP Bank PLC		55,227		874,313


India - 9.5%
Aditya Birla Nuvo, Ltd.		8,155		227,075
AIA Engineering, Ltd.		28,861		529,916
Amara Raja Batteries, Ltd.		20,148		286,613
Aurobindo Pharma, Ltd.		71,741		1,257,629
Bayer CropScience, Ltd.		5,201		287,336
Bharat Petroleum Corp., Ltd.		31,265		377,477
Britannia Industries, Ltd.		49,441		1,676,218
Coal India, Ltd. (b)		65,704		418,803
Dewan Housing Finance Corp., Ltd.		138,949		1,109,816
HCL Technologies, Ltd.		42,491		1,389,233
Hero MotoCorp, Ltd.		15,627		678,797
Hindustan Unilever, Ltd.		280,701		4,133,419
ICICI Bank, Ltd.		134,535		753,487
Indiabulls Housing Finance, Ltd.		106,726		1,076,067
Infosys, Ltd.		80,043		2,974,108
Kaveri Seed Co., Ltd.		59,672		888,346
Lupin, Ltd.		42,956		1,214,173
Mindtree, Ltd.		50,066		1,172,486
MRF, Ltd.		944		629,288
Oil & Natural Gas Corp., Ltd.		15,974		83,986
Power Finance Corp., Ltd.		123,937		587,751
Reliance Industries, Ltd.		97,418		1,363,663
Rural Electrification Corp., Ltd.		187,414		1,002,341
Tata Motors, Ltd.		325,005		3,120,164
Torrent Pharmaceuticals, Ltd.		49,921		867,812

				28,106,004


Indonesia - 2.9%
Bank Negara Indonesia Persero Tbk PT		5,417,700		2,881,755
Bank Rakyat Indonesia Persero Tbk PT		2,316,100		2,307,140
Perusahaan Gas Negara Persero Tbk PT		2,336,300		939,943
Telekomunikasi Indonesia Persero Tbk PT		10,312,800		2,341,824

				8,470,662


Malaysia - 1.7%
DiGi.Com Bhd		1,883,200		3,318,069
IJM Corp. Bhd		597,900		1,191,155
Tenaga Nasional Bhd		101,700		415,378

				4,924,602


Mexico - 4.8%
America Movil SAB de CV ADR (Series L)		118,762		2,539,132
Cemex S.A.B. de C.V. (b)		239,000		242,562


	Principal Amount ($) or Shares		Market Value $
Credito Real S.A.B. de C.V.		419,602		1,017,558
Fibra Uno Administracion S.A. de C.V. (f)		525,400		1,475,801
Gentera S.A.B. de C.V. (b) (c)		528,800		1,015,268
Gruma S.A.B. de C.V. (Class B)		95,500		1,171,590
Grupo Aeroportuario del Centro Norte S.A.B. de C.V. (b)		102,200		485,754
Grupo Aeroportuario del Pacifico S.A.B. de C.V. (Class B)		102,000		692,527
Grupo Financiero Interacciones S.A. de C.V.		158,900		1,077,039
Grupo Mexico SAB de CV (Series B)		397,568		1,204,356
Infraestructura Energetica Nova S.A.B. de C.V. (c)		195,400		1,025,727
Mexico Real Estate Management S.A. de C.V. (b)(f)		601,300		1,036,037
OHL Mexico S.A.B. de CV (b)		650,000		1,343,761

				14,327,112


Oman - 0.2%
Bank Muscat SAOG		314,471		490,021


Philippines - 2.2%
BDO Unibank, Inc.		336,380		846,863
DMCI Holdings, Inc.		3,414,140		1,223,484
First Gen Corp.		1,253,900		829,013
First Philippine Holdings Corp.		378,940		886,972
Globe Telecom, Inc.		18,400		795,010
Nickel Asia Corp.		1,315,200		865,067
Universal Robina Corp.		187,430		926,735

				6,373,144


Poland - 1.6%
Asseco Poland SA		31,342		457,424
PGE Polska Grupa Energetyczna SA		221,696		1,239,203
Polski Koncern Naftowy Orlen SA		67,978		1,001,465
Powszechny Zaklad Ubezpieczen SA		15,248		2,010,251

				4,708,343


Qatar - 0.7%
Qatar National Bank SAQ		24,093		1,345,209
The Commercial Bank of Qatar QSC		33,674		638,124

				1,983,333


Russia - 3.4%
Aeroflot - Russian Airlines OJSC (b)		599,928		380,114
Alrosa AO (b)		749,429		854,222
Gazprom OAO ADR		196,195		979,013


SSGA Emerging Markets Fund			29

SSGA Emerging Markets Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Lukoil OAO (b)		40,411		1,964,096
Magnit OJSC (b)		3,654		676,469
MMC Norilsk Nickel OJSC ADR		114,535		2,070,793
Moscow Exchange MICEX-RTS OAO		969,510		1,207,955
Severstal PAO GDR		61,591		694,130
Surgutneftegas OAO (b)		1,797,703		1,128,815

				9,955,607


Singapore - 0.2%
Yangzijiang Shipbuilding Holdings, Ltd.		782,500		703,351


South Africa - 7.5%
Astral Foods, Ltd.		46,751		699,953
AVI, Ltd.		207,187		1,488,393
Barclays Africa Group, Ltd.		45,486		751,426
Capital Property Fund (f)		702,774		850,570
Cashbuild, Ltd.		32,910		614,927
Emira Property Fund (f)		637,511		1,002,728
FirstRand, Ltd.		343,513		1,575,275
Investec, Ltd.		206,170		1,820,213
Lewis Group, Ltd. (c)		338,399		2,660,724
Mondi, Ltd.		30,426		620,360
Mr Price Group, Ltd.		51,212		1,184,112
MTN Group, Ltd.		52,860		936,270
Naspers, Ltd.		15,692		2,303,058
Netcare, Ltd.		294,637		1,037,221
Sappi, Ltd. (b)		128,476		539,607
Sasol, Ltd.		41,420		1,504,349
Steinhoff International Holdings, Ltd. (c)		253,780		1,463,316
Sun International, Ltd.		43,366		489,436
The Bidvest Group, Ltd.		30,622		844,339

				22,386,277


South Korea - 13.3%
Amorepacific Corp.		425		1,105,531
BGF retail Co., Ltd.		9,179		751,013
Daeduck Electronics Co. (b)		47,812		409,487
Dongsuh Co., Inc.		34,558		908,385
Hana Financial Group, Inc.		5		137
Hyundai Motor Co.		5,493		803,268
Industrial Bank of Korea		162,825		2,002,768
KB Financial Group, Inc.		40,729		1,447,252
Kia Motors Corp.		35,293		1,463,106
Korea Electric Power Corp.		34,876		1,420,397
Korea Zinc Co., Ltd. (b)		2,420		902,911
Korean Air Lines Co., Ltd. (b)		18,098		827,771
Korean Reinsurance Co.		80,331		761,188
KT&G Corp.		8,123		592,082
LF Corp.		19,137		549,237
LG Chem, Ltd.		3,707		776,830


	Principal Amount ($) or Shares		Market Value $
LG Corp.		12,766		739,755
LG Display Co., Ltd.		69,845		2,163,665
LG Household & Health Care, Ltd.		1,132		691,030
Poongsan Holdings Corp.		2,446		92,487
POSCO		5,176		1,261,519
S&T Motiv Co., Ltd.		19,630		869,225
Samsung Electronics Co., Ltd.		10,632		13,145,300
Seah Besteel Corp.		18,662		590,015
Sindoh Co., Ltd.		7,216		470,087
SK Hynix, Inc.		63,350		2,689,727
SK Telecom Co., Ltd.		7,553		1,971,604
SL Corp. (b)		10,297		168,403

				39,574,180


Taiwan - 13.1%
Advanced Semiconductor Engineering, Inc.		843,000		1,135,453
Asustek Computer, Inc.		189,000		1,964,926
AU Optronics Corp.		3,371,000		1,776,470
Cheng Loong Corp.		277,000		112,017
Chimei Materials Technology Corp.		541,000		550,389
CTBC Financial Holding Co., Ltd.		1,070,831		712,637
Everlight Electronics Co., Ltd.		225,000		579,605
Far EasTone Telecommunications Co., Ltd.		948,000		2,342,455
Farglory Land Development Co., Ltd.		272,000		324,789
Fubon Financial Holding Co., Ltd.		1,001,366		1,785,591
Grand Pacific Petrochemical		1,262,000		677,112
Highwealth Construction Corp.		971,000		2,068,457
Hon Hai Precision Industry Co., Ltd.		1,283,296		3,559,149
Innolux Corp.		1,745,235		894,707
King’s Town Bank Co., Ltd.		1,070,969		1,156,053
Mega Financial Holding Co., Ltd.		1,098,000		872,317
Pegatron Corp.		971,000		2,665,187
Powertech Technology, Inc. (b)		1,095,000		1,872,361
SinoPac Financial Holdings Co., Ltd.		2,327,010		952,144
Taichung Commercial Bank Co., Ltd.		2,292,062		762,683
Taishin Financial Holding Co., Ltd.		3,967,852		1,699,335
Taiwan Semiconductor Manufacturing Co., Ltd.		1,825,782		8,749,568
Taiwan Surface Mounting Technology Co., Ltd.		412,000		538,532
Wistron NeWeb Corp.		512,212		1,200,408

				38,952,345


30		SSGA Emerging Markets Fund

SSGA Emerging Markets Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Thailand - 2.5%
Advanced Info Service PCL		128,200		923,928
Airports of Thailand PCL		85,400		816,227
Asia Plus Group Holdings Securities		779,600		106,101
Kasikornbank PCL NVDR		218,500		1,466,579
Krung Thai Bank PCL		1,177,700		830,546
Krungthai Card PCL		300,900		823,682
Major Cineplex Group PCL		825,000		740,025
Supalai PCL		905,500		660,990
Thanachart Capital PCL		859,000		929,941

				7,298,019


Turkey - 2.4%
Adana Cimento Sanayii TAS (Class A)		66,246		182,469
Cimsa Cimento Sanayi VE Tica		107,697		714,775
Dogus Otomotiv Servis ve Ticaret AS		304,932		1,555,838
Emlak Konut Gayrimenkul Yatirim Ortakligi AS (f)		289,791		361,560
Trakya Cam Sanayii AS		703,744		1,032,319
Turk Hava Yollari Anonim Ortakligi (b)		351,539		1,268,158
Turkiye Is Bankasi (Class C)		340,400		853,476
Turkiye Sise ve Cam Fabrikalari AS		358,736		529,088
Yapi ve Kredi Bankasi AS		408,735		755,981

				7,253,664


United Arab Emirates - 0.7%
Abu Dhabi Commercial Bank PJSC		319,763		670,372
Al Waha Capital PJSC		344,862		279,807
First Gulf Bank PJSC		219,049		1,064,575

				2,014,754


United Kingdom - 0.4%
Gem Diamonds, Ltd. (b)		461,385		1,082,711


Total Common Stocks (cost $215,873,696)				283,237,467


Preferred Stocks - 3.7%
Brazil - 2.4%
Banco ABC Brasil SA		234,501		987,155
Banco do Estado do Rio Grande do Sul SA (Class B)		349,514		1,567,350
Centrais Eletricas Brasileiras SA (Class B)		217,896		531,931
Itau Unibanco Holding SA		122,723		1,577,944
Itausa - Investimentos Itau SA		397,772		1,413,834


	Principal Amount ($) or Shares		Market Value $
Petroleo Brasileiro SA		258,062		869,979
Vale SA		49,937		325,613

				7,273,806


Russia - 0.3%
AK Transneft OAO (b)		377		844,200


South Korea - 1.0%
Samsung Electronics Co., Ltd.		3,028		2,891,298


Total Preferred Stocks (cost $10,136,309)				11,009,304


Equity-Linked Securities - 1.3%
United Kingdom - 1.3%
HSBC Bank PLC, Dallah Healthcare Holding (expires 12/24/15)		19,801		744,438
HSBC Bank PLC, Samba Finacial Group (expires 6/29/17)		66,840		866,153
HSBC Bank PLC, Saudi Basic Industries (expires 10/31/16)		56,214		1,371,475
HSBC Bank PLC, Yaubu National Petrochemicals (expires 7/31/17)		56,000		716,722


Total Equity-Linked Securities (cost $3,847,916)				3,698,788


Rights - 0.0% (a)
Brazil - 0.0% (a)
Itausa - Investimentos Itau SA (expires 03/25/15) (b)		2,919		3,496


South Korea - 0.0% (a)
Korean Air Lines Co., Ltd. (expires 03/25/15) (b)		3,430		44,690


Total Rights (cost $0)				48,186


Short-Term Investments - 2.5%
United States - 2.5%
SSGA Prime Money Market Fund 0.20% (g)(h)		100		100


SSGA Emerging Markets Fund			31

SSGA Emerging Markets Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

State Street Navigator Securities Lending Prime Portfolio (h)(i)		7,474,803		7,474,803


Total Short-Term Investments (cost $7,474,903)				7,474,903


Total Investments - 102.9% (j) (identified cost $237,332,824)				305,468,648

Other Assets and Liabilities, Net - (2.9)%				(8,485,311	)


Net Assets - 100.0%				296,983,337

Footnotes:

(a)	Less than 0.05% of net assets

(b)	Non-income producing security

(c)	All or a portion of the shares of this security are on loan.

(d)	Restricted security Rule (144A) or Section 4 (2) commercial paper. Security may have contractual restrictions on resale, may have been offered in a private placement transaction.

(e)	Security is valued at fair value as determined in good faith by the Trust’s Oversight Committee in accordance with procedures approved by the Board of Trustees. Security value is determined based on Level 2 inputs.

(f)	Real Estate Investment Trust (REIT)

(g)	The rate shown is the annualized seven-day yield at period end.

(h)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 4).

(i)	Investments of cash collateral for securities loaned

(j)	All or a portion of the shares of these securities are held as collateral for forward foreign currency contracts purchased by the Fund.

Abbreviations:

ADR - American Depositary Receipt

GDR - Global Depositary Receipt

NVDR - Non-Voting Depository Receipt

PCL - Public Company Limited

PLC - Public Limited Company


Sector Exposure	% of Net Assets			Market Value $
Common Stocks
Consumer Discretionary		7.6			22,539,929
Consumer Staples		5.3			15,709,164
Energy		5.2			15,440,493
Financials		30.4			90,346,668
Health Care		1.5			4,376,835
Industrials		6.7			19,988,802
Information Technology		20.5			60,893,064
Materials		5.4			16,204,958
Telecommunication Services		8.8			26,185,567
Utilities		3.9			11,551,987
Preferred Stocks
Energy		0.6			1,714,179
Financials		1.8			5,546,283
Information Technology		1.0			2,891,298
Materials		0.1			325,613
Utilities		0.2			531,931
Equity-Linked Securities
Financials		1.3			3,698,788
Rights
Financials		0.0	*		3,496
Industrials		0.0	*		44,690
Short Term Investments		2.6			7,474,903

Total Investments		102.9			305,468,648
Other Assets & Liabilities		(2.9	)		(8,485,311	)

		100.0			296,983,337

*	Less than 0.05% of net assets.


Foreign Currency Exchange Contracts
Counterparty	Amount Sold		Amount Bought		Settlement Date		Unrealized Appreciation (Depreciation) $

Bank of America N.A.	USD	1,239,099	CZK	29,980,000		03/19/15		(20,469	)
Bank of America N.A.	USD	2,680,000	EUR	2,367,573		03/19/15		(30,088	)
Barclays Capital	USD	3,101,998	BRL	8,328,243		03/19/15		(183,101	)
Barclays Capital	USD	1,875,099	TWD	59,000,000		03/19/15		3,611
Barclays Capital	USD	1,243,872	TWD	39,580,000		03/19/15		16,456
Barclays Capital	BRL	2,500,000	USD	931,446		03/19/15		55,242
Barclays Capital	TWD	131,930,125	USD	4,236,541		03/19/15		35,549
BNP Paribas SA	USD	1,592,282	CZK	39,154,218		03/19/15		(737	)
Citibank N.A.	USD	2,792,106	PEN	8,386,090		03/19/15		(88,427	)
Citibank N.A.	HKD	83,343,574	USD	10,751,235		03/19/15		5,450

See accompanying notes which are an integral part of the financial statements.


32		SSGA Emerging Markets Fund

SSGA Emerging Markets Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


Foreign Currency Exchange Contracts, continued
Counterparty	Amount Sold		Amount Bought		Settlement Date		Unrealized Appreciation (Depreciation) $
Citibank N.A.	PEN	2,515,000	USD	834,716		03/19/15		23,879
Citibank N.A.	USD	5,845,171	ZAR	68,654,455		03/19/15		24,510
Credit Suisse International	USD	611,290	PLN	2,058,945		03/19/15		(56,217	)
Deutsche Bank AG	USD	382,836	CZK	9,206,000		03/19/15		(8,629	)
Deutsche Bank AG	USD	2,022,536	IDR	25,437,434,000		03/19/15		(59,478	)
Deutsche Bank AG	USD	2,002,507	INR	126,157,928		03/19/15		31,478
Deutsche Bank AG	USD	9,401,034	MYR	33,148,047		03/19/15		(216,492	)
Deutsche Bank AG	USD	1,413,208	THB	46,650,000		03/19/15		28,523
Deutsche Bank AG	IDR	7,631,230,000	USD	597,918		03/19/15		9,001
Deutsche Bank AG	INR	37,850,000	USD	604,054		03/19/15		(6,184	)

Deutsche Bank AG	MYR	9,950,000	USD	2,756,233		03/19/15		(678	)
Deutsche Bank AG	PLN	2,013,000	USD	540,605		03/19/15		(2,081	)
Deutsche Bank AG	THB	155,507,164	USD	4,655,903		03/19/15		(150,088	)
Deutsche Bank AG	THB	7,300,000	USD	221,750		03/19/15		(3,859	)
Deutsche Bank AG	TRY	620,000	USD	252,156		03/19/15		6,133
Deutsche Bank AG	TRY	730,000	USD	311,032		03/19/15		21,360
Goldman Sachs Capital Markets L.P.	USD	2,846,282	TRY	6,573,943		03/19/15		(237,673	)
JP Morgan Chase Bank, N.A.	USD	355,821	KRW	386,066,000		03/19/15		(4,307	)
JP Morgan Chase Bank, N.A.	USD	900,000	PHP	39,681,000		03/19/15		(700	)
JP Morgan Chase Bank, N.A.	USD	1,226,563	PHP	54,950,000		03/19/15		18,782
JP Morgan Chase Bank, N.A.	USD	1,452,250	RUB	83,504,388		03/19/15		(107,590	)
JP Morgan Chase Bank, N.A.	CZK	111,920,218	USD	5,047,504		03/19/15		498,159
JP Morgan Chase Bank, N.A.	KRW	1,286,888,650	USD	1,161,137		03/19/15		(10,579	)
JP Morgan Chase Bank, N.A.	KRW	1,206,000,000	USD	1,107,438		03/19/15		9,371
JP Morgan Chase Bank, N.A.	PHP	183,149,830	USD	4,085,430		03/19/15		(65,338	)
JP Morgan Chase Bank, N.A.	RUB	46,636,450	USD	665,000		03/19/15		(85,980	)
JP Morgan Chase Bank, N.A.	RUB	25,050,000	USD	364,364		03/19/15		(39,013	)
Societe Generale	USD	1,396,258	CZK	33,580,000		03/19/15		(31,294	)
Societe Generale	USD	753,562	EUR	660,000		03/19/15		(14,855	)
Societe Generale	USD	1,096,558	EUR	930,000		03/19/15		(55,653	)
Societe Generale	USD	3,224,581	HKD	25,000,000		03/19/15		(1,242	)
Societe Generale	HKD	14,983,000	USD	1,932,672		03/19/15		860
Societe Generale	MXN	12,230,000	USD	836,600		03/19/15		18,219
Societe Generale	PLN	620,000	USD	170,081		03/19/15		2,935
Societe Generale	TRY	1,975,000	USD	855,200		03/19/15		71,500
Societe Generale	ZAR	20,600,000	USD	1,773,721		03/19/15		12,504
Standard Chartered Bank	EUR	3,092,164	USD	3,850,178		03/19/15		389,264
Toronto Dominion Bank	USD	2,787,814	MXN	40,769,834		03/19/15		(59,668	)

Total Unrealized Appreciation (Depreciation) on Open Foreign Currency Exchange Contracts								(257,634	)

During the period ended February 28, 2015, average notional value related to foreign currency exchange contracts was $99,454,079 or 33.5% of net assets.

Foreign Currency Abbreviations:

BRL - Brazilian Real

CZK - Czech Koruna

EUR - Euro Currency

HKD - Hong Kong Dollar

IDR - Indonesian Rupiah

INR - Indian Rupee

KRW - South Korean Won

MXN - Mexican Peso

MYR - Malaysian Ringgit

See accompanying notes which are an integral part of the financial statements.


SSGA Emerging Markets Fund			33

SSGA Emerging Markets Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)

PEN - Peruvian Nuevo Sol

PHP - Philippine Peso

PLN - Polish Zloty

RUB - Russian Ruble

THB - Thai Baht

TRY - Turkish Lira

TWD - Taiwan Dollar

USD - United States Dollar

ZAR - South African Rand

Presentation of Portfolio Holdings — February 28, 2015 (Unaudited)


	Market Value*									% of Net Assets
Categories	Level 1		Level 2			Level 3		Total		% of Net Assets
Common Stocks
Austria	$	85,674	$	—		$	—	$	85,674		0.0	**
Bermuda		819,477		—			—		819,477		0.3
Brazil		12,003,207		—			—		12,003,207		4.0
Canada		334,181		—			—		334,181		0.1
Cayman Islands		8,602,878		—			—		8,602,878		2.9
China		41,677,937		—			—		41,677,937		14.0
Czech Republic		129,618		—			—		129,618		0.0	**
Egypt		1,574,453		—	***		—		1,574,453		0.5
Hong Kong		18,531,600		—			—		18,531,600		6.2
Hungary		874,313		—			—		874,313		0.3
India		28,106,004		—			—		28,106,004		9.5
Indonesia		8,470,662		—			—		8,470,662		2.9
Malaysia		4,924,602		—			—		4,924,602		1.7
Mexico		14,327,112		—			—		14,327,112		4.8
Oman		490,021		—			—		490,021		0.2
Philippines		6,373,144		—			—		6,373,144		2.2
Poland		4,708,343		—			—		4,708,343		1.6
Qatar		1,983,333		—			—		1,983,333		0.7
Russia		9,955,607		—			—		9,955,607		3.4
Singapore		703,351		—			—		703,351		0.2
South Africa		22,386,277		—			—		22,386,277		7.5
South Korea		39,574,180		—			—		39,574,180		13.3
Taiwan		38,952,345		—			—		38,952,345		13.1
Thailand		7,298,019		—			—		7,298,019		2.5
Turkey		7,253,664		—			—		7,253,664		2.4
United Arab Emirates		2,014,754		—			—		2,014,754		0.7
United Kingdom		1,082,711		—			—		1,082,711		0.4
Preferred Stocks
Brazil		7,273,806		—			—		7,273,806		2.4
Russia		844,200		—			—		844,200		0.3
South Korea		2,891,298		—			—		2,891,298		1.0
Equity-Linked Securities
United Kingdom		—		3,698,788			—		3,698,788		1.3
Rights
Brazil		3,496		—			—		3,496		0.0	**
South Korea		44,690		—			—		44,690		0.0	**
Short Term Investments		100		7,474,803			—		7,474,903		2.5

Total Investments	$	294,295,057	$	11,173,591		$	—	$	305,468,648		102.9

Other Assets and Liabilities, Net											(2.9	)

											100.0

See accompanying notes which are an integral part of the financial statements.


34		SSGA Emerging Markets Fund

SSGA Emerging Markets Fund

Presentation of Portfolio Holdings, continued — February 28, 2015 (Unaudited)


	Market Value*										% of Net Assets
Categories	Level 1		Level 2			Level 3		Total			% of Net Assets
Assets:
Other Financial Instruments****
Foreign Currency Exchange Contracts	$	—	$	1,282,786		$	—	$	1,282,786			0.4

Total Other Financial Instruments	$	—	$	1,282,786		$	—	$	1,282,786			0.4

Liabilities:
Other Financial Instruments****
Foreign Currency Exchange Contracts	$	—	$	(1,540,420	)	$	—	$	(1,540,420	)		(0.5	)

Total Other Financial Instruments	$	—	$	(1,540,420	)	$	—	$	(1,540,420	)		(0.5	)

For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2015.

Less than 0.05% of net assets.

***

Fund held a Level 2 security that was valued at $0 at February 28, 2015.

****

Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation (depreciation) on the instruments.

See accompanying notes which are an integral part of the financial statements.


SSGA Emerging Markets Fund			35

SSGA International Stock Selection Fund

Shareholder Expense Example — February 28, 2015 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Class N
Beginning Account Value September 1, 2014		1.00	%	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2015				$	1,003.70	$	1,019.84
Expenses Paid During Period				$	4.97	$	5.01

Class A
Beginning Account Value September 1, 2014		1.19	%	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2015				$	1,003.70	$	1,018.90
Expenses Paid During Period				$	5.91	$	5.96

Class C
Beginning Account Value September 1, 2014		1.95	%	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2015				$	999.30	$	1,015.13
Expenses Paid During Period				$	9.67	$	9.74


36		SSGA International Stock Selection Fund

SSGA International Stock Selection Fund

Shareholder Expense Example, continued — February 28, 2015 (Unaudited)


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Class I
Beginning Account Value September 1, 2014		0.95	%	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2015				$	1,004.70	$	1,020.09
Expenses Paid During Period				$	4.72	$	4.76

Class K
Beginning Account Value September 1, 2014		0.75	%	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2015				$	1,005.80	$	1,021.08
Expenses Paid During Period				$	3.73	$	3.76


SSGA International Stock Selection Fund			37

SSGA International Stock Selection Fund

Schedule of Investments — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $


Common Stocks - 96.1%
Australia - 6.1%
Amcor, Ltd.		212,983		2,273,365
Beach Energy, Ltd.		1,231,369		1,019,923
BHP Billiton, Ltd.		138,489		3,641,446
Downer EDI, Ltd.		887,499		3,065,234
Primary Health Care, Ltd. (a)		716,277		2,641,779
The GPT Group (b)		828,134		3,041,389
Wesfarmers, Ltd.		54,868		1,880,019
Woodside Petroleum, Ltd.		80,572		2,214,897
Woolworths, Ltd. (a)		82,306		1,975,081

				21,753,133


Denmark - 2.7%
Danske Bank A/S		120,290		3,185,654
Novo Nordisk A/S (Class B)		35,425		1,698,364
Vestas Wind Systems A/S (c)		110,160		4,643,689

				9,527,707


France - 8.4%
Atos Origin SA		55,699		3,968,550
AXA SA		108,650		2,758,759
BNP Paribas SA		105,852		6,170,253
GDF Suez		241,778		5,377,414
Gecina SA (b)		27,164		3,570,231
Total SA		39,667		2,141,121
Valeo SA		39,314		5,917,238

				29,903,566


Germany - 9.1%
Bayer AG		34,487		5,096,164
Bechtle AG		16,340		1,326,963
Continental AG		23,230		5,544,848
Deutsche Telekom AG		463,957		8,654,916
Duerr AG		11,866		1,269,439
E.ON SE		150,652		2,435,241
Indus Holding AG		31,513		1,336,706
Infineon Technologies AG		277,332		3,210,554
Merck KGaA		22,330		2,303,929
OSRAM Licht AG (a)		22,063		1,011,780

				32,190,540


Hong Kong - 1.6%
Cheung Kong Holdings, Ltd.		91,000	��	1,801,039
Hutchison Whampoa, Ltd.		89,000		1,218,675
Sands China, Ltd.		608,800		2,778,762

				5,798,476


Italy - 0.6%
ENI SpA		109,242		2,039,084


	Principal Amount ($) or Shares		Market Value $

Japan - 23.4%
Asahi Kasei Corp.		609,000		6,292,364
Central Japan Railway Co.		40,200		7,477,116
Fuji Electric Co., Ltd.		262,000		1,261,542
Fuji Heavy Industries, Ltd.		198,000		6,721,655
FUJIFILM Holdings Corp.		189,400		6,527,076
Hankyu Hanshin Holdings, Inc.		290,000		1,835,152
Hoya Corp.		43,800		1,767,561
Kawasaki Heavy Industries, Ltd.		267,000		1,265,530
Kirin Holdings Co., Ltd.		102,900		1,345,764
MEIJI Holdings Co., Ltd.		27,300		3,256,602
Mitsubishi Electric Corp.		537,000		6,289,129
Mitsubishi Materials Corp.		867,000		2,986,031
Mitsubishi UFJ Financial Group, Inc.		890,000		5,786,023
Mizuho Financial Group, Inc.		609,200		1,122,914
Nippon Telegraph & Telephone Corp.		50,000		3,101,358
Oriental Land Co., Ltd.		24,000		6,466,207
Panasonic Corp.		582,800		7,283,478
Sekisui Chemical Co., Ltd.		76,000		975,214
Shionogi & Co., Ltd.		88,600		2,603,377
Sumitomo Mitsui Financial Group, Inc.		22,301		887,286
Taiheiyo Cement Corp.		799,000		2,671,682
Taisei Corp.		342,000		2,064,151
Toyota Motor Corp.		24,700		1,664,837
USS Co., Ltd.		71,100		1,256,471

				82,908,520


Netherlands - 4.0%
ING Groep NV (c)		506,230		7,565,564
Koninklijke Ahold NV		230,579		4,325,864
Unilever NV		52,976		2,306,101

				14,197,529


New Zealand - 1.3%
Air New Zealand, Ltd.		555,142		1,196,742
Spark New Zealand, Ltd.		1,353,967		3,348,939

				4,545,681


Singapore - 1.2%
ComfortDelGro Corp., Ltd.		1,909,400		4,119,042


Spain - 2.8%
Amadeus IT Holding SA (Class A)		37,195		1,533,810
Banco Santander SA		722,042		5,278,672
Iberdrola SA		131,820		900,863
Repsol SA		121,061		2,340,302

				10,053,647


38		SSGA International Stock Selection Fund

SSGA International Stock Selection Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Sweden - 1.6%
Nordea Bank AB		411,095		5,547,342


Switzerland - 10.2%
Lonza Group AG (c)		16,272		2,005,517
Nestle SA		33,477		2,612,565
Novartis AG		123,129		12,586,061
Roche Holding AG (d)		41,033		11,138,974
Swiss Re AG		84,473		7,766,359

				36,109,476


United Kingdom - 23.1%
AstraZeneca PLC		13,329		919,733
Barclays PLC		1,891,217		7,500,855
Berendsen PLC		210,899		3,581,563
BHP Billiton PLC		179,456		4,478,566
BP PLC (a)		434,371		3,004,641
BT Group PLC		1,052,824		7,406,962
Direct Line Insurance Group PLC		1,435,912		7,257,914
Imperial Tobacco Group PLC		159,434		7,859,324
ITV PLC		1,679,656		5,842,340
Lloyds Banking Group PLC (c)		4,930,023		6,012,864
Man Group PLC		1,297,322		3,837,502
Mondi PLC		76,073		1,562,023
Pace PLC		339,672		1,753,603
Rio Tinto PLC		132,908		6,549,669
Royal Dutch Shell PLC (Class A)		206,058		6,737,841
Royal Dutch Shell PLC (Class B)		113,927		3,879,172
Tate & Lyle PLC		420,935		3,869,921

				82,054,493


Total Common Stocks (cost $301,489,496)				340,748,236


Preferred Stock - 1.6%
Germany - 1.6%
Henkel AG & Co. KGaA (cost $4,685,512)		47,021		5,569,706


Short-Term Investments - 2.3%
United States - 2.3%
SSGA Prime Money Market Fund 0.20% (e)(f)		1,337,522		1,337,522
State Street Navigator Securities Lending Prime Portfolio (e)(g)		6,820,289		6,820,289


Total Short-Term Investments (cost $8,157,811)				8,157,811


Total Investments - 100.0% (identified cost $314,332,819)				354,475,753

Other Assets and Liabilities, Net - 0.0% (h)				33,201


Net Assets - 100.0%				354,508,954

Footnotes:

(a)	All or a portion of the shares of this security are on loan.

(b)	Real Estate Investment Trust (REIT)

(c)	Non-income producing security

(d)	All or a portion of the shares of this security are held as collateral in connection with futures contracts purchased (sold) by the Fund.

(e)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 4).

(f)	The rate shown is the annualized seven-day yield at period end.

(g)	Investments of cash collateral for securities loaned

(h)	Less than 0.05% of net assets

Abbreviations:

PLC - Public Limited Company


Sector Exposure	% of Net Assets			Market Value $
Common Stocks
Consumer Discretionary		12.5			44,451,050
Consumer Staples		8.3			29,431,241
Energy		6.6			23,376,981
Financials		22.3			79,090,620
Health Care		11.6			40,993,898
Industrials		11.7			41,635,490
Information Technology		5.7			20,088,117
Materials		8.6			30,455,146
Telecommunication Services		6.3			22,512,175
Utilities		2.5			8,713,518
Preferred Stocks
Consumer Staples		1.6			5,569,706
Short Term Investments		2.3			8,157,811

Total Investments		100.0			354,475,753
Other Assets & Liabilities		0.0	*		33,201

		100.0			354,508,954

*	Less than 0.05% of net assets.

See accompanying notes which are an integral part of the financial statements.


SSGA International Stock Selection Fund			39

SSGA International Stock Selection Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


Futures Contracts	Number of Contracts		Notional Amount	Expiration Date		Unrealized Appreciation (Depreciation) $

Long Positions
MSCI EAFE E-Mini Index Futures		60	5,625,900		03/15		(21,254	)

Total Unrealized Appreciation (Depreciation) on Open Futures Contracts							(21,254	)

During the period ended February 28, 2015, average notional value related to futures contracts was $17,656,489 or 5.0% of net assets.

Presentation of Portfolio Holdings — February 28, 2015 (Unaudited)


	Market Value*										% of Net Assets
Categories	Level 1			Level 2		Level 3		Total			% of Net Assets
Common Stocks
Australia	$	21,753,133		$	—	$	—	$	21,753,133			6.1
Denmark		9,527,707			—		—		9,527,707			2.7
France		29,903,566			—		—		29,903,566			8.4
Germany		32,190,540			—		—		32,190,540			9.1
Hong Kong		5,798,476			—		—		5,798,476			1.6
Italy		2,039,084			—		—		2,039,084			0.6
Japan		82,908,520			—		—		82,908,520			23.4
Netherlands		14,197,529			—		—		14,197,529			4.0
New Zealand		4,545,681			—		—		4,545,681			1.3
Singapore		4,119,042			—		—		4,119,042			1.2
Spain		10,053,647			—		—		10,053,647			2.8
Sweden		5,547,342			—		—		5,547,342			1.6
Switzerland		36,109,476			—		—		36,109,476			10.2
United Kingdom		82,054,493			—		—		82,054,493			23.1
Preferred Stock
Germany		5,569,706			—		—		5,569,706			1.6
Short-Term Investments
United States		1,337,522			6,820,289		—		8,157,811			2.3

Total Investments	$	347,655,464		$	6,820,289	$	—	$	354,475,753			100.0

Other Assets and Liabilities, Net												0.0	***

												100.0

Liabilities:
Other Financial Instruments**
Futures Contracts	$	(21,254	)	$	—	$	—	$	(21,254	)		0.0	***

For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2015.

Other financial instruments reflected in the Schedule of Investments, such as futures, forwards, and swap contracts which are valued at the unrealized appreciation (depreciation) on the instruments.

***

Less than 0.05% of net assets.

See accompanying notes which are an integral part of the financial statements.


40		SSGA International Stock Selection Fund

SSGA High Yield Bond Fund

Shareholder Expense Example — February 28, 2015 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Class N
Beginning Account Value September 1, 2014		0.75	%	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2015				$	993.30	$	1,021.08
Expenses Paid During Period				$	3.71	$	3.76

Class A
Beginning Account Value September 1, 2014		0.94	%	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2015				$	992.40	$	1,020.14
Expenses Paid During Period				$	4.64	$	4.71

Class C
Beginning Account Value September 1, 2014		1.70	%	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2015				$	988.90	$	1,016.37
Expenses Paid During Period				$	8.38	$	8.50


SSGA High Yield Bond Fund			41

SSGA High Yield Bond Fund

Shareholder Expense Example, continued — February 28, 2015 (Unaudited)


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Class I
Beginning Account Value September 1, 2014		0.70	%	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2015				$	994.80	$	1,021.33
Expenses Paid During Period				$	3.46	$	3.51

Class K
Beginning Account Value September 1, 2014		0.50	%	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2015				$	995.70	$	1,022.32
Expenses Paid During Period				$	2.47	$	2.51


42		SSGA High Yield Bond Fund

SSGA High Yield Bond Fund

Schedule of Investments — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Long-Term Investments - 92.7%
Corporate Bonds and Notes - 79.0%
24 Hour Holdings III LLC 8.000%, due 06/01/22 (a)		450,000		385,875
ACE Cash Express, Inc. 11.000%, due 02/01/19 (a)		300,000		202,500
ADT Corp. (The) 3.500%, due 07/15/22		500,000		458,750
AECOM 5.875%, due 10/15/24 (a)		259,000		275,188
AES Corp.
3.262%, due 06/01/19 (b)		350,000		344,750
4.875%, due 05/15/23		150,000		147,000
Ahern Rentals, Inc. 9.500%, due 06/15/18 (a)		250,000		259,375
AK Steel Corp. 7.625%, due 10/01/21		300,000		262,500
Alcatel-Lucent USA, Inc. 6.750%, due 11/15/20 (a)		250,000		267,500
Alcoa, Inc.
6.150%, due 08/15/20		375,000		425,983
5.125%, due 10/01/24		425,000		462,200
Allison Transmission, Inc. 7.125%, due 05/15/19 (a)		350,000		365,312
Ally Financial, Inc.
4.750%, due 09/10/18		300,000		312,000
3.750%, due 11/18/19		200,000		200,500
5.125%, due 09/30/24		350,000		369,687
8.000%, due 11/01/31		150,000		193,500
Alphabet Holding Co., Inc. PIK 7.750%, due 11/01/17		333,000		327,173
American Axle & Manufacturing, Inc. 5.125%, due 02/15/19		250,000		260,625
Amsurg Corp. 5.625%, due 11/30/20		650,000		676,812
Anixter, Inc. 5.125%, due 10/01/21		500,000		514,375
ARC Properties Operating Partnership LP 4.600%, due 02/06/24		700,000		685,354
ArcelorMittal 10.600%, due 06/01/19		1,000,000		1,235,000
Argos Merger Sub, Inc. 7.125%, due 03/15/23 (a)		478,000		494,730
Artesyn Escrow, Inc. 9.750%, due 10/15/20 (a)		325,000		310,375
Asbury Automotive Group, Inc. 6.000%, due 12/15/24		250,000		261,875
Ashtead Capital, Inc.
6.500%, due 07/15/22 (a)		250,000		271,875
5.625%, due 10/01/24 (a)		225,000		236,250
Audatex North America, Inc. 6.000%, due 06/15/21 (a)		565,000		600,312


	Principal Amount ($) or Shares		Market Value $
Bank of America Corp. Series Z 6.500%, due 10/23/24 (b)(c)		325,000		344,398
BI-LO LLC/BI-LO Finance Corp. 9.250%, due 02/15/19 (a)		300,000		296,250
Big Heart Pet Brands 7.625%, due 02/15/19		300,000		306,150
Blackboard, Inc. 7.750%, due 11/15/19 (a)		425,000		410,125
BlueLine Rental Finance Corp. 7.000%, due 02/01/19 (a)		250,000		259,375
BWAY Holding Co. 9.125%, due 08/15/21 (a)		375,000		390,000
C&S Group Enterprises LLC 5.375%, due 07/15/22 (a)		200,000		200,000
California Resources Corp. 6.000%, due 11/15/24 (a)		350,000		311,938
Calpine Corp. 5.375%, due 01/15/23		585,000		593,775
Carlson Travel Holdings, Inc. PIK 7.500%, due 08/15/19 (a)		330,000		334,125
CCO Holdings LLC/CCO Holdings Capital Corp. 7.250%, due 10/30/17		750,000		780,937
CCOH Safari LLC 5.500%, due 12/01/22		160,000		165,400
Century Communities, Inc. 6.875%, due 05/15/22		240,000		240,000
Century Intermediate Holding Co. 2 PIK 9.750%, due 02/15/19 (a)		390,000		414,862
CenturyLink, Inc. Series W 6.750%, due 12/01/23		390,000		440,456
Cequel Communications Escrow 1 LLC/Cequel Communications Escrow Capital Corp. 6.375%, due 09/15/20 (a)		300,000		318,000
Chesapeake Energy Corp.
5.375%, due 06/15/21		1,087,000		1,100,587
4.875%, due 04/15/22		100,000		98,750
CHS/Community Health Systems, Inc. 5.125%, due 08/01/21		750,000		781,875
Churchill Downs, Inc. 5.375%, due 12/15/21		300,000		303,750
CIT Group, Inc.
5.250%, due 03/15/18		400,000		422,400
3.875%, due 02/19/19		730,000		736,387
Constellation Brands, Inc. 6.000%, due 05/01/22		300,000		343,500
Dean Foods Co. 6.500%, due 03/15/23 (a)		290,000		291,269


SSGA High Yield Bond Fund			43

SSGA High Yield Bond Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Denbury Resources, Inc. 5.500%, due 05/01/22		350,000		327,250
DISH DBS Corp.
5.125%, due 05/01/20		450,000		453,937
5.875%, due 11/15/24		360,000		358,200
DJO Finance LLC/DJO Finance Corp. 8.750%, due 03/15/18		450,000		469,125
DR Horton, Inc. 4.000%, due 02/15/20		252,000		254,520
Dynacast International LLC/Dynacast Finance, Inc. 9.250%, due 07/15/19		375,000		403,125
Dynegy Finance I, Inc./Dynegy Finance II, Inc.
7.375%, due 11/01/22 (a)		200,000		211,750
7.625%, due 11/01/24 (a)		360,000		382,050
Endeavor Energy Resources LP/EER Finance, Inc. 7.000%, due 08/15/21 (a)		230,000		223,100
EP Energy LLC/EP Energy Finance, Inc. 9.375%, due 05/01/20		425,000		453,687
Equinix, Inc. 5.375%, due 01/01/22		650,000		677,625
Family Tree Escrow LLC 5.250%, due 03/01/20 (a)		465,000		485,925
FGI Operating Co. LLC/FGI Finance, Inc. 7.875%, due 05/01/20		300,000		223,500
First Data Corp.
6.750%, due 11/01/20 (a)		374,000		401,115
11.250%, due 01/15/21		391,000		446,717
Florida East Coast Holdings Corp. 9.750%, due 05/01/20 (a)		450,000		438,750
FMG Resources August 2006 Pty Ltd. 6.875%, due 04/01/22 (a)		150,000		125,438
Fresenius Medical Care US Finance II, Inc. 4.125%, due 10/15/20 (a)		265,000		272,950
Frontier Communications Corp.
9.250%, due 07/01/21		250,000		291,875
6.250%, due 09/15/21		150,000		154,125
7.125%, due 01/15/23		300,000		313,125
GameStop Corp. 5.500%, due 10/01/19 (a)		340,000		351,050
Gates Global LLC/Gates Global Co. 6.000%, due 07/15/22 (a)		495,000		475,200
General Motors Co.
3.500%, due 10/02/18		194,000		199,820
6.250%, due 10/02/43		450,000		558,371
General Motors Financial Co., Inc. 4.250%, due 05/15/23		700,000		733,250


	Principal Amount ($) or Shares		Market Value $
Gentiva Health Services, Inc. 11.500%, due 09/01/18		400,000		424,500
Genworth Financial, Inc. 6.150%, due 11/15/66 (b)		400,000		257,000
Global Partners LP/GLP Finance Corp. 6.250%, due 07/15/22 (a)		400,000		396,000
Group 1 Automotive, Inc. 5.000%, due 06/01/22 (a)		450,000		450,000
Halcon Resources Corp. 9.750%, due 07/15/20		300,000		231,000
HCA Holdings, Inc. 6.250%, due 02/15/21		1,000,000		1,092,500
HCA, Inc. 4.250%, due 10/15/19		900,000		931,500
HD Supply, Inc.
11.500%, due 07/15/20		500,000		575,000
5.250%, due 12/15/21 (a)		460,000		477,825
HealthSouth Corp. 5.750%, due 11/01/24		260,000		271,700
Hexion US Finance Corp. 6.625%, due 04/15/20		500,000		477,500
HJ Heinz Co. 4.250%, due 10/15/20		550,000		558,140
Icahn Enterprises LP/Icahn Enterprises Finance Corp. 6.000%, due 08/01/20		400,000		428,000
IHS, Inc. 5.000%, due 11/01/22 (a)		110,000		111,788
Interline Brands, Inc. PIK 10.000%, due 11/15/18		234,000		246,285
International Lease Finance Corp.
6.250%, due 05/15/19		275,000		308,344
8.250%, due 12/15/20		350,000		434,875
j2 Global, Inc. 8.000%, due 08/01/20		500,000		540,000
Jack Cooper Holdings Corp. 9.250%, due 06/01/20 (a)		350,000		360,500
Jaguar Holding Co. I PIK 9.375%, due 10/15/17 (a)		360,000		368,505
JBS USA LLC/JBS USA Finance, Inc. 7.250%, due 06/01/21 (a)		350,000		368,163
Kindred Healthcare, Inc. 8.000%, due 01/15/20 (a)		295,000		320,075
L Brands, Inc. 7.000%, due 05/01/20		250,000		288,125
Lennar Corp.
4.500%, due 06/15/19		300,000		309,000
4.500%, due 11/15/19		250,000		255,625
Level 3 Communications, Inc. 8.875%, due 06/01/19		250,000		264,688
Level 3 Financing, Inc.
8.625%, due 07/15/20		250,000		272,500
5.375%, due 08/15/22		100,000		103,469


44		SSGA High Yield Bond Fund

SSGA High Yield Bond Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Linn Energy LLC/Linn Energy Finance Corp.
8.625%, due 04/15/20		175,000		158,813
6.500%, due 09/15/21		385,000		323,400
Live Nation Entertainment, Inc. 5.375%, due 06/15/22 (a)		450,000		456,750
LMI Aerospace, Inc. 7.375%, due 07/15/19 (a)		325,000		325,813
MarkWest Energy Partners LP/MarkWest Energy Finance Corp.
6.250%, due 06/15/22		406,000		430,360
4.875%, due 12/01/24		250,000		256,875
Mcron Finance Sub LLC/Mcron Finance Corp. 8.375%, due 05/15/19 (a)		300,000		321,750
Memorial Resource Development Corp. 5.875%, due 07/01/22 (a)		450,000		432,000
Men’s Wearhouse, Inc. (The) 7.000%, due 07/01/22 (a)		500,000		526,250
MGM Resorts International
6.750%, due 10/01/20		550,000		601,219
6.625%, due 12/15/21		300,000		325,500
Micron Technology, Inc. 5.250%, due 08/01/23 (a)		228,000		233,415
Midas Intermediate Holdco II LLC/Midas Intermediate Holdco II Finance, Inc. 7.875%, due 10/01/22 (a)		300,000		291,000
Milacron LLC/Mcron Finance Corp. 7.750%, due 02/15/21 (a)		100,000		104,500
Monitronics International, Inc. 9.125%, due 04/01/20		250,000		245,313
MPG Holdco I, Inc. 7.375%, due 10/15/22 (a)		255,000		272,213
MPH Acquisition Holdings LLC 6.625%, due 04/01/22 (a)		300,000		318,750
MPT Operating Partnership LP/MPT Finance Corp. 5.500%, due 05/01/24		300,000		319,500
MSCI, Inc. 5.250%, due 11/15/24 (a)		400,000		417,000
Murray Energy Corp. 8.625%, due 06/15/21 (a)		500,000		485,000
Navient Corp. 5.000%, due 10/26/20		200,000		202,500
Navient Corp. MTN 8.000%, due 03/25/20		650,000		756,437
NBTY, Inc. 9.000%, due 10/01/18		200,000		209,500
NCR Corp. 5.875%, due 12/15/21		300,000		310,500


	Principal Amount ($) or Shares		Market Value $
Neiman Marcus Group LTD, Inc. PIK 8.750%, due 10/15/21 (a)		379,000		398,424
NES Rentals Holdings, Inc. 7.875%, due 05/01/18 (a)		250,000		253,125
Netflix, Inc.
5.500%, due 02/15/22 (a)		283,000		291,999
5.750%, due 03/01/24 (a)		600,000		621,000
Newfield Exploration Co. 5.750%, due 01/30/22		650,000		680,875
Nexstar Broadcasting, Inc.
6.875%, due 11/15/20		231,000		244,860
6.125%, due 02/15/22 (a)		300,000		306,000
NRG Energy, Inc. 6.250%, due 07/15/22		250,000		260,625
OneMain Financial Holdings, Inc. 7.250%, due 12/15/21 (a)		500,000		528,750
Outfront Media Capital LLC/Outfront Media Capital Corp.
5.625%, due 02/15/24		300,000		319,875
5.875%, due 03/15/25		125,000		132,500
Parsley Energy LLC/Parsley Finance Corp. 7.500%, due 02/15/22 (a)		303,000		310,575
Penn National Gaming, Inc. 5.875%, due 11/01/21		300,000		297,750
Penske Automotive Group, Inc.
5.750%, due 10/01/22		200,000		209,500
5.375%, due 12/01/24		300,000		310,500
Pittsburgh Glass Works LLC 8.000%, due 11/15/18 (a)		226,000		240,408
Plastipak Holdings, Inc. 6.500%, due 10/01/21 (a)		450,000		457,875
Post Holdings, Inc. 6.000%, due 12/15/22 (a)		500,000		491,875
Provident Funding Associates LP/PFG Finance Corp. 6.750%, due 06/15/21 (a)		233,000		223,424
PSPC Escrow Corp. 6.500%, due 02/01/22 (a)		232,000		244,470
Qualitytech LP/QTS Finance Corp. 5.875%, due 08/01/22 (a)		400,000		412,000
Regal Entertainment Group 5.750%, due 02/01/25		350,000		350,000
Revlon Consumer Products Corp. 5.750%, due 02/15/21		400,000		410,000
Reynolds Group Issuer, Inc./Reynolds Group Issuer LLC/Reynolds Group Issuer Lu
9.875%, due 08/15/19		920,000		985,550
6.875%, due 02/15/21		340,000		359,550
Rice Energy, Inc. 6.250%, due 05/01/22		310,000		302,250


SSGA High Yield Bond Fund			45

SSGA High Yield Bond Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

RJS Power Holdings LLC 5.125%, due 07/15/19 (a)		200,000		197,000
Rose Rock Midstream LP/Rose Rock Finance Corp. 5.625%, due 07/15/22		500,000		498,750
Roundy’s Supermarkets, Inc. 10.250%, due 12/15/20 (a)		350,000		297,500
RR Donnelley & Sons Co. 7.875%, due 03/15/21		675,000		769,500
RSP Permian, Inc. 6.625%, due 10/01/22 (a)		165,000		166,031
Sanchez Energy Corp. 7.750%, due 06/15/21		300,000		299,250
Sanchez Energy Corp. Series WI 6.125%, due 01/15/23		135,000		123,863
SBA Communications Corp. 5.625%, due 10/01/19		275,000		289,438
Scientific Games International, Inc. 7.000%, due 01/01/22 (a)		700,000		721,000
Service Corp. International 4.500%, due 11/15/20		350,000		354,375
ServiceMaster Co. LLC (The) 7.000%, due 08/15/20		400,000		422,000
Signode Industrial Group Lux SA/Signode Industrial Group US, Inc. 6.375%, due 05/01/22 (a)		500,000		492,500
Simmons Foods, Inc. 7.875%, due 10/01/21 (a)		250,000		250,000
Sinclair Television Group, Inc. 6.375%, due 11/01/21		525,000		556,500
Sirius XM Radio, Inc. 6.000%, due 07/15/24 (a)		575,000		610,937
Spirit AeroSystems, Inc. 5.250%, due 03/15/22		250,000		260,625
SPL Logistics Escrow LLC/SPL Logistics Finance Corp. 8.875%, due 08/01/20 (a)		250,000		263,125
Sprint Corp. 7.250%, due 09/15/21		1,575,000		1,605,516
Sprint Nextel Corp. 7.000%, due 03/01/20 (a)		250,000		276,953
Steel Dynamics, Inc. 5.125%, due 10/01/21 (a)		280,000		287,000
Summit Midstream Holdings LLC/Summit Midstream Finance Corp. 5.500%, due 08/15/22		325,000		315,250
T-Mobile USA, Inc.
6.633%, due 04/28/21		933,000		992,479
6.000%, due 03/01/23		175,000		182,527


	Principal Amount ($) or Shares		Market Value $
Targa Resources Partners LP/Targa Resources Partners Finance Corp. (d)
5.000%, due 01/15/18 (a)		175,000		182,000
4.125%, due 11/15/19 (a)		450,000		457,875
Tenet Healthcare Corp.
5.000%, due 03/01/19 (a)		1,000,000		1,005,000
6.875%, due 11/15/31		300,000		286,500
Tenneco, Inc. 5.375%, due 12/15/24		300,000		313,500
TerraForm Power Operating LLC 5.875%, due 02/01/23 (a)		208,000		216,320
Tesoro Logistics LP/Tesoro Logistics Finance Corp. 6.250%, due 10/15/22 (a)		250,000		265,000
TRAC Intermodal LLC/TRAC Intermodal Corp. 11.000%, due 08/15/19		305,000		332,450
United Rentals North America, Inc.
5.750%, due 07/15/18		150,000		155,719
8.375%, due 09/15/20		250,000		267,500
6.125%, due 06/15/23		290,000		311,025
Univision Communications, Inc. 5.125%, due 02/15/25 (a)		650,000		658,125
US Coatings Acquisition, Inc./Flash Dutch 2 BV 7.375%, due 05/01/21 (a)		656,000		710,120
USG Corp. 5.500%, due 03/01/25 (a)		290,000		296,525
Valeant Pharmaceuticals International 6.375%, due 10/15/20 (a)		500,000		526,250
Virgin Media Finance PLC 6.375%, due 04/15/23 (a)		525,000		567,000
WCI Communities, Inc. 6.875%, due 08/15/21		345,000		351,900
WESCO Distribution, Inc. 5.375%, due 12/15/21		305,000		309,194
Weyerhaeuser Real Estate Co. 4.375%, due 06/15/19 (a)		300,000		296,625
WideOpenWest Finance LLC/WideOpenWest Capital Corp. 10.250%, due 07/15/19		400,000		423,000
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. 5.500%, due 03/01/25 (a)		150,000		150,930
XPO Logistics, Inc. 7.875%, due 09/01/19 (a)		400,000		425,250
York Risk Services Holding Corp. 8.500%, due 10/01/22 (a)		405,000		395,887
Zayo Group LLC/Zayo Capital, Inc. 8.125%, due 01/01/20		272,000		288,320


46		SSGA High Yield Bond Fund

SSGA High Yield Bond Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Market Value $

Zebra Technologies Corp. 7.250%, due 10/15/22 (a)		480,000		518,400

				79,410,524


International Debt - 13.7%
Altice Financing SA
6.500%, due 01/15/22 (a)		100,000		103,500
6.625%, due 02/15/23 (a)		250,000		260,313
Altice Finco SA 8.125%, due 01/15/24 (a)		350,000		370,790
Altice SA
7.750%, due 05/15/22 (a)		425,000		438,812
7.625%, due 02/15/25 (a)		200,000		206,500
Ardagh Finance Holdings SA PIK 8.625%, due 06/15/19 (a)		349,687		363,674
Ardagh Packaging Finance PLC/Ardagh Holdings USA, Inc. 3.241%, due 12/15/19 (a)(b)		350,000		343,875
Ardagh Packaging Finance PLC/Ardagh MP Holdings USA, Inc. 7.000%, due 11/15/20 (a)(d)		35,294		35,029
AuRico Gold, Inc. 7.750%, due 04/01/20 (a)		300,000		294,000
BAYTEX ENERGY Corp. 5.125%, due 06/01/21 (a)		250,000		238,125
Bombardier, Inc.
7.750%, due 03/15/20 (a)		250,000		260,625
7.500%, due 03/15/25 (a)		140,000		140,000
Capsugel SA PIK 7.000%, due 05/15/19 (a)		350,000		356,563
CEVA Group PLC 7.000%, due 03/01/21 (a)		285,000		273,600
Columbus International, Inc. 7.375%, due 03/30/21 (a)		300,000		315,000
Commerzbank AG 8.125%, due 09/19/23 (a)		200,000		241,500
Constellium NV 5.750%, due 05/15/24 (a)		350,000		331,625
Coveris Holdings SA 7.875%, due 11/01/19 (a)		500,000		507,500
Digicel Group, Ltd. 8.250%, due 09/30/20 (a)		550,000		556,325
Fly Leasing, Ltd. 6.750%, due 12/15/20		350,000		354,375
FMG Resources August 2006 Pty Ltd. 8.250%, due 11/01/19 (a)		125,000		118,125
Global Ship Lease, Inc. 10.000%, due 04/01/19 (a)		325,000		336,375
INEOS Group Holdings SA
6.125%, due 08/15/18 (a)		500,000		507,500
5.875%, due 02/15/19 (a)		360,000		363,600
Inmarsat Finance PLC 4.875%, due 05/15/22 (a)		350,000		356,195


	Principal Amount ($) or Shares		Market Value $
Intelsat Luxembourg SA 7.750%, due 06/01/21		288,000		266,760
JLL/Delta Dutch Newco BV 7.500%, due 02/01/22 (a)		360,000		369,900
Jupiter Resources, Inc. 8.500%, due 10/01/22 (a)		350,000		283,500
MEG Energy Corp. 6.375%, due 01/30/23 (a)		300,000		285,000
New Red Finance, Inc. 6.000%, due 04/01/22 (a)		450,000		468,000
NOVA Chemicals Corp. 5.000%, due 05/01/25 (a)		400,000		422,500
Perstorp Holding AB 11.000%, due 08/15/17 (a)		600,000		627,000
Royal Bank of Scotland Group PLC 6.125%, due 12/15/22		250,000		281,965
Royal Bank of Scotland Group PLC Series U 7.640%, due 09/30/17 (b)(c)		400,000		440,000
Sable International Finance, Ltd. 8.750%, due 02/01/20 (a)		635,000		685,800
Schaeffler Holding Finance BV PIK 6.875%, due 08/15/18 (a)		200,000		209,500
Silver II Borrower/Silver II US Holdings LLC 7.750%, due 12/15/20 (a)		300,000		283,500
Stackpole International Intermediate/Stackpole International Powder / Stackpole 7.750%, due 10/15/21 (a)		225,000		226,125
UPCB Finance VI Ltd. 6.875%, due 01/15/22 (a)		500,000		541,875
Valeant Pharmaceuticals International, Inc. 5.500%, due 03/01/23 (a)		430,000		434,300
VTR Finance BV 6.875%, due 01/15/24 (a)		250,000		261,876

				13,761,127


Total Long-Term Investments (cost $91,319,431)				93,171,651


Short-Term Investment - 5.9%
SSGA Prime Money Market Fund 0.20% (e)(f) (cost $5,921,447)		5,921,447		5,921,447


Total Investments - 98.6% (identified cost $97,240,878)				99,093,098

Other Assets and Liabilities, Net - 1.4%				1,360,560


Net Assets - 100.0%				100,453,658

See accompanying notes which are an integral part of the financial statements.


SSGA High Yield Bond Fund			47

SSGA High Yield Bond Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)

Footnotes:

(a)	Restricted security Rule (144A) or Section 4 (2) commercial paper. Security may have contractual restrictions on resale, may have been offered in a private placement transaction.

(b)	Adjustable or floating rate security. Rate shown reflects rate in effect at period end.

(c)	Perpetual floating rate security. Date shown reflects the next reset date.

(d)	All or a portion of the shares of these securities are held as collateral in connection with swap contracts purchased by the Fund.

(e)	Affiliated Fund managed by SSGA Funds Management, Inc. (Note 4).

(f)	The rate shown is the annualized seven-day yield at period end.

Abbreviations:

MTN - Medium Term Notes

PIK - Pay In Kind

PLC - Public Limited Company

Centrally-Cleared Credit Default Swap Contracts

Credit Indices

Reference Entity

Counterparty

Notional
Amount*

Fund
(Pays)/
Receives
Fixed
Rate

Termination
Date

Market
Value
$

Upfront
Premiums
Paid/
(Received)
$

Unrealized
Appreciation/
(Depreciation)
$

Protection Sold:

Markit CDX North American High Yield Index

Goldman Sachs & Co.

1,000,000

5.00%

12/20/2019

76,013

62,623

13,390

Protection Purchased:

Markit CDX North American High Yield Index

Goldman Sachs & Co

800,000

5.00%

12/20/2019

60,900

46,980

13,920

Total

27,310

The maximum potential amount the Fund may pay should a negative credit event take place as defined under the terms of the agreement.

During the six months ended February 28, 2015, average notional value related to swap contracts was $1,132,490 or 1.1% of net assets.

Presentation of Portfolio Holdings — February 28, 2015 (Unaudited)


	Market Value*								% of Net Assets
Categories	Level 1		Level 2		Level 3		Total		% of Net Assets
Corporate Bonds and Notes	$	—	$	79,410,524	$	—	$	79,410,524	��	79.0
International Debt		—		13,761,127		—		13,761,127		13.7
Short-Term Investment		5,921,447		—		—		5,921,447		5.9

Total Investments	$	5,921,447	$	93,171,651	$	—	$	99,093,098		98.6

Other Assets and Liabilities, Net										1.4

										100.0

For a description of the levels see Note 2 in the Notes to Financial Statements. There were no transfers in and out of Levels 1, 2 and 3 during the period ended February 28, 2015.

See accompanying notes which are an integral part of the financial statements.


48		SSGA High Yield Bond Fund

This page has been intentionally left blank.

SSGA Funds

Statements of Assets and Liabilities — February 28, 2015 (Unaudited)


	SSGA Dynamic Small Cap Fund			SSGA Clarion Real Estate Fund			SSGA Enhanced Small Cap Fund

Assets
Investments, at identified cost	$	27,500,632		$	34,808,916		$	29,641,646
Investments, at market (a)(b)		31,142,557			57,022,313			36,352,621
Cash		5,100			—			2,560
Cash (restricted)		—			—			25,497
Foreign currency holdings (c)		—			—			—
Unrealized appreciation on forward currency contracts		—			—			—
Unrealized appreciation on open swap contracts		—			—			—
Credit default swap contracts premiums paid (d)		—			—			—
Receivables:
Dividends and interest		19,505			23,579			60,089
Dividends from affiliated money market funds		2			3			—
Investments sold		47,310			373,141			—
Fund shares sold		37,669			153,786			26,807
Foreign currency contracts sold		—			—			—
Foreign taxes recoverable		—			—			—
From adviser		57,012			59,708			68,860
Prepaid expenses		110			218			152

Total assets		31,309,265			57,632,748			36,536,586


Liabilities
Payables:
Due to custodian		—			—			—
Cash due to broker		—			—			—
Investments purchased		—			482,472			—
Fund shares redeemed		7,615			61,255			206,261
Foreign currency contracts purchased		—			—			—
Accrued fees to affiliates and trustees		45,338			119,108			78,731
Other accrued expenses		25,212			27,313			24,264
Deferred tax liability		—			—			—
Daily variation margin on futures contracts		610			—			2,482
Unrealized depreciation on forward currency contracts		—			—			—
Payable upon return of securities loaned		6,136,422			2,315,762			—

Total liabilities		6,215,197			3,005,910			311,738


Net Assets	$	25,094,068		$	54,626,838		$	36,224,848


Net Assets Consist of:
Undistributed (overdistributed) net investment income	$	12,925		$	156,028		$	54,174
Accumulated net realized gain (loss)		(16,386,327	)		(6,478,982	)		961,742
Unrealized appreciation (depreciation) on:
Investments (Emerging Markets Fund — net of deferred tax liability for foreign capital gains tax)		3,641,925			22,213,397			6,710,975
Futures contracts		18			—			13,812
Credit default swap contracts		—			—			—
Foreign currency-related transactions		—			—			—
Paid in capital		37,825,527			38,736,395			28,484,145

Net Assets	$	25,094,068		$	54,626,838		$	36,224,848

See accompanying notes which are an integral part of the financial statements.


50		Statements of Assets and Liabilities


SSGA Emerging Markets Fund			SSGA International Stock Selection Fund			SSGA High Yield Bond Fund


$	237,332,824		$	314,332,819		$	97,240,878
	305,468,648			354,475,753			99,093,098
	—			73			—
	31			295,889			—
	393,949			2,157,206			—
	1,282,786			—			—
	—			—			27,310
	—			—			109,603

	945,598			440,334			1,557,456
	1			19			66
	—			9,435,645			136,080
	215,927			122,320			1,854,271
	130,799			5,416,609			—
	7,496			391,552			2,140
	707,894			367,423			27,813
	—			2,011			519

	309,153,129			373,104,834			102,808,356




	808,183			—			—
	—			—			44,511
	—			4,981,075			2,080,975
	357,568			681,381			72,922
	132,101			5,403,936			—
	1,109,744			594,198			123,038
	271,780			93,747			33,252
	475,193			—			—
	—			21,254			—
	1,540,420			—			—
	7,474,803			6,820,289			—

	12,169,792			18,595,880			2,354,698


$	296,983,337		$	354,508,954		$	100,453,658



$	(4,274,368	)	$	(1,318,428	)	$	126,123
	88,128,077			(568,152,181	)		(1,533,066	)

	67,672,994			40,142,934			1,852,220
	—			(21,254	)		—
	—			—			27,310
	(304,520	)		(61,901	)		—
	145,761,154			883,919,784			99,981,071

$	296,983,337		$	354,508,954		$	100,453,658

See accompanying notes which are an integral part of the financial statements.


Statements of Assets and Liabilities			51

SSGA Funds

Statements of Assets and Liabilities — February 28, 2015 (Unaudited)


	SSGA Dynamic Small Cap Fund			SSGA Clarion Real Estate Fund			SSGA Enhanced Small Cap Fund

Net Asset Value:
Net asset value per share: Class N	$	38.60		$	17.13		$	15.61
Net assets	$	24,529,394		$	53,828,703		$	35,844,759
Shares outstanding ($0.001 par value)		635,480			3,141,787			2,296,140
Net asset value and redemption price per share: Class A	$	38.58		$	17.13		$	15.60
Net assets	$	10,322		$	113,352		$	186,927
Shares outstanding ($0.001 par value)		268			6,618			11,979
Maximum Sales Charge		5.25	%		5.25	%		5.25	%
Maximum offering price per share	$	40.64		$	18.08		$	16.46
Net asset value, offering and redemption price per share: Class C	$	38.52		$	17.08		$	15.58
Net assets	$	10,305		$	130,514		$	90,407
Shares outstanding ($0.001 par value)		268			7,640			5,804
Net asset value, offering and redemption price per share: Class I	$	38.58		$	17.13		$	15.61
Net assets	$	533,716		$	440,801		$	93,690
Shares outstanding ($0.001 par value)		13,835			25,727			6,002
Net asset value, offering and redemption price per share: Class K	$	38.62		$	17.15		$	15.62
Net assets	$	10,331		$	113,468		$	9,065
Shares outstanding ($0.001 par value)		268			6,618			580
Net asset value, offering and redemption price per share: Select Class	$	—		$	—		$	—
Net assets	$	—		$	—		$	—
Shares outstanding ($0.001 par value)		—			—			—

(a) Securities on loan included in investments	$	5,966,084		$	4,113,475		$	—

(b) Investments in affiliated issuers, SSGA Prime Money Market Fund and State Street Navigator Securities Lending Prime Portfolio	$	6,519,096		$	2,532,737		$	—

(c) Foreign currency holdings — cost	$	—		$	—		$	—

(d) Credit default swap contracts — premiums received (paid)	$	—		$	—		$	—

See accompanying notes which are an integral part of the financial statements.


52		Statements of Assets and Liabilities


SSGA Emerging Markets Fund			SSGA International Stock Selection Fund			SSGA High Yield Bond Fund


$	10.92		$	11.18		$	7.89
$	279,744,463		$	354,040,344		$	99,885,408
	25,626,747			31,680,553			12,653,804
$	10.93		$	11.17		$	7.90
$	5,842		$	9,681		$	9,388
	535			867			1,189
	5.25	%		5.25	%		3.75	%
$	11.54		$	11.79		$	8.21
$	10.91		$	11.16		$	7.89
$	58,353		$	96,667		$	93,798
	5,353			8,665			11,891
$	10.90		$	11.17		$	7.90
$	1,136,929		$	352,573		$	455,670
	104,296			31,566			57,701
$	10.90		$	11.18		$	7.90
$	5,842		$	9,689		$	9,394
	535			867			1,189
$	10.91		$	—		$	—
$	16,031,908		$	—		$	—
	1,466,345			—			—

$	8,080,729		$	6,474,287		$	—

$	7,474,903		$	8,157,811		$	5,921,447

$	432,993		$	2,182,510		$	—

$	—		$	—		$	(109,603	)

See accompanying notes which are an integral part of the financial statements.


Statements of Assets and Liabilities			53

SSGA Funds

Statements of Operations — For the Period Ended February 28, 2015 (Unaudited)


	SSGA Dynamic Small Cap Fund			SSGA Clarion Real Estate Fund			SSGA Enhanced Small Cap Fund

Investment Income
Dividends (net of foreign taxes withheld of $0, $0, $176, $452,955, $232,788, $0, respectively)	$	235,506		$	918,341		$	334,477
Dividends from affiliated money market funds		18			25			56
Interest		—			—			—
Securities lending income		19,409			3,399			—

Total investment income		254,933			921,765			334,533


Expenses
Advisory fees		90,431			168,748			71,175
Administration fees		1,693			3,644			2,219
Custodian fees		17,166			13,550			26,422
Distribution fees — Class N		26,840			57,830			35,261
Distribution fees — Class A		12			134			119
Distribution fees — Class C		49			537			463
Transfer agent fees		31,354			36,561			28,178
Professional fees		19,204			21,129			19,551
Registration fees		32,282			31,431			33,897
Shareholder servicing fees — Class N		2,982			6,426			3,918
Shareholder servicing fees — Class A		10			107			95
Shareholder servicing fees — Class C		10			107			93
Shareholder servicing fees — Class I		227			196			93
Shareholder servicing fees — Select Class		—			—			—
Trustees’ fees		7,439			7,439			7,439
Insurance fees		150			299			226
Printing fees		1,796			6,376			2,433
Miscellaneous		6,695			5,277			5,163

Expenses before reductions		238,340			359,791			236,745
Expense reductions		(105,613	)		(99,509	)		(117,476	)

Net expenses		132,727			260,282			119,269

Net investment income		122,206			661,483			215,264


Net Realized and Unrealized Gain (Loss)
Net realized gain on:
Investments (Emerging Markets Fund — net of deferred tax liability for foreign capital gains taxes)		157,267			2,300,864			1,510,092
Futures contracts		21,891			—			22,703
Credit default swap contracts		—			—			—
Foreign currency-related transactions		—			—			—

Net realized gain (loss)		179,158			2,300,864			1,532,795

Net change in unrealized appreciation on:
Investments (Emerging Markets Fund — net of deferred tax liability for foreign capital gains taxes)		726,580			2,460,477			646,596
Futures contracts		18			—			(8,400	)
Foreign currency-related transactions		—			—			—
Credit default swap contracts		—			—			—

Net change in unrealized appreciation (depreciation)		726,598			2,460,477			638,196


Net realized and unrealized gain (loss)		905,756			4,761,341			2,170,991

Net Increase (Decrease) in Net Assets from Operations	$	1,027,962		$	5,422,824		$	2,386,255

See accompanying notes which are an integral part of the financial statements.


54		Statements of Operations


SSGA Emerging Markets Fund			SSGA International Stock Selection Fund			SSGA High Yield Bond Fund


$	3,905,637		$	2,915,697		$	—
	186			77			278
	24,628			72			2,706,949
	32,965			34,644			—

	3,963,416			2,950,490			2,707,227



	1,651,541			1,325,100			128,553
	30,847			24,785			6,012
	649,227			106,616			23,673
	406,219			397,191			95,809
	10			11			12
	399			460			470
	207,104			130,074			31,313
	44,891			41,693			29,218
	132,830			25,837			30,593
	45,136			44,132			10,645
	8			9			9
	80			92			94
	689			191			425
	9,818			—			—
	8,614			7,439			7,439
	6,940			2,757			711
	146,628			32,591			4,626
	34,227			37,490			5,686

	3,375,208			2,176,468			375,288
	(688,455	)		(406,758	)		(53,174	)

	2,686,753			1,769,710			322,114

	1,276,663			1,180,780			2,385,113




	51,886,624			10,594,230			(1,506,756	)
	(657,079	)		(193,373	)		—
	—			—			3,694
	(2,234,509	)		(315,259	)		—

	48,995,036			10,085,598			(1,503,062	)


	(113,092,237	)		(11,154,839	)		(1,608,355	)
	(55,157	)		(21,254	)		—
	(150,350	)		(15,570	)		—
	—			—			27,310

	(113,297,744	)		(11,191,663	)		(1,581,045	)


	(64,302,708	)		(1,106,065	)		(3,084,107	)

$	(63,026,045	)	$	74,715		$	(698,994	)

See accompanying notes which are an integral part of the financial statements.


Statements of Operations			55

SSGA Funds

Statements of Changes in Net Assets


	SSGA Dynamic Small Cap Fund						SSGA Clarion Real Estate Fund
	Six Months Ended February 28, 2015 (Unaudited)			Year Ended August 31, 2014			Six Months Ended February 28, 2015 (Unaudited)			Year Ended August 31, 2014

Increase (Decrease) in Net Assets

Operations
Net investment income	$	122,206		$	101,795		$	661,483		$	717,192
Net realized gain (loss)		179,158			2,875,886			2,300,864			2,046,472
Net change in unrealized appreciation (depreciation)		726,598			580,430			2,460,477			7,183,197

Net increase (decrease) in net assets from operations		1,027,962			3,558,111			5,422,824			9,946,861

Voluntary contribution from Adviser		—			—			—			—


Distributions
From net investment income
Class N		(128,641	)		(155,550	)		(574,166	)		(711,125	)
Class A		(45	)		—			(1,126	)		(5	)
Class C		(13	)		—			(895	)		—
Class I		(2,289	)		—			(1,501	)		(21	)
Class K		(64	)		—			(1,294	)		(34	)
Select Class		—			—			—			—
From net realized gains
Class N		—			—			—			—
Class A		—			—			—			—
Class C		—			—			—			—
Class I		—			—			—			—
Class K		—			—			—			—
Select Class		—			—			—			—

Net decrease in net assets from distributions		(131,052	)		(155,550	)		(578,982	)		(711,185	)


Share Transactions
Net increase (decrease) in net assets from share transactions		21,074			(2,735,410	)		(3,146,526	)		3,738,241

Total Net Increase (Decrease) in Net Assets		917,984			667,151			1,697,316			12,973,917

Net Assets
Beginning of period		24,176,084			23,508,933			52,929,522			39,955,605


End of period	$	25,094,068		$	24,176,084		$	54,626,838		$	52,929,522


Undistributed (overdistributed) net investment income included in net assets	$	12,925		$	21,771		$	156,028		$	73,527

See accompanying notes which are an integral part of the financial statements.


56		Statements of Changes in Net Assets


SSGA Enhanced Small Cap Fund						SSGA Emerging Markets Fund						SSGA International Stock Selection Fund
Six Months Ended February 28, 2015 (Unaudited)			Year Ended August 31, 2014			Six Months Ended February 28, 2015 (Unaudited)			Year Ended August 31, 2014			Six Months Ended February 28, 2015 (Unaudited)			Year Ended August 31, 2014




$	215,264		$	252,192		$	1,276,663		$	13,832,401		$	1,180,780		$	9,674,540
	1,532,795			5,762,262			48,995,036			200,687,930			10,085,598			60,733,635
	638,196			(64,567	)		(113,297,744	)		(87,047,608	)		(11,191,663	)		(5,193,864	)

	2,386,255			5,949,887			(63,026,045	)		127,472,723			74,715			65,214,311

	—			—			82			252,840			—			—




	(191,265	)		(585,136	)		(8,016,673	)		(19,817,580	)		(3,460,820	)		(16,373,374	)
	(534	)		—			(205	)		—			(83	)		—
	(209	)		—			(1,721	)		—			(510	)		—
	(642	)		—			(34,513	)		—			(3,618	)		—
	(73	)		—			(224	)		—			(102	)		—
	—			—			(2,238,256	)		(6,564,308	)		—			—

	(4,535,662	)		—			(118,716,710	)		(76,697,086	)		—			—
	(14,630	)		—			(3,125	)		—			—			—
	(14,630	)		—			(31,251	)		—			—			—
	(14,630	)		—			(484,547	)		—			—			—
	(1,463	)		—			(3,125	)		—			—			—
	—			—			(31,416,313	)		(21,345,545	)		—			—

	(4,773,738	)		(585,136	)		(160,946,663	)		(124,424,519	)		(3,465,133	)		(16,373,374	)



	6,598,156			(2,671,602	)		(138,912,316	)		(478,667,991	)		(27,884,876	)		(31,147,624	)

	4,210,673			2,693,149			(362,884,942	)		(475,366,947	)		(31,275,294	)		17,693,313


	32,014,175			29,321,026			659,868,279			1,135,235,226			385,784,248			368,090,935


$	36,224,848		$	32,014,175		$	296,983,337		$	659,868,279		$	354,508,954		$	385,784,248


$	54,174		$	31,633		$	(4,274,368	)	$	4,740,561		$	(1,318,428	)	$	965,925

See accompanying notes which are an integral part of the financial statements.


Statements of Changes in Net Assets			57

SSGA Funds

Statements of Changes in Net Assets


	SSGA High Yield Bond Fund
	Six Months Ended February 28, 2015 (Unaudited)			Year Ended August 31, 2014

Increase (Decrease) in Net Assets

Operations
Net investment income	$	2,385,113		$	5,619,460
Net realized gain (loss)		(1,503,062	)		1,552,254
Net change in unrealized appreciation (depreciation)		(1,581,045	)		2,599,509

Net increase (decrease) in net assets from operations		(698,994	)		9,771,223

Voluntary contribution from Adviser		—			—


Distributions
From net investment income
Class N		(2,654,475	)		(5,650,162	)
Class A		(288	)		(54	)
Class C		(2,539	)		(491	)
Class I		(14,467	)		(55	)
Class K		(308	)		(57	)
Select Class		—			—
From net realized gains
Class N		(1,546,100	)		(4,914,908	)
Class A		(184	)		—
Class C		(1,840	)		—
Class I		(16,499	)		—
Class K		(184	)		—
Select Class		—			—

Net decrease in net assets from distributions		(4,236,884	)		(10,565,727	)


Share Transactions
Net increase (decrease) in net assets from share transactions		16,362,767			564,564

Total Net Increase (Decrease) in Net Assets		11,426,889			(229,940	)

Net Assets
Beginning of period		89,026,769			89,256,709


End of period	$	100,453,658		$	89,026,769


Undistributed (overdistributed) net investment income included in net assets	$	126,123		$	413,087

See accompanying notes which are an integral part of the financial statements.


58		Statements of Changes in Net Assets

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SSGA Funds

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each period is presented below.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(b)			$ Net Realized and Unrealized Gain (Loss)			$ Total from Investment Operations			$ Voluntary Contribution from Adviser		$ Distributions from Net Investment Income			$ Total Distributions
SSGA Dynamic Small Cap Fund
Class N
February 28, 2015*		37.33		0.19			1.28			1.47			—		(0.20	)		(0.20	)
August 31, 2014		31.76		0.17			5.67			5.84			—		(0.27	)		(0.27	)
August 31, 2013		24.28		0.17			7.56			7.73			0.01		(0.26	)		(0.26	)
August 31, 2012		20.89		0.25			3.14			3.39			—		—			—
August 31, 2011		15.80		(0.05	)		5.14			5.09			—		—			—
August 31, 2010		15.31		(0.02	)		0.51			0.49			—		—			—
Class A
February 28, 2015*		37.32		0.15			1.28			1.43			—		(0.17	)		(0.17	)
August 31, 2014**		37.38		(0.01	)		(0.05	)		(0.06	)		—		—			—
Class C
February 28, 2015*		37.28		0.01			1.28			1.29			—		(0.05	)		(0.05	)
August 31, 2014**		37.38		(0.05	)		(0.05	)		(0.10	)		—		—			—
Class I
February 28, 2015*		37.33		0.19			1.29			1.48			—		(0.23	)		(0.23	)
August 31, 2014**		37.38		—	(f)		(0.05	)		(0.05	)		—		—			—
Class K
February 28, 2015*		37.34		0.23			1.29			1.52			—		(0.24	)		(0.24	)
August 31, 2014**		37.38		0.01			(0.05	)		(0.04	)		—		—			—
SSGA Clarion Real Estate Fund
Class N
February 28, 2015*		15.54		0.21			1.56			1.77			—		(0.18	)		(0.18	)
August 31, 2014		12.63		0.23			2.91			3.14			—		(0.23	)		(0.23	)
August 31, 2013		13.11		0.21			(0.46	)		(0.25	)		—		(0.23	)		(0.23	)
August 31, 2012		11.07		0.21			2.00			2.21			—		(0.17	)		(0.17	)
August 31, 2011		9.49		0.14			1.60			1.74			—		(0.16	)		(0.16	)
August 31, 2010		7.48		0.21			2.06			2.27			—		(0.26	)		(0.26	)
Class A
February 28, 2015*		15.54		0.19			1.57			1.76			—		(0.17	)		(0.17	)
August 31, 2014**		15.11		(0.11	)		0.54			0.43			—		—	(f)		—	(f)
Class C
February 28, 2015*		15.53		0.13			1.56			1.69			—		(0.14	)		(0.14	)
August 31, 2014**		15.11		(0.12	)		0.54			0.42			—		—			—
Class I
February 28, 2015*		15.55		0.17			1.59			1.76			—		(0.18	)		(0.18	)
August 31, 2014**		15.11		(0.10	)		0.54			0.44			—		—	(f)		—	(f)
Class K
February 28, 2015*		15.55		0.23			1.57			1.80			—		(0.20	)		(0.20	)
August 31, 2014**		15.11		(0.10	)		0.55			0.45			—		(0.01	)		(0.01	)

For the six months ended February 28, 2015 (Unaudited)

For the period July 7, 2014 (commencement of operations) to August 31, 2014.

(a)

Average daily shares outstanding were used for this calculation.

(b)

May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements.

(c)

Periods less than one year are not annualized.

(d)

The ratios for periods less than one year are annualized.

(e)

If the Adviser had not made a one-time voluntary contribution during the period ended August 31, 2013, the total return would have been 31.70%.

(f)

Less than $0.005 per share.

See accompanying notes which are an integral part of the financial statements.


60		Financial Highlights


$ Net Asset Value, End of Period		% Total Return(c)			$ Net Assets, End of Period (000)			% Ratio of Expenses to Average Net Assets, Net(b)(d)		% Ratio of Expenses to Average Net Assets, Gross(d)		% Ratio of Net Investment Income to Average Net Assets(b)(d)			% Portfolio Turnover Rate(c)


	38.60		3.94			24,529			1.10		1.97		1.01			47
	37.33		18.42			24,136			1.20		1.82		0.46			189
	31.76		32.20	(e)		23,509			1.25		2.28		0.61			147
	24.28		16.23			10,007			1.25		3.51		1.10			160
	20.89		32.22			9,115			1.25		3.38		(0.24	)		179
	15.80		3.20			8,562			1.53		3.36		(0.10	)		240

	38.58		3.84			10			1.30		2.16		0.80			47
	37.32		(0.16	)		10			1.20		3.04		(0.17	)		189

	38.52		3.49			10			2.05		2.91		0.06			47
	37.28		(0.29	)		10			1.93		3.77		(0.91	)		189

	38.58		3.96			534			1.04		2.19		1.05			47
	37.33		(0.13	)		10			0.95		2.79		0.08			189

	38.62		4.09			10			0.85		1.77		1.26			47
	37.34		(0.11	)		10			0.76		2.62		0.26			189


	17.13		11.48			53,829			1.00		1.38		2.55			17
	15.54		25.11			52,518			1.00		1.36		1.62			32
	12.63		(1.94	)		39,956			1.00		1.43		1.60			58
	13.11		20.22			62,155			1.00		1.32		1.76			21
	11.07		18.41			58,135			1.00		1.26		1.29			12
	9.49		30.77			59,738	��		1.00		1.31		2.46			36

	17.13		11.41			113			1.20		1.59		2.34			17
	15.54		2.85			103			1.18		1.53		(4.51	)		32

	17.08		10.91			131			1.95		2.35		1.58			17
	15.53		2.78			103			1.91		2.27		(5.25	)		32

	17.13		11.43			441			0.95		1.44		2.06			17
	15.55		2.93			103			0.93		1.29		(4.27	)		32

	17.15		11.64			113			0.75		1.13		2.79			17
	15.55		2.95			103			0.74		1.08		(4.07	)		32

See accompanying notes which are an integral part of the financial statements.


Financial Highlights			61

SSGA Funds

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each period is presented below.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(b)			$ Net Realized and Unrealized Gain (Loss)			$ Total from Investment Operations			$ Voluntary Contribution from Adviser		$ Distributions from Net Investment Income			$ Distributions from Net Realized Gain
SSGA Enhanced Small Cap Fund
Class N
February 28, 2015*		17.12		0.11			1.01			1.12			—		(0.11	)		(2.52	)
August 31, 2014		14.44		0.13			2.84			2.97			—		(0.29	)		—
August 31, 2013		11.54		0.18			2.84			3.02			—		(0.12	)		—
August 31, 2012		10.14		0.11			1.37			1.48			—		(0.08	)		—
August 31, 2011		7.95		0.07			2.17			2.24			—		(0.05	)		—
August 31, 2010		7.42		0.05			0.54			0.59			—		(0.06	)		—
Class A
February 28, 2015*		17.11		0.11			0.99			1.10			—		(0.09	)		(2.52	)
August 31, 2014**		17.23		(0.02	)		(0.10	)		(0.12	)		—		—			—
Class C
February 28, 2015*		17.10		0.03			1.01			1.04			—		(0.04	)		(2.52	)
August 31, 2014**		17.23		(0.04	)		(0.09	)		(0.13	)		—		—			—
Class I
February 28, 2015*		17.12		0.11			1.01			1.12			—		(0.11	)		(2.52	)
August 31, 2014**		17.23		(0.01	)		(0.10	)		(0.11	)		—		—			—
Class K
February 28, 2015*		17.13		0.13			1.01			1.14			—		(0.13	)		(2.52	)
August 31, 2014**		17.23		(0.01	)		(0.09	)		(0.10	)		—		—			—
SSGA Emerging Markets Fund
Class N
February 28, 2015*		19.22		0.04			(2.11	)		(2.07	)		—		(0.39	)		(5.84	)
August 31, 2014		18.47		0.26			2.53			2.79			0.01		(0.44	)		(1.61	)
August 31, 2013		18.71		0.37			(0.28	)		0.09			—		(0.33	)		—
August 31, 2012		20.81		0.34			(2.14	)		(1.80	)		—		(0.30	)		—
August 31, 2011		19.20		0.29			1.70			1.99			—		(0.38	)		—
August 31, 2010		16.61		0.17			2.81			2.98			—		(0.39	)		—
Class A
February 28, 2015*		19.22		0.02			(2.09	)		(2.07	)		—		(0.38	)		(5.84	)
August 31, 2014**		18.68		0.07			0.47			0.54			0.01		—			—
Class C
February 28, 2015*		19.20		(0.03	)		(2.10	)		(2.13	)		—		(0.32	)		(5.84	)
August 31, 2014**		18.68		0.04			0.48			0.52			0.01		—			—
Class I
February 28, 2015*		19.23		0.04			(2.11	)		(2.07	)		—		(0.42	)		(5.84	)
August 31, 2014**		18.68		0.07			0.48			0.55			0.01		—			—
Class K
February 28, 2015*		19.23		0.05			(2.12	)		(2.07	)		—		(0.42	)		(5.84	)
August 31, 2014**		18.68		0.08			0.47			0.55			0.01		—			—
Select Class
February 28, 2015*		19.24		0.06			(2.13	)		(2.07	)		—		(0.42	)		(5.84	)
August 31, 2014		18.53		0.31			2.52			2.83			0.01		(0.52	)		(1.61	)
August 31, 2013		18.79		0.38			(0.23	)		0.15			—		(0.41	)		—
August 31, 2012		20.90		0.36			(2.13	)		(1.77	)		—		(0.34	)		—
August 31, 2011		19.28		0.31			1.73			2.04			—		(0.42	)		—
August 31, 2010		16.67		0.21			2.82			3.03			—		(0.42	)		—

For the six months ended February 28, 2015 (Unaudited)

For the period July 7, 2014 (commencement of operations) to August 31, 2014.

(a)

Average daily shares outstanding were used for this calculation.

(b)

May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements.

(c)

Periods less than one year are not annualized.

(d)

The ratios for periods less than one year are annualized.

(e)

If the Adviser had not made a contribution during the period ended August 31, 2014, the total return would have been 15.62% for Class N, 15.94% for Select Class, 2.84% for Class A, 2.73% for Class C, 2.89% for Class I, and 2.89% for Class K of SSGA Emerging Markets Fund.

(f)

If the Adviser had not made a contribution during the period ended August 31, 2013, the total return would have been 0.41% and 0.66% for the Class N shares and Select Class of SSGA Emerging Markets Fund, respectively.

See accompanying notes which are an integral part of the financial statements.


62		Financial Highlights


$ Total Distributions			$ Net Asset Value, End of Period		% Total Return(c)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Net(b)(d)		% Ratio of Expenses to Average Net Assets, Gross(d)		% Ratio of Net Investment Income to Average Net Assets(b)(d)			% Portfolio Turnover Rate(c)


	(2.63	)		15.61		7.23			35,845		0.75		1.49		1.36			31
	(0.29	)		17.12		20.71			31,706		0.75		1.28		0.78			71
	(0.12	)		14.44		26.45			29,321		0.75		1.36		1.35			57
	(0.08	)		11.54		14.76			27,134		0.75		1.58		1.06			64
	(0.05	)		10.14		28.19			27,311		0.75		1.44		0.69			57
	(0.06	)		7.95		8.01			26,130		0.75		1.58		0.62			77

	(2.61	)		15.60		7.14			187		0.95		1.82		1.35			31
	—			17.11		(0.70	)		99		0.93		1.98		(0.77	)		71

	(2.56	)		15.58		6.72			90		1.70		2.42		0.37			31
	—			17.10		(0.75	)		99		1.67		2.72		(1.51	)		71

	(2.63	)		15.61		7.26			94		0.70		1.42		1.37			31
	—			17.12		(0.64	)		99		0.69		1.73		(0.52	)		71

	(2.65	)		15.62		7.36			9		0.51		1.26		1.56			31
	—			17.13		(0.58	)		10		0.49		1.50		(0.32	)		71


	(6.23	)		10.92		(9.29	)		279,744		1.26		1.598		0.55			37
	(2.05	)		19.22		15.68	(e)		495,509		1.20		1.24		1.44			89
	(0.33	)		18.47		0.45	(f)		938,195		1.25		1.26		1.86			56
	(0.30	)		18.71		(8.63	)		1,273,588		1.25		1.28		1.80			74
	(0.38	)		20.81		10.25			1,451,810		1.25		1.26		1.29			50
	(0.39	)		19.20		17.98			1,328,720		1.24		1.24		0.87			63

	(6.22	)		10.93		(9.44	)		6		1.46		1.73		0.29			37
	—			19.22		2.89	(e)		10		1.36		1.77		2.27			89

	(6.16	)		10.91		(9.76	)		58		2.21		2.53		(0.47	)		37
	—			19.20		2.78	(e)		103		2.11		2.52		1.51			89

	(6.26	)		10.90		(9.32	)		1,137		1.22		1.68		0.60			37
	—			19.23		2.94	(e)		10		1.12		1.52		2.52			89

	(6.26	)		10.90		(9.25	)		6		1.02		1.37		0.72			37
	—			19.23		2.94	(e)		10		0.97		1.42		2.65			89

	(6.26	)		10.91		(9.18	)		16,032		1.02		1.29		0.70			37
	(2.13	)		19.24		15.95	(e)		164,226		0.98		1.03		1.68			89
	(0.41	)		18.53		0.69	(f)		197,040		1.03		1.04		1.92			56
	(0.34	)		18.79		(8.42	)		436,595		1.02		1.05		1.90			74
	(0.42	)		20.90		10.48			715,328		1.02		1.04		1.40			50
	(0.42	)		19.28		18.24			954,350		1.01		1.02		1.09			63

See accompanying notes which are an integral part of the financial statements.


Financial Highlights			63

SSGA Funds

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each period is presented below.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(b)			$ Net Realized and Unrealized Gain (Loss)			$ Total from Investment Operations			$ Distributions from Net Investment Income			$ Distributions from Net Realized Gain			$ Total Distributions
SSGA International Stock Selection Fund
Class N
February 28, 2015*		11.24		0.04			—			0.04			(0.10	)		—			(0.10	)
August 31, 2014		9.90		0.27			1.53			1.80			(0.46	)		—			(0.46	)
August 31, 2013		8.61		0.23			1.40			1.63			(0.34	)		—			(0.34	)
August 31, 2012		9.24		0.23			(0.53	)		(0.30	)		(0.33	)		—			(0.33	)
August 31, 2011		8.81		0.23			0.46			0.69			(0.26	)		—			(0.26	)
August 31, 2010		9.24		0.18			(0.33	)		(0.15	)		(0.28	)		—			(0.28	)
Class A
February 28, 2015*		11.23		0.03			0.01			0.04			(0.10	)		—			(0.10	)
August 31, 2014**		11.54		0.03			(0.34	)		(0.31	)		—			—			—
Class C
February 28, 2015*		11.22		(0.02	)		0.02						(0.06	)		—			(0.06	)
August 31, 2014**		11.54		0.02			(0.34	)		(0.32	)		—			—			—
Class I
February 28, 2015*		11.24		0.02			0.03			0.05			(0.12	)		—			(0.12	)
August 31, 2014**		11.54		0.03			(0.33	)		(0.30	)		—			—			—
Class K
February 28, 2015*		11.24		0.05			0.01			0.06			(0.12	)		—			(0.12	)
August 31, 2014**		11.54		0.04			(0.34	)		(0.30	)		—			—			—
SSGA High Yield Bond Fund
Class N
February 28, 2015*		8.36		0.22			(0.29	)		(0.07	)		(0.25	)		(0.15	)		(0.40	)
August 31, 2014		8.40		0.47			0.36			0.83			(0.47	)		(0.40	)		(0.87	)
August 31, 2013		8.36		0.49			0.08			0.57			(0.51	)		(0.02	)		(0.53	)
August 31, 2012		7.90		0.52			0.48			1.00			(0.54	)		—			(0.54	)
August 31, 2011		7.84		0.58			0.06			0.64			(0.58	)		—			(0.58	)
August 31, 2010		7.12		0.73			0.74			1.47			(0.75	)		—			(0.75	)
Class A
February 28, 2015*		8.36		0.21			(0.28	)		(0.07	)		(0.24	)		(0.15	)		(0.39	)
August 31, 2014**		8.41		0.07			(0.07	)					(0.05	)		—			(0.05	)
Class C
February 28, 2015*		8.36		0.18			(0.29	)		(0.11	)		(0.21	)		(0.15	)		(0.36	)
August 31, 2014**		8.41		0.06			(0.07	)		(0.01	)		(0.04	)		—			(0.04	)
Class I
February 28, 2015*		8.36		0.22			(0.28	)		(0.06	)		(0.25	)		(0.15	)		(0.40	)
August 31, 2014**		8.41		0.07			(0.07	)					(0.05	)		—			(0.05	)
Class K
February 28, 2015*		8.36		0.23			(0.28	)		(0.05	)		(0.26	)		(0.15	)		(0.41	)
August 31, 2014**		8.41		0.07			(0.07	)					(0.05	)		—			(0.05	)

For the six months ended February 28, 2015 (Unaudited)

For the period July 7, 2014 (commencement of operations) to August 31, 2014.

(a)

Average daily shares outstanding were used for this calculation.

(b)

May reflect amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements.

(c)

Periods less than one year are not annualized.

(d)

The ratios for periods less than one year are annualized.

(e)

If the Adviser had not made a contribution during the period ended August 31, 2013, the total return would have remained 19.45% for Class N of SSGA International Stock Selection Fund.

See accompanying notes which are an integral part of the financial statements.


64		Financial Highlights


$ Net Asset Value, End of Period		% Total Return(c)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Net(b)(d)		% Ratio of Expenses to Average Net Assets, Gross(d)		% Ratio of Net Investment Income to Average Net Assets(b)(d)			% Portfolio Turnover Rate(c)


	11.18		0.37			354,040		1.00		1.23		0.67			25
	11.24		18.31			385,784		1.02		1.19		2.46			74
	9.90		19.45	(e)		368,091		1.00		1.19		2.41			54
	8.61		(3.16	)		387,120		1.00		1.21		2.65			90
	9.24		7.61			766,126		1.00		1.19		2.27			77
	8.81		(1.85	)		1,055,967		1.00		1.17		1.95			83

	11.17		0.37			10		1.19		1.39		0.47			25
	11.23		(2.69	)		10		1.17		1.50		1.65			74

	11.16		(0.07	)		97		1.95		2.18		(0.29	)		25
	11.22		(2.77	)		97		1.91		2.25		0.91			74

	11.17		0.47			353		0.95		1.20		0.37			25
	11.24		(2.60	)		10		0.92		1.24		1.90			74

	11.18		0.58			10		0.75		1.04		0.92			25
	11.24		(2.60	)		10		0.73		1.11		2.09			74


	7.89		(0.67	)		99,885		0.75		0.88		5.57			54
	8.36		10.49			89,027		0.73		0.78		5.61			79
	8.40		6.85			89,257		0.75		0.79		5.70			112
	8.36		13.17			113,999		0.75		0.88		6.30			196
	7.90		8.16			78,626		0.75		0.83		7.02			294
	7.84		21.46			51,398		0.75		1.01		9.43			294

	7.90		(0.76	)		9		0.94		1.05		5.38			54
	8.36		(0.05	)		10		0.93		1.19		5.18			79

	7.89		(1.11	)		94		1.70		1.82		4.62			54
	8.36		(0.09	)		99		1.67		1.95		4.45			79

	7.90		(0.52	)		456		0.70		0.83		5.58			54
	8.36		(0.03	)		10		0.68		0.94		5.43			79

	7.90		(0.43	)		9		0.50		0.65		5.83			54
	8.36		(0.02	)		10		0.50		0.81		5.63			79

See accompanying notes which are an integral part of the financial statements.


Financial Highlights			65

SSGA Funds

Notes to Financial Statements — February 28, 2015 (Unaudited)

Organization

The SSGA Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on October 3, 1987 and operates under a Second Amended and Restated Master Trust Agreement, dated May 15, 2012 (the “Agreement”).

The Trust consists of eleven (11) series and corresponding classes, each of which have the same rights and privileges, including the same voting rights. Each series is authorized to issue an unlimited number of full and fractional shares of beneficial interest at a $.001 par value. The financial statements herein relate to the following series (each a “Fund” and, collectively, the “Funds”):


Fund	Classes	Commencement of Operations:
SSGA Dynamic Small Cap Fund	Class N Class A Class C Class I Class K	July 1, 1992 July 7, 2014 July 7, 2014 July 7, 2014 July 7, 2014
SSGA Clarion Real Estate Fund	Class N Class A Class C Class I Class K	April 29, 1998 July 7, 2014 July 7, 2014 July 7, 2014 July 7, 2014
SSGA Enhanced Small Cap Fund	Class N Class A Class C Class I Class K	March 22, 2005 July 7, 2014 July 7, 2014 July 7, 2014 July 7, 2014
SSGA Emerging Markets Fund	Class N Select Class¹ Class A Class C Class I Class K	March 1, 1994 November 28, 2005 July 7, 2014 July 7, 2014 July 7, 2014 July 7, 2014
SSGA International Stock Selection Fund	Class N Class A Class C Class I Class K	March 7, 1995 July 7, 2014 July 7, 2014 July 7, 2014 July 7, 2014
SSGA High Yield Bond Fund	Class N Class A Class C Class I Class K	May 4, 1998 July 7, 2014 July 7, 2014 July 7, 2014 July 7, 2014

Select Class shares of the SSGA Emerging Markets Fund may not be purchased by individuals directly, but must be purchased through a third party financial institution which is permitted by contract with the Investment Company or State Street Global Markets LLC to offer shares (“Select Intermediaries”). Select Intermediaries are advisors, securities brokers, banks and financial institutions or other industry professionals or organizations that have entered into a shareholder servicing agreement with the State Street Global Markets LLC with respect to investments of its accounts in the Select Class.

The other five (5) series are included in separate Semiannual Reports.

On January 23, 2015, the IAM SHARES Fund was liquidated and closed.


66		Notes to Financial Statements

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

The fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services –Investment Companies.

Significant Accounting Policies

The Funds’ financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those estimates. The following is a summary of the significant accounting policies consistently followed by each Fund in the preparation of its financial statements.

Security Valuation

Investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed income securities and options are valued on the basis of the closing bid price. Equity-linked securities are valued at settlement price of the underlying security. Futures contracts are valued at the quoted settlement price at the end of each day on the exchange upon which they are traded. Money market instruments maturing within 60 days of the valuation date are valued initially at cost and thereafter assume a constant amortization to maturity of any discount or premium. Securities for which market quotations are not readily available may be valued at “fair value,” as determined in good faith pursuant to procedures established by the Board of Trustees (the “Board”). The Board has adopted procedures concerning securities valuation, under which an Oversight Committee makes determinations as to whether market quotations are not readily available or do not otherwise accurately reflect the fair value of the security. The Oversight Committee, or a subgroup thereof, subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security.

The Funds have adopted provisions surrounding fair value measurements and disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the Funds would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Funds’ investments.

The three tier hierarchy of inputs is summarized below:

•

Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

•

Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are nonactive, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

•

Level 3 — Significant unobservable inputs based on the best information available in the circumstances, to the extent observable inputs are not available, which may include assumptions made by the Board or persons acting at their direction that are used in determining the fair market value of investments.

Events or circumstances affecting the values of Fund securities that occur between the closing of the principal markets on which they trade and the time the NAV of Fund shares is determined may be reflected in the Trust’s calculation of NAVs for each applicable Fund when the Trust deems that the particular event or circumstance would materially affect such Fund’s NAV. Funds that invest primarily in frequently traded exchange-listed securities will use fair value pricing in limited circumstances since reliable market quotations will often be readily available. If market quotations are not readily available for a security or if subsequent events suggest that a market quotation is not reliable, the Funds will use the security’s fair value, as


Notes to Financial Statements			67

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

determined in accordance with Fair Value Procedures adopted by the Board. Funds that invest in foreign securities are likely to use fair value pricing more often since significant events may occur between the close of foreign markets and the time of pricing which would trigger fair value pricing of the foreign securities. Although there are observable inputs assigned on a security level, prices are derived from factors using proprietary models or matrix pricing. For this reason, significant events will cause movement between Levels 1 and 2. Funds that invest in low-rated debt securities are also likely to use fair value pricing more often since the markets in which such securities are traded are generally thinner, more limited and less active than those for higher rated securities. Examples of events that could trigger fair value pricing of one or more securities are: (1) market quotations are not readily available because a portfolio security is not traded in a public market or the principal market in which the security trades is closed; (2) trading in a portfolio security is suspended and not resumed prior to the time as of which the Funds calculate their NAV; (3) where a significant event affecting the value of a portfolio security is determined to have occurred between the time of the market quotation provided for a portfolio security and the time as of which the Funds calculate their NAV; (4) a security’s price has remained unchanged over an extended period of time (often referred to as a “stale price”), or (5) the Funds’ custodian or administrator determines that a market quotation is inaccurate.

Equities traded on inactive markets or valued by reference to similar instruments are also categorized as Level 2 of the fair value hierarchy.

The NAV of a Fund’s portfolio that includes foreign securities may change on days when shareholders will not be able to purchase or redeem Fund shares, since foreign securities can trade on non-business days.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the year. For the period end February 28, 2015, there were no transfers between levels.

The levels associated with valuing the Funds’ investments for the period ended February 28, 2015 are disclosed in the Presentation of Portfolio Holdings following the Schedule of Investments.

Investment Transactions

Investment transactions are recorded on the trade date basis. Realized gains and losses from the sale of disposition of securities and foreign exchange transactions are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of foreign tax withholdings on the ex-dividend date. Class specific distribution and shareholder servicing fees are borne by each class. Income, non-class specific expenses, and realized gains and losses are allocated to the respective classes daily on the basis of relative net assets.

Investment Income

Dividend income is recorded net of applicable withholding taxes on the ex-dividend date, except that certain dividends from foreign securities are recorded as soon thereafter as the Funds are informed of the ex-dividend date or as soon as practicable after the Fund determines the existence of a dividend declaration after exercising reasonable due diligence. Interest income is recorded daily on the accrual basis. All premiums and discounts, including original issue discounts, are amortized/accreted using the interest method. Withholding taxes on foreign dividend interest and capital gains have been provided for in accordance with the applicable country’s tax rules and rates.

Federal Income Taxes

Since the Trust is a Massachusetts business trust, each Fund is a separate corporate taxpayer and determines its net investment income and capital gains (losses) and the amounts to be distributed to each Fund’s shareholders without regard to the income and capital gains (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 each Fund to distribute all of its taxable income and capital gains. Therefore, for the year ended August 31, 2014, the Funds paid no federal income taxes and no federal income tax provision was required for the Funds.


68		Notes to Financial Statements

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

subject to potential examinations by certain taxing authorities for all open tax years (the current and prior years, as applicable). There are no examinations in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

At August 31, 2014, the following Funds had net tax basis capital loss carryforwards, which may be applied against any realized net taxable gains in each succeeding year or until their expiration dates, whichever occurs first:


	Expiration Year
	8/31/2016		8/31/2017		8/31/2018		8/31/2019		Non-Expiring Short Term		Non-Expiring Long Term		Total
SSGA Dynamic Small Cap Fund	$	—	$	10,059,655	$	6,490,926	$	—	$	—	$	—	$	16,550,581
SSGA Clarion Real Estate Fund	$	—	$	—	$	8,669,325	$	—	$	—	$	—	$	8,669,325
SSGA Enhanced Small Cap Fund	$	—	$	—	$	—	$	—	$	—	$	—	$	—
SSGA Emerging Markets Fund	$	—	$	—	$	—	$	—	$	—	$	—	$	—
SSGA International Stock Selection Fund	$	—	$	149,448,931	$	428,227,873	$	—	$	—	$	—	$	577,676,804
SSGA High Yield Bond Fund	$	—	$	—	$	—	$	—	$	—	$	—	$	—

As of February 28, 2015, the Funds’ aggregate cost of investments and the comparison of unrealized appreciation and depreciation of investment securities for federal income tax purposes are as follows:


	Cost of Investments for Tax Purposes		Gross Tax Unrealized Appreciation		Gross Tax Unrealized Depreciation		Net Unrealized Appreciation (Depreciation)

SSGA Dynamic Small Cap Fund	$	27,500,632	$	3,944,130	$	302,205	$	3,641,925
SSGA Clarion Real Estate Fund	$	34,808,916	$	22,295,951	$	82,554	$	22,213,397
SSGA Enhanced Small Cap Fund	$	29,641,646	$	7,962,999	$	1,252,024	$	6,710,975
SSGA Emerging Markets Fund	$	237,332,824	$	83,787,210	$	15,651,386	$	68,135,824
SSGA International Stock Selection Fund	$	314,332,819	$	52,305,348	$	12,162,414	$	40,142,934
SSGA High Yield Bond Fund	$	97,240,878	$	2,756,277	$	904,057	$	1,852,220

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 on the following frequency:


SSGA Dynamic Small Cap Fund			Annually
SSGA Clarion Real Estate Fund			Monthly
SSGA Enhanced Small Cap Fund			Annually
SSGA Emerging Markets Fund			Annually
SSGA International Stock Selection Fund			Annually
SSGA High Yield Bond Fund			Monthly

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 amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. These differences relate primarily to investments in swaps, futures, forward contracts, passive foreign investment companies, foreign denominated investments, REITs, wash sales, partnerships, non-taxable dividends and investments in certain securities sold at a loss. Permanent differences between book and tax accounting are reclassified to paid-in capital. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts without impacting their net asset value.

Expenses

Most expenses can be directly attributed to a Fund. Expenses of the Trust which cannot be directly attributed to a Fund are allocated among all funds of the Trust based principally on their relative average net assets.

All share classes have identical voting, dividend, liquidation and other rights and the same terms and conditions. The separate classes of shares differ principally in the applicable distribution fees and shareholder servicing fees. Shareholders of each


Notes to Financial Statements			69

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

class bear certain expenses that pertain to that particular class. Realized and unrealized gains (losses), net investment income, and expenses with the exception of class level expenses, are allocated daily to each class of shares based upon the relative proportion of net assets of each class.

Foreign Currency Translations

The books and records of the Funds are maintained in U.S. dollars. Foreign currency amounts and transactions of any fund that holds securities denominated in non-U.S. dollars are translated into U.S. 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 Funds’ books and the U.S. dollar equivalent of the amounts actually received or paid. Net unrealized gains (losses) from foreign currency-related transactions arise from changes in the value of assets and liabilities, other than investments in securities resulting from changes in the exchange rates.

These Funds do not isolate that portion of the results of operations of a 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 period. Such fluctuations are included with the net realized and unrealized gain or loss from investments. However, for federal income tax purposes the Funds do isolate the effects of changes in foreign exchange rates from the fluctuations arising from changes in market prices for realized gain (loss) on debt obligations.

Capital Gains Taxes

The SSGA Emerging Markets Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which it invests. This Fund has recorded a deferred tax liability in respect of unrealized appreciation on foreign securities for potential capital gains and repatriation taxes at February 28, 2015. The accrual for unrealized capital gains and repatriation taxes is included in net unrealized appreciation (depreciation) on investments in the Statement of Assets and Liabilities for the Fund. The amounts related to capital gain taxes are included in net realized gain (loss) on investments in the Statement of Operations for the Fund.


	Deferred Tax Liability		Capital Gains Taxes

SSGA Emerging Markets Fund	$	475,193	$	403,894

High Yield Securities

The SSGA High Yield Bond Fund may invest in high yield instruments that are subject to certain credit and market risks. The yields of high yield instruments reflect, among other things, perceived credit risk. The Funds’ investments in securities rated below investment grade typically involve risks not associated with higher rated securities including, among others, greater risk related to timely and ultimate payment of interest and principal, greater market price volatility and less liquid secondary market trading.

Loan Agreements

The SSGA High Yield Bond Fund may invest in direct debt instruments which are interests in amounts owed by corporate, governmental, or other borrowers to lenders or lending syndicates. These investments in loans may be in the form of participations in loans or assignments of all or a portion of loans from third parties. A loan is often administered by a bank or other financial institution (the “lender”) that acts as agent for all holders. The agent administers the terms of the loan, as specified in the loan agreement. When investing in a loan anticipation, the Fund has the right to receive payments of principal, interest and any fees to which it is entitled only from the lender selling the loan agreement and only upon receipt by the lender of payments from the borrower. A Fund generally has no right to enforce compliance with the terms of the loan agreement with the borrower. As a result, a Fund may be subject to the credit risk of both the borrower and the lender that is selling the loan agreement. When a Fund purchases assignments from lenders it acquires direct rights against the borrower on the loan.


70		Notes to Financial Statements

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

Derivatives

To the extent permitted by the investment objective, restrictions and policies set forth in each Fund’s Prospectus and Statement of Additional Information, the Funds may invest in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Funds’ use of derivatives includes exchange-traded futures and credit default swaps. These instruments offer unique characteristics and risks that assist the Funds in meeting their investment objectives.

The Funds typically use derivatives in three ways: cash equitization, hedging, and return enhancement. Cash equitization is a technique that may be used by the Funds through the use of options and futures to earn “market-like” returns with the Funds’ excess and liquidity reserve cash balances. Hedging is used by the Funds 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 Funds. By purchasing certain instruments, the Funds may more effectively achieve the desired portfolio characteristics that assist in meeting the Funds’ 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, counterparty risk, interest rate risk and credit risk.

Investments in a derivative instrument could lose more than the principal amount invested. Compared to conventional securities, derivatives can be more sensitive to changes in interest rates or to sudden fluctuations in market prices and thus a Fund’s losses may be greater if it invests in derivatives than if it invests only in conventional securities. The use of derivative instruments involves risks different from, or possibly greater than, the risks associated with investing directly in equity or fixed income securities, currencies or other investments. Derivatives are subject to a number of risks such as liquidity risk, market risk, credit risk, default risk, counterparty risk and management risk. They also involve the risk of mispricing or improper valuation and the risk that changes in the value of the derivative may not correlate exactly with the change in the value of the underlying asset, rate or index.

The fair values of the Funds’ derivative instruments as shown on the Statements of Assets and Liabilities, categorized by risk exposure for the period ended February 28, 2015 were as follows:


	SSGA Dynamic Small Cap Fund		SSGA Enhanced Small Cap Fund		SSGA Emerging Markets Fund
	Equity Contracts		Equity Contracts		Forward Contracts*

Asset Derivatives
Futures Contracts⁽¹⁾	$	18	$	13,812	$	—
Foreign Exchange Contracts		—		—		1,282,786

Liability Derivatives
Foreign Exchange Contracts	$	—	$	—	$	1,540,420


	SSGA International Stock Selection Fund		SSGA High Yield Bond Fund
	Equity Contracts		Credit Contracts

Asset Derivatives
Credit Default Swap Contracts	$	—	$	27,310

Liability Derivatives
Futures Contracts⁽¹⁾	$	21,254	$	—

Includes only forward foreign currency-related transactions.

(1)

Portfolio of Investments: Cumulative unrealized appreciation/depreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.


Notes to Financial Statements			71

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

The effects of derivative instruments on the Statements of Operations, for the period ended February 28, 2015 were as follows:


	SSGA Dynamic Small Cap Fund		SSGA Enhanced Small Cap Fund			SSGA Emerging Markets Fund
	Equity Contracts		Equity Contracts			Equity Contracts			Forward Contracts*

Realized Gain (Loss)
Futures Contracts⁽²⁾	$	21,891	$	22,703		$	(657,079	)	$	—
Foreign Exchange Contracts		—		—			—			(1,642,636	)

Change in Appreciation (Depreciation)
Futures Contracts⁽³⁾	$	18	$	(8,400	)	$	(55,157	)	$	—
Foreign Exchange Contracts		—		—			—			(117,225	)


	SSGA International Stock Selection Fund			SSGA High Yield Bond Fund
	Equity Contracts			Credit Contracts

Realized Gain (Loss)
Futures Contracts⁽²⁾	$	(193,373	)	$	—
Credit Default Swap Contracts		—			3,694

Change in Appreciation (Depreciation)
Futures Contracts⁽³⁾	$	(21,254	)	$	—
Credit Default Swap Contracts		—			27,310

Includes only forward foreign currency-related transactions.

(2)

Statement of Operations location: Net realized gain (loss) on: Futures contracts

(3)

Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts

Derivative balances at February 28, 2015 are representative of derivative use throughout the period.

For the period ended February 28, 2015, the Funds’ quarterly holdings of swap contracts were as follows:


	Credit Default Swap Notional Amounts Outstanding
Quarter Ended	SSGA High Yield Bond Fund
November 30, 2014		—
February 28, 2015		1,800,000

For financial reporting purposes, the Fund does not offset derivative assets or liabilities, including those that may be subject to an enforceable Foreign Exchange Master Agreement that allows for net settlement between counterparties, on the Statement of Assets and Liabilities. The following tables set forth the Fund’s net exposure to derivative assets and liabilities available for offset and net of collateral at February 28, 2015.


Offsetting of Financial Assets and Derivative Assets
SSGA Emerging Markets Fund — Foreign Currency Exchange Contracts
Counterparty	Gross Amounts of Recognized Assets		Gross Amounts Offset in Statements of Assets and Liabilities		Net Amounts of Assets presented in Statements of Assets and Liabilities		Gross Amounts Not Offset in the Statements of Assets and Liabilities Collateral Received^(a)		Net Amount of Derivatives Assets^(b)
Barclays Capital	$	110,858	$	—	$	110,858	$	110,858	$	—
Citibank N.A.		53,839		—		53,839		53,839		—
Deutsche Bank AG		96,495		—		96,495		96,495		—
JP Morgan Chase Bank, N.A.		526,312		—		526,312		313,507		212,805
Societe Generale		106,018		—		106,018		103,044		2,974
Standard Chartered Bank		389,264		—		389,264		—		389,264

	$	1,282,786	$	—	$	1,282,786	$	677,743	$	605,043


72		Notes to Financial Statements

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)


Offsetting of Financial Liabilities and Derivative Liabilities
SSGA Emerging Markets Fund — Foreign Currency Exchange Contracts
Counterparty	Gross Amounts of Recognized Liabilities		Gross Amounts Offset in Statements of Assets and Liabilities		Net Amounts of Assets presented in Statements of Assets and Liabilities		Gross Amounts Not Offset in the Statements of Assets and Liabilities Collateral Pledged^(a)		Net Amount of Derivatives Liabilities^(b)
Bank of America N.A.	$	50,557	$	—	$	50,557	$	—	$	50,557
Barclays Capital		183,101		—		183,101		110,858		72,243
BNP Paribas SA		737		—		737		—		737
Citibank N.A.		88,427		—		88,427		53,839		34,588
Credit Suisse International		56,217		—		56,217		—		56,217
Deutsche Bank AG		447,489		—		447,489		96,495		350,994
Goldman Sachs Capital Markets L.P.		237,673		—		237,673		—		237,673
JP Morgan Chase Bank, N.A.		313,507		—		313,507		313,507		—
Societe Generale		103,044		—		103,044		103,044		—
Toronto Dominion Bank		59,668		—		59,668		—		59,668

	$	1,540,420	$	—	$	1,540,420	$	677,743	$	862,677

(a) The

actual collateral received and/or pledged may be more than the amount shown.

(b) Net

amount represents the net amount due from, or payable to, the counterparty in the event of default.

For financial reporting purposes, the Fund does not offset credit default swap assets or liabilities on the Statement of Assets and Liabilities and is not subject to a Master Netting Agreement. The following tables set forth the Fund’s net exposure to credit default swap assets and liabilities available at August 31, 2014.


Offsetting of Financial Assets and Derivative Assets
SSGA High Yield Bond Fund — Credit Default Swap Contracts
Counterparty	Gross Amounts of Recognized Assets		Gross Amounts Offset in Statements of Assets and Liabilities		Net Amounts of Assets presented in Statements of Assets and Liabilities		Not Offset in the Statements of Assets and Liabilities Collateral Received^(a)		Net Amount of Derivative Assets^(b)
Goldman Sachs & Co.	$	136,913	$	—	$	136,913	$	—	$	136,913

(a) The

actual collateral received and/or pledged may be more than the amount shown.

(b) Net

amount represents the net amount due from, or payable to, the counterparty in the event of default.

Foreign Currency Exchange Contracts

In connection with portfolio purchases and sales of securities denominated in a foreign currency, certain funds may enter into foreign currency exchange spot contracts and forward foreign currency exchange contracts (“contracts”). Additionally, from time to time these Funds 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. Realized gains (losses) arising from such transactions are included in net realized gain (loss) from foreign currency-related transactions.

These Funds may engage in forward currency contracts to hedge against uncertainty in the level of future exchange rates or, to the extent permitted by the investment objective, restrictions and policies set forth in a Fund’s Prospectus and Statement of Additional Information, to effect investment transactions to generate returns consistent with the Funds’ investment objective and strategies. A forward contract involves an obligation to purchase or sell a specific currency. Forward currency contracts are subject to the risk that should forward prices increase, a loss will be incurred to the extent that the price of the currency agreed to be purchased exceeds the price of the currency agreed to be sold.


Notes to Financial Statements			73

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

For the period ended February 28, 2015, the following Fund entered into forward foreign currency exchange contracts primarily for the strategy listed below:


Fund		Strategy
SSGA Emerging Markets Fund		Foreign currency exposure management

Futures Contracts

A futures contract is an agreement to buy or sell a security, or deliver a cash settlement, in connection with an interest rate, an index, currency or other asset. The risk of loss in trading futures contracts in some strategies is potentially unlimited. The entire amount invested in futures contracts could be lost. There also is no assurance that a liquid secondary market will exist for futures contracts and options in which a Fund may invest. Participation in the futures markets, as well as the use of various forward contracts, involves investment risks and transaction costs to which the Fund would not be subject absent the use of these strategies. If the Fund’s predictions of movements in the direction of the securities, fixed income or currencies markets are inaccurate, the adverse consequences to the Fund may leave the Fund in a worse position than if such strategies were not used.

Certain Funds are currently utilizing exchange-traded futures contracts. The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the securities held by the Funds and the prices of futures contracts and the possibility of an illiquid market. Upon entering into a futures contract, the Funds are required to deposit with a broker an amount, termed the initial margin, which typically represents 5% of the purchase price indicated in the futures contract. Payments to and from the broker, known as the variation margin, are required to be made on a daily basis as the price of the futures contract fluctuates. 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.

For the period ended February 28, 2015, the following Funds entered into future contracts primarily for the strategies listed below:


Funds		Strategies
SSGA Dynamic Small Cap Fund		Exposing cash reserves to markets
SSGA Enhanced Small Cap Fund		Hedging cash
SSGA Emerging Markets Fund		Return enhancement, hedging and exposing cash reserves to markets
SSGA International Stock Selection Fund		Exposing cash reserves to markets

Credit Default Swaps

The SSGA High Yield Bond Fund may enter into credit default swaps. A credit default swap can refer to corporate issues, asset-backed securities or an index of assets, each known as the reference entity or underlying asset. The Fund may act as either the buyer or the seller of a credit default swap involving one party making a stream of payments to another party in exchange for the right to receive a specified return in the event of a default or other credit event. Depending upon the terms of the contract, the credit default swap may be closed via physical settlement. However, due to the possible or potential instability in the market, there is a risk that the Fund may be unable to deliver the underlying debt security to the other party to the agreement. Additionally, the Fund may not receive the expected amount under the swap agreement if the other party to the agreement defaults or becomes bankrupt. In an unhedged credit default swap, the Fund enters into a credit default swap without owning the underlying asset or debt issued by the reference entity. Credit default swaps allow the Fund to acquire or reduce credit exposure to a particular issuer, asset or basket of assets.

Credit default swaps could result in losses if the Fund does not correctly evaluate the creditworthiness of the company or companies on which the credit default swap is based. Credit default swap agreements may involve greater risks than if the Fund had invested in the reference obligation directly since, in addition to risks relating to the reference obligation, credit default swaps are subject to illiquidity and counterparty risk. The Fund will generally incur a greater degree of risk when it sells a credit default swap than when it purchases a credit default swap. As a buyer of a credit default swap, the Fund may lose its upfront or periodic payments previously made and recover nothing should a credit event fail to occur and the swap is held to its termination date. As a seller of a credit default swap, if a credit event were to occur, the value of any deliverable obligation received by the Fund, coupled with the upfront or periodic payments previously received, may be less than what it pays to the buyer, resulting in a loss of value to the Fund. The maximum potential amount the Fund may pay should a negative credit event take place is defined under the terms of the agreement.


74		Notes to Financial Statements

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

If the creditworthiness of a Fund’s swap counterparty declines, the risk that the counterparty may not perform could increase, potentially resulting in a loss to the Fund. To limit the counterparty risk involved in swap agreements, the Fund will only enter into swap agreements with counterparties that meet certain standards of creditworthiness. Although there can be no assurance that the Fund will be able to do so, the Fund may be able to reduce or eliminate its exposure under a swap agreement either by assignment or other disposition, or by entering into an offsetting swap agreement with the same party or another creditworthy party. The Fund may have limited ability to eliminate its exposure under a credit default swap if the credit of the reference entity or underlying asset has declined.

Index Swaps

The SSGA Emerging Markets Fund may enter into index 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 an agreed upon rate (e.g., 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 or security. The underlying index or security 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 and received from the swap counterparties representing capital appreciation (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 and counterparty risk in the event of non-performance by the swap counterparties. The Fund minimizes this risk by entering into agreements only with counterparties that the Funds’ investment adviser deems creditworthy. This risk is also mitigated by investing the portfolio in assets generating cash flows complementary to the returns it is required to pay. The Fund segregates certain short-term investments (identified in the accompanying Schedule of Investments) as collateral for the notional amount under the index swap agreements. As of February 28, 2015, the SSGA Emerging Markets Fund held no swap contracts and therefore held no cash collateral in connection with swap contracts purchased (sold).

Participation Notes

The SSGA Emerging Markets Fund may purchase participation notes, also known as participation certificates or participation interest notes. Participation notes are issued by banks or broker-dealers that are designed to replicate the performance of foreign companies or foreign securities markets and can be used by the Fund as an alternative means to access the securities market of a frontier emerging market country. The performance results of participation notes will not replicate exactly the performance of the foreign companies or foreign securities markets that they seek to replicate due to transaction and other expenses. Investments in participation notes involve certain risks in addition to those associated with a direct investment in the underlying foreign companies or foreign securities markets whose return they seek to replicate. There can be no assurance that there will be a trading market or that the trading price of a participation note will equal the underlying value of the foreign company or foreign securities market that it seeks to replicate. The Fund relies on the creditworthiness of the counterparty issuing the participation note and has no rights against the issuer of the underlying security. The Fund minimizes this risk by entering into agreements only with counterparties that the Funds’ investment adviser deems creditworthy. Due to liquidity and transfer restrictions, the secondary markets on which the participation notes are traded may be less liquid than the markets for other securities, or may be completely illiquid. As of February 28, 2015, the SSGA Emerging Markets Fund held four Equity-Linked Notes which are identified on the Schedule of Investments.

Investment in Foreign Securities

The investments by the Funds in foreign securities may involve risks not present in domestic investments. Since securities may be denominated in foreign currencies and may require settlement in foreign currencies and pay interest or dividends in foreign currencies, changes in the relationship of these foreign currencies to the U.S. dollar can significantly affect the value of the investments and earnings of the Funds. Foreign investments may also subject the Funds to foreign government exchange restrictions, expropriation, taxation or other political, social or economic developments, all of which could affect the market and/or credit risk of the investments. In addition to the risks described above, risks may arise from forward foreign currency contracts with respect to the potential inability of counterparties to meet the terms of their contracts.


Notes to Financial Statements			75

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

Investment in Emerging Markets

Investing in emerging markets may involve special risks and considerations not typically associated with investing in developed 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 may be more volatile than those of comparable securities in the U.S.

Contractual Obligation/Indemnification

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Funds enter into contracts that contain a variety of representations and obligations, including general indemnifications. The Funds’ maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Funds that have not yet occurred. However, based on experience, the Funds expect the risk of loss to be remote.

Investment Transactions

Securities

For the period ended February 28, 2015, purchases and sales of investment securities, excluding U.S. government and agency obligations, short-term investments and derivative contracts aggregated to the following:


	Purchases		Sales

SSGA Dynamic Small Cap Fund	$	11,445,041	$	11,509,667
SSGA Clarion Real Estate Fund		8,968,571		11,782,606
SSGA Enhanced Small Cap Fund		11,872,280		9,622,672
SSGA Emerging Markets Fund		164,779,735		458,290,645
SSGA International Stock Selection Fund		88,110,143		122,992,555
SSGA High Yield Bond Fund		57,610,079		45,150,252

Securities Lending

The Trust participates in a securities lending program whereby each Fund can loan securities with a value up to 33¹/₃% of its total assets. Each Fund receives cash (U.S. currency), U.S. Government, U.S. Government agency obligations or foreign government securities as collateral against the loaned securities. To the extent that a loan is secured by cash collateral, such collateral must be invested by State Street Bank and Trust Company, as the lending agent, 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 by a lending Fund along with the related obligation to return the collateral. As of November 30, 2014, all such cash collateral was invested in the State Street Navigator Securities Lending Prime Portfolio, a money market fund affiliated with the Funds’ investment adviser.

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 the lending agent and is recorded as securities lending income for the Funds. 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 the lending agent and are recorded as security lending 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. The market value of the loaned securities is determined at the close of business of the Funds, and any additional required collateral is delivered to the Funds the next day. Should the borrower of the securities fail financially, there is a risk of delay in recovery or loss of rights in the securities loaned or loss of rights in the collateral. Consequently, loans are made only to borrowers which are deemed to be of good financial standing.


76		Notes to Financial Statements

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

As of February 28, 2015, the non-cash collateral received for the securities on loan was as follows:


	Non-Cash Collateral Value		Non-Cash Collateral Holding

SSGA Dynamic Small Cap Fund	$	2,378	Pool of U.S. Government Bonds
SSGA Clarion Real Estate Fund	$	1,862,422	Pool of U.S. Government Bonds
SSGA Emerging Markets Fund	$	1,004,569	Pool of U.S. and Foreign Government Bonds

The Funds cannot repledge or sell non-cash collateral balances.

Related Party Transactions, Fees and Expenses

Adviser and Affiliates

SSGA Funds Management, Inc. (the “Adviser”) manages the Funds pursuant to an Amended and Restated Investment Advisory Agreement dated April 11, 2012, between the Trust and the Adviser. The Adviser is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. CBRE Clarion Securities LLC serves as the sub-adviser for the SSGA Clarion Real Estate Fund. The Adviser provides reporting, operational compliance and general oversight services with respect to the investment advisory services of the sub-adviser. The Adviser and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Adviser directs the investments of the Funds in accordance with their investment objectives, policies, and limitations. For these services, each Fund pays a fee to the Adviser, calculated daily and paid monthly, at the following annual rates of their average daily net assets:


Funds	%
SSGA Dynamic Small Cap Fund		0.75
SSGA Clarion Real Estate Fund		0.65
SSGA Enhanced Small Cap Fund		0.45
SSGA Emerging Markets Fund		0.75
SSGA International Stock Selection Fund		0.75
SSGA High Yield Bond Fund		0.30

Effective May 1, 2014, the Adviser is contractually obligated until December 31, 2015 to waive its management fee as follows:


SSGA Fund Name	Expense Limitation			Expiration Date
SSGA Dynamic Small Cap Fund		0.85	%	December 31, 2015
SSGA Clarion Real Estate Fund		0.75	%	December 31, 2015
SSGA Enhanced Small Cap Fund		0.50	%	December 31, 2015
SSGA Emerging Markets Fund		1.00	%	December 31, 2015
SSGA International Stock Selection Fund		0.75	%	December 31, 2015
SSGA High Yield Bond Fund		0.50	%	December 31, 2015

Prior to December 31, 2015, this agreement may not be terminated with respect to a Fund without the approval of the Board of Trustees. This agreement supersedes any prior voluntary waiver or reimbursement arrangements for the Funds specifically named above and may, at the Adviser’s option, continue after the dates designated above.

The total amount of waivers for the period ended February 28, 2015 is detailed in the following table. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.


SSGA Fund Name	Amount Waived or Reimbursed

SSGA Dynamic Small Cap Fund	$	105,613
SSGA Clarion Real Estate Fund		99,509
SSGA Enhanced Small Cap Fund		117,476
SSGA Emerging Markets Fund		688,455
SSGA International Stock Selection Fund		406,758
SSGA High Yield Bond Fund		53,174


Notes to Financial Statements			77

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

The Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSGA Prime Money Market Fund (“Central Fund”) (a series of the Trust not presented herein). Shares of the Central Fund sold to and redeemed from any participating fund will not be subject to a redemption fee, distribution fee or service fee. If Central Fund shares sold to or redeemed from a participating fund are subject to any such distribution or service fee, the Adviser will waive its advisory fee for each participating fund in an amount that offsets the amount of such distribution and/or service fees incurred by the participating fund. Effective September 1, 2006, the Adviser has voluntarily agreed to waive a portion of any participating Fund’s advisory fee equal to the advisory fee paid by that participating Fund to the Central Fund. As of February 28, 2015, $8,401,856 or 0.15% of the Central Fund’s net assets represents investments by these Funds.

For the period ended February 28, 2015, the total advisory fees waived pursuant to the voluntary waiver agreement were as follows:


	Amount Waived

SSGA Dynamic Small Cap Fund	$	200
SSGA Clarion Real Estate Fund		246
SSGA Enhanced Small Cap Fund		633
SSGA Emerging Markets Fund		2,424
SSGA International Stock Selection Fund		1,224
SSGA High Yield Bond Fund		3,096

Boston Financial Data Services, Inc. (“BFDS”) serves as the Funds’ transfer and dividend paying agent, pursuant to an agreement dated August 1, 2006, as amended. For these services, the Funds pay annual account services fees, activity based fees and charges related to compliance and regulatory services. BFDS is a joint venture of DST Systems, Inc., and State Street Corporation.

State Street Bank and Trust Company (“State Street”), a wholly-owned subsidiary of State Street Corporation, provides custody and fund accounting services to the Funds pursuant to an Amended and Restated Custodian Agreement dated April 11, 2013. For these services, the Funds pay State Street asset based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

On August 19, 2014, the Custodian made a contribution of $252,840 to the SSGA Emerging Markets Fund to correct a processing error. This amount is included in the Statement of Changes.

Securities Lending

State Street is authorized to act on behalf of the Trust as lending agent with respect to the lending of certain securities of the Trust held by State Street as custodian, pursuant to an amended and restated securities lending authorization agreement dated September 28, 2010. Proceeds collected by State Street on investment of cash collateral or any fee income is allocated at 85% payment to the fund, and 15% payable to State Street (after deduction of such other amounts payable to State Street under the terms of the securities lending agreement).

For the period September 1, 2013 through February 28, 2015, State Street earned securities lending agent fees as follows:


	Agent Fees Earned

SSGA Dynamic Small Cap Fund	$	18,811
SSGA Clarion Real Estate Fund		3,023
SSGA Emerging Markets Fund		31,685
SSGA International Stock Selection Fund		33,515

Transactions with Affiliates

Each Fund may invest in the SSGA Prime Money Market Fund, a series of the Trust. All income distributions earned by the Funds from affiliated money market funds are recorded as dividends from affiliated money market funds on the Statements of Operations. In addition, cash collateral from lending activities is invested in the State Street Navigator Securities Lending Prime Portfolio, a series of State Street Navigator Securities Lending Trust, for which SSGA FM serves as the investment adviser.


78		Notes to Financial Statements

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

Amounts related to investments in the SSGA Prime Money Market Fund and/or State Street Navigator Securities Lending Prime Portfolio at February 28, 2015 and for the period then ended are:


SSGA Prime Money Market Fund	Value at 8/31/2014		Purchased Cost		Purchased Shares		Sold Cost		Sold Shares		Value at 2/28/2015		Income

SSGA Dynamic Small Cap Fund	$	255,049	$	2,567,388		2,567,388	$	2,439,763		2,439,763	$	382,674	$	18
SSGA Clarion Real Estate Fund		621,712		5,799,206		5,799,206		6,203,943		6,203,943		216,975		25
SSGA Enhanced Small Cap Fund		519,323		5,841,928		5,841,928		5,818,113		5,818,113		543,138		56
SSGA Emerging Markets Fund		100		101,329,746		101,329,746		101,329,746		101,329,746		100		186
SSGA International Stock Selection Fund		815,887		19,769,584		19,769,584		19,247,949		19,247,949		1,337,522		77
SSGA High Yield Bond Fund		3,725,780		57,401,206		57,401,206		55,205,539		55,205,539		5,921,447		278

State Street Navigator Securities Lending Prime Portfolio	Value at 8/31/2014		Purchased Cost		Purchased Shares		Sold Cost		Sold Shares		Value at 2/28/2015		Income

SSGA Dynamic Small Cap Fund	$	5,684,575	$	4,173,927		4,173,927	$	3,722,080		3,722,080	$	6,136,422	$	18,811
SSGA Clarion Real Estate Fund		3,796,807		25,684,561		25,684,561		27,165,606		27,165,606		2,315,762		3,023
SSGA Emerging Markets Fund		19,318,868		31,396,514		31,396,514		43,240,579		43,240,579		7,474,803		31,685
SSGA International Stock Selection Fund		9,985,733		47,930,455		47,930,455		51,095,899		51,095,899		6,820,289		33,515

Administrator

State Street (the “Administrator”) serves as the Trust’s Administrator, pursuant to an administration agreement dated January 1, 2013 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Trust’s operations. The Trust pays the Administrator an annual fee, payable monthly on a pro rata basis. The annual fee is based on the following percentages of the average daily net assets of the Trust: $0 to $10 billion — 0.0175%; next $10 billion — 0.0125%; next $10 billion — 0.0075% and 0.0050% thereafter. In addition, the Trust pays additional fees to the Administrator for certain services and reimburses the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

The Trust has adopted a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under the Plan, the Trust 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 Trust and the servicing of investor accounts.

To compensate the Distributor for the services it provides and for the expenses it bears in connection with the distribution of shares of the Funds, each Fund may make payments from the assets attributable to certain classes of its shares to the Distributor under a distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act (the “Plan”). The Plan is a compensation plan that provides for payments at annual rates (based on average daily net assets) described below.

The Plan will continue in effect with respect to a class of shares of a Fund only if such continuance is specifically approved at least annually by a vote of both a majority of the Board of Trustees of the Trust and a majority of the Trustees of the Trust who are not “interested persons” of the Trust (the “Independent Trustees”) and have no direct or indirect financial interest in the operation of the Plan or in any agreements related thereto (the “Qualified Distribution Plan Trustees”). The Plan may not be amended to increase materially the amount of a Fund’s permitted expenses thereunder without the approval of a majority of the outstanding shares of the affected share class and may not be materially amended in any case without a vote of the majority of


Notes to Financial Statements			79

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

both the Trustees and the Qualified Distribution Plan Trustees. At the time of adoption, none of the Independent Trustees of the Trust had a direct or indirect financial interest in the operation of the Plan. The Plan calls for payments at an annual rate (based on average net assets) as follows:


	Annual 12b-1 Fee

Class N		0.25	%
Select Class		0.025	%
Class A		0.25	%
Class C		1.00	%
Class I		0.00	%
Class K		0.00	%

Additionally, the Board approved the following limits on the amount of Rule 12b-1 fees the Distributor is reimbursed pursuant to the Plan:


	12b-1 Fee Limit

SSGA Dynamic Small Cap Fund		0.25	%
SSGA Clarion Real Estate Fund		0.25	%
SSGA Enhanced Small Cap Fund		0.25	%
SSGA Emerging Markets Fund		0.25	%
SSGA International Stock Selection Fund		0.25	%
SSGA High Yield Bond Fund		0.25	%

The Plan may benefit the Funds by increasing sales of shares and reducing redemptions of shares, resulting potentially, for example, in economies of scale and more predictable flows of cash into and out of the Funds. Because Rule 12b-1 fees are paid out of a Fund’s assets, all shareholders share in that expense; however, because shareholders hold their shares through varying arrangements (for example, directly or through financial intermediaries), they may not share equally in the benefits of the Plan.

Financial intermediaries are firms that, for compensation, sell shares of mutual funds, including the Funds, and/or provide certain administrative and account maintenance services to mutual fund shareholders. Financial intermediaries may include, among others, brokers, financial planners or advisors, banks, and insurance companies.

In some cases, a financial intermediary may hold its clients’ Fund shares in nominee or street name. Shareholder services provided by a financial intermediary may (though they will not necessarily) include, among other things: processing and mailing trade confirmations, periodic statements, prospectuses, annual reports, semi-annual reports, shareholder notices, and other SEC-required communications; capturing and processing tax data; issuing and mailing dividend checks to shareholders who have selected cash distributions; preparing record date shareholder lists for proxy solicitations; collecting and posting distributions to shareholder accounts; and establishing and maintaining systematic withdrawals and automated investment plans and shareholder account registrations.

Some portion of the Distributor’s payments to financial intermediaries will be made out of amounts received by the Distributor under the Funds’ Plans. In addition, certain of the Funds may reimburse the Distributor for payments the Distributor makes to financial intermediaries that provide certain recordkeeping, administrative and account maintenance services. The amount of the reimbursement is calculated in a manner approved by the Trustees and is reviewed by the Trustees periodically.

The Distributor and its affiliates (including SSGA FM), at their own expense and out of their own assets, may also provide other compensation to financial intermediaries in connection with sales of the Funds’ shares or the servicing of shareholders or shareholder accounts. Such compensation may include, but is not limited to, financial assistance to financial intermediaries in connection with conferences, sales, or training programs for their employees, seminars for the public, advertising or sales campaigns, or other financial intermediary-sponsored special events. In some instances, this compensation may be made available only to certain financial intermediaries whose representatives have sold or are expected to sell significant amounts of


80		Notes to Financial Statements

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

shares. Dealers may not use sales of the Funds’ shares to qualify for this compensation to the extent prohibited by the laws or rules of any state or any self-regulatory agency, such as the Financial Industry Regulatory Authority, Inc.

If payments to financial intermediaries by the distributor or adviser for a particular mutual fund complex exceed payments by other mutual fund complexes, your financial advisor and the financial intermediary employing him or her may have an incentive to recommend that fund complex over others. Please speak with your financial advisor to learn more about the total amounts paid to your financial advisor and his or her firm by the Distributor and its affiliates, and by sponsors of other mutual funds he or she may recommend to you. You should also consult disclosures made by your financial intermediary at the time of purchase.

Because the Funds pay distribution, service and other fees for the sale of their shares and for services provided to shareholders out of the Funds’ assets on an ongoing basis, over time those fees will increase the cost of an investment in a Fund and may cost a shareholder more than paying other types of sales loads. A Fund may pay distribution fees, service fees and other amounts described above at a time when shares of the Fund are not being actively promoted to new investors generally, or when shares of that Fund are unavailable for purchase.

Each Fund listed in the table below has a shareholder servicing agreement with State Street and the following entities related to State Street: SSGM, Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several unaffiliated services providers. For these services, each Class N pays 0.025% to State Street and a maximum of 0.175% to each of the affiliated Agents, based upon the average daily value of all Class N shares held by or for customers of these Agents. For the period ended February 28, 2015, each Class N paid the following shareholder servicing expenses to the Agents:


	State Street		SSGM

SSGA Dynamic Small Cap Fund	$	326	$	161
SSGA Clarion Real Estate Fund		588		18
SSGA Enhanced Small Cap Fund		13		—
SSGA Emerging Markets Fund		1,585		1,124
SSGA International Stock Selection Fund		4,418		—
SSGA High Yield Bond Fund		2,128		14

The Fund(s) did not incur any expenses from Fiduciary Investors Services during the period.

Board of Trustees

Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Funds does not receive compensation from the Funds for his or her service as a Trustee.

Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Co-Chairmen each receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this Shareholder Report, the Trustees were not paid pension or retirement benefits as part of SSGA Funds’ expenses. However, the SSGA Funds have, pursuant to an exemptive order from the SEC, implemented an optional deferred compensation plan by which the Independent Trustees may defer receipt of compensation and receive a return on the deferred amount determined with reference to the performance of shares of specified SSGA Funds. As of the period ended February 28, 2015, none of the Independent Trustees participated in the optional deferred compensation program. The SSGA Funds’ officers are compensated by the Adviser and its affiliates.

Independent Trustees’ fees are allocated among the Trust, State Street Master Fund and State Street Institutional Investment Trust and each of their respective series in such a manner as deemed equitable, taking into consideration the relative net assets of the series.


Notes to Financial Statements			81

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

Accrued fees payable to affiliates and trustees as of February 28, 2015 were as follows:


	SSGA Dynamic Small Cap Fund		SSGA Clarion Real Estate Fund		SSGA Enhanced Small Cap Fund		SSGA Emerging Markets Fund		SSGA International Stock Selection Fund		SSGA High Yield Bond Fund

Advisory fees	$	29,962	$	58,858	$	25,088	$	378,460	$	418,757	$	40,896
Administration fees		166		1,497		393		14,983		10,013		3,817
Custodian fees		10,337		8,687		22,558		564,695		76,838		16,966
Distribution fees		2,005		48,480		29,110		—		—		58,083
Shareholder servicing fees		1,289		—		—		370		—		1,673
Transfer agent fees		1,000		1,000		1,000		149,156		87,899		1,000
Trustees’ fees		579		586		582		2,080		691		603

	$	45,338	$	119,108	$	78,731	$	1,109,744	$	594,198	$	123,038

Fund Share Transactions


	Six Months Ended February 28, 2015 (Unaudited)						Year Ended August 31, 2014
SSGA Dynamic Small Cap Fund	Shares			Dollars			Shares			Dollars

Class N
Proceeds from shares sold		67,252		$	2,392,402			321,133		$	11,524,788
Proceeds from reinvestment of distributions		3,024			113,373			3,894			141,238
Payments for shares redeemed		(81,434	)		(2,991,192	)		(418,552	)		(14,441,436	)

Total net increase (decrease)		(11,158	)	$	(485,417	)		(93,525	)	$	(2,775,410	)

Class A
Proceeds from shares sold		—			—			268		$	10,000

Total net increase (decrease)		—			—			268		$	10,000

Class C
Proceeds from shares sold		—			—			268		$	10,000

Total net increase (decrease)		—			—			268		$	10,000

Class I
Proceeds from shares sold		13,611		$	508,211			268		$	10,000
Proceeds from reinvestment of distributions		56			2,135
Payments for shares redeemed		(100	)		(3,855	)

Total net increase (decrease)		13,567		$	506,491			268		$	10,000

Class K
Proceeds from shares sold		—			—			268		$	10,000

Total net increase (decrease)		—			—			268		$	10,000

Total net increase (decrease)		2,409		$	21,074			(92,453	)	$	(2,735,410	)


82		Notes to Financial Statements

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)


	Six Months Ended February 28, 2015 (Unaudited)						Year Ended August 31, 2014
SSGA Clarion Real Estate Fund	Shares			Dollars			Shares			Dollars

Class N
Proceeds from shares sold		240,661		$	4,052,612			712,149		$	10,230,602
Proceeds from reinvestment of distributions		34,784			556,109			51,265			693,736
Payments for shares redeemed		(512,367	)		(8,107,075	)		(549,308	)		(7,586,097	)

Total net increase (decrease)		(236,922	)	$	(3,498,354	)		214,106		$	3,338,241

Class A
Proceeds from shares sold		—			—			6,618		$	100,000

Total net increase (decrease)		—			—			6,618		$	100,000

Class C
Proceeds from shares sold		1,022		$	17,500			6,618		$	100,000

Total net increase (decrease)		1,022		$	17,500			6,618		$	100,000

Class I
Proceeds from shares sold		19,151		$	335,003			6,618		$	100,000
Proceeds from reinvestment of distributions		8			128
Payments for shares redeemed		(50	)		(803	)

Total net increase (decrease)		19,109		$	334,328			6,618		$	100,000

Class K
Proceeds from shares sold		—			—			6,618		$	100,000

Total net increase (decrease)		—			—			6,618		$	100,000

Total net increase (decrease)		(216,791	)	$	(3,146,526	)		240,578		$	3,738,241


SSGA Enhanced Small Cap Fund

Class N
Proceeds from shares sold		332,624		$	5,062,838			287,118		$	4,652,143
Proceeds from reinvestment of distributions		316,500			4,722,182			36,301			585,011
Payments for shares redeemed		(204,988	)		(3,285,835	)		(501,931	)		(8,218,756	)

Total net increase (decrease)		444,136		$	6,499,185			(178,512	)	$	(2,981,602	)

Class A
Proceeds from shares sold		6,175		$	95,966			5,804		$	100,000

Total net increase (decrease)		6,175		$	95,966			5,804		$	100,000

Class C
Proceeds from shares sold		—			—			5,804		$	100,000

Total net increase (decrease)		—			—			5,804		$	100,000

Class I
Proceeds from shares sold		198		$	3,005			5,804		$	100,000

Total net increase (decrease)		198		$	3,005			5,804		$	100,000

Class K
Proceeds from shares sold		—			—			580		$	10,000

Total net increase (decrease)		—			—			580		$	10,000

Total net increase (decrease)		450,509		$	6,598,156			(160,520	)	$	(2,671,602	)


Notes to Financial Statements			83

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)


	Six Months Ended February 28, 2015 (Unaudited)						Year Ended August 31, 2014
SSGA Emerging Markets Fund	Shares			Dollars			Shares			Dollars

Class N
Proceeds from shares sold		3,007,559		$	39,658,054			10,903,514		$	198,700,280
Proceeds from reinvestment of distributions		11,777,523			122,721,787			5,045,074			93,083,628
Payments for shares redeemed		(14,936,218	)		(203,209,972	)		(40,955,179	)		(743,452,840	)

Total net increase (decrease)		(151,136	)	$	(40,830,131	)		(25,006,591	)	$	(451,668,932	)

Class A
Proceeds from shares sold		—			—			535		$	10,000

Total net increase (decrease)		—			—			535		$	10,000

Class C
Proceeds from shares sold		—			—			5,353		$	100,000

Total net increase (decrease)		—			—			5,353		$	100,000

Class I
Proceeds from shares sold		86,110		$	1,495,714			535		$	10,000
Proceeds from reinvestment of distributions		35,640			370,658
Payments for shares redeemed		(17,989	)		(210,621	)

Total net increase (decrease)		103,761		$	1,655,751			535		$	10,000

Class K
Proceeds from shares sold		—			—			535		$	10,000

Total net increase (decrease)		—			—			535		$	10,000

Select Class
Proceeds from shares sold		418,995		$	6,774,200			4,204,315		$	83,742,567
Proceeds from reinvestment of distributions		2,763,883			28,799,664			961,567			17,755,377
Payments for shares redeemed		(10,250,651	)		(135,311,800	)		(7,267,953	)		(128,627,003	)

Total net increase (decrease)		(7,067,773	)	$	(99,737,936	)		(2,102,071	)	$	(27,129,059	)

Total net increase (decrease)		(7,115,148	)	$	(138,912,316	)		(27,101,704	)	$	(478,677,991	)


84		Notes to Financial Statements

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)


	Six Months Ended February 28, 2015 (Unaudited)						Year Ended August 31, 2014
SSGA International Stock Selection Fund	Shares			Dollars			Shares			Dollars

Class N
Proceeds from shares sold		810,737		$	8,709,089			2,386,982		$	26,345,285
Proceeds from reinvestment of distributions		(3,775,330	)		3,425,749			1,464,645			16,159,709
Payments for shares redeemed		325,332			(40,352,117	)		(6,703,641	)		(73,782,618	)

Total net increase (decrease)		(2,639,261	)	$	(28,217,279	)		(2,852,014	)	$	(31,277,624	)

Class A
Proceeds from shares sold		—			—			867		$	10,000

Total net increase (decrease)		—			—			867		$	10,000

Class C
Proceeds from shares sold		—			—			8,666		$	100,000

Total net increase (decrease)		—			—			8,666		$	100,000

Class I
Proceeds from shares sold		31,064		$	336,178			867		$	10,000
Proceeds from reinvestment of distributions		331			3,481
Payments for shares redeemed		(696	)		(7,256	)

Total net increase (decrease)		30,699		$	332,403			867		$	10,000

Class K
Proceeds from shares sold		—			—			867		$	10,000

Total net increase (decrease)		—			—			867		$	10,000

Total net increase (decrease)		(2,608,562	)	$	(27,884,876	)		(2,840,747	)	$	(31,147,624	)


SSGA High Yield Bond Fund
Class N
Proceeds from shares sold		7,544,499		$	60,043,570			9,658,270		$	80,713,840
Proceeds from reinvestment of distributions		511,683			4,010,356			1,234,272			10,197,119
Payments for shares redeemed		(6,037,230	)		(48,174,037	)		(10,887,467	)		(90,476,395	)

Total net increase (decrease)		2,018,952		$	15,879,889			5,075		$	434,564

Class A
Proceeds from shares sold		—			—			1,189		$	10,000

Total net increase (decrease)		—			—			1,189		$	10,000

Class C
Proceeds from shares sold		—			—			11,891		$	100,000

Total net increase (decrease)		—			—			11,891		$	100,000

Class I
Proceeds from shares sold		141,903		$	1,146,579			1,189		$	10,000
Proceeds from reinvestment of distributions		3,364			25,911
Payments for shares redeemed		(88,755	)		(689,612	)

Total net increase (decrease)		56,512		$	482,878			1,189		$	10,000

Class K
Proceeds from shares sold		—			—			1,189		$	10,000

Total net increase (decrease)		—			—			1,189		$	10,000

Total net increase (decrease)		2,075,464		$	16,362,767			20,533		$	564,564


Notes to Financial Statements			85

SSGA Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

Interfund Lending Program

The Funds participate in a joint lending and borrowing facility (the “Interfund Lending Program”). Funds of the Trust may borrow money from the SSGA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSGA Money Market Fund will lend through the Interfund Lending Program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The Funds will borrow through the Interfund Lending Program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSGA Money Market Fund could result in additional borrowing costs. For the period ended February 28, 2015, the Funds did not utilize the Interfund Lending Program.

Market, Credit and Counterparty Risk

In the normal course of business, the Funds invest in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (counterparty risk). The value of securities held by each Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Funds; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk). Similar to credit risk, the Funds may be exposed to counterparty risk, or the risk that an entity with which the Funds have unsettled or open transactions may default. Financial assets, which potentially expose the Funds to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Funds’ exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Funds’ Statements of Assets and Liabilities.

Line of Credit

The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) share in a $300 million revolving credit facility provided by a syndication of banks. The Participants may borrow for the purpose of meeting shareholder redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on net assets. Commitment fees are ordinary fund operating expenses and are paid by the Adviser. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1%. The Portfolio may borrow up to a maximum of 33 percent of its assets. At February 28, 2015, the SSGA Emerging Markets Fund had an average outstanding loan balance of approximately $11,750,000, with an average annual borrowing cost of 1.17% for approximately 49 days and the SSGA International Stock Selection Fund had an average outstanding loan balance of approximately $5,680,000, with an average annual borrowing cost of 1.17% for approximately 4 days.


86		Notes to Financial Statements

SSGA Funds

Shareholder Requests for Additional Information — February 28, 2015 (Unaudited)

A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ portfolio of securities are available (i) without charge, upon request by calling (800) 647-7327 (toll free) or (ii) on the website of the U.S. Securities and Exchange Commission, at www.sec.gov. Information regarding how a Fund voted proxies relating to its portfolio securities during the 12-month period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at ww.sec.gov, and on the Funds’ website at www. SSGAfunds.com.

The Funds will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’ semi-annual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.SSGAfunds.com, (iii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the U.S. Securities and Exchange Commission’s public reference room.


Shareholder Requests for Additional Information			87

SSGA Funds

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

(800) 647-7327

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Officers

Ellen M. Needham, President and Principal Executive Officer

Chad C. Hallett, Treasurer and Principal Accounting Officer

Ann M. Carpenter, Vice President and Assistant Treasurer

Brian Harris, Chief Compliance Officer

David James, Secretary

Joshua A. Weinberg, Chief Legal Officer

Kristin M. Schantz, Assistant Secretary

Investment Adviser

SSGA Funds Management, Inc.

State Street Financial Center,

One Lincoln Street

Boston, Massachusetts 02111-2900

Custodian and Office of Shareholder Inquiries

State Street Bank and Trust Company

1776 Heritage Drive

North Quincy, Massachusetts 02171

Transfer and Dividend Paying Agent

Boston Financial Data Services, Inc.

2000 Crown Colony Drive

Quincy, Massachusetts 02169

Distributor

State Street Global Markets, LLC

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Administrator

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Legal Counsel (Effective May 1, 2014)

Ropes & Gray LLP

800 Boylston Street

Boston, Massachusetts 02199

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, Massachusetts 02116

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSGA Funds pay State Street Bank and Trust Company for its services as administrator, custodian, transfer agent and shareholder servicing agent and pays SSGA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.


88		Fund Management and Service Providers


IBG-14866		SSGACOMBFDSAR

Semiannual Report

28 February 2015

SSGA Funds

Money Market Funds

SSGA Money Market Fund

SSGA U.S. Government Money Market Fund

LOGO

SSGA Funds

Money Market Funds

Semiannual Report

February 28, 2015 (Unaudited)

Table of Contents


	Page
SSGA Money Market Fund		3
SSGA U.S. Government Money Market Fund		8
Statements of Assets and Liabilities		13
Statements of Operations		14
Statements of Changes in Net Assets		15
Financial Highlights		16
Notes to Financial Statements		18
Shareholder Requests for Additional Information		26
Fund Management and Service Providers		27

“SSGA” is a registered trademark of State Street Corporation and is licensed for use by the SSGA Funds.

An investment in a money market fund is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although a money market fund seeks to preserve the value of your investment at $1.00 per share, it is possible to lose money by investing in a money market fund.

This page has been intentionally left blank.

SSGA Money Market Fund

Shareholder Expense Example — February 28, 2015 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Beginning Account Value
September 1, 2014		0.20	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,000.00	$	1,023.81
Expenses Paid During Period*				$	0.99	$	1.00


SSGA Money Market Fund			3

SSGA Money Market Fund

Schedule of Investments — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Rate % (#)		Date of Maturity		Value $
Asset Backed Commercial Paper - 3.9%
Collateralized Commercial Paper Co. LLC		30,000,000		0.220		03/02/15		29,999,817
Collateralized Commercial Paper Co. LLC		35,000,000		0.310		06/15/15		34,968,053
Kells Funding LLC (a)		25,000,000		0.220		05/07/15		24,989,764
Kells Funding LLC (a)		50,000,000		0.210		05/14/15		49,978,416


Total Asset Backed Commercial Paper (amortized cost $139,936,050)								139,936,050


Certificates of Deposit - 40.0%
Bank of Montreal		20,000,000		0.180		03/12/15		20,000,000
Bank of Montreal		15,000,000		0.220		05/15/15		15,000,000
Bank of Montreal (next reset date 03/18/15) (b)		40,000,000		0.313		08/14/15		40,000,000
Bank of Nova Scotia (next reset date 03/05/15) (b)		24,000,000		0.271		11/05/15		24,000,000
Bank of Nova Scotia (next reset date 03/09/15) (b)		55,000,000		0.301		08/04/15		55,000,000
Bank of Nova Scotia (next reset date 03/10/15) (b)		35,000,000		0.272		11/05/15		35,000,000
Bank of Tokyo - Mitsubishi		55,000,000		0.200		03/16/15		55,000,000
Bank of Tokyo - Mitsubishi		50,000,000		0.230		05/22/15		50,000,000
Barclays Bank (next reset date 03/09/15) (b)		40,000,000		0.336		04/01/15		40,000,000
Barclays Bank (next reset date 03/25/15) (b)		55,000,000		0.391		06/25/15		55,000,000
BNP Paribas		75,000,000		0.240		03/04/15		75,000,000
BNP Paribas		30,000,000		0.220		04/06/15		30,000,000
Canadian Imperial Bank of Commerce		20,000,000		0.200		04/20/15		20,000,000
Canadian Imperial Bank of Commerce (next reset date 03/16/15) (b)		20,000,000		0.292		02/16/16		20,000,000
Citibank NA		13,000,000		0.250		06/05/15		13,000,000
Credit Agricole Corporate & Investment Bank		40,000,000		0.270		06/01/15		40,000,000
Credit Agricole Corporate & Investment Bank		35,000,000		0.270		06/01/15		35,000,000
ING Bank NV		40,000,000		0.320		03/02/15		40,000,000
ING Bank NV		20,000,000		0.280		06/15/15		20,000,000
ING Bank NV		50,000,000		0.300		07/01/15		50,000,000
Nordea Bank AB		50,000,000		0.170		05/26/15		50,000,000
Norinchukin Bank		28,000,000		0.190		04/23/15		28,000,000
Rabobank Nederland NV		25,000,000		0.220		03/13/15		25,000,000
Rabobank Nederland NV		27,000,000		0.200		05/05/15		27,000,000
Rabobank Nederland NV		15,000,000		0.230		06/17/15		15,000,000
Royal Bank of Canada (next reset date 03/20/15) (b)		11,000,000		0.244		05/20/15		11,000,000
Skandinaviska Enskilda Banken AB		15,000,000		0.250		04/08/15		15,000,631
Skandinaviska Enskilda Banken AB		35,000,000		0.210		05/19/15		35,000,000
Sumitomo Mitsui Banking Corp.		35,000,000		0.220		03/12/15		35,000,000
Sumitomo Mitsui Banking Corp.		35,000,000		0.240		04/15/15		35,000,000
Svenska Handelsbanken AB		50,000,000		0.205		06/02/15		50,000,645
Toronto Dominion Bank		50,000,000		0.200		03/03/15		50,000,000
Toronto Dominion Bank		40,000,000		0.200		05/15/15		40,000,000
Toronto Dominion Bank		50,000,000		0.200		05/26/15		50,000,000
UBS AG		105,000,000		0.281		03/05/15		105,000,000
UBS AG		30,000,000		0.230		04/09/15		30,000,000
Wells Fargo Bank NA		50,000,000		0.230		03/03/15		50,000,000
Westpac Banking Corp.		20,000,000		0.243		03/16/15		20,000,087
Westpac Banking Corp.		15,000,000		0.266		04/24/15		15,000,000


Total Certificates of Deposit (amortized cost $1,418,001,363)								1,418,001,363


4		SSGA Money Market Fund

SSGA Money Market Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Rate % (#)		Date of Maturity		Value $
Financial Company Commercial Paper - 20.9%
Australia & New Zealand Banking Group Ltd. (next reset date 03/09/15) (a)(b)		10,000,000		0.251		07/08/15		10,000,000
Australia & New Zealand Banking Group Ltd. (next reset date 03/13/15) (a)(b)		5,000,000		0.252		07/13/15		5,000,000
Australia & New Zealand Banking Group Ltd. (next reset date 03/16/15) (a)(b)		10,500,000		0.273		10/15/15		10,500,000
Australia & New Zealand Banking Group Ltd. (next reset date 03/16/15) (a)(b)		10,500,000		0.273		10/15/15		10,500,000
Caisse des Depots et Consignations (a)		25,000,000		0.175		03/17/15		24,998,056
Caisse des Depots et Consignations (a)		75,000,000		0.220		04/08/15		74,982,583
Commonwealth Bank of Australia (a)		25,000,000		0.195		04/07/15		24,994,990
DnB Bank ASA (a)		50,000,000		0.200		05/18/15		49,978,333
DnB Bank ASA (a)		50,000,000		0.205		05/22/15		49,976,653
DnB Bank ASA (next reset date 05/26/15) (a)(b)		35,000,000		0.292		11/23/15		35,000,000
Erste Abwicklungsanstalt (a)		30,000,000		0.193		04/15/15		29,992,875
Erste Abwicklungsanstalt (a)		25,000,000		0.200		04/16/15		24,993,611
Erste Abwicklungsanstalt (a)		25,000,000		0.210		06/30/15		24,982,354
General Electric Capital Corp. (next reset date 03/04/15) (b)		5,000,000		0.230		09/03/15		5,000,000
General Electric Capital Corp. (next reset date 03/04/15) (b)		5,000,000		0.260		10/30/15		5,000,000
General Electric Capital Corp. (next reset date 03/18/15) (b)		27,000,000		0.223		05/18/15		27,000,000
National Australia Bank (next reset date 03/09/15) (a)(b)		23,000,000		0.251		07/08/15		23,000,000
Nederlandse Waterschapsbank NV (a)		20,000,000		0.200		04/02/15		19,996,444
Societe Generale (a)		25,000,000		0.240		03/03/15		24,999,667
Societe Generale (a)		25,000,000		0.250		05/04/15		24,988,889
Societe Generale (a)		25,000,000		0.250		05/08/15		24,988,194
Societe Generale (a)		35,000,000		0.264		06/01/15		34,976,745
Standard Chartered Bank (a)		30,000,000		0.223		04/16/15		29,991,567
Sumitomo Mitsui Banking Corp. (a)		20,000,000		0.240		04/09/15		19,994,800
Swedbank AB		25,000,000		0.185		03/16/15		24,998,073
Swedbank AB		25,000,000		0.190		04/13/15		24,994,326
Swedbank AB		35,000,000		0.235		06/25/15		34,973,497
Toyota Motor Credit Corp. (next reset date 03/06/15) (b)		13,000,000		0.244		07/06/15		13,000,000
Toyota Motor Credit Corp. (next reset date 03/09/15) (b)		11,000,000		0.243		07/09/15		11,000,000
Westpac Banking Corp. (next reset date 03/26/15) (a)(b)		16,500,000		0.272		10/26/15		16,500,000


Total Financial Company Commercial Paper (amortized cost $741,301,657)								741,301,657


Other Notes - 11.6%
Bank of America NA		32,000,000		0.240		06/01/15		32,000,000
Bank of America NA		30,000,000		0.260		07/06/15		30,000,000
JPMorgan Chase Bank NA (next reset date 03/09/15) (b)		44,500,000		0.355		03/04/16		44,500,000
JPMorgan Chase Bank NA (next reset date 04/22/15) (b)		30,000,000		0.377		03/22/16		30,000,000
Lloyds Bank PLC		100,000,000		0.050		03/02/15		100,000,000
Natixis		53,555,000		0.050		03/02/15		53,555,000
Royal Bank of Canada (next reset date 03/16/15) (b)		12,000,000		0.463		12/16/15		12,018,972
Royal Bank of Canada (next reset date 04/07/15) (a)(b)		25,000,000		0.344		03/04/16		25,000,000
Svenska Handelsbanken AB (next reset date 03/27/15) (a)(b)		25,000,000		0.342		08/27/15		25,000,000
Wells Fargo Bank NA (next reset date 03/10/15) (b)		25,000,000		0.328		03/10/16		25,000,000


SSGA Money Market Fund			5

SSGA Money Market Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)

Principal
Amount ($)
or Shares

Rate
% (#)

Date
of
Maturity

Value
$

Wells Fargo Bank NA (next reset date 03/20/15) (b)

33,000,000

0.374

03/18/16

33,000,000

Total Other Notes
(amortized cost $410,073,972)

410,073,972

Total Investments - 76.4%
(amortized cost $2,709,313,042)

2,709,313,042

Repurchase Agreements - 25.0%

Government Agency Repurchase Agreements - 1.4%

Agreement with Goldman Sachs & Co. and The Bank of New York Mellon Corp. (Tri-Party) of $25,000,000 dated February 27, 2015 at 0.460% to be repurchased at $25,000,958 on March 2, 2015, collateralized by: $25,808,000 par various United States Government Mortgage Agency Obligations valued at $25,500,743.

25,000,000

Agreement with Goldman Sachs & Co. and The Bank of New York Mellon Corp. (Tri-Party) of $25,000,000 dated February 27, 2015 at 0.400% to be repurchased at $25,000,833 on March 2, 2015, collateralized by: $25,718,000 par various United States Government Mortgage Agency Obligations valued at $25,500,940.

25,000,000

Total Government Agency Repurchase Agreements
(identified cost $50,000,000)

50,000,000

Treasury Repurchase Agreements - 21.9%

Agreement with Federal Reserve Bank and The Bank of New York Mellon Corp. (Tri-Party) of $200,000,000 dated February 27, 2015 at 0.060% to be repurchased at $200,002,000 on March 5, 2015, collateralized by: $197,109,400 par various United States Government Treasury Obligations valued at $200,001,341.

200,000,000

Agreement with Federal Reserve Bank and The Bank of New York Mellon Corp. (Tri-Party) of $575,000,000 dated February 27, 2015 at 0.050% to be repurchased at $575,002,396 on March 2, 2015, collateralized by: $551,185,400 par various United States Government Treasury Obligations valued at $575,002,465.

575,000,000

Total Treasury Repurchase Agreements
(identified cost $775,000,000)

775,000,000

Other Repurchase Agreements - 1.7%

Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $25,000,000 dated February 27, 2015 at 0.700% to be repurchased at $25,001,458 on March 2, 2015, collateralized by: $48,224,149 par various Corporate Bond and United States Government Treasury Obligations valued at $25,681,834.

25,000,000

Agreement with Credit Suisse Securities (USA) LLC and JP Morgan Chase & Co. (Tri-Party) of $10,000,000 dated February 27, 2015 at 0.470% to be repurchased at $10,000,392 on March 2, 2015, collateralized by: $10,144,000 par various Corporate Bond and Federal National Mortgage Association valued at $10,229,006.

10,000,000


6		SSGA Money Market Fund

SSGA Money Market Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Value $
Agreement with JPM Chase and JP Morgan Chase & Co. (Tri-Party) of $25,000,000 dated February 27, 2015 at 0.373% to be repurchased at $25,003,626 on March 13, 2015, collateralized by: $26,572,530 par various Corporate Bonds valued at $27,001,827.		25,000,000


Total Other Repurchase Agreements (identified cost $60,000,000)		60,000,000


Total Repurchase Agreements (identified cost $885,000,000)		885,000,000


Total Investments and Repurchase Agreements - 101.4% (c) (cost $3,594,313,042) (d)		3,594,313,042

Other Assets and Liabilities, Net - (1.4)%		(50,682,758	)


Net Assets - 100.0%		3,543,630,284

Footnotes:

#	For purposes of this report, for non-interest bearing Commercial Paper and Discount Notes, the discount rate at purchase is used to populate the coupon rate column.

(a)

Rule 144A, Section 4(2) or other security, which is restricted to resale to institutional investors. The Portfolio’s investment manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $720,285,509 or 20.3% of net assets as of February 28, 2015.

(b)	Adjustable or floating rate security. Rate shown reflects rate in effect at period end.

(c)	Unless otherwise indicated, the values of securities of the Fund are determined based on Level 2 inputs (Note 2).

(d)	The cost of securities for federal income tax purposes is substantially the same as for financial reporting purposes.

Presentation of Portfolio Holdings — February 28, 2015 (Unaudited)


Categories	% of Net Assets

Asset Backed Commercial Paper		3.9
Certificates of Deposit		40.0
Financial Company Commercial Paper		20.9
Other Notes		11.6
Repurchase Agreements		25.0

Total Investments and Repurchase Agreements		101.4
Other Assets and Liabilities, Net		(1.4	)


		100.0

See accompanying notes which are an integral part of the financial statements.


SSGA Money Market Fund			7

SSGA U.S. Government Money Market Fund

Shareholder Expense Example — February 28, 2015 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Beginning Account Value
September 1, 2014		0.08	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,000.00	$	1,024.40
Expenses Paid During Period*				$	0.40	$	0.40


8		SSGA U.S. Government Money Market Fund

SSGA U.S. Government Money Market Fund

Schedule of Investments — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Rate % (#)		Date of Maturity		Value $
Government Agency Debt - 64.6%
Federal Farm Credit Bank		38,750,000		0.115		03/04/15		38,749,983
Federal Farm Credit Bank		14,000,000		0.081		04/21/15		13,998,413
Federal Farm Credit Bank (next reset date 03/05/15) (a)		20,000,000		0.141		01/05/16		20,000,000
Federal Farm Credit Bank (next reset date 03/09/15) (a)		14,400,000		0.141		12/09/15		14,400,000
Federal Farm Credit Bank (next reset date 03/11/15) (a)		19,000,000		0.142		01/11/16		19,000,000
Federal Farm Credit Bank (next reset date 03/18/15) (a)		24,000,000		0.133		02/18/16		23,997,944
Federal Home Loan Bank		28,000,000		0.107		03/04/15		27,999,750
Federal Home Loan Bank		25,000,000		0.100		03/05/15		24,999,978
Federal Home Loan Bank		57,000,000		0.128		03/18/15		57,000,068
Federal Home Loan Bank		37,500,000		0.092		03/25/15		37,497,675
Federal Home Loan Bank		54,000,000		0.073		04/06/15		53,996,058
Federal Home Loan Bank		29,000,000		0.100		04/10/15		28,996,778
Federal Home Loan Bank		80,000,000		0.104		04/15/15		79,989,600
Federal Home Loan Bank		37,500,000		0.101		04/22/15		37,494,529
Federal Home Loan Bank		52,000,000		0.091		04/24/15		51,992,980
Federal Home Loan Bank		19,000,000		0.095		04/24/15		18,997,293
Federal Home Loan Bank		19,000,000		0.098		04/24/15		18,997,207
Federal Home Loan Bank		13,000,000		0.093		04/29/15		12,998,040
Federal Home Loan Bank		11,000,000		0.095		04/29/15		10,998,305
Federal Home Loan Bank		54,000,000		0.083		05/01/15		53,992,405
Federal Home Loan Bank		24,000,000		0.077		05/06/15		23,996,612
Federal Home Loan Bank		35,000,000		0.078		05/06/15		34,994,995
Federal Home Loan Bank		125,000,000		0.073		05/08/15		124,982,528
Federal Home Loan Bank		52,000,000		0.072		05/13/15		51,992,355
Federal Home Loan Bank		34,000,000		0.073		05/13/15		33,994,898
Federal Home Loan Bank		60,000,000		0.077		05/15/15		59,990,250
Federal Home Loan Bank		75,000,000		0.075		05/20/15		74,987,333
Federal Home Loan Bank		100,000,000		0.074		05/22/15		99,982,917
Federal Home Loan Bank		10,000,000		0.140		06/03/15		9,996,397
Federal Home Loan Bank		2,000,000		0.142		06/03/15		1,999,269
Federal Home Loan Bank (next reset date 03/25/15) (a)		28,000,000		0.151		01/25/16		28,000,000
Federal Home Loan Mortgage Corp.		70,900,000		0.091		03/02/15		70,899,823
Federal Home Loan Mortgage Corp.		73,000,000		0.310		03/03/15		73,000,944
Federal Home Loan Mortgage Corp.		21,000,000		0.085		03/09/15		20,999,603
Federal Home Loan Mortgage Corp.		16,290,000		0.055		03/12/15		16,289,726
Federal Home Loan Mortgage Corp.		26,000,000		0.095		03/16/15		25,998,971
Federal Home Loan Mortgage Corp.		40,800,000		0.070		03/25/15		40,798,096
Federal Home Loan Mortgage Corp.		55,650,000		0.071		04/01/15		55,646,646
Federal Home Loan Mortgage Corp.		62,000,000		0.111		04/13/15		61,991,854
Federal Home Loan Mortgage Corp.		9,000,000		0.096		04/21/15		8,998,789
Federal Home Loan Mortgage Corp.		11,000,000		0.101		04/24/15		10,998,350
Federal Home Loan Mortgage Corp.		75,000,000		0.091		05/08/15		74,987,250
Federal Home Loan Mortgage Corp.		15,000,000		0.111		05/26/15		14,996,058
Federal Home Loan Mortgage Corp.		25,000,000		0.132		06/08/15		24,991,063
Federal Home Loan Mortgage Corp.		21,000,000		0.133		06/08/15		20,992,435
Federal Home Loan Mortgage Corp.		26,000,000		0.150		06/15/15		25,988,670
Federal Home Loan Mortgage Corp. (next reset date 03/17/15) (a)		37,000,000		0.163		07/17/15		37,003,101
Federal National Mortgage Assoc.		29,000,000		0.110		03/18/15		28,998,494
Federal National Mortgage Assoc.		50,000,000		0.086		04/01/15		49,996,340
Federal National Mortgage Assoc.		40,000,000		0.091		04/02/15		39,996,800
Federal National Mortgage Assoc.		38,000,000		0.064		04/15/15		37,997,007
Federal National Mortgage Assoc.		75,000,000		0.096		04/16/15		74,990,896
Federal National Mortgage Assoc.		77,750,000		0.081		04/22/15		77,741,016


SSGA U.S. Government Money Market Fund			9

SSGA U.S. Government Money Market Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Rate % (#)		Date of Maturity		Value $
Federal National Mortgage Assoc.		27,000,000		0.071		04/27/15		26,997,007
Federal National Mortgage Assoc.		34,000,000		0.090		05/01/15		33,994,815
Federal National Mortgage Assoc.		10,000,000		0.111		05/13/15		9,997,769
Federal National Mortgage Assoc.		34,000,000		0.100		05/21/15		33,992,350
Federal National Mortgage Assoc.		24,000,000		0.106		06/02/15		23,993,490
Federal National Mortgage Assoc.		38,785,000		0.142		06/10/15		38,769,766
Federal National Mortgage Assoc.		24,000,000		0.111		06/15/15		23,992,227


Total Government Agency Debt (amortized cost $2,277,053,916)								2,277,053,916


Treasury Debt - 1.9%
U.S. Treasury Note (next reset date 03/02/15) (a)		11,000,000		0.089		04/30/16		11,000,195
U.S. Treasury Note (next reset date 03/02/15) (a)		10,000,000		0.073		10/31/16		9,990,356
U.S. Treasury Note (next reset date 03/02/15) (a)		45,000,000		0.065		01/31/16		44,990,023


Total Treasury Debt (amortized cost $65,980,574)								65,980,574


Total Investments - 66.5% (amortized cost $2,343,034,490)								2,343,034,490


Repurchase Agreements - 23.4%
Government Agency Repurchase Agreements - 7.6%
Agreement with BNP Paribas and The Bank of New York Mellon Corp. (Tri-Party) of $125,000,000 dated February 27, 2015 at 0.080% to be repurchased at $125,000,833 on March 2, 2015, collateralized by: $122,113,000 par various United States Government Mortgage Obligations valued at $127,500,224.								125,000,000
Agreement with Calyon Financial, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $94,000,000 dated February 27, 2015 at 0.060% to be repurchased at $94,000,470 on March 2, 2015, collateralized by: $93,262,200 par various United States Government Mortgage Obligations valued at $95,880,228.								94,000,000
Agreement with Societe Generale and The Bank of New York Mellon Corp. (Tri-Party) of $50,000,000 dated February 27, 2015 at 0.080% to be repurchased at $50,000,333 on March 2, 2015, collateralized by: $48,331,000 par various United States Government Mortgage Obligations valued at $51,005,394.								50,000,000


Total Government Agency Repurchase Agreements (identified cost $269,000,000)								269,000,000


Treasury Repurchase Agreements - 15.8%
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $60,000,000 dated February 27, 2015 at 0.030% to be repurchased at $60,000,150 on March 2, 2015, collateralized by: $60,611,400 par various United States Government Treasury Obligations valued at $61,200,054.								60,000,000
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $71,000,000 dated February 27, 2015 at 0.050% to be repurchased at $71,000,296 on March 2, 2015, collateralized by: $51,750,300 par various United States Government Treasury Obligations valued at $72,420,004.								71,000,000


10		SSGA U.S. Government Money Market Fund

SSGA U.S. Government Money Market Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Value $
Agreement with Calyon Financial, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $45,000,000 dated February 27, 2015 at 0.080% to be repurchased at $45,000,300 on March 2, 2015, collateralized by: $45,903,500 par various United States Government Treasury Obligations valued at $45,900,011.		45,000,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $75,000,000 dated February 27, 2015 at 0.070% to be repurchased at $75,000,438 on March 2, 2015, collateralized by: $67,311,700 par various United States Government Treasury Obligations valued at $76,500,017.		75,000,000
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon Corp. (Tri-Party) of $150,000,000 dated February 27, 2015 at 0.050% to be repurchased at $150,001,250 on March 5, 2015, collateralized by: $150,154,669 par various United States Government Treasury Obligations valued at $153,000,083.		150,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party) of $100,000,000 dated February 27, 2015 at 0.040% to be repurchased at $100,000,333 on March 2, 2015, collateralized by: $90,184,700 par various United States Government Treasury Obligations valued at $102,002,615.		100,000,000
Agreement with Societe Generale and The Bank of New York Mellon Corp. (Tri-Party) of $55,000,000 dated February 27, 2015 at 0.070% to be repurchased at $55,000,321 on March 2, 2015, collateralized by: $45,490,600 par various United States Government Treasury Obligations valued at $56,100,096.		55,000,000


Total Treasury Repurchase Agreements (identified cost $556,000,000)		556,000,000


Total Repurchase Agreement (identified cost $825,000,000)		825,000,000


Total Investments and Repurchase Agreements - 89.9% (b) (cost $3,168,034,490) (c)		3,168,034,490

Other Assets and Liabilities, Net - 10.1%		355,474,202


Net Assets - 100.0%		3,523,508,692

Footnotes:

#	For purposes of this report, for non-interest bearing Commercial Paper and Discount Notes, the discount rate at purchase is used to populate the coupon rate column.

(a)	Adjustable or floating rate security. Rate shown reflects rate in effect at period end.

(b)	Unless otherwise indicated, the values of securities of the Fund are determined based on Level 2 inputs (Note 2).

(c)	The cost of securities for federal income tax purposes is substantially the same as for financial reporting purposes.

See accompanying notes which are an integral part of the financial statements.


SSGA U.S. Government Money Market Fund			11

SSGA U.S. Government Money Market Fund

Presentation of Portfolio Holdings — February 28, 2015 (Unaudited)


Categories	% of Net Assets

Government Agency Debt		64.6
Treasury Debt		1.9
Repurchase Agreements		23.4

Total Investments and Repurchase Agreements		89.9
Other Assets and Liabilities, Net		10.1


		100.0

See accompanying notes which are an integral part of the financial statements.


12		SSGA U.S. Government Money Market Fund

SSGA Money Market Funds

Statements of Assets and Liabilities — February 28, 2015 (Unaudited)


	SSGA Money Market Fund		SSGA U.S. Government Money Market Fund


Assets
Investments, at identified cost	$	2,709,313,042	$	2,343,034,490
Investments at amortized cost which approximates value		2,709,313,042		2,343,034,490
Repurchase agreements at cost which approximates value		885,000,000		825,000,000
Cash		370		355,974,895
Receivables:
Interest		669,426		156,374
Fund shares sold		141,728		106,770
From adviser		1,288,797		2,409,426
Prepaid expenses		40,690		37,965

Total assets		3,596,454,053		3,526,719,920


Liabilities
Payables:
Investments purchased		50,000,000		—
Fund shares redeemed		11,238		120
Accrued fees to affiliates and trustees		2,703,397		3,156,130
Other accrued expenses		108,818		54,978
Income distribution		316		—

Total liabilities		52,823,769		3,211,228


Net Assets	$	3,543,630,284	$	3,523,508,692


Net Assets Consist of:
Distributions in excess of net investment income	$	—	$	—
Accumulated net realized gain (loss)		12,691		(4,874	)
Paid in capital		3,543,617,593		3,523,513,566

Net Assets	$	3,543,630,284	$	3,523,508,692


Net Asset Value, offering and redemption price per share:
Net asset value per share:	$	1.00	$	1.00
Net assets	$	3,543,630,284	$	3,523,508,692
Shares outstanding ($0.001 par value)		3,543,638,032		3,523,596,989

See accompanying notes which are an integral part of the financial statements.


Statements of Assets and Liabilities			13

SSGA Money Market Funds

Statements of Operations — For the Period Ended February 28, 2015 (Unaudited)


	SSGA Money Market Fund			SSGA U.S. Government Money Market Fund

Investment Income
Interest	$	3,460,118		$	1,521,945

Total investment income		3,460,118			1,521,945


Expenses
Advisory fees		4,321,033			4,907,528
Administration fees		243,032			274,877
Custodian fees		219,801			380,553
Distribution fees		950,627			1,079,656
Transfer agent fees		43,440			32,679
Professional fees		51,494			47,091
Registration fees		20,995			17,781
Shareholder servicing fees		432,103			490,753
Trustees’ fees		36,691			33,300
Insurance fees		29,845			27,187
Printing fees		59,053			17,495
Miscellaneous		31,790			28,460

Expenses before reductions		6,439,904			7,337,360
Expense reductions		(2,979,786	)		(5,815,415	)

Net expenses		3,460,118			1,521,945

Net investment income (loss)		—			—


Net Realized Gain
Net realized gain on investments		19,397			4,246

Net Increase (Decrease) in Net Assets from Operations	$	19,397		$	4,246

See accompanying notes which are an integral part of the financial statements.


14		Statements of Operations

SSGA Money Market Funds

Statements of Changes in Net Assets


	SSGA Money Market Fund						SSGA U.S. Government Money Market Fund
	Six Months Ended February 28, 2015 (Unaudited)			Year Ended August 31, 2014			Six Months Ended February 28, 2015 (Unaudited)			Year Ended August 31, 2014

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	—		$	35,749		$	—		$	—
Net realized gain (loss)		19,397			27,394			4,246			(3,338	)

Net increase (decrease) in net assets from operations		19,397			63,143			4,246			(3,338	)


Distributions
From net investment income		—			(230,129	)		—			(4,051	)
From net realized gains		(26,778	)		(106,465	)		—			(3,148	)

Net decrease in net assets from distributions		(26,778	)		(336,594	)		—			(7,199	)


Share Transactions
Net increase (decrease) in net assets from share transactions		110,557,520			(2,067,415,581	)		(618,011,054	)		(202,559,003	)

Net Increase (Decrease) in Net Assets		110,550,139			(2,067,689,032	)		(618,006,808	)		(202,569,540	)

Net Assets
Beginning of period		3,433,080,145			5,500,769,177			4,141,515,500			4,344,085,040


End of period	$	3,543,630,284		$	3,433,080,145		$	3,523,508,692		$	4,141,515,500


Distributions in excess of net investment income included in net assets	$	—		$	—		$	—		$	—

See accompanying notes which are an integral part of the financial statements.


Statements of Changes in Net Assets			15

SSGA Money Market Funds

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each period is presented below.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(b)			$ Net Realized and Unrealized Gain (Loss)			$ Total from Investment Operations			$ Distributions from Net Investment Income			$ Distributions from Net Realized Gain
SSGA Money Market Fund
February 28, 2015*		1.0000		—			—	(e)		—	(e)		—			—	(e)
August 31, 2014		1.0000		0.0001			—	(e)		0.0001			(0.0001	)		—	(e)
August 31, 2013		1.0000		0.0001			—	(e)		0.0001			(0.0001	)		—
August 31, 2012		1.0000		0.0001			—	(e)		0.0001			(0.0001	)		—
August 31, 2011		1.0000		0.0001			—	(e)		0.0001			(0.0001	)		—
August 31, 2010		1.0000		0.0002			—	(e)		0.0002			(0.0002	)		—
SSGA U.S. Government Money Market Fund
February 28, 2015*		1.0000		—			—	(e)		—	(e)		—			—
August 31, 2014		1.0000		—			—	(e)		—	(e)		—	(e)		—	(e)
August 31, 2013		1.0000		—			—			—			—			—
August 31, 2012		1.0000		—	(e)		—	(e)		—	(e)		—	(e)		—
August 31, 2011		1.0000		—			—			—			—			—
August 31, 2010		1.0000		—	(e)		—			—	(e)		—	(e)		—

For the six months ended February 28, 2015 (Unaudited)

(a)

Average daily shares outstanding were used for this calculation.

(b)

Reflects amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements.

(c)

Periods less than one year are not annualized.

(d)

The ratios for periods less than one year are annualized.

(e)

Less than $0.0001 per share.

(f)

Less than 0.005% of average net assets.

(g)

Less than 0.005%.

See accompanying notes which are an integral part of the financial statements.


16		Financial Highlights


$ Total Distributions			$ Net Asset Value, End of Period		% Total Return(c)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Net(b)(d)		% Ratio of Expenses to Average Net Assets, Gross(d)		% Ratio of Net Investment Income to Average Net Assets(b)(d)

	—	(e)		1.0000		—	(g)		3,543,630		0.20		0.37		—
	(0.0001	)		1.0000		0.01			3,433,080		0.19		0.37		—	(f)
	(0.0001	)		1.0000		0.01			5,500,769		0.25		0.38		0.01
	(0.0001	)		1.0000		0.01			5,556,226		0.29		0.39		0.01
	(0.0001	)		1.0000		0.01			6,635,185		0.31		0.38		0.01
	(0.0002	)		1.0000		0.02			7,019,663		0.32		0.39		0.02

	—			1.0000		—			3,523,509		0.08		0.37		—
	—	(e)		1.0000		—	(g)		4,141,516		0.08		0.37		—
	—			1.0000		—			4,344,085		0.13		0.39		—
	—	(e)		1.0000		—	(g)		4,043,417		0.10		0.39		—	(f)
	—			1.0000		—			4,469,541		0.16		0.39		—
	—	(e)		1.0000		—			3,491,968		0.20		0.37		—	(f)

See accompanying notes which are an integral part of the financial statements.


Financial Highlights			17

SSGA Money Market Funds

Notes to Financial Statements — February 28, 2015 (Unaudited)

Organization


Fund	Classes		Commencement of Operations:

SSGA Money Market Fund		Class N		May 2, 1998
SSGA US Government Money Market Fund		Class N		March 1, 1991

The other nine (9) series are included in separate Semiannual Reports.

SSGA Money Market Fund and SSGA U.S. Government Money Market Fund are each considered to be money market funds pursuant to Rule 2a-7 under the 1940 Act. It is the policy of the Funds to maintain a stable net asset value per share of $1.00. However, there is no assurance the Funds will be able to maintain a stable net asset value per share.

An investment in the Funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of shareholders’ investment at $1.00 per share, it is possible to lose money by investing in the Funds.

The Funds are investment companies and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services — Investment Companies.

Recent Regulatory Action

On July 23, 2014, the U.S. Securities and Exchange Commission (“SEC”) adopted amendments to the governing rules for money market funds. The amendments require that, following a two-year implementation timeframe, institutional prime and institutional tax exempt money market funds adopt a floating net asset value. The rule changes also allow for certain liquidity-based redemption fees and gate, and include enhanced requirements for disclosure and stress testing. The degree to which a money market fund will be impacted by the rule amendments will depend upon the type of fund and type of investors (retail or institutional). At this time, management is evaluating the implications of these amendments and their impact to the Funds’ financial statements and accompanying notes.

Significant Accounting Policies

Security Valuation

As permitted in accordance with Rule 2a-7 of the 1940 Act, each Fund values portfolio investments using the amortized cost method which approximates fair market value. Under this method, each portfolio instrument is initially valued at cost, and thereafter assumes a constant accretion/amortization to maturity date of any discount or premium. Each 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 (the “Board”). The Board has adopted procedures concerning securities valuation, under which an Oversight Committee makes determinations as to whether market quotations are not readily available or do not otherwise accurately reflect the fair value of the security. The Oversight Committee, or a subgroup thereof,


18		Notes to Financial Statements

SSGA Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

subject to oversight by the Board, may use fair value pricing in a variety of circumstances, including but not limited to, situations when trading in a security has been suspended or halted. If amortized cost is determined not to approximate fair value, the value of the portfolio securities will be determined under procedures established by and under the general supervision of the Oversight Committee. The Oversight Committee will assist in overseeing the comparison of amortized cost to market-based value. Fair value pricing involves subjective judgments and it is possible that the fair value determination for a security is materially different than the value that could be received on the sale of the security.

The three tier hierarchy of inputs is summarized below:

•

Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

•

Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are non-active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

•

The following is a summary of the inputs used, as of February 28, 2015, in valuing the Portfolios’ assets carried at fair value:


	Investments in Securities
Valuation Inputs	SSGA Money Market Fund		SSGA U.S. Government Money Market Fund

Level 1 — Quoted Prices	$	—	$	—
Level 2 — Quoted Prices		3,594,313,042		3,168,034,490
Level 3 — Quoted Prices		—		—

Total Investments	$	3,594,313,042	$	3,168,034,490

The type of inputs used to value each security under the provisions surrounding fair value measurement and disclosures is identified in each Schedule of Investments, which also includes a breakdown of the Portfolios’ investments by category.

Investments that use Level 2 or Level 3 inputs may include, but are not limited to: (i) an unlisted security related to corporate actions; (ii) a restricted security (e.g., one that may not be publicly sold without registration under the Securities Act of 1933, as amended); (iii) a security whose trading has been suspended or which has been de-listed from its primary trading exchange; (iv) a security that is thinly traded; (v) a security in default or bankruptcy proceedings for which there is no current market quotation; (vi) a security affected by currency controls or restrictions; and (vii) a security affected by a significant event (e.g., an event that occurs after the close of the markets on which the security is traded but before the time as of which the Portfolios’ net assets are computed and that may materially affect the value of the Portfolio’s investments). The valuation of fixed income securities held by the Portfolios are obtained from an independent pricing service and categorized as Level 2 based on the use of other significant observable market based inputs (including quoted prices for similar securities, interest rates, prepayment speed, credit risk, etc). Examples of events that may be “significant events” are government actions, natural disasters, armed conflict, acts of terrorism, and significant market fluctuations.

Fair value pricing could result in a difference between the prices used to calculate a Portfolio’s net asset value and the prices used by such Portfolio’s benchmark index, which, in turn, could result in a difference between a Portfolio’s performance and the performance of such Portfolio’s benchmark index.


Notes to Financial Statements			19

SSGA Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments.

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the period. As of the period ended February 28, 2015, there were no transfers between levels.

Securities Transactions

Securities transactions are recorded on a trade date basis, which in most instances is the same as the settlement date. Realized gains and losses from securities transactions, if any, are recorded on the basis of identified cost which is the same basis used for federal income taxes.

Investment Income

Interest income is recorded daily on an accrual basis and includes amortization of premium and accretion of discount on investments. Premium is amortized and discount is accreted using the straight line method. Distributions received on securities that represent a return on capital or capital gains are recorded as a reduction on cost of investments and/or as a realized gain.

Federal Income Taxes

Since the Trust 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 (the “Code”), as amended. This requires each Fund to distribute an amount sufficient to avoid any excise tax under Section 4982 of the Code. Therefore, for the year ended August 31, 2014, the Funds paid no federal income taxes and no federal income tax provision was required for the Funds.

Each Fund files a U.S. tax return. At February 28, 2015, the Funds had recorded no liabilities for net unrecognized tax benefits relating to uncertain income tax positions they have taken or expect to take in future tax returns. The Funds may be subject to potential examinations by certain taxing authorities for all open tax years (the current and prior years, as applicable). There are no examinations in progress or anticipated at this time. The Funds are not aware of any tax positions for which it is reasonably possible that the total amounts of unrecognized tax benefits will significantly change in the next twelve months.

The Funds may have net tax basis capital loss carryforwards which may be applied against any realized net taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first. At August 31, 2014, the Funds had no net tax basis capital loss carryforwards.

Dividends and Distributions to Shareholders

The Funds declare and record dividends on net investment income daily and pay them monthly. Capital gain distributions, if any, 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. Each Fund may periodically make reclassifications among certain of its capital accounts without impacting net asset value for differences between federal tax regulations and U.S. GAAP. The amount and character of income and gains to be distributed are determined in accordance with federal income tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. These differences relate primarily to capital loss carryforwards.

Expenses


20		Notes to Financial Statements

SSGA Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

Repurchase Agreements

The Funds may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to the Funds to repurchase the securities at a mutually agreed-upon price and time. The total amount received by the Funds on repurchase is calculated to exceed the price paid by the Funds, reflecting an agreed-upon market rate of interest for the period of time to the settlement date, and is not necessarily related to the interest rate on the underlying securities. The underlying securities are ordinarily United States Government securities or Government Agency securities, but the underlying securities on the SSGA Money Market Fund may consist of other securities such as Corporate Bonds in limited circumstances. The value of the underlying securities, at the time of purchase and each subsequent business day, is required to be maintained at such a level that the value is equal to at least the principal amount of the repurchase price plus accrued interest. The use of repurchase agreements involves certain risks. Upon an event of default under the Master Repurchase Agreement, if the seller of securities under a repurchase agreement defaults on its obligation to repurchase the underlying securities (as a result of its bankruptcy or otherwise) the Funds will seek to dispose of such securities; this action could involve losses, costs or delays. The Funds may enter into repurchase agreements maturing within a specified date with domestic dealers, banks and other financial institutions deemed to be creditworthy by the Funds’ investment adviser.

Contractual Obligation/Indemnification

Related Party Transactions, Fees and Expenses

Adviser and Affiliates

SSGA Funds Management, Inc. (the “Adviser”), manages the Funds pursuant to an Amended and Restated Investment Advisory Agreement dated April 14, 2012, between the Trust and the Adviser. The Adviser is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Adviser and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Adviser directs the investments of each Fund in accordance with its investment objectives, policies, and limitations. For these services, the Funds pay a fee to the Adviser, calculated daily and paid monthly at the annual rate of 0.25% of their daily net assets.

The Adviser is contractually obligated until December 31, 2015 to waive its management fee on the SSGA Money Market Fund and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 0.32% of average daily net assets on an annual basis. For the period ended February 28, 2015, there were no contractual waivers or reimbursements for the SSGA Money Market Fund. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

The Adviser is contractually obligated until December 31, 2015 to waive its management fee on the SSGA U.S. Government Money Market Fund and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of nonrecurring account fees, extraordinary expenses and acquired fund fees) exceed 0.32% of average daily net assets on an annual basis. For the period ended February 28, 2015, there were no contractual waivers or reimbursements for the SSGA U.S. Government Money Market Fund. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.


Notes to Financial Statements			21

SSGA Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

obligated to reimburse the Adviser: more than three years after the end of the fiscal year for the Fund in which the Adviser provided a Voluntary Reduction; in respect of any business day for which the net annualized one-day yield is less than 0.00%; to the extent that the amount of the reimbursement to the Adviser on any day exceeds fifty percent of the yield (net of all expenses, exclusive of the reimbursement) of the Fund on that day; to the extent that the amount of such reimbursement would cause the Fund’s net yield to fall below the Fund’s minimum net yield; or in respect of any fee waivers and/or expense reimbursements that are necessary to maintain a Fund’s contractual total expense limit which is effective at the time of such fee waivers and/or expense reimbursements. A reimbursement to the Adviser could negatively impact the SSGA Money Market Fund’s and the SSGA U.S. Government Money Market Fund’s future yield. There is no guarantee that either the SSGA Money Market Fund or the SSGA U.S. Government Money Market Fund will be able to avoid a negative yield. The Adviser may, in its sole discretion, irrevocably waive receipt of any or all reimbursement amounts due from a Fund, without limitation. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the period ended February 28, 2015, the Adviser waived $2,979,786 of its fee and reimbursed $0 of expenses on the SSGA Money Market Fund and waived $4,907,528 of its fee and reimbursed $907,887 of expenses on the SSGA U.S. Government Money Market Fund. Voluntary reductions subject to potential recovery by year of expiration are as follows:


Expiration	SSGA Money Market Fund		SSGA U.S. Government Money Market Fund

8/31/2015	$	265,443	$	695,151
8/31/2016	$	6,490,477	$	9,294,397
8/31/2017	$	7,368,968	$	9,815,855

State Street Bank and Trust Company (“State Street”), wholly-owned subsidiary of State Street Corporation, provides custody and fund accounting services to the Funds pursuant to an Amended and Restated Custodian Contract dated April 11, 2012. For these services, the Funds pay State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

Administrator

Distributor and Shareholder Servicing

The Trust has adopted a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under this Plan, the Trust 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 Trust and the servicing of investor accounts.


22		Notes to Financial Statements

SSGA Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

To compensate the Distributor for the services it provides and for the expenses it bears in connection with the distribution of shares of the Fund, that Fund may make payments from the assets attributable to certain classes of its shares to the Distributor under a distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act (the “Plan”). The Plan is a compensation plan that provides for payments at annual rates (based on average daily net assets) described below.

Additionally, the Board approved the following limits on the amount of Rule 12b-1 fees the Distributor is reimbursed pursuant to the Plan:


	12b-1 Fee Limit

SSGA Money Market Fund		0.08	%
SSGA U.S. Government Money Market Fund		0.08	%

The compensation paid by the Distributor to a financial intermediary may be paid continually over time, during the period when the intermediary’s clients hold investments in the Funds. The compensation to financial intermediaries includes networking fees and account-based fees. The amount of continuing compensation paid by the Distributor to different financial intermediaries varies. Some portion of the Distributor’s payments to financial intermediaries will be made out of amounts received by the Distributor under the Funds’ Plans. In addition, certain of the Funds may reimburse the Distributor for payments the Distributor makes to financial intermediaries that provide certain recordkeeping, administrative and account maintenance services. The amount of the reimbursement is calculated in a manner approved by the Trustees and is reviewed by the Trustees periodically. A Fund may pay distribution fees, service fees and other amounts described above at a time when shares of the Fund are not being actively promoted to new investors generally, or when shares of that Fund are unavailable for purchase.

Each Fund listed in the table below has shareholder service agreements with State Street and the following entities related to State Street: SSGM, Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”), High Net Worth Services Division of State Street (“High Net Worth Services”) and Wealth Management Systems (collectively, the “Agents”), as well as several unaffiliated service providers. For these services, each Institutional Class pays 0.025% to State Street and a maximum of 0.175% to each of the affiliated Agents, based on the average daily value of all Institutional Class shares held by


Notes to Financial Statements			23

SSGA Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

or for customers of these Agents. For the period ended February 28, 2015, each Fund paid the following shareholder servicing expenses to the Agents:


	State Street		SSGM		High Net Worth Services		Wealth Management Systems

SSGA Money Market Fund	$	401,360	$	92,036	$	3,028	$	55,931
SSGA U.S. Government Money Market Fund		471,981		—		564,257		46,046

The Fund(s) did not incur any expenses from Fiduciary Investors Services during the year.

Board of Trustees

Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Co-Chairmen each receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this Shareholder Report, the Trustees were not paid pension or retirement benefits as part of SSGA Funds’ expenses. However, the SSGA Funds have, pursuant to an exemptive order from the SEC, implemented an optional deferred compensation plan by which the Independent Trustees may defer receipt of compensation and receive a return on the deferred amount determined with reference to the performance of shares of specified SSGA Funds. As of the fiscal year ended August 31, 2014, none of the Independent Trustees participated in the optional deferred compensation program. The SSGA Funds’ officers are compensated by the Adviser and its affiliates.

Accrued fees payable to affiliates and trustees as of February 28, 2015 were as follows:


	SSGA Money Market Fund		SSGA U.S. Government Money Market Fund

Advisory fees	$	1,406,137	$	1,490,159
Administration fees		200,534		228,961
Custodian fees		134,608		298,773
Distribution fees		932,438		1,126,300
Transfer agent fees		17,527		8,268
Trustees’ fees		12,153		3,669

	$	2,703,397	$	3,156,130


24		Notes to Financial Statements

SSGA Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

Fund Share Transactions (On a Constant Dollar Basis)


	Period Ended February 28, 2015			Year Ended August 31, 2014

SSGA Money Market Fund
Proceeds from shares sold	$	14,914,996,106		$	39,918,886,419
Proceeds from reinvestment of distributions		10,040			111,117
Payments for shares redeemed		(14,804,448,626	)		(41,986,413,117	)

Net increase (decrease)	$	110,557,520		$	(2,067,415,581	)


	Period Ended February 28, 2015			Year Ended August 31, 2013

SSGA U.S. Government Money Market Fund
Proceeds from shares sold	$	25,792,723,156		$	49,706,658,546
Proceeds from reinvestment of distributions		—			915
Payments for shares redeemed		(26,410,734,210	)		(49,909,218,464	)

Net decrease	$	(618,011,054	)	$	(202,559,003	)

Interfund Lending Program

The SSGA Funds participate in a joint lending and borrowing facility (the “Interfund Lending Program”). Other SSGA Funds may borrow money from the SSGA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSGA Money Market Fund will lend through the Interfund Lending Program only when the returns are higher than those available from an investment in repurchase agreements or short-term reserves. The SSGA Funds will borrow through the Interfund Lending Program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSGA Money Market Fund could result in additional borrowing costs. For the period ended February 28, 2015, the Funds did not utilize the Interfund Lending Program.

Market, Credit and Counterparty Risk


Notes to Financial Statements			25

SSGA Money Market Funds

Shareholder Requests for Additional Information — February 28, 2015 (Unaudited)

The Funds have adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Funds have adopted to determine how to vote proxies relating to portfolio securities are contained in the Funds’ Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.SSGAfunds.com, (iii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the U.S. Securities and Exchange Commission’s public reference room.

The Funds will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’ semi-annual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.SSGAfunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.

The Funds file their monthly portfolio holdings with the U.S. Securities and Exchange Commission on Form N-MFP. The SEC delays the public availability of the information filed on Form N-MFP for 60 days after the end of the reporting period included in the filing. The Funds’ Form N-MFP is available (i) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (ii) at the Securities and Exchange Commission’s public reference room.


26		Shareholder Requests for Additional Information

SSGA Money Market Funds

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

(800) 647-7327

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Officers

Ellen M. Needham, President and Principal Executive Officer

Chad C. Hallett, Treasurer and Principal Accounting Officer

Ann M. Carpenter, Vice President and Assistant Treasurer

Brian Harris, Chief Compliance Officer

David James, Secretary

Joshua A. Weinberg, Chief Legal Officer

Kristin M. Schantz, Assistant Secretary

Investment Adviser

SSGA Funds Management, Inc.

State Street Financial Center,

One Lincoln Street

Boston, Massachusetts 02111-2900

Custodian and Office of Shareholder Inquiries

State Street Bank and Trust Company

1776 Heritage Drive

North Quincy, Massachusetts 02171

Transfer and Dividend Paying Agent

Boston Financial Data Services, Inc.

2000 Crown Colony Drive

Quincy, Massachusetts 02169

Distributor

State Street Global Markets, LLC

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Administrator

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, Massachusetts 02199

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, Massachusetts 02116

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the

prospectus carefully before you invest or send money.


Fund Management and Service Providers			27

IBG-14869

SSGAMMFDSAR

Semiannual Report

28 February 2015

SSGA Funds

Institutional Money Market Funds

SSGA U.S. Treasury Money Market Fund

SSGA Prime Money Market Fund

LOGO

SSGA Funds

Institutional Money Market Funds

Semiannual Report

February 28, 2015 (Unaudited)

Table of Contents


	Page
SSGA U.S. Treasury Money Market Fund		3
SSGA Prime Money Market Fund		7
Statements of Assets and Liabilities		12
Statements of Operations		13
Statements of Changes in Net Assets		14
Financial Highlights		16
Notes to Financial Statements		18
Shareholder Requests for Additional Information		26
Fund Management and Service Providers		27

“SSGA” is a registered trademark of State Street Corporation and is licensed for use by the SSGA Funds.

This page has been intentionally left blank.

SSGA U.S. Treasury Money Market Fund

Shareholder Expense Example — February 28, 2015 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Beginning Account Value
September 1, 2014		0.04	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,000.00	$	1,024.60
Expenses Paid During Period				$	0.20	$	0.20


SSGA U.S. Treasury Money Market Fund			3

SSGA U.S. Treasury Money Market Fund

Schedule of Investments — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Rate % (#)		Date of Maturity		Value $

Treasury Debt - 73.2%
U.S. Treasury Bill		325,000,000		0.027		03/05/15		324,999,025
U.S. Treasury Bill		250,000,000		0.050		03/05/15		249,998,611
U.S. Treasury Bill		100,000,000		0.048		03/12/15		99,998,549
U.S. Treasury Bill		225,000,000		0.010		03/19/15		224,998,875
U.S. Treasury Bill		100,000,000		0.030		03/19/15		99,998,500
U.S. Treasury Bill		250,000,000		0.046		03/19/15		249,994,250
U.S. Treasury Bill		275,000,000		0.016		03/26/15		274,996,944
U.S. Treasury Bill		200,000,000		0.042		03/26/15		199,994,097
U.S. Treasury Bill		275,000,000		0.040		04/02/15		274,990,222
U.S. Treasury Bill		250,000,000		0.028		04/09/15		249,992,552
U.S. Treasury Bill		50,000,000		0.045		04/09/15		49,997,563
U.S. Treasury Bill		275,000,000		0.030		04/16/15		274,989,458
U.S. Treasury Bill		65,000,000		0.025		04/23/15		64,997,608
U.S. Treasury Bill		235,000,000		0.028		04/23/15		234,990,486
U.S. Treasury Bill		300,000,000		0.028		04/30/15		299,986,250
U.S. Treasury Bill		275,000,000		0.018		05/07/15		274,991,043
U.S. Treasury Bill		250,000,000		0.026		05/14/15		249,986,639
U.S. Treasury Bill		75,000,000		0.028		05/14/15		74,995,760
U.S. Treasury Bill		50,000,000		0.060		05/14/15		49,993,833
U.S. Treasury Bill		207,000,000		0.011		05/21/15		206,994,877
U.S. Treasury Bill		68,000,000		0.013		05/21/15		67,998,088
U.S. Treasury Bill		300,000,000		0.017		05/28/15		299,987,167
U.S. Treasury Note		125,000,000		0.056		04/15/15		125,049,341
U.S. Treasury Note		70,000,000		0.075		05/15/15		70,025,308
U.S. Treasury Note (next reset date 03/02/15) (a)		92,000,000		0.065		01/31/16		91,979,325
U.S. Treasury Note (next reset date 03/02/15) (a)		17,000,000		0.089		04/30/16		17,000,302
U.S. Treasury Note (next reset date 03/02/15) (a)		18,000,000		0.073		10/31/16		17,982,641


Total Treasury Debt (amortized cost $4,721,907,314)								4,721,907,314


Total Investments - 73.2% (amortized cost $4,721,907,314)								4,721,907,314


Repurchase Agreements - 24.4%
Treasury Repurchase Agreements - 24.4%
Agreement with Bank of Nova Scotia and The Bank of New York Mellon Corp. (Tri-Party) of $100,907,000 dated February 27, 2015 at 0.060% to be repurchased at $100,907,505 on March 2, 2015, collateralized by: $101,446,557 par various United States Government Treasury Obligations valued at $102,925,674.								100,907,000
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $200,000,000 dated February 27, 2015 at 0.030% to be repurchased at $200,000,500 on March 2, 2015, collateralized by: $193,437,400 par various United States Government Treasury Obligations valued at $204,000,038.								200,000,000
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $225,000,000 dated February 27, 2015 at 0.050% to be repurchased at $225,000,938 on March 2, 2015, collateralized by: $199,552,500 par various United States Government Treasury Obligations valued at $229,500,017.								225,000,000


4		SSGA U.S. Treasury Money Market Fund

SSGA U.S. Treasury Money Market Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Value $

Agreement with BNP Paribas and The Bank of New York Mellon Corp. (Tri-Party) of $201,000,000 dated February 27, 2015 at 0.070% to be repurchased at $201,001,173 on March 2, 2015, collateralized by: $189,288,803 par various United States Government Treasury Obligations valued at $205,020,048.		201,000,000
Agreement with Calyon Financial, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $232,000,000 dated February 27, 2015 at 0.060% to be repurchased at $232,001,160 on March 2, 2015, collateralized by: $225,207,000 par various United States Government Treasury Obligations valued at $236,640,084.		232,000,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $15,000,000 dated February 27, 2015 at 0.060% to be repurchased at $15,000,075 on March 2, 2015, collateralized by: $15,273,200 par various United States Government Treasury Obligations valued at $15,300,276.		15,000,000
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon Corp. (Tri-Party) of $37,000,000 dated February 27, 2015 at 0.060% to be repurchased at $37,000,185 on March 2, 2015, collateralized by: $37,694,300 par various United States Government Treasury Obligations valued at $37,740,073.		37,000,000
Agreement with Credit Suisse Securities (USA) LLC and JP Morgan Chase & Co. (Tri-Party) of $70,000,000 dated February 27, 2015 at 0.060% to be repurchased at $70,000,350 on March 2, 2015, collateralized by: $64,071,950 par various United States Government Treasury Obligations valued at $71,402,843.		70,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party) of $100,000,000 dated February 27, 2015 at 0.040% to be repurchased at $100,000,444 on March 3, 2015, collateralized by: $110,162,743 par various United States Government Treasury Obligations valued at $102,002,235.		100,000,000
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party) of $50,000,000 dated February 27, 2015 at 0.040% to be repurchased at $50,000,167 on March 2, 2015, collateralized by: $53,735,000 par various United States Government Treasury Obligations valued at $51,000,428.		50,000,000
Agreement with Merrill Lynch and The Bank of New York Mellon Corp. (Tri-Party) of $100,000,000 dated February 27, 2015 at 0.060% to be repurchased at $100,000,500 on March 2, 2015, collateralized by: $113,246,127 par various United States Government Treasury Obligations valued at $102,000,005.		100,000,000
Agreement with Societe Generale and The Bank of New York Mellon Corp. (Tri-Party) of $240,000,000 dated February 27, 2015 at 0.070% to be repurchased at $240,001,400 on March 2, 2015, collateralized by: $210,456,400 par various United States Government Treasury Obligations valued at $244,800,044		240,000,000


Total Treasury Repurchase Agreements (identified cost $1,570,907,000)		1,570,907,000


Total Investments and Repurchase Agreements - 97.6% (b) (cost $6,292,814,314) (c)		6,292,814,314

Other Assets and Liabilities, Net - 2.4%		152,010,229


Net Assets - 100.0%		6,444,824,543


SSGA U.S. Treasury Money Market Fund			5

SSGA U.S. Treasury Money Market Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)

Footnotes:

#	For purposes of this report, for non-interest bearing Commercial Paper and Discount Notes, the discount rate at purchase is used to populate the coupon rate column.

(a)	Adjustable or floating rate security. Rate shown reflects rate in effect at period end.

(b)	Unless otherwise indicated, the values of securities of the Fund are determined based on Level 2 inputs (Note 2).

(c)	The cost of securities for federal income tax purposes is substantially the same as for financial reporting purposes.

Presentation of Portfolio Holdings — February 28, 2015 (Unaudited)


Categories	% of Net Assets

Treasury Debt		73.2
Repurchase Agreements		24.4

Total Investments and Repurchase Agreements		97.6
Other Assets and Liabilities, Net		2.4


		100.0

See accompanying notes which are an integral part of the financial statements.


6		SSGA U.S. Treasury Money Market Fund

SSGA Prime Money Market Fund

Shareholder Expense Example — February 28, 2015 (Unaudited)

Fund Expenses

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Annualized Expense Ratio			Actual Performance		Hypothetical Performance (5% return before expenses)*
Beginning Account Value
September 1, 2014		0.19	%	$	1,000.00	$	1,000.00
Ending Account Value
February 28, 2015				$	1,000.10	$	1,023.86
Expenses Paid During Period				$	0.94	$	0.95


SSGA Prime Money Market Fund			7

SSGA Prime Money Market Fund

Schedule of Investments — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Rate % (#)		Date of Maturity		Value $

Asset Backed Commercial Paper - 3.9%
Collateralized Commercial Paper Co. LLC		50,000,000		0.310		06/15/15		49,954,361
Kells Funding LLC (a)		50,000,000		0.190		04/29/15		49,984,431
Kells Funding LLC (a)		50,000,000		0.220		05/07/15		49,979,528
Kells Funding LLC (a)		100,000,000		0.210		05/14/15		99,956,833


Total Asset Backed Commercial Paper (amortized cost $249,875,153)								249,875,153


Certificates of Deposit - 38.8%
Bank of Montreal		50,000,000		0.210		05/15/15		50,000,000
Bank of Montreal		60,000,000		0.220		05/15/15		60,000,000
Bank of Montreal (next reset date 03/18/15) (b)		100,000,000		0.313		08/14/15		100,000,000
Bank of Nova Scotia (next reset date 03/05/15) (b)		48,000,000		0.271		11/05/15		48,000,000
Bank of Nova Scotia (next reset date 03/09/15) (b)		130,000,000		0.301		08/04/15		130,000,000
Bank of Nova Scotia (next reset date 03/10/15) (b)		50,000,000		0.272		11/05/15		50,000,000
Bank of Tokyo - Mitsubishi		75,000,000		0.200		03/24/15		75,000,000
Bank of Tokyo - Mitsubishi		50,000,000		0.220		04/27/15		50,000,000
Bank of Tokyo - Mitsubishi		50,000,000		0.240		05/29/15		50,000,000
Barclays Bank		75,000,000		0.270		05/15/15		75,000,000
Barclays Bank (next reset date 03/25/15) (b)		50,000,000		0.391		06/25/15		50,000,000
BNP Paribas		100,000,000		0.240		03/04/15		100,000,000
BNP Paribas		75,000,000		0.230		05/04/15		75,000,000
Canadian Imperial Bank of Commerce		15,000,000		0.200		04/20/15		15,000,000
Canadian Imperial Bank of Commerce (next reset date 03/05/15) (b)		75,000,000		0.331		07/31/15		75,000,000
Canadian Imperial Bank of Commerce (next reset date 03/16/15) (b)		39,000,000		0.292		02/16/16		39,000,000
Citibank NA		20,000,000		0.250		06/05/15		20,000,000
Citibank NA (next reset date 03/09/15) (b)		22,000,000		0.261		07/08/15		22,000,000
Credit Agricole Corporate & Investment Bank		150,000,000		0.290		06/03/15		150,000,000
Credit Suisse		50,000,000		0.220		05/05/15		50,000,000
Credit Suisse		50,000,000		0.290		05/07/15		50,000,000
DnB Bank ASA		40,000,000		0.190		03/05/15		40,000,000
ING Bank NV		35,000,000		0.320		03/02/15		35,000,000
ING Bank NV		80,000,000		0.260		06/02/15		80,000,000
ING Bank NV		50,000,000		0.280		06/15/15		50,000,000
ING Bank NV		50,000,000		0.300		07/01/15		50,000,000
Norinchukin Bank		53,000,000		0.190		04/23/15		53,000,000
Rabobank Nederland NV		78,000,000		0.200		05/05/15		78,000,000
Societe Generale		75,000,000		0.250		05/04/15		75,000,000
Standard Chartered Bank		50,000,000		0.200		04/21/15		50,000,000
Standard Chartered Bank		12,000,000		0.210		04/27/15		12,000,000
Standard Chartered Bank		11,000,000		0.210		04/30/15		11,000,000
Sumitomo Mitsui Banking Corp.		35,000,000		0.240		04/15/15		35,000,000
Sumitomo Mitsui Banking Corp.		123,750,000		0.240		05/07/15		123,750,000
Svenska Handelsbanken AB		75,000,000		0.185		03/17/15		75,000,167
Svenska Handelsbanken AB		50,000,000		0.210		05/06/15		50,000,458
Toronto Dominion Bank		25,000,000		0.200		03/03/15		25,000,000
Toronto Dominion Bank		25,000,000		0.200		05/26/15		25,000,000
UBS AG		100,000,000		0.230		04/09/15		100,000,000
Wells Fargo Bank NA		75,000,000		0.230		03/03/15		75,000,000
Wells Fargo Bank NA		28,000,000		0.251		04/08/15		28,000,000
Wells Fargo Bank NA		50,000,000		0.257		04/22/15		50,000,000


8		SSGA Prime Money Market Fund

SSGA Prime Money Market Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Rate % (#)		Date of Maturity		Value $

Westpac Banking Corp.		20,000,000		0.266		04/24/15		20,000,000


Total Certificates of Deposit (amortized cost $2,474,750,625)								2,474,750,625


Financial Company Commercial Paper - 26.5%
Australia & New Zealand Banking Group Ltd. (next reset date 03/09/15) (b)(c)		20,000,000		0.251		07/08/15		20,000,000
Australia & New Zealand Banking Group Ltd. (next reset date 03/13/15) (b)(c)		10,000,000		0.252		07/13/15		10,000,000
Australia & New Zealand Banking Group Ltd. (next reset date 03/16/15) (b)(c)		19,500,000		0.273		10/15/15		19,500,000
Australia & New Zealand Banking Group Ltd. (next reset date 03/16/15) (b)(c)		19,500,000		0.273		10/15/15		19,500,000
Caisse des Depots et Consignations (a)		100,000,000		0.175		03/16/15		99,992,708
Caisse des Depots et Consignations (a)		40,000,000		0.175		03/17/15		39,996,889
Caisse des Depots et Consignations (a)		100,000,000		0.180		03/27/15		99,987,000
Commonwealth Bank of Australia (c)		43,150,000		0.195		04/08/15		43,141,118
Commonwealth Bank of Australia (c)		50,000,000		0.190		04/13/15		49,988,653
DnB Bank ASA (c)		50,000,000		0.200		03/17/15		49,995,556
DnB Bank ASA (c)		50,000,000		0.200		05/05/15		49,981,944
DnB Bank ASA (c)		50,000,000		0.195		05/08/15		49,981,583
DnB Bank ASA (c)		30,000,000		0.205		05/22/15		29,985,992
DnB Bank ASA (next reset date 05/26/15) (b)(c)		40,000,000		0.292		11/23/15		40,000,000
Erste Abwicklungsanstalt (c)		50,000,000		0.200		04/16/15		49,987,222
General Electric Capital Corp.		40,000,000		0.200		04/15/15		39,990,000
General Electric Capital Corp. (next reset date 03/04/15) (b)		7,500,000		0.230		09/03/15		7,500,000
General Electric Capital Corp. (next reset date 03/04/15) (b)		7,500,000		0.260		10/30/15		7,500,000
General Electric Capital Corp. (next reset date 03/18/15) (b)		42,000,000		0.223		05/18/15		42,000,000
HSBC Bank PLC (c)		125,000,000		0.230		03/30/15		124,976,840
National Australia Bank (next reset date 03/09/15) (b)(c)		37,000,000		0.251		07/08/15		37,000,000
Nederlandse Waterschapsbank NV (c)		75,000,000		0.200		04/02/15		74,986,667
Skandinaviska Enskilda Banken AB (c)		75,000,000		0.240		03/02/15		74,999,500
Skandinaviska Enskilda Banken AB (c)		25,000,000		0.200		03/05/15		24,999,444
Skandinaviska Enskilda Banken AB (c)		50,000,000		0.230		06/10/15		49,967,736
Societe Generale (c)		50,000,000		0.260		06/01/15		49,966,778
Societe Generale (c)		50,000,000		0.260		06/11/15		49,963,167
Standard Chartered Bank (c)		47,600,000		0.220		04/16/15		47,586,619
Sumitomo Mitsui Banking Corp. (c)		50,000,000		0.240		05/01/15		49,979,667
Swedbank AB		25,000,000		0.185		03/16/15		24,998,073
Swedbank AB		50,000,000		0.210		05/07/15		49,980,458
Swedbank AB		100,000,000		0.230		06/18/15		99,930,361
Toyota Motor Credit Corp.		50,000,000		0.200		04/20/15		49,986,111
Toyota Motor Credit Corp. (next reset date 03/06/15) (b)		21,000,000		0.244		07/08/15		21,000,000
Toyota Motor Credit Corp. (next reset date 03/09/15) (b)		20,000,000		0.243		07/09/15		20,000,000
Westpac Banking Corp. (c)		30,000,000		0.240		03/04/15		29,999,992
Westpac Banking Corp. (next reset date 03/26/15) (b)(c)		41,000,000		0.272		10/26/15		41,000,000


Total Financial Company Commercial Paper (amortized cost $1,690,350,078)								1,690,350,078


SSGA Prime Money Market Fund			9

SSGA Prime Money Market Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Principal Amount ($) or Shares		Rate % (#)		Date of Maturity		Value $

Other Notes - 9.1%
JPMorgan Chase Bank NA (next reset date 03/09/15) (b)		60,000,000		0.355		03/04/16		60,000,000
JPMorgan Chase Bank NA (next reset date 04/22/15) (b)		35,000,000		0.377		03/22/16		35,000,000
Lloyds Bank PLC		175,000,000		0.050		03/02/15		175,000,000
Natixis		112,595,000		0.050		03/02/15		112,595,000
Royal Bank of Canada (next reset date 03/16/15) (b)		25,000,000		0.463		12/16/15		25,039,524
Royal Bank of Canada (next reset date 04/07/15) (a)(b)		35,000,000		0.344		03/04/16		35,000,000
Svenska Handelsbanken AB (next reset date 03/27/15) (b)(c)		40,000,000		0.342		08/27/15		40,000,000
Wells Fargo Bank NA (next reset date 03/10/15) (b)		35,000,000		0.328		03/10/16		35,000,000
Wells Fargo Bank NA (next reset date 03/20/15) (b)		58,000,000		0.374		03/18/16		58,000,000


Total Other Notes (amortized cost $575,634,524)								575,634,524


Total Investments - 78.3% (amortized cost $4,990,610,380)								4,990,610,380


Repurchase Agreements - 22.5%
Government Agency Repurchase Agreements - 0.5%
Agreement with Societe Generale and The Bank of New York Mellon Corp. (Tri-Party) of $36,002,000 dated February 27, 2015 at 0.090% to be repurchased at $36,002,270 on March 2, 2015, collateralized by: $35,197,678 par various United States Government Mortgage Agency Obligations valued at $36,722,040. (identified cost $36,002,000)								36,002,000

Treasury Repurchase Agreements - 20.8%
Agreement with Federal Reserve Bank and The Bank of New York Mellon Corp. (Tri-Party) of $1,000,000,000 dated February 27, 2015 at 0.050% to be repurchased at $1,000,004,167 on March 2, 2015, collateralized by: $942,687,200 par various United States Government Treasury Obligations valued at $1,000,004,262.								1,000,000,000
Agreement with Federal Reserve Bank and The Bank of New York Mellon Corp. (Tri-Party) of $325,000,000 dated February 27, 2015 at 0.060% to be repurchased at $325,003,250 on March 5, 2015, collateralized by: $313,386,200 par various United States Government Treasury Obligations valued at $325,002,225.								325,000,000


Total Treasury Repurchase Agreements (identified cost $1,325,000,000)								1,325,000,000


Other Repurchase Agreements - 1.2%
Agreement with Credit Suisse Securities (USA) LLC and JP Morgan Chase & Co. (Tri-Party) of $50,000,000 dated February 27, 2015 at 0.470% to be repurchased at $50,001,958 on March 2, 2015, collateralized by: $296,024,841 par various Corporate Bonds and United States Government Mortgage Agency Obligations valued at $53,435,052.								50,000,000


10		SSGA Prime Money Market Fund

SSGA Prime Money Market Fund

Schedule of Investments, continued — February 28, 2015 (Unaudited)


	Value $
Agreement with JPM Chase and JP Morgan Chase & Co. (Tri-Party) of $25,000,000 dated February 27, 2015 at 0.373% to be repurchased at $25,003,626 on March 13, 2015, collateralized by: $120,680,527 par various Asset Backed Securities, Corporate Bonds and Medium Term Note valued at $26,828,512.		25,000,000


Total Other Repurchase Agreements (identified cost $75,000,000)		75,000,000


Total Repurchase Agreement (identified cost $1,436,002,000)		1,436,002,000


Total Investments and Repurchase Agreements - 100.8% (d) (cost $6,426,612,380) (e)		6,426,612,380

Other Assets and Liabilities, Net - (0.8)%		(51,188,167	)


Net Assets - 100.0%		6,375,424,213

Footnotes:

#	For purposes of this report, for non-interest bearing Commercial Paper and Discount Notes, the discount rate at purchase is used to populate the coupon rate column.

(a)	Security exempt from registration under Rule 144A. These securities, which represent 7.45% of net assets as of February 28, 2015, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers.

(b)	Adjustable or floating rate security. Rate shown reflects rate in effect at period end.

(c)

Rule 144A, Section 4(2) or other security, which is restricted to resale to institutional investors. The Portfolio’s investment manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $1,127,488,478 or 17.7% of net assets as of February 28, 2015.

(d)	Unless otherwise indicated, the values of securities of the Fund are determined based on Level 2 inputs (Note 2).

(e)	The cost of securities for federal income tax purposes is substantially the same as for financial reporting purposes.

Presentation of Portfolio Holdings — February 28, 2015 (Unaudited)


Categories	% of Net Assets

Asset Backed Commercial Paper		3.9
Certificates of Deposit		38.8
Financial Company Commercial Paper		26.5
Other Notes		9.1
Repurchase Agreements		22.5

Total Investments and Repurchase Agreements		100.8
Other Assets and Liabilities, Net		(0.8	)


		100.0

See accompanying notes which are an integral part of the financial statements.


SSGA Prime Money Market Fund			11

SSGA Institutional Money Market Funds

Statements of Assets and Liabilities — February 28, 2015 (Unaudited)


	SSGA U.S. Treasury Money Market Fund		SSGA Prime Money Market Fund


Assets
Investments, at identified cost	$	4,721,907,314	$	4,990,610,380
Investments at amortized cost which approximates value		4,721,907,314		4,990,610,380
Repurchase agreements at cost which approximates value		1,570,907,000		1,436,002,000
Cash		154,342,966		744
Receivables:
Interest		239,731		950,040
Fund shares sold		—		10,936
From adviser		1,957,551		539,909
Prepaid expenses		47,820		32,726

Total assets		6,449,402,382		6,428,146,735


Liabilities
Payables:
Investments purchased		—		50,000,000
Fund shares redeemed		1,806,986		33,270
Accrued fees to affiliates and trustees		2,704,234		2,591,862
Other accrued expenses		66,619		92,628
Income distribution		—		4,762

Total liabilities		4,577,839		52,722,522


Net Assets	$	6,444,824,543	$	6,375,424,213


Net Assets Consist of:
Distributions in excess of net investment income	$	—	$	(6,498	)
Accumulated net realized gain		—		30,351
Paid in capital		6,444,824,543		6,375,400,360

Net Assets	$	6,444,824,543	$	6,375,424,213


Net Asset Value, offering and redemption price per share:
Net asset value per share:	$	1.00	$	1.00
Net assets	$	6,444,824,543	$	6,375,424,213
Shares outstanding ($0.001 par value)		6,444,891,483		6,375,467,032

See accompanying notes which are an integral part of the financial statements.


12		Statements of Assets and Liabilities

SSGA Institutional Money Market Funds

Statements of Operations — For the Period Ended February 28, 2015 (Unaudited)


	SSGA U.S. Treasury Money Market Fund			SSGA Prime Money Market Fund

Investment Income
Interest	$	1,501,965		$	5,599,259

Total investment income		1,501,965			5,599,259


Expenses
Advisory fees		5,168,830			4,336,671
Administration fees		485,833			404,630
Custodian fees		468,396			356,037
Distribution fees		516,883			722,779
Transfer agent fees		30,591			30,511
Professional fees		64,585			69,096
Registration fees		20,511			19,939
Shareholder servicing fees		861,472			722,779
Trustees’ fees		66,836			52,702
Insurance fees		55,153			44,796
Printing fees		20,843			20,305
Miscellaneous		47,213			41,015

Expenses before reductions		7,807,146			6,821,260
Expense reductions		(6,305,181	)		(1,464,932	)

Net expenses		1,501,965			5,356,328

Net investment income (loss)		—			242,931


Net Realized Gain
Net realized gain on investments		—			35,171

Net Increase (Decrease) in Net Assets from Operations	$	—		$	278,102

See accompanying notes which are an integral part of the financial statements.


Statements of Operations			13

SSGA Institutional Money Market Funds

Statements of Changes in Net Assets


	SSGA U.S. Treasury Money Market Fund						SSGA Prime Money Market Fund
	Six Months Ended February 28, 2015 (Unaudited)			Year Ended August 31, 2014			Six Months Ended February 28, 2015 (Unaudited)			Year Ended August 31, 2014

Increase (Decrease) in Net Assets

Operations
Net investment income (loss)	$	—		$	—		$	242,931		$	641,716
Net realized gain		—			—			35,171			163,433

Net increase (decrease) in net assets from operations		—			—			278,102			805,149


Distributions
From net investment income		—			(8,496	)		(242,931	)		(889,158	)
From net realized gains		—			(12,948	)		(126,964	)		(203,061	)

Net decrease in net assets from distributions		—			(21,444	)		(369,895	)		(1,092,219	)


Share Transactions
Net increase (decrease) in net assets from share transactions		(1,628,884,090	)		1,632,918,125			915,503,491			(2,311,165,824	)

Total Net Increase (Decrease) in Net Assets		(1,628,884,090	)		1,632,896,681			915,411,698			(2,311,452,894	)

Net Assets
Beginning of period		8,073,708,633			6,440,811,952			5,460,012,515			7,771,465,409


End of period	$	6,444,824,543		$	8,073,708,633		$	6,375,424,213		$	5,460,012,515


Distributions in excess of net investment income included in net assets	$	—		$	—		$	(6,498	)	$	(6,498	)

See accompanying notes which are an integral part of the financial statements.


14		Statements of Changes in Net Assets

This page has been intentionally left blank.

SSGA Institutional Money Market Funds

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each period is presented below.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)(b)			$ Net Realized and Unrealized Gain (Loss)			$ Total from Investment Operations			$ Distributions from Net Investment Income			$ Distributions from Net Realized Gain
SSGA U.S. Treasury Money Market Fund
February 28, 2015*		1.0000		—			—			—			—			—
August 31, 2014		1.0000		—			—			—			—	(e)		—	(e)
August 31, 2013		1.0000		—			—	(e)		—	(e)		—			—
August 31, 2012		1.0000		—			—	(e)		—	(e)		—			—	(e)
August 31, 2011		1.0000		—	(e)		—	(e)		—	(e)		—	(e)		—	(e)
August 31, 2010		1.0000		—	(e)		—	(e)		—	(e)		—	(e)		—
SSGA Prime Money Market Fund
February 28, 2015*		1.0000		0.0001			—	(e)		0.0001			(0.0001	)		—	(e)
August 31, 2014		1.0000		0.0001			—	(e)		0.0001			(0.0001	)		—	(e)
August 31, 2013		1.0000		0.0007			—	(e)		0.0007			(0.0007	)		—
August 31, 2012		1.0000		0.0010			—	(e)		0.0010			(0.0010	)		—
August 31, 2011		1.0000		0.0012			—	(e)		0.0012			(0.0012	)		—
August 31, 2010		1.0000		0.0013			—	(e)		0.0013			(0.0013	)		—	(e)

For the six months ended February 28, 2015 (Unaudited)

(a)

Average daily shares outstanding were used for this calculation.

(b)

Reflects amounts waived and/or reimbursed by the investment adviser and for certain funds, custody credit arrangements.

(c)

Periods less than one year are not annualized.

(d)

The ratios for periods less than one year are annualized.

(e)

Less than $0.0001 per share.

(f)

Less than 0.005%.

(g)

Less than 0.005% of average net assets.

See accompanying notes which are an integral part of the financial statements.


16		Financial Highlights


$ Total Distributions			$ Net Asset Value, End of Period		% Total Return(c)			$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Net(b)(d)		% Ratio of Expenses to Average Net Assets, Gross(d)		% Ratio of Net Investment Income to Average Net Assets(b)(d)

	—			1.0000		—			6,444,825		0.04		0.23		—
	—	(e)		1.0000		—	(f)		8,073,709		0.06		0.23		—
	—			1.0000		—			6,440,812		0.09		0.24		—
	—	(e)		1.0000		—	(f)		4,387,962		0.08		0.25		—
	—	(e)		1.0000		—	(f)		4,410,166		0.11		0.25		—	(g)
	—	(e)		1.0000		—	(f)		4,215,084		0.13		0.25		—	(g)

	(0.0001	)		1.0000		0.01			6,375,424		0.19		0.24		0.01
	(0.0001	)		1.0000		0.01			5,460,013		0.18		0.24		0.01
	(0.0007	)		1.0000		0.07			7,771,465		0.20		0.25		0.07
	(0.0010	)		1.0000		0.10			12,072,632		0.20		0.25		0.10
	(0.0012	)		1.0000		0.12			9,934,761		0.20		0.25		0.12
	(0.0013	)		1.0000		0.13			12,043,331		0.20		0.26		0.13

See accompanying notes which are an integral part of the financial statements.


Financial Highlights			17

SSGA Institutional Money Market Funds

Notes to Financial Statements — February 28, 2015 (Unaudited)

Organization


Fund	Classes		Commencement of Operations:
SSGA U.S. Treasury Money Market Fund		Class N		December 1, 1993
SSGA Prime Money Market Fund		Class N		February 22, 1994

The other nine (9) series are included in separate Semiannual Reports.

SSGA U.S. Treasury Money Market Fund and SSGA Prime Money Market Fund are each considered to be money market funds pursuant to Rule 2a-7 under the 1940 Act. It is the policy of the Funds to maintain a stable net asset value per share of $1.00. However, there is no assurance the Funds will be able to maintain a stable net asset value per share.

Recent Regulatory Action

Significant Accounting Policies

Security Valuation


18		Notes to Financial Statements

SSGA Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

The three tier hierarchy of inputs is summarized below:

•

Level 1 — Inputs using quoted prices (unadjusted) in active markets or exchanges for identical assets and liabilities.

•

Level 2 — Significant other observable inputs, which may include, but are not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are non-active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs.

•

The following is a summary of the inputs used, as of February 28, 2015, in valuing the Portfolios’ assets carried at fair value:


	Investments in Securities
Valuation Inputs	SSGA U.S. Treasury Money Market Fund		SSGA Prime Money Market Fund

Level 1 — Quoted Prices	$	—	$	—
Level 2 — Quoted Prices		6,292,814,314		6,426,612,380
Level 3 — Quoted Prices		—		—

Total Investments	$	6,292,814,314	$	6,426,612,380

The inputs or methodology used for valuation are not necessarily an indication of the risk associated with investing in those investments.


Notes to Financial Statements			19

SSGA Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

Changes in valuation techniques may result in transfers in or out of an investment’s assigned level within the hierarchy. Transfers between fair value hierarchy levels are recognized at the end of the period. As of the period ended February 28, 2015, there were no transfers between levels.

Securities Transactions

Investment Income

Federal Income Taxes

Dividends and Distributions to Shareholders


20		Notes to Financial Statements

SSGA Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

Expenses

Repurchase Agreements

The Funds may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to the Funds to repurchase the securities at a mutually agreed-upon price and time. The total amount received by the Funds on repurchase is calculated to exceed the price paid by the Funds, reflecting an agreed-upon market rate of interest for the period of time to the settlement date, and is not necessarily related to the interest rate on the underlying securities. The underlying securities are ordinarily United States Government securities or (for SSGA Prime Money Market Fund only) Government Agency securities, but the underlying securities on the SSGA Prime Money Market Fund may consist of other securities such as Corporate Bonds in limited circumstances. The value of the underlying securities, at the time of purchase and each subsequent business day, is required to be maintained at such a level that the value is equal to at least the principal amount of the repurchase price plus accrued interest. The use of repurchase agreements involves certain risks. Upon an event of default under the Master Repurchase Agreement, if the seller of securities under a repurchase agreement defaults on its obligation to repurchase the underlying securities (as a result of its bankruptcy or otherwise) the Funds will seek to dispose of such securities; this action could involve losses, costs or delays. The Funds may enter into repurchase agreements maturing within a specified date with domestic dealers, banks and other financial institutions deemed to be creditworthy by the Funds’ investment adviser.

Contractual Obligation/Indemnification

Related Party Transactions, Fees and Expenses

Adviser and Affiliates

SSGA Funds Management, Inc. (the “Adviser”) manages the Funds pursuant to an Amended and Restated Investment Advisory Agreement dated April 11, 2012, between the Trust and the Adviser. The Adviser is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Adviser and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arm of State Street Corporation and its affiliated companies. The Adviser directs the investments of each Fund in accordance with their investment objectives, policies, and limitations. For these services, the Funds pay a fee to the Adviser, calculated daily and paid monthly at the annual rate of 0.15% of its daily average net assets.

The Adviser is contractually obligated until December 31, 2015 to waive 0.05% of its 0.15% management fee on the SSGA U.S. Treasury Money Market Fund. Additionally, the Adviser is further contractually obligated until December 31, 2015 to waive its management fee and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 0.16% of average daily net assets on an annual basis. The total amounts of the waiver and reimbursement for the period ended February 28, 2015 were $1,722,943 and $0, respectively. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

The Adviser is contractually obligated until December 31, 2015 to waive 0.05% of its 0.15% management fee on the SSGA Prime Money Market Fund. Additionally, the Adviser is further contractually obligated until December 31, 2015 to waive its management fee and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 0.15% of average daily net assets on an annual basis. The total amounts of the waiver and reimbursement for the period ended February 28, 2015 were $1,445,557 and $0, respectively. The Adviser does not have the ability to recover these amounts waived or reimbursed from prior periods.


Notes to Financial Statements			21

SSGA Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

The Adviser also may voluntarily reduce all or a portion of its fees and/or reimburse expenses to the extent necessary to maintain a minimum net yield for a Fund (the “Voluntary Reduction”) which may vary from time to time and from fund to fund in the Adviser’s sole discretion. Under an agreement with SSGA Funds relating to the Voluntary Reduction, the SSGA U.S. Treasury Money Market Fund and the SSGA Prime Money Market Fund, respectively, have agreed to reimburse the Adviser for the full dollar amount of any Voluntary Reduction beginning on August 1, 2012, subject to certain limitations. A Fund will not be obligated to reimburse the Adviser: more than three years after the end of the fiscal year for the Fund in which the Adviser provided a Voluntary Reduction; in respect of any business day for which the net annualized one-day yield is less than 0.00%; to the extent that the amount of the reimbursement to the Adviser on any day exceeds fifty percent of the yield (net of all expenses, exclusive of the reimbursement) of the Fund on that day; to the extent that the amount of such reimbursement would cause the Fund’s net yield to fall below the Fund’s minimum net yield; or in respect of any fee waivers and/or expense reimbursements that are necessary to maintain a Fund’s contractual total expense limit which is effective at the time of such fee waivers and/or expense reimbursements. A reimbursement to the Adviser could negatively impact the SSGA U.S. Treasury Money Market Fund’s and the SSGA Prime Money Market Fund’s future yield. There is no guarantee that either the SSGA U.S. Treasury Money Market Fund or the SSGA Prime Money Market Fund will be able to avoid a negative yield. The Adviser may, in its sole discretion, irrevocably waive receipt of any or all reimbursement amounts due from a Fund, without limitation. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the period ended February 28, 2015, the Adviser voluntarily waived $4,582,238 of its fee and reimbursed $0 of expenses on the SSGA U.S. Treasury Money Market Fund and voluntarily waived $19,375 of its fee and reimbursed $0 of expenses on the SSGA Prime Money Market Fund. Voluntary reductions subject to potential recovery by year of expiration are as follows:


Expiration	SSGA U.S. Treasury Money Market Fund		SSGA Prime Money Market Fund

8/31/2015	$	226,572	$	—
8/31/2016	$	4,941,980	$	—
8/31/2017	$	8,075,743	$	181,137

The SSGA Funds are permitted to invest their cash reserves (i.e., monies awaiting investment in portfolio securities suitable for the Funds’ objectives) in the SSGA Prime Money Market Fund. As of February 28, 2015, $8,401,856 or 0.13% of the shares outstanding represents the investments of other Funds not presented herein.

State Street Bank and Trust Company (“State Street”), a wholly-owned subsidiary of State Street Corporation, provides custody and fund accounting services to the Funds pursuant to an Amended and Restated Custodian Contract dated April 11, 2012. For these services, the Funds pay State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses.

Administrator

Distributor and Shareholder Servicing


22		Notes to Financial Statements

SSGA Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

non-related parties which act as agents to offer and sell shares of the Funds. The amounts paid to the Distributor are included in the accompanying Statements of Operations. The Distributor is a wholly-owned subsidiary of State Street Corporation.

The Trust has adopted a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under this Plan, the Trust 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 Trust and the servicing of investor accounts.

Additionally, the Board approved the following limits on the amount of Rule 12b-1 fees the Distributor is reimbursed pursuant to the Plan:


	12b-1 Fee Limit
SSGA U.S. Treasury Money Market Fund		0.04%
SSGA Prime Money Market Fund		0.05%


Notes to Financial Statements			23

SSGA Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

maintenance services. The amount of the reimbursement is calculated in a manner approved by the Trustees and is reviewed by the Trustees periodically. A Fund may pay distribution fees, service fees and other amounts described above at a time when shares of the Fund are not being actively promoted to new investors generally, or when shares of that Fund are unavailable for purchase.

Each Fund listed in the table below has a shareholder servicing agreement with State Street and Wealth Management Systems, an entity related to State Street. For these services, each Fund pays a maximum of 0.025% to State Street, and 0.05% to Wealth Management Systems, based on the average daily value of all Class N shares held by their clients. For the period ended February 28, 2015, the Funds paid the following shareholder servicing expenses to the agents:


	State Street		Wealth Management Systems

SSGA U.S. Treasury Money Market Fund	$	860,902	$	85,091
SSGA Prime Money Market Fund		700,152		75,091

Board of Trustees

Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Co-Chairmen each receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this Shareholder Report, the Trustees were not paid pension or retirement benefits as part of SSGA Funds’ expenses. However, the SSGA Funds have, pursuant to an exemptive order from the SEC, implemented an optional deferred compensation plan by which the Independent Trustees may defer receipt of compensation and receive a return on the deferred amount determined with reference to the performance of shares of specified SSGA Funds. As of the fiscal year ended August 31, 2014, none of the Independent Trustees participated in the optional deferred compensation program. The SSGA Funds’ officers are compensated by the Adviser and its affiliates.

Accrued fees payable to affiliates and trustees as of February 28, 2015 were as follows:


	SSGA U.S. Treasury Money Market Fund		SSGA Prime Money Market Fund

Advisory fees	$	1,567,525	$	1,601,873
Administration fees		437,702		349,831
Custodian fees		303,868		231,712
Distribution fees		295,475		302,665
Shareholder servicing fees		78,276		77,499
Transfer agent fees		9,838		14,542
Trustees’ fees		11,550		13,740

	$	2,704,234	$	2,591,862


24		Notes to Financial Statements

SSGA Institutional Money Market Funds

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

Fund Share Transactions (On a Constant Dollar Basis)


	Period Ended February 28, 2015 (Unaudited)			Fiscal Year Ended August 31, 2014


SSGA U.S. Treasury Money Market Fund
Proceeds from shares sold	$	7,759,446,308		$	19,722,021,328
Proceeds from reinvestment of distributions		—			20,561
Payments for shares redeemed		(9,388,330,398	)		(18,089,123,764	)

Net increase (decrease)	$	(1,628,884,090	)	$	1,632,918,125


SSGA Prime Money Market Fund
Proceeds from shares sold	$	8,981,419,978		$	20,834,820,548
Proceeds from reinvestment of distributions		345,399			1,016,638
Payments for shares redeemed		(8,066,261,886	)		(23,147,003,010	)

Net increase (decrease)	$	915,503,491		$	(2,311,165,824	)

Market, Credit and Counterparty Risk


Notes to Financial Statements			25

SSGA Institutional Money Market Funds

Shareholder Requests for Additional Information — February 28, 2015 (Unaudited)

The Funds will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’ semi-annual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.SSGAfunds.com, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room.


26		Shareholder Requests for Additional Information

SSGA Institutional Money Market Funds

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

(800) 647-7327

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Officers

Ellen M. Needham, President and Principal Executive Officer

Chad C. Hallett, Treasurer and Principal Accounting Officer

Ann M. Carpenter, Vice President and Assistant Treasurer

Brian Harris, Chief Compliance Officer

David James, Secretary

Joshua A. Weinberg, Chief Legal Officer

Kristin M. Schantz, Assistant Secretary

Investment Adviser

SSGA Funds Management, Inc.

State Street Financial Center,

One Lincoln Street

Boston, Massachusetts 02111-2900

Custodian and Office of Shareholder Inquiries

State Street Bank and Trust Company

1776 Heritage Drive

North Quincy, Massachusetts 02171

Transfer and Dividend Paying Agent

Boston Financial Data Services, Inc.

2000 Crown Colony Drive

Quincy, Massachusetts 02169

Distributor

State Street Global Markets, LLC

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Administrator

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, Massachusetts 02199

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, Massachusetts 02116

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.


Fund Management and Service Providers			27


IBG-14868		SSGAIMMFDSAR

Semiannual Report

28 February 2015

SSGA Funds

SSGA S&P 500 Index Fund

LOGO

SSGA Funds

SSGA S&P 500 Index Fund

Semiannual Report

February 28, 2015 (Unaudited)

Table of Contents


	Page
SSGA S&P 500 Index Fund		3
Statement of Assets and Liabilities		5
Statement of Operations		6
Statements of Changes in Net Assets		7
Financial Highlights		8
Notes to Financial Statements		10
Shareholder Requests for Additional Information		16
Fund Management and Service Providers		26
Financial Statements of the State Street Equity 500 Index Portfolio		17

“SSGA” is a registered trademark of State Street Corporation and is licensed for use by the SSGA Funds.

This page has been intentionally left blank.

SSGA S&P 500 Index Fund

Shareholder Expense Example — February 28, 2015 (Unaudited)

Fund Expenses

The following disclosure provides important information regarding the Fund’s Expense Example. Please refer to this information when reviewing the Expense Example of the Fund.

Example

Actual Expenses

Hypothetical Example for Comparison Purposes


	Actual Performance		Hypothetical Performance (5% return before expenses)
Beginning Account Value September 1, 2014	$	1,000.00	$	1,000.00
Ending Account Value February 28, 2015	$	1,060.40	$	1,024.01
Expenses Paid During Period*	$	0.82	$	0.80

Expenses are equal to the Fund’s annualized expense ratio of 0.16% (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher.


S&P 500 Index Fund			3

SSGA S&P 500 Index Fund

Presentation of Master Portfolio Holdings — February 28, 2015 (Unaudited)


Categories	% of Master Portfolio Net Assets
Common Stock
Consumer Discretionary		12.1
Consumer Staples		9.5
Energy		7.9
Financials		15.5
Health Care		14.3
Industrials		10.0
Information Technology		19.3
Materials		3.2
Telecommunication Services		2.2
Utilities		2.9
U.S. Government Securities		0.2
Money Market Fund		2.9

Total Investments		100.0
Other Assets and Liabilities, Net		0.0

		100.0

Futures Contracts		0.2


4		S&P 500 Index Fund

SSGA S&P 500 Index Fund

Statement of Assets and Liabilities — February 28, 2015 (Unaudited)




Assets
Investments in Master Portfolio, at value	$	1,627,432,972
Receivables:
Fund shares sold		1,770,542
Prepaid expenses		6,889

Total assets		1,629,210,403


Liabilities
Payables:
Fund shares redeemed		4,004,674
Accrued fees to affiliates and trustees		208,832
Other accrued expenses		38,221

Total liabilities		4,251,727


Net Assets	$	1,624,958,676


Net Assets Consist of:
Undistributed net investment income	$	5,164,924
Accumulated net realized loss allocated from Master Portfolio		(107,031,562	)
Unrealized appreciation allocated from Master Portfolio on:
Investments		1,093,791,551
Futures contracts		3,332,946
Paid in capital		629,700,817

Net Assets	$	1,624,958,676


Net Asset Value, offering and redemption price per share:
Net asset value per share:	$	33.44
Net assets	$	1,624,958,676
Shares of beneficial interest outstanding ($0.001 par value)		48,595,220

See accompanying notes which are an integral part of the financial statements.


Statement of Assets and Liabilities			5

SSGA S&P 500 Index Fund

Statement of Operations — For the Period Ended February 28, 2015 (Unaudited)




Investment Income Allocated From Master Portfolio
Dividends (net of foreign taxes withheld of $39,303)	$	15,868,349
Interest		17,319
Expenses		(349,975	)

Total investment income allocated from Master Portfolio		15,535,693


Fund Level Expenses
Administration fees		107,010
Custodian fees		12,214
Distribution fees		282,121
Transfer agent fees		132,349
Professional fees		36,847
Registration fees		24,959
Shareholder servicing fees		190,622
Trustees’ fees		7,439
Insurance fees		9,439
Printing fees		36,068
Miscellaneous		4,991

Net Fund Level expenses		844,059

Net investment income		14,691,634


Net Realized and Unrealized Gain Allocated From Master Portfolio
Net realized gain on:
Investments		8,296,341
Futures contracts		1,472,838

Net realized gain		9,769,179

Net change in unrealized appreciation on:
Investments		66,917,709
Futures contracts		1,217,935

Net change in unrealized appreciation		68,135,644

Net realized and unrealized gain		77,904,823

Net Increase in Net Assets from Operations	$	92,596,457

See accompanying notes which are an integral part of the financial statements.


6		Statement of Operations

SSGA S&P 500 Index Fund

Statements of Changes in Net Assets


	Six Months Ended February 28, 2015 (Unaudited)			Year Ended August 31, 2014

Increase in Net Assets

Operations
Net investment income	$	14,691,634		$	25,768,660
Net realized gain		9,769,179			11,027,149
Net change in unrealized appreciation		68,135,644			265,441,600

Net increase in net assets from operations		92,596,457			302,237,409


Distributions
From net investment income		(15,990,757	)		(25,005,413	)
From net realized gains		(17,744,074	)		(14,759,296	)

Net decrease in net assets from distributions		(33,734,831	)		(39,764,709	)


Share Transactions
Net increase in net assets from share transactions		57,523,568			24,172,971

Net Increase in Net Assets		116,385,194			286,645,671

Net Assets
Beginning of period		1,508,573,482			1,221,927,811


End of period	$	1,624,958,676		$	1,508,573,482


Undistributed net investment income included in net assets	$	5,164,924		$	6,464,047

See accompanying notes which are an integral part of the financial statements.


Statements of Changes in Net Assets			7

SSGA S&P 500 Index Fund

Financial Highlights

Selected data for a share of beneficial interest outstanding throughout each period is presented below.


	$ Net Asset Value, Beginning of Period		$ Net Investment Income (Loss)(a)			$ Net Realized and Unrealized Gain (Loss)		$ Total from Investment Operations		$ Distributions from Net Investment Income			$ Distributions from Net Realized Gain
SSGA S&P 500 Index Fund
February 28, 2015*		32.23		0.31			1.62		1.93		(0.34	)		(0.38	)
August 31, 2014		26.57		0.56			5.96		6.52		(0.54	)		(0.32	)
August 31, 2013		23.18		0.52			3.67		4.19		(0.50	)		(0.30	)
August 31, 2012		20.09		0.47	(b)		3.09		3.56		(0.47	)		—
August 31, 2011		17.31		0.38	(b)		2.78		3.16		(0.38	)		—
August 31, 2010		16.83		0.33	(b)		0.48		0.81		(0.33	)		—

For the six months ended February 28, 2015 (unaudited)

(a)

Average daily shares outstanding were used for this calculation.

(b)

Reflects amounts waived and/or reimbursed by the investment adviser.

(c)

Periods less than one year are not annualized.

(d)

The ratios of periods of less than one year are annualized.

(e)

Expense ratios include the Fund’s share of the Master Portfolio’s allocated expenses.

(f)

Unaudited.

(g)

Less than 0.5%

See accompanying notes which are an integral part of the financial statements.


8		Financial Highlights


$ Total Distributions			$ Net Asset Value, End of Period		% Total Return(c)		$ Net Assets, End of Period (000)		% Ratio of Expenses to Average Net Assets, Net(b)(d)(e)			% Ratio of Expenses to Average Net Assets, Gross(d)(e)		% Ratio of Net Investment Income to Average Net Assets(b)(d)			% Portfolio Turnover Rate of the Master Portfolio(c)(f)

	(0.72	)		33.44		6.04		1,624,959		0.16			0.16		1.93			0	(g)
	(0.86	)		32.23		24.98		1,508,573		0.15			0.15		1.88			2
	(0.80	)		26.57		18.54		1,221,928		0.17			0.17		2.08			2
	(0.47	)		23.18		18.00		1,131,262		0.18	(b)		0.19		2.21	(b)		19
	(0.38	)		20.09		18.26		1,126,485		0.18	(b)		0.19		1.82	(b)		2
	(0.33	)		17.31		4.77		1,246,140		0.18	(b)		0.19		1.84	(b)		13

See accompanying notes which are an integral part of the financial statements.


Financial Highlights			9

SSGA S&P 500 Index Fund

Notes to Financial Statements — February 28, 2015 (Unaudited)

Organization


Fund	Classes	Commencement of Operations:
SSGA S&P 500 Index Fund	Class N	December 30, 1992

The other ten (10) series are included in separate Semiannual Reports.

The Fund invests all of its investable assets in interests of the State Street Equity 500 Index Portfolio (the “Portfolio”), a series of a separately registered investment company called State Street Master Funds. The investment objective and policies of the Portfolio are substantially similar to those of the Fund. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio (54.26% at February 28, 2015). The performance of the Fund was directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including the Portfolio of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.

The Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services —Investment Companies.

Significant Accounting Policies

The Fund’s financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”), which require the use of management estimates and assumptions at the date of the financial statements. Actual results could differ from those 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 records its investment in the Portfolio at value. The valuation policies of the Portfolio are discussed in Note 2 of the Portfolio Notes to Financial Statements, which are attached to this report.

The Portfolio adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. The summary of the inputs used for the Portfolio in valuing the Portfolio’s assets carried at fair value are discussed in Note 2 of the Portfolio Notes to Financial Statements, which are attached to this report.

Investment Transactions

Investment transactions are recorded on a trade date basis. Realized gains and losses from investment transactions consist of the Fund’s pro-rata share of the Portfolio’s realized gains and losses. Realized gains and losses from investment transactions are recorded on the basis of identified cost.

Investment Income

Net investment income consists of the Fund’s pro-rata share of the net investment income of the Portfolio, less all expenses of the Fund.


10		Notes to Financial Statements

SSGA S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

Federal Income Taxes

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 each Fund to distribute all of its taxable income and capital gains. Therefore, for the year ended August 31, 2014 the Fund paid no federal income taxes and no federal income tax provision was required for the Fund.

The Fund may have net tax basis capital loss carryforwards which may be applied against any realized net taxable gains in each succeeding year or until their respective expiration dates, whichever occurs first. At August 31, 2014, the Fund had no tax basis capital loss carryforwards.

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 quarterly. 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 amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. These differences relate primarily to investments in futures, losses deferred due to wash sales and REITs. Permanent differences between book and tax accounting are reclassified to paid-in capital.

Expenses

Expenses allocated from the Portfolio are recorded and identified separately in the Statement of Operations. The Fund also pays certain other expenses which can be directly attributed to the Fund. Expenses of the Trust which cannot be directly attributed will be allocated among all funds of the Trust based principally on their relative net assets.

Contractual Obligation/Indemnification

Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In the normal course of business, the Fund enters into contracts that contain a variety of representations and obligations including general indemnifications. The Fund’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Fund that have not yet occurred. However, based on experience, the Fund expects the risk of loss to be remote.

Investment Transactions

Securities

Net daily increases and decreases in the Fund’s investment in the Portfolio aggregated to the following, for the period ended February 28, 2015:


	Increases		Decreases

SSGA S&P 500 Index Fund	$	79,486,996	$	54,003,650


Notes to Financial Statements			11

SSGA S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

Related Party Transactions, Fees and Expenses

Adviser and Affiliates

The Fund is allocated a charge for a management fee from the Portfolio, calculated daily at an annual rate of 0.045% of average daily net assets. This fee relates to the advisory, custody and administration services fees provided by the Portfolio on behalf of its investors. SSGA Funds Management, Inc. (the “Adviser”) manages the Fund pursuant to an Amended and Restated Investment Advisory Agreement dated April 14, 2014, between the Trust and the Adviser. The Adviser is a wholly-owned subsidiary of State Street Corporation, a publicly held bank holding company. The Adviser and other advisory affiliates of State Street Corporation make up State Street Global Advisors, the investment management arms of State Street Corporation and its affiliated companies. The Adviser directs the investments of the Fund in accordance with its investment objectives, policies, and limitations.

The Adviser is contractually obligated until December 31, 2015 to waive its management fee and to reimburse the Fund for all expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees) exceed 0.13% of average daily net assets on an annual basis. The total amount of the reimbursement for the period ended February 28, 2015 was $0. The Adviser does not have the ability to recover these amounts waived or reimbursed under this contractual agreement.

Boston Financial Data Services, Inc. (“BFDS”) serves as the Fund’s transfer and dividend paying agent, pursuant to an agreement dated August 1, 2006, as amended. For these services, the Fund pays annual account services fees, activity based fees and charges related to compliance and regulatory services. BFDS is a joint venture of DST Systems, Inc., and State Street Corporation.

State Street Bank and Trust Company (“State Street”) provides custody and fund accounting services to the Fund. For these services, the Fund pays State Street asset-based fees that vary according to the number of positions and transactions plus out-of-pocket expenses. State Street is a wholly-owned subsidiary of State Street Corporation.

Administrator

State Street (the “Administrator”) serves as the Trust’s Administrator, pursuant to an administration agreement dated January 1, 2013 (the “Administration Agreement”). Under the Administration Agreement, the Administrator supervises certain administrative aspects of the Trust’s operations. The Trust pays the Administrator an annual fee, payable monthly on a pro rata basis. The annual fee is based on the following percentages of the average daily net assets of the Investment Company: $0 to $10 billion — 0.0175%; next $10 billion — 0.0125%; next $10 billion — 0.0075% and 0.0050% thereafter. In addition, the Investment Company pays additional fees to the Administrator for certain services and reimburses the Administrator for out-of-pocket expenses.

Distributor and Shareholder Servicing

State Street Global Markets, LLC (the “Distributor” or “SSGM”) promotes and offers shares of the Trust pursuant to an Amended and Restated Distribution Agreement dated April 14, 2014. The Distributor may enter into agreements with other related and non-related parties which act as agents to offer and sell shares of the Fund. The amounts paid to the Distributor are included in the accompanying Statement of Operations. The Distributor is a wholly-owned subsidiary of State Street Corporation. The Fund has entered into a distribution plan pursuant to Rule 12b-1 (the “Plan”) under the 1940 Act. Under the 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 Fund and the servicing of investor accounts.

The Trust has adopted a shareholder service agreement with State Street, and the following entities related to State Street: SSGM, Fiduciary Investors Services Division of State Street (“Fiduciary Investors Services”) and High Net Worth Services Division of State Street (“High Net Worth Services”) (collectively, the “Agents”), as well as several unaffiliated services providers. For these services, the Fund pays 0.025% to State Street, and a fee to each of the Agents, based upon the average daily value of all Fund shares held by or for customers of these Agents subject to the maximum of 0.05%.


12		Notes to Financial Statements

SSGA S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

To compensate the Distributor for the services it provides and for the expenses it bears in connection with the distribution of shares of the Fund, the Fund may make payments from the assets attributable to certain classes of its shares to the Distributor under a distribution plan adopted pursuant to Rule 12b-1 under the 1940 Act (the “Plan”). The Plan is a compensation plan that provides for payments at annual rates (based on average daily net assets) described below.

Additionally, the Board approved an Amended and Restated Distribution Agreement which includes a limit of 0.062% on the amount of Rule 12b-1 fees the Distributor is reimbursed pursuant to the Plan.

The Plan may benefit the Fund by increasing sales of shares and reducing redemptions of shares, resulting potentially, for example, in economies of scale and more predictable flows of cash into and out of the Fund. Because Rule 12b-1 fees are paid out of a Fund’s assets, all shareholders share in that expense; however, because shareholders hold their shares through varying arrangements (for example, directly or through financial intermediaries), they may not share equally in the benefits of the Plan.

Financial intermediaries are firms that, for compensation, sell shares of mutual funds, including the Fund, and/or provide certain administrative and account maintenance services to mutual fund shareholders. Financial intermediaries may include, among others, brokers, financial planners or advisors, banks, and insurance companies.

Some portion of the Distributor’s payments to financial intermediaries will be made out of amounts received by the Distributor under the Fund’s Plans. In addition, certain of the Funds may reimburse the Distributor for payments the Distributor makes to financial intermediaries that provide certain recordkeeping, administrative and account maintenance services. The amount of the reimbursement is calculated in a manner approved by the Trustees and is reviewed by the Trustees periodically.

A Fund may pay distribution fees, service fees and other amounts described above at a time when shares of the Fund are not being actively promoted to new investors generally, or when shares of that Fund are unavailable for purchase.

For the period ended February 28, 2015, the Fund paid the following shareholder servicing expenses to the Agents:


	State Street

SSGA S&P 500 Index Fund	$	13,581

The Fund did not make any payments to SSGM, Fiduciary Investors Services or High Net Worth Services during the period.


Notes to Financial Statements			13

SSGA S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

Board of Trustees

Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Co-Chairmen each receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this Shareholder Report, the Trustees were not paid pension or retirement benefits as part of SSGA Funds’ expenses. However, the SSGA Funds have, pursuant to an exemptive order from the SEC, implemented an optional deferred compensation plan by which the Independent Trustees may defer receipt of compensation and receive a return on the deferred amount determined with reference to the performance of shares of specified SSGA Funds. As of the fiscal year ended August 31, 2014, none of the Independent Trustees participated in the optional deferred compensation program. The SSGA Funds’ officers are compensated by the Adviser and its affiliates.

Accrued fees payable to affiliates and trustees as of February 28, 2015 were as follows:


	SSGA S&P 500 Index Fund

Administration fees	$	83,761
Custodian fees		8,198
Distribution fees		66,030
Shareholder servicing fees		12,361
Transfer agent fees		37,519
Trustees’ fees		963

	$	208,832

Fund Share Transactions


	Period Ended February 28, 2015						Year Ended August 31, 2014
	Shares			Dollars			Shares			Dollars


SSGA S&P 500 Index Fund
Proceeds from shares sold		6,162,526		$	198,896,455			10,723,266		$	318,481,325
Proceeds from reinvestment of distributions		986,322			32,188,907			1,300,945			37,393,975
Payments for shares redeemed		(5,360,114	)		(173,561,794	)		(11,214,408	)		(331,702,329	)

Net increase (decrease)		1,788,734		$	57,523,568			809,803		$	24,172,971

Interfund Lending Program

The Fund participates in a joint lending and borrowing facility (the “Interfund Lending Program”). Portfolios of the Fund may borrow money from the SSGA Money Market Fund for temporary purposes. All such borrowing and lending will be subject to a participating fund’s fundamental investment limitations. The SSGA Money Market Fund will lend through the Interfund Lending Program only when the returns are higher than those available from an investment in repurchase agreements or shortterm reserves. The Fund will borrow through the Interfund Lending Program only when the costs are equal to or lower than the cost of bank loans. Interfund loans and borrowings normally extend overnight, but can have a maximum duration of


14		Notes to Financial Statements

SSGA S&P 500 Index Fund

Notes to Financial Statements, continued — February 28, 2015 (Unaudited)

seven days. Loans may be called on one business day’s notice. A participating fund may have to borrow from a bank at a higher interest rate if an interfund loan is called or not renewed. Any delay in repayment to the SSGA Money Market Fund could result in additional borrowing costs. For the period ended February 28, 2015, the Fund did not utilize the Interfund Lending Program.

Market, Credit and Counterparty Risk

In the normal course of business, the Fund invests in securities and enters into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (counterparty risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations. Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. Financial assets, which potentially expose the Fund to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statement of Assets and Liabilities.


Notes to Financial Statements			15

SSGA S&P 500 Index Fund

Shareholder Requests for Additional Information — February 28, 2015 (Unaudited)

The Funds will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’ semi-annual and annual financial statements. The Funds’ Form N-Q is available (i) without charge, upon request, by calling the Funds at (800) 647-7327, (ii) on the Funds’ website at www.SSGAfunds.com, (iii) on the U.S Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the U.S. Securities and Exchange Commission’s public reference room.


16		Shareholder Requests for Additional Information

State Street Equity 500 Index Portfolio

Portfolio of Investments — February 28, 2015 (Unaudited)


	Shares		Market Value


Common Stocks - 96.9%
Consumer Discretionary - 12.1%
Amazon.com, Inc. (a)		58,902	$	22,392,184
AutoNation, Inc. (a)		12,469		766,844
AutoZone, Inc. (a)		4,988		3,205,688
Bed Bath & Beyond, Inc. (a)		31,630		2,361,496
Best Buy Co., Inc.		44,213		1,684,515
BorgWarner, Inc.		36,423		2,238,558
Cablevision Systems Corp., Class A		30,812		578,649
CarMax, Inc. (a)		32,197		2,160,741
Carnival Corp.		69,149		3,041,865
CBS Corp. Class B		72,993		4,313,886
Chipotle Mexican Grill, Inc. (a)		5,014		3,334,160
Coach, Inc.		45,800		1,994,590
Comcast Corp. Class A		401,965		23,868,682
D.R. Horton, Inc.		50,179		1,370,388
Darden Restaurants, Inc.		20,917		1,338,688
Delphi Automotive PLC		47,381		3,735,518
DIRECTV (a)		79,675		7,059,205
Discovery Communications, Inc. Class A (a)		21,597		697,583
Discovery Communications, Inc. Class C (a)		39,797		1,214,206
Dollar General Corp. (a)		48,287		3,506,602
Dollar Tree, Inc. (a)		33,793		2,692,626
Expedia, Inc.		15,023		1,378,360
Family Dollar Stores, Inc.		13,465		1,060,234
Ford Motor Co.		606,560		9,911,190
Fossil Group, Inc. (a)		7,617		655,138
GameStop Corp. Class A		16,878		623,980
Gannett Co., Inc.		34,252		1,212,521
Gap, Inc.		44,764		1,862,182
Garmin Ltd.		19,560		970,763
General Motors Co.		206,677		7,711,119
Genuine Parts Co.		24,420		2,346,274
Goodyear Tire & Rubber Co.		40,813		1,090,931
H&R Block, Inc.		45,551		1,555,567
Harley-Davidson, Inc.		33,585		2,134,998
Harman International Industries, Inc.		10,405		1,435,786
Hasbro, Inc.		19,928		1,241,813
Home Depot, Inc.		204,310		23,444,572
Interpublic Group of Cos., Inc.		62,228		1,387,684
Johnson Controls, Inc.		102,206		5,193,087
Kohl’s Corp.		29,888		2,205,734
L Brands, Inc.		39,546		3,632,696
Leggett & Platt, Inc.		20,944		943,527
Lennar Corp. Class A		26,425		1,326,799
Lowe’s Cos., Inc.		150,012		11,114,389
Macy’s, Inc.		53,161		3,387,419
Marriott International, Inc. Class A		33,797		2,808,531
Mattel, Inc.		56,543		1,488,212
McDonald’s Corp.		150,515		14,885,934


	Shares		Market Value

Michael Kors Holdings, Ltd. (a)		33,686	$	2,270,773
Mohawk Industries, Inc. (a)		9,669		1,782,480
Netflix, Inc. (a)		9,628		4,572,433
Newell Rubbermaid, Inc.		41,451		1,628,610
News Corp. Class A (a)		86,114		1,487,619
NIKE, Inc. Class B		107,951		10,484,201
Nordstrom, Inc.		20,456		1,645,276
O’Reilly Automotive, Inc. (a)		15,320		3,188,552
Omnicom Group, Inc.		38,550		3,066,267
PetSmart, Inc.		14,973		1,241,411
Priceline Group, Inc. (a)		8,108		10,033,488
PulteGroup, Inc.		47,343		1,068,058
PVH Corp.		12,451		1,326,405
Ralph Lauren Corp.		9,236		1,269,119
Ross Stores, Inc.		33,772		3,573,415
Royal Caribbean Cruises, Ltd.		25,100		1,918,142
Scripps Networks Interactive, Inc. Class A		15,263		1,103,515
Staples, Inc.		95,234		1,596,598
Starbucks Corp.		117,546		10,988,788
Starwood Hotels & Resorts Worldwide, Inc.		29,944		2,405,402
Target Corp.		99,044		7,609,551
Tiffany & Co.		18,581		1,639,216
Time Warner Cable, Inc.		44,474		6,851,220
Time Warner, Inc.		130,780		10,705,651
TJX Cos., Inc.		109,375		7,507,500
Tractor Supply Co.		22,674		1,998,033
TripAdvisor, Inc. (a)		19,015		1,697,089
Twenty-First Century Fox, Inc., Class A		285,609		9,996,315
Under Armour, Inc. Class A (a)		25,076		1,931,103
Urban Outfitters, Inc. (a)		15,839		617,087
V.F. Corp.		53,528		4,103,456
Viacom, Inc. Class B		57,541		4,024,418
Walt Disney Co.		242,693		25,259,487
Whirlpool Corp.		12,459		2,640,685
Wyndham Worldwide Corp.		19,646		1,797,216
Wynn Resorts, Ltd.		11,859		1,689,908
Yum! Brands, Inc.		67,990		5,514,669

				362,799,270


Consumer Staples - 9.5%
Altria Group, Inc.		309,070		17,397,550
Archer-Daniels-Midland Co.		102,992		4,931,257
Avon Products, Inc.		58,558		498,329
Brown-Forman Corp. Class B		24,161		2,215,322
Campbell Soup Co.		30,583		1,424,862
Clorox Co.		19,379		2,105,335
Coca-Cola Co.		614,722		26,617,463
Coca-Cola Enterprises, Inc.		35,313		1,631,461
Colgate-Palmolive Co.		134,579		9,530,885
ConAgra Foods, Inc.		66,051		2,310,464
Constellation Brands, Inc. Class A (a)		27,076		3,106,159


State Street Equity 500 Index Portfolio			17

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2015 (Unaudited)


	Shares		Market Value


Costco Wholesale Corp.		68,834	$	10,115,845
CVS Health Corp.		179,927		18,689,017
Dr. Pepper Snapple Group, Inc.		31,703		2,497,879
Estee Lauder Cos., Inc. Class A		36,263		2,997,862
General Mills, Inc.		94,522		5,084,338
Hershey Co.		23,615		2,450,765
Hormel Foods Corp.		23,349		1,366,150
J.M. Smucker Co.		14,855		1,713,524
Kellogg Co.		40,207		2,592,547
Keurig Green Mountain, Inc.		18,089		2,307,795
Kimberly-Clark Corp.		57,473		6,302,489
Kraft Foods Group, Inc.		90,751		5,813,509
Kroger Co.		76,955		5,475,348
Lorillard, Inc.		57,328		3,922,382
McCormick & Co., Inc.		20,261		1,527,274
Mead Johnson Nutrition Co.		30,568		3,202,304
Molson Coors Brewing Co. Class B		23,509		1,784,098
Mondelez International, Inc. Class A		263,594		9,735,844
Monster Beverage Corp. (a)		21,547		3,040,713
PepsiCo, Inc.		232,838		23,046,305
Philip Morris International, Inc.		240,887		19,983,985
Procter & Gamble Co.		419,461		35,708,715
Reynolds American, Inc.		49,170		3,718,235
Sysco Corp.		93,735		3,654,728
Tyson Foods, Inc. Class A		44,691		1,846,185
Wal-Mart Stores, Inc.		244,799		20,545,980
Walgreens Boots Alliance, Inc.		137,213		11,399,656
Whole Foods Market, Inc.		55,587		3,140,110

				285,432,669


Energy - 7.9%
Anadarko Petroleum Corp.		77,544		6,531,531
Apache Corp.		60,570		3,987,929
Baker Hughes, Inc.		69,094		4,319,066
Cabot Oil & Gas Corp.		65,622		1,903,038
Cameron International Corp. (a)		30,467		1,434,386
Chesapeake Energy Corp.		78,594		1,310,948
Chevron Corp. (b)		294,834		31,452,891
Cimarex Energy Co.		13,242		1,452,383
ConocoPhillips		191,303		12,472,956
CONSOL Energy, Inc.		32,173		1,035,971
Denbury Resources, Inc.		53,229		447,124
Devon Energy Corp.		59,550		3,667,684
Diamond Offshore Drilling, Inc.		9,954		302,900
Ensco PLC Class A		32,889		804,794
EOG Resources, Inc.		86,263		7,739,516
EQT Corp.		22,243		1,775,214
ExxonMobil Corp. (b)		660,972		58,522,461
FMC Technologies, Inc. (a)		39,709		1,585,580
Halliburton Co.		130,167		5,589,371
Helmerich & Payne, Inc.		18,874		1,265,690
Hess Corp.		38,344		2,878,868
Kinder Morgan, Inc.		264,476		10,846,161


	Shares		Market Value

Marathon Oil Corp.		109,289	$	3,044,792
Marathon Petroleum Corp.		43,801		4,599,105
Murphy Oil Corp.		24,962		1,270,316
Nabors Industries, Ltd.		41,720		534,433
National Oilwell Varco, Inc.		66,641		3,621,938
Newfield Exploration Co. (a)		20,685		683,226
Noble Corp. PLC		37,996		632,253
Noble Energy, Inc.		54,795		2,587,968
Occidental Petroleum Corp.		121,135		9,433,994
ONEOK, Inc.		31,504		1,394,367
Phillips 66		85,692		6,723,394
Pioneer Natural Resources Co.		23,524		3,587,880
QEP Resources, Inc.		27,323		586,898
Range Resources Corp.		24,841		1,230,623
Schlumberger, Ltd.		202,072		17,006,380
Southwestern Energy Co. (a)		63,944		1,603,716
Spectra Energy Corp.		104,141		3,695,964
Tesoro Corp.		20,049		1,841,300
Transocean, Ltd.		47,690		769,240
Valero Energy Corp.		83,386		5,144,082
Williams Cos., Inc. (The)		102,610		5,031,994

				236,350,325


Financials - 15.5%
ACE, Ltd.		52,067		5,936,159
Affiliated Managers Group, Inc. (a)		8,476		1,834,376
Aflac, Inc.		69,737		4,341,128
Allstate Corp.		63,967		4,516,070
American Express Co.		139,752		11,402,366
American International Group, Inc.		215,932		11,947,518
American Tower Corp. REIT		62,282		6,174,638
Ameriprise Financial, Inc.		27,963		3,736,696
Aon PLC		45,682		4,584,646
Apartment Investment & Management Co. Class A REIT		27,165		1,023,577
Assurant, Inc.		10,846		664,534
AvalonBay Communities, Inc. REIT		21,029		3,540,022
Bank of America Corp.		1,634,966		25,848,813
Bank of New York Mellon Corp.		172,691		6,759,126
BB&T Corp.		109,439		4,164,154
Berkshire Hathaway, Inc. Class B (a)		284,919		41,999,910
BlackRock, Inc.		20,118		7,472,228
Boston Properties, Inc. REIT		24,821		3,410,654
Capital One Financial Corp.		85,268		6,711,444
CBRE Group, Inc. (a)		42,908		1,470,028
Charles Schwab Corp.		181,489		5,324,887
Chubb Corp.		35,896		3,605,753
Cincinnati Financial Corp.		23,305		1,229,572
Citigroup, Inc.		474,493		24,872,923


18		State Street Equity 500 Index Portfolio

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2015 (Unaudited)


	Shares		Market Value


CME Group, Inc.		49,092	$	4,709,396
Comerica, Inc.		25,917		1,186,480
Crown Castle International Corp. REIT		51,842		4,474,483
Discover Financial Services		72,977		4,450,137
E*TRADE Financial Corp. (a)		43,889		1,142,650
Equity Residential REIT		56,238		4,332,013
Essex Property Trust, Inc. REIT		9,555		2,125,319
Fifth Third Bancorp		122,654		2,374,581
Franklin Resources, Inc.		62,651		3,372,503
General Growth Properties, Inc. REIT		100,542		2,916,723
Genworth Financial, Inc. Class A (a)		71,189		551,715
Goldman Sachs Group, Inc.		63,688		12,087,346
Hartford Financial Services Group, Inc.		70,630		2,893,005
HCP, Inc. REIT		69,777		2,955,754
Health Care REIT, Inc.		55,581		4,285,851
Host Hotels & Resorts, Inc. REIT		113,659		2,386,839
Hudson City Bancorp, Inc.		66,376		647,830
Huntington Bancshares, Inc.		122,865		1,344,143
Intercontinental Exchange, Inc.		17,525		4,124,684
Invesco Ltd.		65,489		2,637,242
Iron Mountain, Inc. REIT		33,274		1,222,820
J.P. Morgan Chase & Co.		581,972		35,663,244
KeyCorp		128,679		1,792,499
Kimco Realty Corp. REIT		64,016		1,682,341
Legg Mason, Inc.		15,615		894,271
Leucadia National Corp.		47,809		1,134,508
Lincoln National Corp.		40,310		2,323,468
Loews Corp.		48,012		1,968,972
M&T Bank Corp.		21,534		2,605,614
Marsh & McLennan Cos., Inc.		82,934		4,718,115
McGraw Hill Financial, Inc.		43,298		4,464,024
MetLife, Inc.		175,626		8,927,070
Moody’s Corp.		29,934		2,901,802
Morgan Stanley		239,155		8,559,357
NASDAQ OMX Group, Inc.		15,925		798,798
Navient Corp.		59,941		1,282,737
Northern Trust Corp.		35,310		2,465,697
People’s United Financial, Inc.		49,334		746,423
Plum Creek Timber Co., Inc. REIT		27,186		1,180,960
PNC Financial Services Group, Inc.		82,842		7,618,150
Principal Financial Group, Inc.		40,326		2,063,481
Progressive Corp.		85,852		2,287,956
ProLogis, Inc. REIT		80,147		3,423,078
Prudential Financial, Inc.		70,037		5,662,491
Public Storage, Inc. REIT		22,852		4,506,871
Regions Financial Corp.		213,143		2,048,304
Simon Property Group, Inc. REIT		48,935		9,315,267


	Shares		Market Value

State Street Corp. (c)		66,647	$	4,961,869
SunTrust Banks, Inc.		78,882		3,234,162
T. Rowe Price Group, Inc.		41,420		3,421,292
The Macerich Co. REIT		20,945		1,752,049
Torchmark Corp.		19,384		1,032,198
Travelers Cos., Inc.		51,098		5,489,969
U.S. Bancorp		278,230		12,411,840
Unum Group		43,424		1,457,309
Ventas, Inc. REIT		51,003		3,798,193
Vornado Realty Trust REIT		27,746		3,053,170
Wells Fargo & Co.		734,546		40,245,775
Weyerhaeuser Co. REIT		81,681		2,867,820
XL Group PLC		38,920		1,408,904
Zions Bancorporation		31,258		835,683

				465,798,467


Health Care - 14.3%
Abbott Laboratories		233,759		11,073,164
AbbVie, Inc.		249,863		15,116,711
Actavis PLC (a)		40,969		11,936,728
Aetna, Inc.		55,415		5,516,563
Agilent Technologies, Inc.		52,075		2,198,086
Alexion Pharmaceuticals, Inc. (a)		31,627		5,704,562
Allergan, Inc.		46,314		10,779,120
AmerisourceBergen Corp.		33,552		3,447,803
Amgen, Inc.		118,091		18,625,312
Anthem, Inc.		42,119		6,168,328
Baxter International, Inc.		82,545		5,707,987
Becton Dickinson and Co.		28,992		4,253,706
Biogen Idec, Inc. (a)		36,547		14,969,286
Boston Scientific Corp. (a)		208,377		3,521,571
Bristol-Myers Squibb Co.		256,412		15,620,619
C.R. Bard, Inc.		11,162		1,887,941
Cardinal Health, Inc.		52,424		4,612,788
CareFusion Corp. (a)		33,622		2,020,010
Celgene Corp. (a)		125,265		15,223,455
Cerner Corp. (a)		47,263		3,405,772
CIGNA Corp.		39,811		4,842,212
DaVita HealthCare Partners, Inc. (a)		26,572		1,982,271
DENTSPLY International, Inc.		20,166		1,069,000
Edwards Lifesciences Corp. (a)		16,445		2,187,514
Eli Lilly & Co.		152,857		10,725,976
Endo International PLC (a)		27,500		2,354,000
Express Scripts Holding Co. (a)		114,747		9,729,398
Gilead Sciences, Inc. (a)		234,646		24,292,900
HCA Holdings, Inc. (a)		46,800		3,348,072
Hospira, Inc. (a)		25,017		2,189,988
Humana, Inc.		24,717		4,062,980
Intuitive Surgical, Inc. (a)		5,452		2,726,000
Johnson & Johnson		437,341		44,831,826
Laboratory Corp. of America Holdings (a)		16,747		2,060,383
Mallinckrodt PLC (a)		17,700		2,065,944


State Street Equity 500 Index Portfolio			19

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2015 (Unaudited)


	Shares		Market Value


McKesson Corp.		36,031	$	8,240,290
Medtronic PLC		221,604		17,194,254
Merck & Co., Inc.		445,198		26,061,891
Mylan, Inc. (a)		56,907		3,262,194
Patterson Cos., Inc.		11,159		558,787
PerkinElmer, Inc.		16,632		781,704
Perrigo Co. PLC		22,414		3,462,291
Pfizer, Inc.		978,448		33,580,335
Quest Diagnostics, Inc.		22,158		1,554,162
Regeneron Pharmaceuticals, Inc. (a)		11,458		4,741,779
St. Jude Medical, Inc.		44,053		2,937,454
Stryker Corp.		45,595		4,320,126
Tenet Healthcare Corp. (a)		13,452		622,828
Thermo Fisher Scientific, Inc.		62,512		8,126,560
UnitedHealth Group, Inc.		148,822		16,910,644
Universal Health Services, Inc.		13,300		1,507,555
Varian Medical Systems, Inc. (a)		15,631		1,453,214
Vertex Pharmaceuticals, Inc. (a)		36,648		4,376,871
Waters Corp. (a)		11,915		1,434,328
Zimmer Holdings, Inc.		25,727		3,097,274
Zoetis, Inc.		76,228		3,513,348

				427,995,865


Industrials - 10.0%
3M Co.		99,343		16,754,197
ADT Corp.		25,056		982,696
Allegion PLC		12,837		741,080
AMETEK, Inc.		37,101		1,971,547
Boeing Co.		102,924		15,526,085
C.H. Robinson Worldwide, Inc.		22,382		1,662,983
Caterpillar, Inc.		93,855		7,780,580
Cintas Corp.		15,222		1,270,733
CSX Corp.		155,859		5,347,522
Cummins, Inc.		26,444		3,761,130
Danaher Corp.		96,478		8,420,600
Deere & Co.		57,154		5,178,152
Delta Air Lines, Inc.		130,566		5,812,798
Dover Corp.		24,145		1,739,647
Dun & Bradstreet Corp.		6,145		814,090
Eaton Corp. PLC		72,099		5,119,750
Emerson Electric Co.		110,169		6,380,989
Equifax, Inc.		20,295		1,894,944
Expeditors International of Washington, Inc.		29,444		1,422,145
Fastenal Co.		44,042		1,829,945
FedEx Corp.		40,350		7,141,143
Flowserve Corp.		23,555		1,463,472
Fluor Corp.		22,556		1,308,248
General Dynamics Corp.		48,689		6,757,059
General Electric Co.		1,558,463		40,504,453


	Shares		Market Value

Honeywell International, Inc.		120,603	$	12,395,576
Illinois Tool Works, Inc.		56,071		5,543,179
Ingersoll-Rand PLC		41,116		2,762,584
Jacobs Engineering Group, Inc. (a)		20,157		893,761
Joy Global, Inc.		14,887		659,792
Kansas City Southern		16,704		1,934,991
L-3 Communications Holdings, Inc.		12,465		1,613,345
Lockheed Martin Corp.		41,249		8,251,862
Masco Corp.		54,139		1,417,900
Nielsen NV		52,275		2,363,353
Norfolk Southern Corp.		47,268		5,159,775
Northrop Grumman Corp.		31,686		5,250,687
PACCAR, Inc.		54,235		3,473,752
Pall Corp.		16,107		1,623,747
Parker-Hannifin Corp.		23,914		2,934,009
Pentair PLC		28,991		1,927,032
Pitney Bowes, Inc.		30,921		716,440
Precision Castparts Corp.		21,978		4,753,841
Quanta Services, Inc. (a)		30,293		871,833
Raytheon Co.		47,736		5,192,245
Republic Services, Inc.		41,114		1,682,385
Robert Half International, Inc.		20,374		1,262,373
Rockwell Automation, Inc.		21,779		2,549,014
Rockwell Collins, Inc.		19,500		1,737,060
Roper Industries, Inc.		14,835		2,485,901
Ryder System, Inc.		9,755		916,872
Snap-on, Inc.		8,872		1,306,225
Southwest Airlines Co.		105,927		4,580,283
Stanley Black & Decker, Inc.		24,950		2,453,583
Stericycle, Inc. (a)		14,104		1,903,617
Textron, Inc.		44,906		1,989,785
Tyco International PLC		67,336		2,842,926
Union Pacific Corp.		137,438		16,528,294
United Parcel Service, Inc. Class B		109,455		11,134,857
United Rentals, Inc. (a)		15,200		1,414,512
United Technologies Corp.		132,627		16,168,558
W.W. Grainger, Inc.		9,412		2,229,797
Waste Management, Inc.		68,204		3,715,754
Xylem, Inc.		24,834		886,574

				299,114,062


Information Technology - 19.3%
Accenture PLC Class A		99,282		8,938,358
Adobe Systems, Inc. (a)		73,813		5,838,608
Akamai Technologies, Inc. (a)		27,734		1,927,790
Alliance Data Systems Corp. (a)		10,204		2,841,916
Altera Corp.		51,354		1,900,612
Amphenol Corp. Class A		49,980		2,821,871
Analog Devices, Inc.		50,818		2,974,886
Apple, Inc.		914,364		117,459,199
Applied Materials, Inc.		190,653		4,775,858


20		State Street Equity 500 Index Portfolio

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2015 (Unaudited)


	Shares		Market Value


Autodesk, Inc. (a)		34,170	$	2,195,081
Automatic Data Processing, Inc.		76,465		6,793,151
Avago Technologies, Ltd.		38,718		4,941,191
Broadcom Corp. Class A		81,235		3,674,259
CA, Inc.		54,159		1,761,251
Cisco Systems, Inc.		792,329		23,381,629
Citrix Systems, Inc. (a)		25,678		1,635,047
Cognizant Technology Solutions Corp. Class A) (a)		93,627		5,850,283
Computer Sciences Corp.		22,732		1,612,153
Corning, Inc.		203,350		4,961,740
eBay, Inc. (a)		176,658		10,230,265
Electronic Arts, Inc. (a)		50,121		2,865,919
EMC Corp.		316,474		9,158,758
F5 Networks, Inc. (a)		10,559		1,247,176
Facebook, Inc. Class A (a)		327,407		25,855,331
Fidelity National Information Services, Inc.		44,886		3,033,845
First Solar, Inc. (a)		11,749		701,944
Fiserv, Inc. (a)		36,442		2,845,027
FLIR Systems, Inc.		20,339		656,543
Google, Inc. Class A (a)		44,423		24,993,712
Google, Inc. Class C (a)		44,123		24,638,283
Harris Corp.		16,098		1,250,493
Hewlett-Packard Co.		289,363		10,081,407
Intel Corp.		755,020		25,104,415
International Business Machines Corp.		143,647		23,262,195
Intuit, Inc.		43,326		4,229,917
Juniper Networks, Inc.		58,444		1,397,396
KLA-Tencor Corp.		26,573		1,726,049
Lam Research Corp.		24,281		2,002,211
Linear Technology Corp.		35,021		1,687,487
Mastercard, Inc. Class A		151,749		13,677,137
Microchip Technology, Inc.		34,006		1,743,488
Micron Technology, Inc. (a)		163,528		5,015,404
Microsoft Corp. (b)		1,286,877		56,429,556
Motorola Solutions, Inc.		33,022		2,243,515
NetApp, Inc.		49,643		1,918,702
NVIDIA Corp.		75,012		1,654,765
Oracle Corp.		507,070		22,219,807
Paychex, Inc.		49,131		2,448,443
QUALCOMM, Inc.		258,985		18,779,002
Red Hat, Inc. (a)		28,130		1,944,346
Salesforce.com, Inc. (a)		89,305		6,195,981
SanDisk Corp.		33,206		2,654,156
Seagate Technology PLC		49,776		3,042,309
Symantec Corp.		108,203		2,722,387
TE Connectivity, Ltd.		64,849		4,677,558
Teradata Corp. (a)		21,913		975,567
Texas Instruments, Inc.		163,806		9,631,793
Total System Services, Inc.		22,999		878,562
VeriSign, Inc. (a)		19,320		1,236,866
Visa, Inc. Class A		76,110		20,649,404


	Shares		Market Value

Western Digital Corp.		33,647	$	3,599,556
Western Union Co.		74,940		1,462,829
Xerox Corp.		161,592		2,205,731
Xilinx, Inc.		39,642		1,679,632
Yahoo!, Inc. (a)		137,637		6,094,566

				579,034,318


Materials - 3.2%
Air Products & Chemicals, Inc.		29,807		4,654,065
Airgas, Inc.		10,040		1,176,889
Alcoa, Inc.		183,889		2,719,718
Allegheny Technologies, Inc.		14,911		501,904
Avery Dennison Corp.		13,318		713,179
Ball Corp.		21,658		1,553,095
C.F. Industries Holdings, Inc.		8,006		2,451,677
Dow Chemical Co.		173,790		8,557,420
E.I. du Pont de Nemours & Co.		142,594		11,100,943
Eastman Chemical Co.		21,472		1,598,805
Ecolab, Inc.		41,565		4,802,420
FMC Corp.		22,922		1,453,484
Freeport-McMoRan, Inc.		157,964		3,416,761
International Flavors & Fragrances, Inc.		13,780		1,680,195
International Paper Co.		66,808		3,768,639
LyondellBasell Industries NV Class A		66,052		5,674,527
Martin Marietta Materials, Inc.		10,555		1,502,293
MeadWestvaco Corp.		24,943		1,323,476
Monsanto Co.		75,094		9,043,571
Mosaic Co.		47,516		2,530,702
Newmont Mining Corp.		73,573		1,937,177
Nucor Corp.		47,306		2,224,801
Owens-Illinois, Inc. (a)		22,763		595,480
PPG Industries, Inc.		21,444		5,047,489
Praxair, Inc.		45,000		5,755,500
Sealed Air Corp.		32,469		1,530,264
Sherwin-Williams Co.		12,287		3,504,253
Sigma-Aldrich Corp.		17,761		2,452,084
Vulcan Materials Co.		22,290		1,850,070

				95,120,881


Telecommunication Services - 2.2%
AT&T, Inc.		808,373		27,937,371
CenturyLink, Inc.		86,173		3,262,510
Frontier Communications Corp.		143,538		1,145,433
Level 3 Communications, Inc. (a)		41,500		2,235,190
Verizon Communications, Inc.		646,351		31,962,057
Windstream Holdings, Inc.		85,867		677,490

				67,220,051


Utilities - 2.9%
AES Corp.		98,059		1,271,825
AGL Resources, Inc.		18,002		884,078
Ameren Corp.		36,056		1,529,135


State Street Equity 500 Index Portfolio			21

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2015 (Unaudited)


	Shares		Market Value


American Electric Power Co., Inc.		75,043	$	4,320,976
CenterPoint Energy, Inc.		65,335		1,358,315
CMS Energy Corp.		42,001		1,475,495
Consolidated Edison, Inc.		47,100		2,973,894
Dominion Resources, Inc.		91,268		6,579,510
DTE Energy Co.		26,039		2,135,979
Duke Energy Corp.		110,491		8,679,068
Edison International		49,505		3,180,696
Entergy Corp.		27,000		2,146,770
Eversource Energy		51,243		2,651,825
Exelon Corp.		131,659		4,465,873
FirstEnergy Corp.		68,129		2,383,153
Integrys Energy Group, Inc.		11,180		835,481
NextEra Energy, Inc.		69,057		7,144,637
NiSource, Inc.		47,478		2,037,281
NRG Energy, Inc.		51,498		1,234,922
Pepco Holdings, Inc.		35,659		967,785
PG&E Corp.		72,012		3,869,205
Pinnacle West Capital Corp.		18,956		1,214,701
PPL Corp.		105,756		3,606,280
Public Service Enterprise Group, Inc.		76,936		3,235,928
SCANA Corp.		23,801		1,355,467
Sempra Energy		35,624		3,854,517
Southern Co.		139,484		6,386,972
TECO Energy, Inc.		42,650		837,220
Wisconsin Energy Corp.		32,976		1,681,117
Xcel Energy, Inc.		80,800		2,850,624

				87,148,729


Total Common Stocks (cost $1,355,183,671)				2,906,014,637


	Par Amount

U.S. Government Securities - 0.2%
U.S. Treasury Bill 0.00% due 03/12/2015 (b)(d)(e)	$	400,000		400,000
U.S. Treasury Bill 0.05% due 04/09/2015 (b)(d)(e)		2,000,000		1,999,968
U.S. Treasury Bill 0.05% due 04/16/2015 (b)(d)(e)		3,760,000		3,759,988


Total U.S. Government Securities (cost $6,159,955)				6,159,956


	Shares		Market Value

Money Market Fund - 2.9%
State Street Institutional Liquid Reserves Fund, Premier Class 0.08% (c)(f)		86,313,647	$	86,313,647


Total Money Market Fund (cost $86,313,647)				86,313,647


Total Investments (g)† - 100.0% (cost $1,447,657,273) (h)				2,998,488,240

Other Assets in Excess of Liabilities - 0.0% (i)				802,617


Net Assets - 100.0%			$	2,999,290,857

(a)	Non-income producing security

(b)	All or part of this security has been designated as collateral for futures contracts

(c)	Affiliated issuer. See table that follows for more information.

(d)	Rate represents annualized yield at date of purchase

(e)	Securities are valued in accordance with procedures approved by the Board of Trustees. Securities’ values are determined based on Level 2 inputs.

(f)	The rate shown is the annualized seven-day yield at period end.

(g)	Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures.

(h)

Cost of investments shown approximates cost for federal income tax purposes. Gross unrealized appreciation and gross unrealized depreciation of investments at February 28, 2015 was $1,565,684,246 and $14,853,280, respectively, resulting in net unrealized appreciation of investments of $1,550,830,966.

(i)	Amount represents less than 0.05% of net assets

†

Security valuation: The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed-income securities and options are valued on the basis of the closing bid price. Futures contracts are valued at the quoted daily settlement price at the end of each day on the exchange upon which they are traded. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. Investments in other mutual fund are valued at the net asset value per share. The Portfolio 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.

PLC	Public Limited Company

REIT	Real Estate Investment Trust

See accompanying notes which are an integral part of the financial statements.


22		State Street Equity 500 Index Portfolio

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2015 (Unaudited)

The Portfolio adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. These provisions apply to fair value measurements that are already required or permitted by other accounting standards and are intended to increase the consistency of those measurements and apply broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.

The three tier hierarchy of inputs is summarized below:

•

Level 1 — quoted prices in active markets for identical securities

•

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

•

Level 3 — significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of February 28, 2015, in valuing the Portfolio’s assets carried at fair value:


Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total

Assets:

Investments:
Common Stocks	$	2,906,014,637	$	—	$	—	$	2,906,014,637
U.S. Government Securities		—		6,159,956		—		6,159,956
Money Market Fund		86,313,647		—		—		86,313,647

Total Investments		2,992,328,284		6,159,956		—		2,998,488,240

Other Assets:
Futures contracts		4,587,058		—		—		4,587,058

Total	$	2,996,915,342	$	6,159,956	$	—	$	3,003,075,298

The type of inputs used to value each security under the provisions surrounding fair value measurements and disclosures is identified in the Portfolio of Investments, which also includes a breakdown of the Portfolio’s investments by category.

For the two months ended February 28, 2015, there were no transfers between levels.

Derivatives

Futures: The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500^® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Asset and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with the U.S. Securities and Exchange Commission requirements.


Schedule of Futures Contracts	Number of Contracts		Notional Value	Unrealized Appreciation

S&P 500 Financial Futures Contracts (long) Expiration Date 03/2015		875	$91,997,500	$	4,587,058

Total Unrealized Appreciation on Open Futures Contracts Purchased				$	4,587,058

See accompanying notes which are an integral part of the financial statements.


State Street Equity 500 Index Portfolio			23

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — February 28, 2015 (Unaudited)

The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.

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 Portfolio and the prices of futures contracts and the possibility of an illiquid market. To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’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.

The following table discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at February 28, 2015:

Asset Derivatives ⁽¹⁾


	Equity Contracts Risk		Total

Futures Contracts	$	4,587,058	$	4,587,058

(1)

Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported with the Statement of Assets and Liabilities.

The average notional value of futures outstanding during the period ended February 28, 2015 was $89,594,167.

Affiliates Table

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSGA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The Portfolio also invested in the State Street Institutional Liquid Reserves Fund. Transactions in all affiliates for the period ending February 28, 2015 were as follows:


Security Description	Number of Shares Held at 12/31/14		Shares Purchased for the Two Months Ended 2/28/15		Shares Sold for the Two Months Ended 2/28/15		Number of Shares Held at 2/28/15		Value at 2/28/15		Income Earned for the Two Months Ended 2/28/15		Realized Gain/Loss on Shares Sold

State Street Corp.		62,947		3,700		—		66,647	$	4,961,869	$	18,884	$	—
State Street Institutional Liquid Reserves Fund, Premier Class		91,116,189		60,886,984		65,689,526		86,313,647		86,313,647		12,497		—

See accompanying notes which are an integral part of the financial statements.


24		State Street Equity 500 Index Portfolio

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities — February 28, 2015 (unaudited)




Assets
Investments in unaffiliated issuers at market value (identified cost $1,358,992,425)	$	2,907,212,724
Investments in non-controlled affiliates at market value (identified cost $88,664,848)		91,275,516

Total investments at market value (identified cost $1,447,657,273)		2,998,488,240
Cash		346,502
Dividends and interest receivable		6,221,094

Total assets		3,005,055,836


Liabilities
Investment securities purchased		5,085,556
Daily variation margin on futures contracts		310,625
Management fees payable		368,798

Total liabilities		5,764,979


Net Assets	$	2,999,290,857

See accompanying notes which are an integral part of the financial statements.


Statement of Assets and Liabilities			25

SSGA S&P 500 Index Fund

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

(800) 647-7327

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Officers

Ellen M. Needham, President and Principal Executive Officer

Chad C. Hallett, Treasurer and Principal Accounting Officer

Ann M. Carpenter, Vice President and Assistant Treasurer

Brian Harris, Chief Compliance Officer

David James, Secretary

Joshua A. Weinberg, Chief Legal Officer

Kristin M. Schantz, Assistant Secretary

Investment Adviser

SSGA Funds Management, Inc.

State Street Financial Center,

One Lincoln Street

Boston, Massachusetts 02111-2900

Custodian and Office of Shareholder Inquiries

State Street Bank and Trust Company

1776 Heritage Drive

North Quincy, Massachusetts 02171

Transfer and Dividend Paying Agent

Boston Financial Data Services, Inc.

2000 Crown Colony Drive

Quincy, Massachusetts 02169

Distributor

State Street Global Markets, LLC

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Administrator

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, Massachusetts 02111-2900

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, Massachusetts 02199

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, Massachusetts 02116

Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation.

References to State Street may include State Street Corporation and its affiliates. The SSgA Funds pay State Street Bank and Trust Company for its services as administrator, custodian, transfer agent and shareholder servicing agent and pays SSgA Funds Management, Inc. for investment advisory services.

This information must be preceded or accompanied by a current prospectus or summary prospectus. Read the prospectus carefully before you invest or send money.


26		Fund Management and Service Providers

State Street Equity 500 Index Portfolio

Portfolio of Investments — December 31, 2014


	Shares		Market Value

Common Stocks - 96.9%
Consumer Discretionary - 11.7%
Amazon.com, Inc. (a)		58,102	$	18,031,956
AutoNation, Inc. (a)		12,469		753,252
AutoZone, Inc. (a)		4,988		3,088,121
Bed Bath & Beyond, Inc. (a)		31,630		2,409,257
Best Buy Co., Inc.		44,213		1,723,423
BorgWarner, Inc.		36,423		2,001,444
Cablevision Systems Corp. Class A		30,812		635,960
CarMax, Inc. (a)		32,197		2,143,676
Carnival Corp.		69,149		3,134,524
CBS Corp. Class B		72,993		4,039,433
Chipotle Mexican Grill, Inc. (a)		4,614		3,158,329
Coach, Inc.		38,800		1,457,328
Comcast Corp. Class A		391,565		22,714,686
D.R. Horton, Inc.		50,179		1,269,027
Darden Restaurants, Inc.		20,917		1,226,364
Delphi Automotive PLC		43,681		3,176,482
DIRECTV (a)		76,375		6,621,712
Discovery Communications, Inc. Class A (a)		21,597		744,017
Discovery Communications, Inc. Class C (a)		39,797		1,341,955
Dollar General Corp. (a)		44,487		3,145,231
Dollar Tree, Inc. (a)		30,293		2,132,021
Expedia, Inc.		15,023		1,282,363
Family Dollar Stores, Inc.		13,465		1,066,563
Ford Motor Co.		589,560		9,138,180
Fossil Group, Inc. (a)		7,617		843,506
GameStop Corp. Class A		16,878		570,476
Gannett Co., Inc.		34,252		1,093,666
Gap, Inc.		44,764	��	1,885,012
Garmin Ltd.		19,560		1,033,355
General Motors Co.		206,677		7,215,094
Genuine Parts Co.		24,420		2,602,439
Goodyear Tire & Rubber Co.		40,813		1,166,027
H&R Block, Inc.		45,551		1,534,158
Harley-Davidson, Inc.		33,585		2,213,587
Harman International Industries, Inc.		10,405		1,110,317
Hasbro, Inc.		15,428		848,386
Home Depot, Inc.		201,910		21,194,493
Interpublic Group of Cos., Inc.		62,228		1,292,475
Johnson Controls, Inc.		102,206		4,940,638
Kohl’s Corp.		29,888		1,824,363
L Brands, Inc.		36,546		3,163,056
Leggett & Platt, Inc.		20,944		892,424
Lennar Corp. Class A		26,425		1,184,104
Lowe’s Cos., Inc.		150,012		10,320,826
Macy’s, Inc.		53,161		3,495,336
Marriott International, Inc. Class A		33,797		2,637,180
Mattel, Inc.		47,843		1,480,502
McDonald’s Corp.		147,715		13,840,895


	Shares		Market Value
Michael Kors Holdings, Ltd. (a)		29,886	$	2,244,439
Mohawk Industries, Inc. (a)		9,669		1,502,176
Netflix, Inc. (a)		8,828		3,015,733
Newell Rubbermaid, Inc.		41,451		1,578,869
News Corp. Class A (a)		69,414		1,089,106
NIKE, Inc. Class B		105,051		10,100,654
Nordstrom, Inc.		20,456		1,624,002
O’Reilly Automotive, Inc. (a)		15,320		2,950,938
Omnicom Group, Inc.		38,550		2,986,468
PetSmart, Inc.		14,973		1,217,230
Priceline Group, Inc. (a)		7,908		9,016,781
PulteGroup, Inc.		47,343		1,015,981
PVH Corp.		12,451		1,595,845
Ralph Lauren Corp.		9,236		1,710,138
Ross Stores, Inc.		31,072		2,928,847
Royal Caribbean Cruises, Ltd.		25,100		2,068,993
Scripps Networks Interactive, Inc. Class A		15,263		1,148,846
Staples, Inc.		95,234		1,725,640
Starbucks Corp.		114,546		9,398,499
Starwood Hotels & Resorts Worldwide, Inc.		29,944		2,427,560
Target Corp.		95,444		7,245,154
Tiffany & Co.		16,081		1,718,416
Time Warner Cable, Inc.		42,574		6,473,802
Time Warner, Inc.		127,580		10,897,884
TJX Cos., Inc.		105,275		7,219,759
Tractor Supply Co.		19,474		1,534,941
TripAdvisor, Inc. (a)		15,715		1,173,282
Twenty-First Century Fox, Inc. Class A		285,609		10,968,814
Under Armour, Inc. Class A (a)		25,076		1,702,660
Urban Outfitters, Inc. (a)		15,839		556,424
V.F. Corp.		53,528		4,009,247
Viacom, Inc. Class B		57,541		4,329,960
Walt Disney Co.		236,793		22,303,533
Whirlpool Corp.		12,459		2,413,807
Wyndham Worldwide Corp.		19,646		1,684,841
Wynn Resorts, Ltd.		11,859		1,764,145
Yum! Brands, Inc.		67,990		4,953,071

				337,114,104


Consumer Staples - 9.5%
Altria Group, Inc.		303,870		14,971,675
Archer-Daniels-Midland Co.		97,392		5,064,384
Avon Products, Inc.		58,558		549,860
Brown-Forman Corp. Class B		24,161		2,122,302
Campbell Soup Co.		24,983		1,099,252
Clorox Co.		19,379		2,019,486
Coca-Cola Co.		599,122		25,294,931
Coca-Cola Enterprises, Inc.		35,313		1,561,541
Colgate-Palmolive Co.		130,379		9,020,923
ConAgra Foods, Inc.		66,051		2,396,330
Constellation Brands, Inc. Class A (a)		24,776		2,432,260


State Street Equity 500 Index Portfolio			27

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — December 31, 2014


	Shares		Market Value

Costco Wholesale Corp.		66,834	$	9,473,719
CVS Health Corp.		174,027		16,760,540
Dr. Pepper Snapple Group, Inc.		28,303		2,028,759
Estee Lauder Cos., Inc. Class A		32,763		2,496,541
General Mills, Inc.		94,522		5,040,858
Hershey Co.		23,615		2,454,307
Hormel Foods Corp.		18,349		955,983
J.M. Smucker Co.		14,855		1,500,058
Kellogg Co.		40,207		2,631,146
Keurig Green Mountain, Inc.		18,089		2,394,893
Kimberly-Clark Corp.		57,473		6,640,430
Kraft Foods Group, Inc.		90,751		5,686,458
Kroger Co.		76,955		4,941,281
Lorillard, Inc.		53,128		3,343,876
McCormick & Co., Inc.		20,261		1,505,392
Mead Johnson Nutrition Co.		30,568		3,073,307
Molson Coors Brewing Co. Class B		23,509		1,751,891
Mondelez International, Inc. Class A		255,894		9,295,350
Monster Beverage Corp. (a)		21,547		2,334,617
PepsiCo, Inc.		226,738		21,440,345
Philip Morris International, Inc.		237,687		19,359,606
Procter & Gamble Co.		411,961		37,525,527
Reynolds American, Inc.		45,070		2,896,649
Safeway, Inc.		32,165		1,129,635
Sysco Corp.		87,335		3,466,326
Tyson Foods, Inc. Class A		44,691		1,791,662
Wal-Mart Stores, Inc.		241,499		20,739,934
Walgreens Boots Alliance, Inc.		133,713		10,188,931
Whole Foods Market, Inc.		55,587		2,802,697

				272,183,662


Energy - 8.2%
Anadarko Petroleum Corp.		77,544		6,397,380
Apache Corp.		56,370		3,532,708
Baker Hughes, Inc.		64,694		3,627,393
Cabot Oil & Gas Corp.		65,622		1,943,067
Cameron International Corp. (a)		30,467		1,521,827
Chesapeake Energy Corp.		78,594		1,538,085
Chevron Corp. (b)		287,334		32,233,128
Cimarex Energy Co.		13,242		1,403,652
ConocoPhillips		187,103		12,921,333
CONSOL Energy, Inc.		32,173		1,087,769
Denbury Resources, Inc.		53,229		432,752
Devon Energy Corp.		59,550		3,645,056
Diamond Offshore Drilling, Inc.		9,954		365,411
Ensco PLC Class A		32,889		985,026
EOG Resources, Inc.		83,263		7,666,024
EQT Corp.		22,243		1,683,795
ExxonMobil Corp. (b)		644,672		59,599,926
FMC Technologies, Inc. (a)		33,409		1,564,878
Halliburton Co.		130,167		5,119,468
Helmerich & Payne, Inc.		14,974		1,009,547
Hess Corp.		38,344		2,830,554


	Shares		Market Value
Kinder Morgan, Inc.		258,176	$	10,923,427
Marathon Oil Corp.		99,689		2,820,202
Marathon Petroleum Corp.		43,801		3,953,478
Murphy Oil Corp.		24,962		1,261,080
Nabors Industries, Ltd.		41,720		541,526
National Oilwell Varco, Inc.		66,641		4,366,985
Newfield Exploration Co. (a)		20,685		560,977
Noble Corp. PLC		37,996		629,594
Noble Energy, Inc.		54,795		2,598,927
Occidental Petroleum Corp.		117,635		9,482,557
ONEOK, Inc.		31,504		1,568,584
Phillips 66		85,692		6,144,116
Pioneer Natural Resources Co.		23,524		3,501,547
QEP Resources, Inc.		27,323		552,471
Range Resources Corp.		24,841		1,327,751
Schlumberger, Ltd.		195,272		16,678,182
Southwestern Energy Co. (a)		51,844		1,414,823
Spectra Energy Corp.		104,141		3,780,318
Tesoro Corp.		20,049		1,490,643
Transocean, Ltd.		47,690		874,158
Valero Energy Corp.		78,586		3,890,007
Williams Cos., Inc. (The)		102,610		4,611,293

				234,081,425


Financials - 16.1%
ACE, Ltd.		49,767		5,717,233
Affiliated Managers Group, Inc. (a)		8,476		1,798,946
Aflac, Inc.		69,737		4,260,233
Allstate Corp.		63,967		4,493,682
American Express Co.		136,052		12,658,278
American International Group, Inc.		215,932		12,094,351
American Tower Corp. REIT		59,682		5,899,566
Ameriprise Financial, Inc.		27,963		3,698,107
Aon PLC		42,882		4,066,500
Apartment Investment & Management Co. Class A REIT		19,865		737,985
Assurant, Inc.		10,846		742,192
AvalonBay Communities, Inc. REIT		19,529		3,190,843
Bank of America Corp.		1,598,166		28,591,190
Bank of New York Mellon Corp.		172,691		7,006,074
BB&T Corp.		109,439		4,256,083
Berkshire Hathaway, Inc. Class B (a)		277,919		41,729,538
BlackRock, Inc.		19,418		6,943,100
Boston Properties, Inc. REIT		22,821		2,936,835
Capital One Financial Corp.		85,268		7,038,873
CBRE Group, Inc. (a)		42,908		1,469,599
Charles Schwab Corp.		172,289		5,201,405
Chubb Corp.		35,896		3,714,159
Cincinnati Financial Corp.		23,305		1,207,898
Citigroup, Inc.		462,693		25,036,318


28		State Street Equity 500 Index Portfolio

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — December 31, 2014


	Shares			Market Value

CME Group, Inc.		49,092		$	4,352,006
Comerica, Inc.		25,917			1,213,952
Crown Castle International Corp. REIT		51,842			4,079,965
Discover Financial Services		68,377			4,478,010
E*TRADE Financial Corp. (a)		43,889			1,064,528
Equity Residential REIT		56,238			4,040,138
Essex Property Trust, Inc. REIT		9,555			1,974,063
Fifth Third Bancorp		122,654			2,499,075
Franklin Resources, Inc.		57,851			3,203,210
General Growth Properties, Inc. REIT		91,342			2,569,450
Genworth Financial, Inc. Class A (a)		71,189			605,107
Goldman Sachs Group, Inc.		62,188			12,053,900
Hartford Financial Services Group, Inc.		70,630			2,944,565
HCP, Inc. REIT		69,777			3,072,281
Health Care REIT, Inc.		49,581			3,751,794
Host Hotels & Resorts, Inc. REIT		113,659			2,701,674
Hudson City Bancorp, Inc.		66,376			671,725
Huntington Bancshares, Inc.		122,865			1,292,540
Intercontinental Exchange, Inc.		17,525			3,843,057
Invesco Ltd.		65,489			2,588,125
Iron Mountain, Inc. REIT		33,274			1,286,373
J.P. Morgan Chase & Co.		571,672			35,775,234
KeyCorp		128,679			1,788,638
Kimco Realty Corp. REIT		64,016			1,609,362
Legg Mason, Inc.		15,615			833,373
Leucadia National Corp.		47,809			1,071,878
Lincoln National Corp.		40,310			2,324,678
Loews Corp.		48,012			2,017,464
M&T Bank Corp.		19,334			2,428,737
Marsh & McLennan Cos., Inc.		82,934			4,747,142
McGraw Hill Financial, Inc.		40,298			3,585,716
MetLife, Inc.		175,626			9,499,610
Moody’s Corp.		27,234			2,609,290
Morgan Stanley		231,955			8,999,854
NASDAQ OMX Group, Inc.		15,925			763,763
Navient Corp.		59,941			1,295,325
Northern Trust Corp.		35,310			2,379,894
People’s United Financial, Inc.		49,334	��		748,890
Plum Creek Timber Co., Inc. REIT		27,186			1,163,289
PNC Financial Services Group, Inc.		82,842			7,557,676
Principal Financial Group, Inc.		40,326			2,094,532
Progressive Corp.		85,852			2,317,146
ProLogis, Inc. REIT		74,347			3,199,151
Prudential Financial, Inc.		70,037			6,335,547
Public Storage, Inc. REIT		21,452			3,965,402
Regions Financial Corp.		213,143			2,250,790
Simon Property Group, Inc. REIT		47,435			8,638,388


	Shares		Market Value
State Street Corp. (c)		62,947	$	4,941,340
SunTrust Banks, Inc.		78,882		3,305,156
T. Rowe Price Group, Inc.		38,320		3,290,155
The Macerich Co. REIT		20,945		1,747,022
Torchmark Corp.		19,384		1,050,031
Travelers Cos., Inc.		51,098		5,408,723
U.S. Bancorp		271,630		12,209,769
Unum Group		35,424		1,235,589
Ventas, Inc. REIT		44,703		3,205,205
Vornado Realty Trust REIT		27,746		3,265,982
Wells Fargo & Co.		721,646		39,560,634
Weyerhaeuser Co. REIT		81,681		2,931,531
XL Group PLC		38,920		1,337,680
Zions Bancorporation		31,258		891,166

				463,155,278


Health Care - 13.8%
Abbott Laboratories		227,959		10,262,714
AbbVie, Inc.		241,063		15,775,163
Actavis PLC (a)		40,969		10,545,830
Aetna, Inc.		52,415		4,656,024
Agilent Technologies, Inc.		52,075		2,131,951
Alexion Pharmaceuticals, Inc. (a)		30,127		5,574,399
Allergan, Inc.		45,014		9,569,526
AmerisourceBergen Corp.		33,552		3,025,048
Amgen, Inc.		116,391		18,539,922
Anthem, Inc.		42,119		5,293,095
Baxter International, Inc.		82,545		6,049,723
Becton Dickinson and Co.		28,992		4,034,527
Biogen Idec, Inc. (a)		35,847		12,168,264
Boston Scientific Corp. (a)		208,377		2,760,995
Bristol-Myers Squibb Co.		251,212		14,829,044
C.R. Bard, Inc.		11,162		1,859,812
Cardinal Health, Inc.		52,424		4,232,190
CareFusion Corp. (a)		29,322		1,739,968
Celgene Corp. (a)		122,865		13,743,679
Cerner Corp. (a)		47,263		3,056,026
CIGNA Corp.		39,811		4,096,950
Covidien PLC		68,613		7,017,738
DaVita HealthCare Partners, Inc. (a)		26,572		2,012,563
DENTSPLY International, Inc.		20,166		1,074,243
Edwards Lifesciences Corp. (a)		16,445		2,094,764
Eli Lilly & Co.		149,057		10,283,442
Express Scripts Holding Co. (a)		111,647		9,453,152
Gilead Sciences, Inc. (a)		228,746		21,561,598
Hospira, Inc. (a)		25,017		1,532,291
Humana, Inc.		22,917		3,291,569
Intuitive Surgical, Inc. (a)		5,452		2,883,781
Johnson & Johnson		427,741		44,728,876
Laboratory Corp. of America Holdings (a)		13,347		1,440,141
Mallinckrodt PLC (a)		17,700		1,752,831
McKesson Corp.		36,031		7,479,315


State Street Equity 500 Index Portfolio			29

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — December 31, 2014


	Shares		Market Value

Medtronic, Inc.		148,410	$	10,715,202
Merck & Co., Inc.		435,198		24,714,894
Mylan, Inc. (a)		56,907		3,207,848
Patterson Cos., Inc.		11,159		536,748
PerkinElmer, Inc.		16,632		727,317
Perrigo Co. PLC		20,814		3,479,268
Pfizer, Inc.		958,648		29,861,885
Quest Diagnostics, Inc.		22,158		1,485,915
Regeneron Pharmaceuticals, Inc. (a)		11,458		4,700,645
St. Jude Medical, Inc.		44,053		2,864,767
Stryker Corp.		45,595		4,300,976
Tenet Healthcare Corp. (a)		13,452		681,613
Thermo Fisher Scientific, Inc.		60,512		7,581,549
UnitedHealth Group, Inc.		146,122		14,771,473
Universal Health Services, Inc.		13,300		1,479,758
Varian Medical Systems, Inc. (a)		15,631		1,352,238
Vertex Pharmaceuticals, Inc. (a)		36,648		4,353,782
Waters Corp. (a)		11,915		1,343,059
Zimmer Holdings, Inc.		25,727		2,917,956
Zoetis, Inc.		76,228		3,280,091

				394,908,138


Industrials - 10.1%
3M Co.		97,443		16,011,834
ADT Corp.		25,056		907,779
Allegion PLC		12,837		711,940
AMETEK, Inc.		37,101		1,952,626
Boeing Co.		100,924		13,118,102
C.H. Robinson Worldwide, Inc.		22,382		1,676,188
Caterpillar, Inc.		93,855		8,590,548
Cintas Corp.		15,222		1,194,014
CSX Corp.		148,359		5,375,047
Cummins, Inc.		26,444		3,812,431
Danaher Corp.		93,178		7,986,286
Deere & Co.		53,954		4,773,310
Delta Air Lines, Inc.		125,066		6,151,997
Dover Corp.		24,145		1,731,679
Dun & Bradstreet Corp.		6,145		743,299
Eaton Corp. PLC		72,099		4,899,848
Emerson Electric Co.		105,369		6,504,428
Equifax, Inc.		17,295		1,398,647
Expeditors International of Washington, Inc.		29,444		1,313,497
Fastenal Co.		44,042		2,094,638
FedEx Corp.		40,350		7,007,181
Flowserve Corp.		18,955		1,134,078
Fluor Corp.		22,556		1,367,570
General Dynamics Corp.		48,689		6,700,580
General Electric Co.		1,530,863		38,684,908
Honeywell International, Inc.		120,603		12,050,652
Illinois Tool Works, Inc.		56,071		5,309,924
Ingersoll-Rand PLC		41,116		2,606,343


	Shares		Market Value
Jacobs Engineering Group, Inc. (a)		20,157	$	900,816
Joy Global, Inc.		14,887		692,543
Kansas City Southern		16,704		2,038,389
L-3 Communications Holdings, Inc.		12,465		1,573,208
Lockheed Martin Corp.		41,249		7,943,320
Masco Corp.		54,139		1,364,303
Nielsen NV		52,275		2,338,261
Norfolk Southern Corp.		47,268		5,181,045
Northrop Grumman Corp.		31,686		4,670,200
PACCAR, Inc.		54,235		3,688,522
Pall Corp.		16,107		1,630,189
Parker-Hannifin Corp.		21,814		2,812,915
Pentair PLC		28,991		1,925,582
Pitney Bowes, Inc.		30,921		753,545
Precision Castparts Corp.		21,978		5,294,061
Quanta Services, Inc. (a)		30,293		860,018
Raytheon Co.		47,736		5,163,603
Republic Services, Inc.		41,114		1,654,839
Robert Half International, Inc.		20,374		1,189,434
Rockwell Automation, Inc.		21,779		2,421,825
Rockwell Collins, Inc.		19,500		1,647,360
Roper Industries, Inc.		14,835		2,319,452
Ryder System, Inc.		6,855		636,487
Snap-on, Inc.		8,872		1,213,157
Southwest Airlines Co.		105,927		4,482,831
Stanley Black & Decker, Inc.		24,950		2,397,196
Stericycle, Inc. (a)		12,204		1,599,700
Textron, Inc.		44,906		1,890,992
Tyco International PLC		67,336		2,953,357
Union Pacific Corp.		134,838		16,063,251
United Parcel Service, Inc. Class B		106,455		11,834,602
United Rentals, Inc. (a)		15,200		1,550,552
United Technologies Corp.		130,327		14,987,605
W.W. Grainger, Inc.		9,412		2,399,025
Waste Management, Inc.		63,304		3,248,761
Xylem, Inc.		24,834		945,430

				290,075,750


Information Technology - 19.1%
Accenture PLC Class A		96,082		8,581,083
Adobe Systems, Inc. (a)		73,813		5,366,205
Akamai Technologies, Inc. (a)		27,734		1,746,133
Alliance Data Systems Corp. (a)		10,204		2,918,854
Altera Corp.		43,754		1,616,273
Amphenol Corp. Class A		45,180		2,431,136
Analog Devices, Inc.		46,018		2,554,919
Apple, Inc.		894,664		98,753,012
Applied Materials, Inc.		190,653		4,751,073
Autodesk, Inc. (a)		34,170		2,052,250
Automatic Data Processing, Inc.		73,365		6,116,440
Avago Technologies, Ltd.		38,718		3,894,644
Broadcom Corp. Class A		81,235		3,519,913
CA, Inc.		45,959		1,399,452
Cisco Systems, Inc.		781,729		21,743,792
Citrix Systems, Inc. (a)		25,678		1,638,256


30		State Street Equity 500 Index Portfolio

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — December 31, 2014


	Shares		Market Value

Cognizant Technology Solutions Corp. Class A (a)		93,627	$	4,930,398
Computer Sciences Corp.		22,732		1,433,253
Corning, Inc.		191,950		4,401,413
eBay, Inc. (a)		172,158		9,661,507
Electronic Arts, Inc. (a)		50,121		2,356,439
EMC Corp.		306,874		9,126,433
F5 Networks, Inc. (a)		10,559		1,377,580
Facebook, Inc. Class A (a)		319,407		24,920,134
Fidelity National Information Services, Inc.		44,886		2,791,909
First Solar, Inc. (a)		11,749		523,947
Fiserv, Inc. (a)		36,442		2,586,289
FLIR Systems, Inc.		20,339		657,153
Google, Inc. Class A (a)		43,323		22,989,783
Google, Inc. Class C (a)		43,523		22,910,507
Harris Corp.		16,098		1,156,158
Hewlett-Packard Co.		282,863		11,351,292
Intel Corp.		746,920		27,105,727
International Business Machines Corp.		139,847		22,437,053
Intuit, Inc.		43,326		3,994,224
Juniper Networks, Inc.		58,444		1,304,470
KLA-Tencor Corp.		26,573		1,868,613
Lam Research Corp.		24,281		1,926,454
Linear Technology Corp.		35,021		1,596,958
Mastercard, Inc. Class A		148,349		12,781,750
Microchip Technology, Inc.		28,206		1,272,373
Micron Technology, Inc. (a)		163,528		5,725,115
Microsoft Corp. (b)		1,254,977		58,293,682
Motorola Solutions, Inc.		33,022		2,215,116
NetApp, Inc.		49,643		2,057,702
NVIDIA Corp.		75,012		1,503,991
Oracle Corp.		493,470		22,191,346
Paychex, Inc.		49,131		2,268,378
QUALCOMM, Inc.		255,185		18,967,901
Red Hat, Inc. (a)		28,130		1,944,908
Salesforce.com, Inc. (a)		89,205		5,290,749
SanDisk Corp.		33,206		3,253,524
Seagate Technology PLC		49,776		3,310,104
Symantec Corp.		108,203		2,775,948
TE Connectivity, Ltd.		60,849		3,848,699
Teradata Corp. (a)		21,913		957,160
Texas Instruments, Inc.		158,906		8,495,909
Total System Services, Inc.		22,999		781,046
VeriSign, Inc. (a)		19,320		1,101,240
Visa, Inc. Class A		74,910		19,641,402
Western Digital Corp.		33,647		3,724,723
Western Union Co.		74,940		1,342,175
Xerox Corp.		161,592		2,239,665
Xilinx, Inc.		39,642		1,716,102
Yahoo!, Inc. (a)		137,637		6,952,045

				547,143,882


Materials - 3.1%
Air Products & Chemicals, Inc.		29,807		4,299,064
Airgas, Inc.		10,040		1,156,407


	Shares		Market Value
Alcoa, Inc.		183,889	$	2,903,607
Allegheny Technologies, Inc.		14,911		518,455
Avery Dennison Corp.		13,318		690,938
Ball Corp.		21,658		1,476,426
C.F. Industries Holdings, Inc.		8,006		2,181,955
Dow Chemical Co.		168,090		7,666,585
E.I. du Pont de Nemours & Co.		138,794		10,262,428
Eastman Chemical Co.		21,472		1,628,866
Ecolab, Inc.		41,565		4,344,374
FMC Corp.		18,522		1,056,310
Freeport-McMoRan, Inc.		157,964		3,690,039
International Flavors & Fragrances, Inc.		11,280		1,143,341
International Paper Co.		66,808		3,579,573
LyondellBasell Industries NV Class A		62,952		4,997,759
Martin Marietta Materials, Inc.		8,655		954,820
MeadWestvaco Corp.		24,943		1,107,220
Monsanto Co.		72,794		8,696,699
Mosaic Co.		47,516		2,169,105
Newmont Mining Corp.		73,573		1,390,530
Nucor Corp.		47,306		2,320,359
Owens-Illinois, Inc. (a)		22,763		614,373
PPG Industries, Inc.		21,444		4,956,781
Praxair, Inc.		45,000		5,830,200
Sealed Air Corp.		32,469		1,377,660
Sherwin-Williams Co.		12,287		3,231,972
Sigma-Aldrich Corp.		17,761		2,438,052
Vulcan Materials Co.		18,490		1,215,348

				87,899,246


Telecommunication Services - 2.2%
AT&T, Inc.		788,273		26,478,090
CenturyLink, Inc.		86,173		3,410,727
Frontier Communications Corp.		143,538		957,399
Level 3 Communications, Inc. (a)		41,500		2,049,270
Verizon Communications, Inc.		633,251		29,623,482
Windstream Holdings, Inc.		85,867		707,544

				63,226,512


Utilities - 3.1%
AES Corp.		98,059		1,350,272
AGL Resources, Inc.		18,002		981,289
Ameren Corp.		36,056		1,663,263
American Electric Power Co., Inc.		75,043		4,556,611
CenterPoint Energy, Inc.		65,335		1,530,799
CMS Energy Corp.		42,001		1,459,535
Consolidated Edison, Inc.		43,500		2,871,435
Dominion Resources, Inc.		87,668		6,741,669
DTE Energy Co.		26,039		2,248,988
Duke Energy Corp.		107,391		8,971,444
Edison International		49,505		3,241,587
Entergy Corp.		27,000		2,361,960
Exelon Corp.		131,659		4,881,916
FirstEnergy Corp.		61,729		2,406,814
Integrys Energy Group, Inc.		11,180		870,363
NextEra Energy, Inc.		66,357		7,053,086


State Street Equity 500 Index Portfolio			31

State Street Equity 500 Index Portfolio

Portfolio of Investments, continued — December 31, 2014


	Shares		Market Value

NiSource, Inc.		47,478	$	2,014,017
Northeast Utilities		46,443		2,485,629
NRG Energy, Inc.		51,498		1,387,871
Pepco Holdings, Inc.		35,659		960,297
PG&E Corp.		72,012		3,833,919
Pinnacle West Capital Corp.		15,456		1,055,799
PPL Corp.		98,256		3,569,641
Public Service Enterprise Group, Inc.		76,936		3,185,920
SCANA Corp.		23,801		1,437,580
Sempra Energy		35,624		3,967,089
Southern Co.		139,484		6,850,059
TECO Energy, Inc.		30,250		619,823
Wisconsin Energy Corp.		32,976		1,739,154
Xcel Energy, Inc.		80,800		2,902,336

				89,200,165


Total Common Stocks (cost: $1,279,834,253)				2,778,988,162


	Par Amount

U.S. Government Securities - 0.2%
U.S. Treasury Bill (b)(d)(e) 0.01% due 01/15/2015	$	2,000,000		1,999,992
U.S. Treasury Bill (b)(d)(e) 0.00% due 01/29/2015		3,760,000		3,760,000
U.S. Treasury Bill (b)(d)(e) 0.00% due 03/12/2015		400,000		400,000


Total U.S. Government Securities (cost: $6,159,992)				6,159,992


	Shares		Market Value
Money Market Fund - 3.2%
State Street Institutional Liquid Reserves Fund, Premier Class 0.07% (c)(f)		91,116,189	$	91,116,189


Total Money Market Fund (cost: $91,116,189)				91,116,189


Total Investments - 100.3% (cost $1,377,110,434)				2,876,264,343

Liabilities in Excess of Other Assets - (0.3)%				(6,941,471	)


Net Assets - 100.0%			$	2,869,322,872

(a)	Non-income producing security

(b)	All or part of this security has been designated as collateral for futures contracts

(c)	Affiliated issuer. See table that follows for more information.

(d)	Rate represents annualized yield at date of purchase

(e)	Securities are valued in accordance with procedures approved by the Board of Trustees. Securities’ values are determined based on Level 2 inputs.

(f)	The rate shown is the annualized seven-day yield at period end.

PLC	Public Limited Company

REIT	Real Estate Investment Trust


Schedule of Futures Contracts	Number of Contracts		Notional Value		Unrealized Appreciation

S&P 500 Financial Futures Contracts (long) Expiration Date 03/2015		875	$	89,792,500	$	2,382,058

Total unrealized appreciation on open futures contracts purchased					$	2,382,058

Affiliates Table


Security Description	Number of Shares Held at 12/31/13		Shares Purchased for the Year Ended 12/31/14		Shares Sold for the Year Ended 12/31/14			Number of Shares Held at 12/31/14		Value at 12/31/14		Income Earned for the Year Ended 12/31/14		Realized Gain/Loss on Shares Sold

State Street Corp.		72,725		—		9,778	*		62,947	$	4,941,340	$	78,494	$	—
State Street Institutional Liquid Reserves Fund, Premier Class		41,178,491		407,287,719		357,350,021			91,116,189		91,116,189		45,460		—

*	Shares of State Street Corp. were disposed of in a tax-free redemption in-kind (Note 7).

See accompanying notes which are an integral part of the financial statements.


32		State Street Equity 500 Index Portfolio

State Street Equity 500 Index Portfolio

Statement of Assets and Liabilities — December 31, 2014




Assets
Investments in unaffiliated issuers at market value (identified cost $1,283,925,771)	$	2,780,206,814
Investments in non-controlled affiliates at market value (identified cost $93,184,663) (Note 4)		96,057,529

Total investments at market value (identified cost $1,377,110,434)		2,876,264,343
Dividends and interest receivable		3,680,254
Dividend receivable from non-controlled affiliates (Note 4)		18,884

Total assets		2,879,963,481


Liabilities
Investment securities purchased		4,649,775
Due to custodian		4,769,756
Daily variation margin on futures contracts		1,063,125
Management fees payable (Note 4)		157,953

Total liabilities		10,640,609


Net Assets	$	2,869,322,872

See accompanying notes which are an integral part of the financial statements.


Statement of Assets and Liabilities			33

State Street Equity 500 Index Portfolio

Statement of Operations — Year Ended December 31, 2014




Investment Income
Dividend income — unaffiliated issuers (net of foreign taxes withheld of $132,666)	$	55,933,764
Dividend income — non-controlled affiliated issuer		123,954
Interest		46,355

Total investment income		56,104,073


Expenses
Management fees (Note 4)		1,246,586
Other expenses		12,081

Total expenses		1,258,667

Net Investment Income		54,845,406


Realized and Unrealized Gain (Loss)
Net realized gain (loss) on:
Investments — unaffiliated issuers		10,063,213
Futures contracts		7,781,141

		17,844,354

Net change in net unrealized appreciation (depreciation) on:
Investments		278,443,408
Futures contracts		664,091

		279,107,499

Net realized and unrealized gain		296,951,853

Net Increase in Net Assets Resulting from Operations	$	351,797,259

See accompanying notes which are an integral part of the financial statements.


34		Statement of Operations

State Street Equity 500 Index Portfolio

Statements of Changes in Net Assets


	Year Ended December 31, 2014			Year Ended December 31, 2013

Increase (Decrease) in Net Assets From Operations:
Net investment income	$	54,845,406		$	49,096,073
Net realized gain on investments and futures contracts		17,844,354			26,611,003
Net change in net unrealized appreciation on investments and futures contracts		279,107,499			590,532,985

Net increase in net assets from operations		351,797,259			666,240,061


Capital Transactions:
Contributions		353,779,321			235,748,437
Withdrawals		(185,039,609	)		(217,635,806	)
In-kind redemptions (Note 7)		(390,808,177	)		—

Net increase (decrease) in net assets from capital transactions		(222,068,465	)		18,112,631

Net Increase in Net Assets		129,728,794			684,352,692

Net Assets
Beginning of year		2,739,594,078			2,055,241,386


End of year	$	2,869,322,872		$	2,739,594,078

See accompanying notes which are an integral part of the financial statements.


Statements of Changes in Net Assets			35

State Street Equity 500 Index Portfolio

Financial Highlights

The following table includes selected supplemental data and ratios to average net assets:


	Year Ended 12/31/14			Year Ended 12/31/13			Year Ended 12/31/12			Year Ended 12/31/11			Year Ended 12/31/10
Supplemental Data and Ratios:
Net assets, end of period (in thousands)	$	2,869,323		$	2,739,594		$	2,055,241		$	1,825,528		$	2,098,137
Ratios to average net assets:
Expenses		0.045	%		0.045	%		0.045	%		0.045	%		0.045	%
Net investment income		1.98	%		2.05	%		2.26	%		2.04	%		1.99	%
Portfolio turnover rate (a)		2	%		4	%		9	%		15	%		12	%
Total return (b)		13.62	%		32.30	%		15.97	%		2.03	%		15.08	%

(a)

The portfolio turnover rate excludes in-kind security transactions (Note 7).

(b)

Results represent past performance and are not indicative of future results.

See accompanying notes which are an integral part of the financial statements.


36		Financial Highlights

State Street Equity 500 Index Portfolio

Notes to Financial Statements — December 31, 2014

Organization

State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust consists of ten investment portfolios: State Street Equity 500 Index Portfolio, State Street Equity 400 Index Portfolio, State Street Equity 2000 Index Portfolio, State Street Aggregate Bond Index Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street Limited Duration Bond Portfolio, State Street Treasury Money Market Portfolio, State Street Treasury Plus Money Market Portfolio and State Street U.S. Government Money Market Portfolio. Information presented in these financial statements pertains only to the State Street Equity 500 Index Portfolio (the “Portfolio”).

At December 31, 2014, the following Portfolios were operational: State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio. The Portfolio is authorized to issue an unlimited number of non-transferable beneficial interests.

The Portfolio’s investment objective is to replicate, as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “S&P 500^® Index”). The Portfolio uses a passive management strategy designed to track the performance of the S&P 500^® Index. The S&P 500^® Index is a well-known, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the U.S. There is no assurance that the Portfolio will achieve its objective.

The Portfolio is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standards Codification Topic 946 Financial Services — Investment Companies.

Significant Accounting Policies

The following is a summary of the significant accounting policies consistently followed by the Portfolio in the preparation of its financial statements.

Security Valuation

The Portfolio’s investments are valued each business day by independent pricing services. Equity securities for which market quotations are available are valued at the last sale price or official closing price (closing bid price if no sale has occurred) on the primary market or exchange on which they trade. Investments in other mutual funds are valued at the net asset value per share. Fixed income securities and options are valued on the basis of the closing bid price. Futures contracts are valued at the quoted daily settlement price at the end of each day on the exchange upon which they are traded. Money market instruments maturing within 60 days of the valuation date are valued at amortized cost, a method by which each money market instrument is initially valued at cost, and thereafter a constant accretion or amortization of any discount or premium is recorded until maturity of the security. Investments in other mutual funds are valued at the net asset value per share. The Portfolio 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.

The Portfolio adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and apply broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that the Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolio’s investments.


Notes to Financial Statements			37

State Street Equity 500 Index Portfolio

Notes to Financial Statements, continued — December 31, 2014

The three tier hierarchy of inputs is summarized below:

•

Level 1 — quoted prices in active markets for identical securities

•

Level 2 — other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.)

•

Level 3 — significant unobservable inputs (including the Portfolio’s own assumptions in determining the fair value of investments)

The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.

The following is a summary of the inputs used, as of December 31, 2014, in valuing the Portfolio’s assets carried at fair value:


Description	Quoted Prices in Active Markets for Identical Assets (Level 1)		Significant Other Observable Inputs (Level 2)		Significant Unobservable Inputs (Level 3)		Total

Assets:

Investments:
Common Stocks	$	2,778,988,162	$	—	$	—	$	2,778,988,162
U.S. Government Securities		—		6,159,992		—		6,159,992
Money Market Fund		91,116,189		—		—		91,116,189

Total Investments		2,870,104,351		6,159,992		—		2,876,264,343

Other Assets:
Futures contracts*		2,382,058		—		—		2,382,058

Total Assets	$	2,872,486,409	$	6,159,992	$	—	$	2,878,646,401

Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

For the year ended December 31, 2014, there were no transfers between levels.

Securities Transactions, Investment Income and Expenses

Securities transactions are recorded on a trade date basis. Dividend income is recorded on the ex-dividend date. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily based on average daily net assets.

All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.

Federal Income Taxes

The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, dividends, gains and losses of the Portfolio are deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.

The Portfolio has reviewed the tax positions for open years as of and during the year ended December 31, 2014, and determined it did not have a liability for any unrecognized tax expenses. The Portfolio recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of December 31, 2014, tax years 2011 through 2013 remain subject to examination by the Portfolio’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.


38		Notes to Financial Statements

State Street Equity 500 Index Portfolio

Notes to Financial Statements, continued — December 31, 2014

At December 31, 2014, the tax cost of investments was $1,377,110,434 on a federal tax basis. The aggregate gross unrealized appreciation and gross unrealized depreciation was $1,513,888,774 and $14,734,865, respectively, resulting in net appreciation of $1,499,153,909 for all securities as computed on a federal income tax basis.

Futures

The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500^® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.

The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the benchmark and the prices of futures contracts and the possibility of an illiquid market. To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’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.

The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at December 31, 2014:

Asset Derivatives⁽¹⁾


	Equity Contracts Risk		Total

Futures Contracts	$	2,382,058	$	2,382,058

Transactions in derivative instruments during the year ended December 31, 2014, were as follows:

Realized Gain (Loss)⁽²⁾


	Equity Contracts Risk		Total

Futures Contracts	$	7,781,141	$	7,781,141

Change in Appreciation (Depreciation)⁽³⁾


	Equity Contracts Risk		Total

Futures Contracts	$	664,091	$	664,091

(1)

Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities.

(2)

Statement of Operations location: Net realized gain (loss) on: Futures contracts

(3)

Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts

The average notional of futures outstanding during the year ended December 31, 2014 was $66,568,250.


Notes to Financial Statements			39

State Street Equity 500 Index Portfolio

Notes to Financial Statements, continued — December 31, 2014

Use of Estimates

The Portfolio’s financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates. It is reasonably possible that these differences could be material.

Securities Transactions

For the year ended December 31, 2014, purchases and sales of investment securities, excluding short-term investments, and futures contracts, aggregated to $253,957,017 and $65,856,635, respectively.

Related Party Fees and Transactions

The Portfolio has entered into an investment advisory agreement with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), under which SSGA FM directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. The Trust has contracted with State Street to provide custody, administration and transfer agent services to the Portfolio. In compensation for SSGA FM’s services as investment adviser and for State Street’s services as administrator, custodian and transfer agent (and for assuming ordinary operating expenses of the Portfolio, including ordinary legal, audit and trustees expense), State Street receives a unitary fee, calculated daily, at the annual rate of 0.045% of the Portfolio’s average daily net assets.

Certain investments made by the Portfolio were made in securities affiliated with State Street and SSGA FM. Investments in State Street Corporation, the holding company of State Street, were made according to its representative portion of the S&P 500^® Index. The market value of this investment at December 31, 2014 is listed in the Portfolio of Investments.

Trustees’ Fees

The Trust’s officers are compensated by the Adviser and its affiliates.

Indemnifications

The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.

In-Kind Redemptions

On August 11, 2014, the State Street Equity 500 Index Fund redeemed its interest in the Portfolio in connection with a transfer of net assets to the State Street Equity 500 Index II Portfolio, a series of State Street Institutional Investment Trust. The transfer consisted of five hundred and three (503) securities totaling $387,955,841 at market value or 13% of the Portfolio and $2,852,336 in cash, and is disclosed in the Statement of Changes in Net Assets.


40		Notes to Financial Statements

State Street Equity 500 Index Portfolio

Notes to Financial Statements, continued — December 31, 2014

8. Line of Credit

The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) share in a $300 million revolving credit facility provided by a syndication of banks. The Participants may borrow for the purpose of meeting shareholder redemption requests that otherwise might require the untimely disposition of securities. The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on net assets. Commitment fees are ordinary fund operating expenses and are paid by the Adviser. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of the Federal Funds Rate plus 1%. The Portfolio may borrow up to a maximum of 33 percent of its assets. The Portfolio had no outstanding loans during the period ended December 31, 2014.


Notes to Financial Statements			41

State Street Equity 500 Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees and Owners of Beneficial Interest of State Street Master Funds:

We have audited the accompanying statement of assets and liabilities, including the portfolio of investments, of State Street Equity 500 Index Portfolio (one of the portfolios constituting State Street Master Funds) (the “Portfolio”) as of December 31, 2014, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.

We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of December 31, 2014, by correspondence with the custodian and others or by other appropriate auditing procedures where replies from others were not received. We believe that our audits provide a reasonable basis for our opinion.

In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Equity 500 Index Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2014, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.

LOGO

Boston, Massachusetts

February 27, 2015


42		Report of Independent Registered Public Accounting Firm

State Street Equity 500 Index Portfolio

General Information — December 31, 2014

Proxy Voting Policies and Procedures

Information regarding the Fund’s proxy voting policies and procedures, as well as information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling

1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.

Quarterly Portfolio Schedule

The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on
Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling

1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).


General Information			43

SSGA S&P 500 Index Fund

Trustees and Officers Information

Name, Address,

and Year of Birth

Position(s) Held
with Trust

Term of Office
and Length of
Time Served

Principal Occupation
During Past Five Years

Number of
Funds in
Fund
Complex
Overseen
by Trustee

Other
Directorships
Held by
Trustee During
Past Five Years

INDEPENDENT TRUSTEES

Michael F. Holland

State Street Financial Center

One Lincoln Street Boston,
MA 02111-2900

YOB: 1944

Trustee and Co-Chairman of the Board

Term: Indefinite

Elected: 7/99

Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present).

Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loan Funds.

Patrick J. Riley

State Street Financial Center

One Lincoln Street Boston,
MA 02111-2900

YOB: 1948

Trustee and Co-Chairman of the Board

Term: Indefinite

Elected: 1/14

2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC.

Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present).

William L. Boyan

State Street Financial Center

One Lincoln Street Boston,
MA 02111-2900

YOB: 1937

Trustee and Co-Chairman of the Valuation Committee

Term: Indefinite Elected: 7/99

President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society.

Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Former Trustee of Old Mutual South Africa Master Trust; Trustee, Children’s Hospital, Boston, MA.


44		Trustees and Officers Information

SSGA S&P 500 Index Fund

Trustees and Officers Information, continued

Name, Address,

and Year of Birth

Position(s) Held
with Trust

Term of Office
and Length of
Time Served

Principal Occupation
During Past Five Years

Number of
Funds in
Fund
Complex
Overseen
by Trustee

Other
Directorships
Held by
Trustee During
Past Five Years

INDEPENDENT TRUSTEES (continued)

William L. Marshall

State Street Financial Center

One Lincoln Street Boston,

MA 02111-2900

YOB: 1942

Trustee and Co-Chairman of the Audit Committee

Term: Indefinite

Elected: 1/14

April 2011 to Present, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association; Director, (2008 – 2014) Doylestown Health Foundation Board; and the Ann Silverman Community Clinic of Doylestown, PA.

Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Director, Marshall Financial Group, Inc.

Richard D. Shirk

State Street Financial Center

One Lincoln Street Boston,
MA 02111-2900

YOB: 1945

Trustee and Co-Chairman of the Qualified Legal and Compliance Committee

Term: Indefinite

Elected: 1/14

March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to Present, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to Present, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College.

Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – Present).

Rina K. Spence

State Street Financial Center

One Lincoln Street Boston,
MA 02111-2900

YOB: 1948

Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee

Term: Indefinite Elected: 7/99

President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO Emerson Hospital (1984 – 1994).

Trustee, State Street Institutional Investment Trust; Trustee SSGA Funds; Trustee, Eastern Enterprise (utilities) (1988 – 2000). Director, Berkshire Life Insurance Company of America (1993 – 2009); Director, IEmily.com, Inc. (2000 – 2010); and Trustee, National Osteoporosis Foundation (2005 – 2008).


Trustees and Officers Information			45

SSGA S&P 500 Index Fund

Trustees and Officers Information, continued


Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
OFFICERS:
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967	President	Term: Indefinite Elected: 10/12	President and Director, SSGA Funds Management, Inc. (June 2012 – present); Chief Operating Officer, SSGA Funds Management, Inc. (May 2010 – June 2012); Senior Managing Director, SSGA Funds Management, Inc. (1992 – 2012) and Senior Managing Director, State Street Global Advisors (1992 – present).*

Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966	Vice President	Term: Indefinite Elected: 10/12	Chief Operating Officer, SSGA Funds Management, Inc. (April 2014 – present); Vice President, SSGA Funds Management, Inc. (2008 –present); Principal, State Street Global Advisors (2005 – 2008 – present).*

Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1969	Treasurer	Term: Indefinite Elected: 09/11	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).*

Brian Harris SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1973	Chief Compliance Officer	Term: Indefinite Elected: 11/13	Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010).

David K. James State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1970	Secretary	Term: Indefinite Elected: 4/13	Managing Director and Managing Counsel, State Street Bank and Trust Company (2009 – present); Vice President and Counsel, PNC Global Investment Servicing (US), Inc. (2006 – 2009).

Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978	Chief Legal Officer	Term: Indefinite Elected: 2/15	Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2006 – 2011).


46		Trustees and Officers Information

SSGA S&P 500 Index Fund

Trustees and Officers Information, continued


Name, Address, and Year of Birth	Position(s) Held with Trust	Term of Office and Length of Time Served	Principal Occupation During Past Five Years
OFFICERS (continued):
Kristin Schantz State Street Bank and Trust Company 100 Huntington Avenue Boston, MA 02116 YOB: 1979	Assistant Secretary	Term: Indefinite Elected: 2/14	Vice President and Counsel, State Street Bank and Trust Company (2013 – present); Vice President, Citi Fund Services Ohio, Inc. (2008 – 2013).

*	Served in various capacities and/or with various affiliated entities during noted time period.

The Statement of Additional Information includes additional information about the Trustees and is available, without charge, upon request, by calling (toll free) 877-521-4083.


Trustees and Officers Information			47

Trustees

William L. Boyan

Michael F. Holland

William L. Marshall

Scott F. Powers

Patrick J. Riley

James E. Ross

Richard D. Shirk

Rina K. Spence

Bruce D. Taber

Douglas T. Williams

Investment Adviser

SSGA Funds Management, Inc.

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Administrator, Custodian and Transfer Agent

State Street Bank and Trust Company

State Street Financial Center

One Lincoln Street

Boston, MA 02111

Independent Registered Public Accounting Firm

Ernst & Young LLP

200 Clarendon Street

Boston, MA 02116

Legal Counsel

Ropes & Gray LLP

800 Boylston Street

Boston, MA 02119

This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.

State Street Equity 500 Index Portfolio

State Street Bank and Trust Company

P.O. Box 5049

Boston, MA 02206


IBG-14867		SSGASPFDSAR

Item 2. Code of Ethics.

Not applicable to this filing.

Item 3. Audit Committee Financial Expert.

Not applicable to this filing.

Item 4. Principal Accountant Fees and Services.

Not applicable to this filing.

Item 5. Audit Committees of Listed Registrants.

Not applicable to the Registrant.

Item 6. Schedule of Investments.

(a)	Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR.

(b)	Not applicable to the Registrant.

Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 8. Portfolio Managers of Closed-End Management Investment Companies.

Not applicable to the Registrant.

Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable to the Registrant.

Item 10. Submission of Matters to a Vote of Security Holders.

There have been no changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees that would require disclosure herein.

Item 11. Controls and Procedures.

(a) The Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the

Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.

(b) There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant’s second fiscal quarter of the period covered by this Form N-CSR filing that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

Item 12. Exhibits.

(a)(1) Not applicable; this Form N-CSR is a Semi-Annual Report.

(a)(2) Certifications of principal executive officer and principal financial and accounting officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act are attached hereto.

(a)(3) Not applicable to the Registrant

(b) Certifications of principal executive officer and principal financial and accounting officer of the Registrant as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.

SIGNATURES

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.


Registrant:		SSGA Funds



By:		/s/ Ellen M. Needham
		Ellen M. Needham
		President

Date:		May 11, 2015

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.


By:		/s/ Ellen M. Needham
		Ellen M. Needham
		President (Principal Executive Officer)

Date:		May 11, 2015

By:		/s/ Chad C. Hallett
		Chad C. Hallett
		Treasurer (Principal Financial and Accounting Officer)

Date:		May 11, 2015

Ssga Funds N-CSRSCertified semi-annual shareholder report (management investment company)