The observed X-ray luminosity of SS 433 is ~1036 erg/s, it is known that all the radiation is formed in the famous SS 433 jets. The bolometric luminosity of SS 433 is ~1040 erg/s, and originally the luminosity must be realized in X-rays. The original radiation is probably thermalized in the supercritical accretion disk wind, however the missing more than four orders of magnitude is surprising. We have analysed the XMM-Newton spectra of SS 433 using a model of adiabatically and radiatively cooling X-ray jets. The multi-temperature thermal jet model reproduces very well the strongest observed emission lines, but it can not reproduce the continuum radiation and some spectral features. We have found a notable contribution of ionized reflection to the spectrum in the energy range from ~3 to 12 keV. The reflected spectrum is an evidence of the supercritical disk funnel, where the illuminating radiation comes from deeper funnel regions, to be further reflected in the outer visible funnel walls (r ≥ 2 ⋅ 1011 cm). The illuminating spectrum is similar to that observed in ULXs, its luminosity has to be no less than ~1039 erg/s. A soft excess has been detected, that does not depend on the thermal jet model details. It may be represented as a BB with a temperature of Tbb ≈ 0.1 keV and luminosity of Lbb~3 ⋅ 1037 erg/s. The soft spectral component has about the same parameters as those found in ULXs.