Quarterly Report
May 31, 2022
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
May 31, 2022 (Unaudited)
Security Description | Shares | Value | ||||
COMMON STOCKS — 98.9% | ||||||
BRAZIL — 3.2% | ||||||
Cia Energetica de Minas Gerais Preference Shares | 63,570 | $155,830 | ||||
EDP - Energias do Brasil SA | 30,900 | 139,528 | ||||
Sao Martinho SA | 12,900 | 136,775 | ||||
Telefonica Brasil SA | 39,900 | 428,590 | ||||
Telefonica Brasil SA ADR (a) | 6,700 | 71,958 | ||||
Transmissora Alianca de Energia Eletrica SA | 34,400 | 292,279 | ||||
Unipar Carbocloro SA Class B, Preference Shares | 3,850 | 81,431 | ||||
1,306,391 | ||||||
CHINA — 21.0% | ||||||
3SBio, Inc. (b)(c) | 64,500 | 47,920 | ||||
China BlueChemical, Ltd. Class H | 788,000 | 277,154 | ||||
China Construction Bank Corp. Class H | 99,000 | 73,677 | ||||
China Medical System Holdings, Ltd. | 408,000 | 603,120 | ||||
China Meidong Auto Holdings, Ltd. (a) | 14,000 | 50,311 | ||||
China Petroleum & Chemical Corp. Class H | 566,000 | 273,364 | ||||
China Resources Power Holdings Co., Ltd. | 300,000 | 617,800 | ||||
China Shenhua Energy Co., Ltd. Class A | 112,300 | 572,908 | ||||
China Shenhua Energy Co., Ltd. Class H | 150,500 | 503,444 | ||||
China Yangtze Power Co., Ltd. Class A | 97,900 | 353,259 | ||||
CMGE Technology Group, Ltd. | 216,000 | 56,703 | ||||
COFCO Joycome Foods., Ltd. (a) | 472,000 | 193,078 | ||||
COSCO SHIPPING Holdings Co., Ltd. Class A (c) | 47,700 | 109,993 | ||||
Haitian International Holdings, Ltd. | 58,000 | 148,932 | ||||
Lenovo Group, Ltd. | 606,000 | 597,721 | ||||
Nanjing Iron & Steel Co., Ltd. Class A | 242,200 | 116,793 | ||||
NetDragon Websoft Holdings, Ltd. | 340,500 | 684,714 | ||||
NetEase, Inc. | 4,500 | 97,602 | ||||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class A | 317,500 | 522,748 | ||||
Shougang Fushan Resources Group, Ltd. | 486,000 | 210,572 | ||||
Sihuan Pharmaceutical Holdings Group, Ltd. (a) | 1,370,000 | 197,280 | ||||
Sinotrans, Ltd. Class A | 878,700 | 522,725 | ||||
TangShan Port Group Co., Ltd. Class A | 191,700 | 78,330 | ||||
Tencent Holdings, Ltd. | 4,500 | 207,819 |
Security Description | Shares | Value | ||||
Want Want China Holdings, Ltd. | 323,000 | $321,469 | ||||
Yadea Group Holdings, Ltd. (a)(b) | 62,000 | 100,658 | ||||
Yuexiu Transport Infrastructure, Ltd. | 284,000 | 175,889 | ||||
Zhongsheng Group Holdings, Ltd. | 133,500 | 947,593 | ||||
8,663,576 | ||||||
HONG KONG — 0.7% | ||||||
Yuexiu Real Estate Investment Trust | 760,000 | 301,203 | ||||
HUNGARY — 0.8% | ||||||
Magyar Telekom Telecommunications PLC | 209,787 | 213,992 | ||||
MOL Hungarian Oil & Gas PLC | 13,265 | 95,398 | ||||
309,390 | ||||||
INDIA — 9.9% | ||||||
Apollo Tyres, Ltd. | 53,572 | 150,670 | ||||
Chambal Fertilizers and Chemicals, Ltd. | 88,480 | 414,157 | ||||
Gujarat State Petronet, Ltd. | 130,423 | 427,541 | ||||
HCL Technologies, Ltd. | 79,842 | 1,070,319 | ||||
Hindustan Petroleum Corp., Ltd. | 53,994 | 158,429 | ||||
JB Chemicals & Pharmaceuticals, Ltd. | 15,815 | 331,155 | ||||
NTPC, Ltd. | 30,988 | 62,266 | ||||
Power Grid Corp. of India, Ltd. | 139,770 | 419,294 | ||||
Redington India, Ltd. | 60,308 | 100,984 | ||||
Sun Pharmaceutical Industries, Ltd. | 13,217 | 146,511 | ||||
Tech Mahindra, Ltd. | 32,450 | 493,315 | ||||
Vedanta, Ltd. | 10,530 | 43,525 | ||||
Wipro, Ltd. | 43,638 | 268,704 | ||||
4,086,870 | ||||||
INDONESIA — 0.6% | ||||||
Kalbe Farma Tbk PT | 1,383,400 | 158,919 | ||||
Telkom Indonesia Persero Tbk PT | 317,700 | 93,909 | ||||
252,828 | ||||||
KUWAIT — 0.7% | ||||||
Humansoft Holding Co. KSC | 29,057 | 294,556 | ||||
MALAYSIA — 5.5% | ||||||
AMMB Holdings Bhd (c) | 124,200 | 103,252 | ||||
IHH Healthcare Bhd | 616,600 | 943,524 | ||||
Petronas Chemicals Group Bhd | 117,800 | 276,037 | ||||
Petronas Gas Bhd | 58,300 | 230,084 | ||||
RHB Bank Bhd | 90,744 | 126,007 | ||||
Supermax Corp. Bhd | 4,253 | 1,020 | ||||
Telekom Malaysia Bhd | 498,500 | 610,246 | ||||
2,290,170 |
See accompanying notes to schedule of investments.
1
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2022 (Unaudited)
Security Description | Shares | Value | ||||
MEXICO — 1.7% | ||||||
Alpek SAB de CV | 262,100 | $347,860 | ||||
Altos Hornos de Mexico SA de CV (c)(d) | 499,000 | — | ||||
Arca Continental SAB de CV | 42,100 | 286,200 | ||||
Banco del Bajio SA (a)(b) | 28,700 | 70,800 | ||||
704,860 | ||||||
PHILIPPINES — 1.6% | ||||||
Globe Telecom, Inc. | 7,805 | 361,738 | ||||
Manila Electric Co. | 42,610 | 303,547 | ||||
665,285 | ||||||
POLAND — 0.4% | ||||||
Neuca SA | 814 | 144,334 | ||||
QATAR — 2.0% | ||||||
Masraf Al Rayan QSC | 66,540 | 85,876 | ||||
Ooredoo QPSC | 138,787 | 282,014 | ||||
Qatar Islamic Bank SAQ | 68,878 | 437,846 | ||||
805,736 | ||||||
RUSSIA — 0.0% | ||||||
Alrosa PJSC (c)(d) | 736,749 | — | ||||
PhosAgro PJSC GDR (d) | 20,419 | — | ||||
Ros Agro PLC GDR (d) | 13,648 | — | ||||
X5 Retail Group NV GDR (d) | 4,487 | — | ||||
— | ||||||
SAUDI ARABIA — 5.3% | ||||||
Al Rajhi Bank | 17,300 | 456,198 | ||||
Bank Al-Jazira | 95,544 | 731,133 | ||||
Dallah Healthcare Co. | 2,102 | 64,229 | ||||
Qassim Cement Co. | 2,984 | 63,093 | ||||
Riyad Bank | 12,745 | 130,321 | ||||
Sahara International Petrochemical Co. | 10,077 | 144,015 | ||||
Saudi Electricity Co. | 24,925 | 161,359 | ||||
Saudi Telecom Co. | 10,710 | 293,558 | ||||
United Electronics Co. | 5,313 | 163,760 | ||||
2,207,666 | ||||||
SINGAPORE — 0.3% | ||||||
BOC Aviation, Ltd. (b) | 16,600 | 137,078 | ||||
SOUTH KOREA — 12.8% | ||||||
Cheil Worldwide, Inc. | 5,493 | 115,436 | ||||
DB Insurance Co., Ltd. | 1,383 | 72,660 | ||||
Hyundai Glovis Co., Ltd. | 1,261 | 216,078 | ||||
JB Financial Group Co., Ltd. | 25,225 | 182,276 | ||||
Kia Corp. | 6,189 | 428,708 | ||||
Korean Reinsurance Co. | 5,603 | 43,657 | ||||
KT&G Corp. | 15,638 | 1,074,386 | ||||
LG Uplus Corp. | 31,657 | 354,389 | ||||
NongShim Co., Ltd. | 419 | 93,472 | ||||
Samsung Card Co., Ltd. | 2,133 | 58,704 | ||||
Samsung Electro-Mechanics Co., Ltd. | 383 | 47,829 | ||||
Samsung Electronics Co., Ltd. GDR | 91 | 122,077 |
Security Description | Shares | Value | ||||
Samsung Electronics Co., Ltd. Preference Shares | 1,592 | $78,107 | ||||
Samsung Electronics Co., Ltd. | 20,638 | 1,124,314 | ||||
Shinhan Financial Group Co., Ltd. | 7,426 | 258,397 | ||||
SK Hynix, Inc. | 3,711 | 323,948 | ||||
SK Square Co., Ltd. (c) | 3,543 | 135,454 | ||||
SK Telecom Co., Ltd. | 5,481 | 252,962 | ||||
Youngone Corp. | 7,549 | 283,728 | ||||
5,266,582 | ||||||
TAIWAN — 25.0% | ||||||
Asustek Computer, Inc. | 45,000 | 529,457 | ||||
Cathay Financial Holding Co., Ltd. | 562,746 | 1,079,929 | ||||
Chicony Electronics Co., Ltd. | 293,000 | 872,186 | ||||
Chunghwa Telecom Co., Ltd. | 53,000 | 231,904 | ||||
CTBC Financial Holding Co., Ltd. | 1,210,000 | 1,131,835 | ||||
First Financial Holding Co., Ltd. | 1,036,347 | 976,541 | ||||
Fubon Financial Holding Co., Ltd. | 460,778 | 1,017,601 | ||||
Greatek Electronics, Inc. | 215,000 | 531,852 | ||||
Hon Hai Precision Industry Co., Ltd. | 35,000 | 136,262 | ||||
Lite-On Technology Corp. | 201,000 | 437,664 | ||||
Pou Chen Corp. | 49,000 | 52,841 | ||||
Powertech Technology, Inc. | 168,000 | 566,656 | ||||
Sampo Corp. | 330,200 | 349,824 | ||||
SinoPac Financial Holdings Co., Ltd. | 223,000 | 139,447 | ||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 3,782 | 72,969 | ||||
Taiwan Shin Kong Security Co., Ltd. | 105,880 | 149,563 | ||||
Ttet Union Corp. | 41,000 | 217,537 | ||||
Uni-President Enterprises Corp. | 28,960 | 67,249 | ||||
United Microelectronics Corp. | 185,000 | 327,614 | ||||
Wan Hai Lines, Ltd. | 50,000 | 270,457 | ||||
Wisdom Marine Lines Co., Ltd. | 220,000 | 739,776 | ||||
Yuanta Financial Holding Co., Ltd. | 487,760 | 409,197 | ||||
10,308,361 | ||||||
THAILAND — 3.5% | ||||||
Advanced Info Service PCL | 18,800 | 119,217 | ||||
AP Thailand PCL NVDR | 3,692,200 | 1,208,435 | ||||
Regional Container Lines PCL | 36,100 | 48,791 | ||||
Thai Union Group PCL Class F | 161,500 | 81,174 | ||||
1,457,617 | ||||||
TURKEY — 1.5% | ||||||
Coca-Cola Icecek A/S | 26,734 | 211,874 | ||||
Ford Otomotiv Sanayi A/S | 5,172 | 97,618 | ||||
KOC Holding A/S | 48,390 | 120,892 |
See accompanying notes to schedule of investments.
2
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2022 (Unaudited)
Security Description | Shares | Value | ||||
Turkiye Sise ve Cam Fabrikalari A/S | 136,595 | $174,707 | ||||
605,091 | ||||||
UNITED ARAB EMIRATES — 2.4% | ||||||
Aldar Properties PJSC | 579,731 | 834,940 | ||||
Emirates Telecommunications Group Co. PJSC | 19,776 | 163,353 | ||||
998,293 | ||||||
TOTAL COMMON STOCKS (Cost $36,724,148) | 40,805,887 |
PREFERRED STOCKS — 0.0% (e) | |||
BRAZIL — 0.0% (e) | |||
BCO Nacional SA, (d) (Cost: $0) | 20,471,000 | — | |
SHORT-TERM INVESTMENTS — 2.4% | |||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.78% (f)(g) | 840,906 | 840,906 | |
State Street Navigator Securities Lending Portfolio II (h)(i) | 157,059 | 157,059 | |
TOTAL SHORT-TERM INVESTMENTS (Cost $997,965) | 997,965 | ||
TOTAL INVESTMENTS — 101.3% (Cost $37,722,113) | 41,803,852 | ||
LIABILITIES IN EXCESS OF OTHER ASSETS — (1.3)% | (522,352) | ||
NET ASSETS — 100.0% | $41,281,500 |
(a) | All or a portion of the shares of the security are on loan at May 31, 2022. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 0.9% of net assets as of May 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Non-income producing security. |
(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 May 31, 2022, 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 May 31, 2022 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at May 31, 2022. |
(h) | The Fund invested in an affiliated entity. Amounts related to these transactions during the period ended May 31, 2022 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 May 31, 2022, open futures contracts were as follows:
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
Mini MSCI Emerging Markets (long) | 13 | 06/17/2022 | $674,165 | $691,145 | $16,980 |
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of May 31, 2022.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $40,556,705 | $249,182 | $0(a) | $40,805,887 | ||||
Preferred Stocks | — | — | 0(a) | 0 | ||||
Short-Term Investments | 997,965 | — | — | 997,965 |
See accompanying notes to schedule of investments.
3
STATE STREET DEFENSIVE EMERGING MARKETS EQUITY FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2022 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
TOTAL INVESTMENTS | $41,554,670 | $249,182 | $0 | $41,803,852 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts(b) | 16,980 | — | — | 16,980 |
(a) | The Fund held Level 3 securities that were valued at $0 at May 31, 2022. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Industry Breakdown as of May 31, 2022
% of Net Assets | ||
Banks | 11.9% | |
Technology Hardware, Storage & Peripherals | 9.1 | |
Diversified Telecommunication Services | 6.6 | |
Semiconductors & Semiconductor Equipment | 4.7 | |
IT Services | 4.4 | |
Oil, Gas & Consumable Fuels | 3.9 | |
Chemicals | 3.7 | |
Electric Utilities | 3.6 | |
Pharmaceuticals | 3.5 | |
Real Estate | 2.9 | |
Insurance | 2.9 | |
Marine | 2.8 | |
Specialty Retail | 2.8 | |
Health Care Providers & Services | 2.8 | |
Real Estate Investment Trusts (REITs) | 2.8 | |
Food Products | 2.7 | |
Tobacco | 2.6 | |
Independent Power and Renewable Electricity Producers | 2.5 | |
Diversified Financial Services | 2.5 | |
Entertainment | 2.0 | |
Air Freight & Logistics | 1.8 | |
Wireless Telecommunication Services | 1.8 | |
Gas Utilities | 1.6 | |
Automobiles | 1.5 | |
Real Estate Management & Development | 1.3 | |
Beverages | 1.2 | |
Capital Markets | 1.0 | |
Metals & Mining | 0.9 | |
Household Durables | 0.9 | |
Textiles, Apparel & Luxury Goods | 0.8 | |
Industrial Conglomerates | 0.7 | |
Diversified Consumer Services | 0.7 | |
Electronic Equipment, Instruments & Components | 0.7 | |
Transportation Infrastructure | 0.6 | |
Interactive Media & Services | 0.5 | |
Auto Components | 0.4 | |
Commercial Services & Supplies | 0.4 | |
Machinery | 0.4 | |
Trading Companies & Distributors | 0.3 | |
Media | 0.3 | |
Construction Materials | 0.2 | |
Consumer Finance | 0.1 | |
Biotechnology | 0.1 | |
Health Care Equipment & Supplies | 0.0* | |
Food & Staples Retailing | 0.0* | |
Short-Term Investments | 2.4 | |
Liabilities in Excess of Other Assets | (1.3) | |
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
(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)
May 31, 2022 (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 5/31/22 | Value at 5/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 802,600 | $802,600 | $5,956,201 | $5,917,895 | $— | $— | 840,906 | $840,906 | $831 | ||||||||
State Street Navigator Securities Lending Portfolio II | 97,200 | 97,200 | 4,753,290 | 4,693,431 | — | — | 157,059 | 157,059 | 4,807 | ||||||||
Total | $899,800 | $10,709,491 | $10,611,326 | $— | $— | $997,965 | $5,638 |
See accompanying notes to schedule of investments.
5
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS
May 31, 2022 (Unaudited)
Security Description | Shares | Value | ||||
COMMON STOCKS — 96.8% | ||||||
AUSTRALIA — 10.1% | ||||||
Aurizon Holdings, Ltd. | 390,033 | $1,125,227 | ||||
BHP Group, Ltd. | 11,843 | 379,146 | ||||
Coles Group, Ltd. | 57,389 | 721,977 | ||||
Dexus REIT | 183,996 | 1,383,829 | ||||
Glencore PLC (a) | 339,515 | 2,233,663 | ||||
GPT Group REIT | 367,152 | 1,267,371 | ||||
Growthpoint Properties Australia, Ltd. REIT | 249,890 | 704,781 | ||||
Healius, Ltd. | 25,907 | 79,760 | ||||
JB Hi-Fi, Ltd. (b) | 8,615 | 284,150 | ||||
NRW Holdings, Ltd. | 155,287 | 223,998 | ||||
Orora, Ltd. | 32,835 | 92,371 | ||||
Rio Tinto PLC | 19,745 | 1,430,638 | ||||
Rio Tinto, Ltd. | 4,636 | 380,778 | ||||
Scentre Group REIT | 776,763 | 1,599,864 | ||||
SmartGroup Corp., Ltd. | 81,249 | 489,207 | ||||
Sonic Healthcare, Ltd. | 64,603 | 1,699,643 | ||||
South32, Ltd. | 91,763 | 329,268 | ||||
Stockland REIT | 53,139 | 152,541 | ||||
Telstra Corp., Ltd. | 583,524 | 1,624,812 | ||||
Waypoint REIT, Ltd. | 167,798 | 301,051 | ||||
Woodside Energy Group, Ltd. | 2,140 | 45,704 | ||||
16,549,779 | ||||||
AUSTRIA — 0.0% (c) | ||||||
Zumtobel Group AG (b) | 8,507 | 61,189 | ||||
BELGIUM — 0.4% | ||||||
Bekaert SA | 17,969 | 724,942 | ||||
DENMARK — 2.6% | ||||||
AP Moller - Maersk A/S Class A | 36 | 104,002 | ||||
AP Moller - Maersk A/S Class B | 534 | 1,558,111 | ||||
D/S Norden A/S | 4,488 | 186,389 | ||||
Matas A/S | 26,551 | 367,814 | ||||
Novo Nordisk A/S Class B | 8,115 | 898,993 | ||||
Solar A/S Class B | 2,952 | 303,726 | ||||
Sydbank A/S | 21,744 | 767,489 | ||||
4,186,524 | ||||||
FINLAND — 1.5% | ||||||
Kesko Oyj Class B | 18,669 | 467,382 | ||||
Nordea Bank Abp | 191,471 | 1,945,305 | ||||
2,412,687 | ||||||
FRANCE — 9.4% | ||||||
Arkema SA | 13,049 | 1,576,685 | ||||
BNP Paribas SA | 2,579 | 147,045 | ||||
Capgemini SE | 8,466 | 1,640,506 | ||||
Carrefour SA | 76,164 | 1,556,004 | ||||
Cie de Saint-Gobain | 30,965 | 1,831,660 | ||||
Coface SA | 60,316 | 710,332 | ||||
Derichebourg SA | 47,951 | 385,569 | ||||
Eiffage SA | 11,165 | 1,103,928 | ||||
Euroapi SA | 1,090 | 15,844 | ||||
Ipsen SA | 12,503 | 1,250,986 |
Security Description | Shares | Value | ||||
LVMH Moet Hennessy Louis Vuitton SE | 326 | $209,007 | ||||
Publicis Groupe SA | 25,515 | 1,393,686 | ||||
Rexel SA (a) | 34,519 | 733,375 | ||||
Sanofi | 25,087 | 2,676,517 | ||||
Societe Generale SA | 2,397 | 64,345 | ||||
Vivendi SE | 5,659 | 67,435 | ||||
15,362,924 | ||||||
GEORGIA — 0.3% | ||||||
TBC Bank Group PLC | 27,269 | 508,553 | ||||
GERMANY — 6.4% | ||||||
Aurubis AG | 6,776 | 637,817 | ||||
Bayer AG | 32,138 | 2,297,127 | ||||
Bayerische Motoren Werke AG | 18,721 | 1,620,496 | ||||
Deutsche Post AG | 36,979 | 1,528,603 | ||||
E.ON SE | 64,803 | 659,795 | ||||
Elmos Semiconductor SE | 5,267 | 265,474 | ||||
Mercedes-Benz Group AG | 8,302 | 590,015 | ||||
Merck KGaA | 7,990 | 1,501,091 | ||||
RWE AG | 10,417 | 458,510 | ||||
STO SE & Co. KGaA Preference Shares | 181 | 32,722 | ||||
Telefonica Deutschland Holding AG | 165,230 | 524,875 | ||||
Wacker Chemie AG | 573 | 102,452 | ||||
Wacker Neuson SE | 10,783 | 236,152 | ||||
10,455,129 | ||||||
HONG KONG — 1.4% | ||||||
Chow Sang Sang Holdings International, Ltd. | 70,000 | 75,734 | ||||
Hutchison Port Holdings Trust Stapled Security | 2,852,300 | 684,552 | ||||
Kerry Properties, Ltd. | 279,500 | 724,822 | ||||
Luk Fook Holdings International, Ltd. | 53,000 | 122,923 | ||||
Sun Hung Kai & Co., Ltd. | 323,000 | 149,827 | ||||
Texhong Textile Group, Ltd. | 454,000 | 491,189 | ||||
2,249,047 | ||||||
INDONESIA — 1.0% | ||||||
First Pacific Co., Ltd. | 470,000 | 206,035 | ||||
First Resources, Ltd. | 494,000 | 699,507 | ||||
Golden Agri-Resources, Ltd. | 3,287,600 | 683,892 | ||||
1,589,434 | ||||||
ISRAEL — 1.2% | ||||||
Bank Leumi Le-Israel BM | 130,080 | 1,293,196 | ||||
Delek Automotive Systems, Ltd. | 21,044 | 277,255 | ||||
ZIM Integrated Shipping Services, Ltd. (b) | 6,400 | 407,488 | ||||
1,977,939 | ||||||
ITALY — 1.2% | ||||||
Eni SpA (b) | 23,350 | 355,907 | ||||
Iren SpA | 285,550 | 743,696 | ||||
Poste Italiane SpA (d) | 54,529 | 589,787 |
See accompanying notes to schedule of investments.
6
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2022 (Unaudited)
Security Description | Shares | Value | ||||
Sanlorenzo SpA/Ameglia | 6,313 | $231,445 | ||||
1,920,835 | ||||||
JAPAN — 22.6% | ||||||
ADEKA Corp. | 32,800 | 643,082 | ||||
AGC, Inc. | 11,300 | 426,158 | ||||
Brother Industries, Ltd. | 45,800 | 845,664 | ||||
Canon, Inc. | 71,400 | 1,798,103 | ||||
Dai Nippon Printing Co., Ltd. | 17,500 | 399,658 | ||||
Dai-ichi Life Holdings, Inc. | 86,100 | 1,761,326 | ||||
Dentsu Group, Inc. (b) | 23,300 | 778,265 | ||||
Dexerials Corp. | 17,400 | 587,952 | ||||
Ebara Corp. | 8,800 | 379,384 | ||||
FUJIFILM Holdings Corp. | 17,900 | 988,195 | ||||
Fujitsu, Ltd. | 2,400 | 360,648 | ||||
Idemitsu Kosan Co., Ltd. | 48,300 | 1,313,163 | ||||
ITOCHU Corp. | 21,000 | 602,750 | ||||
Japan Post Holdings Co., Ltd. | 235,400 | 1,754,689 | ||||
Japan Post Insurance Co., Ltd. | 18,700 | 308,822 | ||||
Joyful Honda Co., Ltd. (b) | 14,300 | 177,285 | ||||
Kajima Corp. | 83,700 | 901,140 | ||||
KDDI Corp. | 51,500 | 1,794,609 | ||||
Kintetsu World Express, Inc. | 3,100 | 100,536 | ||||
Lintec Corp. | 10,900 | 203,208 | ||||
Marubeni Corp. | 155,500 | 1,634,903 | ||||
Mitsui & Co., Ltd. | 79,400 | 1,993,404 | ||||
Mitsui OSK Lines, Ltd. | 31,500 | 842,953 | ||||
NGK Spark Plug Co., Ltd. | 43,000 | 816,010 | ||||
Nippon Electric Glass Co., Ltd. | 11,500 | 243,784 | ||||
Nippon Telegraph & Telephone Corp. | 62,600 | 1,901,803 | ||||
Nippon Yusen KK | 17,000 | 1,412,980 | ||||
Ono Pharmaceutical Co., Ltd. | 3,100 | 81,970 | ||||
ORIX Corp. | 96,600 | 1,839,553 | ||||
Osaka Gas Co., Ltd. | 7,700 | 143,910 | ||||
Osaka Soda Co., Ltd. | 3,500 | 81,454 | ||||
SCREEN Holdings Co., Ltd. | 8,200 | 756,080 | ||||
Seiko Epson Corp. | 87,600 | 1,467,769 | ||||
Sekisui House, Ltd. | 35,500 | 629,423 | ||||
Sompo Holdings, Inc. | 8,300 | 377,041 | ||||
Takeda Pharmaceutical Co., Ltd. | 53,000 | 1,524,519 | ||||
Tokyo Gas Co., Ltd. | 10,300 | 200,903 | ||||
Tomy Co., Ltd. | 6,700 | 66,826 | ||||
TOPPAN, INC. | 62,800 | 1,182,973 | ||||
Toyota Motor Corp. | 174,700 | 2,880,341 | ||||
Wacom Co., Ltd. | 5,300 | 39,976 | ||||
Yamaha Motor Co., Ltd. | 32,900 | 667,788 | ||||
36,911,000 | ||||||
LUXEMBOURG — 1.2% | ||||||
APERAM SA | 3,983 | 165,308 | ||||
ArcelorMittal SA | 56,530 | 1,817,903 | ||||
1,983,211 | ||||||
NETHERLANDS — 4.4% | ||||||
Aegon NV | 259,389 | 1,384,817 | ||||
ASML Holding NV | 1,566 | 901,112 |
Security Description | Shares | Value | ||||
ASR Nederland NV | 16,498 | $752,736 | ||||
Brunel International NV | 26,221 | 306,830 | ||||
Koninklijke Ahold Delhaize NV | 61,726 | 1,703,366 | ||||
NN Group NV | 13,439 | 668,135 | ||||
Shell PLC | 32,252 | 965,827 | ||||
TKH Group NV | 11,166 | 542,543 | ||||
7,225,366 | ||||||
NEW ZEALAND — 0.2% | ||||||
Fletcher Building, Ltd. | 31,496 | 111,233 | ||||
Kiwi Property Group, Ltd. | 236,797 | 158,926 | ||||
270,159 | ||||||
NIGERIA — 0.1% | ||||||
Airtel Africa PLC | 106,493 | 207,461 | ||||
NORWAY — 2.1% | ||||||
Austevoll Seafood ASA | 53,542 | 720,927 | ||||
Equinor ASA | 54,459 | 2,095,236 | ||||
MPC Container Ships ASA | 22,269 | 62,702 | ||||
SpareBank 1 Nord Norge | 54,352 | 540,467 | ||||
3,419,332 | ||||||
PORTUGAL — 0.5% | ||||||
Sonae SGPS SA | 697,485 | 828,156 | ||||
SINGAPORE — 0.9% | ||||||
STMicroelectronics NV | 12,087 | 483,096 | ||||
United Overseas Bank, Ltd. | 47,300 | 1,018,812 | ||||
1,501,908 | ||||||
SOUTH AFRICA — 1.1% | ||||||
Anglo American PLC (b) | 36,469 | 1,786,254 | ||||
SPAIN — 1.2% | ||||||
Aedas Homes SA (d) | 5,978 | 142,793 | ||||
Banco Bilbao Vizcaya Argentaria SA | 132,333 | 721,554 | ||||
Banco Santander SA | 25,707 | 83,193 | ||||
Telefonica SA (b) | 175,493 | 953,307 | ||||
1,900,847 | ||||||
SWEDEN — 3.5% | ||||||
Bilia AB Class A | 6,997 | 106,611 | ||||
Clas Ohlson AB Class B | 8,161 | 99,945 | ||||
Coor Service Management Holding AB (d) | 91,593 | 808,453 | ||||
Inwido AB | 57,461 | 782,547 | ||||
Loomis AB | 22,185 | 561,102 | ||||
Lundin Energy AB | 35,315 | 1,710,432 | ||||
Mekonomen AB | 3,405 | 40,514 | ||||
New Wave Group AB Class B | 49,423 | 804,153 | ||||
SSAB AB Class A (b) | 129,613 | 798,970 | ||||
5,712,727 | ||||||
SWITZERLAND — 8.1% | ||||||
Bell Food Group AG | 113 | 29,628 | ||||
Cie Financiere Richemont SA Class A | 5,216 | 578,317 | ||||
Mobilezone Holding AG | 46,476 | 751,020 | ||||
Novartis AG | 35,305 | 3,197,031 |
See accompanying notes to schedule of investments.
7
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2022 (Unaudited)
Security Description | Shares | Value | ||||
Roche Holding AG Bearer Shares | 343 | $133,953 | ||||
Roche Holding AG | 11,372 | 3,869,705 | ||||
Sonova Holding AG | 1,831 | 647,111 | ||||
Swiss Life Holding AG | 2,863 | 1,620,735 | ||||
UBS Group AG | 120,538 | 2,267,627 | ||||
Zehnder Group AG | 1,444 | 105,229 | ||||
13,200,356 | ||||||
UNITED KINGDOM — 11.3% | ||||||
3i Group PLC | 98,319 | 1,572,806 | ||||
AstraZeneca PLC | 4,593 | 605,040 | ||||
Barratt Developments PLC | 27,458 | 174,660 | ||||
BP PLC | 498,140 | 2,725,814 | ||||
British American Tobacco PLC (b) | 59,380 | 2,620,362 | ||||
CK Hutchison Holdings, Ltd. | 125,000 | 887,259 | ||||
Diageo PLC | 2,894 | 134,017 | ||||
EMIS Group PLC | 15,874 | 260,037 | ||||
Inchcape PLC (b) | 74,260 | 680,758 | ||||
Legal & General Group PLC | 81,797 | 267,679 | ||||
Man Group PLC | 250,716 | 809,405 | ||||
Morgan Sindall Group PLC | 25,114 | 658,240 | ||||
Natwest Group PLC | 625,080 | 1,797,447 | ||||
OSB Group PLC | 113,667 | 744,089 | ||||
Redde Northgate PLC (b) | 83,463 | 396,497 | ||||
Redrow PLC | 93,968 | 629,936 | ||||
SSE PLC | 44,602 | 995,916 | ||||
Tesco PLC (b) | 527,365 | 1,721,139 | ||||
WPP PLC (b) | 67,756 | 786,002 | ||||
18,467,103 | ||||||
UNITED STATES — 4.1% | ||||||
GSK PLC | 122,121 | 2,666,205 | ||||
Nestle SA | 17,200 | 2,097,998 | ||||
Signify NV (d) | 4,357 | 173,908 | ||||
Stellantis NV | 120,015 | 1,795,286 | ||||
6,733,397 | ||||||
TOTAL COMMON STOCKS (Cost $159,305,007) | 158,146,259 |
Security Description | Shares | Value | ||||
SHORT-TERM INVESTMENTS — 3.0% | ||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares 0.78% (e)(f) | 3,090,222 | $3,090,222 | ||||
State Street Navigator Securities Lending Portfolio II (g)(h) | 1,788,376 | 1,788,376 | ||||
TOTAL SHORT-TERM INVESTMENTS (Cost $4,878,598) | 4,878,598 | |||||
TOTAL INVESTMENTS — 99.8% (Cost $164,183,605) | 163,024,857 | |||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 356,356 | |||||
NET ASSETS — 100.0% | $163,381,213 |
(a) | Non-income producing security. |
(b) | All or a portion of the shares of the security are on loan at May 31, 2022. |
(c) | Amount is less than 0.05% of net assets. |
(d) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933, as amended. These securities, which represent 1.0% of net assets as of May 31, 2022, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended May 31, 2022 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at May 31, 2022. |
(g) | The Fund invested in an affiliated entity. Amounts related to these investments during the year ended May 31, 2022 are shown in the Affiliate Table below. |
(h) | Investment of cash collateral for securities loaned. |
REIT | Real Estate Investment Trust |
At May 31, 2022, open futures contracts were as follows:
Description | Number of Contracts | Expiration Date | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||
MSCI EAFE Index (long) | 37 | 06/17/2022 | $3,687,505 | $3,768,450 | $80,945 |
See accompanying notes to schedule of investments.
8
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2022 (Unaudited)
The following table summarizes the value of the Fund's investments according to the fair value hierarchy as of May 31, 2022.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||
ASSETS: | ||||||||
INVESTMENTS: | ||||||||
Common Stocks | $158,146,259 | $— | $— | $158,146,259 | ||||
Short-Term Investments | 4,878,598 | — | — | 4,878,598 | ||||
TOTAL INVESTMENTS | $163,024,857 | $— | $— | $163,024,857 | ||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||
Futures Contracts | 80,945 | — | — | 80,945 |
Industry Breakdown as of May 31, 2022
% of Net Assets | ||
Pharmaceuticals | 12.7% | |
Metals & Mining | 6.5 | |
Insurance | 6.2 | |
Oil, Gas & Consumable Fuels | 5.6 | |
Banks | 5.4 | |
Automobiles | 4.6 | |
Food & Staples Retailing | 4.3 | |
Equity Real Estate Investment Trusts (REITs) | 3.4 | |
Trading Companies & Distributors | 3.2 | |
Technology Hardware, Storage & Peripherals | 3.1 | |
Diversified Telecommunication Services | 3.1 | |
Capital Markets | 2.9 | |
Marine | 2.8 | |
Food Products | 2.7 | |
Commercial Services & Supplies | 2.0 | |
Building Products | 2.0 | |
Media | 1.9 | |
Construction & Engineering | 1.8 | |
Tobacco | 1.6 | |
Chemicals | 1.6 | |
Semiconductors & Semiconductor Equipment | 1.5 | |
Specialty Retail | 1.4 | |
Textiles, Apparel & Luxury Goods | 1.3 | |
Wireless Telecommunication Services | 1.2 | |
IT Services | 1.2 | |
Diversified Financial Services | 1.1 | |
Health Care Providers & Services | 1.1 | |
Air Freight & Logistics | 1.0 | |
Road & Rail | 0.9 | |
Household Durables | 0.9 | |
Multi-Utilities | 0.9 | |
Electric Utilities | 0.6 | |
Industrial Conglomerates | 0.5 | |
Real Estate Management & Development | 0.5 | |
Electronic Equipment, Instruments & Components | 0.5 | |
Auto Components | 0.5 | |
Professional Services | 0.5 | |
Electrical Equipment | 0.5 | |
Thrifts & Mortgage Finance | 0.5 | |
Transportation Infrastructure | 0.4 | |
Distributors | 0.4 | |
Health Care Equipment & Supplies | 0.4 | |
Machinery | 0.4 | |
Independent Power & Renewable Electricity Producers | 0.3 | |
Gas Utilities | 0.2 | |
Leisure Equipment & Products | 0.2 | |
Health Care Technology | 0.2 | |
Consumer Finance | 0.1 | |
Beverages | 0.1 | |
Containers & Packaging | 0.1 |
See accompanying notes to schedule of investments.
9
STATE STREET INTERNATIONAL STOCK SELECTION FUND
SCHEDULE OF INVESTMENTS (continued)
May 31, 2022 (Unaudited)
% of Net Assets | ||
Construction Materials | 0.0*% | |
Short-Term Investments | 3.0 | |
Other Assets in Excess of Liabilities | 0.2 | |
TOTAL | 100.0% |
* | Amount shown represents less than 0.05% of net assets. |
(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 5/31/22 | Value at 5/31/22 | Dividend Income | |||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 738,939 | $738,940 | $46,621,268 | $44,269,986 | $— | $— | 3,090,222 | $3,090,222 | $2,170 | ||||||||
State Street Navigator Securities Lending Portfolio II | 1,372,214 | 1,372,214 | 28,641,541 | 28,225,379 | — | — | 1,788,376 | 1,788,376 | 30,326 | ||||||||
Total | $2,111,154 | $75,262,809 | $72,495,365 | $— | $— | $4,878,598 | $32,496 |
See accompanying notes to schedule of investments.
10
SSGA FUNDS
NOTES TO SCHEDULES OF INVESTMENTS
May 31, 2022 (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 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)
May 31, 2022 (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 May 31, 2022 is disclosed in each Fund’s respective Schedule of Investments.
Futures Contracts
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. Securities deposited, if any, are designated on the Schedules of Investments and cash deposited, if any, is included in Net cash at broker on the Statements of Assets and Liabilities. 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.
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 May 31, 2022, are disclosed in the Funds' respective Schedules of Investments.
Plan of Liquidation and Termination
The Board has approved a Plan of Liquidation and Termination of Sub-Trust (the “Plan”) with respect to the State Street Defensive Emerging Markets Equity Fund, pursuant to which the Fund is expected to be liquidated and terminated on or about August 26, 2022 (the “Liquidation Date”). The Plan authorizes the Fund and its investment adviser, SSGA Funds Management, Inc., to engage in such transactions as may be appropriate for the Fund’s liquidation and dissolution, including, without limitation, the sale of Fund assets and payment of, and provision for, Fund liabilities in anticipation of the liquidation. Accordingly, during the period between the effective date of the Plan (May 16, 2022) and the Liquidation Date (the “Liquidation Period”), the Fund will engage in business and activities solely for the purposes of winding down its business and affairs and making a distribution of its assets to shareholders, and it is possible the Fund will not pursue or achieve its investment objective. Furthermore, it is anticipated that during all, or a portion of, the Liquidation Period the Fund’s assets will be held exclusively in cash and/or cash equivalents.
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.
12