Quarterly Report
November 30, 2021
SSGA Funds
State Street Defensive Emerging Markets Equity Fund |
State Street International Stock Selection Fund |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
TABLE OF CONTENTS (Unaudited)
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssga.com. Please read the prospectus carefully before you invest.
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS
November 30, 2021 (Unaudited)
Security Description | Shares | Value | |||
COMMON STOCKS — 98.2% | |||||
BRAZIL — 1.8% | |||||
Cia Energetica de Minas Gerais Preference Shares | 48,900 | $114,294 | |||
EDP - Energias do Brasil SA | 30,900 | 117,623 | |||
Sao Martinho SA | 12,900 | 80,564 | |||
SLC Agricola SA | 36,600 | 249,866 | |||
Transmissora Alianca de Energia Eletrica SA | 34,400 | 220,467 | |||
782,814 | |||||
CHINA — 22.5% | |||||
Baidu, Inc. ADR (a) | 1,400 | 209,776 | |||
China BlueChemical, Ltd. Class H | 452,000 | 137,201 | |||
China Construction Bank Corp. Class H | 99,000 | 64,509 | |||
China Hongqiao Group, Ltd. | 147,500 | 142,783 | |||
China Longyuan Power Group Corp., Ltd. Class H | 104,000 | 212,583 | |||
China Medical System Holdings, Ltd. | 244,000 | 399,622 | |||
China Meidong Auto Holdings, Ltd. | 14,000 | 67,687 | |||
China Petroleum & Chemical Corp. Class H | 996,000 | 434,166 | |||
China Resources Power Holdings Co., Ltd. | 424,000 | 1,097,800 | |||
China Shenhua Energy Co., Ltd. Class A | 132,200 | 405,932 | |||
China Shenhua Energy Co., Ltd. Class H | 347,000 | 718,925 | |||
China Yangtze Power Co., Ltd. Class A | 110,300 | 338,112 | |||
CMGE Technology Group, Ltd. (a)(b) | 216,000 | 92,300 | |||
COFCO Joycome Foods., Ltd. (a)(b) | 472,000 | 158,553 | |||
COSCO SHIPPING Holdings Co., Ltd. Class A (a) | 47,700 | 129,571 | |||
Haitian International Holdings, Ltd. (a) | 58,000 | 160,211 | |||
Lenovo Group, Ltd. (b) | 606,000 | 620,549 | |||
Nanjing Iron & Steel Co., Ltd. Class A | 455,400 | 249,519 | |||
NetDragon Websoft Holdings, Ltd. | 40,000 | 91,116 | |||
NetEase, Inc. ADR | 900 | 96,957 | |||
Nexteer Automotive Group, Ltd. | 48,000 | 62,056 | |||
Pharmaron Beijing Co., Ltd. Class H (c) | 8,900 | 183,619 | |||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class A | 317,500 | 520,267 | |||
Shenzhen Mindray Bio-Medical Electronics Co., Ltd. Class A | 1,000 | 56,510 |
Security Description | Shares | Value | |||
Sihuan Pharmaceutical Holdings Group, Ltd. (a)(b) | 255,000 | $49,719 | |||
Sinotrans, Ltd. Class A | 1,283,300 | 886,008 | |||
TangShan Port Group Co., Ltd. Class A | 191,700 | 75,730 | |||
Tencent Holdings, Ltd. | 11,600 | 676,501 | |||
Yadea Group Holdings, Ltd. (c) | 158,000 | 282,378 | |||
Yuexiu Transport Infrastructure, Ltd. | 284,000 | 176,271 | |||
Zhongsheng Group Holdings, Ltd. | 133,500 | 1,093,475 | |||
9,890,406 | |||||
CZECH REPUBLIC — 1.1% | |||||
O2 Czech Republic A/S (a) | 41,297 | 481,037 | |||
HONG KONG — 0.9% | |||||
Nine Dragons Paper Holdings, Ltd. | 51,000 | 56,888 | |||
Yuexiu Real Estate Investment Trust (b) | 760,000 | 326,494 | |||
383,382 | |||||
HUNGARY — 0.8% | |||||
Magyar Telekom Telecommunications PLC | 209,787 | 270,018 | |||
MOL Hungarian Oil & Gas PLC | 13,265 | 99,689 | |||
369,707 | |||||
INDIA — 11.4% | |||||
Apollo Tyres, Ltd. | 53,572 | 145,665 | |||
Chambal Fertilizers and Chemicals, Ltd. | 88,480 | 427,631 | |||
Gujarat State Petronet, Ltd. | 130,423 | 544,353 | |||
HCL Technologies, Ltd. | 82,581 | 1,250,801 | |||
Hindustan Petroleum Corp., Ltd. | 53,994 | 212,152 | |||
JB Chemicals & Pharmaceuticals, Ltd. | 15,815 | 345,136 | |||
Power Grid Corp. of India, Ltd. | 139,770 | 384,253 | |||
Redington India, Ltd. | 60,308 | 117,979 | |||
Sun Pharmaceutical Industries, Ltd. | 13,217 | 132,508 | |||
Tech Mahindra, Ltd. | 53,885 | 1,103,643 | |||
Wipro, Ltd. | 43,638 | 367,803 | |||
5,031,924 | |||||
KUWAIT — 0.7% | |||||
Humansoft Holding Co. KSC | 29,057 | 307,380 | |||
MALAYSIA — 4.0% | |||||
AMMB Holdings Bhd (a) | 124,200 | 93,190 | |||
IGB Real Estate Investment Trust | 228,800 | 89,097 | |||
IHH Healthcare Bhd | 483,900 | 756,040 | |||
RHB Bank Bhd | 90,744 | 113,709 | |||
Supermax Corp. Bhd | 127,600 | 56,960 | |||
Telekom Malaysia Bhd | 498,500 | 658,395 | |||
1,767,391 |
See accompanying notes to schedule of investments.
1
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2021 (Unaudited)
Security Description | Shares | Value | |||
MEXICO — 1.3% | |||||
Alpek SAB de CV | 262,100 | $271,359 | |||
Altos Hornos de Mexico SA de CV (a)(d) | 499,000 | — | |||
Arca Continental SAB de CV | 42,100 | 256,753 | |||
Banco del Bajio SA (c) | 28,700 | 48,225 | |||
576,337 | |||||
PHILIPPINES — 1.8% | |||||
Globe Telecom, Inc. | 8,750 | 569,961 | |||
Manila Electric Co. | 35,150 | 200,604 | |||
770,565 | |||||
POLAND — 0.4% | |||||
Neuca SA | 814 | 157,164 | |||
QATAR — 1.7% | |||||
Masraf Al Rayan QSC | 62,132 | 82,763 | |||
Ooredoo QSC | 142,724 | 266,554 | |||
Qatar Islamic Bank SAQ | 85,075 | 401,892 | |||
751,209 | |||||
RUSSIA — 4.6% | |||||
Alrosa PJSC | 849,749 | 1,469,156 | |||
PhosAgro PJSC GDR | 20,419 | 450,443 | |||
X5 Retail Group NV GDR | 4,487 | 124,085 | |||
2,043,684 | |||||
SAUDI ARABIA — 4.2% | |||||
Al Rajhi Bank | 10,813 | 379,926 | |||
Bank Al-Jazira | 95,544 | 461,599 | |||
Dallah Healthcare Co. | 4,002 | 79,565 | |||
Qassim Cement Co. | 12,148 | 236,704 | |||
Riyad Bank | 12,745 | 95,122 | |||
Saudi Telecom Co. | 10,710 | 316,881 | |||
United Electronics Co. | 8,099 | 272,010 | |||
1,841,807 | |||||
SINGAPORE — 0.3% | |||||
BOC Aviation, Ltd. (c) | 16,600 | 116,913 | |||
SOUTH KOREA — 11.6% | |||||
Cheil Worldwide, Inc. | 5,493 | 100,285 | |||
E-MART, Inc. | 1,197 | 143,703 | |||
Hyosung TNC Corp. | 167 | 70,506 | |||
Hyundai Glovis Co., Ltd. | 1,261 | 154,323 | |||
Kia Corp. | 6,189 | 405,066 | |||
Kolon Industries, Inc. | 4,185 | 248,686 | |||
KT&G Corp. | 15,638 | 1,077,897 | |||
Kumho Petrochemical Co., Ltd. | 1,661 | 215,546 | |||
LG Electronics, Inc. | 2,742 | 266,886 | |||
LG Uplus Corp. | 9,787 | 111,380 | |||
NongShim Co., Ltd. | 419 | 96,452 | |||
POSCO | 1,716 | 376,757 | |||
Samsung Card Co., Ltd. | 2,133 | 58,288 | |||
Samsung Electro-Mechanics Co., Ltd. | 383 | 53,634 | |||
Samsung Electronics Co., Ltd. GDR | 91 | 136,035 |
Security Description | Shares | Value | |||
Samsung Electronics Co., Ltd. | 11,984 | $719,354 | |||
Shinhan Financial Group Co., Ltd. | 7,426 | 215,958 | |||
SK Hynix, Inc. | 2,151 | 205,638 | |||
SK Square Co., Ltd. (a) | 3,543 | 202,815 | |||
SK Telecom Co., Ltd. | 5,481 | 250,970 | |||
5,110,179 | |||||
TAIWAN — 23.2% | |||||
Asustek Computer, Inc. | 45,000 | 568,932 | |||
Cathay Financial Holding Co., Ltd. | 415,746 | 893,182 | |||
Chunghwa Telecom Co., Ltd. | 31,000 | 124,715 | |||
CTBC Financial Holding Co., Ltd. | 1,294,000 | 1,132,798 | |||
First Financial Holding Co., Ltd. | 1,036,347 | 860,707 | |||
Fubon Financial Holding Co., Ltd. | 498,778 | 1,307,344 | |||
Greatek Electronics, Inc. | 215,000 | 594,570 | |||
Hon Hai Precision Industry Co., Ltd. | 35,000 | 129,689 | |||
Lite-On Technology Corp. | 201,000 | 434,568 | |||
Pou Chen Corp. | 49,000 | 56,303 | |||
Powertech Technology, Inc. | 156,000 | 554,285 | |||
Sampo Corp. | 330,200 | 348,755 | |||
Taiwan Semiconductor Manufacturing Co., Ltd. | 49,782 | 1,058,797 | |||
Taiwan Shin Kong Security Co., Ltd. | 151,880 | 216,850 | |||
Ttet Union Corp. | 41,000 | 236,270 | |||
Uni-President Enterprises Corp. | 267,960 | 628,337 | |||
United Microelectronics Corp. | 272,000 | 622,685 | |||
Yuanta Financial Holding Co., Ltd. | 487,760 | 414,421 | |||
10,183,208 | |||||
THAILAND — 2.9% | |||||
AP Thailand PCL NVDR | 3,692,200 | 952,337 | |||
Com7 PCL Class F | 99,500 | 228,837 | |||
Thai Union Group PCL Class F | 161,500 | 94,415 | |||
1,275,589 | |||||
TURKEY — 1.2% | |||||
Coca-Cola Icecek A/S | 26,734 | 171,104 | |||
Ford Otomotiv Sanayi A/S | 5,172 | 92,949 | |||
KOC Holding A/S | 48,390 | 100,893 | |||
Turkiye Sise ve Cam Fabrikalari A/S | 174,047 | 159,574 | |||
524,520 | |||||
UNITED ARAB EMIRATES — 1.8% | |||||
Aldar Properties PJSC | 579,731 | 633,678 |
See accompanying notes to schedule of investments.
2
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2021 (Unaudited)
Security Description | Shares | Value | |||
Emirates Telecommunications Group Co. PJSC | 19,776 | $171,978 | |||
805,656 | |||||
TOTAL COMMON STOCKS (Cost $35,634,989) | 43,170,872 |
PREFERRED STOCKS — 0.0% (e) | |||
BRAZIL — 0.0% (e) | |||
Banco Nacional SA, (a) (d) (Cost: $0) | 20,471,000 | — | |
SHORT-TERM INVESTMENTS — 4.7% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.03% (f) (g) | 1,216,169 | 1,216,169 | |
State Street Navigator Securities Lending Portfolio II (h) (i) | 857,340 | 857,340 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $2,073,509) | 2,073,509 | ||
TOTAL INVESTMENTS — 102.9% (Cost $37,708,498) | 45,244,381 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (2.9)% | (1,295,025) | ||
NET ASSETS — 100.0% | $43,949,356 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at November 30, 2021. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.4% of net assets as of November 30, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Fair valued as determined in good faith by the Trust's Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of November 30, 2021, total aggregate fair value of the securities is $0, representing 0.00% of the Fund's net assets. |
(e) | Amount is less than 0.05% of net assets. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended November 30, 2021 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at November 30, 2021. |
(h) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended November 30, 2021 are shown in the Affiliate Table below. |
(i) | Investment of cash collateral for securities loaned. |
ADR | American Depositary Receipt |
GDR | Global Depositary Receipt |
NVDR | Non Voting Depositary Receipt |
At November 30, 2021, open futures contracts were as follows:
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Mini MSCI Emerging Markets (long) | 19 | 12/17/2021 | $1,217,125 | $1,151,685 | $(65,440) |
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of November 30, 2021.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $9,955,631 | $33,215,241 | $0(a) | $43,170,872 | ||||
Preferred Stocks | — | — | 0(a) | 0 | ||||
Short-Term Investments | 2,073,509 | — | — | 2,073,509 | ||||
TOTAL INVESTMENTS | $12,029,140 | $33,215,241 | $0 | $45,244,381 |
See accompanying notes to schedule of investments.
3
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2021 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | $(65,440) | $— | $— | $(65,440) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(65,440) | $— | $— | $(65,440) |
(a) | Fund held Level 3 securities that were valued at $0 at November 30, 2021. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Industry Breakdown as of November 30, 2021
% of Net Assets | ||
Banks | 9.0% | |
Semiconductors & Semiconductor Equipment | 7.4 | |
IT Services | 6.2 | |
Technology Hardware, Storage & Peripherals | 5.6 | |
Diversified Telecommunication Services | 5.5 | |
Metals & Mining | 5.1 | |
Oil, Gas & Consumable Fuels | 4.2 | |
Chemicals | 4.0 | |
Specialty Retail | 3.8 | |
Independent Power and Renewable Electricity Producers | 3.7 | |
Food Products | 3.5 | |
Diversified Financial Services | 3.0 | |
Tobacco | 2.4 | |
Real Estate Investment Trusts (REITs) | 2.4 | |
Air Freight & Logistics | 2.4 | |
Electric Utilities | 2.4 | |
Health Care Providers & Services | 2.3 | |
Real Estate | 2.2 | |
Pharmaceuticals | 2.1 | |
Insurance | 2.0 | |
Interactive Media & Services | 2.0 | |
Wireless Telecommunication Services | 1.9 | |
Automobiles | 1.8 | |
Household Durables | 1.4 | |
Gas Utilities | 1.2 | |
Real Estate Management & Development | 1.2 | |
Beverages | 1.0 | |
Capital Markets | 0.9 | |
Diversified Consumer Services | 0.7 | |
Electronic Equipment, Instruments & Components | 0.7 | |
Entertainment | 0.6 | |
Food & Staples Retailing | 0.6 | |
Industrial Conglomerates | 0.6 | |
Transportation Infrastructure | 0.6 | |
Construction Materials | 0.5 | |
Commercial Services & Supplies | 0.5 | |
Auto Components | 0.5 | |
Life Sciences Tools & Services | 0.4 | |
Machinery | 0.4 | |
Marine | 0.3 | |
Textiles, Apparel & Luxury Goods | 0.3 | |
Trading Companies & Distributors | 0.3 | |
Health Care Equipment & Supplies | 0.2 | |
Media | 0.2 | |
Consumer Finance | 0.1 | |
Paper & Forest Products | 0.1 | |
Short-Term Investments | 4.7 | |
Liabilities in Excess of Other Assets | (2.9) | |
TOTAL | 100.0% |
(The Fund’s industry breakdown is expressed as a percentage of net assets and may change over time.)
See accompanying notes to schedule of investments.
4
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2021 (Unaudited)
Affiliate Table
Number of Shares Held at 8/31/21 | Value at 8/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 11/30/21 | Value at 11/30/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 802,600 | $802,600 | $2,172,432 | $1,758,863 | $— | $— | 1,216,169 | $1,216,169 | $61 | ||||||||
State Street Navigator Securities Lending Portfolio II | 97,200 | 97,200 | 2,551,570 | 1,791,430 | — | — | 857,340 | 857,340 | 2,660 | ||||||||
Total | $899,800 | $4,724,002 | $3,550,293 | $— | $— | $2,073,509 | $2,721 |
See accompanying notes to schedule of investments.
5
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS
November 30, 2021 (Unaudited)
Security Description | Shares | Value | |||
COMMON STOCKS — 97.0% | |||||
AUSTRALIA — 7.2% | |||||
Australia & New Zealand Banking Group, Ltd. | 15,500 | $292,982 | |||
BlueScope Steel, Ltd. | 49,659 | 690,224 | |||
Coles Group, Ltd. | 16,500 | 210,701 | |||
Dexus REIT | 178,241 | 1,408,896 | |||
Glencore PLC (a) | 506,067 | 2,402,701 | |||
GPT Group REIT | 535,953 | 1,999,767 | |||
Growthpoint Properties Australia, Ltd. REIT | 274,605 | 804,658 | |||
Nick Scali, Ltd. | 25,246 | 272,588 | |||
Scentre Group REIT | 45,000 | 98,488 | |||
SmartGroup Corp., Ltd. | 19,848 | 107,384 | |||
Sonic Healthcare, Ltd. | 73,620 | 2,226,084 | |||
Stockland REIT | 331,140 | 1,022,325 | |||
Telstra Corp., Ltd. | 702,060 | 2,023,302 | |||
13,560,100 | |||||
AUSTRIA — 1.0% | |||||
OMV AG | 8,087 | 429,459 | |||
Raiffeisen Bank International AG | 34,614 | 1,029,419 | |||
Semperit AG Holding | 5,766 | 170,347 | |||
Telekom Austria AG (a) | 13,736 | 116,312 | |||
Zumtobel Group AG | 4,502 | 44,768 | |||
1,790,305 | |||||
BELGIUM — 0.6% | |||||
Bekaert SA | 22,419 | 902,483 | |||
D'ieteren Group | 700 | 127,715 | |||
1,030,198 | |||||
CHINA — 0.2% | |||||
Yangzijiang Shipbuilding Holdings, Ltd. | 314,900 | 298,937 | |||
DENMARK — 3.5% | |||||
AP Moller - Maersk A/S Class A | 36 | 103,030 | |||
AP Moller - Maersk A/S Class B | 675 | 2,032,270 | |||
D/S Norden A/S | 4,488 | 103,957 | |||
Matas A/S | 29,363 | 540,443 | |||
Novo Nordisk A/S Class B | 23,752 | 2,542,651 | |||
Scandinavian Tobacco Group A/S Class A (b) | 23,974 | 440,524 | |||
Sydbank A/S | 24,768 | 805,644 | |||
6,568,519 | |||||
FINLAND — 2.7% | |||||
Kesko Oyj Class B | 52,279 | 1,641,415 | |||
Nordea Bank Abp | 187,120 | 2,216,056 | |||
Tokmanni Group Corp. | 36,461 | 766,637 | |||
Uponor Oyj | 1,757 | 40,441 | |||
Valmet Oyj | 7,579 | 310,135 | |||
4,974,684 | |||||
FRANCE — 11.7% | |||||
ALD SA (b) | 31,969 | 449,262 | |||
Arkema SA | 15,083 | 1,977,705 | |||
BNP Paribas SA | 23,960 | 1,489,105 |
Security Description | Shares | Value | |||
Capgemini SE | 9,476 | $2,187,739 | |||
Carrefour SA | 67,046 | 1,108,963 | |||
Cie de Saint-Gobain | 31,705 | 2,011,038 | |||
Cie Generale des Etablissements Michelin SCA | 2,432 | 358,891 | |||
Coface SA | 64,317 | 875,114 | |||
Derichebourg SA (a) | 77,167 | 809,250 | |||
Ipsen SA | 5,501 | 536,867 | |||
L'Oreal SA | 4,858 | 2,193,569 | |||
LVMH Moet Hennessy Louis Vuitton SE | 764 | 594,082 | |||
Manitou BF SA | 10,227 | 307,359 | |||
Publicis Groupe SA | 29,820 | 1,929,616 | |||
Quadient SA | 15,407 | 334,436 | |||
Sanofi | 12,981 | 1,234,004 | |||
Societe Generale SA | 63,395 | 1,972,682 | |||
Television Francaise 1 | 61,635 | 595,518 | |||
Veolia Environnement SA | 29,721 | 953,130 | |||
Vilmorin & Cie SA | 1,024 | 62,827 | |||
21,981,157 | |||||
GERMANY — 7.4% | |||||
ADVA Optical Networking SE (a) | 6,724 | 96,776 | |||
Bayer AG | 9,873 | 497,970 | |||
Bayerische Motoren Werke AG | 23,840 | 2,285,145 | |||
Daimler AG | 19,824 | 1,856,577 | |||
Deutsche Post AG | 40,427 | 2,387,681 | |||
Deutsche Telekom AG | 33,389 | 588,070 | |||
E.ON SE | 87,469 | 1,079,048 | |||
Fresenius SE & Co. KGaA | 28,303 | 1,071,243 | |||
Jungheinrich AG Preference Shares | 8,932 | 418,563 | |||
Merck KGaA | 9,007 | 2,226,126 | |||
METRO AG | 15,553 | 176,053 | |||
SAP SE | 2,119 | 271,553 | |||
STO SE & Co. KGaA Preference Shares | 460 | 107,728 | |||
Wacker Chemie AG | 5,253 | 903,511 | |||
13,966,044 | |||||
HONG KONG — 1.7% | |||||
Chow Sang Sang Holdings International, Ltd. | 331,000 | 468,640 | |||
CK Asset Holdings, Ltd. | 50,500 | 288,861 | |||
Crystal International Group, Ltd. (b) | 316,500 | 109,992 | |||
Hutchison Port Holdings Trust Stapled Security | 1,120,500 | 251,689 | |||
Kerry Properties, Ltd. | 299,500 | 778,801 | |||
Sun Hung Kai & Co., Ltd. | 590,000 | 368,728 | |||
Texhong Textile Group, Ltd. | 593,000 | 841,059 | |||
3,107,770 | |||||
IRELAND — 0.2% | |||||
Glanbia PLC | 23,273 | 300,848 | |||
ISRAEL — 0.1% | |||||
Delek Automotive Systems, Ltd. | 4,238 | 59,176 |
See accompanying notes to schedule of investments.
6
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2021 (Unaudited)
Security Description | Shares | Value | |||
Delta Galil Industries, Ltd. | 3,285 | $201,988 | |||
261,164 | |||||
ITALY — 2.0% | |||||
A2A SpA | 408,871 | 797,735 | |||
Iren SpA | 295,270 | 883,999 | |||
La Doria SpA | 30,337 | 567,686 | |||
Poste Italiane SpA (b)(c) | 59,906 | 753,365 | |||
Sanlorenzo SpA/Ameglia | 12,583 | 513,293 | |||
Unipol Gruppo SpA | 37,111 | 192,758 | |||
3,708,836 | |||||
JAPAN — 24.1% | |||||
ADEKA Corp. | 1,700 | 35,882 | |||
AGC, Inc. | 38,100 | 1,855,355 | |||
BML, Inc. | 22,800 | 708,812 | |||
Bridgestone Corp. | 7,800 | 312,769 | |||
Brother Industries, Ltd. | 80,500 | 1,381,577 | |||
Canon, Inc. | 86,700 | 1,906,769 | |||
Dai-ichi Life Holdings, Inc. | 105,300 | 2,109,641 | |||
Daito Trust Construction Co., Ltd. | 11,000 | 1,191,406 | |||
Daiwa Securities Group, Inc. | 18,600 | 103,147 | |||
Dexerials Corp. | 11,200 | 328,541 | |||
FUJIFILM Holdings Corp. | 24,800 | 1,950,794 | |||
Fujitsu, Ltd. | 11,700 | 1,933,820 | |||
H.U. Group Holdings, Inc. | 26,400 | 666,385 | |||
Idemitsu Kosan Co., Ltd. | 70,800 | 1,821,236 | |||
Iida Group Holdings Co., Ltd. | 61,300 | 1,265,867 | |||
ITOCHU Corp. | 57,000 | 1,630,092 | |||
Japan Post Holdings Co., Ltd. (a) | 183,200 | 1,380,661 | |||
Japan Tobacco, Inc. | 36,100 | 718,998 | |||
KDDI Corp. | 65,300 | 1,894,690 | |||
Marubeni Corp. | 178,900 | 1,599,790 | |||
Mirait Holdings Corp. | 3,000 | 51,849 | |||
Mitsubishi Chemical Holdings Corp. | 17,300 | 135,239 | |||
Mitsui & Co., Ltd. | 102,100 | 2,295,556 | |||
Mitsui Chemicals, Inc. | 28,400 | 756,489 | |||
NGK Insulators, Ltd. | 7,200 | 113,708 | |||
Nippon Telegraph & Telephone Corp. | 82,100 | 2,259,053 | |||
Nippon Yusen KK | 20,400 | 1,321,284 | |||
NTT Data Corp. | 52,900 | 1,116,391 | |||
ORIX Corp. | 107,200 | 2,112,205 | |||
Otsuka Holdings Co., Ltd. | 46,300 | 1,676,968 | |||
Seiko Epson Corp. | 115,500 | 1,862,261 | |||
Sekisui House, Ltd. | 50,800 | 987,288 | |||
Softbank Corp. | 25,400 | 349,620 | |||
Sumitomo Chemical Co., Ltd. | 192,200 | 881,631 | |||
Toyota Motor Corp. | 176,000 | 3,122,108 | |||
Yamaha Motor Co., Ltd. | 52,200 | 1,312,753 | |||
45,150,635 | |||||
LUXEMBOURG — 0.7% | |||||
APERAM SA (c) | 3,983 | 191,377 |
Security Description | Shares | Value | |||
ArcelorMittal SA | 43,404 | $1,178,325 | |||
1,369,702 | |||||
NETHERLANDS — 4.1% | |||||
ASM International NV | 88 | 39,555 | |||
ASML Holding NV | 3,527 | 2,768,273 | |||
ASR Nederland NV | 20,766 | 886,819 | |||
Brunel International NV | 22,998 | �� | 273,078 | ||
Koninklijke Ahold Delhaize NV | 68,992 | 2,321,564 | |||
NN Group NV | 13,799 | 685,665 | |||
TKH Group NV | 12,267 | 685,946 | |||
7,660,900 | |||||
NEW ZEALAND — 0.2% | |||||
Fletcher Building, Ltd. | 74,110 | 341,128 | |||
NIGERIA — 0.1% | |||||
Airtel Africa PLC (b) | 148,733 | 246,864 | |||
NORWAY — 2.0% | |||||
Austevoll Seafood ASA | 13,522 | 147,306 | |||
Equinor ASA | 32,444 | 811,779 | |||
Europris ASA (b) | 51,554 | 355,963 | |||
Norsk Hydro ASA | 111,490 | 722,019 | |||
SpareBank 1 Nord Norge | 59,531 | 676,627 | |||
SpareBank 1 Oestlandet | 10,643 | 171,567 | |||
SpareBank 1 SMN | 53,782 | 819,339 | |||
Veidekke ASA | 6,771 | 97,187 | |||
3,801,787 | |||||
RUSSIA — 0.3% | |||||
Coca-Cola HBC AG (a) | 18,354 | 565,218 | |||
SINGAPORE — 1.4% | |||||
DBS Group Holdings, Ltd. | 42,114 | 917,353 | |||
Golden Agri-Resources, Ltd. | 3,594,600 | 684,853 | |||
United Overseas Bank, Ltd. | 51,700 | 967,623 | |||
2,569,829 | |||||
SPAIN — 0.8% | |||||
Aedas Homes SA (b) | 12,598 | 348,613 | |||
Fluidra SA | 18,009 | 686,956 | |||
Telefonica SA (c) | 119,543 | 542,371 | |||
1,577,940 | |||||
SWEDEN — 4.1% | |||||
Arjo AB Class B | 54,798 | 688,811 | |||
Bilia AB Class A | 51,682 | 862,988 | |||
Coor Service Management Holding AB (b) | 89,792 | 767,907 | |||
Getinge AB Class B | 20,086 | 841,643 | |||
Investor AB Class B | 28,571 | 663,891 | |||
Inwido AB | 52,373 | 945,401 | |||
Lundin Energy AB | 38,338 | 1,354,843 | |||
Mekonomen AB (a) | 34,556 | 596,024 | |||
New Wave Group AB Class B (a) | 40,610 | 762,155 | |||
SSAB AB Class A (a) | 56,047 | 275,899 | |||
7,759,562 |
See accompanying notes to schedule of investments.
7
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2021 (Unaudited)
Security Description | Shares | Value | |||
SWITZERLAND — 8.4% | |||||
Bell Food Group AG | 1,073 | $341,284 | |||
Cie Financiere Richemont SA | 6,562 | 976,527 | |||
Mobilezone Holding AG | 64,388 | 899,341 | |||
Nestle SA | 16,539 | 2,119,832 | |||
Novartis AG | 22,143 | 1,764,924 | |||
Roche Holding AG Bearer Shares | 343 | 142,224 | |||
Roche Holding AG | 12,363 | 4,826,641 | |||
Sonova Holding AG | 4,457 | 1,675,023 | |||
STMicroelectronics NV | 2,080 | 101,300 | |||
UBS Group AG | 141,954 | 2,454,594 | |||
Zehnder Group AG | 5,376 | 524,830 | |||
15,826,520 | |||||
UNITED KINGDOM — 11.6% | |||||
3i Group PLC | 113,871 | 2,089,298 | |||
Ashtead Group PLC | 22,489 | 1,809,197 | |||
AstraZeneca PLC | 2,869 | 314,542 | |||
Barratt Developments PLC | 27,458 | 254,284 | |||
BP PLC | 554,550 | 2,406,041 | |||
CK Hutchison Holdings, Ltd. | 129,000 | 807,567 | |||
CVS Group PLC | 12,712 | 372,292 | |||
Diageo PLC | 2,894 | 146,055 | |||
EMIS Group PLC | 15,874 | 275,062 | |||
GlaxoSmithKline PLC | 83,928 | 1,703,998 | |||
Inchcape PLC | 83,301 | 918,417 | |||
J Sainsbury PLC | 416,499 | 1,530,155 | |||
Kingfisher PLC | 434,153 | 1,824,409 | |||
Legal & General Group PLC | 365,368 | 1,364,977 | |||
Man Group PLC | 282,751 | 806,240 | |||
Morgan Sindall Group PLC | 22,370 | 706,254 | |||
Redrow PLC | 102,888 | 883,642 | |||
SSE PLC | 56,259 | 1,156,622 | |||
Synthomer PLC | 31,949 | 199,876 | |||
Tesco PLC | 356,334 | 1,314,324 | |||
WPP PLC | 69,872 | 969,831 | |||
21,853,083 | |||||
UNITED STATES — 0.9% | |||||
Stellantis NV | 103,716 | 1,769,783 | |||
TOTAL COMMON STOCKS (Cost $176,032,465) | 182,041,513 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 2.1% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.01% (d) (e) | 3,282,487 | $3,282,487 | ||||
State Street Navigator Securities Lending Portfolio II (f) (g) | 604,530 | 604,530 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $3,887,018) | 3,887,017 | |||||
TOTAL INVESTMENTS — 99.1% (Cost $179,919,483) | 185,928,530 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.9% | 1,728,119 | |||||
NET ASSETS — 100.0% | $187,656,649 |
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.9% of net assets as of November 30, 2021, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | All or a portion of the shares of the security are on loan at November 30, 2021. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended November 30, 2021 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at November 30, 2021. |
(f) | The Fund invested in an affiliated entity. Amounts related to these investments during the year ended November 30, 2021 are shown in the Affiliate Table below. |
(g) | Investment of cash collateral for securities loaned. |
REIT | Real Estate Investment Trust |
At November 30, 2021, open futures contracts were as follows:
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Mini MSCI EAFE (long) | 35 | 12/17/2021 | $4,147,145 | $3,912,125 | $(235,020) |
See accompanying notes to schedule of investments.
8
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2021 (Unaudited)
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of November 30, 2021.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $9,086,226 | $172,955,287 | $— | $182,041,513 | ||||
Short-Term Investments | 3,887,017 | — | — | 3,887,017 | ||||
TOTAL INVESTMENTS | $12,973,243 | $172,955,287 | $— | $185,928,530 | ||||
LIABILITIES: | ||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(a) | (235,020) | — | — | (235,020) | ||||
TOTAL OTHER FINANCIAL INSTRUMENTS: | $(235,020) | $— | $— | $(235,020) |
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Industry Breakdown as of November 30, 2021
% of Net Assets | ||
Pharmaceuticals | 9.3% | |
Banks | 6.1 | |
Automobiles | 5.5 | |
Food & Staples Retailing | 4.4 | |
Insurance | 4.4 | |
Technology Hardware, Storage & Peripherals | 4.0 | |
Trading Companies & Distributors | 3.9 | |
Oil, Gas & Consumable Fuels | 3.6 | |
Metals & Mining | 3.4 | |
Building Products | 3.0 | |
Diversified Telecommunication Services | 2.9 | |
Specialty Retail | 2.9 | |
Capital Markets | 2.9 | |
Equity Real Estate Investment Trusts (REITs) | 2.8 | |
IT Services | 2.8 | |
Health Care Providers & Services | 2.7 | |
Chemicals | 2.6 | |
Food Products | 2.3 | |
Multi-Utilities | 2.0 | |
Marine | 1.9 | |
Media | 1.9 | |
Textiles, Apparel & Luxury Goods | 1.9 | |
Household Durables | 1.8 | |
Health Care Equipment & Supplies | 1.7 | |
Semiconductors & Semiconductor Equipment | 1.5 | |
Diversified Financial Services | 1.5 | |
Real Estate Management & Development | 1.4 | |
Wireless Telecommunication Services | 1.3 | |
Air Freight & Logistics | 1.3 | |
Personal Products | 1.2 | |
Commercial Services & Supplies | 0.9 | |
Machinery | 0.9 | |
Construction & Engineering | 0.8 | |
Tobacco | 0.6 | |
Electric Utilities | 0.6 | |
Multiline Retail | 0.6 | |
Distributors | 0.6 | |
Industrial Conglomerates | 0.4 | |
Electrical Equipment | 0.4 | |
Beverages | 0.4 | |
Auto Components | 0.4 | |
Leisure Equipment & Products | 0.3 | |
Road & Rail | 0.2 | |
Consumer Finance | 0.2 | |
Electronic Equipment, Instruments & Components | 0.2 |
See accompanying notes to schedule of investments.
9
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
November 30, 2021 (Unaudited)
% of Net Assets | ||
Health Care Technology | 0.1% | |
Professional Services | 0.1 | |
Software | 0.1 | |
Transportation Infrastructure | 0.1 | |
Construction Materials | 0.1 | |
Communications Equipment | 0.1 | |
Short-Term Investments | 2.1 | |
Other Assets in Excess of Liabilities | 0.9 | |
TOTAL | 100.0% |
(The Fund’s industry breakdown is expressed as a percentage of net assets and may change over time.)
Affiliate Table
Number of Shares Held at 8/31/21 | Value at 8/31/21 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 11/30/21 | Value at 11/30/21 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 738,940 | $738,940 | $13,224,435 | $10,680,888 | $— | $— | 3,282,487 | $3,282,487 | $114 | ||||||||
State Street Navigator Securities Lending Portfolio II | 1,372,214 | 1,372,214 | 6,291,188 | 7,058,872 | — | — | 604,530 | 604,530 | 2,339 | ||||||||
Total | $2,111,154 | $19,515,623 | $17,739,760 | $— | $— | $3,887,017 | $2,453 |
See accompanying notes to schedule of investments.
10
SSGA FUNDS
NOTES TO SCHEDULES OF INVESTMENTS
November 30, 2021 (Unaudited)
Security Valuation
Each Fund's investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund’s investments by major category are as follows:
• Equity investments (including preferred stocks) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value.
• Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit.
• Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value.
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
A “significant event” is an event that the Board believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund’s portfolio securities to no longer reflect their value at the time of the Fund’s net asset value calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Board. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy.
Various inputs are used in determining the value of the Funds' investments.
The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• Level 1 – Unadjusted quoted prices in active markets for an identical asset or liability;
• Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and
11
SSGA FUNDS
NOTES TO SCHEDULES OF INVESTMENTS (continued)
November 30, 2021 (Unaudited)
• Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments.
The value of each Fund’s investments according to the fair value hierarchy as of November 30, 2021 is disclosed in each Fund’s respective Schedule of Investments.
Futures Contracts
The Funds may enter into futures contracts to meet the Funds’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, a Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Fund equal to the daily change in the contract value, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Funds recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate with the movement of the assets underlying such contracts.
For the period ended November 30, 2021, the following Funds entered into futures contracts for the strategies listed below:
Fund | Strategies |
State Street Defensive Emerging Markets Equity Fund | Exposing cash reserves to markets |
State Street International Stock Selection Fund | Exposing cash reserves to markets |
Other Transactions with Affiliates
The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended November 30, 2021, are disclosed in the Funds' respective Schedules of Investments.
Subsequent Events
Management has evaluated the impact of all subsequent events on the Funds through the date on which the Form N-PORT filings were issued and has determined that there were no subsequent events requiring adjustment or disclosure in the Form N-PORT filings other than below.
12