Table of Contents
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: 811-08257
STATE STREET INSTITUTIONAL FUNDS
(Exact name of registrant as specified in charter)
1600 Summer Street
Stamford, Connecticut 06905
(Address of principal executive offices)(Zip code)
SSGA Funds Management, Inc.
1600 Summer Street
Stamford, Connecticut 06905
(Name and Address of Agent for Service)
Registrant’s telephone number, including area code: 800-242-0134
Date of fiscal year end: 09/30
Date of reporting period: 03/31/17
Table of Contents
Item 1. Reports to Stockholders
Table of Contents
Semi-Annual Report
March 31, 2017
State Street Institutional Funds
Table of Contents
State Street Institutional Funds
Semi-Annual Report
March 31, 2017
Page | ||||
Notes to Performance | 1 | |||
Fund Information and Schedules of Investments | ||||
2 | ||||
8 | ||||
19 | ||||
23 | ||||
27 | ||||
37 | ||||
42 | ||||
63 | ||||
Financial Statements | ||||
80 | ||||
90 | ||||
92 | ||||
94 | ||||
98 | ||||
Additional Information | ||||
Investment Team | 113 |
This report has been prepared for shareholders and may be distributed to others only if accompanied with a current prospectus and/or summary prospectus.
Table of Contents
State Street Institutional Funds
Notes to Performance — March 31, 2017 (Unaudited)
Total return performance shown in this report for the State Street Institutional Funds (the “Trust”) and each of its series portfolios (each, a “Fund” and collectively, the “Funds”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund expenses.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate, so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods of less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Funds’ website at http://www.ssga.com/geam for the most recent month-end performance data.
An investment in a Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in a Fund is subject to risk, including possible loss of principal invested.
State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street Institutional Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. for investment advisory and administrative services.
Notes to Performance | 1 |
Table of Contents
State Street Institutional U.S. Equity Fund
Performance Summary — March 31, 2017 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of U.S. companies, such as common and preferred stocks.
Sector Allocation as of March 31, 2017
Portfolio Compositions as a % of Fair Value of Investments of $628,236 (in thousands) on March 31, 2017 (a)(b)
Top Ten Largest Holdings
as of March 31, 2017 (as a % of Fair Value) (a)(b)
Apple Inc. | 3.77 | % | ||
JPMorgan Chase & Co. | 2.80 | % | ||
Microsoft Corp. | 2.79 | % | ||
Pfizer Inc. | 2.56 | % | ||
Visa Inc., Class A | 2.56 | % | ||
Amazon.com Inc. | 2.55 | % | ||
PepsiCo Inc. | 2.48 | % | ||
Allergan PLC | 2.31 | % | ||
Facebook Inc., Class A | 2.24 | % | ||
Medtronic PLC | 2.16 | % |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
2 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Understanding Your Fund’s Expenses — March 31, 2017 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following 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.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2017.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, 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 given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table 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 shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,104.50 | $ | 1,023.10 | ||||
Expenses paid during the period* | $ | 1.94 | $ | 1.87 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,103.60 | $ | 1,021.80 | ||||
Expenses paid during the period* | $ | 3.25 | $ | 3.13 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.37% for Investment Class shares and 0.62% for Service Class shares (for the period October 1, 2016-March 31, 2017), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
State Street Institutional U.S. Equity Fund | 3 |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Common Stock - 97.6%† | ||||||||
Aerospace & Defense - 1.5% |
| |||||||
General Dynamics Corp. | 24,798 | 4,642,186 | ||||||
Hexcel Corp. | 17,059 | 930,568 | ||||||
Raytheon Co. | 24,670 | 3,762,175 | ||||||
|
| |||||||
9,334,929 | ||||||||
|
| |||||||
Airlines - 0.4% |
| |||||||
Alaska Air Group Inc. | 20,423 | 1,883,409 | ||||||
Delta Air Lines Inc. | 16,379 | 752,779 | ||||||
|
| |||||||
2,636,188 | ||||||||
|
| |||||||
Apparel, Accessories & Luxury Goods - 0.1% |
| |||||||
Ralph Lauren Corp. | 7,808 | 637,289 | ||||||
|
| |||||||
Application Software - 1.6% |
| |||||||
salesforce.com Inc. (a) | 106,953 | 8,822,553 | ||||||
SS&C Technologies Holdings Inc. | 30,831 | 1,091,417 | ||||||
|
| |||||||
9,913,970 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 0.6% |
| |||||||
Ameriprise Financial Inc. | 14,322 | 1,857,277 | ||||||
BlackRock Inc. | 5,617 | 2,154,176 | ||||||
|
| |||||||
4,011,453 | ||||||||
|
| |||||||
Auto Parts & Equipment - 0.3% |
| |||||||
Delphi Automotive PLC | 22,767 | 1,832,516 | ||||||
|
| |||||||
Automobile Manufacturers - 0.2% |
| |||||||
General Motors Co. | 40,929 | 1,447,249 | ||||||
|
| |||||||
Automotive Retail - 0.6% |
| |||||||
Advance Auto Parts Inc. | 11,771 | 1,745,169 | ||||||
AutoZone Inc. (a) | 3,004 | 2,172,042 | ||||||
|
| |||||||
3,917,211 | ||||||||
|
| |||||||
Biotechnology - 4.9% |
| |||||||
Alexion Pharmaceuticals Inc. (a) | 74,089 | 8,982,550 | ||||||
Amgen Inc. | 58,966 | 9,674,552 | ||||||
Gilead Sciences Inc. | 105,568 | 7,170,179 | ||||||
Vertex Pharmaceuticals Inc. (a) | 43,854 | 4,795,435 | ||||||
|
| |||||||
30,622,716 | ||||||||
|
| |||||||
Building Products - 1.2% |
| |||||||
Allegion PLC | 103,928 | 7,867,350 | ||||||
|
| |||||||
Cable & Satellite - 3.5% |
| |||||||
Charter Communications Inc., Class A (a) | 33,340 | 10,912,849 | ||||||
Comcast Corp., Class A | 141,064 | 5,302,596 | ||||||
Liberty Global PLC, Class C (a) | 165,280 | 5,791,411 | ||||||
|
| |||||||
22,006,856 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Commodity Chemicals - 0.2% |
| |||||||
LyondellBasell Industries N.V., Class A | 10,802 | 985,034 | ||||||
|
| |||||||
Communications Equipment - 0.6% |
| |||||||
Cisco Systems Inc. | 107,239 | 3,624,678 | ||||||
|
| |||||||
Consumer Finance - 0.6% |
| |||||||
American Express Co. | 27,394 | 2,167,140 | ||||||
Discover Financial Services | 27,106 | 1,853,779 | ||||||
|
| |||||||
4,020,919 | ||||||||
|
| |||||||
Data Processing & Outsourced Services - 3.2% |
| |||||||
PayPal Holdings Inc. (a) | 35,443 | 1,524,758 | ||||||
Square Inc., Class A (a) | 140,097 | 2,420,876 | ||||||
Visa Inc., Class A | 180,796 | 16,067,341 | ||||||
|
| |||||||
20,012,975 | ||||||||
|
| |||||||
Diversified Banks - 6.0% |
| |||||||
Bank of America Corp. | 291,342 | 6,872,758 | ||||||
JPMorgan Chase & Co. | 200,525 | 17,614,116 | ||||||
U.S. Bancorp | 42,378 | 2,182,467 | ||||||
Wells Fargo & Co. | 194,646 | 10,833,996 | ||||||
|
| |||||||
37,503,337 | ||||||||
|
| |||||||
Diversified Chemicals - 0.5% |
| |||||||
EI du Pont de Nemours & Co. | 40,500 | 3,253,365 | ||||||
|
| |||||||
Diversified Metals & Mining - 0.1% |
| |||||||
Teck Resources Ltd., Class B | 34,099 | 746,768 | ||||||
|
| |||||||
Drug Retail - 0.9% | ||||||||
CVS Health Corp. | 22,730 | 1,784,305 | ||||||
Walgreens Boots Alliance Inc. | 45,588 | 3,786,083 | ||||||
|
| |||||||
5,570,388 | ||||||||
|
| |||||||
Electric Utilities - 1.7% |
| |||||||
American Electric Power Company Inc. | 21,837 | 1,465,918 | ||||||
Duke Energy Corp. | 13,237 | 1,085,566 | ||||||
Edison International | 17,865 | 1,422,233 | ||||||
Exelon Corp. | 54,453 | 1,959,219 | ||||||
NextEra Energy Inc. | 23,495 | 3,016,053 | ||||||
PG&E Corp. | 31,367 | 2,081,514 | ||||||
|
| |||||||
11,030,503 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.6% |
| |||||||
Acuity Brands Inc. | 12,516 | 2,553,264 | ||||||
Rockwell Automation Inc. | 8,665 | 1,349,227 | ||||||
|
| |||||||
3,902,491 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
4 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Environmental & Facilities Services - 0.4% |
| |||||||
Republic Services Inc. | 45,721 | 2,871,736 | ||||||
|
| |||||||
Financial Exchanges & Data - 1.8% |
| |||||||
CME Group Inc. | 81,999 | 9,741,481 | ||||||
S&P Global Inc. | 13,552 | 1,771,789 | ||||||
|
| |||||||
11,513,270 | ||||||||
|
| |||||||
Footwear - 0.4% |
| |||||||
NIKE Inc., Class B | 48,951 | 2,728,039 | ||||||
|
| |||||||
General Merchandise Stores - 0.1% |
| |||||||
Dollar General Corp. | 5,531 | 385,677 | ||||||
|
| |||||||
Gold - 0.1% |
| |||||||
B2Gold Corp. (a) | 344,910 | 976,095 | ||||||
|
| |||||||
Healthcare Equipment - 5.3% |
| |||||||
Abbott Laboratories | 214,360 | 9,519,728 | ||||||
Boston Scientific Corp. (a) | 198,666 | 4,940,823 | ||||||
CR Bard Inc. | 16,756 | 4,164,536 | ||||||
Medtronic PLC | 168,310 | 13,559,054 | ||||||
Stryker Corp. | 10,996 | 1,447,623 | ||||||
|
| |||||||
33,631,764 | ||||||||
|
| |||||||
Home Improvement Retail - 2.1% |
| |||||||
Lowe’s Companies Inc. | 101,693 | 8,360,182 | ||||||
The Home Depot Inc. | 31,351 | 4,603,267 | ||||||
|
| |||||||
12,963,449 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 0.3% |
| |||||||
Marriott International Inc., Class A | 17,155 | 1,615,658 | ||||||
|
| |||||||
Housewares & Specialties - 1.2% |
| |||||||
Newell Brands Inc. | 165,589 | 7,810,833 | ||||||
|
| |||||||
Hypermarkets & Super Centers - 0.3% |
| |||||||
Wal-Mart Stores Inc. | 30,562 | 2,202,909 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders - 0.1% |
| |||||||
Calpine Corp. (a) | 34,075 | 376,529 | ||||||
|
| |||||||
Industrial Conglomerates - 1.0% |
| |||||||
Honeywell International Inc. | 25,394 | 3,170,949 | ||||||
Roper Technologies Inc. | 15,368 | 3,173,338 | ||||||
|
| |||||||
6,344,287 | ||||||||
|
| |||||||
Industrial Gases - 0.2% |
| |||||||
Air Products & Chemicals Inc. | 7,656 | 1,035,780 | ||||||
|
| |||||||
Industrial Machinery - 1.2% |
| |||||||
Ingersoll-Rand PLC | 90,760 | 7,380,603 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Insurance Brokers - 0.3% |
| |||||||
Marsh & McLennan Companies Inc. | 22,129 | 1,635,112 | ||||||
|
| |||||||
Integrated Oil & Gas - 2.3% |
| |||||||
Chevron Corp. | 43,807 | 4,703,557 | ||||||
Exxon Mobil Corp. | 117,667 | 9,649,871 | ||||||
|
| |||||||
14,353,428 | ||||||||
|
| |||||||
Integrated Telecommunication Services - 0.5% |
| |||||||
Verizon Communications Inc. (l) | 64,480 | 3,143,400 | ||||||
|
| |||||||
Internet & Direct Marketing Retail - 3.4% |
| |||||||
Amazon.com Inc. (a) | 18,072 | 16,021,551 | ||||||
Netflix Inc. (a) | 5,339 | 789,157 | ||||||
The Priceline Group Inc. (a) | 2,541 | 4,522,904 | ||||||
|
| |||||||
21,333,612 | ||||||||
|
| |||||||
Internet Software & Services - 5.5% |
| |||||||
Alphabet Inc., Class A (a) | 15,720 | 13,327,416 | ||||||
Alphabet Inc., Class C (a) | 8,440 | 7,001,486 | ||||||
Facebook Inc., Class A (a) | 98,828 | 14,038,518 | ||||||
|
| |||||||
34,367,420 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 3.1% |
| |||||||
The Charles Schwab Corp. | 257,818 | 10,521,553 | ||||||
The Goldman Sachs Group Inc. | 38,992 | 8,957,242 | ||||||
|
| |||||||
19,478,795 | ||||||||
|
| |||||||
IT Consulting & Other Services - 0.1% |
| |||||||
Accenture PLC, Class A | 8,041 | 963,955 | ||||||
|
| |||||||
Life & Health Insurance - 0.7% |
| |||||||
MetLife Inc. | 39,206 | 2,070,861 | ||||||
Prudential Financial Inc. | 21,464 | 2,289,779 | ||||||
|
| |||||||
4,360,640 | ||||||||
|
| |||||||
Metal & Glass Containers - 0.3% |
| |||||||
Ball Corp. | 22,513 | 1,671,815 | ||||||
|
| |||||||
Movies & Entertainment - 2.0% |
| |||||||
The Walt Disney Co. | 81,065 | 9,191,960 | ||||||
Time Warner Inc. | 34,918 | 3,411,838 | ||||||
|
| |||||||
12,603,798 | ||||||||
|
| |||||||
Multi-Line Insurance - 0.2% |
| |||||||
The Hartford Financial Services Group Inc. | 22,448 | 1,079,075 | ||||||
|
| |||||||
Multi-Sector Holdings - 1.1% |
| |||||||
Berkshire Hathaway Inc., Class B (a) | 40,286 | 6,714,871 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional U.S. Equity Fund | 5 |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Multi-Utilities - 0.8% |
| |||||||
Dominion Resources Inc. | 8,815 | 683,780 | ||||||
Sempra Energy | 41,786 | 4,617,353 | ||||||
|
| |||||||
5,301,133 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services - 0.7% |
| |||||||
Schlumberger Ltd. | 60,215 | 4,702,792 | ||||||
|
| |||||||
Oil & Gas Exploration & Production - 3.7% |
| |||||||
Antero Resources Corp. (a) | 144,771 | 3,302,226 | ||||||
ConocoPhillips | 50,386 | 2,512,750 | ||||||
Marathon Oil Corp. | 146,915 | 2,321,257 | ||||||
Noble Energy Inc. | 155,453 | 5,338,256 | ||||||
Pioneer Natural Resources Co. | 36,803 | 6,853,823 | ||||||
Range Resources Corp. | 35,652 | 1,037,473 | ||||||
RSP Permian Inc. (a) | 46,702 | 1,934,864 | ||||||
|
| |||||||
23,300,649 | ||||||||
|
| |||||||
Packaged Foods & Meats - 2.4% |
| |||||||
Mondelez International Inc., Class A | 245,960 | 10,595,957 | ||||||
The Kraft Heinz Co. | 46,754 | 4,245,731 | ||||||
|
| |||||||
14,841,688 | ||||||||
|
| |||||||
Paper Packaging - 0.1% |
| |||||||
Packaging Corporation of America | 6,232 | 570,976 | ||||||
|
| |||||||
Pharmaceuticals - 4.9% |
| |||||||
Allergan PLC | 60,859 | 14,540,432 | ||||||
Pfizer Inc. | 470,192 | 16,085,269 | ||||||
|
| |||||||
30,625,701 | ||||||||
|
| |||||||
Property & Casualty Insurance - 0.3% |
| |||||||
The Allstate Corp. | 20,509 | 1,671,278 | ||||||
|
| |||||||
Railroads - 0.6% |
| |||||||
Union Pacific Corp. | 37,778 | 4,001,446 | ||||||
|
| |||||||
Regional Banks - 0.8% |
| |||||||
First Republic Bank | 32,316 | 3,031,564 | ||||||
The PNC Financial Services Group Inc. | 15,891 | 1,910,734 | ||||||
|
| |||||||
4,942,298 | ||||||||
|
| |||||||
Restaurants - 1.0% |
| |||||||
Chipotle Mexican Grill Inc. (a) | 2,129 | 948,512 | ||||||
McDonald’s Corp. | 21,370 | 2,769,766 | ||||||
Starbucks Corp. | 48,995 | 2,860,818 | ||||||
|
| |||||||
6,579,096 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Semiconductor Equipment - 1.1% |
| |||||||
Applied Materials Inc. | 184,639 | 7,182,457 | ||||||
|
| |||||||
Semiconductors - 2.1% |
| |||||||
Broadcom Ltd. | 18,208 | 3,986,823 | ||||||
Intel Corp. | 69,971 | 2,523,854 | ||||||
Micron Technology Inc. (a) | 54,783 | 1,583,229 | ||||||
QUALCOMM Inc. | 86,956 | 4,986,057 | ||||||
|
| |||||||
13,079,963 | ||||||||
|
| |||||||
Soft Drinks - 2.5% | ||||||||
PepsiCo Inc. | 139,134 | 15,563,529 | ||||||
|
| |||||||
Specialized REITs - 2.9% |
| |||||||
American Tower Corp. | 78,502 | 9,541,133 | ||||||
Equinix Inc. | 14,370 | 5,753,317 | ||||||
Extra Space Storage Inc. | 39,728 | 2,955,366 | ||||||
|
| |||||||
18,249,816 | ||||||||
|
| |||||||
Specialty Chemicals - 0.7% |
| |||||||
Albemarle Corp. | 19,319 | 2,040,859 | ||||||
Celanese Corp., Class A | 16,710 | 1,501,394 | ||||||
The Sherwin-Williams Co. | 2,397 | 743,525 | ||||||
|
| |||||||
4,285,778 | ||||||||
|
| |||||||
Specialty Stores - 0.3% |
| |||||||
Signet Jewelers Ltd. | 5,212 | 361,035 | ||||||
Tractor Supply Co. | 20,227 | 1,395,056 | ||||||
|
| |||||||
1,756,091 | ||||||||
|
| |||||||
Systems Software - 3.6% |
| |||||||
Microsoft Corp. | 266,396 | 17,544,841 | ||||||
Oracle Corp. | 110,381 | 4,924,096 | ||||||
|
| |||||||
22,468,937 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 4.6% |
| |||||||
Apple Inc. | 164,707 | 23,661,808 | ||||||
Hewlett Packard Enterprise Co. | 73,826 | 1,749,676 | ||||||
Western Digital Corp. | 46,695 | 3,853,738 | ||||||
|
| |||||||
29,265,222 | ||||||||
|
| |||||||
Tobacco - 0.8% |
| |||||||
Reynolds American Inc. | 76,170 | 4,800,233 | ||||||
|
| |||||||
Trading Companies & Distributors - 0.4% |
| |||||||
United Rentals Inc. (a) | 19,814 | 2,477,741 | ||||||
|
| |||||||
Total Common Stock (Cost $514,219,188) | 614,087,559 | |||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
6 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Short-Term Investments - 2.3% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.66% | 14,148,784 | 14,148,784 | ||||||
|
| |||||||
Total Investments (Cost $528,367,972) | 628,236,343 | |||||||
Other Assets and Liabilities, net - 0.1% | 788,256 | |||||||
|
| |||||||
NET ASSETS - 100.0% | 629,024,599 | |||||||
|
|
Other Information:
The Fund had the following long futures contracts open at March 31, 2017:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Depreciation | ||||||||||||
S&P 500 Emini Index Futures | June 2017 | 13 | $ | 1,533,480 | $ | (2,662 | ) | |||||||||
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 3/31/17 | Value at 3/31/17 | Dividend/ Interest Income | ||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 8,358,418 | $ | 8,358,418 | 58,924,345 | 53,133,979 | 14,148,784 | $ | 14,148,784 | $ | 40,970 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 8,358,418 | $ | 14,148,784 | $ | 40,970 | |||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional U.S. Equity Fund | 7 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Performance Summary — March 31, 2017 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek growth of capital and accumulation of income that corresponds to the investment return of the S&P 500® Index. The Fund seeks to achieve its investment objective under normal circumstances by investing at least 80% of its net assets in the securities contained within the S&P 500® Index, while holding transaction costs low and minimizing portfolio turnover.
Sector Allocation as of March 31, 2017
Portfolio Compositions as a % of Fair Value of Investments of $17,390 (in thousands) on March 31, 2017 (a)(b)
Top Ten Largest Holdings
as of March 31, 2017 (as a % of Fair Value) (a)(b)
Apple Inc. | 3.61 | % | ||
Microsoft Corp. | 2.45 | % | ||
Amazon.com Inc. | 1.67 | % | ||
Exxon Mobil Corp. | 1.63 | % | ||
Johnson & Johnson | 1.62 | % | ||
Facebook Inc., Class A | 1.59 | % | ||
Berkshire Hathaway Inc., Class B | 1.51 | % | ||
JPMorgan Chase & Co. | 1.50 | % | ||
General Electric Co. | 1.25 | % | ||
AT&T Inc. | 1.22 | % |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
8 | State Street Institutional S&P 500 Index Fund |
Table of Contents
State Street Institutional S&P 500 Index Fund
Understanding Your Fund’s Expenses — March 31, 2017 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following 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.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2017.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, 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 given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table 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 shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,100.50 | $ | 1,024.10 | ||||
Expenses paid during the period* | $ | 0.84 | $ | 0.81 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,099.90 | $ | 1,022.90 | ||||
Expenses paid during the period* | $ | 2.15 | $ | 2.07 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.16% for Investment Class shares and 0.41% for Service Class shares (for the period October 1, 2016-March 31, 2017), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
State Street Institutional S&P 500 Index Fund | 9 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Common Stock - 96.8%† | ||||||||
Advertising - 0.1% |
| |||||||
Omnicom Group Inc. | 192 | 16,552 | ||||||
The Interpublic Group of Companies Inc. | 317 | 7,789 | ||||||
|
| |||||||
24,341 | ||||||||
|
| |||||||
Aerospace & Defense - 2.2% |
| |||||||
Arconic Inc. | 363 | 9,561 | ||||||
General Dynamics Corp. | 236 | 44,179 | ||||||
L3 Technologies Inc. | 62 | 10,248 | ||||||
Lockheed Martin Corp. | 208 | 55,661 | ||||||
Northrop Grumman Corp. | 145 | 34,487 | ||||||
Raytheon Co. | 242 | 36,905 | ||||||
Rockwell Collins Inc. | 109 | 10,591 | ||||||
Textron Inc. | 247 | 11,755 | ||||||
The Boeing Co. | 476 | 84,185 | ||||||
TransDigm Group Inc. | 45 | 9,907 | ||||||
United Technologies Corp. | 634 | 71,141 | ||||||
|
| |||||||
378,620 | ||||||||
|
| |||||||
Agricultural & Farm Machinery - 0.2% |
| |||||||
Deere & Co. | 238 | 25,909 | ||||||
|
| |||||||
Agricultural Products - 0.1% |
| |||||||
Archer-Daniels-Midland Co. | 471 | 21,685 | ||||||
|
| |||||||
Air Freight & Logistics - 0.7% |
| |||||||
CH Robinson Worldwide Inc. | 114 | 8,811 | ||||||
Expeditors International of Washington Inc. | 144 | 8,135 | ||||||
FedEx Corp. | 202 | 39,420 | ||||||
United Parcel Service Inc., Class B | 571 | 61,268 | ||||||
|
| |||||||
117,634 | ||||||||
|
| |||||||
Airlines - 0.6% |
| |||||||
Alaska Air Group Inc. | 100 | 9,222 | ||||||
American Airlines Group Inc. | 424 | 17,935 | ||||||
Delta Air Lines Inc. | 606 | 27,852 | ||||||
Southwest Airlines Co. | 506 | 27,202 | ||||||
United Continental Holdings Inc. (a) | 242 | 17,095 | ||||||
|
| |||||||
99,306 | ||||||||
|
| |||||||
Alternative Carriers - 0.1% |
| |||||||
Level 3 Communications Inc. (a) | 243 | 13,904 | ||||||
|
| |||||||
Aluminum - 0.0%* |
| |||||||
Alcoa Corp. | 1 | 34 | ||||||
|
| |||||||
Apparel Retail - 0.5% |
| |||||||
Foot Locker Inc. | 126 | 9,426 | ||||||
L Brands Inc. | 218 | 10,268 |
Number of Shares | Fair $ | |||||||
Ross Stores Inc. | 345 | 22,725 | ||||||
The Gap Inc. | 220 | 5,344 | ||||||
The TJX Companies Inc. | 538 | 42,545 | ||||||
|
| |||||||
90,308 | ||||||||
|
| |||||||
Apparel, Accessories & Luxury Goods - 0.3% |
| |||||||
Coach Inc. | 225 | 9,299 | ||||||
Hanesbrands Inc. | 294 | 6,104 | ||||||
Michael Kors Holdings Ltd. (a) | 136 | 5,183 | ||||||
PVH Corp. | 68 | 7,036 | ||||||
Ralph Lauren Corp. | 57 | 4,652 | ||||||
Under Armour Inc., Class A (a) | 177 | 3,501 | ||||||
Under Armour Inc., Class C (a) | 178 | 3,258 | ||||||
VF Corp. | 288 | 15,831 | ||||||
|
| |||||||
54,864 | ||||||||
|
| |||||||
Application Software - 0.9% |
| |||||||
Adobe Systems Inc. (a) | 411 | 53,483 | ||||||
Autodesk Inc. (a) | 159 | 13,749 | ||||||
Citrix Systems Inc. (a) | 128 | 10,674 | ||||||
Intuit Inc. | 213 | 24,706 | ||||||
salesforce.com Inc. (a) | 527 | 43,472 | ||||||
Synopsys Inc. (a) | 100 | 7,213 | ||||||
|
| |||||||
153,297 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 1.0% |
| |||||||
Affiliated Managers Group Inc. | 44 | 7,213 | ||||||
Ameriprise Financial Inc. | 129 | 16,729 | ||||||
BlackRock Inc. | 100 | 38,351 | ||||||
Franklin Resources Inc. | 311 | 13,105 | ||||||
Invesco Ltd. | 344 | 10,537 | ||||||
Northern Trust Corp. | 180 | 15,584 | ||||||
State Street Corp. (e) | 298 | 23,724 | ||||||
T Rowe Price Group Inc. | 198 | 13,494 | ||||||
The Bank of New York Mellon Corp. | 873 | 41,232 | ||||||
|
| |||||||
179,969 | ||||||||
|
| |||||||
Auto Parts & Equipment - 0.1% |
| |||||||
BorgWarner Inc. | 159 | 6,645 | ||||||
Delphi Automotive PLC | 221 | 17,788 | ||||||
|
| |||||||
24,433 | ||||||||
|
| |||||||
Automobile Manufacturers - 0.4% |
| |||||||
Ford Motor Co. | 3,222 | 37,504 | ||||||
General Motors Co. | 1,145 | 40,487 | ||||||
|
| |||||||
77,991 | ||||||||
|
| |||||||
Automotive Retail - 0.3% |
| |||||||
Advance Auto Parts Inc. | 59 | 8,748 | ||||||
AutoNation Inc. (a) | 52 | 2,199 | ||||||
AutoZone Inc. (a) | 24 | 17,353 |
See Notes to Schedules of Investments and Notes to Financial Statements.
10 | State Street Institutional S&P 500 Index Fund |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
CarMax Inc. (a) | 160 | 9,475 | ||||||
O’Reilly Automotive Inc. (a) | 83 | 22,397 | ||||||
|
| |||||||
60,172 | ||||||||
|
| |||||||
Biotechnology - 2.8% |
| |||||||
AbbVie Inc. | 1,347 | 87,771 | ||||||
Alexion Pharmaceuticals Inc. (a) | 195 | 23,642 | ||||||
Amgen Inc. | 617 | 101,231 | ||||||
Biogen Inc. (a) | 180 | 49,216 | ||||||
Celgene Corp. (a) | 642 | 79,884 | ||||||
Gilead Sciences Inc. | 1,091 | 74,101 | ||||||
Incyte Corp. (a) | 144 | 19,248 | ||||||
Regeneron Pharmaceuticals Inc. (a) | 62 | 24,026 | ||||||
Vertex Pharmaceuticals Inc. (a) | 210 | 22,963 | ||||||
|
| |||||||
482,082 | ||||||||
|
| |||||||
Brewers - 0.1% |
| |||||||
Molson Coors Brewing Co., Class B | 150 | 14,357 | ||||||
|
| |||||||
Broadcasting - 0.2% |
| |||||||
CBS Corp., Class B | 321 | 22,265 | ||||||
Discovery Communications Inc., Class A (a) | 109 | 3,171 | ||||||
Discovery Communications Inc., Class C (a) | 208 | 5,888 | ||||||
Scripps Networks Interactive Inc., Class A | 74 | 5,799 | ||||||
TEGNA Inc. | 213 | 5,457 | ||||||
|
| |||||||
42,580 | ||||||||
|
| |||||||
Building Products - 0.3% |
| |||||||
Allegion PLC | 75 | 5,678 | ||||||
Fortune Brands Home & Security Inc. | 146 | 8,884 | ||||||
Johnson Controls International PLC | 771 | 32,475 | ||||||
Masco Corp. | 261 | 8,871 | ||||||
|
| |||||||
55,908 | ||||||||
|
| |||||||
Cable & Satellite - 1.3% |
| |||||||
Charter Communications Inc., Class A (a) | 179 | 58,591 | ||||||
Comcast Corp., Class A | 3,958 | 148,781 | ||||||
DISH Network Corp., Class A (a) | 200 | 12,698 | ||||||
|
| |||||||
220,070 | ||||||||
|
| |||||||
Casinos & Gaming - 0.0%* |
| |||||||
Wynn Resorts Ltd. | 68 | 7,793 | ||||||
|
| |||||||
Commodity Chemicals - 0.1% |
| |||||||
LyondellBasell Industries N.V., Class A | 275 | 25,077 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Communications Equipment - 1.0% |
| |||||||
Cisco Systems Inc. | 4,167 | 140,845 | ||||||
F5 Networks Inc. (a) | 56 | 7,984 | ||||||
Harris Corp. | 100 | 11,127 | ||||||
Juniper Networks Inc. | 346 | 9,629 | ||||||
Motorola Solutions Inc. | 134 | 11,553 | ||||||
|
| |||||||
181,138 | ||||||||
|
| |||||||
Computer & Electronics Retail - 0.1% |
| |||||||
Best Buy Company Inc. | 228 | 11,206 | ||||||
|
| |||||||
Construction & Engineering - 0.1% |
| |||||||
Fluor Corp. | 110 | 5,788 | ||||||
Jacobs Engineering Group Inc. | 92 | 5,086 | ||||||
Quanta Services Inc. (a) | 105 | 3,897 | ||||||
|
| |||||||
14,771 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks - 0.5% |
| |||||||
Caterpillar Inc. | 483 | 44,803 | ||||||
Cummins Inc. | 126 | 19,051 | ||||||
PACCAR Inc. | 297 | 19,959 | ||||||
|
| |||||||
83,813 | ||||||||
|
| |||||||
Construction Materials - 0.1% |
| |||||||
Martin Marietta Materials Inc. | 53 | 11,567 | ||||||
Vulcan Materials Co. | 112 | 13,494 | ||||||
|
| |||||||
25,061 | ||||||||
|
| |||||||
Consumer Electronics - 0.0%* |
| |||||||
Garmin Ltd. | 112 | 5,724 | ||||||
|
| |||||||
Consumer Finance - 0.8% |
| |||||||
American Express Co. | 636 | 50,314 | ||||||
Capital One Financial Corp. | 398 | 34,491 | ||||||
Discover Financial Services | 324 | 22,158 | ||||||
Navient Corp. | 256 | 3,779 | ||||||
Synchrony Financial | 644 | 22,089 | ||||||
|
| |||||||
132,831 | ||||||||
|
| |||||||
Copper - 0.1% |
| |||||||
Freeport-McMoRan Inc. (a) | 1,121 | 14,977 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 2.3% |
| |||||||
Alliance Data Systems Corp. | 49 | 12,201 | ||||||
Automatic Data Processing Inc. | 372 | 38,089 | ||||||
Fidelity National Information Services Inc. | 269 | 21,418 | ||||||
Fiserv Inc. (a) | 189 | 21,794 | ||||||
Global Payments Inc. | 143 | 11,537 | ||||||
Mastercard Inc., Class A | 789 | 88,739 | ||||||
Paychex Inc. | 269 | 15,844 | ||||||
PayPal Holdings Inc. (a) | 926 | 39,837 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional S&P 500 Index Fund | 11 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
The Western Union Co. | 381 | 7,753 | ||||||
Total System Services Inc. | 131 | 7,003 | ||||||
Visa Inc., Class A | 1,550 | 137,748 | ||||||
|
| |||||||
401,963 | ||||||||
|
| |||||||
Department Stores - 0.1% |
| |||||||
Kohl’s Corp. | 139 | 5,533 | ||||||
Macy’s Inc. | 242 | 7,173 | ||||||
Nordstrom Inc. | 89 | 4,145 | ||||||
|
| |||||||
16,851 | ||||||||
|
| |||||||
Distillers & Vintners - 0.2% |
| |||||||
Brown-Forman Corp., Class B | 142 | 6,557 | ||||||
Constellation Brands Inc., Class A | 151 | 24,473 | ||||||
|
| |||||||
31,030 | ||||||||
|
| |||||||
Distributors - 0.1% |
| |||||||
Genuine Parts Co. | 124 | 11,459 | ||||||
LKQ Corp. (a) | 293 | 8,576 | ||||||
|
| |||||||
20,035 | ||||||||
|
| |||||||
Diversified Banks - 5.1% |
| |||||||
Bank of America Corp. | 8,396 | 198,062 | ||||||
Citigroup Inc. | 2,303 | 137,765 | ||||||
Comerica Inc. | 139 | 9,533 | ||||||
JPMorgan Chase & Co. | 2,974 | 261,236 | ||||||
U.S. Bancorp | 1,323 | 68,134 | ||||||
Wells Fargo & Co. | 3,756 | 209,059 | ||||||
|
| |||||||
883,789 | ||||||||
|
| |||||||
Diversified Chemicals - 0.7% |
| |||||||
Eastman Chemical Co. | 118 | 9,534 | ||||||
EI du Pont de Nemours & Co. | 719 | 57,757 | ||||||
The Dow Chemical Co. | 927 | 58,902 | ||||||
|
| |||||||
126,193 | ||||||||
|
| |||||||
Diversified Support Services - 0.1% |
| |||||||
Cintas Corp. | 69 | 8,731 | ||||||
|
| |||||||
Drug Retail - 0.7% |
| |||||||
CVS Health Corp. | 849 | 66,647 | ||||||
Walgreens Boots Alliance Inc. | 708 | 58,799 | ||||||
|
| |||||||
125,446 | ||||||||
|
| |||||||
Electric Utilities - 1.9% |
| |||||||
Alliant Energy Corp. | 200 | 7,922 | ||||||
American Electric Power Company Inc. | 423 | 28,396 | ||||||
Duke Energy Corp. | 569 | 46,664 | ||||||
Edison International | 277 | 22,052 | ||||||
Entergy Corp. | 149 | 11,318 | ||||||
Eversource Energy | 267 | 15,694 |
Number of Shares | Fair $ | |||||||
Exelon Corp. | 792 | 28,496 | ||||||
FirstEnergy Corp. | 354 | 11,264 | ||||||
NextEra Energy Inc. | 386 | 49,551 | ||||||
PG&E Corp. | 416 | 27,606 | ||||||
Pinnacle West Capital Corp. | 93 | 7,755 | ||||||
PPL Corp. | 575 | 21,499 | ||||||
The Southern Co. | 809 | 40,272 | ||||||
Xcel Energy Inc. | 429 | 19,069 | ||||||
|
| |||||||
337,558 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.5% |
| |||||||
Acuity Brands Inc. | 40 | 8,160 | ||||||
AMETEK Inc. | 194 | 10,491 | ||||||
Eaton Corporation PLC | 371 | 27,510 | ||||||
Emerson Electric Co. | 530 | 31,726 | ||||||
Rockwell Automation Inc. | 110 | 17,128 | ||||||
|
| |||||||
95,015 | ||||||||
|
| |||||||
Electronic Components - 0.2% |
| |||||||
Amphenol Corp., Class A | 259 | 18,433 | ||||||
Corning Inc. | 779 | 21,033 | ||||||
|
| |||||||
39,466 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.0%* |
| |||||||
FLIR Systems Inc. | 100 | 3,628 | ||||||
|
| |||||||
Electronic Manufacturing Services - 0.1% |
| |||||||
TE Connectivity Ltd. | 291 | 21,694 | ||||||
|
| |||||||
Environmental & Facilities Services - 0.3% |
| |||||||
Republic Services Inc. | 197 | 12,373 | ||||||
Stericycle Inc. (a) | 83 | 6,880 | ||||||
Waste Management Inc. | 353 | 25,741 | ||||||
|
| |||||||
44,994 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals - 0.4% |
| |||||||
CF Industries Holdings Inc. | 185 | 5,430 | ||||||
FMC Corp. | 128 | 8,907 | ||||||
Monsanto Co. | 361 | 40,865 | ||||||
The Mosaic Co. | 282 | 8,229 | ||||||
|
| |||||||
63,431 | ||||||||
|
| |||||||
Financial Exchanges & Data - 0.7% |
| |||||||
CBOE Holdings Inc. | 70 | 5,675 | ||||||
CME Group Inc. | 280 | 33,264 | ||||||
Intercontinental Exchange Inc. | 490 | 29,336 | ||||||
Moody’s Corp. | 142 | 15,910 | ||||||
Nasdaq Inc. | 95 | 6,598 | ||||||
S&P Global Inc. | 213 | 27,847 | ||||||
|
| |||||||
118,630 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
12 | State Street Institutional S&P 500 Index Fund |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Food Distributors - 0.1% |
| |||||||
Sysco Corp. | 412 | 21,391 | ||||||
|
| |||||||
Food Retail - 0.2% |
| |||||||
The Kroger Co. | 776 | 22,884 | ||||||
Whole Foods Market Inc. | 265 | 7,876 | ||||||
|
| |||||||
30,760 | ||||||||
|
| |||||||
Footwear - 0.4% |
| |||||||
NIKE Inc., Class B | 1,106 | 61,637 | ||||||
|
| |||||||
General Merchandise Stores - 0.3% |
| |||||||
Dollar General Corp. | 214 | 14,922 | ||||||
Dollar Tree Inc. (a) | 198 | 15,535 | ||||||
Target Corp. | 462 | 25,498 | ||||||
|
| |||||||
55,955 | ||||||||
|
| |||||||
Gold - 0.1% |
| |||||||
Newmont Mining Corp. | 448 | 14,766 | ||||||
|
| |||||||
Health Care REITs - 0.3% |
| |||||||
HCP Inc. | 389 | 12,168 | ||||||
Ventas Inc. | 289 | 18,797 | ||||||
Welltower Inc. | 297 | 21,033 | ||||||
|
| |||||||
51,998 | ||||||||
|
| |||||||
Healthcare Distributors - 0.4% |
| |||||||
AmerisourceBergen Corp. | 137 | 12,125 | ||||||
Cardinal Health Inc. | 262 | 21,366 | ||||||
Henry Schein Inc. (a) | 69 | 11,728 | ||||||
McKesson Corp. | 174 | 25,797 | ||||||
Patterson Companies Inc. | 79 | 3,573 | ||||||
|
| |||||||
74,589 | ||||||||
|
| |||||||
Healthcare Equipment - 2.4% |
| |||||||
Abbott Laboratories | 1,425 | 63,284 | ||||||
Baxter International Inc. | 401 | 20,796 | ||||||
Becton Dickinson and Co. | 183 | 33,570 | ||||||
Boston Scientific Corp. (a) | 1,120 | 27,854 | ||||||
CR Bard Inc. | 62 | 15,409 | ||||||
Danaher Corp. | 503 | 43,022 | ||||||
Edwards Lifesciences Corp. (a) | 174 | 16,368 | ||||||
Hologic Inc. (a) | 223 | 9,489 | ||||||
IDEXX Laboratories Inc. (a) | 72 | 11,132 | ||||||
Intuitive Surgical Inc. (a) | 33 | 25,294 | ||||||
Medtronic PLC | 1,138 | 91,677 | ||||||
Stryker Corp. | 256 | 33,702 | ||||||
Varian Medical Systems Inc. (a) | 74 | 6,744 | ||||||
Zimmer Biomet Holdings Inc. | 164 | 20,026 | ||||||
|
| |||||||
418,367 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Healthcare Facilities - 0.2% |
| |||||||
HCA Holdings Inc. (a) | 239 | 21,268 | ||||||
Universal Health Services Inc., Class B | 75 | 9,334 | ||||||
|
| |||||||
30,602 | ||||||||
|
| |||||||
Healthcare Services - 0.4% |
| |||||||
DaVita Inc. (a) | 138 | 9,380 | ||||||
Envision Healthcare Corp. (a) | 98 | 6,010 | ||||||
Express Scripts Holding Co. (a) | 508 | 33,482 | ||||||
Laboratory Corporation of America Holdings (a) | 85 | 12,195 | ||||||
Quest Diagnostics Inc. | 112 | 10,997 | ||||||
|
| |||||||
72,064 | ||||||||
|
| |||||||
Healthcare Supplies - 0.1% |
| |||||||
DENTSPLY SIRONA Inc. | 202 | 12,613 | ||||||
The Cooper Companies Inc. | 40 | 7,995 | ||||||
|
| |||||||
20,608 | ||||||||
|
| |||||||
Healthcare Technology - 0.1% |
| |||||||
Cerner Corp. (a) | 255 | 15,007 | ||||||
|
| |||||||
Home Building - 0.1% |
| |||||||
DR Horton Inc. | 271 | 9,027 | ||||||
Lennar Corp., Class A | 174 | 8,907 | ||||||
PulteGroup Inc. | 245 | 5,770 | ||||||
|
| |||||||
23,704 | ||||||||
|
| |||||||
Home Entertainment Software - 0.3% |
| |||||||
Activision Blizzard Inc. | 562 | 28,021 | ||||||
Electronic Arts Inc. (a) | 247 | 22,112 | ||||||
|
| |||||||
50,133 | ||||||||
|
| |||||||
Home Furnishing Retail - 0.0%* |
| |||||||
Bed Bath & Beyond Inc. | 146 | 5,761 | ||||||
|
| |||||||
Home Furnishings - 0.1% |
| |||||||
Leggett & Platt Inc. | 110 | 5,535 | ||||||
Mohawk Industries Inc. (a) | 53 | 12,163 | ||||||
|
| |||||||
17,698 | ||||||||
|
| |||||||
Home Improvement Retail - 1.2% |
| |||||||
Lowe’s Companies Inc. | 719 | 59,109 | ||||||
The Home Depot Inc. | 1,011 | 148,445 | ||||||
|
| |||||||
207,554 | ||||||||
|
| |||||||
Hotel & Resort REITs - 0.1% |
| |||||||
Host Hotels & Resorts Inc. | 598 | 11,159 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 0.4% |
| |||||||
Carnival Corp. | 343 | 20,206 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional S&P 500 Index Fund | 13 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Marriott International Inc., Class A | 263 | 24,769 | ||||||
Royal Caribbean Cruises Ltd. | 141 | 13,834 | ||||||
Wyndham Worldwide Corp. | 101 | 8,513 | ||||||
|
| |||||||
67,322 | ||||||||
|
| |||||||
Household Appliances - 0.1% |
| |||||||
Whirlpool Corp. | 64 | 10,965 | ||||||
|
| |||||||
Household Products - 1.8% |
| |||||||
Church & Dwight Company Inc. | 216 | 10,772 | ||||||
Colgate-Palmolive Co. | 735 | 53,795 | ||||||
Kimberly-Clark Corp. | 295 | 38,831 | ||||||
The Clorox Co. | 108 | 14,561 | ||||||
The Procter & Gamble Co. | 2,127 | 191,111 | ||||||
|
| |||||||
309,070 | ||||||||
|
| |||||||
Housewares & Specialties - 0.1% |
| |||||||
Newell Brands Inc. | 394 | 18,585 | ||||||
|
| |||||||
Human Resource & Employment Services - 0.0%* |
| |||||||
Robert Half International Inc. | 104 | 5,078 | ||||||
|
| |||||||
Hypermarkets & Super Centers - 0.9% |
| |||||||
Costco Wholesale Corp. | 362 | 60,704 | ||||||
Wal-Mart Stores Inc. | 1,248 | 89,956 | ||||||
|
| |||||||
150,660 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders - 0.1% |
| |||||||
AES Corp. | 649 | 7,256 | ||||||
NRG Energy Inc. | 237 | 4,432 | ||||||
|
| |||||||
11,688 | ||||||||
|
| |||||||
Industrial Conglomerates - 2.3% |
| |||||||
3M Co. | 499 | 95,474 | ||||||
General Electric Co. | 7,261 | 216,378 | ||||||
Honeywell International Inc. | 632 | 78,918 | ||||||
Roper Technologies Inc. | 85 | 17,551 | ||||||
|
| |||||||
408,321 | ||||||||
|
| |||||||
Industrial Gases - 0.3% |
| |||||||
Air Products & Chemicals Inc. | 187 | 25,299 | ||||||
Praxair Inc. | 246 | 29,176 | ||||||
|
| |||||||
54,475 | ||||||||
|
| |||||||
Industrial Machinery - 0.8% |
| |||||||
Dover Corp. | 125 | 10,044 | ||||||
Flowserve Corp. | 126 | 6,101 | ||||||
Fortive Corp. | 244 | 14,694 | ||||||
Illinois Tool Works Inc. | 260 | 34,442 | ||||||
Ingersoll-Rand PLC | 211 | 17,159 | ||||||
Parker-Hannifin Corp. | 113 | 18,116 | ||||||
Pentair PLC | 157 | 9,856 |
Number of Shares | Fair $ | |||||||
Snap-on Inc. | 46 | 7,759 | ||||||
Stanley Black & Decker Inc. | 129 | 17,140 | ||||||
Xylem Inc. | 143 | 7,181 | ||||||
|
| |||||||
142,492 | ||||||||
|
| |||||||
Industrial REITs - 0.1% |
| |||||||
Prologis Inc. REIT | 433 | 22,464 | ||||||
|
| |||||||
Insurance Brokers - 0.5% |
| |||||||
Aon PLC | 216 | 25,637 | ||||||
Arthur J Gallagher & Co. | 152 | 8,594 | ||||||
Marsh & McLennan Companies Inc. | 424 | 31,329 | ||||||
Willis Towers Watson PLC | 104 | 13,613 | ||||||
|
| |||||||
79,173 | ||||||||
|
| |||||||
Integrated Oil & Gas - 2.8% |
| |||||||
Chevron Corp. | 1,568 | 168,356 | ||||||
Exxon Mobil Corp. | 3,447 | 282,689 | ||||||
Occidental Petroleum Corp. | 631 | 39,980 | ||||||
|
| |||||||
491,025 | ||||||||
|
| |||||||
Integrated Telecommunication Services - 2.2% |
| |||||||
AT&T Inc. | 5,102 | 211,988 | ||||||
CenturyLink Inc. | 456 | 10,748 | ||||||
Verizon Communications Inc. | 3,386 | 165,068 | ||||||
|
| |||||||
387,804 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 2.5% |
| |||||||
Amazon.com Inc. (a)(l) | 328 | 290,785 | ||||||
Expedia Inc. | 99 | 12,491 | ||||||
Netflix Inc. (a) | 355 | 52,472 | ||||||
The Priceline Group Inc. (a) | 41 | 72,979 | ||||||
TripAdvisor Inc. (a) | 110 | 4,748 | ||||||
|
| |||||||
433,475 | ||||||||
|
| |||||||
Internet Software & Services - 4.4% |
| |||||||
Akamai Technologies Inc. (a) | 139 | 8,298 | ||||||
Alphabet Inc., Class A (a)(l) | 246 | 208,559 | ||||||
Alphabet Inc., Class C (a)(l) | 247 | 204,901 | ||||||
eBay Inc. (a) | 855 | 28,702 | ||||||
Facebook Inc., Class A (a) | 1,946 | 276,429 | ||||||
VeriSign Inc. (a) | 72 | 6,272 | ||||||
Yahoo! Inc. (a) | 723 | 33,555 | ||||||
|
| |||||||
766,716 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 1.0% |
| |||||||
E*TRADE Financial Corp. (a) | 219 | 7,641 | ||||||
Morgan Stanley | 1,193 | 51,108 | ||||||
Raymond James Financial Inc. | 100 | 7,626 | ||||||
The Charles Schwab Corp. | 996 | 40,647 | ||||||
The Goldman Sachs Group Inc. | 306 | 70,294 | ||||||
|
| |||||||
177,316 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
14 | State Street Institutional S&P 500 Index Fund |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
IT Consulting & Other Services - 1.3% |
| |||||||
Accenture PLC, Class A | 513 | 61,498 | ||||||
Cognizant Technology Solutions Corp., Class A (a) | 499 | 29,701 | ||||||
CSRA Inc. | 97 | 2,841 | ||||||
International Business Machines Corp. | 718 | 125,033 | ||||||
Teradata Corp. (a) | 125 | 3,890 | ||||||
|
| |||||||
222,963 | ||||||||
|
| |||||||
Leisure Products - 0.1% |
| |||||||
Hasbro Inc. | 90 | 8,984 | ||||||
Mattel Inc. | 327 | 8,374 | ||||||
|
| |||||||
17,358 | ||||||||
|
| |||||||
Life & Health Insurance - 0.9% |
| |||||||
Aflac Inc. | 335 | 24,261 | ||||||
Lincoln National Corp. | 198 | 12,959 | ||||||
MetLife Inc. | 909 | 48,013 | ||||||
Principal Financial Group Inc. | 225 | 14,200 | ||||||
Prudential Financial Inc. | 355 | 37,871 | ||||||
Torchmark Corp. | 87 | 6,702 | ||||||
Unum Group | 186 | 8,722 | ||||||
|
| |||||||
152,728 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 0.6% |
| |||||||
Agilent Technologies Inc. | 275 | 14,539 | ||||||
Illumina Inc. (a) | 125 | 21,330 | ||||||
Mettler-Toledo International Inc. (a) | 24 | 11,494 | ||||||
PerkinElmer Inc. | 86 | 4,993 | ||||||
Thermo Fisher Scientific Inc. | 327 | 50,227 | ||||||
Waters Corp. (a) | 67 | 10,473 | ||||||
|
| |||||||
113,056 | ||||||||
|
| |||||||
Managed Healthcare - 1.5% |
| |||||||
Aetna Inc. | 289 | 36,862 | ||||||
Anthem Inc. | 217 | 35,887 | ||||||
Centene Corp. (a) | 145 | 10,333 | ||||||
Cigna Corp. | 211 | 30,909 | ||||||
Humana Inc. | 122 | 25,149 | ||||||
UnitedHealth Group Inc. | 790 | 129,568 | ||||||
|
| |||||||
268,708 | ||||||||
|
| |||||||
Metal & Glass Containers - 0.1% |
| |||||||
Ball Corp. | 160 | 11,882 | ||||||
|
| |||||||
Motorcycle Manufacturers - 0.1% |
| |||||||
Harley-Davidson Inc. | 148 | 8,954 | ||||||
|
| |||||||
Movies & Entertainment - 1.5% |
| |||||||
The Walt Disney Co. | 1,215 | 137,769 | ||||||
Time Warner Inc. | 638 | 62,339 |
Number of Shares | Fair $ | |||||||
Twenty-First Century Fox Inc., Class A | 870 | 28,179 | ||||||
Twenty-First Century Fox Inc., Class B | 402 | 12,776 | ||||||
Viacom Inc., Class B | 289 | 13,473 | ||||||
|
| |||||||
254,536 | ||||||||
|
| |||||||
Multi-Line Insurance - 0.4% |
| |||||||
American International Group Inc. | 768 | 47,946 | ||||||
Assurant Inc. | 44 | 4,209 | ||||||
Loews Corp. | 223 | 10,430 | ||||||
The Hartford Financial Services Group Inc. | 307 | 14,758 | ||||||
|
| |||||||
77,343 | ||||||||
|
| |||||||
Multi-Sector Holdings - 1.5% |
| |||||||
Berkshire Hathaway Inc., Class B (a) | 1,578 | 263,021 | ||||||
Leucadia National Corp. | 258 | 6,708 | ||||||
|
| |||||||
269,729 | ||||||||
|
| |||||||
Multi-Utilities - 1.0% |
| |||||||
Ameren Corp. | 196 | 10,700 | ||||||
CenterPoint Energy Inc. | 346 | 9,539 | ||||||
CMS Energy Corp. | 260 | 11,632 | ||||||
Consolidated Edison Inc. | 249 | 19,337 | ||||||
Dominion Resources Inc. | 517 | 40,104 | ||||||
DTE Energy Co. | 150 | 15,316 | ||||||
NiSource Inc. | 307 | 7,304 | ||||||
Public Service Enterprise Group Inc. | 431 | 19,115 | ||||||
SCANA Corp. | 136 | 8,888 | ||||||
Sempra Energy | 205 | 22,652 | ||||||
WEC Energy Group Inc. | 266 | 16,128 | ||||||
|
| |||||||
180,715 | ||||||||
|
| |||||||
Office REITs - 0.3% |
| |||||||
Alexandria Real Estate Equities Inc. | 70 | 7,737 | ||||||
Boston Properties Inc. | 130 | 17,213 | ||||||
SL Green Realty Corp. | 81 | 8,636 | ||||||
Vornado Realty Trust | 149 | 14,946 | ||||||
|
| |||||||
48,532 | ||||||||
|
| |||||||
Oil & Gas Drilling - 0.1% |
| |||||||
Helmerich & Payne Inc. | 84 | 5,592 | ||||||
Transocean Ltd. (a) | 376 | 4,681 | ||||||
|
| |||||||
10,273 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services - 1.0% |
| |||||||
Baker Hughes Inc. | 371 | 22,193 | ||||||
Halliburton Co. | 713 | 35,087 | ||||||
National Oilwell Varco Inc. | 311 | 12,468 | ||||||
Schlumberger Ltd. | 1,154 | 90,127 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional S&P 500 Index Fund | 15 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
TechnipFMC PLC (a) | 420 | 13,650 | ||||||
|
| |||||||
173,525 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production - 1.7% |
| |||||||
Anadarko Petroleum Corp. | 460 | 28,520 | ||||||
Apache Corp. | 321 | 16,496 | ||||||
Cabot Oil & Gas Corp. | 400 | 9,564 | ||||||
Chesapeake Energy Corp. (a) | 765 | 4,544 | ||||||
Cimarex Energy Co. | 77 | 9,201 | ||||||
Concho Resources Inc. (a) | 119 | 15,273 | ||||||
ConocoPhillips | 1,024 | 51,067 | ||||||
Devon Energy Corp. | 455 | 18,983 | ||||||
EOG Resources Inc. | 476 | 46,434 | ||||||
EQT Corp. | 148 | 9,043 | ||||||
Hess Corp. | 235 | 11,329 | ||||||
Marathon Oil Corp. | 733 | 11,581 | ||||||
Murphy Oil Corp. | 124 | 3,545 | ||||||
Newfield Exploration Co. (a) | 159 | 5,869 | ||||||
Noble Energy Inc. | 360 | 12,362 | ||||||
Pioneer Natural Resources Co. | 140 | 26,072 | ||||||
Range Resources Corp. | 183 | 5,325 | ||||||
Southwestern Energy Co. (a) | 407 | 3,325 | ||||||
|
| |||||||
288,533 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing - 0.5% |
| |||||||
Marathon Petroleum Corp. | 433 | 21,884 | ||||||
Phillips 66 | 364 | 28,836 | ||||||
Tesoro Corp. | 93 | 7,538 | ||||||
Valero Energy Corp. | 372 | 24,660 | ||||||
|
| |||||||
82,918 | ||||||||
|
| |||||||
Oil & Gas Storage & Transportation - 0.4% |
| |||||||
Kinder Morgan Inc. | 1,583 | 34,415 | ||||||
ONEOK Inc. | 169 | 9,369 | ||||||
The Williams Companies Inc. | 702 | 20,772 | ||||||
|
| |||||||
64,556 | ||||||||
|
| |||||||
Packaged Foods & Meats - 1.4% |
| |||||||
Campbell Soup Co. | 156 | 8,929 | ||||||
Conagra Brands Inc. | 367 | 14,805 | ||||||
General Mills Inc. | 487 | 28,738 | ||||||
Hormel Foods Corp. | 251 | 8,692 | ||||||
Kellogg Co. | 206 | 14,958 | ||||||
McCormick & Company Inc. | 91 | 8,877 | ||||||
Mead Johnson Nutrition Co. | 165 | 14,698 | ||||||
Mondelez International Inc., Class A | 1,278 | 55,056 | ||||||
The Hershey Co. | 119 | 13,001 | ||||||
The JM Smucker Co. | 101 | 13,239 | ||||||
The Kraft Heinz Co. | 493 | 44,769 | ||||||
Tyson Foods Inc., Class A | 246 | 15,181 | ||||||
|
| |||||||
240,943 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Paper Packaging - 0.3% |
| |||||||
Avery Dennison Corp. | 88 | 7,093 | ||||||
International Paper Co. | 346 | 17,570 | ||||||
Sealed Air Corp. | 154 | 6,711 | ||||||
WestRock Co. | 230 | 11,967 | ||||||
|
| |||||||
43,341 | ||||||||
|
| |||||||
Personal Products - 0.1% |
| |||||||
Coty Inc., Class A | 412 | 7,470 | ||||||
The Estee Lauder Companies Inc., Class A | 188 | 15,940 | ||||||
|
| |||||||
23,410 | ||||||||
|
| |||||||
Pharmaceuticals - 4.9% |
| |||||||
Allergan PLC | 278 | 66,420 | ||||||
Bristol-Myers Squibb Co. | 1,385 | 75,316 | ||||||
Eli Lilly & Co. | 804 | 67,624 | ||||||
Johnson & Johnson | 2,261 | 281,608 | ||||||
Mallinckrodt PLC (a) | 73 | 3,254 | ||||||
Merck & Company Inc. | 2,289 | 145,443 | ||||||
Mylan N.V. (a) | 375 | 14,621 | ||||||
Perrigo Company PLC | 114 | 7,568 | ||||||
Pfizer Inc. | �� | 4,950 | 169,340 | |||||
Zoetis Inc. | 405 | 21,615 | ||||||
|
| |||||||
852,809 | ||||||||
|
| |||||||
Property & Casualty Insurance - 0.8% |
| |||||||
Chubb Ltd. | 385 | 52,456 | ||||||
Cincinnati Financial Corp. | 141 | 10,190 | ||||||
The Allstate Corp. | 302 | 24,610 | ||||||
The Progressive Corp. | 494 | 19,355 | ||||||
The Travelers Companies Inc. | 234 | 28,206 | ||||||
XL Group Ltd. | 239 | 9,527 | ||||||
|
| |||||||
144,344 | ||||||||
|
| |||||||
Publishing - 0.0%* |
| |||||||
News Corp., Class A | 366 | 4,758 | ||||||
News Corp., Class B | 40 | 540 | ||||||
|
| |||||||
5,298 | ||||||||
|
| |||||||
Railroads - 0.8% |
| |||||||
CSX Corp. | 773 | 35,983 | ||||||
Kansas City Southern | 100 | 8,576 | ||||||
Norfolk Southern Corp. | 240 | 26,873 | ||||||
Union Pacific Corp. | 683 | 72,343 | ||||||
|
| |||||||
143,775 | ||||||||
|
| |||||||
Real Estate Services - 0.1% |
| |||||||
CBRE Group Inc., Class A (a) | 283 | 9,846 | ||||||
|
| |||||||
Regional Banks - 1.2% |
| |||||||
BB&T Corp. | 668 | 29,860 |
See Notes to Schedules of Investments and Notes to Financial Statements.
16 | State Street Institutional S&P 500 Index Fund |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Citizens Financial Group Inc. | 417 | 14,407 | ||||||
Fifth Third Bancorp | 651 | 16,535 | ||||||
Huntington Bancshares Inc. | 879 | 11,770 | ||||||
KeyCorp | 915 | 16,269 | ||||||
M&T Bank Corp. | 134 | 20,734 | ||||||
People’s United Financial Inc. | 297 | 5,405 | ||||||
Regions Financial Corp. | 1,070 | 15,547 | ||||||
SunTrust Banks Inc. | 403 | 22,286 | ||||||
The PNC Financial Services Group Inc. | 402 | 48,337 | ||||||
Zions Bancorporation | 193 | 8,106 | ||||||
|
| |||||||
209,256 | ||||||||
|
| |||||||
Research & Consulting Services - 0.2% |
| |||||||
Equifax Inc. | 100 | 13,674 | ||||||
Nielsen Holdings PLC | 305 | 12,600 | ||||||
The Dun & Bradstreet Corp. | 26 | 2,806 | ||||||
Verisk Analytics Inc. (a) | 128 | 10,386 | ||||||
|
| |||||||
39,466 | ||||||||
|
| |||||||
Residential REITs - 0.4% |
| |||||||
Apartment Investment & Management Co., Class A | 151 | 6,697 | ||||||
AvalonBay Communities Inc. | 117 | 21,481 | ||||||
Equity Residential | 312 | 19,413 | ||||||
Essex Property Trust Inc. | 54 | 12,502 | ||||||
Mid-America Apartment Communities Inc. | 100 | 10,174 | ||||||
UDR Inc. | 218 | 7,905 | ||||||
|
| |||||||
78,172 | ||||||||
|
| |||||||
Restaurants - 1.1% |
| |||||||
Chipotle Mexican Grill Inc. (a) | 26 | 11,584 | ||||||
Darden Restaurants Inc. | 112 | 9,371 | ||||||
McDonald’s Corp. | 688 | 89,172 | ||||||
Starbucks Corp. | 1,205 | 70,360 | ||||||
Yum! Brands Inc. | 285 | 18,211 | ||||||
|
| |||||||
198,698 | ||||||||
|
| |||||||
Retail REITs - 0.6% |
| |||||||
Federal Realty Investment Trust | 60 | 8,010 | ||||||
GGP Inc. | 488 | 11,312 | ||||||
Kimco Realty Corp. | 398 | 8,792 | ||||||
Realty Income Corp. | 210 | 12,501 | ||||||
Regency Centers Corp. | 100 | 6,639 | ||||||
Simon Property Group Inc. | 260 | 44,728 | ||||||
The Macerich Co. | 103 | 6,633 | ||||||
|
| |||||||
98,615 | ||||||||
|
| |||||||
Semiconductor Equipment - 0.4% |
| |||||||
Applied Materials Inc. | 890 | 34,621 | ||||||
KLA-Tencor Corp. | 126 | 11,979 |
Number of Shares | Fair $ | |||||||
Lam Research Corp. | 133 | 17,072 | ||||||
|
| |||||||
63,672 | ||||||||
|
| |||||||
Semiconductors - 2.9% |
| |||||||
Advanced Micro Devices Inc. (a) | 607 | 8,832 | ||||||
Analog Devices Inc. | 306 | 25,077 | ||||||
Broadcom Ltd. | 329 | 72,038 | ||||||
Intel Corp. | 3,935 | 141,935 | ||||||
Microchip Technology Inc. | 175 | 12,911 | ||||||
Micron Technology Inc. (a) | 845 | 24,420 | ||||||
NVIDIA Corp. | 486 | 52,940 | ||||||
Qorvo Inc. (a) | 101 | 6,925 | ||||||
QUALCOMM Inc. | 1,223 | 70,127 | ||||||
Skyworks Solutions Inc. | 159 | 15,579 | ||||||
Texas Instruments Inc. | 827 | 66,623 | ||||||
Xilinx Inc. | 211 | 12,215 | ||||||
|
| |||||||
509,622 | ||||||||
|
| |||||||
Soft Drinks - 1.7% |
| |||||||
Dr Pepper Snapple Group Inc. | 157 | 15,374 | ||||||
Monster Beverage Corp. (a) | 348 | 16,067 | ||||||
PepsiCo Inc. | 1,190 | 133,113 | ||||||
The Coca-Cola Co. | 3,222 | 136,742 | ||||||
|
| |||||||
301,296 | ||||||||
|
| |||||||
Specialized Consumer Services - 0.0%* |
| |||||||
H&R Block Inc. | 229 | 5,324 | ||||||
|
| |||||||
Specialized REITs - 1.0% |
| |||||||
American Tower Corp. | 351 | 42,661 | ||||||
Crown Castle International Corp. | 296 | 27,957 | ||||||
Digital Realty Trust Inc. | 129 | 13,724 | ||||||
Equinix Inc. | 62 | 24,823 | ||||||
Extra Space Storage Inc. | 108 | 8,034 | ||||||
Iron Mountain Inc. | 232 | 8,276 | ||||||
Public Storage | 129 | 28,239 | ||||||
Weyerhaeuser Co. | 612 | 20,796 | ||||||
|
| |||||||
174,510 | ||||||||
|
| |||||||
Specialty Chemicals - 0.5% |
| |||||||
Albemarle Corp. | 100 | 10,564 | ||||||
Ecolab Inc. | 216 | 27,074 | ||||||
International Flavors & Fragrances Inc. | 74 | 9,807 | ||||||
PPG Industries Inc. | 229 | 24,063 | ||||||
The Sherwin-Williams Co. | 66 | 20,473 | ||||||
|
| |||||||
91,981 | ||||||||
|
| |||||||
Specialty Stores - 0.2% |
| |||||||
Signet Jewelers Ltd. | 53 | 3,671 | ||||||
Staples Inc. | 503 | 4,411 | ||||||
Tiffany & Co. | 85 | 8,101 | ||||||
Tractor Supply Co. | 111 | 7,656 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional S&P 500 Index Fund | 17 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Ulta Salon Cosmetics & Fragrance Inc. (a) | 48 | 13,691 | ||||||
|
| |||||||
37,530 | ||||||||
|
| |||||||
Steel - 0.1% |
| |||||||
Nucor Corp. | 266 | 15,886 | ||||||
|
| |||||||
Systems Software - 3.3% |
| |||||||
CA Inc. | 295 | 9,357 | ||||||
Microsoft Corp. | 6,466 | 425,851 | ||||||
Oracle Corp. | 2,486 | 110,901 | ||||||
Red Hat Inc. (a) | 152 | 13,148 | ||||||
Symantec Corp. | 527 | 16,168 | ||||||
|
| |||||||
575,425 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 4.2% |
| |||||||
Apple Inc. | 4,373 | 628,225 | ||||||
Hewlett Packard Enterprise Co. | 1,373 | 32,540 | ||||||
HP Inc. | 1,403 | 25,086 | ||||||
NetApp Inc. | 221 | 9,249 | ||||||
Seagate Technology PLC | 238 | 10,931 | ||||||
Western Digital Corp. | 233 | 19,229 | ||||||
Xerox Corp. | 702 | 5,153 | ||||||
|
| |||||||
730,413 | ||||||||
|
| |||||||
Tires & Rubber - 0.0%* |
| |||||||
The Goodyear Tire & Rubber Co. | 208 | 7,488 | ||||||
|
| |||||||
Tobacco - 1.7% |
| |||||||
Altria Group Inc. (l) | 1,618 | 115,557 | ||||||
Philip Morris International Inc. | 1,288 | 145,415 |
Number of Shares | Fair $ | |||||||
Reynolds American Inc. | 683 | 43,043 | ||||||
|
| |||||||
304,015 | ||||||||
|
| |||||||
Trading Companies & Distributors - 0.2% |
| |||||||
Fastenal Co. | 241 | 12,412 | ||||||
United Rentals Inc. (a) | 67 | 8,378 | ||||||
WW Grainger Inc. | 47 | 10,940 | ||||||
|
| |||||||
31,730 | ||||||||
|
| |||||||
Trucking - 0.1% |
| |||||||
JB Hunt Transport Services Inc. | 69 | 6,330 | ||||||
Ryder System Inc. | 38 | 2,867 | ||||||
|
| |||||||
9,197 | ||||||||
|
| |||||||
Water Utilities - 0.1% |
| |||||||
American Water Works Company Inc. | 156 | 12,132 | ||||||
|
| |||||||
Total Common Stock (Cost $13,068,434) | 16,903,194 | |||||||
|
| |||||||
Short-Term Investments - 2.8% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.66% | 487,126 | 487,126 | ||||||
|
| |||||||
Total Investments (Cost $13,555,560) | 17,390,320 | |||||||
Other Assets and Liabilities, net - 0.4% | 61,688 | |||||||
|
| |||||||
NET ASSETS - 100.0% | 17,452,008 | |||||||
|
|
Other Information:
The Fund had the following long futures contracts open at March 31, 2017:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Depreciation | ||||||||||||
S&P 500 Emini Index Futures | June 2017 | 4 | $ | 471,840 | $ | (947 | ) | |||||||||
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 3/31/17 | Value at 3/31/17 | Dividend/ Interest Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Corp. | 302 | $ | 21,028 | 27 | 31 | 298 | $ | 23,724 | $ | 228 | $ | 197 | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 701,455 | 701,455 | 2,885,808 | 3,100,137 | 487,126 | 487,126 | 1,455 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 722,483 | $ | 510,850 | $ | 1,683 | $ | 197 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
18 | State Street Institutional S&P 500 Index Fund |
Table of Contents
State Street Institutional U.S. Large-Cap Core Equity Fund
Performance Summary — March 31, 2017 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital and future income. The Fund seeks to achieve its investment objectives by investing at least 80% of its net assets under normal circumstances in equity securities of large-capitalization U.S. companies, such as common and preferred stocks. The Fund defines a large-cap company as one with a market capitalization that, at the time of investment, is no lower than the smallest market capitalization of a company in the S&P 500® Index.
Sector Allocation as of March 31, 2017
Portfolio Compositions as a % of Fair Value of Investments of $15,498 (in thousands) on March 31, 2017 (a)(b)
Top Ten Largest Holdings
as of March 31, 2017 (as a % of Fair Value) (a)(b)
Visa Inc., Class A | 4.58 | % | ||
JPMorgan Chase & Co. | 4.22 | % | ||
The Charles Schwab Corp. | 4.20 | % | ||
PepsiCo Inc. | 4.17 | % | ||
Allergan PLC | 3.87 | % | ||
Medtronic PLC | 3.68 | % | ||
Alphabet Inc., Class C | 3.66 | % | ||
CME Group Inc. | 3.61 | % | ||
Apple Inc. | 3.55 | % | ||
Charter Communications Inc., Class A | 3.33 | % |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
State Street Institutional U.S. Large-Cap Core Equity Fund | 19 |
Table of Contents
State Street Institutional U.S. Large-Cap Core Equity Fund
Understanding Your Fund’s Expenses — March 31, 2017 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following 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.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2017.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, 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 given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table 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 shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,116.90 | $ | 1,022.30 | ||||
Expenses paid during the period* | $ | 2.80 | $ | 2.67 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,116.50 | $ | 1,021.00 | ||||
Expenses paid during the period* | $ | 4.17 | $ | 3.98 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.53% for Investment Class shares and 0.80% for Service Class shares (for the period October 1, 2016-March 31, 2017, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
20 | State Street Institutional U.S. Large-Cap Core Equity Fund |
Table of Contents
State Street Institutional U.S. Large-Cap Core Equity Fund
Schedule of Investments — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Common Stock - 95.3%† | ||||||||
Application Software - 2.2% |
| |||||||
salesforce.com Inc. (a) | 4,106 | 338,704 | ||||||
|
| |||||||
Biotechnology - 7.2% |
| |||||||
Alexion Pharmaceuticals Inc. (a) | 1,772 | 214,837 | ||||||
Amgen Inc. | 2,638 | 432,817 | ||||||
Gilead Sciences Inc. | 3,928 | 266,790 | ||||||
Vertex Pharmaceuticals Inc. (a) | 1,887 | 206,343 | ||||||
|
| |||||||
1,120,787 | ||||||||
|
| |||||||
Building Products - 2.3% |
| |||||||
Allegion PLC | 4,744 | 359,121 | ||||||
|
| |||||||
Cable & Satellite - 6.4% |
| |||||||
Charter Communications Inc., Class A (a) | 1,578 | 516,511 | ||||||
Liberty Global PLC, Class C (a) | 13,371 | 468,520 | ||||||
|
| |||||||
985,031 | ||||||||
|
| |||||||
Data Processing & Outsourced Services - 4.6% |
| |||||||
Visa Inc., Class A | 7,984 | 709,538 | ||||||
|
| |||||||
Diversified Banks - 6.2% |
| |||||||
JPMorgan Chase & Co. | 7,451 | 654,496 | ||||||
Wells Fargo & Co. | 5,627 | 313,199 | ||||||
|
| |||||||
967,695 | ||||||||
|
| |||||||
Financial Exchanges & Data - 3.6% |
| |||||||
CME Group Inc. | 4,705 | 558,954 | ||||||
|
| |||||||
Healthcare Equipment - 5.6% |
| |||||||
Abbott Laboratories | 6,689 | 297,058 | ||||||
Medtronic PLC | 7,071 | 569,640 | ||||||
|
| |||||||
866,698 | ||||||||
|
| |||||||
Home Improvement Retail - 2.9% |
| |||||||
Lowe’s Companies Inc. | 5,475 | 450,100 | ||||||
|
| |||||||
Housewares & Specialties - 2.0% |
| |||||||
Newell Brands Inc. | 6,618 | 312,171 | ||||||
|
| |||||||
Industrial Machinery - 2.0% |
| |||||||
Ingersoll-Rand PLC | 3,802 | 309,179 | ||||||
|
| |||||||
Integrated Oil & Gas - 2.5% |
| |||||||
Chevron Corp. | 3,544 | 380,519 | ||||||
|
| |||||||
Internet & Direct Marketing Retail - 3.2% |
| |||||||
Amazon.com Inc. (a) | 558 | 494,689 | ||||||
|
| |||||||
Internet Software & Services - 6.3% |
| |||||||
Alphabet Inc., Class C (a)(l) | 683 | 566,590 |
Number of Shares | Fair $ | |||||||
Facebook Inc., Class A (a) | 2,889 | 410,382 | ||||||
|
| |||||||
976,972 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 6.4% |
| |||||||
The Charles Schwab Corp. | 15,967 | 651,613 | ||||||
The Goldman Sachs Group Inc. | 1,468 | 337,229 | ||||||
|
| |||||||
988,842 | ||||||||
|
| |||||||
Movies & Entertainment - 1.9% |
| |||||||
The Walt Disney Co. (l) | 2,585 | 293,113 | ||||||
|
| |||||||
Multi-Utilities - 1.1% |
| |||||||
Sempra Energy | 1,555 | 171,827 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 2.5% |
| |||||||
Schlumberger Ltd. | 4,871 | 380,425 | ||||||
|
| |||||||
Oil & Gas Exploration & Production - 2.1% |
| |||||||
Pioneer Natural Resources Co. | 1,777 | 330,931 | ||||||
|
| |||||||
Pharmaceuticals - 7.0% |
| |||||||
Allergan PLC | 2,510 | 599,689 | ||||||
Pfizer Inc. | 14,417 | 493,206 | ||||||
|
| |||||||
1,092,895 | ||||||||
|
| |||||||
Semiconductor Equipment - 1.5% |
| |||||||
Applied Materials Inc. | 6,141 | 238,885 | ||||||
|
| |||||||
Semiconductors - 0.9% |
| |||||||
QUALCOMM Inc. | 2,523 | 144,669 | ||||||
|
| |||||||
Soft Drinks - 4.2% |
| |||||||
PepsiCo Inc. | 5,779 | 646,439 | ||||||
|
| |||||||
Specialized REITs - 4.7% |
| |||||||
American Tower Corp. | 3,795 | 461,244 | ||||||
Equinix Inc. | 650 | 260,241 | ||||||
|
| |||||||
721,485 | ||||||||
|
| |||||||
Systems Software - 2.5% |
| |||||||
Microsoft Corp. | 5,775 | 380,341 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 3.5% |
| |||||||
Apple Inc. | 3,832 | 550,505 | ||||||
|
| |||||||
Total Common Stock (Cost $13,725,927) | 14,770,515 | |||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional U.S. Large-Cap Core Equity Fund | 21 |
Table of Contents
State Street Institutional U.S. Large-Cap Core Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Short-Term Investments - 4.7% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.66% | 727,067 | 727,067 | ||||||
|
| |||||||
Total Investments (Cost $14,452,994) | 15,497,582 | |||||||
Other Assets and Liabilities, net - 0.0%* | 1,007 | |||||||
|
| |||||||
NET ASSETS - 100.0% | 15,498,589 | |||||||
|
|
Other Information:
The Fund had the following long futures contracts open at March 31, 2017:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation | ||||||||||||
S&P 500 Emini Index Futures | June 2017 | 3 | $ | 353,880 | $ | 1,123 | ||||||||||
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 3/31/17 | Value at 3/31/17 | Dividend/ Interest | ||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 1,428,579 | $ | 1,428,579 | 5,396,417 | 6,097,929 | 727,067 | $ | 727,067 | $ | 2,019 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 1,428,579 | $ | 727,067 | $ | 2,019 | |||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
22 | State Street Institutional U.S. Large-Cap Core Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Performance Summary — March 31, 2017 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital and future income. The Fund seeks to achieve its investment objectives by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks. The Fund invests primarily in a limited number of large and medium-sized companies (meaning companies with market capitalizations of $2 billion or more) that the portfolio manager believes have above-average growth histories and/or growth potential.
Sector Allocation as of March 31, 2017
Portfolio Compositions as a % of Fair Value of Investments of $364,896 (in thousands) on March 31, 2017 (a)(b)
Top Ten Largest Holdings
as of March 31, 2017 (as a % of Fair Value) (a)(b)
Apple Inc. | 5.88 | % | ||
Alphabet Inc., Class C | 4.71 | % | ||
Visa Inc., Class A | 4.54 | % | ||
Allergan PLC | 4.30 | % | ||
Amazon.com Inc. | 4.29 | % | ||
The Charles Schwab Corp. | 4.17 | % | ||
Facebook Inc., Class A | 4.03 | % | ||
CME Group Inc. | 3.97 | % | ||
PepsiCo Inc. | 3.81 | % | ||
S&P Global Inc. | 3.57 | % |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
State Street Institutional Premier Growth Equity Fund | 23 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Understanding Your Fund’s Expenses — March 31, 2017 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following 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.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2017.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, 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 given for your class under the heading “Expenses paid during period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table 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 shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,095.20 | $ | 1,023.00 | ||||
Expenses paid during the period* | $ | 1.98 | $ | 1.92 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,092.90 | $ | 1,021.80 | ||||
Expenses paid during the period* | $ | 3.29 | $ | 3.18 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.38% for Investment Class shares and 0.63% for Service Class shares (for the period October 1, 2016-March 31, 2017), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
24 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Schedule of Investments — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Common Stock - 96.2%† | ||||||||
Application Software - 4.0% |
| |||||||
Intuit Inc. | 54,319 | 6,300,461 | ||||||
salesforce.com Inc. (a) | 98,453 | 8,121,388 | ||||||
|
| |||||||
14,421,849 | ||||||||
|
| |||||||
Biotechnology - 9.2% |
| |||||||
Alexion Pharmaceuticals Inc. (a) | 74,670 | 9,052,991 | ||||||
Amgen Inc. | 69,035 | 11,326,572 | ||||||
Gilead Sciences Inc. | 116,041 | 7,881,505 | ||||||
Vertex Pharmaceuticals Inc. (a) | 47,245 | 5,166,241 | ||||||
|
| |||||||
33,427,309 | ||||||||
|
| |||||||
Cable & Satellite - 10.4% |
| |||||||
Charter Communications Inc., Class A (a) | 38,476 | 12,593,964 | ||||||
Comcast Corp., Class A | 174,062 | 6,542,990 | ||||||
Liberty Global PLC, Class C (a) | 352,268 | 12,343,471 | ||||||
Sirius XM Holdings Inc. (l) | 1,267,531 | 6,527,785 | ||||||
|
| |||||||
38,008,210 | ||||||||
|
| |||||||
Data Processing & Outsourced Services - 5.8% |
| |||||||
PayPal Holdings Inc. (a) | 108,728 | 4,677,478 | ||||||
Visa Inc., Class A | 186,495 | 16,573,811 | ||||||
|
| |||||||
21,251,289 | ||||||||
|
| |||||||
Financial Exchanges & Data - 7.5% |
| |||||||
CME Group Inc. | 121,843 | 14,474,948 | ||||||
S&P Global Inc. | 99,585 | 13,019,743 | ||||||
|
| |||||||
27,494,691 | ||||||||
|
| |||||||
Healthcare Equipment - 5.2% |
| |||||||
Abbott Laboratories | 140,908 | 6,257,724 | ||||||
Medtronic PLC | 159,142 | 12,820,480 | ||||||
|
| |||||||
19,078,204 | ||||||||
|
| |||||||
Healthcare Supplies - 1.9% |
| |||||||
The Cooper Companies Inc. | 33,983 | 6,792,862 | ||||||
|
| |||||||
Home Improvement Retail - 2.4% |
| |||||||
Lowe’s Companies Inc. | 104,120 | 8,559,705 | ||||||
|
| |||||||
Internet & Direct Marketing Retail - 4.3% |
| |||||||
Amazon.com Inc. (a) | 17,656 | 15,652,750 | ||||||
|
| |||||||
Internet Software & Services - 10.5% |
| |||||||
Alibaba Group Holding Ltd. ADR (a) | 33,155 | 3,575,104 | ||||||
Alphabet Inc., Class A (a)(l) | 3,393 | 2,876,585 | ||||||
Alphabet Inc., Class C (a) | 20,722 | 17,190,142 | ||||||
Facebook Inc., Class A (a) | 103,608 | 14,717,517 | ||||||
|
| |||||||
38,359,348 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Investment Banking & Brokerage - 4.2% |
| |||||||
The Charles Schwab Corp. | 372,990 | 15,221,722 | ||||||
|
| |||||||
Movies & Entertainment - 2.6% |
| |||||||
The Walt Disney Co. | 84,544 | 9,586,444 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 2.0% |
| |||||||
Schlumberger Ltd. | 91,175 | 7,120,767 | ||||||
|
| |||||||
Pharmaceuticals - 4.3% |
| |||||||
Allergan PLC | 65,636 | 15,681,753 | ||||||
|
| |||||||
Restaurants - 1.0% |
| |||||||
Starbucks Corp. | 62,229 | 3,633,551 | ||||||
|
| |||||||
Semiconductor Equipment - 1.0% |
| |||||||
Applied Materials Inc. | 97,180 | 3,780,302 | ||||||
|
| |||||||
Semiconductors - 1.3% |
| |||||||
QUALCOMM Inc. | 83,758 | 4,802,684 | ||||||
|
| |||||||
Soft Drinks - 3.8% |
| |||||||
PepsiCo Inc. | 124,330 | 13,907,554 | ||||||
|
| |||||||
Specialized REITs - 3.5% |
| |||||||
American Tower Corp. | 103,608 | 12,592,516 | ||||||
|
| |||||||
Systems Software - 3.0% |
| |||||||
Microsoft Corp. | 165,210 | 10,880,731 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 5.9% |
| |||||||
Apple Inc. | 149,196 | 21,433,497 | ||||||
|
| |||||||
Trading Companies & Distributors - 2.4% |
| |||||||
United Rentals Inc. (a) | 71,294 | 8,915,316 | ||||||
|
| |||||||
Total Common Stock (Cost $257,864,682) | 350,603,054 | |||||||
|
| |||||||
Short-Term Investments - 3.9% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.66% | 14,293,197 | 14,293,197 | ||||||
|
| |||||||
Total Investments (Cost $272,157,879) | 364,896,251 | |||||||
Liabilities in Excess of Other Assets, net - (0.1)% | (268,867 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | 364,627,384 | |||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Premier Growth Equity Fund | 25 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Other Information:
The Fund had the following long futures contracts open at March 31, 2017:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Depreciation | ||||||||||||
S&P 500 Emini Index Futures | June 2017 | 41 | $ | 4,836,360 | $ | (61 | ) | |||||||||
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 3/31/17 | Value at 3/31/17 | Dividend/ Interest Income | ||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 12,844,727 | $ | 12,844,727 | 30,217,660 | 28,769,190 | 14,293,197 | $ | 14,293,197 | $ | 22,207 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 12,844,727 | $ | 14,293,197 | $ | 22,207 | |||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
26 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Performance Summary — March 31, 2017 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of small-cap companies, such as common and preferred stocks. The Fund uses a multi sub-adviser investment strategy that combines growth, value and core investment management styles, which allows the Fund the potential to benefit from both value and growth cycles in the marketplace.
Sector Allocation as of March 31, 2017
Portfolio Compositions as a % of Fair Value of Investments of $1,429,225 (in thousands) on March 31, 2017 (a)(b)
Top Ten Largest Holdings
as of March 31, 2017 (as a % of Fair Value) (a)(b)
Blackbaud Inc. | 1.39% | |
John Wiley & Sons Inc., Class A | 1.28% | |
Raymond James Financial Inc. | 1.03% | |
Hill-Rom Holdings Inc. | 0.96% | |
TreeHouse Foods Inc. | 0.96% | |
Wolverine World Wide Inc. | 0.94% | |
Integra LifeSciences Holdings Corp. | 0.93% | |
Darling Ingredients Inc. | 0.89% | |
Ritchie Bros Auctioneers Inc. | 0.83% | |
Snyder’s-Lance Inc. | 0.83% |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
State Street Institutional Small-Cap Equity Fund | 27 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Understanding Your Fund’s Expenses — March 31, 2017 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following 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.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2017.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, 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 given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table 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 shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,117.10 | $ | 1,020.50 | ||||
Expenses paid during the period* | $ | 4.64 | $ | 4.43 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,115.80 | $ | 1,019.30 | ||||
Expenses paid during the period* | $ | 5.96 | $ | 5.69 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.88% for Investment Class shares and 1.13% for Service Class shares (for the period October 1, 2016-March 31, 2017), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
28 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Common Stock - 94.6%† | ||||||||
Aerospace & Defense - 0.5% |
| |||||||
Esterline Technologies Corp. (a) | 5,836 | 502,188 | ||||||
Teledyne Technologies Inc. (a) | 49,565 | 6,267,990 | ||||||
Vectrus Inc. (a) | 24,276 | 542,568 | ||||||
|
| |||||||
7,312,746 | ||||||||
|
| |||||||
Agricultural & Farm Machinery - 0.5% |
| |||||||
AGCO Corp. | 119,922 | 7,216,906 | ||||||
|
| |||||||
Agricultural Products - 1.0% |
| |||||||
Darling Ingredients Inc. (a) | 875,380 | 12,710,518 | ||||||
Fresh Del Monte Produce Inc. | 15,750 | 932,872 | ||||||
|
| |||||||
13,643,390 | ||||||||
|
| |||||||
Airlines - 0.1% |
| |||||||
Hawaiian Holdings Inc. (a) | 16,000 | 743,200 | ||||||
|
| |||||||
Alternative Carriers - 0.0%* |
| |||||||
Vonage Holdings Corp. (a) | 95,311 | 602,366 | ||||||
|
| |||||||
Apparel Retail - 0.8% |
| |||||||
American Eagle Outfitters Inc. | 18,019 | 252,807 | ||||||
Burlington Stores Inc. (a) | 35,460 | 3,449,903 | ||||||
Citi Trends Inc. | 12,552 | 213,384 | ||||||
Francesca’s Holdings Corp. (a) | 52,500 | 805,875 | ||||||
Genesco Inc. (a) | 45,963 | 2,548,648 | ||||||
The Buckle Inc. | 146,528 | 2,725,421 | ||||||
The Children’s Place Inc. | 9,100 | 1,092,455 | ||||||
|
| |||||||
11,088,493 | ||||||||
|
| |||||||
Apparel, Accessories & Luxury Goods - 0.2% |
| |||||||
G-III Apparel Group Ltd. (a) | 101,757 | 2,227,461 | ||||||
|
| |||||||
Application Software - 4.3% |
| |||||||
ACI Worldwide Inc. (a) | 323,556 | 6,920,863 | ||||||
Blackbaud Inc. | 258,415 | 19,812,678 | ||||||
Exa Corp. (a) | 54,100 | 687,070 | ||||||
Guidewire Software Inc. (a) | 146,000 | 8,224,180 | ||||||
Jive Software Inc. (a) | 427,948 | 1,840,176 | ||||||
PTC Inc. (a) | 104,788 | 5,506,609 | ||||||
RealPage Inc. (a) | 301,668 | 10,528,213 | ||||||
SS&C Technologies Holdings Inc. | 191,554 | 6,781,012 | ||||||
Zix Corp. (a) | 221,300 | 1,064,453 | ||||||
|
| |||||||
61,365,254 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 0.8% |
| |||||||
Cohen & Steers Inc. | 32,046 | 1,280,879 | ||||||
Fifth Street Asset Management Inc. | 19,969 | 91,857 | ||||||
Financial Engines Inc. | 214,000 | 9,319,700 |
Number of Shares | Fair $ | |||||||
OM Asset Management PLC | 63,282 | 956,824 | ||||||
|
| |||||||
11,649,260 | ||||||||
|
| |||||||
Auto Parts & Equipment - 1.2% |
| |||||||
American Axle & Manufacturing Holdings Inc. (a) | 46,020 | 864,256 | ||||||
Cooper-Standard Holdings Inc. (a) | 14,073 | 1,561,118 | ||||||
Gentherm Inc. (a) | 29,123 | 1,143,078 | ||||||
LCI Industries | 22,257 | 2,221,248 | ||||||
Stoneridge Inc. (a) | 20,703 | 375,552 | ||||||
Tenneco Inc. | 165,656 | 10,340,247 | ||||||
Tower International Inc. | 33,747 | 914,544 | ||||||
|
| |||||||
17,420,043 | ||||||||
|
| |||||||
Automobile Manufacturers - 0.7% |
| |||||||
Thor Industries Inc. | 85,743 | 8,242,474 | ||||||
Winnebago Industries Inc. | 58,511 | 1,711,447 | ||||||
|
| |||||||
9,953,921 | ||||||||
|
| |||||||
Automotive Retail - 1.3% |
| |||||||
America’s Car-Mart Inc. (a) | 34,448 | 1,255,629 | ||||||
Asbury Automotive Group Inc. (a) | 14,647 | 880,285 | ||||||
CST Brands Inc. | 30,000 | 1,442,700 | ||||||
Group 1 Automotive Inc. | 66,134 | 4,899,207 | ||||||
Murphy USA Inc. (a) | 144,295 | 10,594,139 | ||||||
|
| |||||||
19,071,960 | ||||||||
|
| |||||||
Biotechnology - 0.6% |
| |||||||
BioSpecifics Technologies Corp. (a) | 21,200 | 1,161,760 | ||||||
MiMedx Group Inc. (a) | 53,700 | 511,761 | ||||||
Repligen Corp. (a) | 214,228 | 7,540,826 | ||||||
|
| |||||||
9,214,347 | ||||||||
|
| |||||||
Brewers - 0.5% |
| |||||||
Craft Brew Alliance Inc. (a) | 35,490 | 473,791 | ||||||
The Boston Beer Company Inc., Class A (a) | 42,500 | 6,147,625 | ||||||
|
| |||||||
6,621,416 | ||||||||
|
| |||||||
Building Products - 0.8% |
| |||||||
American Woodmark Corp. (a) | 16,614 | 1,525,165 | ||||||
Apogee Enterprises Inc. | 31,910 | 1,902,155 | ||||||
Builders FirstSource Inc. (a) | 126,102 | 1,878,920 | ||||||
Insteel Industries Inc. | 736 | 26,599 | ||||||
Masonite International Corp. (a) | 7,430 | 588,828 | ||||||
NCI Building Systems Inc. (a) | 52,543 | 901,112 | ||||||
Patrick Industries Inc. (a) | 6,900 | 489,210 | ||||||
Ply Gem Holdings Inc. (a) | 54,035 | 1,064,490 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 29 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Simpson Manufacturing Company Inc. | 15,125 | 651,736 | ||||||
Universal Forest Products Inc. | 18,044 | 1,778,056 | ||||||
|
| |||||||
10,806,271 | ||||||||
|
| |||||||
Casinos & Gaming - 0.1% |
| |||||||
Churchill Downs Inc. | 6,300 | 1,000,755 | ||||||
Pinnacle Entertainment Inc. (a) | 31,203 | 609,083 | ||||||
|
| |||||||
1,609,838 | ||||||||
|
| |||||||
Commercial Printing - 0.4% |
| |||||||
Brady Corp., Class A | 113,500 | 4,386,775 | ||||||
Deluxe Corp. | 13,786 | 994,936 | ||||||
LSC Communications Inc. | 36,007 | 905,936 | ||||||
|
| |||||||
6,287,647 | ||||||||
|
| |||||||
Commodity Chemicals - 0.2% |
| |||||||
Koppers Holdings Inc. (a) | 21,899 | 927,423 | ||||||
Trinseo S.A. | 23,451 | 1,573,562 | ||||||
|
| |||||||
2,500,985 | ||||||||
|
| |||||||
Communications Equipment - 0.3% |
| |||||||
ADTRAN Inc. | 55,834 | 1,158,556 | ||||||
Extreme Networks Inc. (a) | 204,000 | 1,532,040 | ||||||
Lumentum Holdings Inc. (a) | 42,192 | 2,250,943 | ||||||
|
| |||||||
4,941,539 | ||||||||
|
| |||||||
Construction & Engineering - 0.7% |
| |||||||
Chicago Bridge & Iron Company N.V. | 249,567 | 7,674,185 | ||||||
EMCOR Group Inc. | 13,100 | 824,645 | ||||||
MasTec Inc. (a) | 25,489 | 1,020,835 | ||||||
|
| |||||||
9,519,665 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks - 1.5% |
| |||||||
Alamo Group Inc. | 19,475 | 1,483,800 | ||||||
Astec Industries Inc. | 28,342 | 1,742,891 | ||||||
Federal Signal Corp. | 583,191 | 8,053,868 | ||||||
Trinity Industries Inc. (l) | 336,675 | 8,938,721 | ||||||
Wabash National Corp. | 72,576 | 1,501,598 | ||||||
|
| |||||||
21,720,878 | ||||||||
|
| |||||||
Construction Materials - 0.1% |
| |||||||
Summit Materials Inc., Class A (a) | 43,101 | 1,065,026 | ||||||
|
| |||||||
Consumer Finance - 0.1% |
| |||||||
Enova International Inc. (a) | 97,837 | 1,452,879 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 1.9% |
| |||||||
Broadridge Financial Solutions Inc. | 116,880 | 7,941,996 |
Number of Shares | Fair $ | |||||||
Cardtronics PLC, Class A (a) | 16,900 | 790,075 | ||||||
Cass Information Systems Inc. | 5,284 | 349,272 | ||||||
CoreLogic Inc. (a) | 138,334 | 5,632,961 | ||||||
EVERTEC Inc. | 50,766 | 807,179 | ||||||
MAXIMUS Inc. | 15,658 | 973,928 | ||||||
Travelport Worldwide Ltd. | 65,007 | 765,132 | ||||||
WEX Inc. (a)(l) | 100,000 | 10,350,000 | ||||||
|
| |||||||
27,610,543 | ||||||||
|
| |||||||
Distributors - 0.5% |
| |||||||
LKQ Corp. (a) | 260,077 | 7,612,454 | ||||||
|
| |||||||
Diversified Chemicals - 0.2% |
| |||||||
The Chemours Co. | 79,799 | 3,072,261 | ||||||
|
| |||||||
Diversified Metals & Mining - 0.0%* |
| |||||||
Compass Minerals International Inc. | 5,516 | 374,261 | ||||||
|
| |||||||
Diversified Real Estate Activities - 0.0%* |
| |||||||
The RMR Group Inc. Class A | 13,600 | 673,200 | ||||||
|
| |||||||
Diversified REITs - 0.1% |
| |||||||
American Assets Trust Inc. | 21,491 | 899,183 | ||||||
Gramercy Property Trust | 42,193 | 1,109,676 | ||||||
|
| |||||||
2,008,859 | ||||||||
|
| |||||||
Diversified Support Services - 1.6% |
| |||||||
Healthcare Services Group Inc. | 204,956 | 8,831,554 | ||||||
Ritchie Bros Auctioneers Inc. | 362,856 | 11,937,962 | ||||||
UniFirst Corp. | 8,122 | 1,148,857 | ||||||
Viad Corp. | 21,089 | 953,223 | ||||||
|
| |||||||
22,871,596 | ||||||||
|
| |||||||
Education Services - 0.6% |
| |||||||
Capella Education Co. | 12,900 | 1,096,823 | ||||||
Grand Canyon Education Inc. (a) | 10,700 | 766,227 | ||||||
K12 Inc. (a) | 352,875 | 6,757,556 | ||||||
|
| |||||||
8,620,606 | ||||||||
|
| |||||||
Electric Utilities - 1.0% |
| |||||||
ALLETE Inc. | 16,005 | 1,083,699 | ||||||
IDACORP Inc. | 134,788 | 11,182,012 | ||||||
PNM Resources Inc. | 29,990 | 1,109,630 | ||||||
Spark Energy Inc., Class A | 30,000 | 958,500 | ||||||
|
| |||||||
14,333,841 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.4% |
| |||||||
Atkore International Group Inc. (a) | 36,588 | 961,533 | ||||||
Encore Wire Corp. | 31,912 | 1,467,952 |
See Notes to Schedules of Investments and Notes to Financial Statements.
30 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
EnerSys | 9,699 | 765,639 | ||||||
General Cable Corp. | 52,631 | 944,726 | ||||||
Regal Beloit Corp. | 15,339 | 1,160,395 | ||||||
|
| |||||||
5,300,245 | ||||||||
|
| |||||||
Electronic Components - 0.8% |
| |||||||
Belden Inc. | 21,955 | 1,519,066 | ||||||
Littelfuse Inc. | 52,908 | 8,460,518 | ||||||
Rogers Corp. (a) | 8,904 | 764,587 | ||||||
|
| |||||||
10,744,171 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.9% |
| |||||||
Coherent Inc. (a) | 9,800 | 2,015,272 | ||||||
Control4 Corp. (a) | 140,695 | 2,221,574 | ||||||
National Instruments Corp. | 43,100 | 1,403,336 | ||||||
VeriFone Systems Inc. (a) | 238,882 | 4,474,260 | ||||||
Zebra Technologies Corp., Class A (a) | 25,495 | 2,326,419 | ||||||
|
| |||||||
12,440,861 | ||||||||
|
| |||||||
Electronic Manufacturing Services - 0.3% |
| |||||||
Benchmark Electronics Inc. (a) | 15,557 | 494,713 | ||||||
Methode Electronics Inc. | 27,879 | 1,271,282 | ||||||
Plexus Corp. (a) | 28,594 | 1,652,733 | ||||||
TTM Technologies Inc. (a) | 36,157 | 583,213 | ||||||
|
| |||||||
4,001,941 | ||||||||
|
| |||||||
Environmental & Facilities Services - 0.7% |
| |||||||
Clean Harbors Inc. (a) | 189,412 | 10,535,095 | ||||||
|
| |||||||
Food Distributors - 0.7% |
| |||||||
Performance Food Group Co. (a) | 139,155 | 3,311,889 | ||||||
SpartanNash Co. | 209,017 | 7,313,505 | ||||||
|
| |||||||
10,625,394 | ||||||||
|
| |||||||
Food Retail - 0.1% |
| |||||||
Casey’s General Stores Inc. | 9,242 | 1,037,415 | ||||||
|
| |||||||
Footwear - 1.4% |
| |||||||
Deckers Outdoor Corp. (a) | 81,259 | 4,853,600 | ||||||
Skechers U.S.A. Inc., Class A (a) | 44,865 | 1,231,544 | ||||||
Wolverine World Wide Inc. | 536,829 | 13,404,620 | ||||||
|
| |||||||
19,489,764 | ||||||||
|
| |||||||
Forest Products - 0.1% |
| |||||||
Louisiana-Pacific Corp. (a) | 40,372 | 1,002,033 | ||||||
|
| |||||||
Gas Utilities - 0.1% |
| |||||||
South Jersey Industries Inc. | 28,476 | 1,015,169 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Health Care REITs - 0.4% |
| |||||||
CareTrust REIT Inc. | 37,110 | 624,190 | ||||||
Omega Healthcare Investors Inc. | 119,445 | 3,940,491 | ||||||
Sabra Health Care REIT Inc. | 40,386 | 1,127,981 | ||||||
|
| |||||||
5,692,662 | ||||||||
|
| |||||||
Healthcare Distributors - 0.2% |
| |||||||
Aceto Corp. | 177,000 | 2,798,370 | ||||||
Owens & Minor Inc. | 10,288 | 355,965 | ||||||
|
| |||||||
3,154,335 | ||||||||
|
| |||||||
Healthcare Equipment - 5.6% |
| |||||||
Cantel Medical Corp. | 82,500 | 6,608,250 | ||||||
Cardiovascular Systems Inc. (a) | 210,900 | 5,963,197 | ||||||
CONMED Corp. | 213,000 | 9,459,330 | ||||||
Hill-Rom Holdings Inc. | 194,801 | 13,752,951 | ||||||
Insulet Corp. (a) | 136,500 | 5,881,785 | ||||||
Integra LifeSciences Holdings Corp. (a) | 317,500 | 13,376,275 | ||||||
iRadimed Corp. (a) | 70,000 | 623,000 | ||||||
LeMaitre Vascular Inc. | 61,900 | 1,524,597 | ||||||
Masimo Corp. (a) | 63,300 | 5,903,358 | ||||||
Natus Medical Inc. (a) | 12,759 | 500,791 | ||||||
NuVasive Inc. (a) | 157,700 | 11,777,036 | ||||||
Orthofix International N.V. (a) | 9,300 | 354,795 | ||||||
Penumbra Inc. (a) | 47,500 | 3,963,875 | ||||||
|
| |||||||
79,689,240 | ||||||||
|
| |||||||
Healthcare Facilities - 0.0%* |
| |||||||
HealthSouth Corp. | 15,832 | 677,768 | ||||||
|
| |||||||
Healthcare Services - 1.9% |
| |||||||
Addus HomeCare Corp. (a) | 16,000 | 512,000 | ||||||
Almost Family Inc. (a) | 12,500 | 607,500 | ||||||
AMN Healthcare Services Inc. (a) | 45,123 | 1,831,994 | ||||||
BioTelemetry Inc. (a) | 79,200 | 2,292,840 | ||||||
Envision Healthcare Corp. (a) | 153,495 | 9,412,313 | ||||||
MEDNAX Inc. (a) | 169,418 | 11,754,221 | ||||||
RadNet Inc. (a) | 100,300 | 591,770 | ||||||
|
| |||||||
27,002,638 | ||||||||
|
| |||||||
Healthcare Supplies - 1.1% |
| |||||||
Endologix Inc. (a) | 384,227 | 2,781,804 | ||||||
ICU Medical Inc. (a) | 61,000 | 9,314,700 | ||||||
Lantheus Holdings Inc. (a) | 68,500 | 856,250 | ||||||
Merit Medical Systems Inc. (a) | 30,377 | 877,895 | ||||||
OraSure Technologies Inc. (a) | 148,200 | 1,916,226 | ||||||
|
| |||||||
15,746,875 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 31 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Healthcare Technology - 1.7% |
| |||||||
HMS Holdings Corp. (a) | 421,653 | 8,572,205 | ||||||
Medidata Solutions Inc. (a) | 124,000 | 7,153,560 | ||||||
Omnicell Inc. (a) | 209,000 | 8,495,850 | ||||||
|
| |||||||
24,221,615 | ||||||||
|
| |||||||
Home Building - 0.2% |
| |||||||
Meritage Homes Corp. (a) | 25,150 | 925,520 | ||||||
TopBuild Corp. (a) | 53,691 | 2,523,477 | ||||||
|
| |||||||
3,448,997 | ||||||||
|
| |||||||
Home Furnishing Retail - 0.4% |
| |||||||
Aaron’s Inc. | 168,861 | 5,021,926 | ||||||
|
| |||||||
Home Furnishings - 0.1% |
| |||||||
Ethan Allen Interiors Inc. | 31,095 | 953,062 | ||||||
|
| |||||||
Hotel & Resort REITs - 0.3% |
| |||||||
Ashford Hospitality Trust Inc. | 48,552 | 309,276 | ||||||
RLJ Lodging Trust | 181,835 | 4,274,941 | ||||||
|
| |||||||
4,584,217 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 0.3% |
| |||||||
ILG Inc. | 169,765 | 3,558,274 | ||||||
|
| |||||||
Household Appliances - 0.5% |
| |||||||
Helen of Troy Ltd. (a) | 73,409 | 6,915,128 | ||||||
|
| |||||||
Household Products - 0.1% |
| |||||||
Central Garden & Pet Co. (a) | 35,400 | 1,312,278 | ||||||
|
| |||||||
Housewares & Specialties - 0.0%* |
| |||||||
Tupperware Brands Corp. | 10,331 | 647,960 | ||||||
|
| |||||||
Human Resource & Employment Services - 0.3% |
| |||||||
Insperity Inc. | 15,519 | 1,375,759 | ||||||
Kforce Inc. | 37,800 | 897,750 | ||||||
TriNet Group Inc. (a) | 13,744 | 397,202 | ||||||
TrueBlue Inc. (a) | 33,618 | 919,452 | ||||||
|
| |||||||
3,590,163 | ||||||||
|
| |||||||
Industrial Machinery - 7.4% |
| |||||||
Actuant Corp., Class A | 401,916 | 10,590,486 | ||||||
Altra Industrial Motion Corp. | 24,165 | 941,227 | ||||||
Barnes Group Inc. | 124,350 | 6,384,129 | ||||||
Crane Co. | 31,220 | 2,336,193 | ||||||
Franklin Electric Company Inc. | 27,665 | 1,190,978 | ||||||
IDEX Corp. | 73,831 | 6,903,937 | ||||||
John Bean Technologies Corp. | 54,700 | 4,810,865 | ||||||
LB Foster Co., Class A | 38,882 | 486,025 | ||||||
Luxfer Holdings PLC ADR | 181,402 | 2,205,848 | ||||||
Lydall Inc. (a) | 132,500 | 7,102,000 | ||||||
Mueller Industries Inc. | 169,282 | 5,794,523 |
Number of Shares | Fair $ | |||||||
Nordson Corp. | 49,924 | 6,132,664 | ||||||
RBC Bearings Inc. (a) | 38,000 | 3,689,420 | ||||||
Standex International Corp. | 76,000 | 7,611,400 | ||||||
The Gorman-Rupp Co. | 61,400 | 1,927,960 | ||||||
The Timken Co. | 218,865 | 9,892,698 | ||||||
TriMas Corp. (a) | 353,500 | 7,335,125 | ||||||
Watts Water Technologies Inc., Class A | 34,665 | 2,161,363 | ||||||
Welbilt Inc. (a) | 456,100 | 8,953,243 | ||||||
Woodward Inc. (l) | 132,491 | 8,998,789 | ||||||
|
| |||||||
105,448,873 | ||||||||
|
| |||||||
Industrial REITs - 0.1% |
| |||||||
Rexford Industrial Realty Inc. | 32,652 | 735,323 | ||||||
STAG Industrial Inc. | 50,836 | 1,271,917 | ||||||
|
| |||||||
2,007,240 | ||||||||
|
| |||||||
Internet Software & Services - 2.8% |
| |||||||
Brightcove Inc. (a) | 100,600 | 895,340 | ||||||
Cornerstone OnDemand Inc. (a) | 191,630 | 7,452,490 | ||||||
Envestnet Inc. (a) | 116,000 | 3,746,800 | ||||||
LogMeIn Inc. | 97,300 | 9,486,750 | ||||||
MeetMe Inc. (a) | 99,700 | 587,233 | ||||||
New Relic Inc. (a) | 208,000 | 7,710,560 | ||||||
NIC Inc. | 320,154 | 6,467,111 | ||||||
Stamps.com Inc. (a) | 6,700 | 792,945 | ||||||
Web.com Group Inc. (a) | 59,500 | 1,148,350 | ||||||
Xactly Corp. (a) | 202,500 | 2,409,750 | ||||||
|
| |||||||
40,697,329 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 1.5% |
| |||||||
Evercore Partners Inc., Class A | 12,886 | 1,003,819 | ||||||
Greenhill & Company Inc. | 27,943 | 818,730 | ||||||
Moelis & Co., Class A | 26,560 | 1,022,560 | ||||||
Piper Jaffray Cos. | 25,873 | 1,651,991 | ||||||
Raymond James Financial Inc. | 193,053 | 14,722,222 | ||||||
Stifel Financial Corp. (a) | 36,537 | 1,833,792 | ||||||
|
| |||||||
21,053,114 | ||||||||
|
| |||||||
IT Consulting & Other Services - 0.2% |
| |||||||
Perficient Inc. (a) | 44,260 | 768,354 | ||||||
Science Applications International Corp. | 11,241 | 836,330 | ||||||
The Hackett Group Inc. | 53,800 | 1,048,562 | ||||||
Virtusa Corp. (a) | 7,575 | 228,916 | ||||||
|
| |||||||
2,882,162 | ||||||||
|
| |||||||
Leisure Products - 0.8% |
| |||||||
Brunswick Corp. | 12,514 | 765,857 | ||||||
Malibu Boats Inc., Class A (a) | 25,900 | 581,455 | ||||||
MCBC Holdings Inc. | 47,800 | 772,926 | ||||||
Nautilus Inc. (a) | 44,949 | 820,319 |
See Notes to Schedules of Investments and Notes to Financial Statements.
32 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Polaris Industries Inc. | 107,349 | 8,995,846 | ||||||
|
| |||||||
11,936,403 | ||||||||
|
| |||||||
Life & Health Insurance - 0.0%* |
| |||||||
American Equity Investment Life Holding Co. | 9,228 | 218,058 | ||||||
|
| |||||||
Life Sciences Tools & Services - 1.8% |
| |||||||
Albany Molecular Research Inc. (a) | 256,885 | 3,604,096 | ||||||
Bruker Corp. | 160,317 | 3,740,196 | ||||||
Cambrex Corp. (a) | 30,490 | 1,678,474 | ||||||
Charles River Laboratories International Inc. (a) | 12,983 | 1,167,821 | ||||||
ICON PLC (a) | 84,867 | 6,765,597 | ||||||
INC Research Holdings Inc., Class A (a) | 148,689 | 6,817,391 | ||||||
PAREXEL International Corp. (a) | 7,809 | 492,826 | ||||||
PRA Health Sciences Inc. (a) | 16,300 | 1,063,249 | ||||||
|
| |||||||
25,329,650 | ||||||||
|
| |||||||
Managed Healthcare - 1.2% |
| |||||||
Centene Corp. (a) | 162,402 | 11,572,767 | ||||||
Magellan Health Inc. (a) | 32,168 | 2,221,200 | ||||||
Molina Healthcare Inc. (a) | 82,045 | 3,741,252 | ||||||
|
| |||||||
17,535,219 | ||||||||
|
| |||||||
Marine - 0.1% |
| |||||||
Kirby Corp. (a) | 11,360 | 801,448 | ||||||
|
| |||||||
Multi-Line Insurance - 0.2% |
| |||||||
Horace Mann Educators Corp. | 30,044 | 1,233,306 | ||||||
National General Holdings Corp. | 39,000 | 926,640 | ||||||
|
| |||||||
2,159,946 | ||||||||
|
| |||||||
Multi-Utilities - 0.1% |
| |||||||
Black Hills Corp. | 20,965 | 1,393,544 | ||||||
|
| |||||||
Office REITs - 0.5% |
| |||||||
Brandywine Realty Trust | 58,208 | 944,716 | ||||||
Corporate Office Properties Trust | 24,437 | 808,865 | ||||||
Cousins Properties Inc. | 658,090 | 5,442,404 | ||||||
|
| |||||||
7,195,985 | ||||||||
|
| |||||||
Office Services & Supplies - 1.0% |
| |||||||
Herman Miller Inc. | 133,535 | 4,213,029 | ||||||
HNI Corp. | 21,139 | 974,297 | ||||||
Knoll Inc. | 33,503 | 797,706 | ||||||
Steelcase Inc., Class A | 54,666 | 915,655 |
Number of Shares | Fair $ | |||||||
West Corp. | 326,518 | 7,973,570 | ||||||
|
| |||||||
14,874,257 | ||||||||
|
| |||||||
Oil & Gas Drilling - 0.1% |
| |||||||
Nabors Industries Ltd. | 95,975 | 1,254,393 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 1.2% |
| |||||||
Dril-Quip Inc. (a) | 31,943 | 1,742,491 | ||||||
Forum Energy Technologies Inc. (a) | 436,170 | 9,028,719 | ||||||
Hornbeck Offshore Services Inc. (a) | 91,157 | 403,825 | ||||||
Natural Gas Services Group Inc. (a) | 28,040 | 730,442 | ||||||
Oil States International Inc. (a) | 161,985 | 5,369,803 | ||||||
|
| |||||||
17,275,280 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production - 1.4% |
| |||||||
Carrizo Oil & Gas Inc. (a) | 99,015 | 2,837,770 | ||||||
Denbury Resources Inc. (a) | 693,672 | 1,789,674 | ||||||
Newfield Exploration Co. (a) | 263,156 | 9,713,088 | ||||||
Rice Energy Inc. (a) | 17,863 | 423,353 | ||||||
SM Energy Co. | 202,310 | 4,859,486 | ||||||
|
| |||||||
19,623,371 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing - 0.1% |
| |||||||
Western Refining Inc. | 42,152 | 1,478,271 | ||||||
|
| |||||||
Packaged Foods & Meats - 4.1% |
| |||||||
AdvancePierre Foods Holdings Inc. | 287,000 | 8,945,790 | ||||||
Amplify Snack Brands Inc. (a) | 249,800 | 2,098,320 | ||||||
B&G Foods Inc. | 184,500 | 7,426,125 | ||||||
Cal-Maine Foods Inc. | 26,613 | 979,359 | ||||||
J&J Snack Foods Corp. | 24,013 | 3,255,202 | ||||||
Sanderson Farms Inc. | 96,743 | 10,045,793 | ||||||
Snyder’s-Lance Inc. | 295,000 | 11,891,450 | ||||||
TreeHouse Foods Inc. (a) | 161,500 | 13,672,590 | ||||||
|
| |||||||
58,314,629 | ||||||||
|
| |||||||
Paper Packaging - 0.3% |
| |||||||
Packaging Corporation of America | 49,099 | 4,498,450 | ||||||
|
| |||||||
Paper Products - 0.1% |
| |||||||
Neenah Paper Inc. | 19,694 | 1,471,142 | ||||||
|
| |||||||
Personal Products - 0.2% |
| |||||||
elf Beauty Inc. (a) | 45,450 | 1,308,960 | ||||||
Natural Health Trends Corp. | 29,300 | 846,770 | ||||||
USANA Health Sciences Inc. (a) | 12,486 | 719,194 | ||||||
|
| |||||||
2,874,924 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 33 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Pharmaceuticals - 0.6% |
| |||||||
Akorn Inc. (a) | 18,300 | 440,664 | ||||||
Corcept Therapeutics Inc. (a) | 158,100 | 1,732,776 | ||||||
Depomed Inc. (a) | 34,800 | 436,740 | ||||||
Heska Corp. (a) | 13,300 | 1,396,234 | ||||||
Horizon Pharma PLC (a) | 30,900 | 456,702 | ||||||
Impax Laboratories Inc. (a) | 45,100 | 570,515 | ||||||
Innoviva Inc. (a) | 65,900 | 911,397 | ||||||
Phibro Animal Health Corp., Class A | 48,047 | 1,350,121 | ||||||
Sucampo Pharmaceuticals Inc., Class A (a) | 64,100 | 705,100 | ||||||
|
| |||||||
8,000,249 | ||||||||
|
| |||||||
Property & Casualty Insurance - 2.5% |
| |||||||
Allied World Assurance Company Holdings AG | 175,000 | 9,292,500 | ||||||
AMERISAFE Inc. | 87,410 | 5,672,909 | ||||||
Argo Group International Holdings Ltd. | 145,424 | 9,859,747 | ||||||
Atlas Financial Holdings Inc. (a) | 20,000 | 273,000 | ||||||
RLI Corp. | 58,848 | 3,532,057 | ||||||
The Navigators Group Inc. | 128,700 | 6,988,410 | ||||||
United Insurance Holdings Corp. | 23,400 | 373,230 | ||||||
Universal Insurance Holdings Inc. | 14,446 | 353,927 | ||||||
|
| |||||||
36,345,780 | ||||||||
|
| |||||||
Publishing - 1.3% |
| |||||||
John Wiley & Sons Inc., Class A | 339,493 | 18,264,723 | ||||||
|
| |||||||
Railroads - 0.5% |
| |||||||
Genesee & Wyoming Inc., Class A (a) | 112,904 | 7,661,665 | ||||||
|
| |||||||
Regional Banks - 8.9% |
| |||||||
1st Source Corp. | 14,715 | 690,869 | ||||||
BankUnited Inc. | 39,365 | 1,468,708 | ||||||
Banner Corp. | 21,079 | 1,172,836 | ||||||
Bryn Mawr Bank Corp. | 106,000 | 4,187,000 | ||||||
Camden National Corp. | 23,659 | 1,041,942 | ||||||
Capital Bank Financial Corp., Class A | 29,788 | 1,292,799 | ||||||
Cascade Bancorp (a) | 53,089 | 409,316 | ||||||
Chemical Financial Corp. | 14,734 | 753,644 | ||||||
Columbia Banking System Inc. | 25,376 | 989,410 | ||||||
Community Bank System Inc. | 85,000 | 4,673,300 | ||||||
Cullen/Frost Bankers Inc. | 50,912 | 4,529,641 | ||||||
CVB Financial Corp. | 286,000 | 6,317,740 |
Number of Shares | Fair $ | |||||||
Enterprise Financial Services Corp. | 24,158 | 1,024,299 | ||||||
FCB Financial Holdings Inc., Class A (a) | 36,772 | 1,822,053 | ||||||
Fidelity Southern Corp. | 15,713 | 351,657 | ||||||
First Financial Bankshares Inc. | 91,000 | 3,649,100 | ||||||
Fulton Financial Corp. | 390,454 | 6,969,604 | ||||||
German American Bancorp Inc. | 45,000 | 2,130,300 | ||||||
Great Southern Bancorp Inc. | 19,701 | 994,901 | ||||||
Home BancShares Inc. | 63,816 | 1,727,499 | ||||||
Hope Bancorp Inc. | 55,079 | 1,055,864 | ||||||
IBERIABANK Corp. | 91,900 | 7,269,290 | ||||||
Independent Bank Corp. | 76,000 | 4,940,000 | ||||||
Lakeland Financial Corp. | 13,512 | 582,637 | ||||||
LegacyTexas Financial Group Inc. | 37,271 | 1,487,113 | ||||||
Pinnacle Financial Partners Inc. | 19,487 | 1,294,911 | ||||||
Prosperity Bancshares Inc. | 166,104 | 11,579,110 | ||||||
Renasant Corp. | 256,687 | 10,187,907 | ||||||
South State Corp. | 7,902 | 706,044 | ||||||
Southwest Bancorp Inc. | 34,743 | 908,530 | ||||||
Stock Yards Bancorp Inc. | 75,600 | 3,073,140 | ||||||
SVB Financial Group (a) | 51,382 | 9,561,676 | ||||||
Texas Capital Bancshares Inc. (a) | 3,918 | 326,957 | ||||||
UMB Financial Corp. | 94,500 | 7,116,795 | ||||||
Umpqua Holdings Corp. | 83,754 | 1,485,796 | ||||||
United Community Banks Inc. | 72,375 | 2,004,064 | ||||||
Washington Trust Bancorp Inc. | 94,500 | 4,658,850 | ||||||
Westamerica Bancorporation | 87,677 | 4,895,007 | ||||||
Western Alliance Bancorp (a) | 120,995 | 5,939,645 | ||||||
Wintrust Financial Corp. | 27,025 | 1,867,968 | ||||||
|
| |||||||
127,137,922 | ||||||||
|
| |||||||
Reinsurance - 0.1% |
| |||||||
Maiden Holdings Ltd. | 79,816 | 1,117,424 | ||||||
|
| |||||||
Research & Consulting Services - 0.4% |
| |||||||
Huron Consulting Group Inc. (a) | 7,600 | 319,960 | ||||||
Resources Connection Inc. | 293,607 | 4,917,917 | ||||||
|
| |||||||
5,237,877 | ||||||||
|
| |||||||
Residential REITs - 0.6% |
| |||||||
Education Realty Trust Inc. | 198,164 | 8,094,999 | ||||||
|
| |||||||
Restaurants - 1.4% |
| |||||||
Buffalo Wild Wings Inc. (a) | 40,329 | 6,160,255 | ||||||
Carrols Restaurant Group Inc. (a) | 23,100 | 326,865 | ||||||
Cracker Barrel Old Country Store Inc. | 20,845 | 3,319,566 |
See Notes to Schedules of Investments and Notes to Financial Statements.
34 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Dave & Buster’s Entertainment Inc. (a) | 17,300 | 1,056,857 | ||||||
El Pollo Loco Holdings Inc. (a) | 163,500 | 1,953,825 | ||||||
Red Robin Gourmet Burgers Inc. (a) | 16,257 | 950,222 | ||||||
Ruth’s Hospitality Group Inc. | 97,137 | 1,947,597 | ||||||
Texas Roadhouse Inc. | 104,944 | 4,673,156 | ||||||
|
| |||||||
20,388,343 | ||||||||
|
| |||||||
Retail REITs - 0.1% |
| |||||||
Retail Opportunity Investments Corp. | 71,159 | 1,496,474 | ||||||
|
| |||||||
Security & Alarm Services - 0.7% |
| |||||||
The Brink’s Co. | 190,519 | 10,183,241 | ||||||
|
| |||||||
Semiconductor Equipment - 0.5% |
| |||||||
Advanced Energy Industries Inc. (a) | 24,500 | 1,679,720 | ||||||
Amkor Technology Inc. (a) | 93,300 | 1,081,347 | ||||||
Brooks Automation Inc. | 42,429 | 950,410 | ||||||
Rudolph Technologies Inc. (a) | 120,351 | 2,695,862 | ||||||
Versum Materials Inc. (a) | 18,895 | 578,187 | ||||||
|
| |||||||
6,985,526 | ||||||||
|
| |||||||
Semiconductors - 1.4% |
| |||||||
Ambarella Inc. (a) | 14,034 | 767,800 | ||||||
Cirrus Logic Inc. (a) | 14,500 | 880,005 | ||||||
Exar Corp. (a) | 88,999 | 1,157,877 | ||||||
MaxLinear Inc., Class A (a) | 37,593 | 1,054,484 | ||||||
Microsemi Corp. (a) | 138,329 | 7,128,093 | ||||||
Semtech Corp. (a) | 265,923 | 8,988,198 | ||||||
|
| |||||||
19,976,457 | ||||||||
|
| |||||||
Specialized Finance - 0.0%* |
| |||||||
NewStar Financial Inc. | 35,992 | 380,795 | ||||||
|
| |||||||
Specialized REITs - 0.6% |
| |||||||
CoreSite Realty Corp. | 70,606 | 6,358,070 | ||||||
National Storage Affiliates Trust | 43,136 | 1,030,951 | ||||||
Potlatch Corp. | 40,299 | 1,841,664 | ||||||
|
| |||||||
9,230,685 | ||||||||
|
| |||||||
Specialty Chemicals - 3.0% |
| |||||||
Balchem Corp. | 43,824 | 3,611,974 | ||||||
HB Fuller Co. | 226,586 | 11,682,774 | ||||||
Innospec Inc. | 91,500 | 5,924,625 | ||||||
KMG Chemicals Inc. | 32,760 | 1,509,253 | ||||||
PolyOne Corp. | 198,109 | 6,753,536 | ||||||
Quaker Chemical Corp. | 56,167 | 7,394,947 | ||||||
Sensient Technologies Corp. | 84,453 | 6,693,745 | ||||||
|
| |||||||
43,570,854 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Specialty Stores - 0.2% |
| |||||||
Hibbett Sports Inc. (a) | 95,000 | 2,802,500 | ||||||
|
| |||||||
Steel - 0.4% |
| |||||||
Commercial Metals Co. | 206,545 | 3,951,206 | ||||||
Ryerson Holding Corp. (a) | 101,746 | 1,281,999 | ||||||
Worthington Industries Inc. | 23,556 | 1,062,140 | ||||||
|
| |||||||
6,295,345 | ||||||||
|
| |||||||
Systems Software - 1.9% |
| |||||||
A10 Networks Inc. (a) | 108,251 | 990,497 | ||||||
Barracuda Networks Inc. (a) | 33,477 | 773,653 | ||||||
CommVault Systems Inc. (a) | 139,400 | 7,081,520 | ||||||
Gigamon Inc. (a) | 161,111 | 5,727,496 | ||||||
Qualys Inc. (a) | 304,400 | 11,536,760 | ||||||
The Rubicon Project Inc. (a) | 58,554 | 344,883 | ||||||
|
| |||||||
26,454,809 | ||||||||
|
| |||||||
Technology Distributors - 0.1% |
| |||||||
ePlus Inc. (a) | 6,200 | 837,310 | ||||||
Insight Enterprises Inc. (a) | 11,851 | 486,958 | ||||||
ScanSource Inc. (a) | 15,350 | 602,487 | ||||||
|
| |||||||
1,926,755 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.8% |
| |||||||
Diebold Nixdorf Inc. | 336,089 | 10,317,933 | ||||||
Super Micro Computer Inc. (a) | 29,855 | 756,824 | ||||||
|
| |||||||
11,074,757 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.3% |
| |||||||
Essent Group Ltd. (a) | 31,739 | 1,148,000 | ||||||
EverBank Financial Corp. | 40,531 | 789,544 | ||||||
HomeStreet Inc. (a) | 57,341 | 1,602,681 | ||||||
Washington Federal Inc. | 25,342 | 838,820 | ||||||
|
| |||||||
4,379,045 | ||||||||
|
| |||||||
Tires & Rubber - 0.1% |
| |||||||
Cooper Tire & Rubber Co. | 39,093 | 1,733,775 | ||||||
|
| |||||||
Trading Companies & Distributors - 1.0% |
| |||||||
Applied Industrial Technologies Inc. | 179,265 | 11,087,540 | ||||||
Beacon Roofing Supply Inc. (a) | 10,526 | 517,458 | ||||||
GMS Inc. (a) | 28,386 | 994,646 | ||||||
Lawson Products Inc. (a) | 42,200 | 947,390 | ||||||
Neff Corp., Class A (a) | 72,933 | 1,418,547 | ||||||
|
| |||||||
14,965,581 | ||||||||
|
| |||||||
Trucking - 0.8% |
| |||||||
Heartland Express Inc. | 52,520 | 1,053,026 | ||||||
Landstar System Inc. | 35,500 | 3,040,575 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 35 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair $ | |||||||
Old Dominion Freight Line Inc. | 75,479 | 6,458,738 | ||||||
Saia Inc. (a) | 33,505 | 1,484,272 | ||||||
|
| |||||||
12,036,611 | ||||||||
|
| |||||||
Total Common Stock (Cost $1,026,104,364) | 1,353,688,218 | |||||||
|
| |||||||
Short-Term Investments - 5.3% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.66% | 75,536,686 | 75,536,686 | ||||||
|
| |||||||
Total Investments (Cost $1,101,641,050) | 1,429,224,904 | |||||||
Other Assets and Liabilities, net - 0.1% | 1,553,084 | |||||||
|
| |||||||
NET ASSETS - 100.0% | 1,430,777,988 | |||||||
|
|
Other Information:
The Fund had the following long futures contracts open at March 31, 2017:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation | ||||||||||||
Russell 2000 Mini Index Futures | June 2017 | 258 | $ | 17,858,760 | $ | 95,472 | ||||||||||
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Shares Purchased | Shares Sold | Number of Shares Held | Value at 3/31/17 | Dividend/ Interest Income | ||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 68,288,206 | $ | 68,288,206 | 184,432,968 | 177,184,488 | 75,536,686 | $ | 75,536,686 | $ | 153,930 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 68,288,206 | $ | 75,536,686 | $ | 153,930 | |||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
36 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Performance Summary — March 31, 2017 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks. The Fund invests primarily (meaning at least 65%) in companies located in both developed and emerging market countries outside the United States.
Regional Allocation
as a % of Investments of $1,220,269 (in thousands) as of March 31, 2017 (a)(b)
Top Ten Largest Holdings
as of March 31, 2017 (as a % of Fair Value) (a)(b)
Nestle S.A. | 3.02 | % | ||
BNP Paribas S.A. | 2.71 | % | ||
FANUC Corp. | 2.46 | % | ||
Roche Holding AG | 2.43 | % | ||
ASML Holding N.V. | 2.38 | % | ||
SoftBank Group Corp. | 2.08 | % | ||
Keyence Corp. | 2.06 | % | ||
Mitsubishi UFJ Financial Group Inc. | 2.03 | % | ||
Shire PLC | 2.03 | % | ||
AIA Group Ltd. | 1.89 | % |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
State Street Institutional International Equity Fund | 37 |
Table of Contents
State Street Institutional International Equity Fund
Understanding Your Fund’s Expenses — March 31, 2017 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following 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.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2017.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, 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 given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table 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 shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,039.50 | $ | 1,022.10 | ||||
Expenses paid during the period* | $ | 2.90 | $ | 2.87 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,038.30 | $ | 1,020.80 | ||||
Expenses paid during the period* | $ | 4.17 | $ | 4.13 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.57% for Investment Class shares and 0.82% for Service Class shares (for the period October 1, 2016-March 31, 2017), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
38 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments — March 31, 2017 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Common Stock - 98.7% † | ||||||||
Australia - 0.8% |
| |||||||
Suncorp Group Ltd. | 940,884 | 9,481,520 | ||||||
|
| |||||||
Belgium - 1.0% |
| |||||||
Anheuser-Busch InBev S.A. | 111,224 | 12,240,941 | ||||||
|
| |||||||
Canada - 2.3% |
| |||||||
Brookfield Asset Management Inc., Class A (l) | 170,067 | 6,178,342 | ||||||
Cenovus Energy Inc. | 907,699 | 10,243,220 | ||||||
Seven Generations Energy Ltd., Class A (a) | 657,486 | 11,979,837 | ||||||
|
| |||||||
28,401,399 | ||||||||
|
| |||||||
China - 1.1% |
| |||||||
NetEase Inc. ADR | 46,472 | 13,198,048 | ||||||
|
| |||||||
France - 12.0% |
| |||||||
Airbus SE | 200,276 | 15,279,251 | ||||||
AXA S.A. | 711,947 | 18,469,276 | ||||||
BNP Paribas S.A. | 495,182 | 33,064,283 | ||||||
Sanofi | 218,840 | 19,806,177 | ||||||
Schneider Electric SE | 231,476 | 16,991,077 | ||||||
Valeo S.A. | 241,923 | 16,153,678 | ||||||
Vivendi S.A. | 1,078,081 | 21,014,539 | ||||||
Zodiac Aerospace | 241,044 | 6,045,610 | ||||||
|
| |||||||
146,823,891 | ||||||||
|
| |||||||
Germany - 9.0% |
| |||||||
Bayer AG | 166,287 | 19,216,930 | ||||||
Fresenius SE & Company KGaA | 204,088 | 16,443,201 | ||||||
HeidelbergCement AG | 196,553 | 18,449,187 | ||||||
KION Group AG | 172,689 | 11,309,147 | ||||||
Linde AG | 39,328 | 6,566,073 | ||||||
SAP SE | 210,941 | 20,751,779 | ||||||
Wacker Chemie AG | 56,417 | 5,825,902 | ||||||
Zalando SE (a) | 306,412 | 12,428,888 | ||||||
|
| |||||||
110,991,107 | ||||||||
|
| |||||||
Hong Kong - 1.9% |
| |||||||
AIA Group Ltd. | 3,660,402 | 23,079,161 | ||||||
|
| |||||||
India - 2.5% |
| |||||||
ICICI Bank Ltd. | 3,460,081 | 14,725,393 | ||||||
Power Grid Corporation of India Ltd. | 5,241,086 | 15,920,601 | ||||||
|
| |||||||
30,645,994 | ||||||||
|
| |||||||
Ireland - 1.1% |
| |||||||
Kerry Group PLC, Class A | 175,595 | 13,841,417 | ||||||
|
|
Number of Shares | Fair Value $ | |||||||
Italy - 1.2% |
| |||||||
Intesa Sanpaolo S.p.A. | 5,476,315 | 14,912,407 | ||||||
|
| |||||||
Japan - 26.0% |
| |||||||
Daikin Industries Ltd. | 208,600 | 20,938,625 | ||||||
East Japan Railway Co. | 34,000 | 2,957,875 | ||||||
FANUC Corp. | 146,849 | 30,073,536 | ||||||
Fuji Heavy Industries Ltd. | 406,400 | 14,891,243 | ||||||
Kao Corp. | 390,600 | 21,396,593 | ||||||
Keyence Corp. | 62,800 | 25,124,509 | ||||||
Komatsu Ltd. | 868,000 | 22,601,651 | ||||||
Mitsubishi Estate Company Ltd. | 834,724 | 15,206,764 | ||||||
Mitsubishi UFJ Financial Group Inc. | 3,953,300 | 24,823,872 | ||||||
Mitsui Fudosan Company Ltd. | 868,825 | 18,510,191 | ||||||
Murata Manufacturing Company Ltd. | 100,479 | 14,278,785 | ||||||
Nidec Corp. | 237,474 | 22,579,530 | ||||||
Secom Company Ltd. | 254,300 | 18,186,455 | ||||||
Sekisui House Ltd. | 1,066,100 | 17,517,985 | ||||||
Shimano Inc. | 101,800 | 14,845,643 | ||||||
SoftBank Group Corp. | 358,801 | 25,315,386 | ||||||
Tokio Marine Holdings Inc. | 226,046 | 9,526,268 | ||||||
|
| |||||||
318,774,911 | ||||||||
|
| |||||||
Netherlands - 5.3% |
| |||||||
ASML Holding N.V. | 218,150 | 29,025,287 | ||||||
ING Groep N.V. | 1,204,626 | 18,256,731 | ||||||
NXP Semiconductors N.V. (a) | 175,050 | 18,117,675 | ||||||
|
| |||||||
65,399,693 | ||||||||
|
| |||||||
Norway - 1.6% |
| |||||||
Statoil ASA | 1,165,083 | 19,899,833 | ||||||
|
| |||||||
Portugal - 0.7% |
| |||||||
Galp Energia SGPS S.A. | 558,251 | 8,493,422 | ||||||
|
| |||||||
South Africa - 1.8% |
| |||||||
Naspers Ltd., Class N | 125,960 | 21,746,800 | ||||||
|
| |||||||
South Korea - 1.6% |
| |||||||
KEPCO Plant Service & Engineering Company Ltd. | 56,868 | 3,173,176 | ||||||
Samsung Electronics Company Ltd. | 8,827 | 16,260,056 | ||||||
|
| |||||||
19,433,232 | ||||||||
|
| |||||||
Spain - 2.1% |
| |||||||
Banco Bilbao Vizcaya Argentaria S.A. | 2,447,676 | 19,032,212 | ||||||
Iberdrola S.A. | 882,116 | 6,325,945 | ||||||
|
| |||||||
25,358,157 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional International Equity Fund | 39 |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Sweden - 4.7% |
| |||||||
Assa Abloy AB, Class B | 950,869 | 19,628,054 | ||||||
Hexagon AB, Class B | 371,410 | 14,975,706 | ||||||
Svenska Cellulosa AB SCA, Class B | 268,379 | 8,687,156 | ||||||
Telefonaktiebolaget LM Ericsson, Class B | 2,097,960 | 14,051,724 | ||||||
|
| |||||||
57,342,640 | ||||||||
|
| |||||||
Switzerland - 7.9% |
| |||||||
Geberit AG | 32,914 | 14,198,776 | ||||||
Givaudan S.A. | 8,672 | 15,629,440 | ||||||
Nestle S.A. | 480,031 | 36,855,370 | ||||||
Roche Holding AG | 115,968 | 29,636,460 | ||||||
|
| |||||||
96,320,046 | ||||||||
|
| |||||||
Taiwan - 1.7% |
| |||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 3,402,548 | 21,194,087 | ||||||
|
| |||||||
United Kingdom - 12.4% |
| |||||||
Barclays PLC | 6,398,740 | 18,010,939 | ||||||
BHP Billiton PLC | 1,397,655 | 21,566,592 |
Number of Shares | Fair Value $ | |||||||
Johnson Matthey PLC | 347,389 | 13,379,293 | ||||||
Prudential PLC | 614,606 | 12,957,486 | ||||||
Shire PLC | 425,738 | 24,813,493 | ||||||
Smith & Nephew PLC | 1,213,803 | 18,456,450 | ||||||
TechnipFMC PLC (a) | 266,352 | 8,714,378 | ||||||
Vodafone Group PLC | 8,544,663 | 22,234,809 | ||||||
WPP PLC | 553,881 | 12,134,362 | ||||||
|
| |||||||
152,267,802 | ||||||||
|
| |||||||
Total Common Stock (Cost $1,098,280,395) | 1,209,846,508 | |||||||
|
| |||||||
Short-Term Investments - 0.9% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.66% | 10,422,760 | 10,422,760 | ||||||
|
| |||||||
Total Investments (Cost $1,108,703,155) | 1,220,269,268 | |||||||
Other Assets and Liabilities, net - 0.4% | 5,045,513 | |||||||
|
| |||||||
NET ASSETS - 100.0% | 1,225,314,781 | |||||||
|
|
Other Information:
The Fund had the following short futures contracts open at March 31, 2017:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation | ||||||||||||
MSCI EAFE Mini Index Futures | June 2017 | 24 | $ | (2,138,400 | ) | $ | 6,119 | |||||||||
|
|
The Fund was invested in the following sectors at March 31, 2017 (unaudited):
Sector | Percentage (based on Fair Value) | |||
Diversified Banks | 11.71% | |||
Pharmaceuticals | 5.63% | |||
Building Products | 4.49% | |||
Packaged Foods & Meats | 4.16% | |||
Wireless Telecommunication Services | 3.90% | |||
Electronic Equipment & Instruments | 3.29% | |||
Electrical Components & Equipment | 3.24% | |||
Semiconductors | 3.22% | |||
Integrated Oil & Gas | 3.17% | |||
Life & Health Insurance | 2.95% | |||
Specialty Chemicals | 2.86% | |||
Construction Machinery & Heavy Trucks | 2.78% | |||
Diversified Real Estate Activities | 2.76% | |||
Industrial Machinery | 2.47% |
Sector, continued | Percentage (based on Fair Value) | |||
Semiconductor Equipment | 2.38% | |||
Biotechnology | 2.03% | |||
Electric Utilities | 1.82% | |||
Cable & Satellite | 1.78% | |||
Diversified Metals & Mining | 1.77% | |||
Personal Products | 1.75% | |||
Aerospace & Defense | 1.75% | |||
Movies & Entertainment | 1.72% | |||
Application Software | 1.70% | |||
Property & Casualty Insurance | 1.56% | |||
Multi-Line Insurance | 1.51% | |||
Healthcare Equipment | 1.51% | |||
Construction Materials | 1.51% | |||
Security & Alarm Services | 1.49% |
See Notes to Schedules of Investments and Notes to Financial Statements.
40 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Sector, continued | Percentage (based on Fair Value) | |||
Home Building | 1.44% | |||
Healthcare Services | 1.35% | |||
Technology Hardware, Storage & Peripherals | 1.33% | |||
Auto Parts & Equipment | 1.32% | |||
Automobile Manufacturers | 1.22% | |||
Leisure Products | 1.22% | |||
Electronic Components | 1.17% | |||
Communications Equipment | 1.15% | |||
Internet Software & Services | 1.08% | |||
Internet & Direct Marketing Retail | 1.02% | |||
Brewers | 1.00% | |||
Advertising | 0.99% | |||
Oil & Gas Exploration & Production | 0.98% | |||
Oil & Gas Equipment & Services | 0.71% |
Sector, continued | Percentage (based on Fair Value) | |||
Household Products | 0.71% | |||
Industrial Gases | 0.54% | |||
Asset Management & Custody Banks | 0.51% | |||
Diversified Support Services | 0.26% | |||
Railroads | 0.24% | |||
|
| |||
99.15% | ||||
|
| |||
Short-Term Investments | ||||
Short-Term Investments | 0.85% | |||
|
| |||
0.85% | ||||
|
| |||
100.00% | ||||
|
| |||
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 3/31/17 | Value at 3/31/17 | Dividend/ Interest Income | ||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 39,027,683 | $ | 39,027,683 | 142,888,068 | 171,492,991 | 10,422,760 | $ | 10,422,760 | $ | 48,393 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 39,027,683 | $ | 10,422,760 | $ | 48,393 | |||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional International Equity Fund | 41 |
Table of Contents
State Street Institutional Strategic Investment Fund
Performance Summary — March 31, 2017 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek to maximize total return. The Fund seeks to achieve its investment objective by investing primarily in a combination of U.S. and foreign (non-U.S.) equity and debt securities and cash. The portfolio managers will allocate the Fund’s assets across various asset classes in order to diversify the Fund’s holdings and to adjust the asset class weightings based on market and economic conditions.
Sector Allocation as of March 31, 2017
Portfolio Compositions as a % of Fair Value of Investments of $782,693 (in thousands) on March 31, 2017 (a)(b)
Top Ten Largest Equity Holdings
as of March 31, 2017 (as a % of Fair Value) (a)(b)
Nestle S.A. | 0.55 | % | ||
BNP Paribas S.A. | 0.49 | % | ||
FANUC Corp. | 0.45 | % | ||
Roche Holding AG | 0.44 | % | ||
ASML Holding N.V. | 0.43 | % | ||
Taiwan Semiconductor Manufacturing Company Ltd. | 0.38 | % | ||
SoftBank Group Corp. | 0.38 | % | ||
Keyence Corp. | 0.37 | % | ||
Mitsubishi UFJ Financial Group Inc. | 0.37 | % | ||
Shire PLC | 0.37 | % |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
42 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Understanding Your Fund’s Expenses — March 31, 2017 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following 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.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2017.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, 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 given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table 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 shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,038.60 | $ | 1,023.10 | ||||
Expenses paid during the period* | $ | 1.83 | $ | 1.82 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 1,038.00 | $ | 1,021.90 | ||||
Expenses paid during the period* | $ | 3.10 | $ | 3.07 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.36% for Investment Class shares and 0.61% for Service Class shares (for the period October 1, 2016-March 31, 2017), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
State Street Institutional Strategic Investment Fund | 43 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
Domestic Equity - 0.0%† | ||||||||
Preferred Stock - 0.0%* | ||||||||
Diversified Banks - 0.0%* |
| |||||||
Wells Fargo & Co. 3.09% | 9,802 | 260,733 | ||||||
|
| |||||||
Foreign Equity - 20.0% | ||||||||
Common Stock - 19.9% | ||||||||
Advertising - 0.2% |
| |||||||
WPP PLC | 64,428 | 1,411,481 | ||||||
|
| |||||||
Aerospace & Defense - 0.3% |
| |||||||
Airbus SE | 23,312 | 1,778,495 | ||||||
Zodiac Aerospace | 27,910 | 700,009 | ||||||
|
| |||||||
2,478,504 | ||||||||
|
| |||||||
Application Software - 0.3% |
| |||||||
SAP SE | 24,554 | 2,415,553 | ||||||
|
| |||||||
Asset Management & Custody Banks - 0.1% |
| |||||||
Brookfield Asset Management Inc., Class A | 19,796 | 719,166 | ||||||
|
| |||||||
Auto Parts & Equipment - 0.3% |
| |||||||
Superalloy Industrial Company Ltd. | 8,812 | 51,561 | ||||||
Valeo S.A. | 28,383 | 1,895,189 | ||||||
|
| |||||||
1,946,750 | ||||||||
|
| |||||||
Automobile Manufacturers - 0.3% |
| |||||||
Fuji Heavy Industries Ltd. | 47,300 | 1,733,159 | ||||||
Mahindra & Mahindra Ltd. | 13,733 | 273,243 | ||||||
|
| |||||||
2,006,402 | ||||||||
|
| |||||||
Biotechnology - 0.4% |
| |||||||
Shire PLC | 49,556 | 2,888,296 | ||||||
|
| |||||||
Brewers - 0.2% |
| |||||||
Anheuser-Busch InBev S.A. | 12,893 | 1,418,960 | ||||||
|
| |||||||
Broadcasting - 0.0%* |
| |||||||
Media Nusantara Citra Tbk PT | 300,600 | 41,733 | ||||||
|
| |||||||
Building Products - 0.8% |
| |||||||
Assa Abloy AB, Class B (l) | 110,730 | 2,285,714 | ||||||
Daikin Industries Ltd. | 24,300 | 2,439,159 | ||||||
Geberit AG (l) | 3,831 | 1,652,656 | ||||||
|
| |||||||
6,377,529 | ||||||||
|
| |||||||
Cable & Satellite - 0.4% |
| |||||||
Naspers Ltd., Class N | 16,443 | 2,838,859 | ||||||
|
|
Principal Amount ($) or Shares | Fair $ | |||||||
Communications Equipment - 0.2% |
| |||||||
Telefonaktiebolaget LM Ericsson, Class B | 243,806 | 1,632,965 | ||||||
|
| |||||||
Construction & Engineering - 0.0%* |
| |||||||
Hyundai Engineering & Construction Company Ltd. | 1,315 | 58,207 | ||||||
|
| |||||||
Construction Machinery & Heavy Trucks - 0.5% |
| |||||||
Iochpe-Maxion S.A. | 9,420 | 49,459 | ||||||
KION Group AG | 20,101 | 1,316,385 | ||||||
Komatsu Ltd. | 101,000 | 2,629,916 | ||||||
|
| |||||||
3,995,760 | ||||||||
|
| |||||||
Construction Materials - 0.3% |
| |||||||
Cemex SAB de C.V. ADR (a) | 19,361 | 175,604 | ||||||
HeidelbergCement AG | 22,879 | 2,147,507 | ||||||
|
| |||||||
2,323,111 | ||||||||
|
| |||||||
Department Stores - 0.0%* |
| |||||||
Matahari Department Store Tbk PT | 112,276 | 111,008 | ||||||
SACI Falabella | 3,855 | 32,069 | ||||||
Woolworths Holdings Ltd. | 14,762 | 76,966 | ||||||
|
| |||||||
220,043 | ||||||||
|
| |||||||
Diversified Banks - 2.5% |
| |||||||
Banco Bilbao Vizcaya Argentaria S.A. (l) | 284,649 | 2,213,324 | ||||||
Bank Negara Indonesia Persero Tbk PT | 301,800 | 146,648 | ||||||
Barclays PLC (l) | 745,179 | 2,097,502 | ||||||
BNP Paribas S.A. | 57,570 | 3,844,063 | ||||||
China Construction Bank Corp., Class H | 503,000 | 404,523 | ||||||
CTBC Financial Holding Company Ltd. | 280,296 | 173,208 | ||||||
Grupo Financiero Banorte SAB de C.V., Class O | 13,860 | 79,286 | ||||||
ICICI Bank Ltd. | 464,770 | 1,977,965 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 311,203 | 203,424 | ||||||
ING Groep N.V. | 140,220 | 2,125,107 | ||||||
Intesa Sanpaolo S.p.A. | 637,449 | 1,735,820 | ||||||
Kasikornbank PCL | 15,800 | 86,903 | ||||||
Malayan Banking Bhd | 62,288 | 125,547 | ||||||
Metropolitan Bank & Trust Co. | 62,834 | 100,184 | ||||||
Mitsubishi UFJ Financial Group Inc. | 460,600 | 2,892,236 | ||||||
OTP Bank PLC | 3,049 | 85,460 | ||||||
Qatar National Bank QPSC | 1,464 | 58,743 | ||||||
Sberbank of Russia PJSC ADR | 24,320 | 280,653 |
See Notes to Schedules of Investments and Notes to Financial Statements.
44 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
Shinhan Financial Group Company Ltd. | 3,616 | 150,680 | ||||||
|
| |||||||
18,781,276 | ||||||||
|
| |||||||
Diversified Chemicals - 0.0%* |
| |||||||
Sasol Ltd. | 4,548 | 132,481 | ||||||
|
| |||||||
Diversified Metals & Mining - 0.4% |
| |||||||
BHP Billiton PLC (l) | 162,763 | 2,511,524 | ||||||
Korea Zinc Company Ltd. | 340 | 131,342 | ||||||
|
| |||||||
2,642,866 | ||||||||
|
| |||||||
Diversified Real Estate Activities - 0.5% |
| |||||||
Mitsubishi Estate Company Ltd. | 97,588 | 1,777,831 | ||||||
Mitsui Fudosan Company Ltd. | 100,799 | 2,147,508 | ||||||
|
| |||||||
3,925,339 | ||||||||
|
| |||||||
Diversified Support Services - 0.1% |
| |||||||
KEPCO Plant Service & Engineering Company Ltd. | 10,104 | 563,793 | ||||||
|
| |||||||
Education Services - 0.0%* |
| |||||||
New Oriental Education & Technology Group Inc. ADR (a) | 1,158 | 69,920 | ||||||
|
| |||||||
Electric Utilities - 0.4% |
| |||||||
Iberdrola S.A. | 102,693 | 736,445 | ||||||
Power Grid Corporation of India Ltd. | 678,471 | 2,060,960 | ||||||
|
| |||||||
2,797,405 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.6% |
| |||||||
Nidec Corp. | 27,600 | 2,624,266 | ||||||
Schneider Electric SE | 26,925 | 1,976,381 | ||||||
|
| |||||||
4,600,647 | ||||||||
|
| |||||||
Electronic Components - 0.3% |
| |||||||
Largan Precision Company Ltd. | 1,889 | 297,583 | ||||||
Murata Manufacturing Company Ltd. | 11,699 | 1,662,512 | ||||||
|
| |||||||
1,960,095 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.6% |
| |||||||
Hexagon AB, Class B | 43,233 | 1,743,208 | ||||||
Keyence Corp. | 7,300 | 2,920,524 | ||||||
|
| |||||||
4,663,732 | ||||||||
|
| |||||||
Food Retail - 0.0%* |
| |||||||
Magnit PJSC GDR | 3,311 | 126,480 | ||||||
|
|
Principal Amount ($) or Shares | Fair $ | |||||||
Footwear - 0.0%* |
| |||||||
Anta Sports Products Ltd. | 13,000 | 35,965 | ||||||
|
| |||||||
Healthcare Equipment - 0.3% |
| |||||||
i-SENS Inc. | 1,927 | 50,747 | ||||||
Smith & Nephew PLC | 141,328 | 2,148,959 | ||||||
|
| |||||||
2,199,706 | ||||||||
|
| |||||||
Healthcare Services - 0.3% |
| |||||||
Fresenius SE & Company KGaA | 23,756 | 1,914,001 | ||||||
|
| |||||||
Highways & Railtracks - 0.0%* |
| |||||||
CCR S.A. | 19,441 | 110,525 | ||||||
|
| |||||||
Home Building - 0.3% |
| |||||||
Sekisui House Ltd. | 124,100 | 2,039,191 | ||||||
|
| |||||||
Household Appliances - 0.0%* |
| |||||||
Techtronic Industries Company Ltd. | 9,880 | 39,983 | ||||||
|
| |||||||
Household Products - 0.1% |
| |||||||
Svenska Cellulosa AB SCA, Class B | 31,240 | 1,011,207 | ||||||
|
| |||||||
Hypermarkets & Super Centers - 0.0%* |
| |||||||
Puregold Price Club Inc. | 35,400 | 30,832 | ||||||
|
| |||||||
Industrial Conglomerates - 0.0%* |
| |||||||
Fosun International Ltd. | 31,500 | 47,342 | ||||||
|
| |||||||
Industrial Gases - 0.1% |
| |||||||
Linde AG | 4,578 | 764,328 | ||||||
|
| |||||||
Industrial Machinery - 0.5% |
| |||||||
FANUC Corp. | 17,100 | 3,501,947 | ||||||
|
| |||||||
Integrated Oil & Gas - 0.6% |
| |||||||
Cenovus Energy Inc. | 105,658 | 1,192,331 | ||||||
China Petroleum & Chemical Corp., Class H | 133,725 | 108,405 | ||||||
Galp Energia SGPS S.A. (l) | 65,268 | 993,010 | ||||||
Statoil ASA | 135,617 | 2,316,363 | ||||||
|
| |||||||
4,610,109 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.2% |
| |||||||
Ctrip.com International Ltd. ADR (a) | 1,994 | 98,005 | ||||||
Zalando SE (a) | 35,877 | 1,455,267 | ||||||
|
| |||||||
1,553,272 | ||||||||
|
| |||||||
Internet Software & Services - 0.5% |
| |||||||
Alibaba Group Holding Ltd. ADR (a) | 4,594 | 495,371 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 45 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
Baidu Inc. ADR (a) | 692 | 119,384 | ||||||
NAVER Corp. | 254 | 194,196 | ||||||
NetEase Inc. ADR | 6,640 | 1,885,760 | ||||||
Tencent Holdings Ltd. | 20,255 | 580,688 | ||||||
Yandex N.V., Class A (a) | 8,066 | 176,887 | ||||||
|
| |||||||
3,452,286 | ||||||||
|
| |||||||
IT Consulting & Other Services - 0.0%* |
| |||||||
HCL Technologies Ltd. | 12,501 | 168,644 | ||||||
|
| |||||||
Leisure Products - 0.2% |
| |||||||
Shimano Inc. | 11,800 | 1,720,811 | ||||||
|
| |||||||
Life & Health Insurance - 0.6% |
| |||||||
AIA Group Ltd. | 454,320 | 2,864,528 | ||||||
China Life Insurance Company Ltd., Class H | 14,000 | 42,965 | ||||||
Ping An Insurance Group Company of China Ltd., Class H | 23,500 | 131,538 | ||||||
Prudential PLC | 71,541 | 1,508,270 | ||||||
|
| |||||||
4,547,301 | ||||||||
|
| |||||||
Movies & Entertainment - 0.3% |
| |||||||
Vivendi S.A. | 125,490 | 2,446,119 | ||||||
|
| |||||||
Multi-Line Insurance - 0.3% |
| |||||||
AXA S.A. (l) | 82,871 | 2,149,833 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 0.1% |
| |||||||
TechnipFMC PLC (a) | 31,004 | 1,014,374 | ||||||
|
| |||||||
Oil & Gas Exploration & Production - 0.2% |
| |||||||
CNOOC Ltd. | 72,000 | 85,976 | ||||||
Parex Resources Inc. (a) | 19,345 | 245,865 | ||||||
Seven Generations Energy Ltd., Class A (a) | 76,532 | 1,394,464 | ||||||
|
| |||||||
1,726,305 | ||||||||
|
| |||||||
Other Diversified Financial Services - 0.0%* |
| |||||||
FirstRand Ltd. | 29,002 | 100,273 | ||||||
|
| |||||||
Packaged Foods & Meats - 0.8% |
| |||||||
Kerry Group PLC, Class A | 20,439 | 1,611,120 | ||||||
Nestle S.A. | 55,963 | 4,296,675 | ||||||
|
| |||||||
5,907,795 | ||||||||
|
| |||||||
Personal Products - 0.3% |
| |||||||
Kao Corp. | 45,400 | 2,486,957 | ||||||
LG Household & Health Care Ltd. | 55 | 39,886 | ||||||
|
| |||||||
2,526,843 | ||||||||
|
|
Principal Amount ($) or Shares | Fair $ | |||||||
Pharmaceuticals - 1.1% |
| |||||||
Bayer AG (l) | 19,356 | 2,236,873 | ||||||
CSPC Pharmaceutical Group Ltd. | 82,095 | 107,537 | ||||||
Roche Holding AG (l) | 13,499 | 3,449,767 | ||||||
Sanofi | 25,465 | 2,304,717 | ||||||
Sino Biopharmaceutical Ltd. | 55,000 | 45,294 | ||||||
|
| |||||||
8,144,188 | ||||||||
|
| |||||||
Property & Casualty Insurance - 0.3% |
| |||||||
PICC Property & Casualty Company Ltd., Class H | 30,000 | 46,246 | ||||||
Suncorp Group Ltd. | 110,170 | 1,110,210 | ||||||
Tokio Marine Holdings Inc. | 26,300 | 1,108,362 | ||||||
|
| |||||||
2,264,818 | ||||||||
|
| |||||||
Railroads - 0.1% |
| |||||||
East Japan Railway Co. | 4,000 | 347,985 | ||||||
|
| |||||||
Real Estate Development - 0.0%* |
| |||||||
Bumi Serpong Damai Tbk PT | 263,400 | 37,260 | ||||||
|
| |||||||
Restaurants - 0.0%* |
| |||||||
Gourmet Master Company Ltd. | 3,000 | 28,376 | ||||||
|
| |||||||
Security & Alarm Services - 0.3% |
| |||||||
Secom Company Ltd. | 29,600 | 2,116,866 | ||||||
|
| |||||||
Semiconductor Equipment - 0.4% |
| |||||||
ASML Holding N.V. (l) | 25,376 | 3,376,327 | ||||||
|
| |||||||
Semiconductors - 0.7% |
| |||||||
MediaTek Inc. | 7,000 | 49,601 | ||||||
NXP Semiconductors N.V. (a) | 20,376 | 2,108,916 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 480,876 | 2,995,322 | ||||||
|
| |||||||
5,153,839 | ||||||||
|
| |||||||
Soft Drinks - 0.0%* |
| |||||||
Coca-Cola Icecek AS | 3,691 | 36,123 | ||||||
|
| |||||||
Specialty Chemicals - 0.5% |
| |||||||
Givaudan S.A. (l) | 1,009 | 1,818,509 | ||||||
Johnson Matthey PLC | 40,509 | 1,560,158 | ||||||
Wacker Chemie AG | 6,567 | 678,141 | ||||||
|
| |||||||
4,056,808 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.3% |
| |||||||
Samsung Electronics Company Ltd. | 1,407 | 2,591,809 | ||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.0%* |
| |||||||
Housing Development Finance Corporation Ltd. | 9,753 | 225,272 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
46 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
Wireless Telecommunication Services - 0.8% |
| |||||||
China Mobile Ltd. | 18,290 | 200,163 | ||||||
SK Telecom Company Ltd. | 197 | 44,392 | ||||||
SoftBank Group Corp. | 41,800 | 2,949,220 | ||||||
Vodafone Group PLC | 994,609 | 2,588,159 | ||||||
|
| |||||||
5,781,934 | ||||||||
|
| |||||||
Total Common Stock (Cost $136,266,408) | 150,817,950 | |||||||
|
| |||||||
Preferred Stock - 0.1% | ||||||||
Diversified Banks - 0.1% |
| |||||||
Itau Unibanco Holding S.A. | 21,712 | 259,180 | ||||||
|
| |||||||
Integrated Oil & Gas - 0.0%* |
| |||||||
Petroleo Brasileiro S.A. (a) | 50,800 | 231,844 | ||||||
|
| |||||||
Steel - 0.0%* |
| |||||||
Vale S.A. | 13,388 | 118,955 | ||||||
|
| |||||||
Total Preferred Stock (Cost $407,205) | 609,979 | |||||||
|
| |||||||
Warrants - 0.0%* | ||||||||
Construction Machinery & Heavy Trucks - 0.0%* |
| |||||||
Iochpe-Maxion S.A. (a) | 234 | 370 | ||||||
|
| |||||||
Total Warrants (Cost $0) | 370 | |||||||
|
| |||||||
Total Foreign Equity (Cost $136,673,613) | 151,428,299 | |||||||
|
| |||||||
Bonds and Notes - 31.9% | ||||||||
U.S. Treasuries - 7.7% |
| |||||||
U.S. Treasury Bond | ||||||||
3.00%, 02/15/47 (l) | 6,146,600 | 6,121,387 | ||||||
U.S. Treasury Notes | ||||||||
0.75%, 09/30/18 (l) | 5,091,600 | 5,058,586 | ||||||
0.88%, 10/15/18 - 06/15/19 (l) | 15,913,800 | 15,784,459 | ||||||
1.25%, 12/31/18 | 970,000 | 970,379 | ||||||
1.75%, 02/28/22 | 10,941,100 | 10,843,232 | ||||||
2.13%, 02/29/24 | 17,340,800 | 17,243,258 | ||||||
2.25%, 02/15/27 | 1,973,800 | 1,948,356 | ||||||
|
| |||||||
57,969,657 | ||||||||
|
| |||||||
Agency Mortgage Backed - 8.8% |
| |||||||
Federal Home Loan Mortgage Corp. | ||||||||
3.50%, 12/01/46 (l) | 9,554,729 | 9,779,582 | ||||||
4.50%, 06/01/33 - 02/01/35 (l) | 3,744 | 4,027 | ||||||
5.00%, 07/01/35 - 06/01/41 (l) | 526,597 | 584,027 | ||||||
5.50%, 05/01/20 - 04/01/39 (l) | 110,562 | 126,225 | ||||||
6.00%, 04/01/17 - 11/01/37 (l) | 142,307 | 163,692 | ||||||
6.50%, 06/01/29 (l) | 861 | 958 |
Principal Amount ($) or Shares | Fair $ | |||||||
7.00%, 08/01/23 - 08/01/36 (l) | 121,240 | 128,435 | ||||||
7.50%, 09/01/33 (l) | 428 | 449 | ||||||
8.00%, 04/01/30 - 11/01/30 (l) | 541 | 612 | ||||||
9.00%, 06/01/21 (l) | 23 | 23 | ||||||
Federal National Mortgage Assoc. | ||||||||
3.00%, 02/01/43 - 10/01/46 (l) | 9,337,646 | 9,310,827 | ||||||
3.50%, 11/01/42 - 08/01/45 (l) | 4,303,080 | 4,409,814 | ||||||
4.00%, 05/01/19 - 03/01/44 (l) | 4,031,947 | 4,253,097 | ||||||
4.50%, 05/01/18 - 01/01/41 (l) | 3,841,979 | 4,131,713 | ||||||
5.00%, 07/01/20 - 06/01/41 (l) | 830,288 | 923,311 | ||||||
5.50%, 06/01/20 - 01/01/39 (l) | 769,690 | 858,994 | ||||||
6.00%, 02/01/20 - 05/01/41 (l) | 1,089,059 | 1,241,255 | ||||||
6.50%, 08/01/17 - 08/01/34 (l) | 96,107 | 106,808 | ||||||
7.00%, 08/01/17 - 12/01/33 (l) | 850 | 896 | ||||||
7.50%, 12/01/23 - 12/01/33 (l) | 4,312 | 4,705 | ||||||
8.00%, 11/01/25 - 01/01/33 (l) | 685 | 749 | ||||||
9.00%, 12/01/17 - 12/01/22 (l) | 340 | 365 | ||||||
Federal National Mortgage | ||||||||
2.72%, 04/01/37 (h)(l) | 689 | 705 | ||||||
Federal National Mortgage Assoc. | ||||||||
2.50%, TBA (c) | 4,322,438 | 4,323,789 | ||||||
3.00%, TBA (c) | 1,955,471 | 2,004,663 | ||||||
3.50%, TBA (c) | 204,189 | 208,879 | ||||||
4.00%, TBA (c) | 8,079,357 | 8,474,488 | ||||||
Government National Mortgage Assoc. | ||||||||
3.50%, 05/20/43 (l) | 1,314,646 | 1,368,830 | ||||||
4.00%, 01/20/41 - 04/20/43 (l) | 1,504,910 | 1,600,728 | ||||||
4.50%, 08/15/33 - 03/20/41 (l) | 709,969 | 766,286 | ||||||
5.00%, 08/15/33 (l) | 10,021 | 11,062 | ||||||
6.00%, 06/15/33 - 12/15/34 (l) | 44,520 | 51,543 | ||||||
6.50%, 04/15/28 - 06/15/34 (l) | 11,432 | 12,961 | ||||||
7.00%, 04/15/28 - 10/15/36 (l) | 6,952 | 7,663 | ||||||
8.00%, 06/15/30 (l) | 31 | 32 | ||||||
8.50%, 10/15/17 (l) | 22 | 22 | ||||||
9.00%, 11/15/17 - 12/15/21 (l) | 117 | 128 | ||||||
3.00%, TBA (c) | 5,921,043 | 5,972,852 | ||||||
3.50%, TBA (c) | 5,831,544 | 6,045,899 | ||||||
5.00%, TBA (c) | 75,000 | 81,945 | ||||||
|
| |||||||
66,963,039 | ||||||||
|
| |||||||
Agency Collateralized Mortgage Obligations - 0.3% |
| |||||||
Collateralized Mortgage Obligation Trust | ||||||||
0.01%, 11/01/18 (d)(f) | 2 | 2 | ||||||
Federal Home Loan Mortgage Corp. | ||||||||
0.08%, 09/25/43 (g)(h) | 73,585 | 156 | ||||||
Federal Home Loan Mortgage Corp. REMIC | ||||||||
3.50%, 11/15/24 - 11/15/30 (g) | 395,480 | 31,828 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 47 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
5.50%, 06/15/33 (g) | 3,140 | 628 | ||||||
7.50%, 07/15/27 (g) | 1,302 | 210 | ||||||
8.00%, 04/15/20 | 2 | 2 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.00% - | ||||||||
5.09%, 08/15/43 (g)(h) | 1,310,230 | 266,532 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.10% - | ||||||||
5.19%, 06/15/41 - 08/15/46 (g)(h) | 3,189,717 | 477,945 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.20% - | ||||||||
5.29%, 10/15/42 (g)(h) | 981,000 | 185,811 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.60% - | ||||||||
5.69%, 08/15/25 (g)(h) | 170,064 | 15,550 | ||||||
Federal Home Loan Mortgage Corp. STRIPS | ||||||||
1.47%, 08/01/27 (d)(f) | 115 | 107 | ||||||
8.00%, 02/01/23 - 07/01/24 (g) | 435 | 75 | ||||||
Federal Home Loan Mortgage Corp. STRIPS 5.95% - | ||||||||
5.04%, 08/15/43 - 03/15/44 (g)(h) | 2,304,609 | 458,765 | ||||||
Federal National Mortgage Assoc. REMIC | ||||||||
0.51%, 12/25/22 (d)(f) | 105 | 80 | ||||||
1.22%, 12/25/42 (g)(h) | 28,983 | 1,374 | ||||||
5.00%, 02/25/40 - 09/25/40 (g) | 176,501 | 19,948 | ||||||
Federal National Mortgage Assoc. REMIC 6.00% - | ||||||||
5.02%, 07/25/38 - 08/25/42 (g)(h) | 3,960,707 | 755,529 | ||||||
Federal National Mortgage Assoc. REMIC 6.60% - | ||||||||
5.62%, 10/25/43 (g)(h) | 914,768 | 209,922 | ||||||
Federal National Mortgage Assoc. STRIPS | ||||||||
4.50%, 08/25/35 - 01/25/36 (g) | 46,513 | 8,625 | ||||||
5.00%, 03/25/38 - 05/25/38 (g) | 25,590 | 5,027 | ||||||
5.50%, 12/25/33 (g) | 5,754 | 1,154 | ||||||
6.00%, 01/25/35 (g) | 26,658 | 5,366 | ||||||
7.50%, 11/25/23 (g) | 2,481 | 409 | ||||||
8.00%, 08/25/23 - 07/25/24 (g) | 875 | 173 | ||||||
8.50%, 07/25/22 (g) | 70 | 9 | ||||||
8.50%, 07/25/22 (g)** | 2 | — | ||||||
9.00%, 05/25/22 (g) | 85 | 10 |
Principal Amount ($) or Shares | Fair $ | |||||||
Government National Mortgage Assoc. | ||||||||
4.50%, 10/20/37 - 08/16/39 (g) | 178,433 | 12,112 | ||||||
5.00%, 10/20/37 - 09/20/38 (g) | 60,104 | 2,118 | ||||||
Government National Mortgage Assoc. 6.80% - | ||||||||
5.87%, 01/16/40 (g)(h) | 286,659 | 53,756 | ||||||
|
| |||||||
2,513,223 | ||||||||
|
| |||||||
Corporate Notes - 12.8% |
| |||||||
21st Century Fox America Inc. | ||||||||
3.38%, 11/15/26 (b) | 102,000 | 99,891 | ||||||
4.75%, 11/15/46 (b) | 44,000 | 44,090 | ||||||
4.95%, 10/15/45 | 34,000 | 35,180 | ||||||
6.65%, 11/15/37 | 160,000 | 200,134 | ||||||
ABB Finance USA Inc. | ||||||||
1.63%, 05/08/17 | 166,000 | 166,062 | ||||||
Abbott Laboratories | ||||||||
2.90%, 11/30/21 | 335,000 | 336,430 | ||||||
3.75%, 11/30/26 | 235,000 | 234,679 | ||||||
4.90%, 11/30/46 | 110,000 | 114,051 | ||||||
AbbVie Inc. | ||||||||
2.00%, 11/06/18 | 211,000 | 211,613 | ||||||
3.20%, 05/14/26 | 235,000 | 225,876 | ||||||
4.45%, 05/14/46 | 84,000 | 80,348 | ||||||
4.70%, 05/14/45 | 70,000 | 69,795 | ||||||
ACCO Brands Corp. | ||||||||
5.25%, 12/15/24 (b) | 143,000 | 143,715 | ||||||
Actavis Funding SCS | ||||||||
1.30%, 06/15/17 | 369,000 | 368,963 | ||||||
3.00%, 03/12/20 | 169,000 | 171,775 | ||||||
3.45%, 03/15/22 | 185,000 | 188,511 | ||||||
3.80%, 03/15/25 | 125,000 | 125,894 | ||||||
4.75%, 03/15/45 | 36,000 | 36,239 | ||||||
Aetna Inc. | ||||||||
3.50%, 11/15/24 | 200,000 | 204,219 | ||||||
Aflac Inc. | ||||||||
4.00%, 10/15/46 | 84,000 | 79,361 | ||||||
Agrium Inc. | ||||||||
4.90%, 06/01/43 | 77,000 | 79,981 | ||||||
Alexandria Real Estate Equities Inc. | ||||||||
3.95%, 01/15/28 | 134,000 | 133,613 | ||||||
Alibaba Group Holding Ltd. | ||||||||
4.50%, 11/28/34 | 205,000 | 212,348 | ||||||
Altria Group Inc. | ||||||||
2.63%, 09/16/26 | 112,000 | 105,890 | ||||||
2.95%, 05/02/23 | 141,000 | 140,216 | ||||||
3.88%, 09/16/46 | 60,000 | 55,506 | ||||||
4.50%, 05/02/43 | 64,000 | 64,892 | ||||||
America Movil SAB de C.V. | ||||||||
3.13%, 07/16/22 | 200,000 | 201,485 |
See Notes to Schedules of Investments and Notes to Financial Statements.
48 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
American Axle & Manufacturing Inc. | ||||||||
6.25%, 04/01/25 (b) | 140,000 | 140,175 | ||||||
6.50%, 04/01/27 (b) | 70,000 | 69,781 | ||||||
6.63%, 10/15/22 | 53,000 | 54,590 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
3.35%, 10/01/20 | 126,000 | 128,017 | ||||||
4.13%, 07/01/24 | 103,000 | 106,010 | ||||||
American Electric Power Company Inc. | ||||||||
2.95%, 12/15/22 | 270,000 | 271,338 | ||||||
American Express Co. | ||||||||
3.63%, 12/05/24 | 159,000 | 159,880 | ||||||
American International Group Inc. | ||||||||
3.75%, 07/10/25 | 192,000 | 190,911 | ||||||
4.50%, 07/16/44 | 35,000 | 33,362 | ||||||
4.80%, 07/10/45 | 106,000 | 105,258 | ||||||
American Tower Corp. (REIT) | ||||||||
3.38%, 10/15/26 | 180,000 | 171,600 | ||||||
3.40%, 02/15/19 | 485,000 | 495,804 | ||||||
AmeriGas Partners LP/AmeriGas Finance Corp. | ||||||||
5.63%, 05/20/24 | 72,000 | 72,360 | ||||||
5.88%, 08/20/26 | 108,000 | 107,460 | ||||||
Amgen Inc. | ||||||||
2.20%, 05/22/19 | 285,000 | 286,859 | ||||||
2.60%, 08/19/26 | 73,000 | 67,661 | ||||||
4.40%, 05/01/45 | 151,000 | 146,524 | ||||||
4.56%, 06/15/48 | 127,000 | 126,091 | ||||||
Amkor Technology Inc. | ||||||||
6.63%, 06/01/21 | 368,000 | 375,360 | ||||||
Anadarko Petroleum Corp. | ||||||||
4.85%, 03/15/21 | 21,000 | 22,463 | ||||||
6.20%, 03/15/40 | 109,000 | 123,057 | ||||||
6.60%, 03/15/46 | 22,000 | 26,548 | ||||||
Anheuser-Busch InBev Finance Inc. | ||||||||
2.65%, 02/01/21 | 123,000 | 123,914 | ||||||
3.65%, 02/01/26 | 524,000 | 529,816 | ||||||
4.70%, 02/01/36 | 101,000 | 106,924 | ||||||
4.90%, 02/01/46 | 251,000 | 271,014 | ||||||
Anheuser-Busch InBev Worldwide Inc. | ||||||||
2.50%, 07/15/22 | 255,000 | 251,993 | ||||||
Anthem Inc. | ||||||||
3.30%, 01/15/23 | 175,000 | 176,480 | ||||||
Apache Corp. | ||||||||
5.10%, 09/01/40 | 107,000 | 110,069 | ||||||
Apple Inc. | ||||||||
2.50%, 02/09/22 | 343,000 | 344,482 | ||||||
3.25%, 02/23/26 | 84,000 | 84,848 |
Principal Amount ($) or Shares | Fair $ | |||||||
3.35%, 02/09/27 | 153,000 | 154,428 | ||||||
3.45%, 02/09/45 | 70,000 | 62,706 | ||||||
3.85%, 08/04/46 | 145,000 | 138,030 | ||||||
4.25%, 02/09/47 | 73,000 | 73,857 | ||||||
4.65%, 02/23/46 | 40,000 | 42,892 | ||||||
Applied Materials Inc. | ||||||||
3.30%, 04/01/27 | 176,000 | 176,209 | ||||||
4.35%, 04/01/47 | 70,000 | 70,803 | ||||||
Aramark Services Inc. | ||||||||
5.13%, 01/15/24 | 179,000 | 187,726 | ||||||
Archer-Daniels-Midland Co. | ||||||||
2.50%, 08/11/26 | 268,000 | 254,518 | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc. | ||||||||
4.25%, 09/15/22 (b) | 200,000 | 201,940 | ||||||
Ascension Health | ||||||||
4.85%, 11/15/53 | 54,000 | 59,488 | ||||||
AstraZeneca PLC | ||||||||
2.38%, 11/16/20 | 71,000 | 71,105 | ||||||
3.38%, 11/16/25 | 118,000 | 118,796 | ||||||
4.38%, 11/16/45 | 35,000 | 35,650 | ||||||
AT&T Inc. | ||||||||
2.45%, 06/30/20 | 317,000 | 316,937 | ||||||
3.00%, 06/30/22 | 272,000 | 270,410 | ||||||
3.40%, 05/15/25 | 187,000 | 180,945 | ||||||
4.25%, 03/01/27 | 234,000 | 237,405 | ||||||
4.45%, 04/01/24 | 242,000 | 252,975 | ||||||
4.50%, 05/15/35 | 169,000 | 159,052 | ||||||
4.75%, 05/15/46 | 37,000 | 34,634 | ||||||
4.80%, 06/15/44 | 135,000 | 126,467 | ||||||
5.25%, 03/01/37 | 145,000 | 147,679 | ||||||
5.45%, 03/01/47 | 182,000 | 185,307 | ||||||
Bank of America Corp. | ||||||||
1.70%, 08/25/17 | 789,000 | 790,419 | ||||||
3.25%, 10/21/27 | 440,000 | 418,794 | ||||||
3.95%, 04/21/25 | 193,000 | 192,146 | ||||||
4.10%, 07/24/23 | 153,000 | 160,241 | ||||||
4.25%, 10/22/26 | 171,000 | 173,619 | ||||||
Bank of America Corp. 1.16% + 3 month USD LIBOR | ||||||||
3.12%, 01/20/23 (h) | 244,000 | 244,938 | ||||||
Bank of America Corp. 1.58% + 3 month USD LIBOR | ||||||||
3.82%, 01/20/28 (h) | 360,000 | 360,732 | ||||||
Bank of America Corp. 1.99% + 3 month USD LIBOR | ||||||||
4.44%, 01/20/48 (h) | 170,000 | 170,193 | ||||||
Barclays PLC | ||||||||
4.34%, 01/10/28 | 200,000 | 199,582 | ||||||
Barrick Gold Corp. | ||||||||
4.10%, 05/01/23 | 54,000 | 57,892 | ||||||
Barrick North America Finance LLC | ||||||||
5.70%, 05/30/41 | 36,000 | 40,720 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 49 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
Baxalta Inc. | ||||||||
2.88%, 06/23/20 | 178,000 | 180,479 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
6.13%, 04/01/36 | 364,000 | 454,327 | ||||||
Berry Plastics Corp. | ||||||||
5.13%, 07/15/23 | 220,000 | 225,500 | ||||||
BHP Billiton Finance USA Ltd. | ||||||||
5.00%, 09/30/43 | 60,000 | 67,344 | ||||||
Biogen Inc. | ||||||||
2.90%, 09/15/20 | 66,000 | 67,170 | ||||||
BMW US Capital LLC | ||||||||
2.00%, 04/11/21 (b) | 96,000 | 94,092 | ||||||
2.80%, 04/11/26 (b) | 133,000 | 127,675 | ||||||
BNP Paribas S.A. | ||||||||
3.80%, 01/10/24 (b) | 200,000 | 198,982 | ||||||
Boardwalk Pipelines LP | ||||||||
4.45%, 07/15/27 | 137,000 | 138,399 | ||||||
BP Capital Markets PLC | ||||||||
1.38%, 05/10/18 | 271,000 | 270,260 | ||||||
3.22%, 11/28/23 | 182,000 | 182,906 | ||||||
Brixmor Operating Partnership LP | ||||||||
3.90%, 03/15/27 | 365,000 | 358,074 | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | ||||||||
3.00%, 01/15/22 (b) | 236,000 | 235,290 | ||||||
3.63%, 01/15/24 (b) | 168,000 | 169,202 | ||||||
3.88%, 01/15/27 (b) | 335,000 | 337,112 | ||||||
Buckeye Partners LP | ||||||||
3.95%, 12/01/26 | 109,000 | 106,742 | ||||||
5.60%, 10/15/44 | 51,000 | 52,284 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
3.65%, 09/01/25 | 120,000 | 124,988 | ||||||
CalAtlantic Group Inc. | ||||||||
5.25%, 06/01/26 | 215,000 | 214,194 | ||||||
Calpine Corp. | ||||||||
5.75%, 01/15/25 | 205,000 | 203,438 | ||||||
5.88%, 01/15/24 (b) | 289,000 | 304,534 | ||||||
Capital One Financial Corp. | ||||||||
4.20%, 10/29/25 | 317,000 | 318,234 | ||||||
Carlson Travel Inc. | ||||||||
6.75%, 12/15/23 (b) | 209,000 | 217,360 | ||||||
Caterpillar Inc. | ||||||||
4.30%, 05/15/44 | 112,000 | 114,039 | ||||||
Catholic Health Initiatives | ||||||||
2.60%, 08/01/18 | 105,000 | 105,628 | ||||||
4.35%, 11/01/42 | 82,000 | 69,893 | ||||||
CBL & Associates LP | ||||||||
5.95%, 12/15/26 | 34,000 | 32,801 | ||||||
CBS Corp. | ||||||||
2.90%, 01/15/27 | 180,000 | 167,630 |
Principal Amount ($) or Shares | Fair $ | |||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||
5.88%, 04/01/24 (b) | 215,000 | 226,825 | ||||||
Celgene Corp. | ||||||||
3.88%, 08/15/25 | 88,000 | 89,937 | ||||||
5.00%, 08/15/45 | 169,000 | 176,845 | ||||||
CenturyLink Inc. | ||||||||
5.80%, 03/15/22 | 269,000 | 277,223 | ||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. | ||||||||
5.13%, 12/15/21 (b) | 347,000 | 352,205 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
3.58%, 07/23/20 | 233,000 | 239,786 | ||||||
4.91%, 07/23/25 | 338,000 | 356,904 | ||||||
6.38%, 10/23/35 | 34,000 | 38,659 | ||||||
6.48%, 10/23/45 | 67,000 | 77,300 | ||||||
Chevron Corp. | ||||||||
3.19%, 06/24/23 | 167,000 | 170,978 | ||||||
Chubb INA Holdings Inc. | ||||||||
4.35%, 11/03/45 | 71,000 | 74,746 | ||||||
Cigna Corp. | ||||||||
3.25%, 04/15/25 | 318,000 | 314,301 | ||||||
Cinemark USA Inc. | ||||||||
4.88%, 06/01/23 | 155,000 | 156,628 | ||||||
Cisco Systems Inc. | ||||||||
2.50%, 09/20/26 | 179,000 | 169,935 | ||||||
Citigroup Inc. | ||||||||
1.75%, 05/01/18 | 391,000 | 390,872 | ||||||
2.05%, 12/07/18 | 296,000 | 296,520 | ||||||
4.45%, 09/29/27 | 100,000 | 101,473 | ||||||
4.65%, 07/30/45 | 54,000 | 56,332 | ||||||
4.75%, 05/18/46 | 170,000 | 167,710 | ||||||
Citigroup Inc. 1.56% + 3 month USD LIBOR | ||||||||
3.89%, 01/10/28 (h) | 172,000 | 172,748 | ||||||
CMS Energy Corp. | ||||||||
4.88%, 03/01/44 | 171,000 | 182,023 | ||||||
CNA Financial Corp. | ||||||||
5.88%, 08/15/20 | 196,000 | 217,394 | ||||||
CNH Industrial N.V. | ||||||||
4.50%, 08/15/23 | 215,000 | 217,956 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
4.25%, 04/30/24 | 349,000 | 363,644 | ||||||
Columbia Pipeline Group Inc. | ||||||||
3.30%, 06/01/20 | 108,000 | 110,045 | ||||||
Comcast Corp. | ||||||||
2.35%, 01/15/27 | 182,000 | 166,685 | ||||||
3.38%, 08/15/25 | 256,000 | 258,275 |
See Notes to Schedules of Investments and Notes to Financial Statements.
50 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
4.20%, 08/15/34 | 171,000 | 173,775 | ||||||
4.60%, 08/15/45 | 170,000 | 175,222 | ||||||
ConocoPhillips Co. | ||||||||
3.35%, 11/15/24 | 317,000 | 319,532 | ||||||
5.95%, 03/15/46 | 36,000 | 44,658 | ||||||
Consolidated Edison Company of New York Inc. | ||||||||
2.90%, 12/01/26 | 155,000 | 150,769 | ||||||
Corporation Andina de Fomento | ||||||||
4.38%, 06/15/22 | 425,000 | 452,884 | ||||||
Credit Suisse AG | ||||||||
1.70%, 04/27/18 | 314,000 | 313,571 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||
3.80%, 06/09/23 | 385,000 | 386,425 | ||||||
CSX Corp. | ||||||||
4.50%, 08/01/54 | 104,000 | 101,111 | ||||||
CVS Health Corp. | ||||||||
3.88%, 07/20/25 | 117,000 | 120,539 | ||||||
5.13%, 07/20/45 | 233,000 | 256,644 | ||||||
Daimler Finance North America LLC | ||||||||
2.38%, 08/01/18 (b) | 528,000 | 531,773 | ||||||
Dana Financing Luxembourg Sarl | ||||||||
6.50%, 06/01/26 (b) | 215,000 | 224,137 | ||||||
Danaher Corp. | ||||||||
4.38%, 09/15/45 | 38,000 | 40,006 | ||||||
Danone S.A. | ||||||||
2.08%, 11/02/21 (b) | 200,000 | 194,612 | ||||||
2.59%, 11/02/23 (b) | 200,000 | 193,506 | ||||||
Delphi Automotive PLC | ||||||||
4.40%, 10/01/46 | 90,000 | 85,726 | ||||||
Deutsche Bank AG | ||||||||
4.25%, 10/14/21 (b) | 183,000 | 187,533 | ||||||
Deutsche Telekom International Finance BV | ||||||||
1.95%, 09/19/21 (b) | 363,000 | 350,620 | ||||||
2.49%, 09/19/23 (b) | 363,000 | 346,955 | ||||||
Devon Energy Corp. | ||||||||
5.00%, 06/15/45 | 113,000 | 113,346 | ||||||
5.85%, 12/15/25 | 138,000 | 158,273 | ||||||
Dexia Credit Local S.A. | ||||||||
2.25%, 01/30/19 (b) | 715,000 | 717,711 | ||||||
Diageo Investment Corp. | ||||||||
2.88%, 05/11/22 | 122,000 | 124,193 | ||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. | ||||||||
3.48%, 06/01/19 (b) | 245,000 | 251,165 | ||||||
4.42%, 06/15/21 (b) | 182,000 | 190,308 | ||||||
6.02%, 06/15/26 (b) | 89,000 | 97,208 | ||||||
8.35%, 07/15/46 (b) | 75,000 | 97,310 | ||||||
Discover Bank | ||||||||
3.10%, 06/04/20 | 250,000 | 254,998 |
Principal Amount ($) or Shares | Fair $ | |||||||
Dollar General Corp. | ||||||||
1.88%, 04/15/18 | 335,000 | 335,299 | ||||||
Dominion Resources Inc. | ||||||||
3.63%, 12/01/24 | 111,000 | 111,538 | ||||||
DTE Energy Co. | ||||||||
2.85%, 10/01/26 | 224,000 | 209,568 | ||||||
Duke Energy Corp. | ||||||||
3.75%, 09/01/46 | 85,000 | 76,599 | ||||||
Duke Energy Progress LLC | ||||||||
4.15%, 12/01/44 | 100,000 | 101,517 | ||||||
Eastman Chemical Co. | ||||||||
3.60%, 08/15/22 | 75,000 | 77,320 | ||||||
Ecopetrol S.A. | ||||||||
5.88%, 05/28/45 | 179,000 | 163,508 | ||||||
Electricite de France S.A. | ||||||||
2.15%, 01/22/19 (b) | 368,000 | 368,396 | ||||||
Eli Lilly & Co. | ||||||||
3.70%, 03/01/45 | 33,000 | 31,591 | ||||||
Embraer Netherlands Finance BV | ||||||||
5.40%, 02/01/27 | 182,000 | 187,729 | ||||||
Emera US Finance LP | ||||||||
3.55%, 06/15/26 | 132,000 | 129,746 | ||||||
4.75%, 06/15/46 | 39,000 | 39,342 | ||||||
Enable Midstream Partners LP | ||||||||
4.40%, 03/15/27 | 320,000 | 317,577 | ||||||
Enbridge Energy Partners LP | ||||||||
5.50%, 09/15/40 | 32,000 | 31,876 | ||||||
Encana Corp. | ||||||||
3.90%, 11/15/21 | 181,000 | 184,896 | ||||||
Energy Transfer Equity LP | ||||||||
5.88%, 01/15/24 | 571,000 | 606,687 | ||||||
Energy Transfer Partners LP | ||||||||
4.20%, 04/15/27 | 170,000 | 167,939 | ||||||
5.30%, 04/15/47 | 84,000 | 80,632 | ||||||
6.50%, 02/01/42 | 123,000 | 132,753 | ||||||
Entergy Louisiana LLC | ||||||||
3.05%, 06/01/31 | 109,000 | 103,265 | ||||||
Enterprise Products Operating LLC | ||||||||
3.95%, 02/15/27 | 326,000 | 332,374 | ||||||
EOG Resources Inc. | ||||||||
4.15%, 01/15/26 | 180,000 | 188,026 | ||||||
ERP Operating LP | ||||||||
4.50%, 07/01/44 | 68,000 | 69,337 | ||||||
Exelon Corp. | ||||||||
3.50%, 06/01/22 | 235,000 | 237,142 | ||||||
4.45%, 04/15/46 | 160,000 | 158,475 | ||||||
Express Scripts Holding Co. | ||||||||
3.40%, 03/01/27 | 183,000 | 172,338 | ||||||
4.80%, 07/15/46 | 55,000 | 52,670 | ||||||
Exxon Mobil Corp. | ||||||||
2.22%, 03/01/21 | 115,000 | 115,212 | ||||||
3.04%, 03/01/26 | 89,000 | 88,981 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 51 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
FedEx Corp. | ||||||||
4.10%, 02/01/45 | 2,000 | 1,860 | ||||||
Fibria Overseas Finance Ltd. | ||||||||
5.50%, 01/17/27 | 72,000 | 72,155 | ||||||
Five Corners Funding Trust | ||||||||
4.42%, 11/15/23 (b) | 373,000 | 396,484 | ||||||
Florida Power & Light Co. | ||||||||
4.13%, 02/01/42 | 58,000 | 59,944 | ||||||
Ford Motor Co. | ||||||||
4.35%, 12/08/26 | 444,000 | 452,057 | ||||||
Ford Motor Credit Company LLC | ||||||||
3.22%, 01/09/22 | 360,000 | 362,163 | ||||||
Frontier Communications Corp. | ||||||||
7.13%, 03/15/19 | 295,000 | 311,225 | ||||||
11.00%, 09/15/25 | 267,000 | 258,823 | ||||||
General Dynamics Corp. | ||||||||
2.13%, 08/15/26 | 81,000 | 74,922 | ||||||
General Motors Co. | ||||||||
5.20%, 04/01/45 | 34,000 | 33,418 | ||||||
General Motors Financial Company Inc. | ||||||||
3.15%, 01/15/20 | 216,000 | 219,676 | ||||||
5.25%, 03/01/26 | 262,000 | 281,469 | ||||||
Georgia-Pacific LLC | ||||||||
3.60%, 03/01/25 (b) | 11,000 | 11,234 | ||||||
Gilead Sciences Inc. | ||||||||
1.95%, 03/01/22 | 108,000 | 104,544 | ||||||
3.65%, 03/01/26 | 190,000 | 191,473 | ||||||
4.15%, 03/01/47 | 70,000 | 65,045 | ||||||
4.80%, 04/01/44 | 64,000 | 65,827 | ||||||
Glencore Finance Canada Ltd. | ||||||||
5.55%, 10/25/42 (b) | 45,000 | 46,886 | ||||||
Glencore Funding LLC | ||||||||
4.00%, 03/27/27 (b) | 340,000 | 335,397 | ||||||
Great Plains Energy Inc. | ||||||||
3.15%, 04/01/22 | 340,000 | 343,377 | ||||||
3.90%, 04/01/27 | 240,000 | 241,973 | ||||||
4.85%, 04/01/47 | 168,000 | 172,178 | ||||||
Grupo Televisa SAB | ||||||||
5.00%, 05/13/45 | 200,000 | 182,323 | ||||||
Halliburton Co. | ||||||||
3.80%, 11/15/25 | 169,000 | 171,690 | ||||||
5.00%, 11/15/45 | 101,000 | 106,081 | ||||||
HCA Inc. | ||||||||
4.75%, 05/01/23 | 429,000 | �� | 447,232 | |||||
6.50%, 02/15/20 | 304,000 | 332,692 | ||||||
Hess Corp. | ||||||||
4.30%, 04/01/27 | 92,000 | 90,583 | ||||||
5.60%, 02/15/41 | 73,000 | 73,095 | ||||||
5.80%, 04/01/47 | 55,000 | 57,166 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
6.35%, 10/15/45 | 55,000 | 56,754 |
Principal Amount ($) or Shares | Fair $ | |||||||
Honeywell International Inc. | ||||||||
1.40%, 10/30/19 | 181,000 | 179,608 | ||||||
2.50%, 11/01/26 | 287,000 | 271,522 | ||||||
HSBC Holdings PLC | ||||||||
2.65%, 01/05/22 | 200,000 | 197,266 | ||||||
2.95%, 05/25/21 | 355,000 | 356,709 | ||||||
4.25%, 03/14/24 | 200,000 | 202,464 | ||||||
4.38%, 11/23/26 | 200,000 | 201,531 | ||||||
HSBC Holdings PLC | ||||||||
3.26%, 03/13/23 (h) | 355,000 | 356,717 | ||||||
HSBC Holdings PLC | ||||||||
4.04%, 03/13/28 (h) | 220,000 | 222,356 | ||||||
HSBC USA Inc. | ||||||||
2.35%, 03/05/20 | 364,000 | 365,263 | ||||||
Hyundai Capital America | ||||||||
2.13%, 10/02/17 (b) | 118,000 | 118,183 | ||||||
Illinois Tool Works Inc. | ||||||||
3.50%, 03/01/24 | 179,000 | 185,801 | ||||||
ING Bank N.V. | ||||||||
2.70%, 08/17/20 (b) | 200,000 | 201,378 | ||||||
Ingersoll-Rand Luxembourg Finance S.A. | ||||||||
3.55%, 11/01/24 | 216,000 | 219,192 | ||||||
Ingles Markets Inc. | ||||||||
5.75%, 06/15/23 | 375,000 | 377,812 | ||||||
Intel Corp. | ||||||||
2.45%, 07/29/20 | 169,000 | 171,695 | ||||||
2.60%, 05/19/26 | 107,000 | 102,632 | ||||||
International Business Machines Corp. | ||||||||
3.30%, 01/27/27 | 101,000 | 101,640 | ||||||
3.63%, 02/12/24 | 177,000 | 185,480 | ||||||
International Paper Co. | ||||||||
4.40%, 08/15/47 | 168,000 | 158,544 | ||||||
Interstate Power & Light Co. | ||||||||
3.40%, 08/15/25 | 335,000 | 335,530 | ||||||
JB Poindexter & Company Inc. | ||||||||
9.00%, 04/01/22 (b) | 83,000 | 86,943 | ||||||
JBS USA LUX S.A./JBS USA Finance Inc. | ||||||||
5.75%, 06/15/25 (b) | 224,000 | 226,240 | ||||||
Jefferies Group LLC | ||||||||
5.13%, 01/20/23 | 273,000 | 293,328 | ||||||
6.50%, 01/20/43 | 90,000 | 97,603 | ||||||
Johnson & Johnson | ||||||||
3.63%, 03/03/37 | 127,000 | 126,156 | ||||||
JPMorgan Chase & Co. | ||||||||
2.30%, 08/15/21 | 98,000 | 96,972 | ||||||
2.55%, 10/29/20 | 158,000 | 158,683 | ||||||
3.30%, 04/01/26 | 282,000 | 276,445 | ||||||
3.63%, 12/01/27 | 100,000 | 97,284 |
See Notes to Schedules of Investments and Notes to Financial Statements.
52 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
JPMorgan Chase & Co. | ||||||||
3.78%, 02/01/28 (h) | 116,000 | 117,074 | ||||||
JPMorgan Chase & Co. | ||||||||
5.00%, 12/29/49 (h) | 129,000 | 130,451 | ||||||
JPMorgan Chase & Co. | ||||||||
6.10%, 10/29/49 (h) | 385,000 | 406,849 | ||||||
KB Home | ||||||||
7.00%, 12/15/21 | 351,000 | 387,746 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
3.50%, 09/01/23 | 75,000 | 73,806 | ||||||
6.38%, 03/01/41 | 72,000 | 78,212 | ||||||
Kinder Morgan Inc. | ||||||||
3.05%, 12/01/19 | 67,000 | 68,121 | ||||||
5.05%, 02/15/46 | 72,000 | 69,873 | ||||||
5.55%, 06/01/45 | 101,000 | 103,548 | ||||||
Kraft Heinz Foods Co. | ||||||||
3.00%, 06/01/26 | 138,000 | 129,671 | ||||||
4.38%, 06/01/46 | 139,000 | 129,892 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
4.50%, 07/16/18 | 446,000 | 463,801 | ||||||
L Brands Inc. | ||||||||
5.63%, 02/15/22 | 369,000 | 386,989 | ||||||
Lee Enterprises Inc. | ||||||||
9.50%, 03/15/22 (b) | 300,000 | 314,865 | ||||||
Lennar Corp. | ||||||||
4.50%, 11/15/19 | 299,000 | 307,596 | ||||||
4.75%, 05/30/25 | 150,000 | 150,375 | ||||||
Levi Strauss & Co. | ||||||||
5.00%, 05/01/25 | 222,000 | 227,594 | ||||||
Lincoln National Corp. | ||||||||
3.63%, 12/12/26 | 265,000 | 263,881 | ||||||
Lloyds Banking Group PLC | ||||||||
3.75%, 01/11/27 | 400,000 | 393,186 | ||||||
Lockheed Martin Corp. | ||||||||
3.55%, 01/15/26 | 154,000 | 156,323 | ||||||
3.80%, 03/01/45 | 71,000 | 66,442 | ||||||
4.70%, 05/15/46 | 76,000 | 82,295 | ||||||
Lowe’s Companies Inc. | ||||||||
3.70%, 04/15/46 | 206,000 | 191,190 | ||||||
LYB International Finance BV | ||||||||
4.88%, 03/15/44 | 54,000 | 56,087 | ||||||
LYB International Finance II BV | ||||||||
3.50%, 03/02/27 | 170,000 | 166,813 | ||||||
Macy’s Retail Holdings Inc. | ||||||||
4.30%, 02/15/43 | 73,000 | 57,836 | ||||||
Marathon Oil Corp. | ||||||||
3.85%, 06/01/25 | 91,000 | 89,458 | ||||||
5.90%, 03/15/18 | 91,000 | 94,203 | ||||||
6.00%, 10/01/17 | 340,000 | 347,429 |
Principal Amount ($) or Shares | Fair $ | |||||||
Marathon Petroleum Corp. | ||||||||
3.63%, 09/15/24 | 159,000 | 156,526 | ||||||
Marsh & McLennan Companies Inc. | ||||||||
3.50%, 03/10/25 | 159,000 | 161,173 | ||||||
Masco Corp. | ||||||||
4.38%, 04/01/26 | 37,000 | 38,451 | ||||||
McDonald’s Corp. | ||||||||
3.70%, 01/30/26 | 164,000 | 167,722 | ||||||
4.88%, 12/09/45 | 71,000 | 75,494 | ||||||
Medtronic Inc. | ||||||||
3.50%, 03/15/25 | 141,000 | 144,189 | ||||||
4.63%, 03/15/45 | 109,000 | 117,076 | ||||||
Memorial Sloan-Kettering Cancer Center | ||||||||
4.13%, 07/01/52 | 105,000 | 103,459 | ||||||
Merck & Company Inc. | ||||||||
2.75%, 02/10/25 | 315,000 | 310,935 | ||||||
MetLife Inc. | ||||||||
4.72%, 12/15/44 | 104,000 | 110,202 | ||||||
MGM Resorts International | ||||||||
4.63%, 09/01/26 | 143,000 | 138,710 | ||||||
5.25%, 03/31/20 | 222,000 | 233,655 | ||||||
6.63%, 12/15/21 | 370,000 | 409,775 | ||||||
Microsoft Corp. | ||||||||
1.55%, 08/08/21 | 178,000 | 173,539 | ||||||
2.40%, 08/08/26 | 325,000 | 307,291 | ||||||
3.45%, 08/08/36 | 110,000 | 104,248 | ||||||
3.70%, 08/08/46 | 110,000 | 103,040 | ||||||
4.00%, 02/12/55 | 160,000 | 151,035 | ||||||
4.10%, 02/06/37 | 90,000 | 92,541 | ||||||
4.25%, 02/06/47 | 180,000 | 184,452 | ||||||
Mizuho Bank Ltd. | ||||||||
2.45%, 04/16/19 (b) | 420,000 | 422,093 | ||||||
Mizuho Financial Group Inc. | ||||||||
2.63%, 04/12/21 (b) | 362,000 | 359,208 | ||||||
Molson Coors Brewing Co. | ||||||||
2.10%, 07/15/21 | 234,000 | 228,716 | ||||||
3.00%, 07/15/26 | 231,000 | 219,642 | ||||||
4.20%, 07/15/46 | 76,000 | 71,146 | ||||||
Monsanto Co. | ||||||||
4.70%, 07/15/64 | 44,000 | 41,151 | ||||||
Morgan Stanley | ||||||||
2.45%, 02/01/19 (l) | 160,000 | 161,471 | ||||||
2.63%, 11/17/21 (l) | 283,000 | 280,759 | ||||||
2.65%, 01/27/20 (l) | 135,000 | 136,273 | ||||||
3.63%, 01/20/27 (l) | 163,000 | 161,739 | ||||||
3.70%, 10/23/24 (l) | 90,000 | 91,293 | ||||||
3.95%, 04/23/27 (l) | 317,000 | 313,878 | ||||||
4.10%, 05/22/23 (l) | 366,000 | 377,950 | ||||||
4.38%, 01/22/47 (l) | 142,000 | 141,079 | ||||||
Morgan Stanley | ||||||||
2.44%, 10/24/23 (h)(l) | 340,000 | 347,215 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 53 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
MPLX LP | ||||||||
4.13%, 03/01/27 | 183,000 | 181,950 | ||||||
5.20%, 03/01/47 | 55,000 | 55,329 | ||||||
Mylan N.V. | ||||||||
3.15%, 06/15/21 | 86,000 | 86,359 | ||||||
3.95%, 06/15/26 | 89,000 | 87,106 | ||||||
National Retail Properties Inc. | ||||||||
4.00%, 11/15/25 | 161,000 | 164,168 | ||||||
NCL Corporation Ltd. | ||||||||
4.63%, 11/15/20 (b) | 186,000 | 189,953 | ||||||
4.75%, 12/15/21 (b) | 96,000 | 97,440 | ||||||
Newell Brands Inc. | ||||||||
3.85%, 04/01/23 | 183,000 | 189,414 | ||||||
4.20%, 04/01/26 | 183,000 | 190,437 | ||||||
5.50%, 04/01/46 | 85,000 | 96,580 | ||||||
Newmont Mining Corp. | ||||||||
4.88%, 03/15/42 | 131,000 | 131,632 | ||||||
Nexen Energy ULC | ||||||||
6.40%, 05/15/37 | 39,000 | 48,346 | ||||||
Noble Energy Inc. | ||||||||
3.90%, 11/15/24 | 202,000 | 204,636 | ||||||
Northern States Power Co. | ||||||||
2.20%, 08/15/20 | 337,000 | 338,019 | ||||||
Northrop Grumman Corp. | ||||||||
3.85%, 04/15/45 | 39,000 | 36,703 | ||||||
Novartis Capital Corp. | ||||||||
3.00%, 11/20/25 | 26,000 | 25,976 | ||||||
4.00%, 11/20/45 | 39,000 | 39,169 | ||||||
NRG Energy Inc. | ||||||||
6.25%, 07/15/22 | 184,000 | 188,140 | ||||||
Nucor Corp. | ||||||||
4.13%, 09/15/22 | 73,000 | 78,295 | ||||||
Occidental Petroleum Corp. | ||||||||
4.10%, 02/15/47 | 91,000 | 87,796 | ||||||
Omnicom Group Inc. | ||||||||
3.63%, 05/01/22 | 105,000 | 108,606 | ||||||
Oracle Corp. | ||||||||
1.90%, 09/15/21 | 134,000 | 131,707 | ||||||
2.40%, 09/15/23 | 127,000 | 123,410 | ||||||
2.65%, 07/15/26 | 130,000 | 123,774 | ||||||
4.00%, 07/15/46 | 110,000 | 104,910 | ||||||
4.13%, 05/15/45 | 68,000 | 66,135 | ||||||
Owens-Brockway Glass Container Inc. | ||||||||
6.38%, 08/15/25 (b) | 100,000 | 106,875 | ||||||
Pacific Gas & Electric Co. | ||||||||
3.40%, 08/15/24 | 506,000 | 515,145 | ||||||
PacifiCorp | ||||||||
6.25%, 10/15/37 | 3,000 | 3,884 | ||||||
Parker-Hannifin Corp. | ||||||||
3.25%, 03/01/27 (b) | 335,000 | 333,640 | ||||||
PepsiCo Inc. | ||||||||
3.45%, 10/06/46 | 68,000 | 61,504 | ||||||
4.25%, 10/22/44 | 100,000 | 102,965 |
Principal Amount ($) or Shares | Fair $ | |||||||
Perrigo Company PLC | ||||||||
2.30%, 11/08/18 | 360,000 | 361,753 | ||||||
Perrigo Finance Unlimited Co. | ||||||||
3.50%, 03/15/21 | 200,000 | 203,885 | ||||||
3.90%, 12/15/24 | 200,000 | 199,291 | ||||||
Petroleos Mexicanos | ||||||||
4.50%, 01/23/26 | 327,000 | 313,429 | ||||||
5.38%, 03/13/22 (b) | 180,000 | 189,171 | ||||||
5.63%, 01/23/46 | 67,000 | 59,664 | ||||||
6.38%, 02/04/21 - 01/23/45 | 226,000 | 235,173 | ||||||
6.50%, 03/13/27 (b) | 180,000 | 193,635 | ||||||
6.75%, 09/21/47 | 144,000 | 146,176 | ||||||
PetSmart Inc. | ||||||||
7.13%, 03/15/23 (b) | 358,000 | 340,100 | ||||||
Pfizer Inc. | ||||||||
3.00%, 12/15/26 | 239,000 | 236,618 | ||||||
4.13%, 12/15/46 | 90,000 | 90,051 | ||||||
4.40%, 05/15/44 | 53,000 | 55,324 | ||||||
Philip Morris International Inc. | ||||||||
4.13%, 03/04/43 | 140,000 | 134,830 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | ||||||||
4.70%, 06/15/44 | 146,000 | 132,095 | ||||||
Potash Corporation of Saskatchewan Inc. | ||||||||
4.00%, 12/15/26 | 182,000 | 186,305 | ||||||
PPL Capital Funding Inc. | ||||||||
3.10%, 05/15/26 | 365,000 | 350,526 | ||||||
Precision Castparts Corp. | ||||||||
4.38%, 06/15/45 | 101,000 | 105,921 | ||||||
Prologis LP | ||||||||
3.75%, 11/01/25 | 160,000 | 163,489 | ||||||
Prudential Financial Inc. | ||||||||
5.38%, 05/15/45 (h) | 159,000 | 166,394 | ||||||
PulteGroup Inc. | ||||||||
4.25%, 03/01/21 | 70,000 | 71,925 | ||||||
5.50%, 03/01/26 | 210,000 | 217,350 | ||||||
QUALCOMM Inc. | ||||||||
4.80%, 05/20/45 | 53,000 | 55,267 | ||||||
Realty Income Corp. | ||||||||
3.00%, 01/15/27 | 245,000 | 229,775 | ||||||
Regency Energy Partners LP/Regency Energy Finance Corp. | ||||||||
4.50%, 11/01/23 | 145,000 | 148,767 | ||||||
Reynolds American Inc. | ||||||||
4.45%, 06/12/25 | 264,000 | 277,863 | ||||||
5.85%, 08/15/45 | 45,000 | 52,886 | ||||||
Rio Tinto Finance USA PLC | ||||||||
4.13%, 08/21/42 | 85,000 | 84,474 | ||||||
Rockwell Collins Inc. | ||||||||
2.80%, 03/15/22 (c) | 335,000 | 335,777 | ||||||
3.20%, 03/15/24 (c) | 335,000 | 334,271 |
See Notes to Schedules of Investments and Notes to Financial Statements.
54 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
3.50%, 03/15/27 (c) | 223,000 | 223,070 | ||||||
4.35%, 04/15/47 (c) | 85,000 | 84,968 | ||||||
Rogers Communications Inc. | ||||||||
5.00%, 03/15/44 | 61,000 | 65,531 | ||||||
Royal Bank of Canada | ||||||||
1.20%, 09/19/17 | 773,000 | 772,706 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
3.88%, 09/12/23 | 200,000 | 197,084 | ||||||
RPM International Inc. | ||||||||
3.75%, 03/15/27 | 235,000 | 234,856 | ||||||
Ryder System Inc. | ||||||||
2.45%, 09/03/19 | 364,000 | 365,873 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.20%, 03/15/28 (b) | 343,000 | 337,797 | ||||||
Santander Holdings USA Inc. | ||||||||
3.70%, 03/28/22 (b) | 307,000 | 307,422 | ||||||
Schlumberger Holdings Corp. | ||||||||
3.00%, 12/21/20 (b) | 137,000 | 140,066 | ||||||
4.00%, 12/21/25 (b) | 49,000 | 51,062 | ||||||
Shell International Finance BV | ||||||||
2.88%, 05/10/26 | 182,000 | 176,947 | ||||||
3.75%, 09/12/46 | 68,000 | 62,513 | ||||||
4.13%, 05/11/35 | 101,000 | 101,878 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.40%, 09/23/21 | 240,000 | 235,029 | ||||||
3.20%, 09/23/26 | 178,000 | 169,965 | ||||||
Siemens Financieringsmaatschappij N.V. | ||||||||
3.40%, 03/16/27 (b) | 345,000 | 348,021 | ||||||
Sinclair Television Group Inc. | ||||||||
5.38%, 04/01/21 | 387,000 | 395,707 | ||||||
Smithfield Foods Inc. | ||||||||
2.70%, 01/31/20 (b) | 75,000 | 74,948 | ||||||
4.25%, 02/01/27 (b) | 183,000 | 185,152 | ||||||
Southern California Edison Co. | ||||||||
2.40%, 02/01/22 | 135,000 | 134,459 | ||||||
Southern Copper Corp. | ||||||||
5.88%, 04/23/45 | 73,000 | 76,053 | ||||||
Spectra Energy Partners LP | ||||||||
3.38%, 10/15/26 | 90,000 | 85,663 | ||||||
4.50%, 03/15/45 | 36,000 | 33,623 | ||||||
Sprint Corp. | ||||||||
7.63%, 02/15/25 | 248,000 | 270,940 | ||||||
Standard Industries Inc. | ||||||||
5.38%, 11/15/24 (b) | 442,000 | 447,799 | ||||||
Statoil ASA | ||||||||
3.95%, 05/15/43 | 84,000 | 81,218 | ||||||
Sumitomo Mitsui Banking Corp. | ||||||||
1.35%, 07/11/17 | 255,000 | 254,950 | ||||||
1.95%, 07/23/18 | 258,000 | 258,463 |
Principal Amount ($) or Shares | Fair $ | |||||||
Sunoco LP/Sunoco Finance Corp. | ||||||||
5.50%, 08/01/20 | 148,000 | 149,480 | ||||||
6.25%, 04/15/21 | 72,000 | 73,620 | ||||||
SUPERVALU Inc. | ||||||||
6.75%, 06/01/21 | 374,000 | 372,130 | ||||||
T-Mobile USA Inc. | ||||||||
6.63%, 04/01/23 | 232,000 | 247,586 | ||||||
Tampa Electric Co. | ||||||||
4.35%, 05/15/44 | 169,000 | 167,482 | ||||||
Target Corp. | ||||||||
2.50%, 04/15/26 | 180,000 | 168,204 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
4.90%, 09/15/44 (b) | 144,000 | 155,785 | ||||||
TEGNA Inc. | ||||||||
5.50%, 09/15/24 (b) | 94,000 | 96,233 | ||||||
Telecom Italia S.p.A. | ||||||||
5.30%, 05/30/24 (b) | 396,000 | 400,455 | ||||||
Telefonica Emisiones SAU | ||||||||
4.10%, 03/08/27 | 244,000 | 245,582 | ||||||
Tenet Healthcare Corp. | ||||||||
4.75%, 06/01/20 | 136,000 | 138,951 | ||||||
6.00%, 10/01/20 | 347,000 | 366,952 | ||||||
Tesoro Corp. | ||||||||
4.75%, 12/15/23 (b) | 272,000 | 280,728 | ||||||
5.13%, 12/15/26 (b) | 108,000 | 113,292 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
3.15%, 10/01/26 | 108,000 | 99,513 | ||||||
4.10%, 10/01/46 | 45,000 | 38,751 | ||||||
The Allstate Corp. | ||||||||
3.28%, 12/15/26 | 118,000 | 118,462 | ||||||
4.20%, 12/15/46 | 73,000 | 73,783 | ||||||
The Allstate Corp. | ||||||||
5.75%, 08/15/53 (h) | 176,000 | 188,866 | ||||||
The Bank of New York Mellon Corp. | ||||||||
3.44%, 02/07/28 (h) | 168,000 | 169,258 | ||||||
The Bank of New York Mellon Corp. | ||||||||
4.63%, 12/29/49 (h) | 360,000 | 345,600 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||||||
2.30%, 03/10/19 (b) | 400,000 | 401,129 | ||||||
The Dow Chemical Co. | ||||||||
4.25%, 10/01/34 | 172,000 | 171,349 | ||||||
The Estee Lauder Companies Inc. | ||||||||
3.15%, 03/15/27 | 235,000 | 234,093 | ||||||
The Goldman Sachs Group Inc. | ||||||||
2.35%, 11/15/21 | 278,000 | 272,442 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 55 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
2.38%, 01/22/18 | 289,000 | 290,587 | ||||||
2.63%, 01/31/19 - 04/25/21 | 406,000 | 407,391 | ||||||
2.90%, 07/19/18 | 213,000 | 215,643 | ||||||
3.85%, 01/26/27 | 244,000 | 245,115 | ||||||
4.25%, 10/21/25 | 57,000 | 58,095 | ||||||
4.80%, 07/08/44 | 163,000 | 172,368 | ||||||
5.15%, 05/22/45 | 159,000 | 166,737 | ||||||
The Home Depot Inc. | ||||||||
3.35%, 09/15/25 | 216,000 | 222,121 | ||||||
3.50%, 09/15/56 | 128,000 | 111,423 | ||||||
The Korea Development Bank | ||||||||
3.38%, 09/16/25 | 200,000 | 203,519 | ||||||
The Kroger Co. | ||||||||
2.95%, 11/01/21 | 216,000 | 217,288 | ||||||
The Mosaic Co. | ||||||||
5.63%, 11/15/43 | 36,000 | 37,058 | ||||||
The Nielsen Company Luxembourg Sarl | ||||||||
5.00%, 02/01/25 (b) | 144,000 | 143,460 | ||||||
The ServiceMaster Company LLC | ||||||||
5.13%, 11/15/24 (b) | 36,000 | 36,900 | ||||||
The Southern Co. | ||||||||
3.25%, 07/01/26 | 83,000 | 79,173 | ||||||
4.40%, 07/01/46 | 59,000 | 56,375 | ||||||
The Southern Co. | ||||||||
5.50%, 03/15/57 (h) | 182,000 | 187,762 | ||||||
The Toronto-Dominion Bank | ||||||||
3.63%, 09/15/31 (h) | 99,000 | 96,946 | ||||||
The Walt Disney Co. | ||||||||
4.13%, 06/01/44 | 73,000 | 75,152 | ||||||
Time Inc. | ||||||||
5.75%, 04/15/22 (b) | 371,000 | 385,840 | ||||||
Time Warner Cable LLC | ||||||||
4.50%, 09/15/42 | 34,000 | 30,880 | ||||||
6.55%, 05/01/37 | 101,000 | 115,791 | ||||||
Time Warner Inc. | ||||||||
3.80%, 02/15/27 | 191,000 | 188,896 | ||||||
5.35%, 12/15/43 | 228,000 | 233,887 | ||||||
TransCanada PipeLines Ltd. | ||||||||
4.88%, 01/15/26 | 94,000 | 104,239 | ||||||
Tyco Electronics Group S.A. | ||||||||
2.35%, 08/01/19 | 324,000 | 325,856 | ||||||
Tyson Foods Inc. | ||||||||
2.65%, 08/15/19 | 72,000 | 72,786 | ||||||
U.S. Bancorp | ||||||||
5.13%, 12/29/49 (h) | 337,000 | 353,007 | ||||||
UBS Group Funding Jersey Ltd. | ||||||||
2.95%, 09/24/20 (b) | 200,000 | 201,306 |
Principal Amount ($) or Shares | Fair $ | |||||||
United Technologies Corp. | ||||||||
2.65%, 11/01/26 | 276,000 | 266,021 | ||||||
3.75%, 11/01/46 | 63,000 | 59,130 | ||||||
UnitedHealth Group Inc. | ||||||||
4.75%, 07/15/45 | 131,000 | 143,518 | ||||||
Universal Health Services Inc. | ||||||||
5.00%, 06/01/26 (b) | 144,000 | 147,960 | ||||||
Vale Overseas Ltd. | ||||||||
4.38%, 01/11/22 | 92,000 | 93,527 | ||||||
5.88%, 06/10/21 | 184,000 | 197,178 | ||||||
6.25%, 08/10/26 | 253,000 | 274,821 | ||||||
6.88%, 11/10/39 | 55,000 | 58,817 | ||||||
Ventas Realty LP | ||||||||
3.25%, 10/15/26 | 170,000 | 161,289 | ||||||
Verizon Communications Inc. | ||||||||
2.63%, 08/15/26 | 175,000 | 159,783 | ||||||
4.13%, 03/16/27 | 340,000 | 345,834 | ||||||
4.40%, 11/01/34 | 168,000 | 158,942 | ||||||
4.67%, 03/15/55 | 118,000 | 105,444 | ||||||
4.86%, 08/21/46 | 169,000 | 162,522 | ||||||
5.05%, 03/15/34 | 268,000 | 272,274 | ||||||
5.15%, 09/15/23 | 215,000 | 235,966 | ||||||
5.25%, 03/16/37 | 241,000 | 248,924 | ||||||
Viacom Inc. | ||||||||
2.25%, 02/04/22 | 180,000 | 173,051 | ||||||
3.45%, 10/04/26 | 180,000 | 170,826 | ||||||
Videotron Ltd. | ||||||||
5.13%, 04/15/27 (b)(c) | 15,000 | 15,000 | ||||||
Virgin Media Finance PLC | ||||||||
5.75%, 01/15/25 (b) | 202,000 | 202,505 | ||||||
Virginia Electric & Power Co. | ||||||||
4.00%, 11/15/46 | 180,000 | 176,998 | ||||||
Visa Inc. | ||||||||
3.15%, 12/14/25 | 139,000 | 139,467 | ||||||
4.30%, 12/14/45 | 101,000 | 106,013 | ||||||
Volkswagen Group of America Finance LLC 0.44% + 3 month USD LIBOR | ||||||||
1.49%, 11/20/17 (b)(h) | 200,000 | 200,127 | ||||||
W.R. Grace & Co. | ||||||||
5.13%, 10/01/21 (b) | 140,000 | 147,000 | ||||||
5.63%, 10/01/24 (b) | 367,000 | 386,726 | ||||||
Wabtec Corp. | ||||||||
3.45%, 11/15/26 (b) | 182,000 | 176,965 | ||||||
Wal-Mart Stores Inc. | ||||||||
4.30%, 04/22/44 | 219,000 | 228,684 | ||||||
Walgreens Boots Alliance Inc. | ||||||||
4.65%, 06/01/46 | 55,000 | 54,703 | ||||||
WEC Energy Group Inc. | ||||||||
3.55%, 06/15/25 | 250,000 | 254,640 | ||||||
WellCare Health Plans Inc. | ||||||||
5.25%, 04/01/25 | 168,000 | 173,250 |
See Notes to Schedules of Investments and Notes to Financial Statements.
56 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
Wells Fargo & Co. | ||||||||
3.00%, 10/23/26 | 182,000 | 174,237 | ||||||
3.07%, 01/24/23 | 201,000 | 201,861 | ||||||
3.90%, 05/01/45 | 91,000 | 87,101 | ||||||
4.75%, 12/07/46 | 172,000 | 175,823 | ||||||
Wells Fargo & Co. | ||||||||
5.90%, 12/29/49 (h) | 226,000 | 235,967 | ||||||
Wells Fargo & Co. | ||||||||
5.88%, 12/29/49 (h) | 234,000 | 252,238 | ||||||
Western Digital Corp. | ||||||||
7.38%, 04/01/23 (b) | 35,000 | 38,369 | ||||||
Westlake Chemical Corp. | ||||||||
3.60%, 08/15/26 (b) | 219,000 | 214,447 | ||||||
5.00%, 08/15/46 (b) | 56,000 | 57,486 | ||||||
Williams Partners LP | ||||||||
3.90%, 01/15/25 | 270,000 | 269,616 | ||||||
4.90%, 01/15/45 | 55,000 | 52,922 | ||||||
5.40%, 03/04/44 | 34,000 | 34,676 | ||||||
Williams Partners LP/ACMP Finance Corp. | ||||||||
4.88%, 05/15/23 | 91,000 | 93,737 | ||||||
Windstream Services LLC | ||||||||
6.38%, 08/01/23 | 259,000 | 229,862 | ||||||
WPP Finance 2010 | ||||||||
3.75%, 09/19/24 | 315,000 | 319,319 | ||||||
XLIT Ltd. | ||||||||
5.25%, 12/15/43 | 133,000 | 142,436 | ||||||
XPO Logistics Inc. | ||||||||
6.50%, 06/15/22 (b) | 215,000 | 225,750 | ||||||
Zimmer Biomet Holdings Inc. | ||||||||
3.55%, 04/01/25 | 169,000 | 167,094 | ||||||
|
| |||||||
96,551,589 | ||||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations - 1.7% |
| |||||||
American Tower Trust I REIT) | ||||||||
1.55%, 03/15/43 (b) | 420,000 | 418,990 | ||||||
Banc of America Commercial Mortgage Trust 2007-1 | ||||||||
5.48%, 01/15/49 (h) | 121,092 | 120,924 | ||||||
Banc of America Commercial Mortgage Trust 2007-4 | ||||||||
5.89%, 02/10/51 (h) | 32,090 | 32,297 | ||||||
Banc of America Commercial Mortgage Trust 2008-1 | ||||||||
6.23%, 02/10/51 (h) | 427,524 | 434,206 | ||||||
Banc of America Merrill Lynch Commercial Mortgage Inc. 2005-1 | ||||||||
5.28%, 11/10/42 (h) | 10,035 | 10,023 |
Principal Amount ($) or Shares | Fair $ | |||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PW18 | ||||||||
6.09%, 06/11/50 (h) | 290,000 | 296,202 | ||||||
CFCRE Commercial Mortgage Trust 2016-C7 | ||||||||
3.84%, 12/10/54 | 331,739 | 341,398 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC33 | ||||||||
3.17%, 09/10/58 | 146,638 | 105,092 | ||||||
3.78%, 09/10/58 | 400,000 | 415,104 | ||||||
Citigroup Commercial Mortgage Trust 2016-P5 | ||||||||
2.94%, 10/10/49 | 330,977 | 321,702 | ||||||
Citigroup Commercial Mortgage Trust 2016-P6 | ||||||||
3.72%, 12/10/49 (h) | 1,508,657 | 1,560,395 | ||||||
4.03%, 12/10/49 (h) | 287,661 | 297,745 | ||||||
COMM 2013-CR12 Mortgage Trust | ||||||||
5.08%, 10/10/46 (b)(h) | 100,000 | 88,853 | ||||||
COMM 2013-LC13 Mortgage Trust | ||||||||
4.56%, 08/10/46 (b)(h) | 140,000 | 150,424 | ||||||
COMM 2014-CR14 Mortgage Trust | ||||||||
4.53%, 02/10/47 (h) | 200,000 | 214,954 | ||||||
COMM 2014-CR19 Mortgage Trust | ||||||||
4.72%, 08/10/47 (b)(h) | 332,639 | 269,985 | ||||||
COMM 2015-PC1 Mortgage Trust | ||||||||
4.44%, 07/10/50 (h) | 160,441 | 159,350 | ||||||
CSAIL 2015-C2 Commercial Mortgage Trust | ||||||||
4.21%, 06/15/57 (h) | 112,000 | 80,902 | ||||||
CSAIL 2015-C3 Commercial Mortgage Trust | ||||||||
3.36%, 08/15/48 (h) | 175,977 | 128,419 | ||||||
GS Mortgage Securities Trust 2011-GC5 | ||||||||
3.00%, 08/10/44 | 2,065 | 2,064 | ||||||
GS Mortgage Securities Trust | ||||||||
1.15%, 02/10/48 (g)(h) | 2,249,143 | 132,533 | ||||||
GS Mortgage Securities Trust | ||||||||
2.98%, 10/10/48 | 299,581 | 217,238 | ||||||
GS Mortgage Securities Trust 2016-GS3 | ||||||||
3.40%, 10/10/49 (h) | 339,000 | 327,149 | ||||||
GS Mortgage Securities Trust 2017-GS5 | ||||||||
3.67%, 03/10/50 | 730,527 | 755,112 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 57 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9 | ||||||||
1.81%, 12/15/47 (g)(h) | 937,889 | 60,023 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | ||||||||
4.03%, 07/15/45 (h) | 90,000 | 94,049 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C17 | ||||||||
4.89%, 01/15/47 (b)(h) | 100,000 | 91,861 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C18 | ||||||||
4.81%, 02/15/47 (b)(h) | 100,000 | 85,685 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C29 | ||||||||
3.70%, 05/15/48 (h) | 102,309 | 77,384 | ||||||
JPMDB Commercial Mortgage Securities Trust 2017-C5 | ||||||||
3.69%, 03/15/50 | 676,308 | 697,810 | ||||||
LB-UBS Commercial Mortgage Trust 2004-C8 | ||||||||
0.42%, 12/15/39 (b)(g)(h) | 8,942 | 21 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6 | ||||||||
6.11%, 07/15/40 (h) | 192,914 | 195,425 | ||||||
6.11%, 07/15/40 (b) | 430,000 | 430,015 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 | ||||||||
3.39%, 10/15/47 (b) | 673,132 | 458,271 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | ||||||||
1.40%, 02/15/48 (g)(h) | 2,517,422 | 183,885 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | ||||||||
0.97%, 03/15/48 (g)(h) | 3,082,659 | 172,540 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28 | ||||||||
3.00%, 01/15/49 (b) | 120,541 | 85,028 | ||||||
Morgan Stanley Capital I Trust 2006-IQ11 | ||||||||
6.30%, 10/15/42 (h) | 110,000 | 108,405 | ||||||
Morgan Stanley Capital I Trust 2006-T21 | ||||||||
5.27%, 10/12/52 (h) | 65,432 | 65,385 | ||||||
Morgan Stanley Capital I Trust 2007-IQ16 | ||||||||
6.06%, 12/12/49 (h) | 290,000 | 296,323 | ||||||
Morgan Stanley Capital I Trust 2008-T29 | ||||||||
6.30%, 01/11/43 (h) | 110,000 | 112,623 | ||||||
Morgan Stanley Capital I Trust 2016-UBS9 | ||||||||
1.25%, 03/15/49 (g)(h) | 2,152,343 | 163,825 |
Principal Amount ($) or Shares | Fair $ | |||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 | ||||||||
1.30%, 02/15/48 (g)(h) | 2,545,622 | 188,744 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-LC22 | ||||||||
4.54%, 09/15/58 (h) | 146,742 | 119,284 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-C33 | ||||||||
3.12%, 03/15/59 (b) | 128,332 | 91,381 | ||||||
Wells Fargo Commercial Mortgage Trust 2017-RB1 | ||||||||
3.64%, 03/15/50 | 427,111 | 437,789 | ||||||
Wells Fargo Mortgage Backed Securities Trust 2006-3 | ||||||||
5.50%, 03/25/36** | 5,925 | — | ||||||
WFRBS Commercial Mortgage Trust 2013-C17 | ||||||||
4.26%, 12/15/46 | 190,000 | 201,533 | ||||||
WFRBS Commercial Mortgage Trust 2014-C19 | ||||||||
4.23%, 03/15/47 (b) | 293,728 | 246,138 | ||||||
WFRBS Commercial Mortgage Trust 2014-C22 | ||||||||
3.91%, 09/15/57 (b)(h) | 443,071 | 335,940 | ||||||
WFRBS Commercial Mortgage Trust 2014-C24 | ||||||||
3.69%, 11/15/47 (b) | 578,051 | 364,302 | ||||||
WFRBS Commercial Mortgage Trust 2014-C25 | ||||||||
3.80%, 11/15/47 (b)(h) | 80,000 | 57,484 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | ||||||||
4.35%, 03/15/47 (h) | 447,000 | 473,683 | ||||||
4.59%, 03/15/47 (b)(h) | 464,977 | 377,766 | ||||||
WFRBS Commercial Mortgage Trust 2015-C31 | ||||||||
3.85%, 11/15/48 | 73,319 | 53,347 | ||||||
|
| |||||||
13,207,010 | ||||||||
|
| |||||||
Sovereign Bonds - 0.4% |
| |||||||
Government of Chile | ||||||||
3.63%, 10/30/42 | 250,000 | 246,075 | ||||||
Government of Colombia | ||||||||
2.63%, 03/15/23 | 236,000 | 226,855 | ||||||
5.00%, 06/15/45 | 200,000 | 200,600 | ||||||
Government of Mexico | ||||||||
3.60%, 01/30/25 | 510,000 | 508,725 | ||||||
4.00%, 10/02/23 | 108,000 | 111,240 | ||||||
4.75%, 03/08/44 | 204,000 | 198,390 | ||||||
Government of Oman | ||||||||
3.88%, 03/08/22 (b) | 353,000 | 356,919 | ||||||
5.38%, 03/08/27 (b) | 286,000 | 298,870 | ||||||
6.50%, 03/08/47 (b) | 200,000 | 211,000 |
See Notes to Schedules of Investments and Notes to Financial Statements.
58 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair $ | |||||||
Government of Panama | ||||||||
4.00%, 09/22/24 | 200,000 | 208,750 | ||||||
Government of Peru | ||||||||
5.63%, 11/18/50 | 109,000 | 129,846 | ||||||
Government of Philippines | ||||||||
4.20%, 01/21/24 | 200,000 | 216,496 | ||||||
Government of Uruguay | ||||||||
5.10%, 06/18/50 | 109,011 | 104,923 | ||||||
|
| |||||||
3,018,689 | ||||||||
|
| |||||||
Municipal Bonds and Notes - 0.2% |
| |||||||
American Municipal Power Inc. | ||||||||
6.27%, 02/15/50 | 95,000 | 113,837 | ||||||
Municipal Electric Authority of Georgia | ||||||||
6.64%, 04/01/57 | 169,000 | 189,713 | ||||||
New Jersey Transportation Trust Fund Authority | ||||||||
6.88%, 12/15/39 | 65,000 | 68,498 | ||||||
Port Authority of New York & New Jersey | ||||||||
4.46%, 10/01/62 | 350,000 | 368,826 | ||||||
South Carolina State Public Service Authority | ||||||||
6.45%, 01/01/50 | 120,000 | 132,883 | ||||||
State of California | ||||||||
5.70%, 11/01/21 | 175,000 | 199,291 | ||||||
State of Illinois | ||||||||
5.10%, 06/01/33 | 100,000 | 91,242 | ||||||
|
| |||||||
1,164,290 | ||||||||
|
|
Principal Amount ($) or Shares | Fair $ | |||||||
FNMA (TBA) - 0.0%* |
| |||||||
Lehman | ||||||||
5.50%, TBA (j)(k) | 61,158 | 1,933 | ||||||
|
| |||||||
Total Bonds and Notes (Cost $240,312,876) | 241,389,430 | |||||||
|
| |||||||
Exchange Traded & Mutual Funds - 43.5% | ||||||||
SPDR Bloomberg Barclays High Yield Bond ETF (m) | 632,267 | 23,349,621 | ||||||
State Street Equity 500 | 22,845,323 | 274,143,881 | ||||||
Vanguard FTSE Emerging Markets ETF (l) | 796,047 | 31,618,987 | ||||||
|
| |||||||
Total Exchange Traded & Mutual Funds (Cost $312,775,842) | 329,112,489 | |||||||
|
| |||||||
Total Investments in Securities (Cost $690,007,381) | 722,190,951 | |||||||
|
| |||||||
Short-Term Investments - 8.0% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.66% | 60,501,945 | 60,501,945 | ||||||
|
| |||||||
Total Investments (Cost $750,509,326) | 782,692,896 | |||||||
Liabilities in Excess of Other Assets, net - (3.4)% | (25,377,711 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | 757,315,185 | |||||||
|
|
Other Information:
Centrally Cleared Credit Default Swaps - Buy Protection
Reference Entity | Counterparty | Notional Amount (000s omitted) | Contract annual Fixed Rate | Termination Date | Market Value | Unamortized Upfront Payments Received | Unrealized Depreciation | |||||||||||||||||||
Markit CDX North America High Yield Index | CME Group Inc. | $ | 3,918 | 5.00% | 12/20/21 | $ | (316,454 | ) | $ | (158,220 | ) | $ | (158,234 | ) | ||||||||||||
Markit CDX North America Investment Grade Index | CME Group Inc. | $ | 5,224 | 1.00% | 06/20/22 | $ | (88,229 | ) | $ | (81,982 | ) | $ | (6,247 | ) | ||||||||||||
|
| |||||||||||||||||||||||||
$ | (164,481 | ) | ||||||||||||||||||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 59 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
The Fund had the following long futures contracts open at March 31, 2017:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
MSCI EAFE Mini Index Futures | June 2017 | 9 | $ | 801,900 | $ | 22,189 | ||||||||||
S&P Mid 400 Emini Index Futures | June 2017 | 101 | 17,353,820 | 8,394 | ||||||||||||
2 Yr. U.S. Treasury Notes Futures | June 2017 | 31 | 6,710,047 | (5,930 | ) | |||||||||||
5 Yr. U.S. Treasury Notes Futures | June 2017 | 87 | 10,242,211 | (14,772 | ) | |||||||||||
10 Yr. U.S. Treasury Notes Futures | June 2017 | 161 | 20,054,562 | 79,000 | ||||||||||||
|
| |||||||||||||||
$ | 88,881 | |||||||||||||||
|
|
The Fund had the following short futures contracts open at March 31, 2017:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
U.S. Long Bond Futures | June 2017 | 43 | $ | (6,486,281 | ) | $ | (8,095 | ) | ||||||||
Ultra Long-Term U.S. Treasury Bond Futures | June 2017 | 22 | (3,533,750 | ) | 10,493 | |||||||||||
10 Yr. U.S. Treasury Ultra Futures | June 2017 | 37 | (4,953,953 | ) | (44,398 | ) | ||||||||||
|
| |||||||||||||||
$ | (42,000 | ) | ||||||||||||||
|
| |||||||||||||||
$ | 46,881 | |||||||||||||||
|
|
The Fund was invested in the following countries/territories at March 31, 2017 (unaudited):
Country/Territory | Percentage (based on Fair Value) | |||
United States | 77.49% | |||
Japan | 4.96% | |||
United Kingdom | 2.74% | |||
France | 2.40% | |||
Germany | 1.80% | |||
Switzerland | 1.49% | |||
Netherlands | 1.29% | |||
Sweden | 0.85% | |||
Canada | 0.71% | |||
China | 0.62% | |||
India | 0.60% | |||
South Korea | 0.53% | |||
Taiwan | 0.46% | |||
Spain | 0.41% | |||
South Africa | 0.40% | |||
Hong Kong | 0.38% | |||
Ireland | 0.38% | |||
Mexico | 0.33% | |||
Norway | 0.31% | |||
Italy | 0.27% | |||
Luxembourg | 0.23% | |||
Belgium | 0.18% | |||
Australia | 0.15% | |||
Portugal | 0.13% |
Country/Territory, continued | Percentage (based on Fair Value) | |||
Brazil | 0.12% | |||
Oman | 0.11% | |||
Cayman Islands | 0.09% | |||
Colombia | 0.08% | |||
Russian Federation | 0.07% | |||
Supranational | 0.06% | |||
Guernsey | 0.05% | |||
Philippines | 0.04% | |||
Indonesia | 0.04% | |||
Bermuda | 0.04% | |||
Jersey | 0.04% | |||
Chile | 0.04% | |||
Panama | 0.03% | |||
Peru | 0.02% | |||
Malaysia | 0.02% | |||
Uruguay | 0.01% | |||
Thailand | 0.01% | |||
Hungary | 0.01% | |||
Qatar | 0.01% | |||
Turkey | 0.00% | *** | ||
Barbados | 0.00% | *** | ||
|
| |||
100.00% | ||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
60 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at March 31, 2017 (unaudited):
Industry | Domestic | Foreign | Total | |||||||||
Exchange Traded & Mutual Funds | 42.05% | 0.00% | 42.05% | |||||||||
Diversified Banks | 0.03% | 2.44% | 2.47% | |||||||||
Pharmaceuticals | 0.00% | 1.04% | 1.04% | |||||||||
Building Products | 0.00% | 0.81% | 0.81% | |||||||||
Packaged Foods & Meats | 0.00% | 0.75% | 0.75% | |||||||||
Wireless Telecommunication Services | 0.00% | 0.74% | 0.74% | |||||||||
Semiconductors | 0.00% | 0.66% | 0.66% | |||||||||
Integrated Oil & Gas | 0.00% | 0.62% | 0.62% | |||||||||
Electronic Equipment & Instruments | 0.00% | 0.60% | 0.60% | |||||||||
Electrical Components & Equipment | 0.00% | 0.59% | 0.59% | |||||||||
Life & Health Insurance | 0.00% | 0.58% | 0.58% | |||||||||
Specialty Chemicals | 0.00% | 0.52% | 0.52% | |||||||||
Construction Machinery & Heavy Trucks | 0.00% | 0.51% | 0.51% | |||||||||
Diversified Real Estate Activities | 0.00% | 0.50% | 0.50% | |||||||||
Industrial Machinery | 0.00% | 0.45% | 0.45% | |||||||||
Internet Software & Services | 0.00% | 0.44% | 0.44% | |||||||||
Semiconductor Equipment | 0.00% | 0.43% | 0.43% | |||||||||
Biotechnology | 0.00% | 0.37% | 0.37% | |||||||||
Cable & Satellite | 0.00% | 0.36% | 0.36% | |||||||||
Electric Utilities | 0.00% | 0.36% | 0.36% | |||||||||
Diversified Metals & Mining | 0.00% | 0.34% | 0.34% | |||||||||
Technology Hardware, Storage & Peripherals | 0.00% | 0.33% | 0.33% | |||||||||
Personal Products | 0.00% | 0.32% | 0.32% | |||||||||
Aerospace & Defense | 0.00% | 0.32% | 0.32% | |||||||||
Movies & Entertainment | 0.00% | 0.31% | 0.31% | |||||||||
Application Software | 0.00% | 0.31% | 0.31% | |||||||||
Construction Materials | 0.00% | 0.30% | 0.30% | |||||||||
Property & Casualty Insurance | 0.00% | 0.29% | 0.29% | |||||||||
Healthcare Equipment | 0.00% | 0.28% | 0.28% | |||||||||
Multi-Line Insurance | 0.00% | 0.27% | 0.27% | |||||||||
Security & Alarm Services | 0.00% | 0.27% | 0.27% | |||||||||
Home Building | 0.00% | 0.26% | 0.26% | |||||||||
Automobile Manufacturers | 0.00% | 0.26% | 0.26% | |||||||||
Electronic Components | 0.00% | 0.25% | 0.25% | |||||||||
Auto Parts & Equipment | 0.00% | 0.25% | 0.25% | |||||||||
Healthcare Services | 0.00% | 0.24% | 0.24% | |||||||||
Oil & Gas Exploration & Production | 0.00% | 0.22% | 0.22% | |||||||||
Leisure Products | 0.00% | 0.22% | 0.22% | |||||||||
Communications Equipment | 0.00% | 0.21% | 0.21% | |||||||||
Internet & Direct Marketing Retail | 0.00% | 0.20% | 0.20% | |||||||||
Brewers | 0.00% | 0.18% | 0.18% | |||||||||
Advertising | 0.00% | 0.18% | 0.18% | |||||||||
Oil & Gas Equipment & Services | 0.00% | 0.13% | 0.13% | |||||||||
Household Products | 0.00% | 0.13% | 0.13% | |||||||||
Industrial Gases | 0.00% | 0.10% | 0.10% | |||||||||
Asset Management & Custody Banks | 0.00% | 0.09% | 0.09% | |||||||||
Diversified Support Services | 0.00% | 0.07% | 0.07% | |||||||||
Railroads | 0.00% | 0.04% | 0.04% | |||||||||
Thrifts & Mortgage Finance | 0.00% | 0.03% | 0.03% | |||||||||
Department Stores | 0.00% | 0.03% | 0.03% | |||||||||
IT Consulting & Other Services | 0.00% | 0.02% | 0.02% | |||||||||
Diversified Chemicals | 0.00% | 0.02% | 0.02% |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 61 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Industry, continued | Domestic | Foreign | Total | |||||||||
Food Retail | 0.00% | 0.02% | 0.02% | |||||||||
Steel | 0.00% | 0.02% | 0.02% | |||||||||
Highways & Railtracks | 0.00% | 0.01% | 0.01% | |||||||||
Other Diversified Financial Services | 0.00% | 0.01% | 0.01% | |||||||||
Education Services | 0.00% | 0.01% | 0.01% | |||||||||
Construction & Engineering | 0.00% | 0.01% | 0.01% | |||||||||
Industrial Conglomerates | 0.00% | 0.01% | 0.01% | |||||||||
Broadcasting | 0.00% | 0.01% | 0.01% | |||||||||
Household Appliances | 0.00% | 0.01% | 0.01% | |||||||||
Real Estate Development | 0.00% | 0.00% | 0.00% | *** | ||||||||
Soft Drinks | 0.00% | 0.00% | 0.00% | *** | ||||||||
Footwear | 0.00% | 0.00% | 0.00% | *** | ||||||||
Hypermarkets & Super Centers | 0.00% | 0.00% | 0.00% | *** | ||||||||
Restaurants | 0.00% | 0.00% | 0.00% | *** | ||||||||
|
| |||||||||||
61.43% | ||||||||||||
|
|
Sector | Percentage (based on Fair Value) | |||
Corporate Notes | 12.34% | |||
Agency Mortgage Backed | 8.55% | |||
U.S. Treasuries | 7.41% | |||
Non-Agency Collateralized Mortgage Obligations | 1.69% | |||
Sovereign Bonds | 0.38% | |||
Agency Collateralized Mortgage Obligations | 0.32% | |||
Municipal Bonds and Notes | 0.15% | |||
FNMA (TBA) | 0.00% | *** | ||
|
| |||
30.84% | ||||
|
| |||
Short-Term Investments | ||||
Short-Term Investments | 7.73% | |||
|
| |||
7.73% | ||||
|
| |||
100.00% | ||||
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 3/31/17 | Value at 3/31/17 | Dividend/ Interest Income | Realized Gain (Loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 632,267 | $ | 23,216,844 | — | — | 632,267 | $ | 23,349,621 | $ | 684,476 | $ | — | ||||||||||||||||||||
State Street Equity 500 | — | — | 23,471,890 | 626,567 | 22,845,323 | 274,143,881 | — | 307,407 | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 85,905,257 | 85,905,257 | 116,877,334 | 142,280,646 | 60,501,945 | 60,501,945 | 154,610 | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
$ | 109,122,101 | $ | 357,995,447 | $ | 839,086 | $ | 307,407 | |||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
62 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Income Fund
Performance Summary — March 31, 2017 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek maximum income consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in debt securities. The Fund invests primarily in a variety of investment-grade debt securities, such as mortgage-backed securities, corporate bonds, U.S. Government securities and money market instruments.
Sector Allocation as of March 31, 2017
Portfolio Compositions as a % of Fair Value of Investments of $297,484 (in thousands) on March 31, 2017 (a)(b)
Quality Ratings
as of March 31, 2017 (as a % of Fair Value) (a)(b)
Aaa / AAA | 12.07 | % | ||
Aa / AA | 49.26 | % | ||
A / A | 7.49 | % | ||
Baa / BBB | 21.20 | % | ||
Ba / BB and lower | 8.41 | % | ||
NR / Other | 1.57 | % |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
* | Moody’s Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
State Street Institutional Income Fund | 63 |
Table of Contents
State Street Institutional Income Fund
Understanding Your Fund’s Expenses — March 31, 2017 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following 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.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2017.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, 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 given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table 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 shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2017 | $ | 983.60 | $ | 1,023.70 | ||||
Expenses paid during the period* | $ | 1.19 | $ | 1.21 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2016 | $ | 1,000.00 | �� | $ | 1,000.00 | |||
Account value at the end of the period March 31, 2017 | $ | 983.00 | $ | 1,022.50 | ||||
Expenses paid during the period* | $ | 2.42 | $ | 2.47 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.24% for Investment Class shares and 0.49% for Service Class shares (for the period October 1, 2016-March 31, 2017, multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
64 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
Bonds and Notes - 99.0%† | ||||||||
U.S. Treasuries - 22.8% |
| |||||||
U.S. Treasury Bond | ||||||||
3.00%, 02/15/47 (l) | 4,123,100 | 4,106,187 | ||||||
U.S. Treasury Notes | ||||||||
0.75%, 09/30/18 (l) | 6,211,700 | 6,171,423 | ||||||
0.88%, 10/15/18 - 06/15/19 (l) | 18,713,900 | 18,561,324 | ||||||
1.25%, 12/31/18 | 2,979,000 | 2,980,165 | ||||||
1.75%, 02/28/22 | 12,278,400 | 12,168,570 | ||||||
2.13%, 02/29/24 | 15,947,900 | 15,858,193 | ||||||
2.25%, 02/15/27 | 2,849,400 | 2,812,668 | ||||||
|
| |||||||
62,658,530 | ||||||||
|
| |||||||
Agency Mortgage Backed - 27.2% |
| |||||||
Federal Home Loan Mortgage Corp. | ||||||||
3.50%, 12/01/46 (l) | 11,039,126 | 11,298,912 | ||||||
4.50%, 06/01/33 - 02/01/35 (l) | 10,641 | 11,446 | ||||||
5.00%, 07/01/35 - 06/01/41 (l) | 993,847 | 1,102,226 | ||||||
5.50%, 05/01/20 - 04/01/39 (l) | 308,849 | 351,833 | ||||||
6.00%, 04/01/17 - 11/01/37 (l) | 501,708 | 577,159 | ||||||
6.00%, 07/01/19 | 1,314 | 1,347 | ||||||
6.50%, 07/01/29 - 10/01/33 (l) | 1,740 | 1,947 | ||||||
7.00%, 06/01/29 - 08/01/36 (l) | 68,382 | 76,051 | ||||||
7.50%, 01/01/30 - 09/01/33 (l) | 1,992 | 2,089 | ||||||
8.00%, 11/01/30 (l) | 13,334 | 14,979 | ||||||
8.50%, 04/01/30 (l) | 18,382 | 21,950 | ||||||
9.50%, 04/01/21 (l) | 21 | 22 | ||||||
Federal National Mortgage Assoc. | ||||||||
3.00%, 02/01/43 - 10/01/46 (l) | 12,645,751 | 12,609,645 | ||||||
3.50%, 11/01/42 - 08/01/45 (l) | 2,802,539 | 2,880,032 | ||||||
4.00%, 05/01/19 - 03/01/44 (l) | 6,028,620 | 6,357,108 | ||||||
4.50%, 05/01/18 - 01/01/41 (l) | 4,464,914 | 4,798,633 | ||||||
5.00%, 07/01/20 - 06/01/41 (l) | 1,658,066 | 1,841,614 | ||||||
5.50%, 06/01/20 - 04/01/38 (l) | 1,403,169 | 1,562,045 | ||||||
6.00%, 05/01/19 - 08/01/35 (l) | 963,212 | 1,100,847 | ||||||
6.50%, 07/01/17 - 08/01/36 (l) | 93,889 | 104,324 | ||||||
7.00%, 08/01/17 - 02/01/34 (l) | 10,759 | 11,478 | ||||||
7.50%, 12/01/23 - 12/01/33 (l) | 53,623 | 58,997 | ||||||
8.00%, 07/01/25 - 01/01/33 (l) | 13,065 | 14,339 | ||||||
9.00%, 12/01/17 - 12/01/22 (l) | 1,542 | 1,656 | ||||||
Federal National Mortgage Assoc. 1.25% + USD COF11 | ||||||||
5.50%, 10/01/24 (h)(l) | 6,512 | 6,573 | ||||||
Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | ||||||||
2.72%, 04/01/37 (h)(l) | 2,451 | 2,509 | ||||||
Federal National Mortgage Assoc. | ||||||||
2.50%, TBA (c) | 4,994,409 | 4,995,970 | ||||||
3.00%, TBA (c) | 2,480,725 | 2,540,623 | ||||||
4.00%, TBA (c) | 2,495,950 | 2,618,017 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Government National Mortgage Assoc. | ||||||||
3.50%, 05/20/43 (l) | 2,508,374 | 2,611,758 | ||||||
4.00%, 01/20/41 - 04/20/43 (l) | 2,654,498 | 2,823,457 | ||||||
4.50%, 08/15/33 - 05/20/40 (l) | 502,371 | 541,912 | ||||||
5.00%, 08/15/33 (l) | 35,764 | 39,478 | ||||||
6.00%, 04/15/27 - 09/15/36 (l) | 231,913 | 268,428 | ||||||
6.50%, 04/15/19 - 09/15/36 (l) | 91,058 | 103,109 | ||||||
7.00%, 10/15/27 - 10/15/36 (l) | 47,825 | 52,763 | ||||||
7.50%, 01/15/23 - 11/15/31 (l) | 8,924 | 9,240 | ||||||
8.00%, 05/15/30 - 09/15/30 (l) | 422 | 460 | ||||||
8.50%, 10/15/17 (l) | 16 | 16 | ||||||
9.00%, 11/15/17 - 12/15/21 (l) | 592 | 650 | ||||||
3.00%, TBA (c) | 6,721,852 | 6,780,668 | ||||||
3.50%, TBA (c) | 6,036,664 | 6,258,558 | ||||||
5.50%, TBA (c) | 255,000 | 283,843 | ||||||
|
| |||||||
74,738,711 | ||||||||
|
| |||||||
Agency Collateralized Mortgage Obligations - 1.1% |
| |||||||
Collateralized Mortgage Obligation Trust | ||||||||
0.01%, 11/01/18 (d)(f) | 5 | 5 | ||||||
Federal Home Loan Mortgage Corp. | ||||||||
0.08%, 09/25/43 (g)(h) | 859,736 | 1,819 | ||||||
Federal Home Loan Mortgage Corp. REMIC | ||||||||
3.50%, 11/15/24 - 11/15/30 (g) | 685,758 | 55,382 | ||||||
5.50%, 06/15/33 (g) | 38,122 | 7,630 | ||||||
7.50%, 07/15/27 (g) | 3,982 | 643 | ||||||
8.00%, 04/15/20 | 2 | 2 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.00% - 1 month USD LIBOR | ||||||||
5.09%, 08/15/43 (g)(h) | 1,424,830 | 289,845 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.10% - 1 month USD LIBOR | ||||||||
5.19%, | 4,463,359 | 668,883 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.20% - 1 month USD LIBOR | ||||||||
5.29%, 10/15/42 (g)(h) | 1,067,479 | 202,191 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR | ||||||||
5.69%, 08/15/25 (g)(h) | 267,417 | 24,452 | ||||||
Federal Home Loan Mortgage Corp. STRIPS | ||||||||
1.47%, 08/01/27 (d)(f) | 910 | 844 | ||||||
8.00%, 02/01/23 - 07/01/24 (g) | 3,267 | 566 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 65 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
Federal Home Loan Mortgage Corp. STRIPS 5.95% - 1 month USD LIBOR | ||||||||
5.04%, | 2,589,704 | 515,795 | ||||||
Federal National Mortgage Assoc. REMIC | ||||||||
0.51%, 12/25/22 (d)(f) | 150 | 113 | ||||||
1.22%, 12/25/42 (g)(h) | 165,665 | 7,855 | ||||||
5.00%, 02/25/40 - 09/25/40 (g) | 297,787 | 35,104 | ||||||
8.00%, 05/25/22 (g) | 4 | 66 | ||||||
Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | ||||||||
5.02%, 07/25/38 - 08/25/42 (g)(h) | 4,483,399 | 853,040 | ||||||
Federal National Mortgage Assoc. REMIC 6.60% - 1 month USD LIBOR | ||||||||
5.62%, 10/25/43 (g)(h) | �� | 994,995 | 228,333 | |||||
Federal National Mortgage Assoc. REMIC 7.50% - 1 month USD LIBOR | ||||||||
6.52%, 05/25/18 (g)(h) | 9,175 | 222 | ||||||
Federal National Mortgage Assoc. STRIPS | ||||||||
1.87%, 12/25/34 (d)(f) | 17,778 | 15,802 | ||||||
4.50%, 08/25/35 - 01/25/36 (g) | 125,643 | 23,276 | ||||||
5.00%, 03/25/38 - 05/25/38 (g) | 68,716 | 13,513 | ||||||
5.50%, 12/25/33 (g) | 17,089 | 3,426 | ||||||
6.00%, 01/25/35 (g) | 72,116 | 14,514 | ||||||
7.50%, 11/25/23 (g) | 15,406 | 2,537 | ||||||
8.00%, 08/25/23 - 07/25/24 (g) | 6,409 | 1,271 | ||||||
8.50%, | 7 | — | ||||||
8.50%, 07/25/22 (g) | 136 | 17 | ||||||
9.00%, 05/25/22 (g) | 120 | 14 | ||||||
Government National Mortgage Assoc. | ||||||||
4.50%, 10/20/37 - 08/16/39 (g) | 347,553 | 23,643 | ||||||
5.00%, 10/20/37 - 09/20/38 (g) | 156,766 | 5,524 | ||||||
Government National Mortgage Assoc. 6.80% - 1 month USD LIBOR | ||||||||
5.87%, 01/16/40 (g)(h) | 357,071 | 66,960 | ||||||
|
| |||||||
3,063,287 | ||||||||
|
| |||||||
Asset Backed - 0.1% |
| |||||||
Chase Funding Trust 2004-1 | ||||||||
3.99%, 11/25/33 (i) | 236,655 | 243,496 | ||||||
|
|
Principal Amount ($) or Shares | Fair Value $ | |||||||
Corporate Notes - 40.2% |
| |||||||
21st Century Fox America Inc. | ||||||||
3.38%, 11/15/26 (b) | 140,000 | 137,105 | ||||||
4.75%, 11/15/46 (b) | 60,000 | 60,123 | ||||||
4.95%, 10/15/45 | 43,000 | 44,493 | ||||||
6.65%, 11/15/37 | 213,000 | 266,428 | ||||||
ABB Finance USA Inc. | ||||||||
1.63%, 05/08/17 | 158,000 | 158,059 | ||||||
Abbott Laboratories | ||||||||
2.90%, 11/30/21 (l) | 485,000 | 487,070 | ||||||
3.75%, 11/30/26 (l) | 330,000 | 329,549 | ||||||
4.90%, 11/30/46 (l) | 150,000 | 155,523 | ||||||
AbbVie Inc. | ||||||||
2.00%, 11/06/18 (l) | 284,000 | 284,825 | ||||||
3.20%, 05/14/26 (l) | 234,000 | 224,915 | ||||||
4.45%, 05/14/46 (l) | 117,000 | 111,913 | ||||||
4.70%, 05/14/45 (l) | 85,000 | 84,751 | ||||||
ACCO Brands Corp. | ||||||||
5.25%, 12/15/24 (b)(l) | 251,000 | 252,255 | ||||||
Actavis Funding SCS | ||||||||
1.30%, 06/15/17 (l) | 380,000 | 379,962 | ||||||
3.00%, 03/12/20 (l) | 214,000 | 217,514 | ||||||
3.45%, 03/15/22 (l) | 208,000 | 211,948 | ||||||
3.80%, 03/15/25 (l) | 133,000 | 133,951 | ||||||
4.75%, 03/15/45 (l) | 50,000 | 50,332 | ||||||
Aetna Inc. | ||||||||
3.50%, 11/15/24 (l) | 256,000 | 261,401 | ||||||
Aflac Inc. | ||||||||
4.00%, 10/15/46 (l) | 107,000 | 101,091 | ||||||
Agrium Inc. | ||||||||
4.90%, 06/01/43 (l) | 90,000 | 93,484 | ||||||
Alexandria Real Estate Equities Inc. | ||||||||
3.95%, 01/15/28 (l) | 190,000 | 189,451 | ||||||
Alibaba Group Holding Ltd. | ||||||||
4.50%, 11/28/34 (l) | 205,000 | 212,348 | ||||||
Altria Group Inc. | ||||||||
2.63%, 09/16/26 (l) | 152,000 | 143,708 | ||||||
2.95%, 05/02/23 (l) | 209,000 | 207,838 | ||||||
3.88%, 09/16/46 (l) | 100,000 | 92,510 | ||||||
4.50%, 05/02/43 (l) | 102,000 | 103,421 | ||||||
America Movil SAB de C.V. | ||||||||
3.13%, 07/16/22 (l) | 211,000 | 212,567 | ||||||
American Axle & Manufacturing Inc. | ||||||||
6.25%, 04/01/25 (b) | 168,000 | 168,210 | ||||||
6.50%, 04/01/27 (b) | 84,000 | 83,737 | ||||||
6.63%, 10/15/22 (l) | 56,000 | 57,680 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
3.35%, 10/01/20 | 162,000 | 164,593 | ||||||
4.13%, 07/01/24 | 117,000 | 120,420 |
See Notes to Schedules of Investments and Notes to Financial Statements.
66 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
American Electric Power Company Inc. | ||||||||
2.95%, 12/15/22 (l) | 341,000 | 342,690 | ||||||
American Express Co. | ||||||||
3.63%, 12/05/24 (l) | 232,000 | 233,284 | ||||||
American International Group Inc. | ||||||||
4.50%, 07/16/44 (l) | 41,000 | 39,081 | ||||||
4.80%, 07/10/45 (l) | 109,000 | 108,237 | ||||||
American Tower Corp. (REIT) | ||||||||
3.38%, 10/15/26 (l) | 230,000 | 219,267 | ||||||
3.40%, 02/15/19 (l) | 530,000 | 541,807 | ||||||
AmeriGas Partners LP/AmeriGas Finance Corp. | ||||||||
5.63%, 05/20/24 (l) | 128,000 | 128,640 | ||||||
5.88%, 08/20/26 (l) | 192,000 | 191,040 | ||||||
Amgen Inc. | ||||||||
2.20%, 05/22/19 (l) | 254,000 | 255,657 | ||||||
2.60%, 08/19/26 (l) | 101,000 | 93,613 | ||||||
4.40%, 05/01/45 (l) | 50,000 | 48,518 | ||||||
4.56%, 06/15/48 (l) | 175,000 | 173,748 | ||||||
Amkor Technology Inc. | ||||||||
6.63%, 06/01/21 (l) | 438,000 | 446,760 | ||||||
Anadarko Petroleum Corp. | ||||||||
4.85%, 03/15/21 (l) | 27,000 | 28,881 | ||||||
6.20%, 03/15/40 (l) | 151,000 | 170,473 | ||||||
6.60%, 03/15/46 (l) | 27,000 | 32,582 | ||||||
Anheuser-Busch InBev Finance Inc. | ||||||||
3.65%, 02/01/26 (l) | 501,000 | 506,561 | ||||||
4.70%, 02/01/36 (l) | 115,000 | 121,746 | ||||||
4.90%, 02/01/46 (l) | 220,000 | 237,543 | ||||||
Anheuser-Busch InBev Worldwide Inc. | ||||||||
2.50%, 07/15/22 | 184,000 | 181,830 | ||||||
Anthem Inc. | ||||||||
3.30%, 01/15/23 | 208,000 | 209,759 | ||||||
Apache Corp. | ||||||||
5.10%, 09/01/40 | 128,000 | 131,671 | ||||||
Apple Inc. | ||||||||
2.50%, 02/09/22 (l) | 483,000 | 485,087 | ||||||
3.25%, 02/23/26 (l) | 119,000 | 120,201 | ||||||
3.35%, 02/09/27 (l) | 211,000 | 212,970 | ||||||
3.45%, 02/09/45 (l) | 115,000 | 103,017 | ||||||
3.85%, 08/04/46 (l) | 100,000 | 95,193 | ||||||
4.25%, 02/09/47 (l) | 101,000 | 102,186 | ||||||
Applied Materials Inc. | ||||||||
3.30%, 04/01/27 | 203,000 | 203,241 | ||||||
4.35%, 04/01/47 | 81,000 | 81,929 | ||||||
Aramark Services Inc. | ||||||||
5.13%, 01/15/24 (l) | 322,000 | 337,697 | ||||||
Archer-Daniels-Midland Co. | ||||||||
2.50%, 08/11/26 (l) | 380,000 | 360,884 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc. | ||||||||
4.25%, 09/15/22 (b)(l) | 250,000 | 252,425 | ||||||
Ascension Health | ||||||||
4.85%, 11/15/53 (l) | 77,000 | 84,825 | ||||||
AstraZeneca PLC | ||||||||
2.38%, 11/16/20 (l) | 69,000 | 69,102 | ||||||
3.38%, 11/16/25 (l) | 143,000 | 143,965 | ||||||
4.38%, 11/16/45 (l) | 50,000 | 50,929 | ||||||
AT&T Inc. | ||||||||
2.45%, 06/30/20 (l) | 386,000 | 385,924 | ||||||
3.00%, 06/30/22 (l) | 232,000 | 230,644 | ||||||
3.40%, 05/15/25 (l) | 73,000 | 70,636 | ||||||
4.25%, 03/01/27 (l) | 332,000 | 336,831 | ||||||
4.45%, 04/01/24 (l) | 308,000 | 321,968 | ||||||
4.50%, 05/15/35 (l) | 213,000 | 200,462 | ||||||
4.75%, 05/15/46 (l) | 50,000 | 46,802 | ||||||
4.80%, 06/15/44 (l) | 167,000 | 156,444 | ||||||
5.25%, 03/01/37 (l) | 201,000 | 204,714 | ||||||
5.45%, 03/01/47 (l) | 232,000 | 236,215 | ||||||
Bank of America Corp. | ||||||||
1.70%, 08/25/17 (l) | 535,000 | 535,962 | ||||||
3.25%, 10/21/27 (l) | 462,000 | 439,734 | ||||||
3.95%, 04/21/25 (l) | 247,000 | 245,907 | ||||||
4.10%, 07/24/23 (l) | 180,000 | 188,518 | ||||||
4.25%, 10/22/26 (l) | 204,000 | 207,124 | ||||||
Bank of America Corp. | ||||||||
3.12%, 01/20/23 (h)(l) | 333,000 | 334,281 | ||||||
Bank of America Corp. | ||||||||
3.82%, 01/20/28 (h)(l) | 240,000 | 240,488 | ||||||
Bank of America Corp. | ||||||||
4.44%, 01/20/48 (h)(l) | 240,000 | 240,273 | ||||||
Barclays Bank PLC | ||||||||
2.25%, 05/10/17 (b)(l) | 781,000 | 781,672 | ||||||
Barclays PLC | ||||||||
4.34%, 01/10/28 (l) | 200,000 | 199,582 | ||||||
Barrick Gold Corp. | ||||||||
4.10%, 05/01/23 (l) | 68,000 | 72,902 | ||||||
Barrick North America Finance LLC | ||||||||
5.70%, 05/30/41 (l) | 50,000 | 56,555 | ||||||
Baxalta Inc. | ||||||||
2.88%, 06/23/20 (l) | 209,000 | 211,911 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
6.13%, 04/01/36 | 156,000 | 194,712 | ||||||
Berry Plastics Corp. | ||||||||
5.13%, 07/15/23 (l) | 260,000 | 266,500 | ||||||
Biogen Inc. | ||||||||
2.90%, 09/15/20 (l) | 72,000 | 73,276 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 67 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
BMW US Capital LLC | ||||||||
2.00%, 04/11/21 (b)(l) | 103,000 | 100,953 | ||||||
2.80%, 04/11/26 (b)(l) | 153,000 | 146,874 | ||||||
BNP Paribas S.A. | ||||||||
3.80%, 01/10/24 (b)(l) | 200,000 | 198,982 | ||||||
Boardwalk Pipelines LP | ||||||||
4.45%, 07/15/27 (l) | 191,000 | 192,950 | ||||||
BP Capital Markets PLC | ||||||||
1.38%, 05/10/18 (l) | 210,000 | 209,427 | ||||||
3.22%, 11/28/23 (l) | 232,000 | 233,155 | ||||||
Brixmor Operating Partnership LP | ||||||||
3.90%, 03/15/27 (l) | 505,000 | 495,417 | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | ||||||||
3.00%, 01/15/22 (b)(l) | 334,000 | 332,995 | ||||||
3.63%, 01/15/24 (b)(l) | 257,000 | 258,838 | ||||||
3.88%, 01/15/27 (b)(l) | 485,000 | 488,057 | ||||||
Buckeye Partners LP | ||||||||
3.95%, 12/01/26 (l) | 150,000 | 146,893 | ||||||
5.60%, 10/15/44 (l) | 71,000 | 72,787 | ||||||
CalAtlantic Group Inc. | ||||||||
5.25%, 06/01/26 (l) | 386,000 | 384,552 | ||||||
Calpine Corp. | ||||||||
5.75%, 01/15/25 (l) | 255,000 | 253,057 | ||||||
5.88%, 01/15/24 (b)(l) | 262,000 | 276,083 | ||||||
Canadian Pacific Railway Co. | ||||||||
2.90%, 02/01/25 (l) | 126,000 | 123,538 | ||||||
Capital One Financial Corp. | ||||||||
4.20%, 10/29/25 (l) | 397,000 | 398,545 | ||||||
Carlson Travel Inc. | ||||||||
6.75%, 12/15/23 (b) | 252,000 | 262,080 | ||||||
Caterpillar Inc. | ||||||||
4.30%, 05/15/44 (l) | 129,000 | 131,349 | ||||||
Catholic Health Initiatives | ||||||||
2.60%, 08/01/18 | 130,000 | 130,777 | ||||||
4.35%, 11/01/42 | 129,000 | 109,953 | ||||||
CBL & Associates LP | ||||||||
5.95%, 12/15/26 (l) | 48,000 | 46,308 | ||||||
CBS Corp. | ||||||||
2.90%, 01/15/27 (l) | 230,000 | 214,193 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | ||||||||
5.88%, 04/01/24 (b)(l) | 399,000 | 420,945 | ||||||
Celgene Corp. | ||||||||
3.88%, 08/15/25 (l) | 82,000 | 83,805 | ||||||
5.00%, 08/15/45 (l) | 214,000 | 223,934 | ||||||
CenturyLink Inc. | ||||||||
5.80%, 03/15/22 (l) | 50,000 | 51,529 | ||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. | ||||||||
5.13%, 12/15/21 (b)(l) | 485,000 | 492,275 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
3.58%, 07/23/20 (l) | 301,000 | 309,766 | ||||||
4.91%, 07/23/25 (l) | 300,000 | 316,778 | ||||||
6.38%, 10/23/35 (l) | 43,000 | 48,893 | ||||||
6.48%, 10/23/45 (l) | 86,000 | 99,221 | ||||||
Chevron Corp. | ||||||||
3.19%, 06/24/23 (l) | 214,000 | 219,097 | ||||||
Chubb INA Holdings Inc. | ||||||||
4.35%, 11/03/45 (l) | 90,000 | 94,748 | ||||||
Cigna Corp. | ||||||||
3.25%, 04/15/25 (l) | 397,000 | 392,382 | ||||||
Cinemark USA Inc. | ||||||||
4.88%, 06/01/23 (l) | 59,000 | 59,620 | ||||||
Cisco Systems Inc. | ||||||||
2.50%, 09/20/26 (l) | 230,000 | 218,353 | ||||||
Citigroup Inc. | ||||||||
1.75%, 05/01/18 (l) | 214,000 | 213,930 | ||||||
2.05%, 12/07/18 (l) | 397,000 | 397,698 | ||||||
4.45%, 09/29/27 (l) | 240,000 | 243,534 | ||||||
4.75%, 05/18/46 (l) | 240,000 | 236,768 | ||||||
Citigroup Inc. | ||||||||
3.89%, 01/10/28 (h)(l) | 242,000 | 243,052 | ||||||
CMS Energy Corp. | ||||||||
4.88%, 03/01/44 (l) | 215,000 | 228,860 | ||||||
CNA Financial Corp. | ||||||||
5.88%, 08/15/20 (l) | 346,000 | 383,767 | ||||||
CNH Industrial N.V. | ||||||||
4.50%, 08/15/23 (l) | 380,000 | 385,225 | ||||||
CNOOC Nexen Finance 2014 ULC | ||||||||
4.25%, 04/30/24 | 433,000 | 451,168 | ||||||
Columbia Pipeline Group Inc. | ||||||||
3.30%, 06/01/20 (l) | 120,000 | 122,272 | ||||||
Comcast Corp. | ||||||||
2.35%, 01/15/27 (l) | 232,000 | 212,478 | ||||||
3.38%, 08/15/25 (l) | 65,000 | 65,578 | ||||||
4.20%, 08/15/34 (l) | 210,000 | 213,407 | ||||||
4.60%, 08/15/45 (l) | 215,000 | 221,604 | ||||||
ConocoPhillips Co. | ||||||||
3.35%, 11/15/24 (l) | 147,000 | 148,174 | ||||||
5.95%, 03/15/46 (l) | 51,000 | 63,266 | ||||||
Consolidated Edison Company of New York Inc. | ||||||||
2.90%, 12/01/26 (l) | 150,000 | 145,905 | ||||||
Corporation Andina de Fomento | ||||||||
4.38%, 06/15/22 | 646,000 | 688,384 | ||||||
Credit Suisse AG | ||||||||
1.70%, 04/27/18 (l) | 391,000 | 390,466 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||
3.80%, 06/09/23 (l) | 525,000 | 526,943 |
See Notes to Schedules of Investments and Notes to Financial Statements.
68 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
CSX Corp. | ||||||||
4.50%, 08/01/54 (l) | 125,000 | 121,528 | ||||||
CVS Health Corp. | ||||||||
3.88%, 07/20/25 (l) | 127,000 | 130,842 | ||||||
5.13%, 07/20/45 (l) | 303,000 | 333,748 | ||||||
Daimler Finance North America LLC | ||||||||
2.38%, 08/01/18 (b)(l) | 333,000 | 335,380 | ||||||
Dana Financing Luxembourg Sarl | ||||||||
6.50%, 06/01/26 (b)(l) | 386,000 | 402,405 | ||||||
Danaher Corp. | ||||||||
4.38%, 09/15/45 (l) | 56,000 | 58,956 | ||||||
Danone S.A. | ||||||||
2.08%, 11/02/21 (b)(l) | 200,000 | 194,612 | ||||||
2.59%, 11/02/23 (b)(l) | 200,000 | 193,506 | ||||||
Delphi Automotive PLC | ||||||||
4.40%, 10/01/46 | 125,000 | 119,064 | ||||||
Deutsche Bank AG | ||||||||
4.25%, 10/14/21 (b) | 253,000 | 259,266 | ||||||
Deutsche Telekom International Finance BV | ||||||||
1.95%, 09/19/21 (b) | 303,000 | 292,666 | ||||||
2.49%, 09/19/23 (b) | 303,000 | 289,607 | ||||||
Devon Energy Corp. | ||||||||
5.00%, 06/15/45 | 156,000 | 156,477 | ||||||
5.85%, 12/15/25 | 143,000 | 164,008 | ||||||
Dexia Credit Local S.A. | ||||||||
2.25%, 01/30/19 (b) | 869,000 | 872,294 | ||||||
Diageo Investment Corp. | ||||||||
2.88%, 05/11/22 | 198,000 | 201,560 | ||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp. | ||||||||
3.48%, 06/01/19 (b) | 385,000 | 394,687 | ||||||
4.42%, 06/15/21 (b) | 233,000 | 243,636 | ||||||
6.02%, 06/15/26 (b) | 124,000 | 135,436 | ||||||
8.35%, 07/15/46 (b) | 75,000 | 97,310 | ||||||
Discover Bank | ||||||||
3.10%, 06/04/20 | 298,000 | 303,958 | ||||||
Dollar General Corp. | ||||||||
1.88%, 04/15/18 | 425,000 | 425,380 | ||||||
Dominion Resources Inc. | ||||||||
3.63%, 12/01/24 | 124,000 | 124,601 | ||||||
DTE Energy Co. | ||||||||
2.85%, 10/01/26 | 151,000 | 141,271 | ||||||
Duke Energy Corp. | ||||||||
3.75%, 09/01/46 | 100,000 | 90,116 | ||||||
Duke Energy Progress LLC | ||||||||
4.15%, 12/01/44 | 130,000 | 131,972 | ||||||
Eastman Chemical Co. | ||||||||
3.60%, 08/15/22 | 86,000 | 88,660 | ||||||
Ecopetrol S.A. | ||||||||
5.88%, 05/28/45 | 237,000 | 216,488 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Electricite de France S.A. | ||||||||
2.15%, 01/22/19 (b) | 392,000 | 392,422 | ||||||
Eli Lilly & Co. | ||||||||
3.70%, 03/01/45 | 42,000 | 40,207 | ||||||
Embraer Netherlands Finance BV | ||||||||
5.40%, 02/01/27 | 253,000 | 260,964 | ||||||
Emera US Finance LP | ||||||||
3.55%, 06/15/26 | 103,000 | 101,241 | ||||||
4.75%, 06/15/46 | 50,000 | 50,438 | ||||||
Enable Midstream Partners LP | ||||||||
4.40%, 03/15/27 | 365,000 | 362,236 | ||||||
Enbridge Energy Partners LP | ||||||||
5.50%, 09/15/40 | 45,000 | 44,825 | ||||||
Encana Corp. | ||||||||
3.90%, 11/15/21 | 230,000 | 234,951 | ||||||
Energy Transfer Equity LP | ||||||||
5.88%, 01/15/24 | 610,000 | 648,125 | ||||||
Energy Transfer Partners LP | ||||||||
4.20%, 04/15/27 | 216,000 | 213,382 | ||||||
5.30%, 04/15/47 | 117,000 | 112,309 | ||||||
6.50%, 02/01/42 | 213,000 | 229,890 | ||||||
Entergy Louisiana LLC | ||||||||
3.05%, 06/01/31 | 151,000 | 143,055 | ||||||
Enterprise Products Operating LLC | ||||||||
3.95%, 02/15/27 | 308,000 | 314,022 | ||||||
EOG Resources Inc. | ||||||||
4.15%, 01/15/26 | 225,000 | 235,032 | ||||||
ERP Operating LP | ||||||||
4.50%, 07/01/44 | 85,000 | 86,671 | ||||||
Exelon Corp. | ||||||||
3.50%, 06/01/22 | 270,000 | 272,461 | ||||||
4.45%, 04/15/46 | 220,000 | 217,903 | ||||||
Express Scripts Holding Co. | ||||||||
3.40%, 03/01/27 | 230,000 | 216,600 | ||||||
4.80%, 07/15/46 | 74,000 | 70,865 | ||||||
Exxon Mobil Corp. | ||||||||
2.22%, 03/01/21 | 180,000 | 180,332 | ||||||
3.04%, 03/01/26 | 114,000 | 113,975 | ||||||
FedEx Corp. | ||||||||
4.10%, 02/01/45 | 2,000 | 1,860 | ||||||
Fibria Overseas Finance Ltd. | ||||||||
5.50%, 01/17/27 | 100,000 | 100,215 | ||||||
Five Corners Funding Trust | ||||||||
4.42%, 11/15/23 (b) | 465,000 | 494,276 | ||||||
Florida Power & Light Co. | ||||||||
4.13%, 02/01/42 | 134,000 | 138,491 | ||||||
Ford Motor Co. | ||||||||
4.35%, 12/08/26 | 484,000 | 492,783 | ||||||
Ford Motor Credit Company LLC | ||||||||
3.22%, 01/09/22 | 455,000 | 457,733 | ||||||
Frontier Communications Corp. | ||||||||
7.13%, 03/15/19 | 407,000 | 429,385 | ||||||
11.00%, 09/15/25 | 265,000 | 256,884 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 69 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
General Dynamics Corp. | ||||||||
2.13%, 08/15/26 | 150,000 | 138,744 | ||||||
General Motors Co. | ||||||||
5.20%, 04/01/45 | 43,000 | 42,264 | ||||||
General Motors Financial Company Inc. | ||||||||
3.15%, 01/15/20 | 280,000 | 284,765 | ||||||
3.20%, 07/13/20 | 213,000 | 216,641 | ||||||
5.25%, 03/01/26 | 235,000 | 252,463 | ||||||
Georgia-Pacific LLC | ||||||||
3.60%, 03/01/25 (b) | 58,000 | 59,233 | ||||||
Gilead Sciences Inc. | ||||||||
1.95%, 03/01/22 | 150,000 | 145,201 | ||||||
3.65%, 03/01/26 | 220,000 | 221,706 | ||||||
4.15%, 03/01/47 | 95,000 | 88,275 | ||||||
4.80%, 04/01/44 | 97,000 | 99,769 | ||||||
Glencore Finance Canada Ltd. | ||||||||
5.55%, 10/25/42 (b) | 63,000 | 65,640 | ||||||
Glencore Funding LLC | ||||||||
4.00%, 03/27/27 (b) | 385,000 | 379,788 | ||||||
Great Plains Energy Inc. | ||||||||
3.15%, 04/01/22 | 384,000 | 387,814 | ||||||
3.90%, 04/01/27 | 270,000 | 272,219 | ||||||
4.85%, 04/01/47 | 192,000 | 196,775 | ||||||
Grupo Televisa SAB | ||||||||
5.00%, 05/13/45 | 209,000 | 190,528 | ||||||
Halliburton Co. | ||||||||
3.80%, 11/15/25 | 193,000 | 196,073 | ||||||
5.00%, 11/15/45 | 128,000 | 134,439 | ||||||
HCA Inc. | ||||||||
6.50%, 02/15/20 | 5,000 | 5,472 | ||||||
Hess Corp. | ||||||||
4.30%, 04/01/27 | 124,000 | 122,090 | ||||||
5.60%, 02/15/41 | 102,000 | 102,133 | ||||||
5.80%, 04/01/47 | 75,000 | 77,953 | ||||||
Hewlett Packard Enterprise Co. | ||||||||
6.35%, 10/15/45 | 75,000 | 77,392 | ||||||
Honeywell International Inc. | ||||||||
1.40%, 10/30/19 | 150,000 | 148,846 | ||||||
HSBC Holdings PLC | ||||||||
2.65%, 01/05/22 | 200,000 | 197,266 | ||||||
4.25%, 03/14/24 | 248,000 | 251,056 | ||||||
4.38%, 11/23/26 | 200,000 | 201,531 | ||||||
HSBC Holdings PLC | ||||||||
3.26%, 03/13/23 (h) | 400,000 | 401,935 | ||||||
HSBC Holdings PLC | ||||||||
4.04%, 03/13/28 (h) | 220,000 | 222,356 | ||||||
HSBC USA Inc. | ||||||||
2.35%, 03/05/20 | 501,000 | 502,738 | ||||||
Hyundai Capital America | ||||||||
2.13%, 10/02/17 (b) | 207,000 | 207,322 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Illinois Tool Works Inc. | ||||||||
3.50%, 03/01/24 | 204,000 | 211,751 | ||||||
Ingersoll-Rand Luxembourg Finance S.A. | ||||||||
3.55%, 11/01/24 | 279,000 | 283,124 | ||||||
Ingles Markets Inc. | ||||||||
5.75%, 06/15/23 | 554,000 | 558,155 | ||||||
Intel Corp. | ||||||||
2.60%, 05/19/26 | 176,000 | 168,815 | ||||||
International Business Machines Corp. | ||||||||
3.30%, 01/27/27 | 103,000 | 103,652 | ||||||
3.63%, 02/12/24 | 185,000 | 193,863 | ||||||
International Paper Co. | ||||||||
4.40%, 08/15/47 | 165,000 | 155,713 | ||||||
Interstate Power & Light Co. | ||||||||
3.40%, 08/15/25 | 100,000 | 100,158 | ||||||
JB Poindexter & Company Inc. | ||||||||
9.00%, 04/01/22 (b) | 120,000 | 125,700 | ||||||
JBS USA LUX S.A./JBS USA Finance Inc. | ||||||||
5.75%, 06/15/25 (b) | 224,000 | 226,240 | ||||||
Jefferies Group LLC | ||||||||
5.13%, 01/20/23 | 121,000 | 130,010 | ||||||
6.50%, 01/20/43 | 132,000 | 143,151 | ||||||
Johnson & Johnson | ||||||||
3.63%, 03/03/37 | 176,000 | 174,830 | ||||||
JPMorgan Chase & Co. | ||||||||
2.55%, 10/29/20 (l) | 180,000 | 180,778 | ||||||
3.30%, 04/01/26 (l) | 242,000 | 237,233 | ||||||
3.63%, 12/01/27 (l) | 140,000 | 136,197 | ||||||
JPMorgan Chase & Co. | ||||||||
3.78%, 02/01/28 (h)(l) | 165,000 | 166,527 | ||||||
JPMorgan Chase & Co. | ||||||||
6.10%, 10/29/49 (h)(l) | 480,000 | 507,240 | ||||||
KB Home | ||||||||
7.00%, 12/15/21 | 389,000 | 429,724 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
3.50%, 09/01/23 | 139,000 | 136,786 | ||||||
6.38%, 03/01/41 | 100,000 | 108,628 | ||||||
Kinder Morgan Inc. | ||||||||
3.05%, 12/01/19 | 94,000 | 95,573 | ||||||
5.05%, 02/15/46 | 100,000 | 97,045 | ||||||
5.55%, 06/01/45 | 128,000 | 131,230 | ||||||
Kraft Heinz Foods Co. | ||||||||
3.00%, 06/01/26 | 41,000 | 38,525 | ||||||
4.38%, 06/01/46 | 118,000 | 110,268 | ||||||
Kreditanstalt fuer Wiederaufbau | ||||||||
4.50%, 07/16/18 | 169,000 | 175,745 | ||||||
L Brands Inc. | ||||||||
5.63%, 02/15/22 | 175,000 | 183,531 |
See Notes to Schedules of Investments and Notes to Financial Statements.
70 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
Lee Enterprises Inc. | ||||||||
9.50%, 03/15/22 (b) | 353,000 | 370,491 | ||||||
Lennar Corp. | ||||||||
4.50%, 11/15/19 | 268,000 | 275,705 | ||||||
4.75%, 05/30/25 | 176,000 | 176,440 | ||||||
Levi Strauss & Co. | ||||||||
5.00%, 05/01/25 | 262,000 | 268,602 | ||||||
Lincoln National Corp. | ||||||||
3.63%, 12/12/26 | 220,000 | 219,071 | ||||||
Lloyds Banking Group PLC | ||||||||
3.75%, 01/11/27 | 450,000 | 442,334 | ||||||
Lockheed Martin Corp. | ||||||||
3.55%, 01/15/26 | 107,000 | 108,614 | ||||||
3.80%, 03/01/45 | 88,000 | 82,351 | ||||||
4.70%, 05/15/46 | 96,000 | 103,952 | ||||||
Lowe’s Companies Inc. | ||||||||
3.70%, 04/15/46 | 120,000 | 111,373 | ||||||
LYB International Finance BV | ||||||||
4.88%, 03/15/44 | 76,000 | 78,937 | ||||||
LYB International Finance II BV | ||||||||
3.50%, 03/02/27 | 216,000 | 211,951 | ||||||
Macy’s Retail Holdings Inc. | ||||||||
4.30%, 02/15/43 | 100,000 | 79,228 | ||||||
Marathon Oil Corp. | ||||||||
3.85%, 06/01/25 | 126,000 | 123,864 | ||||||
5.90%, 03/15/18 | 126,000 | 130,435 | ||||||
6.00%, 10/01/17 | 494,000 | 504,793 | ||||||
Marathon Petroleum Corp. | ||||||||
3.63%, 09/15/24 | 175,000 | 172,277 | ||||||
Marsh & McLennan Companies Inc. | ||||||||
3.50%, 03/10/25 | 196,000 | 198,679 | ||||||
Masco Corp. | ||||||||
4.38%, 04/01/26 | 51,000 | 53,000 | ||||||
McDonald’s Corp. | ||||||||
3.70%, 01/30/26 | 199,000 | 203,517 | ||||||
4.88%, 12/09/45 | 98,000 | 104,203 | ||||||
Medtronic Inc. | ||||||||
3.50%, 03/15/25 | 33,000 | 33,746 | ||||||
4.63%, 03/15/45 | 131,000 | 140,707 | ||||||
Memorial Sloan-Kettering Cancer Center | ||||||||
4.13%, 07/01/52 | 165,000 | 162,578 | ||||||
Merck & Company Inc. | ||||||||
2.75%, 02/10/25 | 225,000 | 222,096 | ||||||
MetLife Inc. | ||||||||
4.72%, 12/15/44 | 121,000 | 128,216 | ||||||
MGM Resorts International | ||||||||
4.63%, 09/01/26 (l) | 252,000 | 244,440 | ||||||
5.25%, 03/31/20 (l) | 267,000 | 281,017 | ||||||
6.63%, 12/15/21 (l) | 438,000 | 485,085 | ||||||
Microsoft Corp. | ||||||||
1.55%, 08/08/21 (l) | 229,000 | 223,261 | ||||||
2.40%, 08/08/26 (l) | 199,000 | 188,157 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
3.45%, 08/08/36 (l) | 150,000 | 142,157 | ||||||
3.70%, 08/08/46 (l) | 150,000 | 140,508 | ||||||
4.00%, 02/12/55 (l) | 225,000 | 212,393 | ||||||
4.10%, 02/06/37 (l) | 125,000 | 128,530 | ||||||
4.25%, 02/06/47 (l) | 230,000 | 235,688 | ||||||
Mizuho Bank Ltd. | ||||||||
2.45%, 04/16/19 (b) | 523,000 | 525,607 | ||||||
Mizuho Financial Group Inc. | ||||||||
2.63%, 04/12/21 (b) | 231,000 | 229,218 | ||||||
Molson Coors Brewing Co. | ||||||||
2.10%, 07/15/21 | 331,000 | 323,526 | ||||||
3.00%, 07/15/26 | 187,000 | 177,806 | ||||||
4.20%, 07/15/46 | 105,000 | 98,294 | ||||||
Monsanto Co. | ||||||||
4.70%, 07/15/64 | 48,000 | 44,892 | ||||||
Morgan Stanley | ||||||||
2.45%, 02/01/19 (l) | 225,000 | 227,069 | ||||||
2.63%, 11/17/21 (l) | 244,000 | 242,068 | ||||||
2.65%, 01/27/20 (l) | 90,000 | 90,849 | ||||||
3.70%, 10/23/24 (l) | 89,000 | 90,279 | ||||||
3.95%, 04/23/27 (l) | 397,000 | 393,091 | ||||||
4.10%, 05/22/23 (l) | 225,000 | 232,346 | ||||||
Morgan Stanley 1.40% + 3 month USD LIBOR | ||||||||
2.44%, 10/24/23 (h)(l) | 467,000 | 476,910 | ||||||
MPLX LP | ||||||||
4.13%, 03/01/27 | 233,000 | 231,664 | ||||||
5.20%, 03/01/47 | 75,000 | 75,449 | ||||||
National Retail Properties Inc. | ||||||||
4.00%, 11/15/25 | 205,000 | 209,034 | ||||||
NCL Corporation Ltd. | ||||||||
4.63%, 11/15/20 (b) | 220,000 | 224,675 | ||||||
4.75%, 12/15/21 (b) | 167,000 | 169,505 | ||||||
Newell Brands Inc. | ||||||||
3.85%, 04/01/23 | 237,000 | 245,307 | ||||||
4.20%, 04/01/26 | 157,000 | 163,381 | ||||||
5.50%, 04/01/46 | 100,000 | 113,624 | ||||||
Newmont Mining Corp. | ||||||||
4.88%, 03/15/42 | 163,000 | 163,787 | ||||||
Nexen Energy ULC | ||||||||
6.40%, 05/15/37 | 87,000 | 107,848 | ||||||
Noble Energy Inc. | ||||||||
3.90%, 11/15/24 | 236,000 | 239,079 | ||||||
Northern States Power Co. | ||||||||
2.20%, 08/15/20 | 427,000 | 428,291 | ||||||
Northrop Grumman Corp. | ||||||||
3.85%, 04/15/45 | 50,000 | 47,055 | ||||||
Novartis Capital Corp. | ||||||||
4.00%, 11/20/45 | 29,000 | 29,126 | ||||||
NRG Energy Inc. | ||||||||
6.25%, 07/15/22 | 227,000 | 232,108 | ||||||
Nucor Corp. | ||||||||
4.13%, 09/15/22 | 101,000 | 108,326 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 71 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
Occidental Petroleum Corp. | ||||||||
4.10%, 02/15/47 | 75,000 | 72,359 | ||||||
Omnicom Group Inc. | ||||||||
3.63%, 05/01/22 | 187,000 | 193,422 | ||||||
Oracle Corp. | ||||||||
1.90%, 09/15/21 | 150,000 | 147,433 | ||||||
2.40%, 09/15/23 | 171,000 | 166,166 | ||||||
2.65%, 07/15/26 | 150,000 | 142,816 | ||||||
4.00%, 07/15/46 | 150,000 | 143,058 | ||||||
4.13%, 05/15/45 | 86,000 | 83,641 | ||||||
Owens-Brockway Glass Container Inc. | ||||||||
6.38%, 08/15/25 (b) | 300,000 | 320,625 | ||||||
Pacific Gas & Electric Co. | ||||||||
3.40%, 08/15/24 | 640,000 | 651,567 | ||||||
PacifiCorp | ||||||||
6.25%, 10/15/37 | 258,000 | 334,010 | ||||||
Parker-Hannifin Corp. | ||||||||
3.25%, 03/01/27 (b) | 485,000 | 483,031 | ||||||
PepsiCo Inc. | ||||||||
3.45%, 10/06/46 | 93,000 | 84,116 | ||||||
4.25%, 10/22/44 | 127,000 | 130,766 | ||||||
Perrigo Company PLC | ||||||||
2.30%, 11/08/18 | 497,000 | 499,420 | ||||||
Perrigo Finance Unlimited Co. | ||||||||
3.50%, 03/15/21 | 254,000 | 258,933 | ||||||
3.90%, 12/15/24 | 250,000 | 249,113 | ||||||
Petroleos Mexicanos | ||||||||
4.50%, 01/23/26 | 453,000 | 434,200 | ||||||
5.38%, 03/13/22 (b) | 250,000 | 262,738 | ||||||
5.63%, 01/23/46 | 94,000 | 83,707 | ||||||
6.38%, 01/23/45 | 125,000 | 121,888 | ||||||
6.50%, 03/13/27 (b) | 250,000 | 268,938 | ||||||
6.75%, 09/21/47 | 200,000 | 203,022 | ||||||
PetSmart Inc. | ||||||||
7.13%, 03/15/23 (b)(l) | 652,000 | 619,400 | ||||||
Pfizer Inc. | ||||||||
3.00%, 12/15/26 | 206,000 | 203,947 | ||||||
4.13%, 12/15/46 | 125,000 | 125,071 | ||||||
4.40%, 05/15/44 | 62,000 | 64,718 | ||||||
Philip Morris International Inc. | ||||||||
4.13%, 03/04/43 | 214,000 | 206,097 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | ||||||||
4.70%, 06/15/44 | 202,000 | 182,761 | ||||||
Potash Corporation of Saskatchewan Inc. | ||||||||
4.00%, 12/15/26 | 252,000 | 257,961 | ||||||
PPL Capital Funding Inc. | ||||||||
3.10%, 05/15/26 | 355,000 | 340,922 | ||||||
Precision Castparts Corp. | ||||||||
4.38%, 06/15/45 | 128,000 | 134,236 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Prologis LP | ||||||||
3.75%, 11/01/25 | 205,000 | 209,471 | ||||||
Prudential Financial Inc. 3.03% + 3 month USD LIBOR | ||||||||
5.38%, 05/15/45 (h) | 204,000 | 213,486 | ||||||
PulteGroup Inc. | ||||||||
4.25%, 03/01/21 | 130,000 | 133,575 | ||||||
5.50%, 03/01/26 | 390,000 | 403,650 | ||||||
QUALCOMM Inc. | ||||||||
4.80%, 05/20/45 | 62,000 | 64,652 | ||||||
Realty Income Corp. | ||||||||
3.00%, 01/15/27 | 330,000 | 309,493 | ||||||
Regency Energy Partners LP/Regency Energy Finance Corp. | ||||||||
4.50%, 11/01/23 | 174,000 | 178,520 | ||||||
Reynolds American Inc. | ||||||||
4.45%, 06/12/25 | 262,000 | 275,758 | ||||||
5.85%, 08/15/45 | 63,000 | 74,040 | ||||||
Rio Tinto Finance USA PLC | ||||||||
4.13%, 08/21/42 | 116,000 | 115,282 | ||||||
Rockwell Collins Inc. | ||||||||
2.80%, 03/15/22 (c) | 385,000 | 385,893 | ||||||
3.20%, 03/15/24 (c) | 385,000 | 384,162 | ||||||
3.50%, 03/15/27 (c) | 257,000 | 257,080 | ||||||
4.35%, 04/15/47 (c) | 95,000 | 94,964 | ||||||
Rogers Communications Inc. | ||||||||
5.00%, 03/15/44 | 86,000 | 92,388 | ||||||
Royal Bank of Canada | ||||||||
1.20%, 09/19/17 | 717,000 | 716,728 | ||||||
Royal Bank of Scotland Group PLC | ||||||||
3.88%, 09/12/23 | 248,000 | 244,384 | ||||||
RPM International Inc. | ||||||||
3.75%, 03/15/27 | 330,000 | 329,797 | ||||||
Ryder System Inc. | ||||||||
2.45%, 09/03/19 | 325,000 | 326,672 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.20%, 03/15/28 (b) | 482,000 | 474,689 | ||||||
Santander Holdings USA Inc. | ||||||||
3.70%, 03/28/22 (b) | 350,000 | 350,481 | ||||||
Santander UK Group Holdings PLC | ||||||||
4.75%, 09/15/25 (b) | 200,000 | 199,565 | ||||||
Schlumberger Holdings Corp. | ||||||||
3.00%, 12/21/20 (b) | 95,000 | 97,126 | ||||||
Shell International Finance BV | ||||||||
2.88%, 05/10/26 | 231,000 | 224,587 | ||||||
3.75%, 09/12/46 | 78,000 | 71,706 | ||||||
4.13%, 05/11/35 | 115,000 | 116,000 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.40%, 09/23/21 | 230,000 | 225,236 | ||||||
2.88%, 09/23/23 | 36,000 | 34,924 | ||||||
3.20%, 09/23/26 | 230,000 | 219,618 |
See Notes to Schedules of Investments and Notes to Financial Statements.
72 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
Siemens Financieringsmaatschappij N.V. | ||||||||
3.40%, 03/16/27 (b) | 395,000 | 398,459 | ||||||
Sinclair Television Group Inc. | ||||||||
5.38%, 04/01/21 | 459,000 | 469,327 | ||||||
Smithfield Foods Inc. | ||||||||
2.70%, 01/31/20 (b) | 100,000 | 99,930 | ||||||
4.25%, 02/01/27 (b) | 253,000 | 255,975 | ||||||
Southern California Edison Co. | ||||||||
2.40%, 02/01/22 | 170,000 | 169,319 | ||||||
Southern Copper Corp. | ||||||||
5.88%, 04/23/45 | 100,000 | 104,182 | ||||||
Spectra Energy Partners LP | ||||||||
3.38%, 10/15/26 | 124,000 | 118,025 | ||||||
4.50%, 03/15/45 | 50,000 | 46,698 | ||||||
Standard Industries Inc. | ||||||||
5.38%, 11/15/24 (b)(l) | 525,000 | 531,888 | ||||||
Statoil ASA | ||||||||
3.95%, 05/15/43 | 107,000 | 103,456 | ||||||
Sumitomo Mitsui Banking Corp. | ||||||||
1.35%, 07/11/17 | 260,000 | 259,949 | ||||||
1.95%, 07/23/18 | 360,000 | 360,646 | ||||||
Sunoco LP/Sunoco Finance Corp. | ||||||||
5.50%, 08/01/20 | 175,000 | 176,750 | ||||||
6.25%, 04/15/21 | 125,000 | 127,813 | ||||||
SUPERVALU Inc. | ||||||||
6.75%, 06/01/21 | 441,000 | 438,795 | ||||||
T-Mobile USA Inc. | ||||||||
6.63%, 04/01/23 | 272,000 | 290,273 | ||||||
Tampa Electric Co. | ||||||||
4.35%, 05/15/44 | 209,000 | 207,122 | ||||||
Target Corp. | ||||||||
2.50%, 04/15/26 | 235,000 | 219,600 | ||||||
Teachers Insurance & Annuity Association of America | ||||||||
4.90%, 09/15/44 (b) | 123,000 | 133,066 | ||||||
TEGNA Inc. | ||||||||
5.50%, 09/15/24 (b) | 113,000 | 115,684 | ||||||
Telecom Italia S.p.A. | ||||||||
5.30%, 05/30/24 (b) | 392,000 | 396,410 | ||||||
Telefonica Emisiones SAU | ||||||||
4.10%, 03/08/27 | 339,000 | 341,198 | ||||||
Tenet Healthcare Corp. | ||||||||
4.75%, 06/01/20 | 160,000 | 163,472 | ||||||
6.00%, 10/01/20 | 424,000 | 448,380 | ||||||
Tesoro Corp. | ||||||||
4.75%, 12/15/23 (b) | 378,000 | 390,130 | ||||||
5.13%, 12/15/26 (b) | 188,000 | 197,212 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
3.15%, 10/01/26 | 150,000 | 138,212 | ||||||
4.10%, 10/01/46 | 63,000 | 54,252 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
The Allstate Corp. | ||||||||
3.28%, 12/15/26 (l) | 167,000 | 167,654 | ||||||
4.20%, 12/15/46 (l) | 101,000 | 102,083 | ||||||
The Allstate Corp. 2.94% + 3 month USD LIBOR | ||||||||
5.75%, 08/15/53 (h)(l) | 230,000 | 246,813 | ||||||
The Bank of New York Mellon Corp. 1.07% + 3 month USD LIBOR | ||||||||
3.44%, 02/07/28 (h)(l) | 236,000 | 237,768 | ||||||
The Bank of New York Mellon Corp. 3.13% + 3 month USD LIBOR | ||||||||
4.63%, 12/29/49 (h)(l) | 500,000 | 480,000 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd. | ||||||||
2.30%, 03/10/19 (b)(l) | 400,000 | 401,129 | ||||||
The Dow Chemical Co. | ||||||||
4.25%, 10/01/34 | 218,000 | 217,175 | ||||||
The Estee Lauder Companies Inc. | ||||||||
3.15%, 03/15/27 | 330,000 | 328,726 | ||||||
The Goldman Sachs Group Inc. | ||||||||
2.35%, 11/15/21 (l) | 239,000 | 234,222 | ||||||
2.38%, 01/22/18 (l) | 315,000 | 316,729 | ||||||
2.63%, 01/31/19 (l) | 130,000 | 131,456 | ||||||
2.63%, 04/25/21 | 274,000 | 273,224 | ||||||
2.90%, 07/19/18 (l) | 286,000 | 289,549 | ||||||
3.85%, 01/26/27 (l) | 332,000 | 333,517 | ||||||
4.25%, 10/21/25 | 72,000 | 73,383 | ||||||
4.80%, 07/08/44 | 188,000 | 198,805 | ||||||
5.15%, 05/22/45 | 204,000 | 213,927 | ||||||
The Home Depot Inc. | ||||||||
3.35%, 09/15/25 | 279,000 | 286,907 | ||||||
3.50%, 09/15/56 | 177,000 | 154,077 | ||||||
The Korea Development Bank | ||||||||
3.38%, 09/16/25 | 211,000 | 214,712 | ||||||
The Kroger Co. | ||||||||
2.95%, 11/01/21 | 279,000 | 280,664 | ||||||
The Mosaic Co. | ||||||||
5.63%, 11/15/43 | 50,000 | 51,469 | ||||||
The Nielsen Company Luxembourg Sarl | ||||||||
5.00%, 02/01/25 (b) | 250,000 | 249,063 | ||||||
The ServiceMaster Company LLC | ||||||||
5.13%, 11/15/24 (b) | 63,000 | 64,575 | ||||||
The Southern Co. | ||||||||
3.25%, 07/01/26 | 28,000 | 26,709 | ||||||
4.40%, 07/01/46 | 92,000 | 87,907 | ||||||
The Southern Co. 3.63% + 3 month USD LIBOR | ||||||||
5.50%, 03/15/57 (h) | 252,000 | 259,978 | ||||||
The Toronto-Dominion Bank 2.21% + USD 5 Year Swap Rate | ||||||||
3.63%, 09/15/31 (h) | 140,000 | 137,095 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 73 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
The Walt Disney Co. | ||||||||
4.13%, 06/01/44 | 52,000 | 53,533 | ||||||
Time Inc. | ||||||||
5.75%, 04/15/22 (b) | 443,000 | 460,720 | ||||||
Time Warner Cable LLC | ||||||||
4.50%, 09/15/42 | 43,000 | 39,054 | ||||||
6.55%, 05/01/37 | 127,000 | 145,599 | ||||||
Time Warner Inc. | ||||||||
3.80%, 02/15/27 | 222,000 | 219,555 | ||||||
5.35%, 12/15/43 | 193,000 | 197,983 | ||||||
TransCanada PipeLines Ltd. | ||||||||
4.88%, 01/15/26 | 56,000 | 62,100 | ||||||
Tyco Electronics Group S.A. | ||||||||
2.35%, 08/01/19 | 401,000 | 403,297 | ||||||
Tyson Foods Inc. | ||||||||
2.65%, 08/15/19 | 71,000 | 71,775 | ||||||
U.S. Bancorp 3.49% + 3 month USD LIBOR | ||||||||
5.13%, 12/29/49 (h) | 427,000 | 447,282 | ||||||
UBS Group Funding Jersey Ltd. | ||||||||
2.95%, 09/24/20 (b) | 200,000 | 201,306 | ||||||
United Technologies Corp. | ||||||||
2.65%, 11/01/26 | 200,000 | 192,769 | ||||||
3.75%, 11/01/46 | 88,000 | 82,594 | ||||||
UnitedHealth Group Inc. | ||||||||
4.75%, 07/15/45 | 103,000 | 112,843 | ||||||
Universal Health Services Inc. | ||||||||
5.00%, 06/01/26 (b) | 257,000 | 264,068 | ||||||
Vale Overseas Ltd. | ||||||||
4.38%, 01/11/22 | 127,000 | 129,108 | ||||||
5.88%, 06/10/21 | 255,000 | 273,263 | ||||||
6.25%, 08/10/26 | 351,000 | 381,274 | ||||||
6.88%, 11/10/39 | 75,000 | 80,205 | ||||||
Ventas Realty LP | ||||||||
3.25%, 10/15/26 | 240,000 | 227,703 | ||||||
Verizon Communications Inc. | ||||||||
2.63%, 08/15/26 (l) | 76,000 | 69,391 | ||||||
4.13%, 03/16/27 | 390,000 | 396,692 | ||||||
4.40%, 11/01/34 (l) | 113,000 | 106,907 | ||||||
4.67%, 03/15/55 (l) | 150,000 | 134,039 | ||||||
4.86%, 08/21/46 (l) | 214,000 | 205,797 | ||||||
5.05%, 03/15/34 (l) | 365,000 | 370,821 | ||||||
5.15%, 09/15/23 (l) | 236,000 | 259,014 | ||||||
5.25%, 03/16/37 | 271,000 | 279,911 | ||||||
Viacom Inc. | ||||||||
2.25%, 02/04/22 | 230,000 | 221,121 | ||||||
3.45%, 10/04/26 | 229,000 | 217,329 | ||||||
Videotron Ltd. | ||||||||
5.13%, 04/15/27 (b)(c) | 18,000 | 18,000 | ||||||
Virgin Media Finance PLC | ||||||||
5.75%, 01/15/25 (b) | 439,000 | 440,097 | ||||||
Virginia Electric & Power Co. | ||||||||
4.00%, 11/15/46 | 150,000 | 147,498 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Visa Inc. | ||||||||
3.15%, 12/14/25 | 199,000 | 199,668 | ||||||
4.30%, 12/14/45 | 141,000 | 147,999 | ||||||
Volkswagen Group of America Finance LLC 0.44% + 3 month USD LIBOR | ||||||||
1.49%, 11/20/17 (b)(h) | 211,000 | 211,134 | ||||||
W.R. Grace & Co. | ||||||||
5.13%, 10/01/21 (b) | 165,000 | 173,250 | ||||||
5.63%, 10/01/24 (b) | 438,000 | 461,542 | ||||||
Wabtec Corp. | ||||||||
3.45%, 11/15/26 (b) | 231,000 | 224,610 | ||||||
Walgreens Boots Alliance Inc. | ||||||||
4.65%, 06/01/46 | 76,000 | 75,589 | ||||||
WEC Energy Group Inc. | ||||||||
3.55%, 06/15/25 | 202,000 | 205,750 | ||||||
WellCare Health Plans Inc. | ||||||||
5.25%, 04/01/25 | 202,000 | 208,313 | ||||||
Wells Fargo & Co. | ||||||||
3.07%, 01/24/23 (l) | 229,000 | 229,981 | ||||||
3.90%, 05/01/45 (l) | 96,000 | 91,887 | ||||||
4.75%, 12/07/46 (l) | 242,000 | 247,379 | ||||||
Wells Fargo & Co. 3.11% + 3 month USD LIBOR | ||||||||
5.90%, 12/29/49 (h) | 281,000 | 293,392 | ||||||
Wells Fargo & Co. 3.99% + 3 month USD LIBOR | ||||||||
5.88%, 12/29/49 (h)(l) | 297,000 | 320,149 | ||||||
Western Digital Corp. | ||||||||
7.38%, 04/01/23 (b) | 65,000 | 71,256 | ||||||
Westlake Chemical Corp. | ||||||||
3.60%, 08/15/26 (b) | 225,000 | 220,322 | ||||||
5.00%, 08/15/46 (b) | 50,000 | 51,327 | ||||||
Williams Partners LP | ||||||||
3.90%, 01/15/25 | 383,000 | 382,455 | ||||||
4.90%, 01/15/45 | 77,000 | 74,091 | ||||||
5.40%, 03/04/44 | 43,000 | 43,855 | ||||||
Williams Partners LP/ACMP Finance Corp. | ||||||||
4.88%, 05/15/23 (l) | 126,000 | 129,790 | ||||||
Windstream Services LLC | ||||||||
6.38%, 08/01/23 | 409,000 | 362,987 | ||||||
WPP Finance 2010 | ||||||||
3.75%, 09/19/24 | 405,000 | 410,553 | ||||||
XLIT Ltd. | ||||||||
5.25%, 12/15/43 | 174,000 | 186,344 | ||||||
XPO Logistics Inc. | ||||||||
6.50%, 06/15/22 (b) | 386,000 | 405,300 | ||||||
Zimmer Biomet Holdings Inc. | ||||||||
3.55%, 04/01/25 | 213,000 | 210,597 | ||||||
|
| |||||||
110,475,751 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
74 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
Non-Agency Collateralized Mortgage Obligations - 5.7% |
| |||||||
American Tower Trust I (REIT) | ||||||||
1.55%, 03/15/43 (b) | 644,000 | 642,451 | ||||||
Banc of America Commercial Mortgage Trust 2007-1 | ||||||||
5.48%, 01/15/49 (h) | 212,195 | 211,902 | ||||||
Banc of America Commercial Mortgage Trust 2007-4 | ||||||||
5.89%, 02/10/51 (h) | 20,630 | 20,763 | ||||||
Banc of America Commercial Mortgage Trust 2008-1 | ||||||||
6.23%, 02/10/51 (h) | 120,241 | 122,120 | ||||||
Banc of America Merrill Lynch Commercial Mortgage Inc. 2005-1 | ||||||||
5.28%, 11/10/42 (h) | 6,561 | 6,553 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PW18 | ||||||||
6.09%, 06/11/50 (h) | 190,000 | 194,063 | ||||||
CFCRE Commercial Mortgage Trust 2016-C7 | ||||||||
3.84%, 12/10/54 | 397,796 | 409,379 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC33 | ||||||||
3.17%, 09/10/58 | 206,012 | 147,644 | ||||||
Citigroup Commercial Mortgage Trust 2016-P5 | ||||||||
2.94%, 10/10/49 | 408,463 | 397,016 | ||||||
Citigroup Commercial Mortgage Trust 2016-P6 | ||||||||
3.72%, 12/10/49 (h) | 1,764,803 | 1,825,325 | ||||||
4.03%, 12/10/49 (h) | 345,016 | 357,110 | ||||||
COMM 2013-CR12 Mortgage Trust | ||||||||
5.08%, 10/10/46 (b)(h) | 100,000 | 88,853 | ||||||
COMM 2013-LC13 Mortgage Trust | ||||||||
4.56%, 08/10/46 (b)(h) | 175,000 | 188,030 | ||||||
COMM 2014-CR14 Mortgage Trust | ||||||||
4.53%, 02/10/47 (h) | 245,000 | 263,319 | ||||||
COMM 2014-CR19 Mortgage Trust | ||||||||
4.72%, 08/10/47 (b)(h) | 413,823 | 335,878 | ||||||
COMM 2015-PC1 Mortgage Trust | ||||||||
4.44%, 07/10/50 (h) | 185,864 | 184,600 | ||||||
CSAIL 2015-C2 Commercial Mortgage Trust | ||||||||
4.21%, 06/15/57 (h) | 133,000 | 96,071 | ||||||
CSAIL 2015-C3 Commercial Mortgage Trust | ||||||||
3.36%, 08/15/48 (h) | 247,064 | 180,295 | ||||||
GS Mortgage Securities Trust 2011-GC5 | ||||||||
3.00%, 08/10/44 | 3,613 | 3,611 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
GS Mortgage Securities Trust 2015-GC28 | ||||||||
1.15%, 02/10/48 (g)(h) | 2,819,463 | 166,140 | ||||||
GS Mortgage Securities Trust 2015-GC34 | ||||||||
2.98%, 10/10/48 | 166,148 | 120,480 | ||||||
GS Mortgage Securities Trust 2016-GS3 | ||||||||
3.40%, 10/10/49 (h) | 417,000 | 402,423 | ||||||
GS Mortgage Securities Trust 2017-GS5 | ||||||||
3.67%, 03/10/50 | 830,046 | 857,980 | ||||||
GS Mortgage Securities Trust II 2012-GCJ9 | ||||||||
2.28%, 11/10/45 (g)(h) | 930,584 | 70,019 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9 | ||||||||
1.81%, 12/15/47 (g)(h) | 1,098,429 | 70,297 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | ||||||||
4.03%, 07/15/45 (h) | 125,000 | 130,623 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C17 | ||||||||
4.89%, 01/15/47 (b)(h) | 180,876 | 166,154 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C18 | ||||||||
4.81%, 02/15/47 (b)(h) | 197,705 | 169,404 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C29 | ||||||||
3.70%, 05/15/48 (h) | 132,595 | 100,292 | ||||||
JPMDB Commercial Mortgage Securities Trust 2017-C5 | ||||||||
3.69%, 03/15/50 | 768,541 | 792,976 | ||||||
LB-UBS Commercial Mortgage Trust 2004-C8 | ||||||||
0.42%, 12/15/39 (b)(g)(h) | 77,820 | 185 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6 | ||||||||
6.11%, 07/15/40 (h) | 269,803 | 273,315 | ||||||
6.11%, 07/15/40 (b) | 530,000 | 530,019 | ||||||
MASTR Alternative Loan Trust 2003-5 | ||||||||
5.00%, 08/25/18 (g) | 6,984 | 80 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18 | ||||||||
3.39%, 10/15/47 (b) | 835,411 | 568,751 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | ||||||||
1.40%, 02/15/48 (g)(h) | 3,193,620 | 233,278 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | ||||||||
0.97%, 03/15/48 (g)(h) | 3,854,263 | 215,728 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 75 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28 | ||||||||
3.00%, 01/15/49 (b) | 267,259 | 188,521 | ||||||
Morgan Stanley Capital I Trust 2006-IQ11 | ||||||||
6.30%, 10/15/42 (h) | 270,000 | 266,085 | ||||||
Morgan Stanley Capital I Trust 2006-T21 | ||||||||
5.27%, 10/12/52 (h) | 46,737 | 46,704 | ||||||
Morgan Stanley Capital I Trust 2007-IQ16 | ||||||||
6.06%, 12/12/49 (h) | 190,000 | 194,143 | ||||||
Morgan Stanley Capital I Trust 2008-T29 | ||||||||
6.30%, 01/11/43 (h) | 250,000 | 255,961 | ||||||
Morgan Stanley Capital I Trust 2016-UBS9 | ||||||||
1.25%, 03/15/49 (g)(h) | 4,728,765 | 359,929 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 | ||||||||
1.30%, 02/15/48 (g)(h) | 3,168,003 | 234,890 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-LC22 | ||||||||
4.54%, 09/15/58 (h) | 206,161 | 167,584 | ||||||
Wells Fargo Commercial Mortgage Trust 2016-C33 | ||||||||
3.12%, 03/15/59 (b) | 281,063 | 200,135 | ||||||
Wells Fargo Commercial Mortgage Trust 2017-RB1 | ||||||||
3.64%, 03/15/50 | 483,093 | 495,170 | ||||||
Wells Fargo Mortgage Backed Securities Trust 2006-3 | ||||||||
5.50%, 03/25/36 ** | 18,146 | — | ||||||
WFRBS Commercial Mortgage Trust 2013-C17 | ||||||||
4.26%, 12/15/46 | 240,000 | 254,568 | ||||||
WFRBS Commercial Mortgage Trust 2014-C19 | ||||||||
4.23%, 03/15/47 (b) | 412,226 | 345,436 | ||||||
WFRBS Commercial Mortgage Trust 2014-C22 | ||||||||
3.91%, 09/15/57 (b)(h) | 532,045 | 403,401 | ||||||
WFRBS Commercial Mortgage Trust 2014-C24 | ||||||||
3.69%, 11/15/47 (b) | 784,992 | 494,721 | ||||||
WFRBS Commercial Mortgage Trust 2014-C25 | ||||||||
3.80%, 11/15/47 (b)(h) | 95,000 | 68,263 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | ||||||||
4.35%, 03/15/47 (h) | 544,000 | 576,473 | ||||||
4.59%, 03/15/47 (b)(h) | 582,134 | 472,949 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
WFRBS Commercial Mortgage Trust 2015-C31 | ||||||||
3.85%, 11/15/48 | 102,974 | 74,924 | ||||||
|
| |||||||
15,642,984 | ||||||||
|
| |||||||
Sovereign Bonds - 1.2% |
| |||||||
Government of Colombia | ||||||||
2.63%, 03/15/23 | 327,000 | 314,329 | ||||||
5.00%, 06/15/45 | 200,000 | 200,600 | ||||||
Government of Mexico | ||||||||
3.60%, 01/30/25 | 336,000 | 335,160 | ||||||
4.00%, 10/02/23 | 130,000 | 133,900 | ||||||
4.75%, 03/08/44 | 304,000 | 295,640 | ||||||
Government of Oman | ||||||||
3.88%, 03/08/22 (b) | 495,000 | 500,495 | ||||||
5.38%, 03/08/27 (b) | 343,000 | 358,435 | ||||||
6.50%, 03/08/47 (b) | 200,000 | 211,000 | ||||||
Government of Panama | ||||||||
4.00%, 09/22/24 | 203,000 | 211,881 | ||||||
Government of Peru | ||||||||
5.63%, 11/18/50 | 144,000 | 171,540 | ||||||
Government of Philippines | ||||||||
3.95%, 01/20/40 | 200,000 | 205,620 | ||||||
Government of South Africa | ||||||||
4.30%, 10/12/28 | 201,000 | 188,657 | ||||||
Government of Uruguay | ||||||||
5.10%, 06/18/50 | 150,818 | 145,162 | ||||||
|
| |||||||
3,272,419 | ||||||||
|
| |||||||
Municipal Bonds and Notes - 0.7% |
| |||||||
American Municipal Power Inc. | ||||||||
6.27%, 02/15/50 | 220,000 | 263,621 | ||||||
Municipal Electric Authority of Georgia | ||||||||
6.64%, 04/01/57 | 286,000 | 321,052 | ||||||
Port Authority of New York & New Jersey | ||||||||
4.46%, 10/01/62 | 475,000 | 500,550 | ||||||
South Carolina State Public Service Authority | ||||||||
6.45%, 01/01/50 | 185,000 | 204,862 | ||||||
State of California | ||||||||
5.70%, 11/01/21 | 290,000 | 330,255 | ||||||
State of Illinois | ||||||||
5.10%, 06/01/33 | 130,000 | 118,615 | ||||||
|
| |||||||
1,738,955 | ||||||||
|
| |||||||
FNMA (TBA) - 0.0%* |
| |||||||
Lehman | ||||||||
5.50%, TBA (j)(k) | 206,627 | 6,529 | ||||||
|
| |||||||
Total Bonds and Notes (Cost $270,580,627) | 271,840,662 | |||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
76 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
Domestic Equity - 0.1% | ||||||||
Preferred Stock - 0.1% |
| |||||||
Wells Fargo & Co. | 13,044 | 346,970 | ||||||
|
| |||||||
Total Investments in Securities (Cost $270,906,727) | 272,187,632 | |||||||
|
|
Principal Amount ($) or Shares | Fair Value $ | |||||||
Short-Term Investments - 9.2% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.66% (Cost $25,296,382) (d)(m) | 25,296,382 | 25,296,382 | ||||||
|
| |||||||
Total Investments (Cost $296,203,109) | 297,484,014 | |||||||
Liabilities in Excess of Other Assets, net - (8.3)% | (22,687,493 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | 274,796,521 | |||||||
|
|
Other Information:
Centrally Cleared Credit Default Swaps - Buy Protection
Reference Entity | Counterparty | Notional Amount (000s omitted) | Contract annual Fixed Rate | Termination Date | Market Value | Unamortized Upfront Payments Received | Unrealized Depreciation | |||||||||||||||||||
Markit CDX North America High Yield Index | CME Group Inc. | $ | 4,903 | 5.00% | 12/20/21 | $ | (396,007 | ) | $ | (199,123 | ) | $ | (196,884 | ) | ||||||||||||
Markit CDX North America Investment Grade Index | CME Group Inc. | $ | 7,212 | 1.00% | 06/20/22 | $ | (121,807 | ) | $ | (113,183 | ) | $ | (8,624 | ) | ||||||||||||
|
| |||||||||||||||||||||||||
$ | (205,508 | ) | ||||||||||||||||||||||||
|
|
The Fund had the following long futures contracts open at March 31, 2017:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
5 Yr. U.S. Treasury Notes Futures | June 2017 | 115 | $ | 13,538,555 | $ | (20,445 | ) | |||||||||
10 Yr. U.S. Treasury Notes Futures | June 2017 | 257 | 32,012,562 | 121,192 | ||||||||||||
|
| |||||||||||||||
$ | 100,747 | |||||||||||||||
|
|
The Fund had the following short futures contracts open at March 31, 2017:
Description | Expiration date | Number of Contracts | Current Notional Value | Unrealized Appreciation (Depreciation) | ||||||||||||
U.S. Long Bond Futures | June 2017 | 62 | $ | (9,352,313 | ) | $ | (3,163 | ) | ||||||||
Ultra Long-Term U.S. Treasury Bond Futures | June 2017 | 13 | (2,088,125 | ) | 2,765 | |||||||||||
2 Yr. U.S. Treasury Notes Futures | June 2017 | 2 | (432,906 | ) | (347 | ) | ||||||||||
10 Yr. U.S. Treasury Ultra Futures | June 2017 | 64 | (8,569,000 | ) | (76,728 | ) | ||||||||||
|
| |||||||||||||||
$ | (77,473 | ) | ||||||||||||||
|
| |||||||||||||||
$ | 23,274 | |||||||||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 77 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2017 (Unaudited)
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 3/31/17 | Value at 3/31/17 | Dividend/ Interest Income | ||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 29,678,865 | $ | 29,678,865 | 76,672,319 | 81,054,802 | 25,296,382 | $ | 25,296,382 | $ | 68,131 | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
$ | 29,678,865 | $ | 25,296,382 | $ | 68,131 | |||||||||||||||||||||||
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
78 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Funds
Notes to Schedule of Investments — March 31, 2017 (Unaudited)
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Funds’ future investments and should not be construed as a recommendation to purchase or sell a particular security. See each Fund’s summary prospectus and the Funds’ statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2017, these securities amounted to $21,022,491 or 2.78%, and $27,340,658 or 9.95% of the net assets of the State Street Institutional Strategic Investment Fund and State Street Institutional Income Fund, respectively. These securities have been determined to be liquid using procedures established by State Street Institutional Funds’ Board of Trustees (the “Board”). |
(c) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future. |
(d) | Coupon amount represents effective yield. |
(e) | State Street Corp. is the parent company of SSGA Funds Management, Inc., the Funds’ investment adviser and administrator, and State Street Bank & Trust Co., the Funds’ sub-administrator, custodian and accounting agent. |
(f) | Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder. |
(g) | Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
(h) | Variable or floating rate security. The stated rate represents the rate at March 31, 2017. |
(i) | Step coupon bond. |
(j) | Security is in default. |
(k) | Security is fair valued by the valuation committee, in accordance with the procedures approved by the Board. |
(l) | At March 31, 2017, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBA’s. |
(m) | Sponsored by SSGA Funds Management, Inc., the Funds’ investment adviser and administrator and an affiliate of State Street Bank & Trust Co., the Funds’ sub-administrator, custodian and accounting agent. |
† | Percentages are based on net assets as of March 31, 2017. |
* | Less than 0.05%. |
** | Less than $0.50 |
*** | Less than 0.005%. |
Abbreviations:
ADR - American Depositary Receipt
GDR - Global Depositary Receipt
LIBOR - London Interbank Offerred Rate
REIT - Real Estate Investment Trust
REMIC - Real Estate Mortgage Investment Conduit
SPDR - Standard and Poor’s Depositary Receipt
STRIPS - Separate Trading of Registered Interest and Principal of Security
TBA - To Be Announced
Notes to Schedule of Investments | 79 |
Table of Contents
State Street Institutional U.S. Equity Fund
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | — | — | — | — | — | 11/25/97 | ||||||||||||||||||
Net asset value, beginning of period | $ | 13.50 | $ | 14.46 | $ | 17.32 | $ | 15.59 | $ | 12.90 | $ | 10.07 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.09 | * | 0.21 | * | 0.21 | * | 0.22 | * | 0.22 | * | 0.16 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 1.26 | * | 1.52 | * | (0.65 | )* | 2.60 | * | 2.67 | * | 2.80 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 1.35 | 1.73 | (0.44 | ) | 2.82 | 2.89 | 2.96 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.21 | 0.24 | 0.25 | 0.22 | 0.20 | 0.13 | ||||||||||||||||||
Net realized gains | 0.68 | 2.45 | 2.17 | 0.87 | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.89 | 2.69 | 2.42 | 1.09 | 0.20 | 0.13 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 13.96 | $ | 13.50 | $ | 14.46 | $ | 17.32 | $ | 15.59 | $ | 12.90 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 10.45 | % | 13.29 | % | (3.57 | )% | 18.88 | % | 22.76 | % | 29.68 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 628,920 | $ | 603,060 | $ | 615,024 | $ | 836,752 | $ | 767,603 | $ | 658,065 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.37 | %*** | 0.37 | % | 0.37 | % | 0.36 | %(b) | 0.36 | %(b) | 0.36 | %(b) | ||||||||||||
Gross expenses | 0.37 | %*** | 0.37 | % | 0.37 | % | 0.36 | % | 0.36 | % | 0.37 | % | ||||||||||||
Net investment income | 1.38 | %*** | 1.61 | % | 1.32 | % | 1.36 | % | 1.60 | % | 1.39 | % | ||||||||||||
Portfolio turnover rate | 54 | % | 43 | % | 41 | % | 38 | % | 37 | % | 71 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.18 | $ | 15.06 | $ | 17.95 | $ | 15.96 | $ | 13.12 | $ | 10.24 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.08 | * | 0.19 | * | 0.18 | * | 0.19 | * | 0.18 | * | 0.14 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 1.33 | * | 1.58 | * | (0.69 | )* | 2.67 | * | 2.83 | * | 2.84 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 1.41 | 1.77 | (0.51 | ) | 2.86 | 3.01 | 2.98 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.17 | 0.20 | 0.21 | — | 0.17 | 0.10 | ||||||||||||||||||
Net realized gains | 0.68 | 2.45 | 2.17 | 0.87 | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.85 | 2.65 | 2.38 | 0.87 | 0.17 | 0.10 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 14.74 | $ | 14.18 | $ | 15.06 | $ | 17.95 | $ | 15.96 | $ | 13.12 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 10.36 | % | 12.96 | % | (3.83 | )% | 18.55 | % | 23.23 | % | 29.33 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 105 | $ | 95 | $ | 104 | $ | 117 | $ | 84 | $ | 3,133 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.62 | %*** | 0.62 | % | 0.62 | % | 0.61 | %(b) | 0.61 | %(b) | 0.61 | %(b) | ||||||||||||
Gross expenses | 0.62 | %*** | 0.62 | % | 0.62 | % | 0.61 | % | 0.61 | % | 0.62 | % | ||||||||||||
Net investment income | 1.13 | %*** | 1.35 | % | 1.07 | % | 1.11 | % | 1.33 | % | 1.14 | % | ||||||||||||
Portfolio turnover rate | 54 | % | 43 | % | 41 | % | 38 | % | 37 | % | 71 | % |
See Notes to Financial Highlights and Notes to Financial Statements
80 | Financial Highlights |
Table of Contents
State Street Institutional S&P 500 Index Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | — | — | — | �� | — | — | 11/25/97 | |||||||||||||||||
Net asset value, beginning of period | $ | 20.69 | $ | 18.34 | $ | 18.84 | $ | 16.01 | $ | 13.71 | $ | 10.91 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.21 | * | 0.39 | * | 0.37 | * | 0.32 | * | 0.30 | * | 0.26 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 1.85 | * | 2.37 | * | (0.48 | )* | 2.76 | * | 2.27 | * | 2.95 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 2.06 | 2.76 | (0.11 | ) | 3.08 | 2.57 | 3.21 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.41 | 0.41 | 0.39 | 0.25 | 0.27 | 0.41 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.41 | 0.41 | 0.39 | 0.25 | 0.27 | 0.41 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 22.34 | $ | 20.69 | $ | 18.34 | $ | 18.84 | $ | 16.01 | $ | 13.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 10.05 | % | 15.21 | % | (0.68 | )% | 19.54 | % | 19.11 | % | 30.07 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,398 | $ | 8,875 | $ | 20,017 | $ | 32,326 | $ | 42,753 | $ | 31,997 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.16 | %*** | 0.16 | % | 0.16 | % | 0.19 | %(b) | 0.15 | %(b) | 0.15 | %(b) | ||||||||||||
Gross expenses | 0.16 | %*** | 0.16 | % | 0.16 | % | 0.19 | % | 0.15 | % | 0.16 | % | ||||||||||||
Net investment income | 1.99 | %*** | 2.02 | % | 1.91 | % | 1.79 | % | 2.05 | % | 2.03 | % | ||||||||||||
Portfolio turnover rate | 8 | % | 12 | % | 7 | % | 16 | % | 2 | % | 11 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 21.09 | $ | 18.69 | $ | 19.20 | $ | 16.31 | $ | 13.97 | $ | 10.86 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.19 | * | 0.36 | * | 0.33 | * | 0.28 | * | 0.27 | * | 0.22 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 1.90 | * | 2.40 | * | (0.49 | )* | 2.83 | * | 2.31 | * | 2.98 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 2.09 | 2.76 | (0.16 | ) | 3.11 | 2.58 | 3.20 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.36 | 0.36 | 0.35 | 0.22 | 0.24 | 0.09 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.36 | 0.36 | 0.35 | 0.22 | 0.24 | 0.09 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 22.82 | $ | 21.09 | $ | 18.69 | $ | 19.20 | $ | 16.31 | $ | 13.97 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 9.99 | % | 14.90 | % | (0.95 | )% | 19.28 | % | 18.81 | % | 29.65 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,054 | $ | 7,360 | $ | 6,960 | $ | 7,150 | $ | 5,922 | $ | 4,496 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.41 | %*** | 0.41 | % | 0.41 | % | 0.44 | %(b) | 0.40 | %(b) | 0.40 | %(b) | ||||||||||||
Gross expenses | 0.41 | %*** | 0.41 | % | 0.41 | % | 0.44 | % | 0.40 | % | 0.41 | % | ||||||||||||
Net investment income | 1.74 | %*** | 1.80 | % | 1.65 | % | 1.52 | % | 1.80 | % | 1.76 | % | ||||||||||||
Portfolio turnover rate | 8 | % | 12 | % | 7 | % | 16 | % | 2 | % | 11 | % |
See Notes to Financial Highlights and Notes to Financial Statements
Financial Highlights | 81 |
Table of Contents
State Street Institutional U.S. Large-Cap Core Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | — | — | — | — | — | 2/2/00 | ||||||||||||||||||
Net asset value, beginning of period | $ | 7.78 | $ | 8.85 | $ | 11.15 | $ | 11.64 | $ | 10.94 | $ | 8.76 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.05 | * | 0.13 | * | 0.18 | 0.17 | 0.21 | 0.18 | ||||||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.82 | * | 0.75 | * | (0.62 | ) | 1.73 | 1.94 | 2.25 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.87 | 0.88 | (0.44 | ) | 1.90 | 2.15 | 2.43 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.28 | 0.18 | 0.16 | 0.15 | 0.25 | 0.14 | ||||||||||||||||||
Net realized gains | 0.34 | 1.77 | 1.70 | 2.24 | 1.20 | 0.11 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.62 | 1.95 | 1.86 | 2.39 | 1.45 | 0.25 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 8.03 | $ | 7.78 | $ | 8.85 | $ | 11.15 | $ | 11.64 | $ | 10.94 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 11.69 | % | 11.67 | % | (5.31 | )% | 18.60 | % | 22.84 | % | 28.27 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 14,698 | $ | 52,332 | $ | 59,483 | $ | 95,740 | $ | 90,668 | $ | 185,990 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.53 | %*** | 0.49 | % | 0.43 | % | 0.43 | %(b) | 0.43 | %(b) | 0.39 | %(b) | ||||||||||||
Gross expenses | 0.53 | %*** | 0.49 | % | 0.43 | % | 0.43 | % | 0.43 | % | 0.39 | % | ||||||||||||
Net investment income | 1.24 | %*** | 1.67 | % | 1.44 | % | 1.46 | % | 1.78 | % | 1.80 | % | ||||||||||||
Portfolio turnover rate | 75 | % | 54 | % | 48 | % | 45 | % | 44 | % | 83 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 7.71 | $ | 8.77 | $ | 11.06 | $ | 11.56 | $ | 10.87 | $ | 8.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.04 | * | 0.11 | * | 0.11 | 0.13 | 0.17 | 0.17 | ||||||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.82 | * | 0.76 | * | (0.57 | ) | 1.73 | 1.94 | 2.22 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.86 | 0.87 | (0.46 | ) | 1.86 | 2.11 | 2.39 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.22 | 0.16 | 0.13 | 0.12 | 0.22 | 0.12 | ||||||||||||||||||
Net realized gains | 0.34 | 1.77 | 1.70 | 2.24 | 1.20 | 0.11 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.56 | 1.93 | 1.83 | 2.36 | 1.42 | 0.23 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 8.01 | $ | 7.71 | $ | 8.77 | $ | 11.06 | $ | 11.56 | $ | 10.87 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 11.65 | % | 11.58 | % | (5.51 | )% | 18.32 | % | 22.56 | % | 27.88 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 801 | $ | 870 | $ | 4,117 | $ | 4,391 | $ | 3,583 | $ | 3,191 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.79 | %*** | 0.74 | % | 0.68 | % | 0.68 | %(b) | 0.68 | %(b) | 0.64 | %(b) | ||||||||||||
Gross expenses | 0.79 | %*** | 0.74 | % | 0.68 | % | 0.68 | % | 0.68 | % | 0.64 | % | ||||||||||||
Net investment income | 0.97 | %*** | 1.49 | % | 1.20 | % | 1.21 | % | 1.44 | % | 1.55 | % | ||||||||||||
Portfolio turnover rate | 75 | % | 54 | % | 48 | % | 45 | % | 44 | % | 83 | % |
See Notes to Financial Highlights and Notes to Financial Statements
82 | Financial Highlights |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | — | — | — | — | — | 10/29/99 | ||||||||||||||||||
Net asset value, beginning of period | $ | 14.23 | $ | 13.61 | $ | 14.96 | $ | 12.92 | $ | 10.83 | $ | 8.05 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.07 | * | 0.13 | * | 0.13 | * | 0.13 | * | 0.14 | * | 0.10 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 1.15 | * | 1.88 | * | (0.11 | )* | 2.38 | * | 2.09 | * | 2.77 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income from investment operations | 1.22 | 2.01 | 0.02 | 2.51 | 2.23 | 2.87 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.12 | 0.14 | 0.13 | 0.11 | 0.14 | 0.09 | ||||||||||||||||||
Net realized gains | 1.15 | 1.25 | 1.24 | 0.36 | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 1.27 | 1.39 | 1.37 | 0.47 | 0.14 | 0.09 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 14.18 | $ | 14.23 | $ | 13.61 | $ | 14.96 | $ | 12.92 | $ | 10.83 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 9.52 | % | 15.25 | % | (0.47 | )% | 19.80 | % | 20.85 | % | 35.95 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 351,369 | $ | 325,700 | $ | 334,227 | $ | 428,536 | $ | 369,286 | $ | 257,923 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.38 | %*** | 0.38 | % | 0.38 | % | 0.37 | %(b) | 0.38 | %(b) | 0.38 | %(b) | ||||||||||||
Gross expenses | 0.38 | %*** | 0.38 | % | 0.38 | % | 0.37 | % | 0.38 | % | 0.38 | % | ||||||||||||
Net investment income | 1.01 | %*** | 0.95 | % | 0.89 | % | 0.94 | % | 1.20 | % | 0.98 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 21 | % | 21 | % | 21 | % | 25 | % | 15 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 14.06 | $ | 13.46 | $ | 14.82 | $ | 12.80 | $ | 10.74 | $ | 7.98 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.05 | * | 0.09 | * | 0.09 | * | 0.10 | * | 0.11 | * | 0.07 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 1.13 | * | 1.87 | * | (0.12 | )* | 2.36 | * | 2.07 | * | 2.76 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 1.18 | 1.96 | (0.03 | ) | 2.46 | 2.18 | 2.83 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.09 | 0.11 | 0.09 | 0.08 | 0.12 | 0.07 | ||||||||||||||||||
Net realized gains | 1.15 | 1.25 | 1.24 | 0.36 | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 1.24 | 1.36 | 1.33 | 0.44 | 0.12 | 0.07 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 14.00 | $ | 14.06 | $ | 13.46 | $ | 14.82 | $ | 12.80 | $ | 10.74 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 9.29 | % | 14.99 | % | (0.77 | )% | 19.56 | % | 20.49 | % | 35.65 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 13,258 | $ | 11,547 | $ | 5,820 | $ | 3,836 | $ | 3,216 | $ | 2,148 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.63 | %*** | 0.63 | % | 0.63 | % | 0.62 | %(b) | 0.63 | %(b) | 0.63 | %(b) | ||||||||||||
Gross expenses | 0.63 | %*** | 0.63 | % | 0.63 | % | 0.62 | % | 0.63 | % | 0.63 | % | ||||||||||||
Net investment income | 0.76 | %*** | 0.67 | % | 0.61 | % | 0.69 | % | 0.93 | % | 0.73 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 21 | % | 21 | % | 21 | % | 25 | % | 15 | % |
See Notes to Financial Highlights and Notes to Financial Statements
Financial Highlights | 83 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | — | — | — | — | — | 8/3/98 | ||||||||||||||||||
Net asset value, beginning of period | $ | 17.96 | $ | 17.18 | $ | 19.32 | $ | 20.19 | $ | 16.80 | $ | 13.05 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.06 | * | 0.04 | * | 0.03 | * | 0.01 | * | 0.07 | * | 0.04 | |||||||||||||
Net realized and unrealized gains/(losses) on investments | 2.03 | * | 2.79 | * | (0.08 | )* | 1.12 | * | 4.69 | * | 3.86 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 2.09 | 2.83 | (0.05 | ) | 1.13 | 4.76 | 3.90 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.04 | 0.03 | 0.02 | 0.02 | 0.07 | 0.06 | ||||||||||||||||||
Net realized gains | 0.60 | 2.02 | 2.07 | 1.98 | 1.30 | 0.09 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.64 | 2.05 | 2.09 | 2.00 | 1.37 | 0.15 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 19.41 | $ | 17.96 | $ | 17.18 | $ | 19.32 | $ | 20.19 | $ | 16.80 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 11.71 | % | 18.24 | % | (0.90 | )% | 5.61 | % | 30.57 | % | 30.03 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,428,357 | $ | 1,298,789 | $ | 1,171,984 | $ | 1,264,304 | $ | 1,249,146 | $ | 966,702 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.88 | %*** | 0.89 | % | 0.89 | % | 0.88 | %(b) | 0.88 | %(b) | 0.89 | %(b) | ||||||||||||
Gross expenses | 0.88 | %*** | 0.89 | % | 0.89 | % | 0.88 | % | 0.89 | % | 0.90 | % | ||||||||||||
Net investment income | 0.64 | %*** | 0.25 | % | 0.17 | % | 0.07 | % | 0.37 | % | 0.27 | % | ||||||||||||
Portfolio turnover rate | 19 | % | 33 | % | 40 | % | 37 | % | 37 | % | 36 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 17.98 | $ | 17.21 | $ | 19.37 | $ | 20.27 | $ | 16.87 | $ | 13.11 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.04 | * | (0.00 | )*(c) | (0.01 | )* | (0.04 | )* | 0.02 | * | 0.00 | (c) | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 2.03 | * | 2.80 | * | (0.08 | )* | 1.12 | * | 4.72 | * | 3.87 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 2.07 | 2.80 | (0.09 | ) | 1.08 | 4.74 | 3.87 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.01 | 0.01 | — | — | 0.04 | 0.02 | ||||||||||||||||||
Net realized gains | 0.60 | 2.02 | 2.07 | 1.98 | 1.30 | 0.09 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.61 | 2.03 | 2.07 | 1.98 | 1.34 | 0.11 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 19.44 | $ | 17.98 | $ | 17.21 | $ | 19.37 | $ | 20.27 | $ | 16.87 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 11.58 | % | 17.96 | % | (1.12 | )% | 5.32 | % | 30.26 | % | 29.63 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,421 | $ | 2,579 | $ | 1,741 | $ | 71 | $ | 87 | $ | 44 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 1.13 | %*** | 1.14 | % | 1.14 | % | 1.13 | %(b) | 1.13 | %(b) | 1.14 | %(b) | ||||||||||||
Gross expenses | 1.13 | %*** | 1.14 | % | 1.14 | % | 1.13 | % | 1.14 | % | 1.15 | % | ||||||||||||
Net investment income (loss) | 0.40 | %*** | (0.00 | )%(d) | (0.07 | )% | (0.19 | )% | 0.09 | % | 0.04 | % | ||||||||||||
Portfolio turnover rate | 19 | % | 33 | % | 40 | % | 37 | % | 37 | % | 36 | % |
See Notes to Financial Highlights and Notes to Financial Statements
84 | Financial Highlights |
Table of Contents
State Street Institutional International Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | — | — | — | — | — | 11/25/97 | ||||||||||||||||||
Net asset value, beginning of period | $ | 11.83 | $ | 11.41 | $ | 12.72 | $ | 12.71 | $ | 10.68 | $ | 9.25 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.04 | * | 0.20 | * | 0.18 | * | 0.30 | * | 0.18 | * | 0.20 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.41 | * | 0.40 | * | (1.15 | )* | (0.08 | )* | 2.09 | * | 1.47 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.45 | 0.60 | (0.97 | ) | 0.22 | 2.27 | 1.67 | |||||||||||||||||
|
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|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.21 | 0.18 | 0.34 | 0.21 | 0.24 | 0.24 | ||||||||||||||||||
|
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|
|
|
|
|
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|
|
|
| |||||||||||||
Total distributions | 0.21 | 0.18 | 0.34 | 0.21 | 0.24 | 0.24 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 12.07 | $ | 11.83 | $ | 11.41 | $ | 12.72 | $ | 12.71 | $ | 10.68 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 3.95 | % | 5.32 | % | (7.80 | )% | 1.69 | % | 21.57 | % | 18.43 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,207,756 | $ | 1,238,011 | $ | 1,284,412 | $ | 1,724,647 | $ | 1,836,243 | $ | 1,984,087 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.57 | %*** | 0.57 | % | 0.56 | % | 0.56 | %(b) | 0.56 | %(b) | 0.56 | %(b) | ||||||||||||
Gross expenses | 0.57 | %*** | 0.57 | % | 0.56 | % | 0.56 | % | 0.56 | % | 0.56 | % | ||||||||||||
Net investment income | 0.73 | %*** | 1.73 | % | 1.38 | % | 2.29 | % | 1.57 | % | 2.03 | % | ||||||||||||
Portfolio turnover rate | 17 | % | 33 | % | 26 | % | 39 | % | 47 | % | 50 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 11.76 | $ | 11.33 | $ | 12.62 | $ | 12.61 | $ | 10.59 | $ | 9.17 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.03 | * | 0.17 | * | 0.08 | * | 0.26 | * | 0.15 | * | 0.14 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.41 | * | 0.40 | * | (1.06 | )* | (0.08 | )* | 2.07 | * | 1.49 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.44 | 0.57 | (0.98 | ) | 0.18 | 2.22 | 1.63 | |||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.19 | 0.14 | 0.31 | 0.17 | 0.20 | 0.21 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.19 | 0.14 | 0.31 | 0.17 | 0.20 | 0.21 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 12.01 | $ | 11.76 | $ | 11.33 | $ | 12.62 | $ | 12.61 | $ | 10.59 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 3.83 | % | 5.01 | % | (7.95 | )% | 1.42 | % | 21.19 | % | 18.11 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 17,558 | $ | 17,796 | $ | 19,562 | $ | 92,749 | $ | 101,204 | $ | 119,576 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.82 | %*** | 0.82 | % | 0.81 | % | 0.81 | %(b) | 0.81 | %(b) | 0.81 | %(b) | ||||||||||||
Gross expenses | 0.82 | %*** | 0.82 | % | 0.81 | % | 0.81 | % | 0.81 | % | 0.81 | % | ||||||||||||
Net investment income | 0.48 | %*** | 1.45 | % | 0.63 | % | 2.03 | % | 1.31 | % | 1.39 | % | ||||||||||||
Portfolio turnover rate | 17 | % | 33 | % | 26 | % | 39 | % | 47 | % | 50 | % |
See Notes to Financial Highlights and Notes to Financial Statements
Financial Highlights | 85 |
Table of Contents
State Street Institutional Strategic Investment Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | — | — | — | — | — | 10/29/99 | ||||||||||||||||||
Net asset value, beginning of period | $ | 12.11 | $ | 11.91 | $ | 13.54 | $ | 13.09 | $ | 11.88 | $ | 10.23 | ||||||||||||
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.08 | * | 0.23 | * | 0.21 | * | 0.25 | * | 0.22 | * | 0.22 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.37 | * | 0.77 | * | (0.49 | )* | 0.90 | * | 1.22 | * | 1.66 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.45 | 1.00 | (0.28 | ) | 1.15 | 1.44 | 1.88 | |||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.24 | 0.20 | 0.25 | 0.22 | 0.23 | 0.23 | ||||||||||||||||||
Net realized gains | 0.14 | 0.60 | 1.10 | 0.48 | — | — | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.38 | 0.80 | 1.35 | 0.70 | 0.23 | 0.23 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 12.18 | $ | 12.11 | $ | 11.91 | $ | 13.54 | $ | 13.09 | $ | 11.88 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 3.86 | % | 8.83 | % | (2.46 | )% | 8.98 | % | 12.34 | % | 18.67 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 757,260 | $ | 757,680 | $ | 754,367 | $ | 835,338 | $ | 827,998 | $ | 742,918 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.36 | %*** | 0.36 | % | 0.36 | % | 0.35 | %(b) | 0.34 | %(b) | 0.34 | %(b) | ||||||||||||
Gross expenses | 0.36 | %*** | 0.36 | % | 0.36 | % | 0.35 | % | 0.36 | % | 0.36 | % | ||||||||||||
Net investment income | 1.41 | %*** | 1.94 | % | 1.61 | % | 1.84 | % | 1.74 | % | 1.93 | % | ||||||||||||
Portfolio turnover rate | 107 | % | 109 | % | 144 | % | 185 | % | 153 | % | 188 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 12.00 | $ | 11.81 | $ | 13.44 | $ | 12.99 | $ | 11.80 | $ | 10.17 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.07 | * | 0.20 | * | 0.17 | * | 0.21 | * | 0.18 | * | 0.18 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.37 | * | 0.76 | * | (0.48 | )* | 0.90 | * | 1.21 | * | 1.66 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.44 | 0.96 | (0.31 | ) | 1.11 | 1.39 | 1.84 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.21 | 0.17 | 0.22 | 0.18 | 0.20 | 0.21 | ||||||||||||||||||
Net realized gains | 0.14 | 0.60 | 1.10 | 0.48 | — | — | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.35 | 0.77 | 1.32 | 0.66 | 0.20 | 0.21 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 12.09 | $ | 12.00 | $ | 11.81 | $ | 13.44 | $ | 12.99 | $ | 11.80 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 3.80 | % | 8.53 | % | (2.72 | )% | 8.79 | % | 11.98 | % | 18.39 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 55 | $ | 55 | $ | 60 | $ | 62 | $ | 57 | $ | 61 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.61 | %*** | 0.61 | % | 0.61 | % | 0.60 | %(b) | 0.59 | %(b) | 0.59 | %(b) | ||||||||||||
Gross expenses | 0.61 | %*** | 0.61 | % | 0.61 | % | 0.60 | % | 0.61 | % | 0.61 | % | ||||||||||||
Net investment income | 1.16 | %*** | 1.70 | % | 1.36 | % | 1.60 | % | 1.48 | % | 1.69 | % | ||||||||||||
Portfolio turnover rate | 107 | % | 109 | % | 144 | % | 185 | % | 153 | % | 188 | % |
See Notes to Financial Highlights and Notes to Financial Statements
86 | Financial Highlights |
Table of Contents
State Street Institutional Income Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | — | — | — | — | — | 11/21/97 | ||||||||||||||||||
Net asset value, beginning of period | $ | 9.67 | $ | 9.45 | $ | 9.51 | $ | 9.34 | $ | 10.01 | $ | 9.73 | ||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.12 | * | 0.26 | * | 0.25 | 0.26 | 0.21 | 0.25 | ||||||||||||||||
Net realized and unrealized gains/(losses) on investments | (0.28 | )* | 0.31 | * | (0.05 | ) | 0.17 | (0.32 | ) | 0.44 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | (0.16 | ) | 0.57 | 0.20 | 0.43 | (0.11 | ) | 0.69 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.11 | 0.26 | 0.26 | 0.26 | 0.21 | 0.26 | ||||||||||||||||||
Net realized gains | 0.01 | 0.09 | — | — | 0.35 | 0.15 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.12 | 0.35 | 0.26 | 0.26 | 0.56 | 0.41 | ||||||||||||||||||
|
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|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 9.39 | $ | 9.67 | $ | 9.45 | $ | 9.51 | $ | 9.34 | $ | 10.01 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | (1.64 | )% | 6.18 | % | 2.05 | % | 4.61 | % | (1.13 | )% | 7.28 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 274,707 | $ | 298,908 | $ | 291,252 | $ | 322,946 | $ | 341,603 | $ | 372,643 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.24 | %*** | 0.24 | % | 0.23 | % | 0.23 | %(b) | 0.21 | %(b) | 0.21 | %(b) | ||||||||||||
Gross expenses | 0.24 | %*** | 0.24 | % | 0.23 | % | 0.23 | % | 0.23 | % | 0.23 | % | ||||||||||||
Net investment income | 2.51 | %*** | 2.79 | % | 2.65 | % | 2.73 | % | 2.21 | % | 2.58 | % | ||||||||||||
Portfolio turnover rate | 167 | % | 219 | % | 297 | % | 308 | % | 348 | % | 403 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/17† | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | 9/30/12** | |||||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||||||
Net asset value, beginning of period | $ | 9.89 | $ | 9.66 | $ | 9.72 | $ | 9.55 | $ | 10.23 | $ | 9.94 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.11 | 0.25 | * | 0.23 | 0.24 | 0.19 | 0.24 | |||||||||||||||||
Net realized and unrealized gains/(losses) on investments | (0.28 | ) | 0.31 | * | (0.05 | ) | 0.17 | (0.33 | ) | 0.44 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | (0.17 | ) | 0.56 | 0.18 | 0.41 | (0.14 | ) | 0.68 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.10 | 0.24 | 0.24 | 0.24 | 0.19 | 0.24 | ||||||||||||||||||
Net realized gains | 0.01 | 0.09 | — | — | 0.35 | 0.15 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.11 | 0.33 | 0.24 | 0.24 | 0.54 | 0.39 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 9.61 | $ | 9.89 | $ | 9.66 | $ | 9.72 | $ | 9.55 | $ | 10.23 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | (1.70 | )% | 5.95 | % | 1.81 | % | 4.32 | % | (1.40 | )% | 7.02 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 90 | $ | 181 | $ | 248 | $ | 327 | $ | 316 | $ | 320 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.49 | %*** | 0.49 | % | 0.48 | % | 0.48 | %(b) | 0.46 | %(b) | 0.46 | %(b) | ||||||||||||
Gross expenses | 0.49 | %*** | 0.49 | % | 0.48 | % | 0.48 | % | 0.48 | % | 0.48 | % | ||||||||||||
Net investment income | 2.23 | %*** | 2.58 | % | 2.40 | % | 2.47 | % | 2.00 | % | 2.33 | % | ||||||||||||
Portfolio turnover rate | 167 | % | 219 | % | 297 | % | 308 | % | 348 | % | 403 | % |
See Notes to Financial Highlights and Notes to Financial Statements
Financial Highlights | 87 |
Table of Contents
State Street Institutional Funds
Notes to Financial Highlights
(a) | Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. |
(b) | Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective June 30, 2014 with the closure of the Money Market Fund. |
(c) | Less than $0.005. |
(d) | Less than 0.005% |
† | Unaudited. |
* | Per share values have been calculated using the average share method. |
** | Beginning with the year ended September 30, 2016, the Funds were audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
*** | Annualized for periods less than one year. |
See accompanying notes to financial statements.
88 | Financial Highlights |
Table of Contents
This page has been intentionally left blank.
Table of Contents
State Street Institutional Funds
Statements of Assets and Liabilities — March 31, 2017 (Unaudited)
State Street Institutional U.S. Equity Fund | State Street Institutional S&P 500 Index Fund | State Street Institutional U.S. Large-Cap Core Equity Fund | ||||||||||
Assets | ||||||||||||
Investments in securities, at fair value (cost $514,219,188; $13,048,656; $13,725,927; $257,864,682; $1,026,104,364; $1,098,280,395; $405,693,942 and $270,906,727, respectively) | $ | 614,087,559 | $ | 16,879,470 | $ | 14,770,515 | ||||||
Investments in affiliated securities, at fair value (cost $0; $19,778; $0; $0; $0; $0; $284,313,439 and $0, respectively) | — | 23,724 | — | |||||||||
Short-term affiliated investments, at fair value | 14,148,784 | 487,126 | 727,067 | |||||||||
Cash | — | 20 | 15 | |||||||||
Restricted cash(1) | — | 20,000 | — | |||||||||
Foreign currency (cost $0; $0; $0; $0; $0; $763,561; $60,458 and $0, respectively) | — | — | — | |||||||||
Receivable for investments sold | 519,647 | — | — | |||||||||
Income receivables | 417,364 | 17,788 | 12,046 | |||||||||
Receivable for fund shares sold | 24,583 | 27,688 | 3 | |||||||||
Income receivable from affiliated investments | 9,450 | 420 | 473 | |||||||||
Receivable for variation margin on open futures contracts | — | — | — | |||||||||
Other assets | 31,479 | 940 | 1,394 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 629,238,866 | 17,457,176 | 15,511,513 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Distribution payable to shareholders | — | — | — | |||||||||
Payable for investments purchased | — | — | — | |||||||||
Payable for fund shares redeemed | 15,607 | 146 | 12 | |||||||||
Payable for variation margin on open centrally cleared swap contracts | — | — | — | |||||||||
Payable for variation margin on open futures contracts | 3,719 | 1,048 | 810 | |||||||||
Payable to the Adviser (Note 6) | 194,919 | 2,247 | 11,928 | |||||||||
Distribution and service fees (Note 6) | 22 | 1,727 | 174 | |||||||||
Accrued foreign capital gains tax | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 214,267 | 5,168 | 12,924 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 629,024,599 | $ | 17,452,008 | $ | 15,498,589 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in | $ | 493,565,734 | $ | 22,165,493 | $ | 6,937,873 | ||||||
Undistributed (distributions in excess of) net investment income | 1,811,684 | 80,587 | 63,388 | |||||||||
Accumulated net realized gain (loss) | 33,781,473 | (8,627,885 | ) | 7,451,617 | ||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||
Investments | 99,868,370 | 3,834,760 | 1,044,588 | |||||||||
Futures | (2,662 | ) | (947 | ) | 1,123 | |||||||
Swap contracts | — | — | — | |||||||||
Foreign currency related transactions | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 629,024,599 | $ | 17,452,008 | $ | 15,498,589 | ||||||
|
|
|
|
|
| |||||||
Investment Class: | ||||||||||||
Net Assets | $ | 628,919,994 | $ | 9,398,435 | $ | 14,697,852 | ||||||
Shares outstanding ($0.001 par value, unlimited shares authorized) | 45,061,508 | 420,668 | 1,829,495 | |||||||||
Net asset value, offering and redemption price per share | $ | 13.96 | $ | 22.34 | $ | 8.03 | ||||||
Service Class: | ||||||||||||
Net Assets | $ | 104,605 | $ | 8,053,573 | $ | 800,737 | ||||||
Shares outstanding ($0.001 par value, unlimited shares authorized) | 7,098 | 352,988 | 100,007 | |||||||||
Net asset value, offering and redemption price per share | $ | 14.74 | $ | 22.82 | $ | 8.01 | ||||||
(1) Deposits at broker for futures contracts. |
The accompanying Notes are an integral part of these financial statements.
90 | Statements of Assets and Liabilities |
Table of Contents
State Street Institutional Premier Growth Equity Fund | State Street Institutional Small-Cap Equity Fund | State Street Institutional International Equity Fund | State Street Institutional Strategic Investment Fund | State Street Institutional Income Fund | ||||||||||||||
$ | 350,603,054 |
| $ | 1,353,688,218 | $ | 1,209,846,508 | $ | 424,697,449 | $ | 272,187,632 | ||||||||
| — |
| — | — | 297,493,502 | — | ||||||||||||
14,293,197 | 75,536,686 | 10,422,760 | 60,501,945 | 25,296,382 | ||||||||||||||
535 | 78,347 | 20,238 | 701,033 | 793,961 | ||||||||||||||
— | 1,304,000 | 90,000 | 160,000 | — | ||||||||||||||
— | — | 755,627 | 59,608 | — | ||||||||||||||
1,241,632 | 3,158,807 | — | 12,005,132 | 18,230,750 | ||||||||||||||
113,337 | 1,088,825 | 5,061,259 | 1,951,682 | 1,581,670 | ||||||||||||||
238,152 | 1,518,100 | 1,329,055 | 614,773 | 20,986 | ||||||||||||||
8,086 | — | 7,626 | 31,558 | 15,152 | ||||||||||||||
— | 40,736 | 3,754 | 15,998 | 28,284 | ||||||||||||||
17,454 | 74,634 | 64,160 | 39,904 | 14,679 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
366,515,447 | 1,436,488,353 | 1,227,600,987 | 798,272,584 | 318,169,496 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
— | — | — | — | 204 | ||||||||||||||
1,691,834 | 4,631,630 | 1,448,548 | 40,325,693 | 43,014,001 | ||||||||||||||
67,875 | 17,037 | 12,135 | 374,383 | 298,890 | ||||||||||||||
— | — | — | 4,308 | 5,740 | ||||||||||||||
11,089 | — | — | — | — | ||||||||||||||
114,526 | 1,061,192 | 577,528 | 220,777 | 54,121 | ||||||||||||||
2,739 | 506 | 3,698 | 12 | 19 | ||||||||||||||
— | — | 244,297 | 32,226 | — | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
1,888,063 | 5,710,365 | 2,286,206 | 40,957,399 | 43,372,975 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 364,627,384 | $ | 1,430,777,988 | $ | 1,225,314,781 | $ | 757,315,185 | $ | 274,796,521 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 268,559,614 | $ | 1,054,156,732 | $ | 1,370,722,760 | $ | 687,848,719 | $ | 276,853,045 | |||||||||
629,174 | 2,986,433 | 4,067,719 | 2,131,065 | 511,770 | ||||||||||||||
2,700,285 | 45,955,497 | (260,710,211 | ) | 35,309,203 | (3,666,966 | ) | ||||||||||||
92,738,372 | 327,583,854 | 111,321,816 | 32,134,700 | 1,280,906 | ||||||||||||||
(61 | ) | 95,472 | 6,119 | 46,881 | 23,274 | |||||||||||||
— | — | — | (164,481 | ) | (205,508 | ) | ||||||||||||
— | — | (93,422 | ) | 9,098 | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 364,627,384 | $ | 1,430,777,988 | $ | 1,225,314,781 | $ | 757,315,185 | $ | 274,796,521 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 351,369,293 | $ | 1,428,357,109 | $ | 1,207,756,422 | $ | 757,260,352 | $ | 274,706,662 | |||||||||
24,783,246 | 73,582,814 | 100,095,220 | 62,168,531 | 29,253,570 | ||||||||||||||
$ | 14.18 | $ | 19.41 | $ | 12.07 | $ | 12.18 | $ | 9.39 | |||||||||
$ | 13,258,091 | $ | 2,420,879 | $ | 17,558,359 | $ | 54,833 | $ | 89,859 | |||||||||
946,676 | 124,551 | 1,461,871 | 4,537 | 9,355 | ||||||||||||||
$ | 14.00 | $ | 19.44 | $ | 12.01 | $ | 12.09 | $ | 9.61 |
The accompanying Notes are an integral part of these financial statements.
Statements of Assets and Liabilities | 91 |
Table of Contents
State Street Institutional Funds
Statements of Operations — For the period ended March 31, 2017 (Unaudited)
State Street Institutional U.S. Equity Fund | State Street Institutional S&P 500 Index Fund | State Street Institutional U.S. Large-Cap Core Equity Fund | ||||||||||
Investment Income |
| |||||||||||
Income |
| |||||||||||
Dividend | $ | 5,275,147 | $ | 182,840 | $ | 283,459 | ||||||
Interest | — | — | — | |||||||||
Dividend income from affiliated investments | 40,970 | 1,683 | 2,019 | |||||||||
Less: Foreign taxes withheld | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Total income | 5,316,117 | 184,523 | 285,478 | |||||||||
|
|
|
|
|
| |||||||
Expenses |
| |||||||||||
Advisory and administration fees (Note 6) | 1,100,998 | 12,875 | 84,597 | |||||||||
Distribution and service (Note 6): | ||||||||||||
Service Class | 124 | 9,949 | 991 | |||||||||
Trustees’ fees | 20,227 | 507 | 1,148 | |||||||||
Other expenses | 743 | 219 | — | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,122,092 | 23,550 | 86,736 | |||||||||
|
|
|
|
|
| |||||||
Less: Amount reimbursed by the adviser | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net expenses | 1,122,092 | 23,550 | 86,736 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | $ | 4,194,025 | $ | 160,973 | $ | 198,742 | ||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (loss) on Investments |
| |||||||||||
Realized gain (loss) on: |
| |||||||||||
Investments | $ | 42,754,274 | $ | 90,605 | $ | 7,970,354 | * | |||||
Affiliated investments | — | 197 | — | |||||||||
Futures | 444,928 | 71,931 | 18,651 | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency transactions | — | — | — | |||||||||
Increase (decrease) in unrealized appreciation/depreciation on: |
| |||||||||||
Investments | 13,409,909 | 1,341,496 | (5,111,405 | ) | ||||||||
Futures | (1,758 | ) | (5,388 | ) | 269 | |||||||
Swap contracts | — | — | — | |||||||||
Foreign currency translations | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | 56,607,353 | 1,498,841 | 2,877,869 | |||||||||
|
|
|
|
|
| |||||||
Net increase (decrease) in net assets resulting from operations | $ | 60,801,378 | $ | 1,659,814 | $ | 3,076,611 | ||||||
|
|
|
|
|
|
* | Includes $4,037,619 of net realized gains from redemptions in-kind |
** | Includes change in accrued foreign capital gains tax of $101,603, and $(7,403) for the State Street Institutional International Equity Fund and State Street Institutional Strategic Investment Fund, respectively. |
The accompanying Notes are an integral part of these financial statements.
92 | Statements of Operations |
Table of Contents
State Street Institutional Premier Growth Equity Fund | State Street Institutional Small-Cap Equity Fund | State Street Institutional International Equity Fund | State Street Institutional Strategic Investment Fund | State Street Institutional Income Fund | ||||||||||||||
$ | 2,328,271 | $ | 10,440,464 | $ | 8,577,678 | $ | 2,678,849 | $ | 26,792 | |||||||||
— | 1,833 | — | 3,171,346 | 3,798,531 | ||||||||||||||
22,207 | 153,930 | 48,393 | 839,086 | 68,131 | ||||||||||||||
— | (21,519 | ) | (807,541 | ) | (103,392 | ) | — | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
2,350,478 | 10,574,708 | 7,818,530 | 6,585,889 | 3,893,454 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
628,729 | 6,064,127 | 3,371,737 | 1,322,799 | 327,033 | ||||||||||||||
14,614 | 3,117 | 21,547 | 69 | 145 | ||||||||||||||
10,785 | 46,371 | 39,468 | 24,593 | 13,844 | ||||||||||||||
391 | 4,742 | 6,876 | 9,343 | 662 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
654,519 | 6,118,357 | 3,439,628 | 1,356,804 | 341,684 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
— | — | — | (15,100 | ) | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
654,519 | 6,118,357 | 3,439,628 | 1,341,704 | 341,684 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 1,695,959 | $ | 4,456,351 | $ | 4,378,902 | $ | 5,244,185 | $ | 3,551,770 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 3,663,063 | $ | 55,662,423 | $ | (18,609,032 | ) | $ | 41,453,652 | $ | (2,831,911 | ) | |||||||
— | — | — | 307,407 | — | ||||||||||||||
78,634 | 1,965,004 | 1,269,268 | 1,540,280 | 359,178 | ||||||||||||||
— | — | — | (769,888 | ) | (937,498 | ) | ||||||||||||
— | — | (182,717 | ) | (35,916 | ) | — | ||||||||||||
25,599,680 | 89,389,987 | 59,012,840 | ** | (19,476,567 | )** | (5,551,070 | ) | |||||||||||
(22,647 | ) | (32,855 | ) | (11,555 | ) | (45,952 | ) | 15,790 | ||||||||||
— | — | — | 300,344 | 363,232 | ||||||||||||||
— | — | (31,172 | ) | 15,436 | — | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
29,318,730 | 146,984,559 | 41,447,632 | 23,288,796 | (8,582,279 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||
$ | 31,014,689 | $ | 151,440,910 | $ | 45,826,534 | $ | 28,532,981 | $ | (5,030,509 | ) | ||||||||
|
|
|
|
|
|
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Operations | 93 |
Table of Contents
State Street Institutional Funds
Statements of Changes in Net Assets
State Street Institutional U.S. Equity Fund | State Street Institutional S&P 500 Index Fund | |||||||||||||||
Six Months Ended March 31, 2017* | Year Ended September 30, 2016 | Six Months Ended March 31, 2017* | Year Ended September 30, 2016 | |||||||||||||
Increase (Decrease) in Net Assets |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income | $ | 4,194,025 | $ | 9,819,453 | $ | 160,973 | $ | 385,705 | ||||||||
Net realized gain (loss) on investments, futures and foreign currency transactions | 43,199,202 | 31,707,651 | 162,733 | 5,278,524 | ||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and foreign currency translations | 13,408,151 | 35,732,707 | 1,336,108 | (2,515,588 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from operations | 60,801,378 | 77,259,811 | 1,659,814 | 3,148,641 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: |
| |||||||||||||||
Net investment income | ||||||||||||||||
Investment Class | (9,204,143 | ) | (9,776,530 | ) | (178,132 | ) | (419,862 | ) | ||||||||
Service Class | (1,169 | ) | (1,625 | ) | (134,360 | ) | (134,350 | ) | ||||||||
Net realized gains | ||||||||||||||||
Investment Class | (29,586,080 | ) | (101,216,102 | ) | — | — | ||||||||||
Service Class | (4,600 | ) | (20,100 | ) | — | — | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (38,795,992 | ) | (111,014,357 | ) | (312,492 | ) | (554,212 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in assets from operations and distributions | 22,005,386 | (33,754,546 | ) | 1,347,322 | 2,594,429 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Share transactions: |
| |||||||||||||||
Proceeds from sale of shares | ||||||||||||||||
Investment Class | 10,941,954 | 21,123,025 | 934,637 | 3,544,265 | ||||||||||||
Service Class | 590 | 20,465 | 1,378,752 | 896,383 | ||||||||||||
Value of distributions reinvested | ||||||||||||||||
Investment Class | 38,322,600 | 110,532,200 | 177,502 | 419,839 | ||||||||||||
Service Class | 5,769 | 21,641 | 134,360 | 133,812 | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Investment Class | (45,405,430 | ) | (109,875,352 | ) | (1,305,255 | ) | (16,828,064 | ) | ||||||||
Service Class | (1,228 | ) | (40,174 | ) | (1,450,123 | ) | (1,503,268 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 3,864,255 | 21,781,805 | (130,127 | ) | (13,337,033 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 25,869,641 | (11,972,741 | ) | 1,217,195 | (10,742,604 | ) | ||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 603,154,958 | 615,127,699 | 16,234,813 | 26,977,417 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 629,024,599 | $ | 603,154,958 | $ | 17,452,008 | $ | 16,234,813 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distributions in excess of) net investment income, end of period | $ | 1,811,684 | $ | 6,822,971 | $ | 80,587 | $ | 232,106 | ||||||||
Changes in Fund Shares | ||||||||||||||||
Investment Class | ||||||||||||||||
Shares sold | 810,458 | 1,635,190 | 43,486 | 186,211 | ||||||||||||
Issued for distributions reinvested | 2,925,389 | 8,793,333 | 8,357 | 21,889 | ||||||||||||
Shares redeemed | (3,353,952 | ) | (8,296,312 | ) | (60,183 | ) | (870,643 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in fund shares | 381,895 | 2,132,211 | (8,340 | ) | (662,543 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Service Class | ||||||||||||||||
Shares sold | 41 | 1,339 | 62,571 | 45,325 | ||||||||||||
Issued for distributions reinvested | 417 | 1,635 | 6,192 | 6,827 | ||||||||||||
Shares redeemed | (88 | ) | (3,157 | ) | (64,677 | ) | (75,576 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in fund shares | 370 | (183 | ) | 4,086 | (23,424 | ) | ||||||||||
|
|
|
|
|
|
|
|
* | (Unaudited). |
** | Includes $4,037,619 of net realized gains from redemptions in-kind. |
The accompanying Notes are an integral part of these financial statements.
94 | Statements of Changes in Net Assets |
Table of Contents
State Street Institutional U.S. Large-Cap Core Equity Fund | State Street Institutional Premier Growth Equity Fund | State Street Institutional Small-Cap Equity Fund | ||||||||||||||||||||
Six Months Ended March 31, 2017* | Year Ended September 30, 2016 | Six Months Ended March 31, 2017* | Year Ended September 30, 2016 | Six Months Ended March 31, 2017* | Year Ended September 30, 2016 | |||||||||||||||||
$ | 198,742 | $ | 974,224 | $ | 1,695,959 | $ | 3,186,928 | $ | 4,456,351 | $ | 2,976,932 | |||||||||||
| 7,989,005 |
| 1,408,648 | 3,741,697 | 31,295,981 | 57,627,427 | 50,236,237 | |||||||||||||||
| (5,111,136 | ) | 4,070,745 | 25,577,033 | 13,860,759 | 89,357,132 | 150,737,476 | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
3,076,611 | 6,453,617 | 31,014,689 | 48,343,668 | 151,440,910 | 203,950,645 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(829,608 | )** | (1,156,540 | ) | (2,724,978 | ) | (3,274,744 | ) | (2,814,988 | ) | (2,263,681 | ) | |||||||||||
(21,535 | ) | (76,196 | ) | (70,521 | ) | (49,836 | ) | (1,191 | ) | (981 | ) | |||||||||||
(1,029,388 | ) | (11,092,379 | ) | (25,871,980 | ) | (29,010,695 | ) | (43,363,389 | ) | (135,317,625 | ) | |||||||||||
(33,774 | ) | (837,244 | ) | (929,074 | ) | (575,259 | ) | (83,247 | ) | (207,202 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(1,914,305 | ) | (13,162,359 | ) | (29,596,553 | ) | (32,910,534 | ) | (46,262,815 | ) | (137,789,489 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
1,162,306 | (6,708,742 | ) | 1,418,136 | 15,433,134 | 105,178,095 | 66,161,156 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
1,308,124 | 3,310,059 | 21,468,882 | 55,895,930 | 39,224,342 | 59,925,029 | |||||||||||||||||
1,100 | 224,319 | 1,752,132 | 6,508,525 | 271,240 | 730,980 | |||||||||||||||||
1,857,799 | 12,245,160 | 28,436,763 | 32,115,120 | 46,178,377 | 137,581,306 | |||||||||||||||||
55,309 | 913,420 | 999,595 | 624,951 | 84,438 | 208,183 | |||||||||||||||||
(41,931,196 | ) | (16,619,783 | ) | (25,588,649 | ) | (111,333,277 | ) | (60,815,435 | ) | (136,736,850 | ) | |||||||||||
(156,706 | ) | (3,762,143 | ) | (1,106,569 | ) | (2,044,128 | ) | (711,084 | ) | (227,265 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(38,865,570 | ) | (3,688,968 | ) | 25,962,154 | (18,232,879 | ) | 24,231,878 | 61,481,383 | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(37,703,264 | ) | (10,397,710 | ) | 27,380,290 | (2,799,745 | ) | 129,409,973 | 127,642,539 | ||||||||||||||
53,201,853 | 63,599,563 | 337,247,094 | 340,046,839 | 1,301,368,015 | 1,173,725,476 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 15,498,589 | $ | 53,201,853 | $ | 364,627,384 | $ | 337,247,094 | $ | 1,430,777,988 | $ | 1,301,368,015 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 63,388 |
| $ | 715,789 | $ | 629,174 | $ | 1,728,714 | $ | 2,986,433 | $ | 1,346,261 | ||||||||||
167,844 | 432,443 | 1,544,363 | 4,156,779 | 2,073,817 | 3,564,517 | |||||||||||||||||
245,741 | 1,688,988 | 2,218,156 | 2,368,372 | 2,430,441 | 8,779,917 | |||||||||||||||||
(5,314,875 | ) | (2,113,052 | ) | (1,863,725 | ) | (8,206,857 | ) | (3,224,400 | ) | (8,267,615 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(4,901,290 | ) | 8,379 | 1,898,794 | (1,681,706 | ) | 1,279,858 | 4,076,819 | |||||||||||||||
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| |||||||||||
145 | 29,485 | 128,129 | 494,832 | 14,446 | 43,619 | |||||||||||||||||
7,335 | 127,040 | 78,895 | 46,569 | 4,435 | 13,243 | |||||||||||||||||
(20,332 | ) | (513,329 | ) | (81,751 | ) | (152,431 | ) | (37,800 | ) | (14,595 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(12,852 | ) | (356,804 | ) | 125,273 | 388,970 | (18,919 | ) | 42,267 | ||||||||||||||
|
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|
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|
|
|
|
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Changes in Net Assets | 95 |
Table of Contents
State Street Institutional Funds
Statements of Changes in Net Assets
State Street Institutional International Equity Fund | ||||||||
Six Months Ended March 31, 2017* | Year Ended September 30, 2016 | |||||||
Increase (Decrease) in Net Assets |
| |||||||
Operations: |
| |||||||
Net investment income | $ | 4,378,902 | $ | 21,964,998 | ||||
Net realized gain (loss) on investments, futures, swap contracts and foreign currency transactions | (17,522,481 | ) | (45,394,227 | ) | ||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, swap contracts and foreign currency translations | 58,970,113 | 88,195,510 | ||||||
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|
|
| |||||
Net increase (decrease) from operations | 45,826,534 | 64,766,281 | ||||||
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|
|
| |||||
Distributions to shareholders from: |
| |||||||
Net investment income | ||||||||
Investment Class | (21,670,619 | ) | (20,487,258 | ) | ||||
Service Class | (280,973 | ) | (228,586 | ) | ||||
Net realized gains | ||||||||
Investment Class | — | — | ||||||
Service Class | — | — | ||||||
|
|
|
| |||||
Total distributions | (21,951,592 | ) | (20,715,844 | ) | ||||
|
|
|
| |||||
Increase (decrease) in assets from operations and distributions | 23,874,942 | 44,050,437 | ||||||
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|
|
| |||||
Share transactions: |
| |||||||
Proceeds from sale of shares | ||||||||
Investment Class | 16,508,974 | 47,289,789 | ||||||
Service Class | 136,122 | 110,591 | ||||||
Value of distributions reinvested | ||||||||
Investment Class | 21,670,122 | 20,486,760 | ||||||
Service Class | 280,973 | 228,334 | ||||||
Cost of shares redeemed | ||||||||
Investment Class | (91,954,786 | ) | (157,598,526 | ) | ||||
Service Class | (1,008,462 | ) | (2,735,116 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (54,367,057 | ) | (92,218,168 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (30,492,115 | ) | (48,167,731 | ) | ||||
Net Assets |
| |||||||
Beginning of period | 1,255,806,896 | 1,303,974,627 | ||||||
|
|
|
| |||||
End of period | $ | 1,225,314,781 | $ | 1,255,806,896 | ||||
|
|
|
| |||||
Undistributed (distributions in excess of) net investment income, end of period | $ | 4,067,719 | $ | 21,640,409 | ||||
Changes in Fund Shares |
| |||||||
Investment Class |
| |||||||
Shares sold | 1,409,248 | 4,137,415 | ||||||
Issued for distributions reinvested | 1,919,409 | 1,754,003 | ||||||
Shares redeemed | (7,904,173 | ) | (13,763,388 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in fund shares | (4,575,516 | ) | (7,871,970 | ) | ||||
|
|
|
| |||||
Service Class |
| |||||||
Shares sold | 11,802 | 9,772 | ||||||
Issued for distributions reinvested | 24,975 | 19,616 | ||||||
Shares redeemed | (87,766 | ) | (242,704 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in fund shares | (50,989 | ) | (213,316 | ) | ||||
|
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|
|
* | (Unaudited). |
The accompanying Notes are an integral part of these financial statements.
96 | Statements of Changes in Net Assets |
Table of Contents
State Street Institutional Strategic Investment Fund | State Street Institutional Income Fund | |||||||||||||
Six Months Ended March 31, 2017* | Year Ended September 30, 2016 | Six Months Ended March 31, 2017* | Year Ended September 30, 2016 | |||||||||||
$ | 5,244,185 | $ | 14,634,870 | $ | 3,551,770 | $ | 8,230,530 | |||||||
42,495,535 | 7,209,519 | (3,410,231 | ) | 1,808,794 | ||||||||||
| (19,206,739 | ) | 41,759,066 | (5,172,048 | ) | 7,696,899 | ||||||||
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| |||||||
28,532,981 | 63,603,455 | (5,030,509 | ) | 17,736,223 | ||||||||||
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| |||||||
(14,897,628 | ) | (12,422,840 | ) | (3,249,935 | ) | (7,971,456 | ) | |||||||
(993 | ) | (853 | ) | (1,154 | ) | (5,539 | ) | |||||||
(8,441,498 | ) | (37,733,122 | ) | (396,332 | ) | (2,849,874 | ) | |||||||
(641 | ) | (3,016 | ) | (134 | ) | (2,372 | ) | |||||||
|
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| |||||||
(23,340,760 | ) | (50,159,831 | ) | (3,647,555 | ) | (10,829,241 | ) | |||||||
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| |||||||
5,192,221 | 13,443,624 | (8,678,064 | ) | 6,906,982 | ||||||||||
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| |||||||
14,082,599 | 32,104,281 | 19,743,373 | 57,547,356 | |||||||||||
1,412 | 1,911 | 3,091 | 34,392 | |||||||||||
23,339,025 | 50,155,750 | 3,646,300 | 10,809,076 | |||||||||||
1,634 | 3,427 | 1,288 | 7,912 | |||||||||||
(43,033,394 | ) | (92,389,632 | ) | (38,918,099 | ) | (67,602,733 | ) | |||||||
(3,408 | ) | (11,933 | ) | (90,936 | ) | (112,921 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(5,612,132 | ) | (10,136,196 | ) | (15,614,983 | ) | 683,082 | ||||||||
|
|
|
|
|
|
|
| |||||||
(419,911 | ) | 3,307,428 | (24,293,047 | ) | 7,590,064 | |||||||||
757,735,096 | 754,427,668 | 299,089,568 | 291,499,504 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 757,315,185 | $ | 757,735,096 | $ | 274,796,521 | $ | 299,089,568 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 2,131,065 | $ | 11,785,501 | $ | 511,770 | $ | 211,089 | |||||||
1,174,388 | 2,746,867 | 2,095,902 | 6,075,536 | |||||||||||
2,003,350 | 4,399,627 | 388,360 | 1,147,253 | |||||||||||
(3,599,482 | ) | (7,913,209 | ) | (4,138,847 | ) | (7,141,399 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(421,744 | ) | (766,715 | ) | (1,654,585 | ) | 81,390 | ||||||||
|
|
|
|
|
|
|
| |||||||
120 | 169 | 323 | 3,496 | |||||||||||
141 | 302 | 134 | 823 | |||||||||||
(286 | ) | (1,009 | ) | (9,405 | ) | (11,670 | ) | |||||||
|
|
|
|
|
|
|
| |||||||
(25 | ) | (538 | ) | (8,948 | ) | (7,351 | ) | |||||||
|
|
|
|
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Changes in Net Assets | 97 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements — March 31, 2017 (Unaudited)
1. | Organization of the Funds |
State Street Institutional Funds (the “Trust”), formerly GE Institutional Funds, is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was organized as a Delaware business trust on May 23, 1997, and is authorized to issue an unlimited number of shares. It is currently comprised of the following eight investment funds (each, a “Fund” and collectively, the “Funds”): State Street Institutional U.S. Equity Fund (the “U.S. Equity Fund”), State Street Institutional S&P 500 Index Fund (the “S&P 500 Index Fund”), State Street Institutional U.S. Large-Cap Core Equity Fund (the “U.S. Large-Cap Core Equity Fund”, State Street Institutional Premier Growth Equity Fund (the “Premier Growth Equity Fund”), State Street Institutional Small-Cap Equity Fund (the “Small-Cap Equity Fund”), State Street Institutional International Equity Fund (the “International Equity Fund”), State Street Institutional Strategic Investment Fund (the “Strategic Investment Fund”) and State Street Institutional Income Fund (the “Income Fund”). The Funds presently offer two classes of shares — the Investment Class and the Service Class. The Trust expects that most of the time, each Fund will have relatively few shareholders (as compared with most mutual funds), but that these shareholders will invest substantial amounts in a Fund (minimum initial investment requirements are described in the current summary prospectus for each Fund and in the Funds’ statutory prospectus). Each Fund is an investment company and accordingly follows the investment company accounting and reporting guidance of the Financial Accounting Standards Board (“FASB”) Accounting Standard Codification (“ASC”) Topic 946 Financial Services — Investment Companies. Each Fund is a diversified investment company within the meaning of the 1940 Act.
Effective November 30, 2016, each individual Fund changed its respective name as follows:
Old Name | New Name | |
GE Institutional US Equity Fund | State Street Institutional U.S. Equity Fund | |
GE Institutional S&P 500 Index Fund | State Street Institutional S&P 500 Index Fund | |
GE Institutional US Large-Cap Core Equity Fund | State Street Institutional US Large Cap Core Equity Fund | |
GE Institutional Premier Growth Equity Fund | State Street Institutional Premier Growth Equity Fund | |
GE Institutional Small-Cap Equity Fund | State Street Institutional Small-Cap Equity Fund | |
GE Institutional International Equity Fund | State Street Institutional International Equity Fund | |
GE Institutional Strategic Investment Fund | State Street Institutional Strategic Investment Fund | |
GE Institutional Income Fund | State Street Institutional Income Fund |
2. | Summary of Significant Accounting Policies |
The preparation of financial statements in conformity with U.S. generally accepted accounting principles (“GAAP”) requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities and disclosure of contingent assets and liabilities at the date of the financial statements and the reported amounts of increases and decreases in net assets from operations during the reporting period. Actual results may differ from those estimates.
The following summarizes the significant accounting policies of the Trust.
Securities Valuation and Transactions All investments in securities are recorded at their estimated fair value, as described in Note 3.
Securities transactions are accounted for as of the trade date. Realized gains and losses on investments sold are recorded on the basis of identified cost for both financial statement and federal tax purposes.
Each Fund’s income, expenses (other than distribution and service fees) and realized and unrealized gains and losses are allocated proportionally each day among the share classes based upon the relative net assets of each class.
Foreign Currency Accounting records of the Funds are maintained in U.S. dollars. Investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of such transactions.
98 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
All assets and liabilities of the Funds initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuters exchange rate computed at 11:00 a.m. Eastern time.
The Funds do not isolate the portion of the results of operations resulting from changes in foreign exchange rates from the fluctuations arising from changes in the market prices of securities during the year. Such fluctuations are included in the net realized or unrealized gain or loss from investments. Net realized gains or losses on foreign currency transactions represent net gains or losses on sales and maturities of foreign currency contracts, disposition of foreign currencies, the difference between the amount of net investment income and withholding taxes accrued and the U.S. dollar amount actually received or paid, and gains or losses between the trade and settlement date on purchases and sales of foreign securities. Net unrealized foreign exchange gains and losses arising from changes in the value of other assets and liabilities (including foreign currencies and open foreign currency contracts) as a result of changes in foreign exchange rates are included as increases or decreases in unrealized appreciation/depreciation on foreign currency related transactions.
Derivatives The Funds are subject to equity price risk, interest rate risk, credit risk and foreign currency exchange rate risk in the normal course of pursuing their investment objectives. Certain Funds may enter into various types of derivatives transactions (such as options, futures, options on futures, interest rate futures, interest-only swaps, interest rate swaps, index swaps and credit default swaps) to gain or hedge exposure to certain types of securities as an alternative to investing directly in or selling such securities, or to manage: yield, interest rate exposure (also known as duration), exposure to credit quality, and to gain exposure to certain market segments.
Futures Contracts A futures contract is an agreement to buy or sell a specific amount of a commodity, financial instrument, currency or index at a particular price and future date. Certain Funds may invest in interest rate, financial and stock or bond index futures contracts subject to certain limitations. During the six-month period ended March 31, 2017, the U.S. Equity Fund, S&P 500 Index Fund, U.S. Large-Cap Core Equity Fund, Premier Growth Equity Fund, Small-Cap Equity Fund and International Equity Fund invested in stock index future contracts to gain equity exposure for accumulating and residual cash positions. The Strategic Investment Fund invested in futures contracts on various stock indices, bonds and notes to gain equity exposure and to manage duration of fixed income securities. The Income Fund invested in futures contracts on bonds and notes to manage duration of fixed income securities. Buying futures tends to increase a Fund’s exposure to the underlying instrument while selling futures tends to decrease a Fund’s exposure to the underlying instrument, or hedge other Fund investments. With futures contracts, there is minimal counterparty credit risk to a Fund since futures contracts are exchange traded and the exchange’s clearinghouse, as counterparty to all traded futures, guarantees the futures against default. A Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts. Futures contracts are valued at the settlement price established each day by the board of trade or exchange on which they principally trade.
Upon entering into a financial futures contract, a Fund is required to pledge to the broker an amount of cash and/or other assets equal to a certain percentage of the contract amount, known as initial margin deposit. Subsequent payments, known as variation margin, are made or received by a Fund each day, depending on the daily fluctuation in the fair value of the underlying security. A Fund records an unrealized gain or loss equal to the daily variation margin. Should market conditions move unexpectedly, a Fund may not achieve the anticipated benefits of the futures contracts and may incur a loss. A Fund recognizes a realized gain or loss on the expiration or closing of a futures contract.
Credit Default Swaps During the six-month period ended March 31, 2017, the Strategic Investment Fund and Income Fund engaged in credit default swaps to manage credit risk. When a Fund is the buyer in a credit default swap contract, a Fund is entitled to receive the par (or other agreed upon) value (full notional value) of a referenced debt obligation (or basket of debt obligations) from the counterparty (or central clearing party (“CCP”) in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, a Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, a Fund loses its investment and recovers nothing. However, if a credit event occurs, a Fund receives full notional value for a referenced debt obligation that may have little or no value. When a Fund is the seller of a credit default swap, it receives a fixed rate of income throughout the term of the contract, provided there is no credit event. If a credit event occurs, a Fund is obligated to pay the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration
Notes to Financial Statements | 99 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
and repudiation/moratorium. If a Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that a Fund could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by a Fund for the same referenced obligation. As the seller, a Fund may create economic leverage to its portfolio because, in addition to its total net assets, a Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. A Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. A Fund segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. A Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. Credit default swaps involve greater risks than if a Fund had invested in the referenced debt obligation directly. If a Fund is a buyer of a credit default swap and no credit event occurs, a Fund will not earn any return on its investment. If a Fund is a seller of a credit default swap, a Fund’s risk of loss may be the entire notional amount of the swap. Swaps may also subject a Fund to the risk that the counterparty to the transaction may not fulfill its obligation. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
When-Issued Securities and Forward Commitments The Strategic Investment Fund and Income Fund may purchase or sell securities on a when-issued or forward commitment basis. These transactions are arrangements in which a Fund purchases and sells securities with payment and delivery scheduled a month or more after entering into the transaction. The price of the underlying securities and the date when these securities will be delivered and paid for are fixed at the time the transaction is negotiated. Losses may arise due to changes in the market value of the underlying securities or if the counterparty does not perform under the commitments. In connection with such purchases, a Fund maintains cash or liquid assets in an amount equal to the purchase commitments for such underlying securities until settlement date and for sales commitments a Fund maintains equivalent deliverable securities as “cover” for the transaction. Unsettled commitments are valued at the current market value of the underlying security. Daily fluctuations in the value of such commitments are recorded as unrealized gains or losses. The Funds will not enter into such commitments for the purpose of investment leverage.
Forward Foreign Currency Exchange Contracts Certain Funds may enter into forward foreign currency exchange contracts to facilitate transactions in foreign denominated securities and to manage currency exposure. Forward foreign currency exchange contracts are valued at the mean between the bid and the offered forward rates as last quoted by a recognized dealer. The aggregate principal amounts of the contracts are not recorded in a Fund’s financial statements. Such amounts appear under the caption Forward Foreign Currency Contracts in the Schedules of Investments. Fluctuations in the value of the contracts are recorded in the Statements of Assets and Liabilities as an asset (or liability) and in the Statements of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains or losses on foreign currency related transactions. A Fund’s risks in using these contracts include changes in the value of foreign currency or the possibility that the counterparties do not perform under the contracts’ terms. When a Fund enters into a forward foreign currency exchange contract, it is required to segregate cash or liquid securities with its custodian in an amount equal to the value of a Fund’s total assets committed to the consummation of the forward contract. If the value of the segregated securities declines, additional cash or securities are segregated so that the value of the account will equal the amount of a Fund’s commitment with respect to the contract.
Investments in Foreign Markets Investments in foreign markets involve special risks and considerations not typically associated with investing in the United States. These risks include revaluation of currencies, high rates of inflation, restrictions on repatriation of income and capital, and adverse political and economic developments. Moreover, securities issued in these markets may be less liquid, subject to government ownership controls, tariffs and taxes, subject to delays in settlements, and their prices may be more volatile.
100 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
A Fund may be subject to capital gains and repatriation taxes imposed by certain countries in which it invests. Such taxes are generally based upon income and/or capital gains earned or repatriated. Taxes are accrued based on net investment income, net realized gains and net unrealized appreciation as income and/or capital gains are earned. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of March 31, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
Investment Income Corporate actions (including cash dividends) are recorded on the ex-dividend date, net of applicable withholding taxes, except for certain foreign corporate actions which are recorded as soon after the ex-dividend date as such information becomes available. Withholding taxes on foreign dividends, if any, have been provided for in accordance with a Fund’s understanding of the applicable country’s tax rules and rates. Interest income is recorded on the accrual basis. Accretion of discounts and amortization of premiums on taxable bonds are to the call or maturity date, whichever is shorter, using the effective yield method.
Expenses Each Fund pays a “unitary fee” to SSGA FM equivalent to the Fund’s advisory and administration fee. This fee includes any normal operating expenses payable by a Fund, except for fees paid to the Trust’s independent Trustees, distribution and shareholder servicing fees, brokerage fees and commissions and expenses that are not normal operating expenses of the Funds (such as extraordinary expenses, interest and taxes).
Federal Income Taxes The Funds intend to comply with all sections of the Internal Revenue Code of 1986, as amended (the “Internal Revenue Code”), applicable to regulated investment companies including the distribution of substantially all of their taxable net investment income, tax-exempt income and net realized capital gains to their shareholders. Therefore, no provision for federal income tax has been made. Each Fund is treated as a separate taxpayer for federal income tax purposes.
3. | Security Valuation and Transactions |
The Funds utilize various methods to measure the fair value of most of their investments on a recurring basis. GAAP establishes a framework for measuring fair value and providing related disclosures. Broadly, the framework requires fair value to be determined based on the exchange price that would be received for an asset or paid to transfer a liability (an exit price) in the principal or most advantageous market for the asset or liability in an orderly transaction between market participants at the measurement date. In the absence of active markets for the identical assets or liabilities, such measurements involve developing assumptions based on market observable data and, in the absence of such data, internal information that is consistent with what market participants would use in a hypothetical transaction that occurs at the measurement date. It also establishes a three-level valuation hierarchy based upon observable and non-observable inputs.
Observable inputs reflect market data obtained from independent sources, while unobservable inputs reflect our market assumptions. Preference is given to observable inputs. These two types of inputs create the following fair value hierarchy:
• | Level 1 — Quoted prices for identical investments in active markets. |
• | Level 2 — Quoted prices for similar investments in active markets; quoted prices for identical or similar investments in markets that are not active; and model-derived valuations whose inputs are observable or whose significant value drivers are observable. |
• | Level 3 — Significant inputs to the valuation model are unobservable. |
Policies and procedures are maintained to value investments using the best and most relevant data available. In addition, pricing vendors are utilized to assist in valuing investments. The investment adviser performs periodic reviews of the methodologies used by independent pricing services including price validation of individual securities.
Fair Value Measurement The following section describes the valuation methodologies the Funds use to measure different financial investments at fair value.
A Fund’s portfolio securities are valued generally on the basis of market quotations. Equity securities generally are valued at the last reported sale price on the primary market in which they are traded. Portfolio securities listed on NASDAQ are valued using the NASDAQ Official Closing Price. Level 1 securities primarily include publicly-traded equity securities, which may not necessarily represent the last sales price. If no sales occurred on the exchange or NASDAQ that day, the portfolio security generally is valued using the last reported bid price. In those circumstances, the Fund typically classifies the investment securities in Level 2.
Notes to Financial Statements | 101 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
Debt securities (other than short-term securities described below) generally are valued at an evaluated bid price as reported by independent pricing services. The pricing services use various pricing models for each asset class. The inputs and assumptions to the model of the pricing services are derived from market observable sources, which may include: benchmark yields, reported trades, broker/dealer quotes, issuer spreads, benchmark securities, bids, offers and other market related data. Since many fixed income securities do not trade on a daily basis, the methodology of the pricing service may also use other available information such as benchmark curves, benchmarking of similar securities, sector groupings and matrix pricing, as applicable. Thus, certain securities may not be priced using market quotations, but rather determined from market observable information. These investments are included in Level 2 and are primarily comprised of corporate fixed income, government, mortgage and asset-backed securities. In the absence of a reliable bid price from such a pricing service, debt securities may be valued based on broker or dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Funds with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified as Level 3.
A Fund may use non-binding broker or dealer quotes for valuation when there is limited or no relevant market activity for a specific investment or for other investments that share similar characteristics and a price is not provided by a pricing service or is deemed not to be reliable. The Funds have not adjusted the prices obtained. Investment securities priced using non-binding broker or dealer quotes are included in Level 3.
Investments in registered investment companies are valued at the published daily net asset value (“NAV”) and classified in Level 1.
Short-term securities of sufficient credit quality with remaining maturities of sixty days or less at the time of purchase are typically valued on the basis of amortized cost which approximates fair value and these are included in Level 2. If it is determined that amortized cost does not approximate fair value, securities may be valued based on dealer supplied valuations or quotations. In these infrequent circumstances, pricing services may provide the Funds with valuations that are based on significant unobservable inputs, and in those circumstances the investment securities are classified in Level 3.
If prices are not readily available for a portfolio security, or if it is believed that a price for a portfolio security does not represent its fair value, the security may be valued using procedures approved by the Trust’s Board of Trustees (the “Board”) that are designed to establish its “fair” value. These securities are typically classified in Level 3. Those procedures require that the fair value of a security be established by a valuation committee of the investment adviser. The valuation committee follows different protocols for different types of investments and circumstances. The fair value procedures may be used to value any investment of any Fund in the appropriate circumstances.
Foreign securities may be valued with the assistance of an independent fair value pricing service in circumstances where it is believed that they have been or would be materially affected by events occurring after the close of the portfolio security’s primary market and before the close of regular trading on the New York Stock Exchange. In these circumstances, the Funds classify the investment securities in Level 2. This independent fair value pricing service uses a proprietary model to identify affected securities, taking into consideration various factors, and the fair value of such securities may be something other than the last available quotation or other market price.
All assets and liabilities of the Funds initially expressed in foreign currency values will be converted into U.S. dollars at the WM/Reuters exchange rate computed at 11:00 a.m. Eastern time.
Fair value determinations generally are used for securities whose value is affected by a significant event that will materially affect the value of a security and which occurs subsequent to the time of the close of the principal market on which such security trades but prior to the calculation of a Fund’s NAV.
The value established for such a portfolio security valued other than by use of a market quotation (as described above) may be different than what would be produced through the use of market quotations or another methodology. Portfolio securities that are valued using techniques other than market quotations, including “fair valued” securities, may be subject to greater fluctuation in their value from one day to the next than would be the case if market quotations were used. In addition, there is no assurance that a Fund could sell a portfolio security for the value established for it at any time and it is possible that a Fund would incur a loss because a portfolio security is sold at a discount to its established value.
102 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
Other financial investments are derivative instruments that are not reflected in total investments, such as futures, forwards, swaps and written options contracts, which are valued based on fair value as discussed above.
The Funds use closing prices for derivatives included in Level 1, which are traded either on exchanges or liquid over-the-counter markets. Derivative assets and liabilities included in Level 2 primarily represent interest rate swaps, cross-currency swaps, credit default swaps and foreign currency and commodity forward and option contracts. Derivative assets and liabilities included in Level 3 primarily represent interest rate products that contain embedded optionality or prepayment features.
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following tables present each Fund’s investments measured at fair value on a recurring basis at March 31, 2017:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional U.S. Equity Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 614,087,559 | $ | — | $ | — | $ | 614,087,559 | ||||||||||
Short-Term Investments | 14,148,784 | — | — | 14,148,784 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 628,236,343 | $ | — | $ | — | $ | 628,236,343 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Long Futures Contracts — Unrealized Depreciation | $ | (2,662 | ) | $ | — | $ | — | $ | (2,662 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||||
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional S&P 500 Index Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 16,903,194 | $ | — | $ | — | $ | 16,903,194 | ||||||||||
Short-Term Investments | 487,126 | — | — | 487,126 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 17,390,320 | $ | — | $ | — | $ | 17,390,320 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Long Futures Contracts — Unrealized Depreciation | $ | (947 | ) | $ | — | $ | — | $ | (947 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||||
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional U.S. Large-Cap Core Equity Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 14,770,515 | $ | — | $ | — | $ | 14,770,515 | ||||||||||
Short-Term Investments | 727,067 | — | — | 727,067 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 15,497,582 | $ | — | $ | — | $ | 15,497,582 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 1,123 | $ | — | $ | — | $ | 1,123 | ||||||||||
|
|
|
|
|
|
|
|
Notes to Financial Statements | 103 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Premier Growth Equity Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 350,603,054 | $ | — | $ | — | $ | 350,603,054 | ||||||||||
Short-Term Investments | 14,293,197 | — | — | 14,293,197 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 364,896,251 | $ | — | $ | — | $ | 364,896,251 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Long Futures Contracts — Unrealized Depreciation | $ | (61 | ) | $ | — | $ | — | $ | (61 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||||
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Small-Cap Equity Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 1,353,688,218 | $ | — | $ | — | $ | 1,353,688,218 | ||||||||||
Short-Term Investments | 75,536,686 | — | — | 75,536,686 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 1,429,224,904 | $ | — | $ | — | $ | 1,429,224,904 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 95,472 | $ | — | $ | — | $ | 95,472 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional International Equity Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 1,209,846,508 | $ | — | $ | — | $ | 1,209,846,508 | ||||||||||
Short-Term Investments | 10,422,760 | — | — | 10,422,760 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 1,220,269,268 | $ | — | $ | — | $ | 1,220,269,268 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Short Futures Contracts — Unrealized Appreciation | $ | 6,119 | $ | — | $ | — | $ | 6,119 | ||||||||||
|
|
|
|
|
|
|
|
104 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Strategic Investment Fund | Investments in Securities† | |||||||||||||||||
Domestic Equity | $ | 260,733 | $ | — | $ | — | $ | 260,733 | ||||||||||
Foreign Equity | 151,428,299 | — | — | 151,428,299 | ||||||||||||||
U.S. Treasuries | — | 57,969,657 | — | 57,969,657 | ||||||||||||||
Agency Mortgage Backed | — | 66,963,039 | — | 66,963,039 | ||||||||||||||
Agency Collateralized Mortgage Obligations | — | 2,513,223 | — | 2,513,223 | ||||||||||||||
Corporate Notes | — | 96,551,589 | — | 96,551,589 | ||||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 13,207,010 | — | 13,207,010 | ||||||||||||||
Sovereign Bonds | — | 3,018,689 | — | 3,018,689 | ||||||||||||||
Municipal Bonds and Notes | — | 1,164,290 | — | 1,164,290 | ||||||||||||||
FNMA (TBA) | — | — | 1,933 | 1,933 | ||||||||||||||
Exchange Traded & Mutual Funds | 329,112,489 | — | — | 329,112,489 | ||||||||||||||
Short-Term Investments | 60,501,945 | — | — | 60,501,945 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 541,303,466 | $ | 241,387,497 | $ | 1,933 | $ | 782,692,896 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Credit Default Swap Contracts — Unrealized Depreciation | $ | — | $ | (164,481 | ) | $ | — | $ | (164,481 | ) | ||||||||
Long Futures Contracts — Unrealized Appreciation | 109,583 | — | — | 109,583 | ||||||||||||||
Long Futures Contracts — Unrealized Depreciation | (20,702 | ) | — | — | (20,702 | ) | ||||||||||||
Short Futures Contracts — Unrealized Appreciation | 10,493 | — | — | 10,493 | ||||||||||||||
Short Futures Contracts — Unrealized Depreciation | (52,493 | ) | — | — | (52,493 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Other Financial Instruments | $ | 46,881 | $ | (164,481 | ) | $ | — | $ | (117,600 | ) | ||||||||
|
|
|
|
|
|
|
|
Notes to Financial Statements | 105 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Income Fund | Investments in Securities† | |||||||||||||||||
U.S. Treasuries | $ | — | $ | 62,658,530 | $ | — | $ | 62,658,530 | ||||||||||
Agency Mortgage Backed | — | 74,738,711 | — | 74,738,711 | ||||||||||||||
Agency Collateralized Mortgage Obligations | — | 3,063,287 | — | 3,063,287 | ||||||||||||||
Asset Backed | — | 243,496 | — | 243,496 | ||||||||||||||
Corporate Notes | — | 110,475,751 | — | 110,475,751 | ||||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 15,642,984 | — | 15,642,984 | ||||||||||||||
Sovereign Bonds | — | 3,272,419 | — | 3,272,419 | ||||||||||||||
Municipal Bonds and Notes | — | 1,738,955 | — | 1,738,955 | ||||||||||||||
FNMA (TBA) | — | — | 6,529 | 6,529 | ||||||||||||||
Preferred Stock | 346,970 | — | — | 346,970 | ||||||||||||||
Short-Term Investments | 25,296,382 | — | — | 25,296,382 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 25,643,352 | $ | 271,834,133 | $ | 6,529 | $ | 297,484,014 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Credit Default Swap Contracts — Unrealized Depreciation | $ | — | $ | (205,508 | ) | $ | — | $ | (205,508 | ) | ||||||||
Long Futures Contracts — Unrealized Appreciation | 121,192 | — | — | 121,192 | ||||||||||||||
Long Futures Contracts — Unrealized Depreciation | (20,445 | ) | — | — | (20,445 | ) | ||||||||||||
Short Futures Contracts — Unrealized Appreciation | 2,765 | — | — | 2,765 | ||||||||||||||
Short Futures Contracts — Unrealized Depreciation | (80,238 | ) | — | — | (80,238 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Other Financial Instruments | $ | 23,274 | $ | (205,508 | ) | $ | — | $ | (182,234 | ) | ||||||||
|
|
|
|
|
|
|
|
† | See Schedules of Investments for Industry Classification. |
* | Other financial instruments include derivative instruments such as futures contracts and credit default swaps. Amounts shown represent unrealized appreciation (depreciation), at period end. |
There were no significant transfers between fair value levels during the period. Transfers between fair value levels are considered to occur at the beginning of the period.
Level 3 investments at the beginning and/or end of the period in relation to net assets were not significant and, accordingly, a reconciliation of Level 3 assets for the six-month period ended March 31, 2017 is not presented.
4. | Derivatives Disclosure |
Shown below are the derivative contracts entered into by each Fund, summarized by primary risk exposure as they appear on the Statements of Assets and Liabilities, none of which are accounted for as hedging instruments under FASB ASC No. 815 Derivatives and Hedging (“ASC 815”) as of March 31, 2017.
Asset Derivatives March 31, 2017 | Liability Derivatives March 31, 2017 | |||||||||||
Derivatives not accounted for as hedging instruments under ASC 815 | Location in the Statements of Assets and Liabilities | Fair Value ($) | Location in the Statements of Assets and Liabilities | Fair Value ($) | ||||||||
State Street Institutional U.S. Equity Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | — | Liabilities, Net Assets —Net Unrealized Appreciation/ (Depreciation) on Futures | (2,662 | )* |
106 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
Asset Derivatives March 31, 2017 | Liability Derivatives March 31, 2017 | |||||||||||
Derivatives not accounted for as hedging instruments under ASC 815 | Location in the Statements of Assets and Liabilities | Fair Value ($) | Location in the Statements of Assets and Liabilities | Fair Value ($) | ||||||||
State Street Institutional S&P 500 Index Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | — | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (947 | )* | |||||||
State Street Institutional U.S. Large-Cap Core Equity Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 1,123 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | — | |||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | — | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (61 | )* | |||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 95,472 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | — | |||||||
State Street Institutional International Equity Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 6,119 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | — | |||||||
State Street Institutional Strategic Investment Fund | ||||||||||||
Equity Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 30,583 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | — | |||||||
Interest Rate Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 89,493 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (73,195 | )* | ||||||
Credit Risk Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Swap Contracts | — | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Swap Contracts | (164,481 | )* | |||||||
State Street Institutional Income Fund | ||||||||||||
Interest Rate Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | 123,957 | * | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Futures | (100,683 | )* | ||||||
Credit Risk Contracts | Assets, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Swap Contracts | — | Liabilities, Net Assets — Net Unrealized Appreciation/ (Depreciation) on Swap Contracts | (205,508 | )* |
* | Includes cumulative unrealized appreciation/(depreciation) of futures and credit default swap contracts contracts as reported in the Schedules of Investments and within the components of the net assets section of the Statement of Assets and Liabilities. Only the current day’s variation margin is reported within the Assets and/or Liabilities section on the Statement of Assets and Liabilities. |
Shown below are the effects of derivative instruments on each Fund’s Statement of Operations, summarized by primary risk exposure, none of which are accounted for as hedging instruments under ASC 815.
Derivatives not accounted for as hedging instruments under ASC 815 | Location in the Statements of Operations | Realized Gain (Loss) Recognized in | Change in Unrealized (Depreciation) Recognized in | |||||||
Realized Gain/(Loss) | Unrealized Gain/(Loss) | |||||||||
State Street Institutional U.S. Equity Fund | ||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures | 444,928 | (1,758 | ) |
Notes to Financial Statements | 107 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
Derivatives not accounted for as hedging instruments under ASC 815 | Location in the Statements of Operations | Realized Gain (Loss) Recognized in | Change in Unrealized (Depreciation) Recognized in | |||||||
Realized Gain/(Loss) | Unrealized Gain/(Loss) | |||||||||
State Street Institutional S&P 500 Index Fund | ||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures | 71,931 | (5,388 | ) | ||||||
State Street Institutional U.S. Large-Cap Core Equity Fund | ||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures | 18,651 | 269 | |||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures | 78,634 | (22,647 | ) | ||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures | 1,965,004 | (32,855 | ) | ||||||
State Street Institutional International Equity Fund | ||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures | 1,269,268 | (11,555 | ) | ||||||
State Street Institutional Strategic Investment Fund | ||||||||||
Equity Contracts | Realized gain (loss) on Futures, Increase (decrease) in unrealized appreciation/ (depreciation) on Futures | 917,977 | (33,563 | ) | ||||||
Interest Rate Contracts | Realized gain/(loss) on futures, Increase/(decrease) in unrealized appreciation/(depreciation) on Futures | 622,303 | (12,389 | ) | ||||||
Credit Risk Contracts | Realized gain/(loss) on credit default swaps Increase/ (decrease) in unrealized appreciation/ (depreciation) on swap contracts | (769,888 | ) | 300,344 | ||||||
State Street Institutional Income Fund | ||||||||||
Interest Rate Contracts | Realized gain/(loss) on futures, Increase/(decrease) in unrealized appreciation/ (depreciation) on Futures | 359,178 | 15,790 | |||||||
Credit Risk Contracts | Realized gain/(loss) on credit default swaps Increase/ (decrease) in unrealized appreciation/ (depreciation on swap contracts | (937,498 | ) | 363,232 |
During the six-month period ended March 31, 2017, the Funds had an average notional value of long and short futures contracts as shown below. The Strategic Investment Fund and Income Fund had average notional values of $113,452,649 and $17,717,020 on credit default swaps, respectively. Please refer to the table following the Schedule of Investments for open credit default swaps and futures contracts at March 31, 2017.
Fund | Long Contracts | Short Contracts | ||||||
State Street Institutional U.S. Equity Fund | $ | 6,372,102 | $ | — | ||||
State Street Institutional S&P 500 Index Fund | 685,319 | — | ||||||
State Street Institutional U.S. Large-Cap Core Equity Fund | 211,562 | 45,431 | ||||||
State Street Institutional Premier Growth Equity Fund | 2,021,061 | 1,529,510 | ||||||
State Street Institutional Small-Cap Equity Fund | 24,118,469 | — | ||||||
State Street Institutional International Equity Fund | 8,398,355 | 1,447,680 | ||||||
State Street Institutional Strategic Investment Fund | 41,128,179 | 23,970,993 | ||||||
State Street Institutional Income Fund | 26,115,160 | 19,785,286 |
108 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
5. | Line of Credit |
The Funds and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires October 12, 2017, unless extended or renewed.
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 relative net assets. Commitment fees are paid by the Adviser and included in the “unitary fee” paid by the Funds. 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate.
The credit facilities were not utilized by the Funds during the six months ended March 31, 2017.
6. | Fees and Compensation Paid to Affiliates |
SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of each Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of each Fund. The Management Fee is stated in the following schedule:
Fund | Average Daily Net Assets of Fund | Management Fee | ||||
State Street Institutional U.S. Equity Fund | First $25 million | 0.55 | % | |||
State Street Institutional U.S. Large-Cap Core Equity Fund | Next $25 million | 0.45 | % | |||
State Street Institutional Premier Growth Equity Fund | Over $50 million | 0.35 | % | |||
State Street Institutional S&P 500 Index Fund | All assets | 0.15 | % | |||
State Street Institutional Small-Cap Equity Fund | First $250 million | 0.95 | % | |||
Next $250 million | 0.90 | % | ||||
Over $500 million | 0.85 | % | ||||
State Street Institutional International Equity Fund | First $25 million | 0.75 | % | |||
Next $50 million | 0.65 | % | ||||
Over $75 million | 0.55 | % | ||||
State Street Institutional Strategic Investment Fund | First $25 million | 0.45 | % | |||
Next $25 million | 0.40 | % | ||||
Over $50 million | 0.35 | % | ||||
State Street Institutional Income Fund | First $25 million | 0.35 | % | |||
Next $25 million | 0.30 | % | ||||
Next $50 million | 0.25 | % | ||||
Over $100 million | 0.20 | % |
Distribution and Shareholder Servicing Fees The Funds have adopted a Shareholder Servicing and Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Service Class shares of each Fund. Each Fund pays State Street Global Markets, LLC, the Funds’ principal underwriter, a monthly fee for distribution and/or shareholder services provided, at an annual rate of 0.25% of the average daily net assets of such Fund attributable to the Service Class shares. Currently, Investment Class shares are not subject to a 12b-1 fee. See Note 10.
Trustee Compensation The Funds pay no compensation to their Trustees who are officers or employees of SSGA FM or its affiliates. Trustees who are not such officers or employees also serve in a similar capacity for other funds advised by SSGA FM. Compensation paid to independent Trustees is reflected on the Statements of Operations. These fees are allocated pro rata
Notes to Financial Statements | 109 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
across funds and share classes served by the Trustees and are based upon the relative net assets of each fund. (For additional information about Trustees’ compensation please refer to the Funds’ Statement of Additional Information).
7. | Sub-Advisory Fees |
For certain Funds that have retained sub-advisers to manage all or a portion of the respective Fund’s assets, SSGA FM pays each sub-adviser an investment sub-advisory fee out of the Management Fee that it receives from the respective Fund. The investment sub-advisory fee is paid by SSGA FM monthly and is based upon the average daily net assets of the respective Fund’s assets that are allocated to and managed by the sub-adviser. Each such sub-adviser is responsible for the day-to-day management of those assets of the Fund that are allocated to the sub-adviser, including the responsibility for making decisions to buy, sell or hold a particular security with respect to those assets. For their services as sub-advisers to the Small-Cap Equity Fund, SSGA FM pays an investment sub-advisory fee to each of Palisade Capital Management, L.L.C., Champlain Investment Partners, LLC, GlobeFlex Capital, L.P., SouthernSun Asset Management, LLC and Kennedy Capital Management, Inc.
8. | Investment Transactions |
Purchases and Sales of Securities The cost of purchases and the proceeds from sales of investments, other than short-term securities, for the six-month period ended March 31, 2017, were as follows:
U.S. Government Securities | Other Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | — | $ | — | $ | 316,801,999 | $ | 337,036,412 | ||||||||
State Street Institutional S&P 500 Index Fund | — | — | 1,285,111 | 1,256,626 | ||||||||||||
State Street Institutional U.S. Large-Cap Core Equity Fund | — | — | 22,951,251 | 36,913,946 | ||||||||||||
State Street Institutional Premier Growth Equity Fund | — | — | 34,905,493 | 36,818,171 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | — | — | 253,159,946 | 261,217,266 | ||||||||||||
State Street Institutional International Equity Fund | — | — | 201,981,665 | 249,723,554 | ||||||||||||
State Street Institutional Strategic Investment Fund | 384,215,823 | 367,654,178 | 370,378,324 | 378,621,564 | ||||||||||||
State Street Institutional Income Fund | 420,408,424 | 414,555,893 | 49,335,600 | 62,764,662 |
Redemptions In-Kind In accordance with guidelines described in a Fund’s prospectus, a Fund may distribute portfolio securities rather than cash as payment for a redemption of Fund shares (in-kind redemption). For financial reporting purposes, a Fund recognizes a gain on in-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities. Gains and losses realized on in-kind redemptions are not recognized for tax purposes and are reclassified from undistributed realized gain (loss) to paid-in capital. These reclassifications have no effect on net assets or NAV per share. The net realized in-kind gains or losses for the six months ended March, 31, 2017 are disclosed in a Fund’s Statement of Operations.
During the six months ended March, 31, 2017, the U.S. Large-Cap Core Equity Fund had a redemption in-kind that resulted in a redemption from the Fund of $27,482,500. The redemption was paid in securities and cash in the amounts of $26,202,336 and $1,280,164, respectively.
Affiliated Investments The Funds may invest in affiliated entities, including securities issued by State Street, 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 six-month period ended March 31, 2017 are disclosed in the Schedules of Investments.
9. | Income Taxes |
The Funds are subject to ASC 740, Income Taxes (“ASC 740”). ASC 740 provides guidance for financial accounting and reporting for the effects of income taxes that result from an entity’s activities during the year. ASC 740 also provides guidance regarding how uncertain tax positions should be recognized, measured, presented and disclosed in the financial statements. ASC 740 requires evaluation of tax positions taken or expected to be taken in the course of preparing each Fund’s tax returns to determine whether the tax positions are “more likely than not” of being sustained by the applicable tax authority. There are no adjustments to any Fund’s net assets required under ASC 740. Each Fund’s 2013, 2014, 2015 and 2016 fiscal year tax returns are still open to examination by the Federal and applicable state tax authorities.
110 | Notes to Financial Statements |
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State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
At March 31, 2017, information on the tax cost of investments was as follows:
Fund | Cost of Investments for Tax Purposes | Gross Tax Appreciation | Gross Tax Depreciation | Net Tax Appreciation/ (Depreciation) | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | 533,907,307 | $ | 99,751,403 | $ | (5,422,367 | ) | $ | 94,329,036 | |||||||
State Street Institutional S&P 500 Index Fund | 13,606,129 | 4,175,779 | (391,588 | ) | 3,784,191 | |||||||||||
State Street Institutional U.S. Large-Cap Core Equity Fund | 14,858,142 | 770,583 | (131,143 | ) | 639,440 | |||||||||||
State Street Institutional Premier Growth Equity Fund | 272,607,368 | 95,258,069 | (2,969,186 | ) | 92,288,883 | |||||||||||
State Street Institutional Small-Cap Equity Fund | 1,107,945,346 | 358,738,881 | (37,459,323 | ) | 321,279,558 | |||||||||||
State Street Institutional International Equity Fund | 1,131,887,888 | 152,781,806 | (64,400,426 | ) | 88,381,380 | |||||||||||
State Street Institutional Strategic Investment Fund | 756,398,075 | 36,047,513 | (9,752,692 | ) | 26,294,821 | |||||||||||
State Street Institutional Income Fund | 296,347,047 | 3,739,068 | (2,602,102 | ) | 1,136,966 |
As of September 30, 2016, the following Funds have capital loss carryovers as indicated below. The capital loss carryover is available to offset future realized capital gains to the extent provided in the Internal Revenue Code and regulations thereunder. To the extent that these carryover losses are used to offset future capital gains, it is probable that the gains offset will not be distributed to shareholders.
Fund | Short Term | Long Term | Expires | |||||||||
State Street Institutional S&P 500 Index Fund | $ | 7,532,863 | $ | — | 9/30/2018 | |||||||
1,202,747 | — | 9/30/2019 | ||||||||||
State Street Institutional International Equity Fund | 34,429,113 | — | 9/30/2018 | |||||||||
140,255,693 | — | 9/30/2019 | ||||||||||
8,854,818 | 37,126,369 | Unlimited |
These amounts will be available to offset future taxable capital gains. Under the Regulated Investment Company Modernization Act of 2010, a Fund is permitted to carry forward capital losses incurred in taxable years beginning after December 22, 2010 for an unlimited period. However, any losses incurred during those future years will be required to be utilized prior to the losses incurred in pre-enactment tax years. As a result of this ordering rule, pre-enactment capital loss carryforwards may be more likely to expire unused. Additionally, post-enactment capital losses that are carried forward will retain their character as either short-term or long-term capital losses rather than being considered all short-term as under previous law.
Fund capital loss carryovers were utilized as follows:
Fund | Amount | |||
State Street Institutional S&P 500 Index Fund | $ | 5,223,240 |
Any qualified late-year loss is deemed to arise on the first day of a Fund’s next tax year (if the Fund elects to defer such loss). Under this regime, generally, a Fund can elect to defer any post-October capital loss and/or any late-year ordinary loss as defined by the Internal Revenue Code.
The following Funds elected to defer qualified late-year losses for the fiscal year ended September 30, 2016 as follows:
Fund | Capital | Ordinary | ||||||
State Street Institutional Premier Growth Equity Fund | $ | (569,152 | ) | $ | — |
Distributions to Shareholders The Income Fund declares net investment income dividends daily and pays them monthly. All other Funds declare and pay dividends from net investment income, if any, annually. All Funds declare and pay distributions annually from net realized capital gains in excess of capital loss carryforwards, if any. The character of income and gains to be distributed is determined in accordance with income tax regulations which may differ from GAAP. These differences include (but are not limited to) gains and losses on foreign currency, foreign taxes payable, investments in futures, investments in swap contracts, investments in passive foreign investment companies, losses deferred to offsetting positions, losses deferred due to wash sale transactions, investments in underlying securities and redemptions in kind.
Notes to Financial Statements | 111 |
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State Street Institutional Funds
Notes to Financial Statements, continued — March 31, 2017 (Unaudited)
The tax character of distributions paid during the fiscal years ended September 30, 2016 and September 30, 2015 were as follows:
September 30, 2016 | September 30, 2015 | |||||||||||||||
Fund | Ordinary Income | Long Term Capital Gains | Ordinary Income | Long Term Capital Gains | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | 9,778,155 | $ | 101,236,202 | $ | 14,371,167 | $ | 88,684,050 | ||||||||
State Street Institutional S&P 500 Index Fund | 554,212 | — | 660,014 | — | ||||||||||||
State Street Institutional U.S. Large-Cap Core Equity Fund | 1,330,366 | 11,831,993 | 2,468,416 | 14,065,417 | ||||||||||||
State Street Institutional Premier Growth Equity Fund | 3,953,664 | 28,956,870 | 4,234,095 | 35,777,908 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | 2,264,662 | 135,524,827 | 11,492,443 | 122,138,911 | ||||||||||||
State Street Institutional International Equity Fund | 20,715,844 | — | 42,275,022 | — | ||||||||||||
State Street Institutional Strategic Investment Fund | 14,267,379 | 35,892,452 | 22,748,238 | 58,732,061 | ||||||||||||
State Street Institutional Income Fund | 10,829,241 | — | 8,246,345 | — |
Reclassifications are made to a Fund’s capital accounts to reflect income and gains available for distribution (or available capital loss carryovers) under income tax regulations. These reclassifications have no impact on net investment income, realized gains or losses, or the NAV of any of the Funds. The calculation of net investment income per share in the Financial Highlights table excludes these adjustments.
The reclassifications for the fiscal year ended September 30, 2016 were as follows:
Fund | Undistributed Net Investment Income | Accumulated Net Realized Gain (Loss) | Unrealized Loss | Paid In Capital | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | (317,728 | ) | $ | 317,728 | $ | — | $ | — | |||||||
State Street Institutional S&P 500 Index Fund | (13,019 | ) | 13,019 | — | — | |||||||||||
State Street Institutional U.S. Large-Cap Core Equity Fund | (12,046 | ) | 12,046 | — | — | |||||||||||
State Street Institutional Premier Growth Equity Fund | (322,767 | ) | 322,767 | — | — | |||||||||||
State Street Institutional Small-Cap Equity Fund | (225,342 | ) | 225,342 | — | — | |||||||||||
State Street Institutional International Equity Fund | 924,458 | (924,458 | ) | — | — | |||||||||||
State Street Institutional Strategic Investment Fund | (456,831 | ) | 456,831 | — | — | |||||||||||
State Street Institutional Income Fund | (365,115 | ) | 365,115 | — | — |
10. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements other than below.
Effective May 1, 2017, the distributor’s name changed to State Street Global Advisors Funds Distributors, LLC, from State Street Global Markets, LLC.
112 | Notes to Financial Statements |
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State Street Institutional Funds
Investment Adviser and Administrator
SSGA Funds Management, Inc.
Trustees
John R. Costantino, Chairman
R. Sheldon Johnson
Jeanne M. La Porta
Donna M. Rapaccioli
Secretary
Jesse Hallee
Chief Compliance Officer
Robert Herlihy
Deputy Chief Compliance Officer
Brian Harris
Treasurer
Arthur A. Jensen
Assistant Treasurers
Bruce S. Rosenberg
Ann M. Carpenter
Chad C. Hallett
Darlene Anderson-Vasquez
Distributor
State Street Global Advisors Funds Distributors, LLC
Member FINRA and SIPC
Custodian
State Street Bank & Trust Company
Investment Team | 113 |
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Investment Adviser
SSGA Funds Management, Inc.
1600 Summer Street
P.O. Box 7900
Stamford, CT 06904-7900
Distributor
State Street Global Advisors Funds Distributors, LLC
Member FINRA and SIPC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
http://www.ssga.com/geam
The Funds file their complete schedules of portfolio holdings with the Securities and Exchange Commission for the first, second and third quarters of each fiscal year on Form N-Q. The Funds’ Forms N-Q, as well as a description of the policies and procedures that the Funds use to determine how to vote proxies (if any) relating to portfolio securities is available without charge (i) upon request, by calling 1-800-242-0134; (ii) on the Funds’ website at http://www.ssga.com/geam; and (iii) on the Commission’s website at http://www.sec.gov. The Funds’ Forms N-Q may be reviewed and copied at the Commission’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.
Information (if any) regarding how the Funds voted proxies relating to portfolio securities during the most recently disclosed 12-months period ended June 30 is available without charge (i) through the Funds’ website at http://www.ssga.com/geam; and (ii) on the Commission’s website at http://www.sec.gov.
State Street Institutional Funds State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 |
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Item 2. Code of Ethics.
Applicable only to an annual filing.
Item 3. Audit Committee Financial Expert.
Applicable only to an annual filing.
Item 4. Principal Accountant Fees and Services.
Applicable only to an annual filing.
Item 5. Audit Committee of Listed Registrants.
Applicable only to Closed-End Management Investment Companies.
Item 6. Schedule of Investments.
(a) The Schedule of Investments is included as part of the Report to Shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Applicable only to Closed-End Management Investment Companies.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Applicable only to Closed-End Management Investment Companies.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Applicable only to Closed-End Management Investment Companies.
Item 10. Submission of Matters to a Vote of Security Holders.
During the reporting period, there have been no material changes to the procedures by which the shareholders may recommend nominees to the Registrant’s Board of Trustees.
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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 as of a date within 90 days of the filing date of the report included in Item 1 of this Form N-CSR, based on the 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, as amended.
(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 that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Exhibits.
(a)(1) Applicable only to an annual filing.
(a)(2) The certifications required by Rule 30a-2(a) under the 1940 Act and Section 302 of the Sarbanes-Oxley Act of 2002 are attached hereto.
(a)(3) Not applicable.
(b) The certifications by the Registrant’s principal executive officer and principal financial officer, as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002, are attached hereto.
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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.
State Street Institutional Funds
By: | /s/ Jeanne M. La Porta | |
Jeanne M. La Porta | ||
President, State Street Institutional Funds |
Date: May 24, 2017
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/ Jeanne M. La Porta | |
Jeanne M. La Porta | ||
President, State Street Institutional Funds |
Date: May 24, 2017
By: | /s/ Arthur A. Jensen | |
Arthur A. Jensen | ||
Treasurer, State Street Institutional Funds |
Date: May 24, 2017