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)
(Name and Address of Agent for Service) | Copy to: | |
Joshua A. Weinberg, Esq. Managing Director and Managing Counsel SSGA Funds Management, Inc. One Lincoln Street Boston, Massachusetts 02111 | David Hearth, Esq. Paul Hastings LLP 101 California Street, 48th Floor San Francisco, California 94111 |
Registrant’s telephone number, including area code: 800-242-0134
Date of fiscal year end: September 30
Date of reporting period: September 30, 2017
Table of Contents
Item 1. Shareholder Report.
Table of Contents
Annual Report
September 30, 2017
State Street Institutional Funds
Table of Contents
State Street Institutional Funds
Annual Report
September 30, 2017
Page | ||||
Notes to Performance | 1 | |||
Manager Reviews and Schedules of Investments | ||||
3 | ||||
12 | ||||
26 | ||||
33 | ||||
45 | ||||
53 | ||||
78 | ||||
Financial Statements | ||||
99 | ||||
108 | ||||
110 | ||||
112 | ||||
Notes to Financial Statements | 116 | |||
Report of Independent Registered Public Accounting Firm | 127 | |||
Tax Information | 128 | |||
Additional Information | 129 | |||
Investment Team | 133 |
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 — September 30, 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.
The S&P 500® Index of stocks (“S&P 500 Index”) is an unmanaged market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure of large-cap U.S. stock market performance.
The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes companies in the Russell 1000® Index with higher price-to-book ratios and higher forecasted growth values. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership.
The Russell 2000® Index is a market capitalization-weighted index consisting of 2,000 of the smallest U.S.-domiciled publicly traded common stocks that are included in the Russell 3000® Index. The Russell 3000® Index is comprised of the 3,000 largest U.S.-domiciled companies.
The Morgan Stanley Capital International Europe, Australasia, and Far East Index (“MSCI® EAFE® Index”) is a market capitalization-weighted index of equity securities of companies domiciled in various countries. The MSCI® EAFE® Index is designed to represent the performance of developed stock markets outside the U.S. and Canada and excludes certain market segments unavailable to U.S. based investors.
The Morgan Stanley Capital International All Country World Index Ex-U.S. (“MSCI® ACWI Ex-U.S. Index”) is a market capitalization-weighted index designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The MSCI® ACWI Ex-U.S. Index includes both developed and emerging markets.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged market value-weighted index of taxable investment grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. The Bloomberg Barclays U.S. Aggregate Bond Index is designed to represent performance of the U.S. investment-grade fixed rate bond market.
The results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect fees, expenses, or taxes. As such, index returns do not reflect the actual cost of investing in the instruments that comprise an index.
The peer universe of the underlying open end funds used for the peer group average annual total return calculation is based on a blend of Morningstar peer categories, as shown. Morningstar is an independent mutual fund rating service. A Fund’s performance may be compared to or ranked within a universe of mutual funds with investment objectives and policies similar but not necessarily identical to that of the Fund.
©2017 Morningstar, Inc. All Rights Reserved. The Morningstar information contained herein: (1) is proprietary to Morningstar and/or its content providers; (2) may not be copied or distributed; and (3) is not warranted to be accurate, complete or timely. Neither Morningstar nor its content providers are responsible for any damage or losses relating from any use of this information. Past performance does not guarantee future results.
The State Street Institutional S&P 500 Index Fund is not sponsored, endorsed, sold or promoted by S&P Global Ratings (“S&P”), and S&P makes no representation or warranty, express or implied, to the investors of the Fund or any member of the public regarding the advisability of investing in the securities generally or in this Fund particularly or the ability of the State Street Institutional S&P 500 Index Fund to track general stock market performance.
Notes to Performance | 1 |
Table of Contents
State Street Institutional Funds
Notes to Performance, continued — September 30, 2017 (Unaudited)
Russell Investment Group owns the Russell Index data, including all applicable trademarks and copyrights, used by SSGA Funds Management, Inc. (“SSGA FM”) in these materials. Any unauthorized use or redistribution of such Russell Index data is strictly prohibited. Russell Investment Group is not responsible for the configuration of this material or for any inaccuracy in SSGA FM’s presentation thereof.
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.
2 | Notes to Performance |
Table of Contents
State Street Institutional U.S. Equity Fund
Portfolio Management Discussion and Analysis — September 30, 2017 (Unaudited)
Q. | How did the State Street Institutional U.S. Equity Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended September 30, 2017? |
A. | For the twelve-month period ended September 30, 2017, the State Street Institutional U.S. Equity Fund returned 18.29% for the Investment Class shares and 18.07% for the Service Class shares. The Fund’s benchmark, the S&P 500 Index returned 18.61% and the Fund’s Morningstar peer group of 1,396 U.S. Large Blend funds returned an average of 17.65% over the same period. |
Q. | What market conditions impacted the Fund’s performance? |
A. | It was a year of cross-currents, but U.S. equities enjoyed solid gains. Uncertainty characterized the commencement of the reporting period. At times, both safe haven investments and riskier growth assets came under pressure preceding the largely unanticipated presidential victory of Donald Trump over Hillary Clinton. Post-election expectations of higher interest rates and less regulation propelled a rally in financials and other cyclical sectors on the outlook for increased fiscal stimulus programs. U.S. Treasury yields rose initially and the broad U.S. dollar reached a thirteen-year high in late November — a trend that would continue through the end of 2016. |
At the start of 2017, there were a few pauses in the reflationary theme as political and policy concerns weighed on the market at times. However, any hesitation was eventually met with improving company fundamentals and further reassurance from positive economic signals. Undeterred by a generally lower inflation outlook, the Federal Reserve raised interest rates two times during the year to a limited market reaction. |
In the last several months of the period, U.S. equity markets displayed impressive resilience against rising geopolitical threats and an administration that is punctuated with strong growth oriented rhetoric but no realized results. Nonetheless global markets scaled a wall of worry, bolstered by widespread positive sentiment. |
The large cap style of growth outperformed value reversing last year’s underperformance with information technology and industrials leading the outperformance. In particular, technology stocks continued to show exceptional earnings growth. There were several sectors that underperformed the S&P 500 Index broad market return, including energy, utilities, consumer discretionary/staples, and healthcare. |
Q. | What were the drivers behind Fund performance? |
A. | The Fund outperformed the average Morningstar U.S. Large Blend manager, but modestly underperformed the S&P 500 Index net of fees. For the year, stock selection was mixed, with positive contributions in six sectors, and neutral-to negative relative performance in five. Industrials offered the best relative performance, as equipment rental company United Rentals enjoyed relief from rising oil prices early in the year, as well as a boost from the outlook for rebuilding activity following a devastating hurricane season at year-end. Allegion, Ingersoll Rand and General Dynamics also outperformed against a generally constructive macro backdrop. The Fund’s Technology and Financials holdings outperformed, with notable contributions from Applied Materials, Western Digital, Visa, Bank of America and Charles Schwab. |
The health care sector was the greatest performance detractor, experiencing ups and downs, offering several cross-currents during the year (e.g., health care stocks initially rallied from an oversold position on the Trump win, then health care became a source of funds as investors embraced more cyclical themes). While names like Biogen Idec, Vertex and Merck rallied strongly, their contributions were more than offset by lagging performance in Medtronic, Allergan and Gilead all of which were down during the year. Mixed stock selection in Consumer Discretionary stocks also trimmed the Fund’s relative performance, with pullbacks in Newell, Autozone and Liberty Global offsetting strength in Charter Communications, Time Warner and Amazon. |
The Fund does not invest in derivatives securities as part of its strategy, but may hold futures contracts or ETFs to equitize cash flows in advance of investment. The effect of derivatives on performance was de minimis for the year. |
Q. | Were there any significant changes in the Fund during the period? |
A. | The Fund continued its diversified, active research-driven approach to U.S. Equity investing. It has been a multi-manager Fund since inception in 1997, and under took a periodic restructuring in January, 2017, going from three managers (core, value and growth managers) to two core managers benchmarked against the S&P 500 Index — one diversified research-driven and one employing a concentrated, high-conviction approach. |
State Street Institutional U.S. Equity Fund | 3 |
Table of Contents
State Street Institutional U.S. Equity Fund
Portfolio Management Discussion and Analysis, continued — September 30, 2017 (Unaudited)
At the end of the period, the Fund was positioned for late-cycle economic growth, consistent with our economic outlook. Among sectors, Investment Technology was the largest absolute weighting as the sector where we find many high-quality companies with the sustainable earnings growth at reasonable valuations that we favor. Health Care, Consumer Discretionary, Financials and Information Technology represented key sector overweights vs. the S&P 500 Index. The cyclical sectors were generally underweighted, including Consumer Staples, Telecommunications, Industrials and Materials. |
4 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Performance Summary — September 30, 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.
Morningstar Performance Comparison
Based on average annual returns for periods ended September 30, 2017
One Year | Five Year | Ten Year | ||||||||||
Number of funds in peer group | 1,396 | 1,083 | 799 | |||||||||
Peer group average annual total return | 17.65 | % | 12.91 | % | 6.58 | % | ||||||
Morningstar Category in peer group: Large Blend |
|
Top Ten Largest Holdings
as of September 30, 2017 (as a % of Fair Value) (a)(b)
Apple Inc. | 3.60 | % | ||
JPMorgan Chase & Co. | 3.23 | % | ||
Microsoft Corp. | 3.12 | % | ||
Pfizer Inc. | 2.83 | % | ||
Visa Inc., Class A | 2.70 | % | ||
Facebook Inc., Class A | 2.45 | % | ||
PepsiCo Inc. | 2.30 | % | ||
Alphabet Inc., Class A | 2.23 | % | ||
Allergan PLC | 1.97 | % | ||
The Goldman Sachs Group Inc. | 1.92 | % |
Sector Allocation as of September 30, 2017
Portfolio composition as a % of Fair Value of $461,559 (in thousands) as of September 30, 2017 (a)(b)
Average Annual Total Return for the periods ended September 30, 2017
Investment Class Shares (Inception date: 11/25/97)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional U.S. Equity Fund | 18.29 | % | 13.53 | % | 7.04 | % | $ | 19,749 | ||||||||
S&P 500 Index | 18.61 | % | 14.22 | % | 7.44 | % | $ | 20,488 |
Service Class Shares (Inception date: 1/3/01)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional U.S. Equity Fund | 18.07 | % | 13.38 | % | 6.92 | % | $ | 19,528 | ||||||||
S&P 500 Index | 18.61 | % | 14.22 | % | 7.44 | % | $ | 20,488 |
State Street Institutional U.S. Equity Fund | 5 |
Table of Contents
State Street Institutional U.S. Equity Fund
Performance Summary, continued — September 30, 2017 (Unaudited)
(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. |
See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
6 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2017 | $ | 1,070.90 | $ | 1,023.20 | ||||
Expenses paid during the period* | $ | 1.92 | $ | 1.88 |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2017 | $ | 1,069.90 | $ | 1,022.00 | ||||
Expenses paid during the period* | $ | 3.22 | $ | 3.14 |
* | 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 April 1, 2017-September 30, 2017), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
State Street Institutional U.S. Equity Fund | 7 |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments — September 30, 2017
Number of Shares | Fair Value $ | |||||||
Common Stock - 97.2%† | ||||||||
Aerospace & Defense - 1.6% |
| |||||||
General Dynamics Corp. | 13,810 | 2,839,060 | ||||||
Hexcel Corp. | 16,580 | 952,024 | ||||||
Raytheon Co. | 15,386 | 2,870,720 | ||||||
Rockwell Collins Inc. | 5,585 | 730,015 | ||||||
|
| |||||||
7,391,819 | ||||||||
|
| |||||||
Airlines - 0.4% |
| |||||||
Alaska Air Group Inc. | 14,005 | 1,068,161 | ||||||
Delta Air Lines Inc. | 21,009 | 1,013,054 | ||||||
|
| |||||||
2,081,215 | ||||||||
|
| |||||||
Application Software - 1.9% |
| |||||||
Adobe Systems Inc. (a) | 7,433 | 1,108,855 | ||||||
Intuit Inc. | 10,921 | 1,552,311 | ||||||
salesforce.com Inc. (a) | 67,945 | 6,347,422 | ||||||
|
| |||||||
9,008,588 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 0.7% |
| |||||||
Ameriprise Financial Inc. | 11,452 | 1,700,737 | ||||||
BlackRock Inc. | 3,738 | 1,671,222 | ||||||
|
| |||||||
3,371,959 | ||||||||
|
| |||||||
Auto Parts & Equipment - 0.4% |
| |||||||
BorgWarner Inc. | 19,048 | 975,829 | ||||||
Delphi Automotive PLC | 10,434 | 1,026,706 | ||||||
|
| |||||||
2,002,535 | ||||||||
|
| |||||||
Automotive Retail - 1.4% |
| |||||||
AutoZone Inc. (a) | 11,090 | 6,599,770 | ||||||
|
| |||||||
Biotechnology - 5.6% |
| |||||||
Alexion Pharmaceuticals Inc. (a) | 56,708 | 7,955,565 | ||||||
Amgen Inc. | 39,466 | 7,358,436 | ||||||
Biogen Inc. (a) | 27,201 | 8,517,177 | ||||||
Vertex Pharmaceuticals Inc. (a) | 12,946 | 1,968,310 | ||||||
|
| |||||||
25,799,488 | ||||||||
|
| |||||||
Building Products - 0.6% |
| |||||||
Allegion PLC | 29,504 | 2,551,211 | ||||||
|
| |||||||
Cable & Satellite - 2.4% |
| |||||||
Charter Communications Inc., Class A (a) | 12,230 | 4,444,627 | ||||||
Comcast Corp., Class A | 96,734 | 3,722,324 | ||||||
Liberty Global PLC, Class C (a) | 90,700 | 2,965,890 | ||||||
|
| |||||||
11,132,841 | ||||||||
|
| |||||||
Communications Equipment - 0.6% |
| |||||||
Cisco Systems Inc. | 77,819 | 2,617,053 | ||||||
|
|
Number of Shares | Fair Value $ | |||||||
Consumer Finance - 0.6% |
| |||||||
American Express Co. | 20,485 | 1,853,073 | ||||||
Discover Financial Services | 16,539 | 1,066,435 | ||||||
|
| |||||||
2,919,508 | ||||||||
|
| |||||||
Data Processing & Outsourced Services - 3.0% |
| |||||||
PayPal Holdings Inc. (a) | 24,305 | 1,556,249 | ||||||
Visa Inc., Class A | 118,371 | 12,457,364 | ||||||
|
| |||||||
14,013,613 | ||||||||
|
| |||||||
Diversified Banks - 5.3% |
| |||||||
Bank of America Corp. | 199,785 | 5,062,552 | ||||||
JPMorgan Chase & Co. | 156,421 | 14,939,770 | ||||||
U.S. Bancorp | 29,060 | 1,557,325 | ||||||
Wells Fargo & Co. | 50,040 | 2,759,706 | ||||||
|
| |||||||
24,319,353 | ||||||||
|
| |||||||
Diversified Chemicals - 0.6% |
| |||||||
DowDuPont Inc. | 36,958 | 2,558,602 | ||||||
|
| |||||||
Drug Retail - 0.8% |
| |||||||
CVS Health Corp. | 15,587 | 1,267,535 | ||||||
Walgreens Boots Alliance Inc. | 31,262 | 2,414,051 | ||||||
|
| |||||||
3,681,586 | ||||||||
|
| |||||||
Electric Utilities - 1.7% |
| |||||||
American Electric Power Company Inc. | 14,975 | 1,051,844 | ||||||
Duke Energy Corp. | 9,077 | 761,742 | ||||||
Edison International | 12,251 | 945,410 | ||||||
Exelon Corp. | 38,243 | 1,440,614 | ||||||
NextEra Energy Inc. | 16,111 | 2,361,067 | ||||||
PG&E Corp. | 22,273 | 1,516,568 | ||||||
|
| |||||||
8,077,245 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.5% |
| |||||||
Acuity Brands Inc. | 6,449 | 1,104,585 | ||||||
Rockwell Automation Inc. | 5,988 | 1,067,121 | ||||||
|
| |||||||
2,171,706 | ||||||||
|
| |||||||
Environmental & Facilities Services - 0.4% |
| |||||||
Republic Services Inc. | 28,396 | 1,875,840 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals - 0.2% |
| |||||||
Monsanto Co. | 5,961 | 714,247 | ||||||
|
| |||||||
Financial Exchanges & Data - 1.8% |
| |||||||
CME Group Inc. | 49,354 | 6,696,351 | ||||||
S&P Global Inc. | 9,293 | 1,452,589 | ||||||
|
| |||||||
8,148,940 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
8 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair Value $ | |||||||
Footwear - 0.5% |
| |||||||
NIKE Inc., Class B | 48,453 | 2,512,288 | ||||||
|
| |||||||
Gold - 0.1% |
| |||||||
B2Gold Corp. (a) | 169,122 | 473,542 | ||||||
|
| |||||||
Healthcare Equipment - 4.0% |
| |||||||
Abbott Laboratories | 85,615 | 4,568,416 | ||||||
Becton Dickinson and Co. | 3,434 | 672,892 | ||||||
Boston Scientific Corp. (a) | 128,313 | 3,742,890 | ||||||
Medtronic PLC | 106,015 | 8,244,787 | ||||||
Stryker Corp. | 7,540 | 1,070,831 | ||||||
|
| |||||||
18,299,816 | ||||||||
|
| |||||||
Home Entertainment Software - 0.4% |
| |||||||
Activision Blizzard Inc. | 16,479 | 1,063,060 | ||||||
Electronic Arts Inc. (a) | 7,793 | 920,042 | ||||||
|
| |||||||
1,983,102 | ||||||||
|
| |||||||
Home Improvement Retail - 0.9% |
| |||||||
Lowe’s Companies Inc. | 6,867 | 548,948 | ||||||
The Home Depot Inc. | 21,498 | 3,516,213 | ||||||
|
| |||||||
4,065,161 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 0.3% |
| |||||||
Marriott International Inc., Class A | 11,764 | 1,297,099 | ||||||
|
| |||||||
Housewares & Specialties - 1.6% |
| |||||||
Newell Brands Inc. | 168,156 | 7,175,216 | ||||||
|
| |||||||
Hypermarkets & Super Centers - 0.4% |
| |||||||
Wal-Mart Stores Inc. | 20,958 | 1,637,658 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders - 0.0%* |
| |||||||
Calpine Corp. (a) | 14,825 | 218,669 | ||||||
|
| |||||||
Industrial Conglomerates - 1.1% |
| |||||||
Honeywell International Inc. | 20,274 | 2,873,637 | ||||||
Roper Technologies Inc. | 9,157 | 2,228,814 | ||||||
|
| |||||||
5,102,451 | ||||||||
|
| |||||||
Industrial Machinery - 2.2% |
| |||||||
Ingersoll-Rand PLC | 58,635 | 5,228,483 | ||||||
Xylem Inc. | 80,862 | 5,064,387 | ||||||
|
| |||||||
10,292,870 | ||||||||
|
| |||||||
Insurance Brokers - 0.4% |
| |||||||
Marsh & McLennan Companies Inc. | 20,422 | 1,711,568 | ||||||
|
|
Number of Shares | Fair Value $ | |||||||
Integrated Oil & Gas - 2.3% |
| |||||||
Chevron Corp. | 31,332 | 3,681,510 | ||||||
Exxon Mobil Corp. | 86,895 | 7,123,652 | ||||||
|
| |||||||
10,805,162 | ||||||||
|
| |||||||
Integrated Telecommunication Services - 0.5% |
| |||||||
Verizon Communications Inc. | 44,216 | 2,188,250 | ||||||
|
| |||||||
Internet & Direct Marketing Retail - 2.8% |
| |||||||
Amazon.com Inc. (a) | 9,233 | 8,876,145 | ||||||
Netflix Inc. (a) | 3,661 | 663,922 | ||||||
The Priceline Group Inc. (a) | 1,743 | 3,191,119 | ||||||
|
| |||||||
12,731,186 | ||||||||
|
| |||||||
Internet Software & Services - 6.0% |
| |||||||
Alphabet Inc., Class A (a) | 10,573 | 10,295,142 | ||||||
Alphabet Inc., Class C (a) | 6,224 | 5,969,501 | ||||||
Facebook Inc., Class A (a) | 66,165 | 11,305,613 | ||||||
|
| |||||||
27,570,256 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 3.4% |
| |||||||
The Charles Schwab Corp. | 152,745 | 6,681,066 | ||||||
The Goldman Sachs Group Inc. | 37,453 | 8,883,477 | ||||||
|
| |||||||
15,564,543 | ||||||||
|
| |||||||
IT Consulting & Other Services - 0.5% |
| |||||||
Accenture PLC, Class A | 9,330 | 1,260,203 | ||||||
International Business Machines Corp. | 7,628 | 1,106,670 | ||||||
|
| |||||||
2,366,873 | ||||||||
|
| |||||||
Life & Health Insurance - 0.5% |
| |||||||
MetLife Inc. | 18,834 | 978,426 | ||||||
Prudential Financial Inc. | 13,681 | 1,454,564 | ||||||
|
| |||||||
2,432,990 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 0.2% |
| |||||||
Thermo Fisher Scientific Inc. | 6,132 | 1,160,174 | ||||||
|
| |||||||
Managed Healthcare - 0.6% |
| |||||||
UnitedHealth Group Inc. | 14,145 | 2,770,298 | ||||||
|
| |||||||
Metal & Glass Containers - 0.3% |
| |||||||
Ball Corp. | 31,192 | 1,288,230 | ||||||
|
| |||||||
Movies & Entertainment - 1.3% |
| |||||||
The Walt Disney Co. | 37,248 | 3,671,536 | ||||||
Time Warner Inc. | 23,945 | 2,453,165 | ||||||
|
| |||||||
6,124,701 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional U.S. Equity Fund | 9 |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair Value $ | |||||||
Multi-Line Insurance - 0.2% |
| |||||||
The Hartford Financial Services Group Inc. | 20,166 | 1,117,801 | ||||||
|
| |||||||
Multi-Sector Holdings - 1.1% |
| |||||||
Berkshire Hathaway Inc., Class B (a) | 26,525 | 4,862,563 | ||||||
|
| |||||||
Multi-Utilities - 0.9% |
| |||||||
Dominion Energy Inc. | 6,045 | 465,042 | ||||||
Sempra Energy | 31,210 | 3,561,997 | ||||||
|
| |||||||
4,027,039 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services - 1.3% |
| |||||||
Schlumberger Ltd. | 83,397 | 5,817,775 | ||||||
|
| |||||||
Oil & Gas Exploration & Production - 2.4% |
| |||||||
Antero Resources Corp. (a) | 80,976 | 1,611,422 | ||||||
Cimarex Energy Co. | 13,011 | 1,478,960 | ||||||
Noble Energy Inc. | 80,007 | 2,268,999 | ||||||
Pioneer Natural Resources Co. | 30,790 | 4,542,757 | ||||||
Range Resources Corp. | 59,619 | 1,166,744 | ||||||
|
| |||||||
11,068,882 | ||||||||
|
| |||||||
Packaged Foods & Meats - 1.4% |
| |||||||
Mondelez International Inc., Class A | 100,164 | 4,072,668 | ||||||
The Kraft Heinz Co. | 32,061 | 2,486,331 | ||||||
|
| |||||||
6,558,999 | ||||||||
|
| |||||||
Paper Packaging - 0.2% |
| |||||||
Packaging Corporation of America | 8,044 | 922,486 | ||||||
|
| |||||||
Pharmaceuticals - 4.8% |
| |||||||
Allergan PLC (l) | 44,357 | 9,090,967 | ||||||
Pfizer Inc. | 366,020 | 13,066,914 | ||||||
|
| |||||||
22,157,881 | ||||||||
|
| |||||||
Property & Casualty Insurance - 0.3% |
| |||||||
The Allstate Corp. | 15,695 | 1,442,527 | ||||||
|
| |||||||
Railroads - 0.5% |
| |||||||
Union Pacific Corp. | 19,619 | 2,275,215 | ||||||
|
| |||||||
Regional Banks - 1.8% |
| |||||||
First Republic Bank | 66,842 | 6,982,315 | ||||||
The PNC Financial Services Group Inc. | 10,897 | 1,468,589 | ||||||
|
| |||||||
8,450,904 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Restaurants - 1.0% |
| |||||||
Chipotle Mexican Grill Inc. (a) | 1,460 | 449,432 | ||||||
McDonald’s Corp. | 14,654 | 2,295,989 | ||||||
Starbucks Corp. | 33,598 | 1,804,548 | ||||||
|
| |||||||
4,549,969 | ||||||||
|
| |||||||
Semiconductor Equipment - 2.0% |
| |||||||
Applied Materials Inc. | 157,474 | 8,202,821 | ||||||
Lam Research Corp. | 6,050 | 1,119,492 | ||||||
|
| |||||||
9,322,313 | ||||||||
|
| |||||||
Semiconductors - 2.2% |
| |||||||
Broadcom Ltd. | 32,746 | 7,942,215 | ||||||
Intel Corp. | 31,339 | 1,193,389 | ||||||
QUALCOMM Inc. | 22,652 | 1,174,280 | ||||||
|
| |||||||
10,309,884 | ||||||||
|
| |||||||
Soft Drinks - 2.3% |
| |||||||
PepsiCo Inc. | 95,410 | 10,631,536 | ||||||
|
| |||||||
Specialized REITs - 2.7% |
| |||||||
American Tower Corp. | 49,959 | 6,828,396 | ||||||
Equinix Inc. | 10,297 | 4,595,551 | ||||||
Extra Space Storage Inc. | 14,297 | 1,142,616 | ||||||
|
| |||||||
12,566,563 | ||||||||
|
| |||||||
Specialty Chemicals - 0.8% |
| |||||||
Albemarle Corp. | 14,003 | 1,908,749 | ||||||
GCP Applied Technologies Inc. (a) | 10,171 | 312,250 | ||||||
The Sherwin-Williams Co. | 3,560 | 1,274,622 | ||||||
|
| |||||||
3,495,621 | ||||||||
|
| |||||||
Specialty Stores - 0.2% |
| |||||||
Signet Jewelers Ltd. | 5,862 | 390,116 | ||||||
Ulta Salon Cosmetics & Fragrance Inc. (a) | 1,894 | 428,158 | ||||||
|
| |||||||
818,274 | ||||||||
|
| |||||||
Steel - 0.1% |
| |||||||
ArcelorMittal (a) | 23,227 | 598,327 | ||||||
|
| |||||||
Systems Software - 3.9% |
| |||||||
Microsoft Corp. | 193,362 | 14,403,536 | ||||||
Oracle Corp. | 71,035 | 3,434,542 | ||||||
|
| |||||||
17,838,078 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 3.8% |
| |||||||
Apple Inc. | 107,935 | 16,634,942 | ||||||
Hewlett Packard Enterprise Co. | 70,729 | 1,040,424 | ||||||
|
| |||||||
17,675,366 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
10 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair Value $ | |||||||
Tobacco - 1.0% |
| |||||||
Philip Morris International Inc. | 43,538 | 4,833,153 | ||||||
|
| |||||||
Trading Companies & Distributors - 1.3% |
| |||||||
United Rentals Inc. (a) | 42,939 | 5,957,357 | ||||||
|
| |||||||
Wireless Telecommunication Services - 0.2% |
| |||||||
T-Mobile US Inc. (a) | 15,073 | 929,401 | ||||||
|
| |||||||
Total Common Stock (Cost $372,216,210) | 449,037,136 | |||||||
|
|
Number of Shares | Fair Value $ | |||||||
Short-Term Investments - 2.7% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.96% | 12,521,534 | 12,521,534 | ||||||
|
| |||||||
Total Investments (Cost $384,737,744) | 461,558,670 | |||||||
Other Assets and Liabilities, net - 0.1% | 364,559 | |||||||
|
| |||||||
NET ASSETS - 100.0% | 461,923,229 | |||||||
|
|
Other Information:
The Fund had the following long futures contracts open at September 30, 2017:
Description | Expiration date | Number of Contracts | Notional Amount | Current Notional Value | Unrealized Appreciation | |||||||||||||||
S&P 500 Emini Index Futures | December 2017 | 2 | $ | 250,157 | $ | 251,610 | $ | 1,453 | ||||||||||||
|
|
During the period ended September 30, 2017, average notional values related to long and short futures contracts were $5,644,099 or 1.2% of net assets and 430,321 or 0.1% of net assets, respectively.
The following tables present the Fund’s investments measured at fair value on a recurring basis at September 30, 2017:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional U.S. Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 449,037,136 | $ | — | $ | — | $ | 449,037,136 | ||||||||||
Short-Term Investments | 12,521,534 | — | — | 12,521,534 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 461,558,670 | $ | — | $ | — | $ | 461,558,670 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 1,453 | $ | — | $ | — | $ | 1,453 | ||||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/17 | Value at 9/30/17 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 8,358,418 | $ | 8,358,418 | $ | 106,405,213 | $ | 102,242,097 | $ | — | $ | — | 12,521,534 | $ | 12,521,534 | $ | 106,674 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 8,358,418 | $ | 106,405,213 | $ | 102,242,097 | $ | — | $ | — | $ | 12,521,534 | $ | 106,674 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional U.S. Equity Fund | 11 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Portfolio Management Discussion and Analysis — September 30, 2017 (Unaudited)
Q. | How did the State Street Institutional S&P 500 Index Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended September 30, 2017? |
A. | For the twelve-month period ended September 30, 2017, the State Street Institutional S&P 500 Index Fund returned 18.08% for the Investment Class shares and 17.84% for the Service Class shares. The Fund’s benchmark, the S&P 500 Index returned 18.61% and the Fund’s Morningstar peer group of 1,396 U.S. Large Blend funds returned an average of 17.65% over the same period. |
Q. | What market conditions impacted the Fund’s performance? |
A. | In the last quarter of 2016 the S&P 500 Index rallied over 3.8% after the surprise outcome of the U.S. presidential election and the Federal Reserve’s strong outlook on the economy. In 2017 the S&P 500 Index continued the trend and posted positive gains every month reaching new all-time highs and witnessing better than two decade lows in both realized and implied volatility during that period. The U.S. markets rally was supported by strong macro data, a positive start to the earnings season, and strong M&A activity despite continued geopolitical and political risks in North Korea. Strongest performing sectors in the S&P 500 Index were Cyclical Financials, Information Technology and Industrials, while defensive sectors like Telecommunication Services, Energy and Real Estate were the weakest performers. |
Q. | What were the drivers behind Fund performance? |
A. | Apple, Microsoft and JPMorgan Chase were the strongest contributors to the Fund’s performance. General Electric, Qualcomm, and Exxon Mobile were the weakest contributors to the Fund’s performance. |
12 | State Street Institutional S&P 500 Index Fund |
Table of Contents
State Street Institutional S&P 500 Index Fund
Performance Summary — September 30, 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.
Morningstar Performance Comparison
Based on average annual returns for periods ended September 30, 2017
One Year | Five Year | Ten Year | ||||||||||
Number of funds in peer group | 1,396 | 1,083 | 799 | |||||||||
Peer group average annual total return | 17.65 | % | 12.91 | % | 6.58 | % | ||||||
Morningstar Category in peer group: Large Blend |
|
Top Ten Largest Holdings
as of September 30, 2017 (as a % of Fair Value) (a)(b)
Apple Inc. | 3.60 | % | ||
Microsoft Corp. | 2.60 | % | ||
Facebook Inc., Class A | 1.83 | % | ||
Amazon.com Inc. | 1.73 | % | ||
Berkshire Hathaway Inc., Class B | 1.60 | % | ||
Johnson & Johnson | 1.58 | % | ||
Exxon Mobil Corp. | 1.57 | % | ||
JPMorgan Chase & Co. | 1.52 | % | ||
Alphabet Inc., Class A | 1.31 | % | ||
Alphabet Inc., Class C | 1.30 | % |
Sector Allocation as of September 30, 2017
Portfolio composition as a % of Fair Value of $10,600 (in thousands) as of September 30, 2017 (a)(b)
Average Annual Total Return for the periods ended September 30, 2017
Investment Class Shares (Inception date: 11/25/97)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional S&P 500 Index Fund | 18.08 | % | 13.98 | % | 7.31 | % | $ | 20,246 | ||||||||
S&P 500 Index | 18.61 | % | 14.22 | % | 7.44 | % | $ | 20,488 |
Service Class Shares (Inception date: 9/30/05)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional S&P 500 Index Fund | 17.84 | % | 13.71 | % | 7.03 | % | $ | 19,726 | ||||||||
S&P 500 Index | 18.61 | % | 14.22 | % | 7.44 | % | $ | 20,488 |
State Street Institutional S&P 500 Index Fund | 13 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Performance Summary, continued — September 30, 2017 (Unaudited)
(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. |
See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
14 | State Street Institutional S&P 500 Index Fund |
Table of Contents
State Street Institutional S&P 500 Index Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2017 | $ | 1,073.00 | $ | 1,024.30 | ||||
Expenses paid during the period* | $ | 0.83 | $ | 0.81 |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2017 | $ | 1,071.40 | $ | 1,023.00 | ||||
Expenses paid during the period* | $ | 2.13 | $ | 2.08 |
* | 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 April 1, 2017-September 30, 2017), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
State Street Institutional S&P 500 Index Fund | 15 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments — September 30, 2017
Number of Shares | Fair $ | |||||||
Common Stock - 97.7%† | ||||||||
Advertising - 0.1% |
| |||||||
Omnicom Group Inc. | 118 | 8,740 | ||||||
The Interpublic Group of Companies Inc. | 200 | 4,158 | ||||||
|
| |||||||
12,898 | ||||||||
|
| |||||||
Aerospace & Defense - 2.4% |
| |||||||
Arconic Inc. | 166 | 4,130 | ||||||
General Dynamics Corp. | 131 | 26,931 | ||||||
L3 Technologies Inc. | 39 | 7,349 | ||||||
Lockheed Martin Corp. | 119 | 36,925 | ||||||
Northrop Grumman Corp. | 82 | 23,593 | ||||||
Raytheon Co. | 137 | 25,561 | ||||||
Rockwell Collins Inc. | 82 | 10,718 | ||||||
Textron Inc. | 135 | 7,274 | ||||||
The Boeing Co. | 265 | 67,366 | ||||||
TransDigm Group Inc. | 25 | 6,391 | ||||||
United Technologies Corp. | 352 | 40,860 | ||||||
|
| |||||||
257,098 | ||||||||
|
| |||||||
Agricultural & Farm Machinery - 0.2% |
| |||||||
Deere & Co. | 149 | 18,713 | ||||||
|
| |||||||
Agricultural Products - 0.1% |
| |||||||
Archer-Daniels-Midland Co. | 258 | 10,968 | ||||||
|
| |||||||
Air Freight & Logistics - 0.7% |
| |||||||
CH Robinson Worldwide Inc. | 71 | 5,403 | ||||||
Expeditors International of Washington Inc. | 91 | 5,447 | ||||||
FedEx Corp. | 116 | 26,167 | ||||||
United Parcel Service Inc., Class B | 327 | 39,270 | ||||||
|
| |||||||
76,287 | ||||||||
|
| |||||||
Airlines - 0.5% |
| |||||||
Alaska Air Group Inc. | 62 | 4,729 | ||||||
American Airlines Group Inc. | 207 | 9,830 | ||||||
Delta Air Lines Inc. | 325 | 15,671 | ||||||
Southwest Airlines Co. | 268 | 15,003 | ||||||
United Continental Holdings Inc. (a) | 116 | 7,062 | ||||||
|
| |||||||
52,295 | ||||||||
|
| |||||||
Alternative Carriers - 0.1% |
| |||||||
Level 3 Communications Inc. (a) | 148 | 7,887 | ||||||
|
| |||||||
Aluminum - 0.0%* |
| |||||||
Alcoa Corp. | 1 | 47 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Apparel Retail - 0.4% |
| |||||||
Foot Locker Inc. | 66 | 2,325 | ||||||
L Brands Inc. | 122 | 5,076 | ||||||
Ross Stores Inc. | 179 | 11,558 | ||||||
The Gap Inc. | 111 | 3,278 | ||||||
The TJX Companies Inc. | 299 | 22,045 | ||||||
|
| |||||||
44,282 | ||||||||
|
| |||||||
Apparel, Accessories & Luxury Goods - 0.3% |
| |||||||
Coach Inc. | 142 | 5,720 | ||||||
Hanesbrands Inc. | 184 | 4,534 | ||||||
Michael Kors Holdings Ltd. (a) | 79 | 3,780 | ||||||
PVH Corp. | 39 | 4,916 | ||||||
Ralph Lauren Corp. | 28 | 2,472 | ||||||
Under Armour Inc., Class A (a) | 93 | 1,533 | ||||||
Under Armour Inc., Class C (a) | 93 | 1,397 | ||||||
VF Corp. | 162 | 10,298 | ||||||
|
| |||||||
34,650 | ||||||||
|
| |||||||
Application Software - 1.1% |
| |||||||
Adobe Systems Inc. (a) | 234 | 34,908 | ||||||
ANSYS Inc. (a) | 43 | 5,277 | ||||||
Autodesk Inc. (a) | 98 | 11,002 | ||||||
Cadence Design Systems Inc. (a) | 127 | 5,013 | ||||||
Citrix Systems Inc. (a) | 76 | 5,838 | ||||||
Intuit Inc. | 113 | 16,062 | ||||||
salesforce.com Inc. (a) | 323 | 30,175 | ||||||
Synopsys Inc. (a) | 76 | 6,120 | ||||||
|
| |||||||
114,395 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 1.1% |
| |||||||
Affiliated Managers Group Inc. | 29 | 5,505 | ||||||
Ameriprise Financial Inc. | 68 | 10,099 | ||||||
BlackRock Inc. | 61 | 27,273 | ||||||
Franklin Resources Inc. | 173 | 7,700 | ||||||
Invesco Ltd. | 206 | 7,218 | ||||||
Northern Trust Corp. | 109 | 10,020 | ||||||
State Street Corp. (e) | 179 | 17,102 | ||||||
T Rowe Price Group Inc. | 122 | 11,059 | ||||||
The Bank of New York Mellon Corp. | 486 | 25,768 | ||||||
|
| |||||||
121,744 | ||||||||
|
| |||||||
Auto Parts & Equipment - 0.2% |
| |||||||
BorgWarner Inc. | 101 | 5,174 | ||||||
Delphi Automotive PLC | 123 | 12,103 | ||||||
|
| |||||||
17,277 | ||||||||
|
| |||||||
Automobile Manufacturers - 0.4% |
| |||||||
Ford Motor Co. | 1,835 | 21,965 |
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 — September 30, 2017
Number of Shares | Fair $ | |||||||
General Motors Co. | 617 | 24,914 | ||||||
|
| |||||||
46,879 | ||||||||
|
| |||||||
Automotive Retail - 0.3% |
| |||||||
Advance Auto Parts Inc. | 37 | 3,670 | ||||||
AutoZone Inc. (a) | 14 | 8,332 | ||||||
CarMax Inc. (a) | 94 | 7,126 | ||||||
O’Reilly Automotive Inc. (a) | 40 | 8,615 | ||||||
|
| |||||||
27,743 | ||||||||
|
| |||||||
Biotechnology - 3.1% |
| |||||||
AbbVie Inc. | 760 | 67,534 | ||||||
Alexion Pharmaceuticals Inc. (a) | 104 | 14,590 | ||||||
Amgen Inc. | 348 | 64,885 | ||||||
Biogen Inc. (a) | 100 | 31,312 | ||||||
Celgene Corp. (a) | 372 | 54,245 | ||||||
Gilead Sciences Inc. | 621 | 50,313 | ||||||
Incyte Corp. (a) | 86 | 10,040 | ||||||
Regeneron Pharmaceuticals Inc. (a) | 38 | 16,990 | ||||||
Vertex Pharmaceuticals Inc. (a) | 118 | 17,941 | ||||||
|
| |||||||
327,850 | ||||||||
|
| |||||||
Brewers - 0.1% |
| |||||||
Molson Coors Brewing Co., Class B | 93 | 7,593 | ||||||
|
| |||||||
Broadcasting - 0.2% |
| |||||||
CBS Corp., Class B | 166 | 9,628 | ||||||
Discovery Communications Inc., Class A (a) | 78 | 1,660 | ||||||
Discovery Communications Inc., Class C (a) | 107 | 2,168 | ||||||
Scripps Networks Interactive Inc., Class A | 48 | 4,123 | ||||||
|
| |||||||
17,579 | ||||||||
|
| |||||||
Building Products - 0.4% |
| |||||||
Allegion PLC | 48 | 4,150 | ||||||
AO Smith Corp. | 74 | 4,398 | ||||||
Fortune Brands Home & Security Inc. | 78 | 5,244 | ||||||
Johnson Controls International PLC | 435 | 17,526 | ||||||
Masco Corp. | 162 | 6,320 | ||||||
|
| |||||||
37,638 | ||||||||
|
| |||||||
Cable & Satellite - 1.2% |
| |||||||
Charter Communications Inc., Class A (a) | 95 | 34,525 | ||||||
Comcast Corp., Class A | 2,246 | 86,426 |
Number of Shares | Fair $ | |||||||
DISH Network Corp., Class A (a) | 115 | 6,236 | ||||||
|
| |||||||
127,187 | ||||||||
|
| |||||||
Casinos & Gaming - 0.1% |
| |||||||
MGM Resorts International | 244 | 7,952 | ||||||
Wynn Resorts Ltd. | 40 | 5,957 | ||||||
|
| |||||||
13,909 | ||||||||
|
| |||||||
Commodity Chemicals - 0.1% |
| |||||||
LyondellBasell Industries N.V., Class A | 150 | 14,858 | ||||||
|
| |||||||
Communications Equipment - 1.0% |
| |||||||
Cisco Systems Inc. | 2,386 | 80,241 | ||||||
F5 Networks Inc. (a) | 33 | 3,979 | ||||||
Harris Corp. | 62 | 8,164 | ||||||
Juniper Networks Inc. | 193 | 5,371 | ||||||
Motorola Solutions Inc. | 83 | 7,044 | ||||||
|
| |||||||
104,799 | ||||||||
|
| |||||||
Computer & Electronics Retail - 0.1% |
| |||||||
Best Buy Company Inc. | 134 | 7,633 | ||||||
|
| |||||||
Construction & Engineering - 0.1% |
| |||||||
Fluor Corp. | 71 | 2,989 | ||||||
Jacobs Engineering Group Inc. | 61 | 3,554 | ||||||
Quanta Services Inc. (a) | 75 | 2,803 | ||||||
|
| |||||||
9,346 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks - 0.6% |
| |||||||
Caterpillar Inc. | 280 | 34,919 | ||||||
Cummins Inc. | 78 | 13,106 | ||||||
PACCAR Inc. | 177 | 12,804 | ||||||
|
| |||||||
60,829 | ||||||||
|
| |||||||
Construction Materials - 0.1% |
| |||||||
Martin Marietta Materials Inc. | 32 | 6,600 | ||||||
Vulcan Materials Co. | 67 | 8,013 | ||||||
|
| |||||||
14,613 | ||||||||
|
| |||||||
Consumer Electronics - 0.0%* |
| |||||||
Garmin Ltd. | 58 | 3,130 | ||||||
|
| |||||||
Consumer Finance - 0.7% |
| |||||||
American Express Co. | 347 | 31,390 | ||||||
Capital One Financial Corp. | 226 | 19,133 | ||||||
Discover Financial Services | 170 | 10,961 | ||||||
Navient Corp. | 144 | 2,163 | ||||||
Synchrony Financial | 341 | 10,588 | ||||||
|
| |||||||
74,235 | ||||||||
|
|
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 — September 30, 2017
Number of Shares | Fair $ | |||||||
Copper - 0.1% |
| |||||||
Freeport-McMoRan Inc. (a) | 672 | 9,435 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 2.6% |
| |||||||
Alliance Data Systems Corp. | 22 | 4,874 | ||||||
Automatic Data Processing Inc. | 209 | 22,848 | ||||||
Fidelity National Information Services Inc. | 154 | 14,382 | ||||||
Fiserv Inc. (a) | 97 | 12,509 | ||||||
Global Payments Inc. | 77 | 7,317 | ||||||
Mastercard Inc., Class A | 445 | 62,834 | ||||||
Paychex Inc. | 162 | 9,713 | ||||||
PayPal Holdings Inc. (a) | 535 | 34,256 | ||||||
The Western Union Co. | 238 | 4,570 | ||||||
Total System Services Inc. | 84 | 5,502 | ||||||
Visa Inc., Class A | 874 | 91,980 | ||||||
|
| |||||||
270,785 | ||||||||
|
| |||||||
Department Stores - 0.1% |
| |||||||
Kohl’s Corp. | 86 | 3,926 | ||||||
Macy’s Inc. | 154 | 3,360 | ||||||
Nordstrom Inc. | 56 | 2,641 | ||||||
|
| |||||||
9,927 | ||||||||
|
| |||||||
Distillers & Vintners - 0.2% |
| |||||||
Brown-Forman Corp., Class B | 89 | 4,833 | ||||||
Constellation Brands Inc., Class A | 80 | 15,956 | ||||||
|
| |||||||
20,789 | ||||||||
|
| |||||||
Distributors - 0.1% |
| |||||||
Genuine Parts Co. | 74 | 7,078 | ||||||
LKQ Corp. (a) | 156 | 5,615 | ||||||
|
| |||||||
12,693 | ||||||||
|
| |||||||
Diversified Banks - 5.0% |
| |||||||
Bank of America Corp. | 4,693 | 118,921 | ||||||
Citigroup Inc. | 1,302 | 94,708 | ||||||
JPMorgan Chase & Co. | 1,685 | 160,934 | ||||||
U.S. Bancorp | 754 | 40,407 | ||||||
Wells Fargo & Co. (l) | 2,136 | 117,800 | ||||||
|
| |||||||
532,770 | ||||||||
|
| |||||||
Diversified Chemicals - 0.8% |
| |||||||
DowDuPont Inc. | 1,114 | 77,122 | ||||||
Eastman Chemical Co. | 74 | 6,697 | ||||||
|
| |||||||
83,819 | ||||||||
|
| |||||||
Diversified Support Services - 0.1% |
| |||||||
Cintas Corp. | 44 | 6,348 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Drug Retail - 0.7% |
| |||||||
CVS Health Corp. | 482 | 39,196 | ||||||
Walgreens Boots Alliance Inc. | 436 | 33,668 | ||||||
|
| |||||||
72,864 | ||||||||
|
| |||||||
Electric Utilities - 1.9% |
| |||||||
Alliant Energy Corp. | 115 | 4,781 | ||||||
American Electric Power Company Inc. | 229 | 16,085 | ||||||
Duke Energy Corp. | 330 | 27,694 | ||||||
Edison International | 150 | 11,575 | ||||||
Entergy Corp. | 91 | 6,949 | ||||||
Eversource Energy | 160 | 9,670 | ||||||
Exelon Corp. | 468 | 17,630 | ||||||
FirstEnergy Corp. | 224 | 6,906 | ||||||
NextEra Energy Inc. | 221 | 32,388 | ||||||
PG&E Corp. | 239 | 16,273 | ||||||
Pinnacle West Capital Corp. | 56 | 4,735 | ||||||
PPL Corp. | 315 | 11,954 | ||||||
The Southern Co. | 470 | 23,096 | ||||||
Xcel Energy Inc. | 257 | 12,161 | ||||||
|
| |||||||
201,897 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.5% |
| |||||||
Acuity Brands Inc. | 22 | 3,768 | ||||||
AMETEK Inc. | 116 | 7,661 | ||||||
Eaton Corporation PLC | 207 | 15,895 | ||||||
Emerson Electric Co. | 299 | 18,789 | ||||||
Rockwell Automation Inc. | 65 | 11,584 | ||||||
|
| |||||||
57,697 | ||||||||
|
| |||||||
Electronic Components - 0.2% |
| |||||||
Amphenol Corp., Class A | 154 | 13,034 | ||||||
Corning Inc. | 416 | 12,447 | ||||||
|
| |||||||
25,481 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.0%* |
| |||||||
FLIR Systems Inc. | 69 | 2,685 | ||||||
|
| |||||||
Electronic Manufacturing Services - 0.1% |
| |||||||
TE Connectivity Ltd. | 163 | 13,539 | ||||||
|
| |||||||
Environmental & Facilities Services - 0.2% |
| |||||||
Republic Services Inc. | 116 | 7,663 | ||||||
Stericycle Inc. (a) | 43 | 3,079 | ||||||
Waste Management Inc. | 188 | 14,715 | ||||||
|
| |||||||
25,457 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals - 0.4% |
| |||||||
CF Industries Holdings Inc. | 118 | 4,149 | ||||||
FMC Corp. | 68 | 6,073 |
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 S&P 500 Index Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Monsanto Co. | 207 | 24,803 | ||||||
The Mosaic Co. | 177 | 3,821 | ||||||
|
| |||||||
38,846 | ||||||||
|
| |||||||
Financial Exchanges & Data - 0.8% |
| |||||||
CBOE Holdings Inc. | 46 | 4,951 | ||||||
CME Group Inc. | 159 | 21,573 | ||||||
Intercontinental Exchange Inc. | 275 | 18,893 | ||||||
Moody’s Corp. | 84 | 11,694 | ||||||
Nasdaq Inc. | 58 | 4,499 | ||||||
S&P Global Inc. | 120 | 18,757 | ||||||
|
| |||||||
80,367 | ||||||||
|
| |||||||
Food Distributors - 0.1% |
| |||||||
Sysco Corp. | 224 | 12,085 | ||||||
|
| |||||||
Food Retail - 0.1% |
| |||||||
The Kroger Co. | 461 | 9,248 | ||||||
|
| |||||||
Footwear - 0.3% |
| |||||||
NIKE Inc., Class B | 622 | 32,251 | ||||||
|
| |||||||
General Merchandise Stores - 0.3% |
| |||||||
Dollar General Corp. | 127 | 10,293 | ||||||
Dollar Tree Inc. (a) | 120 | 10,418 | ||||||
Target Corp. | 254 | 14,989 | ||||||
|
| |||||||
35,700 | ||||||||
|
| |||||||
Gold - 0.1% |
| |||||||
Newmont Mining Corp. | 269 | 10,090 | ||||||
|
| |||||||
Health Care REITs - 0.3% |
| |||||||
HCP Inc. | 237 | 6,596 | ||||||
Ventas Inc. | 179 | 11,658 | ||||||
Welltower Inc. | 185 | 13,002 | ||||||
|
| |||||||
31,256 | ||||||||
|
| |||||||
Healthcare Distributors - 0.4% |
| |||||||
AmerisourceBergen Corp. | 84 | 6,951 | ||||||
Cardinal Health Inc. | 160 | 10,707 | ||||||
Henry Schein Inc. (a) | 80 | 6,559 | ||||||
McKesson Corp. | 98 | 15,054 | ||||||
Patterson Companies Inc. | 41 | 1,585 | ||||||
|
| |||||||
40,856 | ||||||||
|
| |||||||
Healthcare Equipment - 2.6% |
| |||||||
Abbott Laboratories | 825 | 44,022 | ||||||
Baxter International Inc. | 246 | 15,436 | ||||||
Becton Dickinson and Co. | 107 | 20,967 | ||||||
Boston Scientific Corp. (a) | 642 | 18,727 | ||||||
CR Bard Inc. | 33 | 10,576 | ||||||
Danaher Corp. | 288 | 24,705 |
Number of Shares | Fair $ | |||||||
Edwards Lifesciences Corp. (a) | 106 | 11,587 | ||||||
Hologic Inc. (a) | 141 | 5,173 | ||||||
IDEXX Laboratories Inc. (a) | 45 | 6,997 | ||||||
Intuitive Surgical Inc. (a) | 17 | 17,780 | ||||||
Medtronic PLC | 645 | 50,162 | ||||||
ResMed Inc. | 72 | 5,541 | ||||||
Stryker Corp. | 157 | 22,297 | ||||||
Varian Medical Systems Inc. (a) | 46 | 4,603 | ||||||
Zimmer Biomet Holdings Inc. | 102 | 11,943 | ||||||
|
| |||||||
270,516 | ||||||||
|
| |||||||
Healthcare Facilities - 0.2% |
| |||||||
HCA Healthcare Inc. (a) | 145 | 11,541 | ||||||
Universal Health Services Inc., Class B | 45 | 4,992 | ||||||
|
| |||||||
16,533 | ||||||||
|
| |||||||
Healthcare Services - 0.4% |
| |||||||
DaVita Inc. (a) | 79 | 4,692 | ||||||
Envision Healthcare Corp. (a) | 59 | 2,652 | ||||||
Express Scripts Holding Co. (a) | 269 | 17,033 | ||||||
Laboratory Corporation of America Holdings (a) | 52 | 7,851 | ||||||
Quest Diagnostics Inc. | 69 | 6,461 | ||||||
|
| |||||||
38,689 | ||||||||
|
| |||||||
Healthcare Supplies - 0.2% |
| |||||||
Align Technology Inc. (a) | 38 | 7,078 | ||||||
DENTSPLY SIRONA Inc. | 116 | 6,938 | ||||||
The Cooper Companies Inc. | 25 | 5,928 | ||||||
|
| |||||||
19,944 | ||||||||
|
| |||||||
Healthcare Technology - 0.1% |
| |||||||
Cerner Corp. (a) | 149 | 10,627 | ||||||
|
| |||||||
Home Building - 0.2% |
| |||||||
DR Horton Inc. | 173 | 6,908 | ||||||
Lennar Corp., Class A | 103 | 5,439 | ||||||
PulteGroup Inc. | 143 | 3,908 | ||||||
|
| |||||||
16,255 | ||||||||
|
| |||||||
Home Entertainment Software - 0.4% |
| |||||||
Activision Blizzard Inc. | 355 | 22,901 | ||||||
Electronic Arts Inc. (a) | 144 | 17,001 | ||||||
|
| |||||||
39,902 | ||||||||
|
| |||||||
Home Furnishings - 0.1% |
| |||||||
Leggett & Platt Inc. | 67 | 3,198 | ||||||
Mohawk Industries Inc. (a) | 32 | 7,920 | ||||||
|
| |||||||
11,118 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional S&P 500 Index Fund | 19 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Home Improvement Retail - 1.2% |
| |||||||
Lowe’s Companies Inc. | 399 | 31,896 | ||||||
The Home Depot Inc. | 563 | 92,084 | ||||||
|
| |||||||
123,980 | ||||||||
|
| |||||||
Hotel & Resort REITs - 0.1% |
| |||||||
Host Hotels & Resorts Inc. | 374 | 6,915 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 0.5% |
| |||||||
Carnival Corp. | 188 | 12,139 | ||||||
Hilton Worldwide Holdings Inc. | 104 | 7,223 | ||||||
Marriott International Inc., Class A | 145 | 15,987 | ||||||
Royal Caribbean Cruises Ltd. | 85 | 10,076 | ||||||
Wyndham Worldwide Corp. | 53 | 5,587 | ||||||
|
| |||||||
51,012 | ||||||||
|
| |||||||
Household Appliances - 0.1% |
| |||||||
Whirlpool Corp. | 37 | 6,824 | ||||||
|
| |||||||
Household Products - 1.7% |
| |||||||
Church & Dwight Company Inc. | 126 | 6,105 | ||||||
Colgate-Palmolive Co. | 416 | 30,306 | ||||||
Kimberly-Clark Corp. | 165 | 19,417 | ||||||
The Clorox Co. | 65 | 8,574 | ||||||
The Procter & Gamble Co. | 1,220 | 110,995 | ||||||
|
| |||||||
175,397 | ||||||||
|
| |||||||
Housewares & Specialties - 0.1% |
| |||||||
Newell Brands Inc. | 244 | 10,411 | ||||||
|
| |||||||
Human Resource & Employment Services - 0.0%* |
| |||||||
Robert Half International Inc. | 64 | 3,222 | ||||||
|
| |||||||
Hypermarkets & Super Centers - 0.8% |
| |||||||
Costco Wholesale Corp. | 208 | 34,172 | ||||||
Wal-Mart Stores Inc. | 697 | 54,464 | ||||||
|
| |||||||
88,636 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders - 0.1% |
| |||||||
AES Corp. | 334 | 3,681 | ||||||
NRG Energy Inc. | 160 | 4,094 | ||||||
|
| |||||||
7,775 | ||||||||
|
| |||||||
Industrial Conglomerates - 2.1% |
| |||||||
3M Co. | 284 | 59,611 | ||||||
General Electric Co. | 4,139 | 100,081 | ||||||
Honeywell International Inc. | 363 | 51,452 | ||||||
Roper Technologies Inc. | 47 | 11,440 | ||||||
|
| |||||||
222,584 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Industrial Gases - 0.3% |
| |||||||
Air Products & Chemicals Inc. | 101 | 15,273 | ||||||
Praxair Inc. | 134 | 18,725 | ||||||
|
| |||||||
33,998 | ||||||||
|
| |||||||
Industrial Machinery - 0.9% |
| |||||||
Dover Corp. | 79 | 7,220 | ||||||
Flowserve Corp. | 66 | 2,811 | ||||||
Fortive Corp. | 152 | 10,760 | ||||||
Illinois Tool Works Inc. | 145 | 21,454 | ||||||
Ingersoll-Rand PLC | 116 | 10,344 | ||||||
Parker-Hannifin Corp. | 67 | 11,726 | ||||||
Pentair PLC | 85 | 5,777 | ||||||
Snap-on Inc. | 29 | 4,321 | ||||||
Stanley Black & Decker Inc. | 77 | 11,625 | ||||||
Xylem Inc. | 91 | 5,699 | ||||||
|
| |||||||
91,737 | ||||||||
|
| |||||||
Industrial REITs - 0.2% |
| |||||||
Duke Realty Corp. | 180 | 5,188 | ||||||
Prologis Inc. REIT | 248 | 15,738 | ||||||
|
| |||||||
20,926 | ||||||||
|
| |||||||
Insurance Brokers - 0.5% |
| |||||||
Aon PLC | 119 | 17,386 | ||||||
Arthur J Gallagher & Co. | 91 | 5,601 | ||||||
Marsh & McLennan Companies Inc. | 240 | 20,114 | ||||||
Willis Towers Watson PLC | 64 | 9,871 | ||||||
|
| |||||||
52,972 | ||||||||
|
| |||||||
Integrated Oil & Gas - 2.8% |
| |||||||
Chevron Corp. | 906 | 106,455 | ||||||
Exxon Mobil Corp. | 2,029 | 166,338 | ||||||
Occidental Petroleum Corp. | 359 | 23,051 | ||||||
|
| |||||||
295,844 | ||||||||
|
| |||||||
Integrated Telecommunication Services - 2.0% |
| |||||||
AT&T Inc. (l) | 2,936 | 115,003 | ||||||
CenturyLink Inc. | 277 | 5,235 | ||||||
Verizon Communications Inc. | 1,949 | 96,456 | ||||||
|
| |||||||
216,694 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 2.6% |
| |||||||
Amazon.com Inc. (a)(l) | 191 | 183,618 | ||||||
Expedia Inc. | 61 | 8,780 | ||||||
Netflix Inc. (a) | 205 | 37,177 | ||||||
The Priceline Group Inc. (a) | 23 | 42,109 | ||||||
TripAdvisor Inc. (a) | 56 | 2,270 | ||||||
|
| |||||||
273,954 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
20 | State Street Institutional S&P 500 Index Fund |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Internet Software & Services - 4.7% |
| |||||||
Akamai Technologies Inc. (a) | 87 | 4,239 | ||||||
Alphabet Inc., Class A (a) | 143 | 139,242 | ||||||
Alphabet Inc., Class C (a)(l) | 144 | 138,112 | ||||||
Cars.com Inc. (a) | 1 | 27 | ||||||
eBay Inc. (a) | 465 | 17,884 | ||||||
Facebook Inc., Class A (a) | 1,136 | 194,108 | ||||||
VeriSign Inc. (a) | 45 | 4,787 | ||||||
|
| |||||||
498,399 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 1.0% |
| |||||||
E*TRADE Financial Corp. (a) | 139 | 6,062 | ||||||
Morgan Stanley | 668 | 32,178 | ||||||
Raymond James Financial Inc. | 65 | 5,481 | ||||||
The Charles Schwab Corp. | 560 | 24,494 | ||||||
The Goldman Sachs Group Inc. | 171 | 40,560 | ||||||
|
| |||||||
108,775 | ||||||||
|
| |||||||
IT Consulting & Other Services - 1.3% |
| |||||||
Accenture PLC, Class A | 293 | 39,575 | ||||||
Cognizant Technology Solutions Corp., Class A | 277 | 20,094 | ||||||
CSRA Inc. | 73 | 2,356 | ||||||
DXC Technology Co. | 143 | 12,281 | ||||||
Gartner Inc. (a) | 46 | 5,723 | ||||||
International Business Machines Corp. | 413 | 59,918 | ||||||
|
| |||||||
139,947 | ||||||||
|
| |||||||
Leisure Products - 0.1% |
| |||||||
Hasbro Inc. | 57 | 5,567 | ||||||
Mattel Inc. | 173 | 2,678 | ||||||
|
| |||||||
8,245 | ||||||||
|
| |||||||
Life & Health Insurance - 0.9% |
| |||||||
Aflac Inc. | 184 | 14,976 | ||||||
Brighthouse Financial Inc. (a) | 50 | 3,040 | ||||||
Lincoln National Corp. | 113 | 8,303 | ||||||
MetLife Inc. | 500 | 25,975 | ||||||
Principal Financial Group Inc. | 135 | 8,686 | ||||||
Prudential Financial Inc. | 200 | 21,264 | ||||||
Torchmark Corp. | 55 | 4,405 | ||||||
Unum Group | 115 | 5,880 | ||||||
|
| |||||||
92,529 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 0.8% |
| |||||||
Agilent Technologies Inc. | 163 | 10,465 | ||||||
Illumina Inc. (a) | 68 | 13,545 | ||||||
Mettler-Toledo International Inc. (a) | 13 | 8,140 | ||||||
PerkinElmer Inc. | 56 | 3,862 |
Number of Shares | Fair $ | |||||||
Quintiles IMS Holdings Inc. (a) | 69 | 6,560 | ||||||
Thermo Fisher Scientific Inc. | 190 | 35,948 | ||||||
Waters Corp. (a) | 40 | 7,181 | ||||||
|
| |||||||
85,701 | ||||||||
|
| |||||||
Managed Healthcare - 1.7% |
| |||||||
Aetna Inc. | 156 | 24,806 | ||||||
Anthem Inc. | 123 | 23,355 | ||||||
Centene Corp. (a) | 87 | 8,419 | ||||||
Cigna Corp. | 118 | 22,059 | ||||||
Humana Inc. | 67 | 16,323 | ||||||
UnitedHealth Group Inc. | 462 | 90,483 | ||||||
|
| |||||||
185,445 | ||||||||
|
| |||||||
Metal & Glass Containers - 0.1% |
| |||||||
Ball Corp. | 177 | 7,310 | ||||||
|
| |||||||
Motorcycle Manufacturers - 0.0%* |
| |||||||
Harley-Davidson Inc. | 88 | 4,242 | ||||||
|
| |||||||
Movies & Entertainment - 1.3% |
| |||||||
The Walt Disney Co. | 736 | 72,547 | ||||||
Time Warner Inc. | 369 | 37,804 | ||||||
Twenty-First Century Fox Inc., Class A | 486 | 12,821 | ||||||
Twenty-First Century Fox Inc., Class B | 191 | 4,926 | ||||||
Viacom Inc., Class B | 178 | 4,956 | ||||||
|
| |||||||
133,054 | ||||||||
|
| |||||||
Multi-Line Insurance - 0.4% |
| |||||||
American International Group Inc. | 444 | 27,257 | ||||||
Assurant Inc. | 28 | 2,675 | ||||||
Loews Corp. | 139 | 6,652 | ||||||
The Hartford Financial Services Group Inc. | 186 | 10,310 | ||||||
|
| |||||||
46,894 | ||||||||
|
| |||||||
Multi-Sector Holdings - 1.6% |
| |||||||
Berkshire Hathaway Inc., Class B (a) | 922 | 169,021 | ||||||
Leucadia National Corp. | 164 | 4,141 | ||||||
|
| |||||||
173,162 | ||||||||
|
| |||||||
Multi-Utilities - 1.0% |
| |||||||
Ameren Corp. | 123 | 7,114 | ||||||
CenterPoint Energy Inc. | 218 | 6,368 | ||||||
CMS Energy Corp. | 142 | 6,577 | ||||||
Consolidated Edison Inc. | 154 | 12,425 | ||||||
Dominion Energy Inc. | 302 | 23,233 | ||||||
DTE Energy Co. | 91 | 9,770 | ||||||
NiSource Inc. | 163 | 4,171 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional S&P 500 Index Fund | 21 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Public Service Enterprise Group Inc. | 256 | 11,840 | ||||||
SCANA Corp. | 72 | 3,491 | ||||||
Sempra Energy | 116 | 13,239 | ||||||
WEC Energy Group Inc. | 159 | 9,982 | ||||||
|
| |||||||
108,210 | ||||||||
|
| |||||||
Office REITs - 0.3% |
| |||||||
Alexandria Real Estate Equities Inc. | 46 | 5,473 | ||||||
Boston Properties Inc. | 78 | 9,585 | ||||||
SL Green Realty Corp. | 51 | 5,167 | ||||||
Vornado Realty Trust | 87 | 6,688 | ||||||
|
| |||||||
26,913 | ||||||||
|
| |||||||
Oil & Gas Drilling - 0.0%* |
| |||||||
Helmerich & Payne Inc. | 55 | 2,866 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 0.8% |
| |||||||
Baker Hughes a GE Co. | 215 | 7,873 | ||||||
Halliburton Co. | 405 | 18,642 | ||||||
National Oilwell Varco Inc. | 192 | 6,860 | ||||||
Schlumberger Ltd. | 660 | 46,042 | ||||||
TechnipFMC PLC (a) | 192 | 5,361 | ||||||
|
| |||||||
84,778 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production - 1.4% |
| |||||||
Anadarko Petroleum Corp. | 283 | 13,825 | ||||||
Apache Corp. | 192 | 8,794 | ||||||
Cabot Oil & Gas Corp. | 235 | 6,286 | ||||||
Chesapeake Energy Corp. (a) | 385 | 1,655 | ||||||
Cimarex Energy Co. | 48 | 5,456 | ||||||
Concho Resources Inc. (a) | 75 | 9,879 | ||||||
ConocoPhillips | 573 | 28,679 | ||||||
Devon Energy Corp. | 266 | 9,765 | ||||||
EOG Resources Inc. | 272 | 26,313 | ||||||
EQT Corp. | 88 | 5,741 | ||||||
Hess Corp. | 137 | 6,424 | ||||||
Marathon Oil Corp. | 429 | 5,817 | ||||||
Newfield Exploration Co. (a) | 101 | 2,997 | ||||||
Noble Energy Inc. | 230 | 6,523 | ||||||
Pioneer Natural Resources Co. | 86 | 12,688 | ||||||
Range Resources Corp. | 95 | 1,859 | ||||||
|
| |||||||
152,701 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing - 0.5% |
| |||||||
Andeavor | 64 | 6,601 | ||||||
Marathon Petroleum Corp. | 233 | 13,067 | ||||||
Phillips 66 | 200 | 18,322 | ||||||
Valero Energy Corp. | 205 | 15,771 | ||||||
|
| |||||||
53,761 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Oil & Gas Storage & Transportation - 0.4% |
| |||||||
Kinder Morgan Inc. | 896 | 17,185 | ||||||
ONEOK Inc. | 192 | 10,639 | ||||||
The Williams Companies Inc. | 417 | 12,514 | ||||||
|
| |||||||
40,338 | ||||||||
|
| |||||||
Packaged Foods & Meats - 1.1% |
| |||||||
Campbell Soup Co. | 97 | 4,541 | ||||||
Conagra Brands Inc. | 204 | 6,883 | ||||||
General Mills Inc. | 268 | 13,872 | ||||||
Hormel Foods Corp. | 136 | 4,371 | ||||||
Kellogg Co. | 127 | 7,921 | ||||||
McCormick & Company Inc. | 57 | 5,850 | ||||||
Mondelez International Inc., Class A | 712 | 28,950 | ||||||
The Hershey Co. | 71 | 7,751 | ||||||
The JM Smucker Co. | 59 | 6,191 | ||||||
The Kraft Heinz Co. | 280 | 21,714 | ||||||
Tyson Foods Inc., Class A | 146 | 10,286 | ||||||
|
| |||||||
118,330 | ||||||||
|
| |||||||
Paper Packaging - 0.3% |
| |||||||
Avery Dennison Corp. | 45 | 4,425 | ||||||
International Paper Co. | 209 | 11,875 | ||||||
Packaging Corporation of America | 48 | 5,505 | ||||||
Sealed Air Corp. | 99 | 4,229 | ||||||
WestRock Co. | 127 | 7,205 | ||||||
|
| |||||||
33,239 | ||||||||
|
| |||||||
Personal Products - 0.1% |
| |||||||
Coty Inc., Class A | 238 | 3,934 | ||||||
The Estee Lauder Companies Inc., Class A | 113 | 12,186 | ||||||
|
| |||||||
16,120 | ||||||||
|
| |||||||
Pharmaceuticals - 4.7% |
| |||||||
Allergan PLC | 158 | 32,382 | ||||||
Bristol-Myers Squibb Co. | 780 | 49,717 | ||||||
Eli Lilly & Co. | 459 | 39,263 | ||||||
Johnson & Johnson | 1,286 | 167,193 | ||||||
Merck & Company Inc. | 1,306 | 83,623 | ||||||
Mylan N.V. (a) | 233 | 7,309 | ||||||
Perrigo Company PLC | 58 | 4,910 | ||||||
Pfizer Inc. | 2,853 | 101,852 | ||||||
Zoetis Inc. | 228 | 14,538 | ||||||
|
| |||||||
500,787 | ||||||||
|
| |||||||
Property & Casualty Insurance - 0.8% |
| |||||||
Chubb Ltd. | 220 | 31,361 | ||||||
Cincinnati Financial Corp. | 76 | 5,819 | ||||||
The Allstate Corp. | 168 | 15,441 |
See Notes to Schedules of Investments and Notes to Financial Statements.
22 | State Street Institutional S&P 500 Index Fund |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
The Progressive Corp. | 293 | 14,187 | ||||||
The Travelers Companies Inc. | 128 | 15,683 | ||||||
XL Group Ltd. | 132 | 5,207 | ||||||
|
| |||||||
87,698 | ||||||||
|
| |||||||
Publishing - 0.0%* |
| |||||||
News Corp., Class A | 193 | 2,559 | ||||||
News Corp., Class B | 40 | 546 | ||||||
|
| |||||||
3,105 | ||||||||
|
| |||||||
Railroads - 0.9% |
| |||||||
CSX Corp. | 429 | 23,277 | ||||||
Kansas City Southern | 54 | 5,869 | ||||||
Norfolk Southern Corp. | 134 | 17,720 | ||||||
Union Pacific Corp. | 380 | 44,069 | ||||||
|
| |||||||
90,935 | ||||||||
|
| |||||||
Real Estate Services - 0.1% |
| |||||||
CBRE Group Inc., Class A (a) | 152 | 5,758 | ||||||
|
| |||||||
Regional Banks - 1.3% |
| |||||||
BB&T Corp. | 377 | 17,697 | ||||||
Citizens Financial Group Inc. | 256 | 9,695 | ||||||
Comerica Inc. | 89 | 6,787 | ||||||
Fifth Third Bancorp | 334 | 9,345 | ||||||
Huntington Bancshares Inc. | 549 | 7,664 | ||||||
KeyCorp | 554 | 10,426 | ||||||
M&T Bank Corp. | 70 | 11,273 | ||||||
People’s United Financial Inc. | 174 | 3,156 | ||||||
Regions Financial Corp. | 607 | 9,245 | ||||||
SunTrust Banks Inc. | 221 | 13,209 | ||||||
The PNC Financial Services Group Inc. | 226 | 30,458 | ||||||
Zions Bancorporation | 102 | 4,812 | ||||||
|
| |||||||
133,767 | ||||||||
|
| |||||||
Reinsurance - 0.0%* |
| |||||||
Everest Re Group Ltd. | 21 | 4,796 | ||||||
|
| |||||||
Research & Consulting Services - 0.3% |
| |||||||
Equifax Inc. | 61 | 6,465 | ||||||
IHS Markit Ltd. (a) | 160 | 7,053 | ||||||
Nielsen Holdings PLC | 170 | 7,047 | ||||||
Verisk Analytics Inc. (a) | 78 | 6,489 | ||||||
|
| |||||||
27,054 | ||||||||
|
| |||||||
Residential REITs - 0.4% |
| |||||||
Apartment Investment & Management Co., Class A | 79 | 3,465 | ||||||
AvalonBay Communities Inc. | 64 | 11,419 | ||||||
Equity Residential | 185 | 12,197 | ||||||
Essex Property Trust Inc. | 33 | 8,383 |
Number of Shares | Fair $ | |||||||
Mid-America Apartment Communities Inc. | 57 | 6,092 | ||||||
UDR Inc. | 135 | 5,134 | ||||||
|
| |||||||
46,690 | ||||||||
|
| |||||||
Restaurants - 1.1% |
| |||||||
Chipotle Mexican Grill Inc. (a) | 14 | 4,310 | ||||||
Darden Restaurants Inc. | 63 | 4,963 | ||||||
McDonald’s Corp. | 386 | 60,478 | ||||||
Starbucks Corp. | 684 | 36,738 | ||||||
Yum! Brands Inc. | 167 | 12,293 | ||||||
|
| |||||||
118,782 | ||||||||
|
| |||||||
Retail REITs - 0.5% |
| |||||||
Federal Realty Investment Trust | 36 | 4,472 | ||||||
GGP Inc. | 294 | 6,106 | ||||||
Kimco Realty Corp. | 215 | 4,203 | ||||||
Realty Income Corp. | 138 | 7,892 | ||||||
Regency Centers Corp. | 74 | 4,591 | ||||||
Simon Property Group Inc. | 146 | 23,508 | ||||||
The Macerich Co. | 60 | 3,298 | ||||||
|
| |||||||
54,070 | ||||||||
|
| |||||||
Semiconductor Equipment - 0.5% |
| |||||||
Applied Materials Inc. | 501 | 26,097 | ||||||
KLA-Tencor Corp. | 79 | 8,374 | ||||||
Lam Research Corp. | 81 | 14,988 | ||||||
|
| |||||||
49,459 | ||||||||
|
| |||||||
Semiconductors - 3.2% |
| |||||||
Advanced Micro Devices Inc. (a) | 391 | 4,985 | ||||||
Analog Devices Inc. | 170 | 14,649 | ||||||
Broadcom Ltd. | 193 | 46,810 | ||||||
Intel Corp. | 2,244 | 85,452 | ||||||
Microchip Technology Inc. | 116 | 10,414 | ||||||
Micron Technology Inc. (a) | 525 | 20,648 | ||||||
NVIDIA Corp. | 285 | 50,949 | ||||||
Qorvo Inc. (a) | 64 | 4,524 | ||||||
QUALCOMM Inc. | 700 | 36,288 | ||||||
Skyworks Solutions Inc. | 93 | 9,477 | ||||||
Texas Instruments Inc. | 469 | 42,041 | ||||||
Xilinx Inc. | 125 | 8,854 | ||||||
|
| |||||||
335,091 | ||||||||
|
| |||||||
Soft Drinks - 1.7% |
| |||||||
Dr Pepper Snapple Group Inc. | 93 | 8,228 | ||||||
Monster Beverage Corp. (a) | 204 | 11,271 | ||||||
PepsiCo Inc. | 682 | 75,995 | ||||||
The Coca-Cola Co. | 1,833 | 82,503 | ||||||
|
| |||||||
177,997 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional S&P 500 Index Fund | 23 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Specialized Consumer Services - 0.0%* |
| |||||||
H&R Block Inc. | 105 | 2,780 | ||||||
|
| |||||||
Specialized REITs - 1.1% |
| |||||||
American Tower Corp. | 203 | 27,746 | ||||||
Crown Castle International Corp. | 190 | 18,996 | ||||||
Digital Realty Trust Inc. | 99 | 11,715 | ||||||
Equinix Inc. | 36 | 16,067 | ||||||
Extra Space Storage Inc. | 64 | 5,115 | ||||||
Iron Mountain Inc. | 124 | 4,824 | ||||||
Public Storage | 69 | 14,765 | ||||||
SBA Communications Corp. (a) | 61 | 8,787 | ||||||
Weyerhaeuser Co. | 380 | 12,931 | ||||||
|
| |||||||
120,946 | ||||||||
|
| |||||||
Specialty Chemicals - 0.5% |
| |||||||
Albemarle Corp. | 56 | 7,633 | ||||||
Ecolab Inc. | 121 | 15,562 | ||||||
International Flavors & Fragrances Inc. | 40 | 5,716 | ||||||
PPG Industries Inc. | 129 | 14,017 | ||||||
The Sherwin-Williams Co. | 41 | 14,680 | ||||||
|
| |||||||
57,608 | ||||||||
|
| |||||||
Specialty Stores - 0.2% |
| |||||||
Signet Jewelers Ltd. | 35 | 2,329 | ||||||
Tiffany & Co. | 54 | 4,956 | ||||||
Tractor Supply Co. | 65 | 4,114 | ||||||
Ulta Salon Cosmetics & Fragrance Inc. (a) | 29 | 6,556 | ||||||
|
| |||||||
17,955 | ||||||||
|
| |||||||
Steel - 0.1% |
| |||||||
Nucor Corp. | 161 | 9,022 | ||||||
|
| |||||||
Systems Software - 3.5% |
| |||||||
CA Inc. | 158 | 5,274 | ||||||
Microsoft Corp. | 3,694 | 275,166 | ||||||
Oracle Corp. | 1,441 | 69,672 | ||||||
Red Hat Inc. (a) | 90 | 9,978 | ||||||
Symantec Corp. | 307 | 10,073 | ||||||
|
| |||||||
370,163 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 4.1% |
| |||||||
Apple Inc. (l) | 2,478 | 381,909 |
Number of Shares | Fair $ | |||||||
Hewlett Packard Enterprise Co. | 751 | 11,047 | ||||||
HP Inc. | 776 | 15,489 | ||||||
NetApp Inc. | 137 | 5,995 | ||||||
Seagate Technology PLC | 150 | 4,976 | ||||||
Western Digital Corp. | 147 | 12,701 | ||||||
Xerox Corp. | 108 | 3,595 | ||||||
|
| |||||||
435,712 | ||||||||
|
| |||||||
Tires & Rubber - 0.0%* |
| |||||||
The Goodyear Tire & Rubber Co. | 127 | 4,223 | ||||||
|
| |||||||
Tobacco - 1.3% |
| |||||||
Altria Group Inc. | 914 | 57,966 | ||||||
Philip Morris International Inc. | 742 | 82,369 | ||||||
|
| |||||||
140,335 | ||||||||
|
| |||||||
Trading Companies & Distributors - 0.2% |
| |||||||
Fastenal Co. | 146 | 6,655 | ||||||
United Rentals Inc. (a) | 43 | 5,966 | ||||||
WW Grainger Inc. | 27 | 4,853 | ||||||
|
| |||||||
17,474 | ||||||||
|
| |||||||
Trucking - 0.0%* |
| |||||||
JB Hunt Transport Services Inc. | 43 | 4,776 | ||||||
|
| |||||||
Water Utilities - 0.1% |
| |||||||
American Water Works Company Inc. | 90 | 7,282 | ||||||
|
| |||||||
Total Common Stock (Cost $7,199,642) | 10,352,936 | |||||||
|
| |||||||
Short-Term Investments - 2.3% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.96% | 246,950 | 246,950 | ||||||
Total Investments (Cost $7,446,592) | 10,599,886 | |||||||
Liabilities in Excess of Other Assets, net - (0.0)%* | (1,763 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | 10,598,123 | |||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
24 | State Street Institutional S&P 500 Index Fund |
Table of Contents
State Street Institutional S&P 500 Index Fund
Schedule of Investments, continued — September 30, 2017
Other Information:
The Fund had the following long futures contracts open at September 30, 2017:
Description | Expiration date | Number of Contracts | Notional Amount | Current Notional Value | Unrealized Appreciation | |||||||||||||||
S&P 500 Emini Index Futures | December 2017 | 2 | $ | 248,791 | $ | 251,610 | $ | 2,819 | ||||||||||||
|
|
During the period ended September 30, 2017, average notional value related to futures contracts was $668,691 or 6% of net assets.
The following tables present the Fund’s investments measured at fair value on a recurring basis at September 30, 2017:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Investments in Securities | ||||||||||||||||||
Common Stock | $ | 10,352,936 | $ | — | $ | — | $ | 10,352,936 | ||||||||||
Short-Term Investments | 246,950 | — | — | 246,950 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 10,599,886 | $ | — | $ | — | $ | 10,599,886 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 2,819 | $ | — | $ | — | $ | 2,819 | ||||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/17 | Value at 9/30/17 | Dividend Income | ||||||||||||||||||||||||||||
State Street Corp. | 302 | $ | 21,028 | 2,087 | 13,578 | $ | 2,982 | $ | 4,583 | 179 | $ | 17,102 | $ | 416 | ||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 701,455 | 701,455 | 4,487,047 | 4,941,552 | — | — | 246,950 | 246,950 | 4,139 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 722,483 | $ | 4,489,134 | $ | 4,955,130 | $ | 2,982 | $ | 4,583 | $ | 264,052 | $ | 4,555 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional S&P 500 Index Fund | 25 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Portfolio Management Discussion and Analysis — September 30, 2017 (Unaudited)
Q. | How did the State Street Institutional Premier Growth Equity Fund perform compared to its benchmarks and Morningstar peer group for the twelve-month period ended September 30, 2017? |
A. | For the twelve-month period ended September 30, 2017, the State Street Institutional Premier Growth Equity Fund returned 21.18% for the Investment Class shares and 20.84% for the Service Class shares. The Fund’s benchmarks, the S&P 500 Index and the Russell 1000 Growth Index returned 18.61% and 21.94%, respectively, and the Fund’s Morningstar peer group of 1,398 U.S. Large Growth funds returned an average of 19.75% over the same period. |
Q. | What market conditions impacted the Fund’s performance? |
A. | It was a year of cross-currents, but U.S. Equities enjoyed solid gains. Uncertainty characterized the commencement of the reporting period. At times, both safe haven investments and riskier growth assets came under pressure preceding the largely unanticipated presidential victory of Donald Trump over Hillary Clinton. Post-election expectations of higher interest rates and less regulation propelled a rally in financials and other cyclical sectors on the outlook for increased fiscal stimulus programs. U.S. Treasury yields rose initially, and the broad U.S. dollar reached a thirteen-year high in late November — a trend that would continue through the end of 2016. |
At the start of 2017, there were a few pauses in the reflationary theme as political and policy concerns weighed on the market at times. However, any hesitation was eventually met with improving company fundamentals and further reassurance from positive economic signals. Undeterred by a generally lower inflation outlook, the Federal Reserve raised interest rates two times during the year to a limited market reaction. |
In the last several months of the period, U.S. equity markets displayed impressive resilience against rising geopolitical threats and an administration that is punctuated with strong growth oriented rhetoric but no realized results. Nonetheless, global markets scaled a wall of worry, bolstered by widespread positive sentiment. |
The large cap style of growth outperformed value reversing last year’s underperformance with information technology and industrials leading the outperformance. In particular, technology stocks continued to show exceptional earnings growth. There were several sectors that underperformed the S&P 500 Index broad market return, including energy, utilities, consumer discretionary/staples, and healthcare. Energy was the worst performing sector in the Russell 1000 Growth, driven by commodity weakness and the only one to post a negative return during the period. |
Q. | What were the drivers behind Fund performance |
A. | The Fund outperformed the S&P 500 Index but incrementally underperformed the Russell 1000 Growth Index. Most of the relative underperformance occurred in the fourth calendar quarter of 2016 which was a challenging time as the market quickly rotated away from secular growth stories to more cyclical plays upon the Trump election. While the portfolio was well positioned within financials to benefit from rising interest rates, headwinds in the health care sector weighed most on relative performance as investors used health care stocks as a source of funds for investments in sectors more leveraged to infrastructure spending (industrials, materials), rising rates (financials) and oil price recovery (energy). |
Momentum soon reversed, and the Fund started 2017 on strong footing, recapturing the performance lost in the initial Trump trade within the first three months of the year. Some of the capital that fled the healthcare sector seemed to make its way back and the Fund’s biotechnology and medical devices holdings outperformed. The Fund’s media holdings also outperformed in early 2017. |
For the full twelve months, The Fund’s sole Industrials holding was a key performance contributor. Equipment rental company, United Rentals benefited from a recovery in U.S. oil production and massive rebuilding efforts following 2017’s devastating hurricane season. American Tower, a growth oriented operator of cell towers, outperformed traditional REIT peers. Selected technology stocks performed well, including Alibaba, Applied Materials and Visa. Some other top-performers in this high-conviction Fund included Charles Schwab and CME in Financials, Charter Communications and Sirius XM in Media, and Vertex, Cooper and Biogen in Health Care. However, the Health Care sector detracted from relative performance due to pullbacks in Allergan, Medtronic and Gilead which was eliminated during the year. Qualcomm and Baidu also weighed on results within Technology, and were sold from the Fund. Other relative underperformers included Liberty Global, Disney and Lowe’s in Consumer Discretionary and Schlumberger in Energy. |
26 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Portfolio Management Discussion and Analysis, continued — September 30, 2017 (Unaudited)
The Fund does not invest in derivatives securities as part of its strategy, but may hold futures contracts or ETFs to equitize cash flows in advance of investment. The effect of derivatives on performance was de minimis for the year. |
Q. | Were there any significant changes in the Fund during the period? |
A. | William Sandow, a senior research analyst covering biotechnology and pharmaceutical stocks on our U.S. Growth portfolio management team, joined Dave Carlson as a Co-Portfolio Manager on the U.S. Premier Growth Equity strategy effective September 1, 2017. Dave remains lead portfolio manager for the Fund, involved in all aspects of portfolio research, construction and implementation. William and Dave have worked closely since 2012 and William is deeply familiar with the U.S. Premier Growth Strategy investment philosophy and process. |
Turnover among holdings remained relatively low in keeping with our long-term investment horizon, but did result in some changes in positioning. Among sectors, Information Technology was the largest absolute weighting as the sector where we find many of the innovative, growth companies at reasonable valuations that we favor. However, we trimmed exposure to Information Technology in the past year, and reduced exposure to Energy and to Consumer Discretionary, after the sale of a home improvement retailer. Industrials exposure has also decreased during the period, ending more underweight. We have increased Financials exposure as well as the overweight in the Health Care sector. Telecommunications Services and Materials both remained underweight. Consumer Staples has been a consistent sector underweight, but that underweight was reduced during the period due to relative outperformance of PepsiCo, our sole holding in the sector. |
State Street Institutional Premier Growth Equity Fund | 27 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Performance Summary — September 30, 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.
Morningstar Performance Comparison
Based on average annual returns for periods ended September 30, 2017
One Year | Five Year | Ten Year | ||||||||||
Number of funds in peer group | 1,398 | 1,125 | 800 | |||||||||
Peer group average annual total return | 19.75 | % | 13.70 | % | 7.55 | % | ||||||
Morningstar Category in peer group: Large Growth |
|
Top Ten Largest Holdings
as of September 30, 2017 (as a % of Fair Value) (a)(b)
Apple Inc. | 5.82 | % | ||
Alphabet Inc., Class C | 5.03 | % | ||
Visa Inc., Class A | 4.97 | % | ||
Facebook Inc., Class A | 4.48 | % | ||
The Charles Schwab Corp. | 4.26 | % | ||
CME Group Inc. | 4.04 | % | ||
S&P Global Inc. | 3.67 | % | ||
Amazon.com Inc. | 3.58 | % | ||
United Rentals Inc. | 3.58 | % | ||
Allergan PLC | 3.52 | % |
Sector Allocation as of September 30, 2017
Portfolio composition as a % of Fair Value of $376,391 (in thousands) as of September 30, 2017 (a)(b)
Average Annual Total Return for the periods ended September 30, 2017
Investment Class Shares (Inception date: 10/29/99)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Premier Growth Equity Fund | 21.18 | % | 15.01 | % | 9.24 | % | $ | 24,205 | ||||||||
S&P 500 Index | 18.61 | % | 14.22 | % | 7.44 | % | $ | 20,488 | ||||||||
Russell 1000 Growth Index | 21.94 | % | 15.26 | % | 9.08 | % | $ | 23,855 |
Service Class Shares (Inception date: 1/3/01)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Premier Growth Equity Fund | 20.84 | % | 14.71 | % | 8.91 | % | $ | 23,471 | ||||||||
S&P 500 Index | 18.61 | % | 14.22 | % | 7.44 | % | $ | 20,488 | ||||||||
Russell 1000 Growth Index | 21.94 | % | 15.26 | % | 9.08 | % | $ | 23,855 |
28 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Performance Summary, continued — September 30, 2017 (Unaudited)
(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. |
See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
State Street Institutional Premier Growth Equity Fund | 29 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the September 30, 2017 | $ | 1,106.50 | $ | 1,023.20 | ||||
Expenses paid during the period* | $ | 2.01 | $ | 1.93 |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the September 30, 2017 | $ | 1,105.70 | $ | 1,021.90 | ||||
Expenses paid during the period* | $ | 3.33 | $ | 3.19 |
* | 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 April 1, 2017-September 30, 2017), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
30 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Schedule of Investments — September 30, 2017
Number of Shares | Fair $ | |||||||
Common Stock - 97.7%† | ||||||||
Application Software - 4.3% |
| |||||||
Intuit Inc. | 34,512 | 4,905,536 | ||||||
salesforce.com Inc. (a) | 121,865 | 11,384,628 | ||||||
|
| |||||||
16,290,164 | ||||||||
|
| |||||||
Biotechnology - 10.1% |
| |||||||
Alexion Pharmaceuticals Inc. (a) | 90,591 | 12,709,011 | ||||||
Amgen Inc. | 60,394 | 11,260,461 | ||||||
Biogen Inc. (a) | 20,104 | 6,294,965 | ||||||
Vertex Pharmaceuticals Inc. (a) | 51,552 | 7,837,966 | ||||||
|
| |||||||
38,102,403 | ||||||||
|
| |||||||
Cable & Satellite - 8.2% |
| |||||||
Charter Communications Inc., Class A (a) | 23,729 | 8,623,593 | ||||||
Comcast Corp., Class A | 185,495 | 7,137,848 | ||||||
Liberty Global PLC, Class C (a) | 351,578 | 11,496,601 | ||||||
Sirius XM Holdings Inc. | 668,649 | 3,690,942 | ||||||
|
| |||||||
30,948,984 | ||||||||
|
| |||||||
Data Processing & Outsourced Services - 6.1% |
| |||||||
PayPal Holdings Inc. (a) | 64,707 | 4,143,189 | ||||||
Visa Inc., Class A | 177,730 | 18,704,305 | ||||||
|
| |||||||
22,847,494 | ||||||||
|
| |||||||
Financial Exchanges & Data - 7.7% |
| |||||||
CME Group Inc. | 112,160 | 15,217,869 | ||||||
S&P Global Inc. | 88,435 | 13,823,275 | ||||||
|
| |||||||
29,041,144 | ||||||||
|
| |||||||
Healthcare Equipment - 5.0% |
| |||||||
Boston Scientific Corp. (a) | 235,102 | 6,857,925 | ||||||
Medtronic PLC | 151,663 | 11,794,832 | ||||||
|
| |||||||
18,652,757 | ||||||||
|
| |||||||
Healthcare Supplies - 1.4% |
| |||||||
The Cooper Companies Inc. | 22,862 | 5,420,809 | ||||||
|
| |||||||
Internet & Direct Marketing Retail - 3.6% |
| |||||||
Amazon.com Inc. (a) | 14,021 | 13,479,088 | ||||||
|
| |||||||
Internet Software & Services - 12.0% |
| |||||||
Alibaba Group Holding Ltd. ADR (a) | 31,596 | 5,456,945 | ||||||
Alphabet Inc., Class A (a) | 4,098 | 3,990,305 | ||||||
Alphabet Inc., Class C (a) | 19,748 | 18,940,504 | ||||||
Facebook Inc., Class A (a) | 98,739 | 16,871,533 | ||||||
|
| |||||||
45,259,287 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Investment Banking & Brokerage - 4.3% |
| |||||||
The Charles Schwab Corp. | 366,677 | 16,038,452 | ||||||
|
| |||||||
Movies & Entertainment - 2.1% |
| |||||||
The Walt Disney Co. | 80,571 | 7,941,883 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 1.7% |
| |||||||
Schlumberger Ltd. | 92,747 | 6,470,031 | ||||||
|
| |||||||
Pharmaceuticals - 3.5% |
| |||||||
Allergan PLC | 64,708 | 13,261,904 | ||||||
|
| |||||||
Regional Banks - 1.7% |
| |||||||
First Republic Bank | 62,552 | 6,534,182 | ||||||
|
| |||||||
Restaurants - 0.9% |
| |||||||
Starbucks Corp. | 59,315 | 3,185,809 | ||||||
|
| |||||||
Semiconductor Equipment - 2.4% |
| |||||||
Applied Materials Inc. (l) | 172,554 | 8,988,338 | ||||||
|
| |||||||
Semiconductors - 2.1% |
| |||||||
Broadcom Ltd. | 32,354 | 7,847,139 | ||||||
|
| |||||||
Soft Drinks - 3.5% |
| |||||||
PepsiCo Inc. | 118,487 | 13,203,006 | ||||||
|
| |||||||
Specialized REITs - 3.3% |
| |||||||
American Tower Corp. | 90,591 | 12,381,978 | ||||||
|
| |||||||
Specialty Chemicals - 1.1% |
| |||||||
Albemarle Corp. | 30,197 | 4,116,153 | ||||||
|
| |||||||
Systems Software - 3.3% |
| |||||||
Microsoft Corp. | 166,083 | 12,371,523 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 5.8% |
| |||||||
Apple Inc. | 142,184 | 21,913,398 | ||||||
|
| |||||||
Trading Companies & Distributors - 3.6% |
| |||||||
United Rentals Inc. (a) | 97,062 | 13,466,382 | ||||||
|
| |||||||
Total Common Stock (Cost $255,250,177) | 367,762,308 | |||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Premier Growth Equity Fund | 31 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Short-Term Investments - 2.3% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.96% (Cost $8,628,607) (d)(m) | 8,628,607 | 8,628,607 | ||||||
|
| |||||||
Total Investments (Cost $263,878,784) | 376,390,915 | |||||||
Other Assets and Liabilities, net - 0.0%* | 161,140 | |||||||
|
| |||||||
NET ASSETS - 100.0% | 376,552,055 | |||||||
|
|
Other Information:
The Fund had the following short futures contracts open at September 30, 2017:
Description | Expiration date | Number of Contracts | Notional Amount | Current Notional Value | Unrealized Depreciation | |||||||||||||||
S&P 500 Emini Index Futures | December 2017 | 28 | $ | (3,463,014 | ) | $ | (3,522,540 | ) | $ | (59,526 | ) | |||||||||
|
|
During the period ended September 30, 2017, average notional values related to long and short futures contracts were $2,586,055 or 0.7% of net assets and $1,094,547 or 0.3% of net assets, respectively.
The following tables present the Fund’s investments measured at fair value on a recurring basis at September 30, 2017:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Investments in Securities | ||||||||||||||||||
Common Stock | $ | 367,762,308 | $ | — | $ | — | $ | 367,762,308 | ||||||||||
Short-Term Investments | 8,628,607 | — | — | 8,628,607 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 376,390,915 | $ | — | $ | — | $ | 376,390,915 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Short Futures Contracts — Unrealized Depreciation | $ | (59,526 | ) | $ | — | $ | — | $ | (59,526 | ) | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Depreciation | Number of Shares Held at 9/30/17 | Value at 9/30/17 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 12,844,727 | $ | 12,844,727 | $ | 50,716,538 | $ | 54,932,658 | $ | — | $ | — | 8,628,607 | $ | 8,628,607 | $ | 79,095 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 12,844,727 | $ | 50,716,538 | $ | 54,932,658 | $ | — | $ | — | $ | 8,628,607 | $ | 79,095 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
32 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Portfolio Management Discussion and Analysis — September 30, 2017 (Unaudited)
Q. | How did the State Street Institutional Small-Cap Equity Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended September 30, 2017? |
A. | For the twelve-month period ended September 30, 2017, the State Street Institutional Small-Cap Equity Fund returned 19.65% for the Investment Class shares and 19.38% for the Service Class shares. The Fund’s benchmark, the Russell 2000 Index returned 20.74% and the Fund’s Morningstar peer group of 794 U.S. Small Blend funds returned an average of 18.91% over the same period. |
Q. | What market conditions impacted the Fund’s performance? |
A. | The rally in growth stocks dominated performance as higher beta securities and traditional growth segments of the market rallied significantly more than the value segments. This propelled the growth-oriented managers such as GlobeFlex Capital, L.P. and Champlain Investment Partners, LLC to generate significant returns |
Q. | What were the drivers behind Fund performance? |
A. | The asset allocation trumped individual security selection where the majority of high beta names rallied, so the higher beta and the more growth-oriented the security is, the better it did. Individual security fundamentals were not rewarded in this market. The strategy does use derivatives but only to equitize the residual cash in the account to prevent any performance disruption from large flows so there was no impact to the Fund. |
Q. | Were there any significant changes in the Fund during the period? |
A. | There were no changes to the underlying sub-advisors. During the most recent quarter, Mike Cervi left the portfolio management team to pursue an external opportunity. He was replaced by Dennis Santos, who had been working closely with Mike for the last 6-years and had been the primary trader on the strategy during that time. Dennis brings over 15 years of institutional investment experience to the team and has been performing due diligence on the underlying managers and assisting in the day-to-day management of the fund over the last 6 years. |
David Wiederecht remains portfolio manager along with Dennis, and has been in the role for 8 years. Dennis and Dave are further supported by the 10 person manager research team, and the 80-person Investment Solutions Group, which provides research and due diligence on investment managers as well as market and economic research to help with positioning the Fund. |
State Street Institutional Small-Cap Equity Fund | 33 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Performance Summary — September 30, 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.
Morningstar Performance Comparison
Based on average annual returns for periods ended September 30, 2017
One Year | Five Year | Ten Year | ||||||||||
Number of funds in peer group | 794 | 554 | 393 | |||||||||
Peer group average annual total return | 18.91 | % | 12.83 | % | 7.19 | % | ||||||
Morningstar Category in peer group: Small Blend |
|
Top Ten Largest Holdings
as of September 30, 2017 (as a % of Fair Value) (a)(b)
Blackbaud Inc. | 1.31 | % | ||
John Wiley & Sons Inc., Class A | 1.18 | % | ||
Actuant Corp., Class A | 1.04 | % | ||
Wolverine World Wide Inc. | 0.98 | % | ||
Darling Ingredients Inc. | 0.93 | % | ||
Ritchie Bros Auctioneers Inc. | 0.93 | % | ||
Qualys Inc. | 0.93 | % | ||
Integra LifeSciences Holdings Corp. | 0.92 | % | ||
Snyder’s-Lance Inc. | 0.92 | % | ||
Woodward Inc. | 0.89 | % |
Sector Allocation as of September 30, 2017
Portfolio composition as a % of Fair Value of $1,465,327 (in thousands) as of September 30, 2017 (a)(b)
Average Annual Total Return for the periods ended September 30, 2017
Investment Class Shares (Inception date: 8/3/98)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Small-Cap Equity Fund | 19.65 | % | 14.09 | % | 8.40 | % | $ | 22,411 | ||||||||
Russell 2000 Index | 20.74 | % | 13.79 | % | 7.85 | % | $ | 21,287 |
Service Class Shares (Inception date: 9/30/05)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Small-Cap Equity Fund | 19.38 | % | 13.82 | % | 8.14 | % | $ | 21,867 | ||||||||
Russell 2000 Index | 20.74 | % | 13.79 | % | 7.85 | % | $ | 21,287 |
34 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Performance Summary, continued — September 30, 2017 (Unaudited)
(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. |
See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
State Street Institutional Small-Cap Equity Fund | 35 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2017 | $ | 1,071.10 | $ | 1,020.70 | ||||
Expenses paid during the period* | $ | 4.57 | $ | 4.46 |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2017 | $ | 1,070.00 | $ | 1,019.40 | ||||
Expenses paid during the period* | $ | 5.86 | $ | 5.72 |
* | 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 April 1, 2017-September 30, 2017), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
36 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments — September 30, 2017
Number of Shares | Fair $ | |||||||
Common Stock - 94.6%† | ||||||||
Aerospace & Defense - 0.6% |
| |||||||
Teledyne Technologies Inc. (a) | 53,300 | 8,484,294 | ||||||
|
| |||||||
Agricultural & Farm Machinery - 0.6% |
| |||||||
AGCO Corp. (l) | 115,510 | 8,521,173 | ||||||
|
| |||||||
Agricultural Products - 0.9% |
| |||||||
Darling Ingredients Inc. (a) | 781,222 | 13,687,009 | ||||||
|
| |||||||
Air Freight & Logistics - 0.1% |
| |||||||
Hub Group Inc., Class A (a) | 19,782 | 849,637 | ||||||
|
| |||||||
Airlines - 0.0%* | ||||||||
Hawaiian Holdings Inc. (a) | 16,000 | 600,800 | ||||||
|
| |||||||
Alternative Carriers - 0.1% |
| |||||||
Vonage Holdings Corp. (a) | 95,311 | 775,831 | ||||||
|
| |||||||
Apparel Retail - 0.6% | ||||||||
American Eagle Outfitters Inc. | 31,092 | 444,616 | ||||||
Burlington Stores Inc. (a) | 35,355 | 3,374,988 | ||||||
Francesca’s Holdings Corp. (a) | 48,900 | 359,904 | ||||||
Genesco Inc. (a) | 45,828 | 1,219,025 | ||||||
The Buckle Inc. | 146,097 | 2,461,734 | ||||||
The Children’s Place Inc. | 9,100 | 1,075,165 | ||||||
|
| |||||||
8,935,432 | ||||||||
|
| |||||||
Apparel, Accessories & Luxury Goods - 0.3% |
| |||||||
G-III Apparel Group Ltd. (a) | 172,565 | 5,007,836 | ||||||
|
| |||||||
Application Software - 4.5% |
| |||||||
ACI Worldwide Inc. (a) | 359,966 | 8,200,026 | ||||||
Blackbaud Inc. | 218,708 | 19,202,562 | ||||||
Guidewire Software Inc. (a) | 133,500 | 10,394,310 | ||||||
Paylocity Holding Corp. (a) | 46,307 | 2,260,708 | ||||||
PTC Inc. (a) | 104,482 | 5,880,247 | ||||||
RealPage Inc. (a) | 275,676 | 10,999,472 | ||||||
SS&C Technologies Holdings Inc. | 190,994 | 7,668,409 | ||||||
Zix Corp. (a) | 202,600 | 990,714 | ||||||
|
| |||||||
65,596,448 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 0.7% |
| |||||||
Cohen & Steers Inc. | 30,345 | 1,198,324 | ||||||
Financial Engines Inc. | 250,000 | 8,687,500 | ||||||
OM Asset Management PLC | 59,639 | 889,814 | ||||||
|
| |||||||
10,775,638 | ||||||||
|
| |||||||
Auto Parts & Equipment - 1.4% |
| |||||||
American Axle & Manufacturing Holdings Inc. (a) | 46,020 | 809,032 |
Number of Shares | Fair $ | |||||||
Cooper-Standard Holdings Inc. (a) | 14,806 | 1,717,052 | ||||||
Gentherm Inc. (a) | 27,545 | 1,023,297 | ||||||
LCI Industries | 23,812 | 2,758,620 | ||||||
Standard Motor Products Inc. | 34,998 | 1,688,653 | ||||||
Stoneridge Inc. (a) | 77,431 | 1,533,908 | ||||||
Tenneco Inc. | 165,371 | 10,033,058 | ||||||
Tower International Inc. | 30,955 | 841,976 | ||||||
|
| |||||||
20,405,596 | ||||||||
|
| |||||||
Automobile Manufacturers - 0.8% |
| |||||||
Thor Industries Inc. | 74,002 | 9,317,592 | ||||||
Winnebago Industries Inc. | 39,582 | 1,771,294 | ||||||
|
| |||||||
11,088,886 | ||||||||
|
| |||||||
Automotive Retail - 1.2% |
| |||||||
America’s Car-Mart Inc. (a) | 35,248 | 1,449,574 | ||||||
Asbury Automotive Group Inc. (a) | 13,451 | 821,856 | ||||||
Group 1 Automotive Inc. | 65,975 | 4,780,549 | ||||||
Murphy USA Inc. (a) | 150,907 | 10,412,583 | ||||||
|
| |||||||
17,464,562 | ||||||||
|
| |||||||
Biotechnology - 0.6% |
| |||||||
MiMedx Group Inc. (a) | 53,700 | 637,956 | ||||||
Repligen Corp. (a) | 200,245 | 7,673,388 | ||||||
|
| |||||||
8,311,344 | ||||||||
|
| |||||||
Brewers - 0.5% |
| |||||||
Craft Brew Alliance Inc. (a) | 42,374 | 743,664 | ||||||
The Boston Beer Company Inc., Class A (a) | 39,500 | 6,169,900 | ||||||
|
| |||||||
6,913,564 | ||||||||
|
| |||||||
Building Products - 0.8% |
| |||||||
American Woodmark Corp. (a) | 16,828 | 1,619,695 | ||||||
Apogee Enterprises Inc. | 24,881 | 1,200,757 | ||||||
Builders FirstSource Inc. (a) | 125,867 | 2,264,347 | ||||||
Continental Building Products Inc. (a) | 23,764 | 617,864 | ||||||
Insteel Industries Inc. | 10,044 | 262,249 | ||||||
Masonite International Corp. (a) | 7,430 | 514,156 | ||||||
NCI Building Systems Inc. (a) | 52,543 | 819,671 | ||||||
Patrick Industries Inc. (a) | 6,900 | 580,290 | ||||||
Ply Gem Holdings Inc. (a) | 49,577 | 845,288 | ||||||
Trex Company Inc. (a) | 14,062 | 1,266,564 | ||||||
Universal Forest Products Inc. | 21,137 | 2,074,808 | ||||||
|
| |||||||
12,065,689 | ||||||||
|
| |||||||
Casinos & Gaming - 0.0%* |
| |||||||
Pinnacle Entertainment Inc. (a) | 29,522 | 629,114 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 37 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Commercial Printing - 0.3% |
| |||||||
Brady Corp., Class A | 80,500 | 3,054,975 | ||||||
Deluxe Corp. | 13,030 | 950,669 | ||||||
LSC Communications Inc. | 20,074 | 331,421 | ||||||
|
| |||||||
4,337,065 | ||||||||
|
| |||||||
Commodity Chemicals - 0.3% |
| |||||||
AdvanSix Inc. (a) | 36,724 | 1,459,779 | ||||||
Koppers Holdings Inc. (a) | 20,089 | 927,108 | ||||||
Trinseo S.A. | 21,522 | 1,444,126 | ||||||
|
| |||||||
3,831,013 | ||||||||
|
| |||||||
Communications Equipment - 0.2% |
| |||||||
ADTRAN Inc. | 52,851 | 1,268,424 | ||||||
Lumentum Holdings Inc. (a) | 18,003 | 978,463 | ||||||
|
| |||||||
2,246,887 | ||||||||
|
| |||||||
Construction & Engineering - 0.5% |
| |||||||
Aegion Corp. (a) | 100,262 | 2,334,100 | ||||||
Argan Inc. | 15,453 | 1,039,214 | ||||||
Dycom Industries Inc. (a) | 26,223 | 2,252,031 | ||||||
EMCOR Group Inc. | 13,100 | 908,878 | ||||||
MasTec Inc. (a) | 24,002 | 1,113,693 | ||||||
|
| |||||||
7,647,916 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks - 1.9% |
| |||||||
Alamo Group Inc. | 20,560 | 2,207,527 | ||||||
Astec Industries Inc. | 37,285 | 2,088,333 | ||||||
Federal Signal Corp. | 523,491 | 11,139,889 | ||||||
The Greenbrier Companies Inc. | 16,282 | 783,978 | ||||||
Trinity Industries Inc. | 331,556 | 10,576,636 | ||||||
Wabash National Corp. | 73,802 | 1,684,162 | ||||||
|
| |||||||
28,480,525 | ||||||||
|
| |||||||
Construction Materials - 0.1% |
| |||||||
Summit Materials Inc., Class A (a) | 40,736 | 1,304,774 | ||||||
|
| |||||||
Consumer Finance - 0.1% |
| |||||||
Enova International Inc. (a) | 89,791 | 1,207,689 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 1.9% |
| |||||||
Broadridge Financial Solutions Inc. | 105,212 | 8,503,234 | ||||||
Cardtronics PLC, Class A (a) | 15,700 | 361,257 | ||||||
Cass Information Systems Inc. | 8,958 | 568,296 | ||||||
CoreLogic Inc. (a) | 153,124 | 7,077,391 | ||||||
EVERTEC Inc. | 50,766 | 804,641 | ||||||
MAXIMUS Inc. | 14,360 | 926,220 | ||||||
Travelport Worldwide Ltd. | 65,007 | 1,020,610 | ||||||
WEX Inc. (a) | 77,800 | 8,730,716 | ||||||
|
| |||||||
27,992,365 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Distributors - 0.6% |
| |||||||
LKQ Corp. (a) | 256,618 | 9,235,682 | ||||||
|
| |||||||
Diversified Metals & Mining - 0.3% |
| |||||||
Compass Minerals International Inc. | 58,361 | 3,787,629 | ||||||
|
| |||||||
Diversified Real Estate Activities - 0.0%* |
| |||||||
The RMR Group Inc., Class A | 12,200 | 626,470 | ||||||
|
| |||||||
Diversified REITs - 0.1% |
| |||||||
American Assets Trust Inc. | 20,365 | 809,916 | ||||||
Gramercy Property Trust | 47,383 | 1,433,336 | ||||||
|
| |||||||
2,243,252 | ||||||||
|
| |||||||
Diversified Support Services - 1.7% |
| |||||||
Healthcare Services Group Inc. | 175,541 | 9,473,948 | ||||||
Ritchie Bros Auctioneers Inc. | 428,830 | 13,559,604 | ||||||
UniFirst Corp. | 7,688 | 1,164,732 | ||||||
Viad Corp. | 19,880 | 1,210,692 | ||||||
|
| |||||||
25,408,976 | ||||||||
|
| |||||||
Education Services - 0.6% |
| |||||||
Capella Education Co. | 12,200 | 855,830 | ||||||
Grand Canyon Education Inc. (a) | 10,700 | 971,774 | ||||||
K12 Inc. (a) | 373,618 | 6,665,345 | ||||||
|
| |||||||
8,492,949 | ||||||||
|
| |||||||
Electric Utilities - 1.0% |
| |||||||
ALLETE Inc. | 15,161 | 1,171,794 | ||||||
IDACORP Inc. | 133,772 | 11,762,572 | ||||||
PNM Resources Inc. | 28,407 | 1,144,802 | ||||||
Spark Energy Inc., Class A | 47,400 | 711,000 | ||||||
|
| |||||||
14,790,168 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.2% |
| |||||||
Atkore International Group Inc. (a) | 33,576 | 655,068 | ||||||
EnerSys | 14,205 | 982,560 | ||||||
Regal Beloit Corp. | 17,604 | 1,390,716 | ||||||
|
| |||||||
3,028,344 | ||||||||
|
| |||||||
Electronic Components - 0.8% |
| |||||||
Belden Inc. | 20,773 | 1,672,850 | ||||||
Littelfuse Inc. | 48,437 | 9,487,839 | ||||||
|
| |||||||
11,160,689 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 1.0% |
| |||||||
Coherent Inc. (a) | 8,100 | 1,904,877 | ||||||
Control4 Corp. (a) | 82,193 | 2,421,406 | ||||||
National Instruments Corp. | 52,601 | 2,218,184 |
See Notes to Schedules of Investments and Notes to Financial Statements.
38 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
VeriFone Systems Inc. (a) | 249,713 | 5,064,180 | ||||||
Zebra Technologies Corp., Class A (a) | 30,919 | 3,357,185 | ||||||
|
| |||||||
14,965,832 | ||||||||
|
| |||||||
Electronic Manufacturing Services - 0.3% |
| |||||||
Benchmark Electronics Inc. (a) | 14,723 | 502,791 | ||||||
KEMET Corp. (a) | 46,947 | 991,990 | ||||||
Methode Electronics Inc. | 18,358 | 777,461 | ||||||
Plexus Corp. (a) | 27,056 | 1,517,301 | ||||||
TTM Technologies Inc. (a) | 62,571 | 961,716 | ||||||
|
| |||||||
4,751,259 | ||||||||
|
| |||||||
Environmental & Facilities Services - 0.8% |
| |||||||
Clean Harbors Inc. (a) | 212,234 | 12,033,668 | ||||||
|
| |||||||
Food Distributors - 0.7% |
| |||||||
Performance Food Group Co. (a) | 138,748 | 3,919,631 | ||||||
SpartanNash Co. | 234,878 | 6,193,733 | ||||||
|
| |||||||
10,113,364 | ||||||||
|
| |||||||
Food Retail - 0.1% |
| |||||||
Casey’s General Stores Inc. | 8,753 | 958,016 | ||||||
|
| |||||||
Footwear - 1.5% | ||||||||
Deckers Outdoor Corp. (a) | 81,017 | 5,542,373 | ||||||
Skechers U.S.A. Inc., Class A (a) | 56,520 | 1,418,087 | ||||||
Wolverine World Wide Inc. | 499,016 | 14,396,611 | ||||||
|
| |||||||
21,357,071 | ||||||||
|
| |||||||
Forest Products - 0.1% |
| |||||||
Boise Cascade Co. (a) | 33,423 | 1,166,462 | ||||||
Louisiana-Pacific Corp. (a) | 37,034 | 1,002,881 | ||||||
|
| |||||||
2,169,343 | ||||||||
|
| |||||||
Gas Utilities - 0.1% |
| |||||||
South Jersey Industries Inc. | 27,551 | 951,336 | ||||||
|
| |||||||
General Merchandise Stores - 0.1% |
| |||||||
Big Lots Inc. | 18,308 | 980,760 | ||||||
|
| |||||||
Health Care REITs - 0.3% |
| |||||||
CareTrust REIT Inc. | 35,136 | 668,990 | ||||||
Omega Healthcare Investors Inc. | 119,096 | 3,800,353 | ||||||
|
| |||||||
4,469,343 | ||||||||
|
| |||||||
Healthcare Distributors - 0.1% |
| |||||||
Aceto Corp. | 112,500 | 1,263,375 | ||||||
Owens & Minor Inc. | 8,147 | 237,892 | ||||||
|
| |||||||
1,501,267 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Healthcare Equipment - 4.9% |
| |||||||
Cantel Medical Corp. | 52,500 | 4,943,925 | ||||||
Cardiovascular Systems Inc. (a) | 203,900 | 5,739,785 | ||||||
CONMED Corp. | 182,000 | 9,549,540 | ||||||
Heska Corp. (a) | 10,900 | 960,181 | ||||||
Hill-Rom Holdings Inc. | 152,575 | 11,290,550 | ||||||
Insulet Corp. (a) | 120,000 | 6,609,600 | ||||||
Integra LifeSciences Holdings Corp. (a) | 268,100 | 13,533,688 | ||||||
LeMaitre Vascular Inc. | 52,100 | 1,949,582 | ||||||
LivaNova PLC (a) | 11,116 | 778,787 | ||||||
Masimo Corp. (a) | 24,300 | 2,103,408 | ||||||
Natus Medical Inc. (a) | 12,099 | 453,712 | ||||||
NuVasive Inc. (a) | 166,000 | 9,206,360 | ||||||
Orthofix International N.V. (a) | 9,300 | 439,425 | ||||||
Penumbra Inc. (a) | 48,000 | 4,334,400 | ||||||
|
| |||||||
71,892,943 | ||||||||
|
| |||||||
Healthcare Facilities - 0.4% |
| |||||||
Acadia Healthcare Company Inc. (a)(l) | 73,448 | 3,507,877 | ||||||
HealthSouth Corp. | 15,832 | 733,813 | ||||||
Select Medical Holdings Corp. (a) | 61,701 | 1,184,659 | ||||||
|
| |||||||
5,426,349 | ||||||||
|
| |||||||
Healthcare Services - 1.7% |
| |||||||
Addus HomeCare Corp. (a) | 14,000 | 494,200 | ||||||
Almost Family Inc. (a)(l) | 12,500 | 671,250 | ||||||
AMN Healthcare Services Inc. (a) | 41,926 | 1,916,018 | ||||||
BioTelemetry Inc. (a) | 65,600 | 2,164,800 | ||||||
Diplomat Pharmacy Inc. (a) | 52,196 | 1,080,979 | ||||||
Envision Healthcare Corp. (a) | 203,598 | 9,151,730 | ||||||
LHC Group Inc. (a) | 13,800 | 978,696 | ||||||
MEDNAX Inc. (a) | 171,955 | 7,414,700 | ||||||
RadNet Inc. (a) | 90,800 | 1,048,740 | ||||||
|
| |||||||
24,921,113 | ||||||||
|
| |||||||
Healthcare Supplies - 0.8% |
| |||||||
Endologix Inc. (a) | 383,103 | 1,708,639 | ||||||
ICU Medical Inc. (a) | 41,500 | 7,712,775 | ||||||
Lantheus Holdings Inc. (a) | 62,900 | 1,119,620 | ||||||
Merit Medical Systems Inc. (a) | 28,763 | 1,218,113 | ||||||
|
| |||||||
11,759,147 | ||||||||
|
| |||||||
Healthcare Technology - 1.7% |
| |||||||
HMS Holdings Corp. (a) | 389,830 | 7,742,024 | ||||||
Medidata Solutions Inc. (a) | 111,000 | 8,664,660 | ||||||
Omnicell Inc. (a) | 163,500 | 8,346,675 | ||||||
|
| |||||||
24,753,359 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 39 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Home Building - 0.4% |
| |||||||
Installed Building Products Inc. (a) | 12,647 | 819,526 | ||||||
LGI Homes Inc. (a) | 19,897 | 966,397 | ||||||
Taylor Morrison Home Corp., Class A (a) | 40,194 | 886,278 | ||||||
TopBuild Corp. (a) | 43,377 | 2,826,879 | ||||||
|
| |||||||
5,499,080 | ||||||||
|
| |||||||
Home Furnishing Retail - 0.4% |
| |||||||
Aaron’s Inc. (l) | 128,245 | 5,595,329 | ||||||
Select Comfort Corp. (a) | 30,600 | 950,130 | ||||||
|
| |||||||
6,545,459 | ||||||||
|
| |||||||
Home Furnishings - 0.1% |
| |||||||
Tempur Sealy International Inc. (a) | 18,185 | 1,173,296 | ||||||
|
| |||||||
Hotel & Resort REITs - 0.4% |
| |||||||
Ashford Hospitality Trust Inc. | 69,249 | 461,891 | ||||||
Chatham Lodging Trust | 35,134 | 749,057 | ||||||
LaSalle Hotel Properties | 23,647 | 686,236 | ||||||
RLJ Lodging Trust | 208,919 | 4,596,218 | ||||||
|
| |||||||
6,493,402 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 0.3% |
| |||||||
ILG Inc. | 169,269 | 4,524,560 | ||||||
|
| |||||||
Household Appliances - 0.6% |
| |||||||
Helen of Troy Ltd. (a) | 90,474 | 8,766,931 | ||||||
|
| |||||||
Household Products - 0.0%* |
| |||||||
Energizer Holdings Inc. | 7,811 | 359,697 | ||||||
|
| |||||||
Housewares & Specialties - 0.0%* |
| |||||||
Tupperware Brands Corp. | 9,771 | 604,043 | ||||||
|
| |||||||
Human Resource & Employment Services - 0.2% |
| |||||||
Insperity Inc. | 14,255 | 1,254,440 | ||||||
Kforce Inc. | 34,900 | 704,980 | ||||||
TriNet Group Inc. (a) | 28,120 | 945,394 | ||||||
TrueBlue Inc. (a) | 31,444 | 705,918 | ||||||
|
| |||||||
3,610,732 | ||||||||
|
| |||||||
Industrial Machinery - 7.8% |
| |||||||
Actuant Corp., Class A (l) | 594,063 | 15,208,013 | ||||||
Altra Industrial Motion Corp. | 22,839 | 1,098,556 | ||||||
Barnes Group Inc. | 123,989 | 8,733,785 | ||||||
Crane Co. | 56,341 | 4,506,717 | ||||||
Franklin Electric Company Inc. | 26,181 | 1,174,218 | ||||||
John Bean Technologies Corp. | 51,200 | 5,176,320 | ||||||
Kennametal Inc. | 25,924 | 1,045,774 |
Number of Shares | Fair $ | |||||||
LB Foster Co., Class A (a) | 36,783 | 836,813 | ||||||
Luxfer Holdings PLC ADR | 129,694 | 1,614,690 | ||||||
Lydall Inc. (a) | 152,300 | 8,726,790 | ||||||
Mueller Industries Inc. | 168,785 | 5,899,036 | ||||||
Nordson Corp. | 34,244 | 4,057,914 | ||||||
Standex International Corp. | 86,500 | 9,186,300 | ||||||
The Gorman-Rupp Co. | 57,900 | 1,885,803 | ||||||
The Timken Co. | 210,844 | 10,236,476 | ||||||
TriMas Corp. (a) | 251,000 | 6,777,000 | ||||||
Watts Water Technologies Inc., Class A | 62,854 | 4,349,497 | ||||||
Welbilt Inc. (a) | 443,100 | 10,213,455 | ||||||
Woodward Inc. | 168,345 | 13,065,255 | ||||||
|
| |||||||
113,792,412 | ||||||||
|
| |||||||
Industrial REITs - 0.2% |
| |||||||
Rexford Industrial Realty Inc. | 52,259 | 1,495,653 | ||||||
STAG Industrial Inc. | 52,965 | 1,454,948 | ||||||
|
| |||||||
2,950,601 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.1% |
| |||||||
Nutrisystem Inc. | 17,500 | 978,250 | ||||||
|
| |||||||
Internet Software & Services - 3.0% |
| |||||||
Autobytel Inc. (a) | 63,200 | 435,448 | ||||||
Cornerstone OnDemand Inc. (a) | 213,468 | 8,668,935 | ||||||
LogMeIn Inc. | 95,800 | 10,542,790 | ||||||
New Relic Inc. (a) | 208,000 | 10,358,400 | ||||||
NIC Inc. | 385,393 | 6,609,490 | ||||||
Okta Inc. (a) | 64,500 | 1,819,545 | ||||||
Q2 Holdings Inc. (a) | 64,000 | 2,665,600 | ||||||
Stamps.com Inc. (a) | 4,900 | 992,985 | ||||||
The Meet Group Inc. (a) | 87,300 | 317,772 | ||||||
Web.com Group Inc. (a) | 46,900 | 1,172,500 | ||||||
|
| |||||||
43,583,465 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 1.4% |
| |||||||
Evercore Inc., Class A | 10,344 | 830,106 | ||||||
Greenhill & Company Inc. | 77,219 | 1,281,836 | ||||||
Houlihan Lokey Inc. | 36,736 | 1,437,480 | ||||||
Moelis & Co., Class A | 24,387 | 1,049,860 | ||||||
Piper Jaffray Cos. | 24,456 | 1,451,464 | ||||||
Raymond James Financial Inc. | 148,586 | 12,530,257 | ||||||
Stifel Financial Corp. | 34,618 | 1,850,678 | ||||||
|
| |||||||
20,431,681 | ||||||||
|
| |||||||
IT Consulting & Other Services - 0.2% |
| |||||||
Perficient Inc. (a) | 41,911 | 824,389 | ||||||
Science Applications International Corp. | 11,241 | 751,461 | ||||||
The Hackett Group Inc. | 48,900 | 742,791 |
See Notes to Schedules of Investments and Notes to Financial Statements.
40 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Virtusa Corp. (a) | 17,766 | 671,200 | ||||||
|
| |||||||
2,989,841 | ||||||||
|
| |||||||
Leisure Products - 1.0% |
| |||||||
Brunswick Corp. | 11,874 | 664,588 | ||||||
Malibu Boats Inc., Class A (a) | 25,900 | 819,476 | ||||||
MCBC Holdings Inc. (a) | 47,800 | 974,164 | ||||||
Nautilus Inc. (a) | 42,560 | 719,264 | ||||||
Polaris Industries Inc. | 103,886 | 10,869,592 | ||||||
|
| |||||||
14,047,084 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 2.0% |
| |||||||
Bruker Corp. | 175,570 | 5,223,207 | ||||||
Cambrex Corp. (a) | 28,776 | 1,582,680 | ||||||
Charles River Laboratories International Inc. (a) | 11,914 | 1,286,950 | ||||||
ICON PLC (a) | 79,311 | 9,031,937 | ||||||
INC Research Holdings Inc., Class A (a) | 206,176 | 10,783,005 | ||||||
PAREXEL International Corp. (a) | 4,820 | 424,546 | ||||||
PRA Health Sciences Inc. (a) | 16,300 | 1,241,571 | ||||||
|
| |||||||
29,573,896 | ||||||||
|
| |||||||
Managed Healthcare - 1.0% |
| |||||||
Centene Corp. (a) | 100,605 | 9,735,546 | ||||||
Magellan Health Inc. (a) | 20,854 | 1,799,700 | ||||||
Molina Healthcare Inc. (a) | 41,835 | 2,876,575 | ||||||
|
| |||||||
14,411,821 | ||||||||
|
| |||||||
Marine - 0.0%* |
| |||||||
Kirby Corp. (a) | 10,746 | 708,699 | ||||||
|
| |||||||
Multi-Line Insurance - 0.3% |
| |||||||
Horace Mann Educators Corp. (l) | 79,050 | 3,110,617 | ||||||
National General Holdings Corp. | 39,000 | 745,290 | ||||||
|
| |||||||
3,855,907 | ||||||||
|
| |||||||
Multi-Utilities - 0.1% |
| |||||||
Black Hills Corp. | 19,850 | 1,367,069 | ||||||
|
| |||||||
Office REITs - 0.7% |
| |||||||
Brandywine Realty Trust | 83,243 | 1,455,920 | ||||||
Corporate Office Properties Trust | 23,110 | 758,701 | ||||||
Cousins Properties Inc. | 873,314 | 8,156,753 | ||||||
|
| |||||||
10,371,374 | ||||||||
|
| |||||||
Office Services & Supplies - 0.6% |
| |||||||
Herman Miller Inc. | 28,000 | 1,005,200 | ||||||
HNI Corp. | 20,000 | 829,400 | ||||||
Knoll Inc. | 33,503 | 670,060 | ||||||
MSA Safety Inc. | 47,500 | 3,776,725 |
Number of Shares | Fair $ | |||||||
Steelcase Inc., Class A | 51,889 | 799,091 | ||||||
West Corp. | 97,579 | 2,290,179 | ||||||
|
| |||||||
9,370,655 | ||||||||
|
| |||||||
Oil & Gas Drilling - 0.1% |
| |||||||
Nabors Industries Ltd. | 112,375 | 906,866 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 0.8% |
| |||||||
C&J Energy Services Inc. (a) | 21,775 | 652,597 | ||||||
Dril-Quip Inc. (a) | 42,475 | 1,875,271 | ||||||
Forum Energy Technologies Inc. (a) | 191,148 | 3,039,253 | ||||||
Natural Gas Services Group Inc. (a) | 32,126 | 912,378 | ||||||
Oil States International Inc. (a) | 229,897 | 5,827,889 | ||||||
|
| |||||||
12,307,388 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production - 1.5% |
| |||||||
Callon Petroleum Co. (a) | 152,701 | 1,716,359 | ||||||
Carrizo Oil & Gas Inc. (a) | 161,264 | 2,762,452 | ||||||
Newfield Exploration Co. (a) | 346,322 | 10,275,374 | ||||||
Rice Energy Inc. (a) | 27,573 | 797,963 | ||||||
Ring Energy Inc. (a) | 94,935 | 1,375,608 | ||||||
SM Energy Co. | 265,794 | 4,715,186 | ||||||
|
| |||||||
21,642,942 | ||||||||
|
| |||||||
Packaged Foods & Meats - 3.3% |
| |||||||
Amplify Snack Brands Inc. (a) | 251,500 | 1,783,135 | ||||||
B&G Foods Inc. | 225,000 | 7,166,250 | ||||||
Cal-Maine Foods Inc. (a) | 25,196 | 1,035,555 | ||||||
J&J Snack Foods Corp. | 17,500 | 2,297,750 | ||||||
Sanderson Farms Inc. | 68,896 | 11,128,082 | ||||||
Snyder’s-Lance Inc. | 352,500 | 13,444,350 | ||||||
TreeHouse Foods Inc. (a) | 163,500 | 11,073,855 | ||||||
|
| |||||||
47,928,977 | ||||||||
|
| |||||||
Paper Packaging - 0.4% |
| |||||||
Packaging Corporation of America | 48,959 | 5,614,618 | ||||||
|
| |||||||
Paper Products - 0.1% |
| |||||||
Neenah Paper Inc. | 18,654 | 1,595,850 | ||||||
|
| |||||||
Personal Products - 0.5% |
| |||||||
elf Beauty Inc. (a) | 270,500 | 6,099,775 | ||||||
USANA Health Sciences Inc. (a) | 12,486 | 720,442 | ||||||
|
| |||||||
6,820,217 | ||||||||
|
| |||||||
Pharmaceuticals - 1.8% |
| |||||||
ANI Pharmaceuticals Inc. (a) | 23,700 | 1,244,013 | ||||||
Catalent Inc. (a) | 167,350 | 6,680,612 | ||||||
Corcept Therapeutics Inc. (a) | 143,337 | 2,766,404 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 41 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Depomed Inc. (a) | 34,800 | 201,492 | ||||||
Horizon Pharma PLC (a) | 30,900 | 391,812 | ||||||
Innoviva Inc. (a) | 59,400 | 838,728 | ||||||
Phibro Animal Health Corp., Class A | 36,292 | 1,344,619 | ||||||
Prestige Brands Holdings Inc. (a) | 137,966 | 6,910,717 | ||||||
Sucampo Pharmaceuticals Inc., Class A (a) | 64,100 | 756,380 | ||||||
Supernus Pharmaceuticals Inc. (a) | 138,000 | 5,520,000 | ||||||
|
| |||||||
26,654,777 | ||||||||
|
| |||||||
Property & Casualty Insurance - 1.8% |
| |||||||
AMERISAFE Inc. | 87,155 | 5,072,421 | ||||||
Argo Group International Holdings Ltd. | 157,373 | 9,678,440 | ||||||
Atlas Financial Holdings Inc. (a) | 20,000 | 378,000 | ||||||
RLI Corp. | 63,167 | 3,623,259 | ||||||
The Navigators Group Inc. | 136,500 | 7,964,775 | ||||||
Universal Insurance Holdings Inc. | 14,446 | 332,258 | ||||||
|
| |||||||
27,049,153 | ||||||||
|
| |||||||
Publishing - 1.2% |
| |||||||
John Wiley & Sons Inc., Class A | 324,161 | 17,342,613 | ||||||
|
| |||||||
Railroads - 0.6% |
| |||||||
Genesee & Wyoming Inc., Class A (a) | 112,570 | 8,331,306 | ||||||
|
| |||||||
Regional Banks - 9.0% |
| |||||||
1st Source Corp. | 19,444 | 987,755 | ||||||
BankUnited Inc. | 11,074 | 393,902 | ||||||
Banner Corp. | 12,680 | 777,030 | ||||||
Bryn Mawr Bank Corp. | 100,500 | 4,401,900 | ||||||
Camden National Corp. | 22,443 | 979,413 | ||||||
Chemical Financial Corp. | 29,407 | 1,536,810 | ||||||
Columbia Banking System Inc. | 23,986 | 1,010,051 | ||||||
Community Bank System Inc. | 83,400 | 4,607,850 | ||||||
Cullen/Frost Bankers Inc. | 56,376 | 5,351,210 | ||||||
CVB Financial Corp. | 267,000 | 6,453,390 | ||||||
Enterprise Financial Services Corp. | 26,224 | 1,110,586 | ||||||
Equity Bancshares Inc., Class A (a) | 10,487 | 373,128 | ||||||
FCB Financial Holdings Inc., Class A (a) | 15,040 | 726,432 | ||||||
First Financial Bancorp. | 14,045 | 367,277 | ||||||
First Financial Bankshares Inc. | 85,500 | 3,864,600 |
Number of Shares | Fair $ | |||||||
First Interstate BancSystem Inc., Class A | 13,809 | 528,194 | ||||||
Fulton Financial Corp. | 389,315 | 7,299,656 | ||||||
German American Bancorp Inc. | 100,000 | 3,803,000 | ||||||
Great Southern Bancorp Inc. | 18,563 | 1,033,031 | ||||||
Home BancShares Inc. | 63,406 | 1,599,099 | ||||||
Hope Bancorp Inc. | 39,702 | 703,122 | ||||||
IBERIABANK Corp. | 90,609 | 7,443,529 | ||||||
Independent Bank Corp. | 73,000 | 5,449,450 | ||||||
Lakeland Financial Corp. | 12,800 | 623,616 | ||||||
LegacyTexas Financial Group Inc. | 48,883 | 1,951,409 | ||||||
Pinnacle Financial Partners Inc. | 22,793 | 1,525,991 | ||||||
Prosperity Bancshares Inc. | 161,884 | 10,640,635 | ||||||
Renasant Corp. | 255,940 | 10,979,826 | ||||||
South State Corp. | 7,490 | 674,475 | ||||||
Southwest Bancorp Inc. | 33,021 | 909,729 | ||||||
Stock Yards Bancorp Inc. | 86,700 | 3,294,600 | ||||||
SVB Financial Group (a) | 46,156 | 8,635,326 | ||||||
Texas Capital Bancshares Inc. (a) | 19,182 | 1,645,816 | ||||||
UMB Financial Corp. | 93,700 | 6,979,713 | ||||||
Umpqua Holdings Corp. | 79,158 | 1,544,373 | ||||||
Union Bankshares Corp. | 22,700 | 801,310 | ||||||
United Community Banks Inc. | 27,246 | 777,601 | ||||||
Washington Trust Bancorp Inc. | 93,000 | 5,324,250 | ||||||
Westamerica Bancorporation | 87,422 | 5,205,106 | ||||||
Western Alliance Bancorp (a) | 150,046 | 7,964,442 | ||||||
Wintrust Financial Corp. | 25,598 | 2,004,579 | ||||||
|
| |||||||
132,283,212 | ||||||||
|
| |||||||
Reinsurance - 0.0%* |
| |||||||
Maiden Holdings Ltd. | 65,076 | 517,354 | ||||||
|
| |||||||
Research & Consulting Services - 0.3% |
| |||||||
Huron Consulting Group Inc. (a) | 7,600 | 260,680 | ||||||
Resources Connection Inc. | 292,754 | 4,069,281 | ||||||
|
| |||||||
4,329,961 | ||||||||
|
| |||||||
Residential REITs - 0.6% |
| |||||||
Education Realty Trust Inc. | 208,352 | 7,486,088 | ||||||
Starwood Waypoint Homes | 20,879 | 759,369 | ||||||
|
| |||||||
8,245,457 | ||||||||
|
| |||||||
Restaurants - 1.4% |
| |||||||
BJ’s Restaurants Inc. (a) | 21,000 | 639,450 | ||||||
Brinker International Inc. | 23,217 | 739,694 | ||||||
Buffalo Wild Wings Inc. (a) | 42,185 | 4,458,955 | ||||||
Cracker Barrel Old Country Store Inc. | 20,783 | 3,151,118 |
See Notes to Schedules of Investments and Notes to Financial Statements.
42 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Dave & Buster’s Entertainment Inc. (a) | 13,700 | 718,976 | ||||||
El Pollo Loco Holdings Inc. (a) | 158,500 | 1,925,775 | ||||||
Red Robin Gourmet Burgers Inc. (a) | 4,944 | 331,248 | ||||||
Ruth’s Hospitality Group Inc. | 67,912 | 1,422,756 | ||||||
Texas Roadhouse Inc. | 95,335 | 4,684,762 | ||||||
The Cheesecake Factory Inc. | 45,299 | 1,907,994 | ||||||
|
| |||||||
19,980,728 | ||||||||
|
| |||||||
Retail REITs - 0.0%* |
| |||||||
Retail Opportunity Investments Corp. | 37,384 | 710,670 | ||||||
|
| |||||||
Security & Alarm Services - 0.8% |
| |||||||
The Brink’s Co. | 142,669 | 12,019,863 | ||||||
|
| |||||||
Semiconductor Equipment - 0.6% |
| |||||||
Advanced Energy Industries Inc. (a) | 19,100 | 1,542,516 | ||||||
Amkor Technology Inc. (a) | 87,300 | 921,015 | ||||||
Brooks Automation Inc. | 40,147 | 1,218,863 | ||||||
Ichor Holdings Ltd. (a) | 23,400 | 627,120 | ||||||
Rudolph Technologies Inc. (a) | 120,001 | 3,156,026 | ||||||
Ultra Clean Holdings Inc. (a) | 42,200 | 1,292,164 | ||||||
Versum Materials Inc. | 18,895 | 733,504 | ||||||
|
| |||||||
9,491,208 | ||||||||
|
| |||||||
Semiconductors - 1.0% |
| |||||||
Cirrus Logic Inc. (a) | 14,500 | 773,140 | ||||||
Microsemi Corp. (a) | 119,868 | 6,170,805 | ||||||
Semtech Corp. (a) | 187,491 | 7,040,287 | ||||||
|
| |||||||
13,984,232 | ||||||||
|
| |||||||
Specialized REITs - 0.4% |
| |||||||
CoreSite Realty Corp. | 36,423 | 4,075,734 | ||||||
Potlatch Corp. | 31,987 | 1,631,337 | ||||||
|
| |||||||
5,707,071 | ||||||||
|
| |||||||
Specialty Chemicals - 2.9% |
| |||||||
Ferro Corp. (a) | 51,466 | 1,147,692 | ||||||
HB Fuller Co. | 224,617 | 13,041,263 | ||||||
Innospec Inc. | 88,000 | 5,425,200 | ||||||
KMG Chemicals Inc. | 30,082 | 1,650,900 | ||||||
PolyOne Corp. | 203,528 | 8,147,226 | ||||||
Quaker Chemical Corp. | 57,201 | 8,462,888 | ||||||
Sensient Technologies Corp. | 65,116 | 5,008,722 | ||||||
|
| |||||||
42,883,891 | ||||||||
|
| |||||||
Specialty Stores - 0.1% |
| |||||||
Hibbett Sports Inc. (a) | 88,000 | 1,254,000 | ||||||
|
| |||||||
Steel - 0.4% | ||||||||
Carpenter Technology Corp. | 1,558 | 74,831 |
Number of Shares | Fair $ | |||||||
Commercial Metals Co. | 224,541 | 4,273,015 | ||||||
Ryerson Holding Corp. (a) | 93,390 | 1,013,281 | ||||||
Worthington Industries Inc. | 21,271 | 978,466 | ||||||
|
| |||||||
6,339,593 | ||||||||
|
| |||||||
Systems Software - 2.2% |
| |||||||
Barracuda Networks Inc. (a) | 30,711 | 744,127 | ||||||
CommVault Systems Inc. (a) | 153,500 | 9,332,800 | ||||||
Gigamon Inc. (a) | 111,000 | 4,678,650 | ||||||
Progress Software Corp. | 26,600 | 1,015,322 | ||||||
Qualys Inc. (a) | 261,500 | 13,545,700 | ||||||
Talend S.A. ADR (a) | 63,000 | 2,579,220 | ||||||
|
| |||||||
31,895,819 | ||||||||
|
| |||||||
Technology Distributors - 0.3% |
| |||||||
ePlus Inc. (a) | 11,200 | 1,035,440 | ||||||
Insight Enterprises Inc. (a) | 10,555 | 484,686 | ||||||
ScanSource Inc. (a) | 14,514 | 633,536 | ||||||
SYNNEX Corp. | 9,504 | 1,202,351 | ||||||
Tech Data Corp. (a) | 15,300 | 1,359,405 | ||||||
|
| |||||||
4,715,418 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 1.0% |
| |||||||
Diebold Nixdorf Inc. | 502,328 | 11,478,195 | ||||||
Pure Storage Inc., Class A (a) | 160,000 | 2,558,400 | ||||||
|
| |||||||
14,036,595 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.2% |
| |||||||
Dime Community Bancshares Inc. | 17,799 | 382,679 | ||||||
Essent Group Ltd. (a) | 27,950 | 1,131,975 | ||||||
HomeStreet Inc. (a) | 38,185 | 1,030,995 | ||||||
Washington Federal Inc. | 23,996 | 807,465 | ||||||
|
| |||||||
3,353,114 | ||||||||
|
| |||||||
Tires & Rubber - 0.1% |
| |||||||
Cooper Tire & Rubber Co. | 32,420 | 1,212,508 | ||||||
|
| |||||||
Trading Companies & Distributors - 0.8% |
| |||||||
Applied Industrial Technologies Inc. | 148,650 | 9,781,170 | ||||||
BMC Stock Holdings Inc. (a) | 42,900 | 915,915 | ||||||
GMS Inc. (a) | 26,064 | 922,666 | ||||||
|
| |||||||
11,619,751 | ||||||||
|
| |||||||
Trucking - 0.7% |
| |||||||
Marten Transport Ltd. | 18,718 | 384,655 | ||||||
Old Dominion Freight Line Inc. | 75,254 | 8,286,218 | ||||||
Saia Inc. (a) | 31,703 | 1,986,193 | ||||||
|
| |||||||
10,657,066 | ||||||||
|
| |||||||
Water Utilities - 0.0%* |
| |||||||
SJW Group | 10,972 | 621,015 | ||||||
|
| |||||||
Total Common Stock (Cost $1,016,838,747) | 1,387,002,604 | |||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 43 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Short-Term Investments - 5.3% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.96% | 78,324,730 | 78,324,730 | ||||||
|
| |||||||
Total Investments (Cost $1,095,163,477) | 1,465,327,334 | |||||||
Other Assets and Liabilities, net - 0.1% | 1,063,506 | |||||||
|
| |||||||
NET ASSETS - 100.0% | 1,466,390,840 | |||||||
|
|
Other Information:
The Fund had the following long futures contracts open at September 30, 2017:
Description | Expiration date | Number of Contracts | Notional Amount | Current Notional Value | Unrealized Appreciation | |||||||||||||||
E-mini Russell 2000 Index Futures | December 2017 | 202 | $ | 14,170,302 | $ | 15,078,290 | $ | 907,988 | ||||||||||||
|
|
During the period ended September 30, 2017, average notional value related to futures contracts was $23,348,161 or 2% of net assets.
The following tables present the Fund’s investments measured at fair value on a recurring basis at September 30, 2017:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Investments in Securities | ||||||||||||||||||
Common Stock | $ | 1,387,002,604 | $ | — | $ | — | $ | 1,387,002,604 | ||||||||||
Short-Term Investments | 78,324,730 | — | — | 78,324,730 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 1,465,327,334 | $ | — | $ | — | $ | 1,465,327,334 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 907,988 | $ | — | $ | — | $ | 907,988 | ||||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/17 | Value at 9/30/17 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 68,288,206 | $ | 68,288,206 | $ | 393,964,299 | $ | 383,927,775 | $ | — | $ | — | 78,324,730 | $ | 78,324,730 | $ | 496,220 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 68,288,206 | $ | 393,964,299 | $ | 383,927,775 | $ | — | $ | — | $ | 78,324,730 | $ | 496,220 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
44 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Portfolio Management Discussion and Analysis — September 30, 2017 (Unaudited)
Q. | How did the State Street Institutional International Equity Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended September 30, 2017? |
A. | For the twelve-month period ended September 30, 2017, the State Street Institutional International Equity Fund returned 15.58% for the Investment Class shares and 15.33% for the Service Class shares. The Fund’s benchmark, the MSCI EAFE Index returned 19.10% and the Fund’s Morningstar peer group of 736 Foreign Large Blend funds returned an average of 18.01% over the same period. |
Q. | What market conditions impacted the Fund’s performance? |
A. | International market performance was strong during the 12-month period through September 30, 2017. The MSCI EAFE Index was up more than 19% in U.S. dollar terms. Despite being relatively volatile, currency had almost no impact, as dollar strength in the fourth quarter of 2016 gave way to dollar weakness in the first 9 months of 2017. Stock leadership was similarly divided. The end of 2016 saw leadership from value and cyclical stocks such as financials and energy post the U.S. presidential election. The market remained strong in 2017, but the leadership shifted back to growth, as Investment Technology led throughout the year. For the full year, six of eleven sectors delivered returns above 20%, led by financials and Investment Technology. Lagging were the defensive sectors — telecom, consumer staples, healthcare — which, nevertheless, delivered positive returns. |
Many investors were surprised by this year’s market strength as a combination of elevated valuations and a list of potential macro risks weighed on sentiment. As the year progressed, however, a reasonably healthy global economic backdrop supported solid earnings growth leaving valuations about where they started despite the healthy returns. Meanwhile, elections in Europe including in France, the Netherlands, and Germany all returned relatively centrist candidates to power diffusing fears of populist backlashes. China, which has been a cause of periodic market panic in recent years, delivered solid steady growth this year as it prepared for its 19th party congress. And more significant tail risks such as a global trade war or North Korean aggression remained abstract enough to not curb the enthusiasm. |
Q. | What were the drivers behind Fund performance? |
A. | The Fund underperformed the MSCI EAFE Index during the one-year period through September 30, 2017. The largest contributor to the underperformance was the energy sector and two Canadian oil and gas holdings in particular: Seven Generations Energy and Cenovus Energy. These companies were impacted by a combination of macro and stock-specific forces. On the macro side there was a combination of softening oil prices and the fears that Trump-led protectionism could restrict Canadian imports. Specific to Cenovus, the stock was punished after an acquisition of additional assets increased its debt level. Cenovus has pledged to sell other assets to reduce the debt, and the stock has shown signs of recovery as it has begun to execute on this commitment. In the case of Seven Generations, while a high volume producer, they have experienced some short-term production issues. |
In the healthcare sector, a holding that negatively impacted returns was Shire Pharmaceutical. Shire specializes in drugs for rare or orphan diseases, which are attractive based on their potential for extended patent protection. It has been impacted by competition concerns in its hemophilia franchise. |
On the positive side, the Fund has done well in technology. This is a result of a significant overweight in one of the top performing sectors this year, and strong performance from some Fund holdings. These include ASML, a Dutch supplier of systems for the semiconductor industry; Keyence, a Japanese technology company involved in automation and high-precision measuring; and Samsung. |
Derivatives did not have any material impact on Fund performance. |
Q. | Were there any significant changes in the Fund during the period? |
A. | Effective May 1, 2017, we transitioned Portfolio Manager responsibilities for the Fund. Ralph Layman, who had served in his capacity as a Portfolio Manager for 25 years, moved on within the firm. This move has allowed Ralph, who is an SSGA Vice Chairman, to focus his efforts in a more strategic capacity. Ralph has been a great leader for the team and has continued to be involved as a mentor and thought leader. |
State Street Institutional International Equity Fund | 45 |
Table of Contents
State Street Institutional International Equity Fund
Portfolio Management Discussion and Analysis, continued — September 30, 2017 (Unaudited)
Michael Solecki, who had managed the strategy with Ralph for over 20 years, continued as Portfolio Manager. With Ralph’s transition, Makoto Sumino took on Portfolio Manager responsibilities for International Equity in partnership with Mike. Makoto is an experienced Portfolio Manager, who has been with the team for more than 20 years. During his tenure, Makoto has also been a Portfolio Manager for Japan and EAFE equity strategies, the Director of Research, and a technology sector research analyst. He has an MBA from the University of Chicago and is a holder of the Chartered Financial Analyst designation. |
With this succession, we have great capabilities in place for the State Street Institutional International Equity Fund. Our commitment to the Fund and delivering investment excellence does not change. |
Despite the change in leadership, our approach to investing remains the same. We continue to look for quality companies that are undervalued relative to their growth potential. Turnover has remained relatively low in keeping with our long-term investment horizon, but did result in some changes in positioning. Regionally, the Fund’s weight in Continental Europe increased, while the weight in emerging markets and Canada decreased. The Fund remained underweight in the United Kingdom and Asia, excluding Japan (includes Australia, New Zealand, Hong Kong, and Singapore), relative to the benchmark and Japan remained a modest overweight. |
Information technology was the largest sector overweight. Consumer staples remained the largest underweight. Financials grew as percent of holdings but remain underweight. |
46 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Performance Summary — September 30, 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.
Morningstar Performance Comparison
Based on average annual returns for periods ended September 30, 2017
One Year | Five Year | Ten Year | ||||||||||
Number of funds in peer group | 736 | 533 | 344 | |||||||||
Peer group average annual total return | 18.01 | % | 7.74 | % | 1.22 | % | ||||||
Morningstar Category in peer group: Foreign Large Blend |
|
Top Ten Largest Holdings
as of September 30, 2017 (as a % of Fair Value) (a)(b)
Nestle S.A. | 3.20 | % | ||
Roche Holding AG | 2.59 | % | ||
ASML Holding N.V. | 2.34 | % | ||
Bayer AG | 2.32 | % | ||
BNP Paribas S.A. | 2.31 | % | ||
Anheuser-Busch InBev S.A. | 2.15 | % | ||
Mitsubishi UFJ Financial Group Inc. | 2.13 | % | ||
Nidec Corp. | 2.09 | % | ||
AIA Group Ltd. | 1.94 | % | ||
Valeo S.A. | 1.90 | % |
Regional Allocation as of September 30, 2017
Portfolio composition as a % of Fair Value of $1,299,804 (in thousands) as of September 30, 2017 (a)(b)
Average Annual Total Return for the periods ended September 30, 2017
Investment Class Shares (Inception date: 11/25/97)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional International Equity Fund | 15.58 | % | 6.77 | % | 0.05 | % | $ | 10,054 | ||||||||
MSCI EAFE Index | 19.10 | % | 8.38 | % | 1.34 | % | $ | 11,424 |
Service Class Shares (Inception date: 1/3/01)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional International Equity Fund | 15.33 | % | 6.50 | % | -0.20 | % | $ | 9,802 | ||||||||
MSCI EAFE Index | 19.10 | % | 8.38 | % | 1.34 | % | $ | 11,424 |
State Street Institutional International Equity Fund | 47 |
Table of Contents
State Street Institutional International Equity Fund
Performance Summary, continued — September 30, 2017 (Unaudited)
(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. |
See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
48 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2017 | $ | 1,111.80 | $ | 1,022.20 | ||||
Expenses paid during the period* | $ | 3.02 | $ | 2.89 |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2017 | $ | 1,110.70 | $ | 1,021.00 | ||||
Expenses paid during the period* | $ | 4.34 | $ | 4.15 |
* | 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 April 1, 2017-September 30, 2017), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
State Street Institutional International Equity Fund | 49 |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments — September 30, 2017
Number of Shares | Fair $ | |||||||
Common Stock - 94.9%† | ||||||||
Australia - 0.7% |
| |||||||
Suncorp Group Ltd. | 810,078 | 8,294,939 | ||||||
|
| |||||||
Belgium - 2.1% |
| |||||||
Anheuser-Busch InBev S.A. | 221,253 | 26,496,551 | ||||||
|
| |||||||
Canada - 2.3% |
| |||||||
Brookfield Asset Management Inc., Class A (l) | 150,409 | 6,196,035 | ||||||
Cenovus Energy Inc. | 802,898 | 8,031,227 | ||||||
Seven Generations Energy Ltd., Class A (a) | 891,893 | 14,077,454 | ||||||
|
| |||||||
28,304,716 | ||||||||
|
| |||||||
China - 1.2% |
| |||||||
NetEase Inc. ADR | 53,872 | 14,211,972 | ||||||
|
| |||||||
France - 12.0% |
| |||||||
Airbus SE | 177,126 | 16,837,713 | ||||||
AXA S.A. | 629,649 | 19,048,445 | ||||||
BNP Paribas S.A. | 352,996 | 28,481,520 | ||||||
Sanofi | 171,850 | 17,067,553 | ||||||
Schneider Electric SE (a) | 257,074 | 22,377,094 | ||||||
Valeo S.A. | 315,753 | 23,434,707 | ||||||
Vivendi S.A. | 836,002 | 21,169,837 | ||||||
|
| |||||||
148,416,869 | ||||||||
|
| |||||||
Germany - 11.5% |
| |||||||
Bayer AG | 209,027 | 28,491,967 | ||||||
Fresenius SE & Company KGaA | 148,491 | 11,981,012 | ||||||
HeidelbergCement AG | 173,833 | 17,872,793 | ||||||
Infineon Technologies AG (l) | 726,665 | 18,272,268 | ||||||
KION Group AG | 190,438 | 18,229,237 | ||||||
SAP SE | 186,557 | 20,442,554 | ||||||
Wacker Chemie AG (l) | 94,511 | 13,552,952 | ||||||
Zalando SE (a) | 263,817 | 13,223,894 | ||||||
|
| |||||||
142,066,677 | ||||||||
|
| |||||||
Hong Kong - 1.9% |
| |||||||
AIA Group Ltd. | 3,237,402 | 23,874,218 | ||||||
|
| |||||||
India - 2.4% |
| |||||||
ICICI Bank Ltd. | 3,396,915 | 14,384,365 | ||||||
Power Grid Corporation of India Ltd. | 4,635,223 | 14,972,934 | ||||||
|
| |||||||
29,357,299 | ||||||||
|
| |||||||
Ireland - 1.4% |
| |||||||
Kerry Group PLC, Class A | 179,208 | 17,222,066 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Italy - 1.8% |
| |||||||
Intesa Sanpaolo S.p.A. | 6,346,350 | 22,447,932 | ||||||
|
| |||||||
Japan - 24.5% | ||||||||
Daikin Industries Ltd. | 219,300 | 22,199,827 | ||||||
FANUC Corp. | 114,049 | 23,090,452 | ||||||
Kao Corp. | 325,700 | 19,154,568 | ||||||
Keyence Corp. | 34,400 | 18,259,672 | ||||||
Komatsu Ltd. | 817,000 | 23,232,950 | ||||||
Mitsubishi Estate Company Ltd. | 737,924 | 12,825,908 | ||||||
Mitsubishi UFJ Financial Group Inc. | 4,045,700 | 26,262,097 | ||||||
Mitsui Fudosan Company Ltd. | 768,925 | 16,667,499 | ||||||
Murata Manufacturing Company Ltd. | 122,479 | 17,996,736 | ||||||
Nidec Corp. | 209,974 | 25,779,245 | ||||||
Secom Company Ltd. | 224,800 | 16,379,955 | ||||||
Sekisui House Ltd. | 1,090,800 | 18,377,846 | ||||||
Shimano Inc. | 105,800 | 14,089,122 | ||||||
SoftBank Group Corp. | 283,301 | 22,862,402 | ||||||
Subaru Corp. | 413,700 | 14,921,352 | ||||||
Tokio Marine Holdings Inc. | 239,646 | 9,371,667 | ||||||
|
| |||||||
301,471,298 | ||||||||
|
| |||||||
Netherlands - 5.4% |
| |||||||
ASML Holding N.V. | 169,044 | 28,787,487 | ||||||
ING Groep N.V. | 1,065,376 | 19,647,995 | ||||||
NXP Semiconductors N.V. (a) | 154,815 | 17,508,028 | ||||||
|
| |||||||
65,943,510 | ||||||||
|
| |||||||
Norway - 1.7% |
| |||||||
Statoil ASA | 1,073,061 | 21,473,891 | ||||||
|
| |||||||
Portugal - 1.1% |
| |||||||
Galp Energia SGPS S.A. (l) | 750,256 | 13,299,848 | ||||||
|
| |||||||
South Africa - 1.3% |
| |||||||
Naspers Ltd., Class N | 75,327 | 16,289,934 | ||||||
Novus Holdings Ltd. | 27,184 | 13,147 | ||||||
|
| |||||||
16,303,081 | ||||||||
|
| |||||||
South Korea - 0.6% |
| |||||||
Samsung Electronics Company Ltd. | 3,425 | 7,667,263 | ||||||
|
| |||||||
Spain - 1.2% |
| |||||||
Banco Bilbao Vizcaya Argentaria S.A. | 1,634,558 | 14,610,676 | ||||||
|
| |||||||
Sweden - 3.2% |
| |||||||
Assa Abloy AB, Class B | 1,001,397 | 22,819,389 |
See Notes to Schedules of Investments and Notes to Financial Statements.
50 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments, continued — September 30, 2017
Number of Shares | Fair $ | |||||||
Hexagon AB, Class B | 328,479 | 16,246,176 | ||||||
|
| |||||||
39,065,565 | ||||||||
|
| |||||||
Switzerland - 7.1% |
| |||||||
Givaudan S.A. | 7,671 | 16,704,007 | ||||||
Nestle S.A. | 469,272 | 39,332,327 | ||||||
Roche Holding AG | 124,599 | 31,832,237 | ||||||
|
| |||||||
87,868,571 | ||||||||
|
| |||||||
Taiwan - 1.5% |
| |||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 2,517,548 | 17,974,184 | ||||||
|
| |||||||
United Kingdom - 10.0% |
| |||||||
Barclays PLC | 5,828,690 | 15,120,087 | ||||||
BHP Billiton PLC | 1,233,571 | 21,755,241 | ||||||
Prudential PLC | 836,442 | 20,048,321 |
Number of Shares | Fair $ | |||||||
Shire PLC | 376,525 | 19,135,638 | ||||||
Smith & Nephew PLC | 929,701 | 16,814,051 | ||||||
Vodafone Group PLC | 7,556,918 | 21,169,684 | ||||||
WPP PLC | 491,349 | 9,130,173 | ||||||
|
| |||||||
123,173,195 | ||||||||
|
| |||||||
Total Common Stock (Cost $956,168,751) | 1,169,544,321 | |||||||
|
| |||||||
Short-Term Investments - 5.0% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.96% | 61,540,289 | 61,540,289 | ||||||
Total Investments (Cost $1,017,709,040) | 1,231,084,610 | |||||||
Other Assets and Liabilities, net - 0.1% | 1,359,165 | |||||||
|
| |||||||
NET ASSETS - 100.0% | 1,232,443,775 | |||||||
|
|
Other Information:
The Fund had the following long futures contracts open at September 30, 2017:
Description | Expiration date | Number of Contracts | Notional Amount | Current Notional Value | Unrealized Appreciation | |||||||||||||||
MSCI EAFE Mini Index Futures | December 2017 | 213 | $ | 21,046,563 | $ | 21,069,960 | $ | 23,397 | ||||||||||||
|
|
During the period ended September 30, 2017, average notional values related to long and short futures contracts were $10,457,193 or 0.9% of net assets and $3,667,745 or 0.3% of net assets, respectively.
The Fund was invested in the following sectors at September 30, 2017 (unaudited):
Sector | Percentage (based on Fair Value) | |||
Diversified Banks | 11.45% | |||
Pharmaceuticals | 6.29% | |||
Packaged Foods & Meats | 4.59% | |||
Semiconductors | 4.37% | |||
Electrical Components & Equipment | 3.91% | |||
Building Products | 3.66% | |||
Wireless Telecommunication Services | 3.58% | |||
Life & Health Insurance | 3.57% | |||
Integrated Oil & Gas | 3.48% | |||
Construction Machinery & Heavy Trucks | 3.37% | |||
Electronic Equipment & Instruments | 2.80% |
Sector | Percentage (based on Fair Value) | |||
Specialty Chemicals | 2.46% | |||
Diversified Real Estate Activities | 2.40% | |||
Semiconductor Equipment | 2.34% | |||
Brewers | 2.15% | |||
Auto Parts & Equipment | 1.90% | |||
Industrial Machinery | 1.88% | |||
Diversified Metals & Mining Movies & Entertainment | | 1.77% 1.72% |
| |
Application Software | 1.66% | |||
Personal Products | 1.56% | |||
Biotechnology | 1.55% |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional International Equity Fund | 51 |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments, continued — September 30, 2017
Sector | Percentage (based on Fair Value) | |||
Multi-Line Insurance | 1.55% | |||
Home Building | 1.49% | |||
Electronic Components | 1.46% | |||
Construction Materials | 1.45% | |||
Property & Casualty Insurance | 1.44% | |||
Aerospace & Defense | 1.37% | |||
Healthcare Equipment | 1.37% | |||
Security & Alarm Services | 1.33% | |||
Cable & Satellite | 1.32% | |||
Electric Utilities | 1.22% | |||
Automobile Manufacturers | 1.21% | |||
Internet Software & Services | 1.15% | |||
Leisure Products | 1.14% | |||
Oil & Gas Exploration & Production | 1.14% |
Sector | Percentage (based on Fair Value) | |||
Internet & Direct Marketing Retail | 1.07% | |||
Healthcare Services | 0.97% | |||
Advertising | 0.74% | |||
Technology Hardware, Storage & Peripherals | 0.62% | |||
Asset Management & Custody Banks | 0.50% | |||
Commercial Printing | 0.00% | *** | ||
|
| |||
95.00% | ||||
|
| |||
Short-Term Investments | ||||
Short-Term Investments | 5.00% | |||
|
| |||
5.00% | ||||
|
| |||
100.00% | ||||
|
|
The following tables present the Fund’s investments measured at fair value on a recurring basis at September 30, 2017:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Investments in Securities | ||||||||||||||||||
Common Stock | $ | 1,169,544,321 | $ | — | $ | — | $ | 1,169,544,321 | ||||||||||
Short-Term Investments | 61,540,289 | — | — | 61,540,289 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 1,231,084,610 | $ | — | $ | — | $ | 1,231,084,610 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 23,397 | $ | — | $ | — | $ | 23,397 | ||||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/17 | Value at 9/30/17 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 39,027,683 | $ | 39,027,683 | $ | 361,921,204 | $ | 339,408,598 | $ | — | $ | — | 61,540,289 | $ | 61,540,289 | $ | 196,646 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 39,027,683 | $ | 361,921,204 | $ | 339,408,598 | $ | — | $ | — | $ | 61,540,289 | $ | 196,646 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
52 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Portfolio Management Discussion and Analysis — September 30, 2017 (Unaudited)
Q. | How did the State Street Institutional Strategic Investment Fund perform compared to its benchmarks and Morningstar peer group for the twelve-month period ended September 30, 2017? |
A. | For the twelve-month period ended September 30, 2017, the State Street Institutional Strategic Investment Fund returned 10.59% for the Investment Class shares and 10.41% for the Service Class shares. The Fund’s broad based benchmarks, the S&P 500 Index, the MSCI All Country World ex-US Index and the Bloomberg Barclays Capital U.S. Aggregate Bond Index returned 18.61%, 19.61% and 0.07%, respectively and the Fund’s Morningstar peer group of 821 U.S. Moderate Allocation funds returned an average 10.52% over the same period. |
Q. | What market conditions impacted the Fund’s performance? |
A. | In the aggregate, returns have been strong across asset classes, driving strong absolute returns. Global growth has been well supported and has been nicely synchronized, providing a backdrop of good earnings and solid risk appetite. Meanwhile, growth has not been so strong as to push inflation higher, keeping central banks at bay with little, well-telegraphed action, from the Federal Reserve. |
Q. | What were the drivers behind Fund performance? |
A. | In the aggregate, returns have been strong across asset classes, driving strong absolute returns. An overweight allocation to equities and an underweight allocation to bonds have been positive contributors to returns. Overweight cash has acted as a drag on performance. Within the sub strategies, outperformance of fixed income has been a positive while underpeformance of international equities has been a drag. Finally, an allocation to high yield bonds has been a positive contributor. |
Q. | Were there any significant changes in the Fund during the period? |
A. | The Fund moved the U.S. equity allocation from actively managed to indexed earlier this year. Meanwhile, it was announced that the Fund will be liquidating and terminating in the fourth quarter of 2017. |
State Street Institutional Strategic Investment Fund | 53 |
Table of Contents
State Street Institutional Strategic Investment Fund
Performance Summary — September 30, 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.
Morningstar Performance Comparison
Based on average annual returns for periods ended September 30, 2017
One Year | Five Year | Ten Year | ||||||||||
Number of funds in peer group | 821 | 664 | 458 | |||||||||
Peer group average annual total return | 10.52 | % | 7.51 | % | 5.07 | % | ||||||
Morningstar Category in peer group: Moderate Allocation |
|
Top Ten Largest Equity Holdings
as of September 30, 2017 (as a % of Fair Value) (a)(b)
Nestle S.A. | 0.62 | % | ||
Roche Holding AG | 0.50 | % | ||
ASML Holding N.V. | 0.45 | % | ||
Bayer AG | 0.45 | % | ||
BNP Paribas S.A. | 0.45 | % | ||
Anheuser-Busch InBev S.A. | 0.42 | % | ||
Mitsubishi UFJ Financial Group Inc. | 0.41 | % | ||
Nidec Corp. | 0.41 | % | ||
AIA Group Ltd. | 0.40 | % | ||
Valeo S.A. | 0.37 | % |
Sector Allocation as of September 30, 2017
Portfolio Composition as a % of Fair Value of $686,235 (in thousands) as of September 30, 2017 (a)(b)
Average Annual Total Return for the periods ended September 30, 2017
Investment Class Shares (Inception date: 10/29/99)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Strategic Investment Fund | 10.59 | % | 7.53 | % | 3.96 | % | $ | 14,739 | ||||||||
S&P 500 Index | 18.61 | % | 14.22 | % | 7.44 | % | $ | 20,488 | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07 | % | 2.06 | % | 4.27 | % | $ | 15,196 | ||||||||
MSCI All Country World Index ex U.S. | 19.61 | % | 6.97 | % | 1.28 | % | $ | 11,351 |
Service Class Shares (Inception date: 9/30/05)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Strategic Investment Fund | 10.41 | % | 7.26 | % | 3.64 | % | $ | 14,298 | ||||||||
S&P 500 Index | 18.61 | % | 14.22 | % | 7.44 | % | $ | 20,488 | ||||||||
Barclays U.S. Aggregate Bond Index | 0.07 | % | 2.06 | % | 4.27 | % | $ | 15,196 | ||||||||
MSCI All Country World Index ex U.S. | 19.61 | % | 6.97 | % | 1.28 | % | $ | 11,351 |
54 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Performance Summary, continued — September 30, 2017 (Unaudited)
(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. |
(c) | Includes investment in State Street Equity 500 Index II Portfolio. |
(d) | Includes investment in Vanguard FTSE Emerging Markets ETF. |
(e) | Includes investment in SPDR Bloomberg Barclays High Yield Bond ETF. |
See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
State Street Institutional Strategic Investment Fund | 55 |
Table of Contents
State Street Institutional Strategic Investment Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2017 | $ | 1,064.90 | $ | 1,023.50 | ||||
Expenses paid during the period* | $ | 1.60 | $ | 1.57 |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2017 | $ | 1,063.70 | $ | 1,022.30 | ||||
Expenses paid during the period* | $ | 2.90 | $ | 2.84 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.31% for Investment Class shares and 0.56% for Service Class shares (for the period April 1, 2017-September 30, 2017), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
56 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
Domestic Equity - 0.0%† | ||||||||
Preferred Stock - 0.0%* |
| |||||||
Diversified Banks - 0.0%* |
| |||||||
Wells Fargo & Co. 3.09% + 3 month USD LIBOR (Cost $143,500) (h) | 5,740 | 156,587 | ||||||
|
| |||||||
Foreign Equity - 20.3% | ||||||||
Common Stock - 20.2% |
| |||||||
Advertising - 0.1% |
| |||||||
WPP PLC | 53,116 | 986,993 | ||||||
|
| |||||||
Aerospace & Defense - 0.3% |
| |||||||
Airbus SE (l) | 19,148 | 1,820,221 | ||||||
|
| |||||||
Application Software - 0.3% |
| |||||||
SAP SE | 20,167 | 2,209,861 | ||||||
|
| |||||||
Asset Management & Custody Banks - 0.1% |
| |||||||
Brookfield Asset Management Inc., Class A (l) | 16,260 | 669,824 | ||||||
|
| |||||||
Auto Parts & Equipment - 0.4% |
| |||||||
Superalloy Industrial Company Ltd. | 10,967 | 32,864 | ||||||
Valeo S.A. | 34,131 | 2,533,151 | ||||||
|
| |||||||
2,566,015 | ||||||||
|
| |||||||
Automobile Manufacturers - 0.3% |
| |||||||
Mahindra & Mahindra Ltd. | 14,019 | 269,187 | ||||||
Subaru Corp. (l) | 44,800 | 1,615,849 | ||||||
|
| |||||||
1,885,036 | ||||||||
|
| |||||||
Biotechnology - 0.3% |
| |||||||
Shire PLC | 40,703 | 2,068,595 | ||||||
|
| |||||||
Brewers - 0.4% |
| |||||||
Anheuser-Busch InBev S.A. (l) | 23,911 | 2,863,505 | ||||||
|
| |||||||
Building Products - 0.7% |
| |||||||
Assa Abloy AB, Class B (l) | 108,225 | 2,466,183 | ||||||
Daikin Industries Ltd. | 23,700 | 2,399,161 | ||||||
|
| |||||||
4,865,344 | ||||||||
|
| |||||||
Cable & Satellite - 0.3% |
| |||||||
Cyfrowy Polsat S.A. | 10,313 | 73,443 | ||||||
Naspers Ltd., Class N | 9,416 | 2,036,269 | ||||||
|
| |||||||
2,109,712 | ||||||||
|
| |||||||
Commercial Printing - 0.0%* |
| |||||||
Novus Holdings Ltd. | 3,257 | 1,575 | ||||||
|
|
Principal Amount ($) or Shares | Fair Value $ | |||||||
Construction & Engineering - 0.0%* |
| |||||||
Hyundai Engineering & Construction Company Ltd. | 1,114 | 37,300 | ||||||
|
| |||||||
Construction Machinery & Heavy Trucks - 0.7% |
| |||||||
Iochpe-Maxion S.A. | 4,620 | 31,388 | ||||||
KION Group AG | 20,587 | 1,970,643 | ||||||
Komatsu Ltd. | 88,300 | 2,510,978 | ||||||
|
| |||||||
4,513,009 | ||||||||
|
| |||||||
Construction Materials - 0.3% |
| |||||||
Cemex SAB de C.V. ADR (a) | 17,293 | 157,020 | ||||||
HeidelbergCement AG | 18,792 | 1,932,116 | ||||||
|
| |||||||
2,089,136 | ||||||||
|
| |||||||
Diversified Banks - 2.6% |
| |||||||
Banco Bilbao Vizcaya Argentaria S.A. (l) | 176,698 | 1,579,434 | ||||||
Bank Negara Indonesia Persero Tbk PT | 258,800 | 142,187 | ||||||
Barclays PLC (l) | 630,226 | 1,634,857 | ||||||
BNP Paribas S.A. (l) | 38,158 | 3,078,782 | ||||||
China Construction Bank Corp., Class H (l) | 440,000 | 365,038 | ||||||
CTBC Financial Holding Company Ltd. | 242,296 | 151,815 | ||||||
Grupo Financiero Banorte SAB de C.V., Class O | 12,060 | 83,401 | ||||||
ICICI Bank Ltd. (l) | 427,553 | 1,810,489 | ||||||
Industrial & Commercial Bank of China Ltd., Class H | 416,203 | 309,060 | ||||||
ING Groep N.V. | 115,170 | 2,124,001 | ||||||
Intesa Sanpaolo S.p.A. | 685,942 | 2,426,273 | ||||||
Kasikornbank PCL | 11,700 | 75,077 | ||||||
Malayan Banking Bhd | 69,849 | 157,646 | ||||||
Metropolitan Bank & Trust Co. | 54,164 | 92,229 | ||||||
Mitsubishi UFJ Financial Group Inc. | 437,400 | 2,839,321 | ||||||
OTP Bank PLC | 2,582 | 97,225 | ||||||
Sberbank of Russia PJSC ADR | 24,698 | 351,576 | ||||||
Shinhan Financial Group Company Ltd. | 4,920 | 216,070 | ||||||
|
| |||||||
17,534,481 | ||||||||
|
| |||||||
Diversified Chemicals - 0.0%* |
| |||||||
Sasol Ltd. | 3,856 | 105,949 | ||||||
|
| |||||||
Diversified Metals & Mining - 0.4% |
| |||||||
BHP Billiton PLC (l) | 133,352 | 2,351,794 | ||||||
Korea Zinc Company Ltd. | 382 | 165,260 | ||||||
|
| |||||||
2,517,054 | ||||||||
|
|
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 — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
Diversified Real Estate Activities - 0.5% |
| |||||||
Mitsubishi Estate Company Ltd. | 79,788 | 1,386,801 | ||||||
Mitsui Fudosan Company Ltd. | 83,099 | 1,801,284 | ||||||
|
| |||||||
3,188,085 | ||||||||
|
| |||||||
Diversified Support Services - 0.0%* |
| |||||||
KEPCO Plant Service & Engineering Company Ltd. | 2,012 | 72,814 | ||||||
|
| |||||||
Education Services - 0.0%* |
| |||||||
New Oriental Education & Technology Group Inc. ADR | 1,147 | 101,234 | ||||||
|
| |||||||
Electric Utilities - 0.3% |
| |||||||
Power Grid Corporation of India Ltd. | 553,582 | 1,788,209 | ||||||
|
| |||||||
Electrical Components & Equipment - 0.8% |
| |||||||
Chicony Power Technology Company Ltd. | 25,080 | 46,895 | ||||||
Nidec Corp. | 22,700 | 2,786,958 | ||||||
Schneider Electric SE (a) | 27,791 | 2,419,077 | ||||||
|
| |||||||
5,252,930 | ||||||||
|
| |||||||
Electronic Components - 0.3% |
| |||||||
Largan Precision Company Ltd. | 760 | 133,584 | ||||||
Murata Manufacturing Company Ltd. | 13,299 | 1,954,119 | ||||||
|
| |||||||
2,087,703 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.6% |
| |||||||
Hexagon AB, Class B | 35,509 | 1,756,232 | ||||||
Keyence Corp. | 3,700 | 1,963,977 | ||||||
|
| |||||||
3,720,209 | ||||||||
|
| |||||||
Food Retail - 0.0%* |
| |||||||
Magnit PJSC GDR | 2,824 | 115,643 | ||||||
|
| |||||||
Footwear - 0.0%* |
| |||||||
ANTA Sports Products Ltd. | 15,000 | 63,087 | ||||||
|
| |||||||
Healthcare Equipment - 0.3% |
| |||||||
Smith & Nephew PLC | 100,503 | 1,817,641 | ||||||
|
| |||||||
Healthcare Services - 0.2% |
| |||||||
Fresenius SE & Company KGaA | 16,053 | 1,295,238 | ||||||
|
| |||||||
Home Building - 0.3% |
| |||||||
Sekisui House Ltd. | 117,900 | 1,986,384 | ||||||
|
|
Principal Amount ($) or Shares | Fair Value $ | |||||||
Hypermarkets & Super Centers - 0.0%* |
| |||||||
Puregold Price Club Inc. | 35,400 | 36,341 | ||||||
|
| |||||||
Industrial Machinery - 0.4% |
| |||||||
FANUC Corp. | 12,300 | 2,490,268 | ||||||
|
| |||||||
Integrated Oil & Gas - 0.7% |
| |||||||
Cenovus Energy Inc. | 86,795 | 868,193 | ||||||
China Petroleum & Chemical Corp., Class H (l) | 133,725 | 100,156 | ||||||
Galp Energia SGPS S.A. (l) | 81,102 | 1,437,702 | ||||||
Statoil ASA | 115,948 | 2,320,329 | ||||||
|
| |||||||
4,726,380 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.2% |
| |||||||
Ctrip.com International Ltd. ADR (a) | 2,785 | 146,881 | ||||||
Zalando SE (a)(b) | 28,519 | 1,429,522 | ||||||
|
| |||||||
1,576,403 | ||||||||
|
| |||||||
Internet Software & Services - 0.5% |
| |||||||
Alibaba Group Holding Ltd. ADR (a) | 3,444 | 594,813 | ||||||
Baidu Inc. ADR (a) | 599 | 148,366 | ||||||
MercadoLibre Inc. | 428 | 110,822 | ||||||
NAVER Corp. | 169 | 109,927 | ||||||
NetEase Inc. ADR | 6,660 | 1,756,975 | ||||||
Tencent Holdings Ltd. | 15,955 | 686,760 | ||||||
Yandex N.V., Class A (a) | 4,836 | 159,346 | ||||||
|
| |||||||
3,567,009 | ||||||||
|
| |||||||
IT Consulting & Other Services - 0.0%* |
| |||||||
HCL Technologies Ltd. | 13,317 | 178,348 | ||||||
|
| |||||||
Leisure Products - 0.2% |
| |||||||
Shimano Inc. | 11,400 | 1,518,110 | ||||||
|
| |||||||
Life & Health Insurance - 0.8% |
| |||||||
AIA Group Ltd. (l) | 374,320 | 2,760,422 | ||||||
China Life Insurance Company Ltd., Class H (l) | 11,000 | 32,744 | ||||||
Ping An Insurance Group Company of China Ltd., Class H | 21,000 | 161,183 | ||||||
Prudential PLC | 90,419 | 2,167,214 | ||||||
|
| |||||||
5,121,563 | ||||||||
|
| |||||||
Marine Ports & Services - 0.0%* |
| |||||||
DP World Ltd. | 2,261 | 50,782 | ||||||
|
| |||||||
Movies & Entertainment - 0.3% |
| |||||||
Vivendi S.A. | 90,386 | 2,288,819 | ||||||
|
|
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 — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
Multi-Line Insurance - 0.3% |
| |||||||
AXA S.A. (l) | 68,067 | 2,059,196 | ||||||
|
| |||||||
Oil & Gas Exploration & Production - 0.3% |
| |||||||
Parex Resources Inc. (a) | 17,943 | 215,922 | ||||||
Seven Generations Energy Ltd., Class A (a) | 96,416 | 1,521,810 | ||||||
|
| |||||||
1,737,732 | ||||||||
|
| |||||||
Other Diversified Financial Services - 0.0%* |
| |||||||
FirstRand Ltd. | 17,650 | 68,012 | ||||||
|
| |||||||
Packaged Foods & Meats - 0.9% |
| |||||||
Kerry Group PLC, Class A | 19,373 | 1,861,764 | ||||||
Nestle S.A. | 50,730 | 4,251,967 | ||||||
|
| |||||||
6,113,731 | ||||||||
|
| |||||||
Personal Products - 0.3% |
| |||||||
Kao Corp. | 35,200 | 2,070,128 | ||||||
LG Household & Health Care Ltd. | 51 | 41,678 | ||||||
|
| |||||||
2,111,806 | ||||||||
|
| |||||||
Pharmaceuticals - 1.3% |
| |||||||
Bayer AG (l) | 22,591 | 3,079,325 | ||||||
CSPC Pharmaceutical Group Ltd. (l) | 66,095 | 110,684 | ||||||
Roche Holding AG (l) | 13,470 | 3,441,281 | ||||||
Sanofi | 18,579 | 1,845,203 | ||||||
Sino Biopharmaceutical Ltd. | 72,000 | 76,142 | ||||||
|
| |||||||
8,552,635 | ||||||||
|
| |||||||
Property & Casualty Insurance - 0.3% |
| |||||||
PICC Property & Casualty Company Ltd., Class H | 26,000 | 45,871 | ||||||
Suncorp Group Ltd. | 87,572 | 896,709 | ||||||
Tokio Marine Holdings Inc. | 25,900 | 1,012,853 | ||||||
|
| |||||||
1,955,433 | ||||||||
|
| |||||||
Real Estate Development - 0.0%* |
| |||||||
Bumi Serpong Damai Tbk PT (l) | 645,800 | 84,866 | ||||||
|
| |||||||
Restaurants - 0.0%* |
| |||||||
Gourmet Master Company Ltd. | 10,565 | 112,360 | ||||||
|
| |||||||
Security & Alarm Services - 0.3% |
| |||||||
Secom Company Ltd. | 24,300 | 1,770,609 | ||||||
|
| |||||||
Semiconductor Equipment - 0.5% |
| |||||||
ASML Holding N.V. (l) | 18,277 | 3,112,497 | ||||||
|
|
Principal Amount ($) or Shares | Fair Value $ | |||||||
Semiconductors - 1.0% |
| |||||||
Infineon Technologies AG | 78,530 | 1,974,667 | ||||||
MediaTek Inc. | 8,000 | 75,056 | ||||||
NXP Semiconductors N.V. (a) | 16,776 | 1,897,198 | ||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 350,876 | 2,505,100 | ||||||
|
| |||||||
6,452,021 | ||||||||
|
| |||||||
Soft Drinks - 0.0%* |
| |||||||
Coca-Cola Icecek AS (l) | 7,503 | 78,572 | ||||||
|
| |||||||
Specialty Chemicals - 0.5% |
| |||||||
Givaudan S.A. (l) | 829 | 1,805,191 | ||||||
Wacker Chemie AG | 10,217 | 1,465,126 | ||||||
|
| |||||||
3,270,317 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.2% |
| |||||||
Samsung Electronics Company Ltd. | 667 | 1,493,158 | ||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.0%* |
| |||||||
Housing Development Finance Corporation Ltd. | 8,430 | 224,837 | ||||||
|
| |||||||
Wireless Telecommunication Services - 0.7% |
| |||||||
America Movil SAB de C.V., Class L | 46,395 | 41,287 | ||||||
China Mobile Ltd. (l) | 15,290 | 154,942 | ||||||
SK Telecom Company Ltd. | 129 | 28,721 | ||||||
SoftBank Group Corp. | 30,600 | 2,469,421 | ||||||
Vodafone Group PLC | 816,923 | 2,288,499 | ||||||
|
| |||||||
4,982,870 | ||||||||
|
| |||||||
Total Common Stock (Cost $109,750,810) | 136,067,462 | |||||||
|
| |||||||
Preferred Stock - 0.1% | ||||||||
Diversified Banks - 0.1% |
| |||||||
Itau Unibanco Holding S.A. | 16,388 | 224,593 | ||||||
|
| |||||||
General Merchandise Stores - 0.0%* |
| |||||||
Lojas Americanas S.A. | 17,455 | 106,226 | ||||||
|
| |||||||
Hypermarkets & Super Centers - 0.0%* |
| |||||||
Cia Brasileira de Distribuicao (a) | 3,779 | 89,602 | ||||||
|
| |||||||
Integrated Oil & Gas - 0.0%* |
| |||||||
Petroleo Brasileiro S.A. (a) | 40,600 | 196,380 | ||||||
|
| |||||||
Total Preferred Stock (Cost $453,494) | 616,801 | |||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 59 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
Warrant - 0.0%* |
| |||||||
Construction Machinery & Heavy Trucks - 0.0%* |
| |||||||
Iochpe Maxion S.A. (a) | 143 | 491 | ||||||
|
| |||||||
Total Foreign Equity (Cost $110,204,304) | 136,684,754 | |||||||
|
| |||||||
Bonds and Notes - 30.1% | ||||||||
U.S. Treasuries - 10.6% |
| |||||||
U.S. Treasury Bonds | ||||||||
2.25%, 08/15/46 | 3,771,400 | 3,317,437 | ||||||
2.50%, 05/15/46 | 1,840,400 | 1,710,781 | ||||||
3.75%, 11/15/43 | 425,000 | 498,359 | ||||||
4.50%, 02/15/36 | 1,657,100 | 2,131,644 | ||||||
U.S. Treasury Notes | ||||||||
0.88%, 03/31/18 - 10/15/18 (l) | 11,967,500 | 11,918,662 | ||||||
1.25%, 12/31/18 (l) | 1,336,900 | 1,334,587 | ||||||
1.25%, 08/31/19 | 3,730,000 | 3,714,595 | ||||||
1.38%, 12/15/19 (l) | 8,756,400 | 8,730,481 | ||||||
1.50%, 08/15/20 | 3,689,000 | 3,678,191 | ||||||
1.63%, 03/31/19 - 08/31/22 | 5,731,100 | 5,707,598 | ||||||
1.75%, 09/30/22 | 6,534,700 | 6,474,973 | ||||||
1.88%, 08/31/24 | 1,732,000 | 1,701,049 | ||||||
2.00%, 07/31/22 - 02/15/25 | 17,006,900 | 16,796,036 | ||||||
2.25%, 02/15/27 (l) | 664,400 | 660,480 | ||||||
2.25%, 08/15/27 | 1,372,000 | 1,362,835 | ||||||
2.38%, 05/15/27 | 1,731,000 | 1,738,374 | ||||||
|
| |||||||
71,476,082 | ||||||||
|
| |||||||
Agency Mortgage Backed - 4.4% |
| |||||||
Federal Home Loan Mortgage Corp. | ||||||||
4.50%, 06/01/33 - 02/01/35 (l) | 3,616 | 3,896 | ||||||
5.00%, 07/01/35 - 06/01/41 (l) | 482,333 | 525,567 | ||||||
5.50%, 05/01/20 - 04/01/39 (l) | 95,540 | 105,819 | ||||||
6.00%, 05/01/20 - 11/01/37 (l) | 127,223 | 142,255 | ||||||
6.50%, 06/01/29 (l) | 839 | 930 | ||||||
7.00%, 08/01/23 - 08/01/36 (l) | 112,974 | 118,723 | ||||||
7.50%, 09/01/33 (l) | 421 | 441 | ||||||
8.00%, 04/01/30 - 11/01/30 (l) | 524 | 589 | ||||||
9.00%, 06/01/21 (l) | 18 | 19 | ||||||
Federal National Mortgage Assoc. | ||||||||
3.00%, 02/01/43 - 05/01/43 (l) | 2,189,446 | 2,208,666 | ||||||
3.50%, 11/01/42 - 08/01/45 (l) | 4,031,049 | 4,164,010 | ||||||
4.00%, 05/01/19 - 12/01/41 (l) | 1,039,921 | 1,100,779 | ||||||
4.50%, 05/01/18 - 01/01/41 (l) | 3,423,792 | 3,689,201 | ||||||
5.00%, 07/01/20 - 06/01/41 (l) | 737,924 | 807,064 | ||||||
5.50%, 06/01/20 - 01/01/39 (l) | 677,155 | 752,262 | ||||||
6.00%, 02/01/20 - 05/01/41 (l) | 947,914 | 1,055,626 | ||||||
6.50%, 10/01/18 - 08/01/34 (l) | 83,511 | 93,004 | ||||||
7.00%, 05/01/33 - 12/01/33 (l) | 464 | 474 | ||||||
7.50%, 12/01/23 - 12/01/33 (l) | 4,142 | 4,506 | ||||||
8.00%, 11/01/25 - 09/01/30 (l) | 544 | 594 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
9.00%, 12/01/22 (l) | 274 | 293 | ||||||
Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR 3.35%, 04/01/37 (h)(l) | 677 | 696 | ||||||
Federal National Mortgage Assoc. TBA | ||||||||
2.50%, TBA (c) | 3,322,438 | 3,344,499 | ||||||
3.00%, TBA (c) | 5,855,471 | 5,921,394 | ||||||
3.50%, TBA (c) | 1,804,189 | 1,859,884 | ||||||
Government National Mortgage Assoc. | ||||||||
3.50%, 05/20/43 (l) | 1,191,453 | 1,243,339 | ||||||
4.00%, 01/20/41 - 04/20/43 (l) | 1,345,836 | 1,430,220 | ||||||
4.50%, 08/15/33 - 03/20/41 (l) | 627,468 | 674,100 | ||||||
5.00%, 08/15/33 (l) | 9,081 | 9,966 | ||||||
6.00%, 06/15/33 - 12/15/34 (l) | 40,344 | 46,387 | ||||||
6.50%, 04/15/28 - 06/15/34 (l) | 11,189 | 12,349 | ||||||
7.00%, 04/15/28 - 10/15/36 (l) | 6,336 | 6,886 | ||||||
8.00%, 06/15/30 (l) | 31 | 31 | ||||||
9.00%, 12/15/21 (l) | 95 | 102 | ||||||
5.00%, TBA (c) | 75,000 | 81,843 | ||||||
|
| |||||||
29,406,414 | ||||||||
|
| |||||||
Agency Collateralized Mortgage Obligations - 0.3% |
| |||||||
Federal Home Loan Mortgage Corp. | 68,069 | 143 | ||||||
Federal Home Loan Mortgage Corp. REMIC | 331,032 | 24,344 | ||||||
5.50%, 06/15/33 (g) | 2,762 | 558 | ||||||
7.50%, 07/15/27 (g) | 1,211 | 188 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.00% - 1 month USD LIBOR | 1,196,899 | 237,128 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.10% - 1 month USD LIBOR | 3,546,466 | 543,812 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.20% - 1 month USD LIBOR | 905,879 | 168,157 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR | 140,683 | 11,580 | ||||||
Federal Home Loan Mortgage Corp. STRIPS | 106 | 98 | ||||||
8.00%, 02/01/23 - 07/01/24 (g) | 388 | 63 |
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 — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
Federal Home Loan Mortgage Corp. STRIPS 5.95% - 1 month USD LIBOR | 1,358,111 | 272,906 | ||||||
Federal National Mortgage Assoc. REMIC | 77 | 76 | ||||||
1.20%, 12/25/42 (g)(h) | 27,114 | 1,108 | ||||||
5.00%, 02/25/40 - 09/25/40 (g) | 145,732 | 16,460 | ||||||
Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | 2,223,025 | 426,697 | ||||||
Federal National Mortgage Assoc. REMIC 6.60% - 1 month USD LIBOR | 837,288 | 193,025 | ||||||
Federal National Mortgage Assoc. STRIPS | 41,198 | 7,305 | ||||||
5.00%, 03/25/38 - 05/25/38 (g) | 22,904 | 4,348 | ||||||
5.50%, 12/25/33 (g) | 5,142 | 1,161 | ||||||
6.00%, 01/25/35 (g) | 24,148 | 4,812 | ||||||
7.50%, 11/25/23 (g) | 2,121 | 323 | ||||||
8.00%, 08/25/23 - 07/25/24 (g) | 774 | 150 | ||||||
8.50%, 07/25/22 (g) | 59 | 7 | ||||||
8.50%, 07/25/22 (g)** | 2 | — | ||||||
9.00%, 05/25/22 (g) | 70 | 8 | ||||||
Government National Mortgage Assoc. REMIC | 121,261 | 7,578 | ||||||
5.00%, 01/20/38 - 09/20/38 (g) | 35,753 | 1,139 | ||||||
Government National Mortgage Assoc. REMIC 6.80% - 1 month USD LIBOR | 249,550 | 45,537 | ||||||
|
| |||||||
1,968,711 | ||||||||
|
| |||||||
Asset Backed - 0.7% |
| |||||||
BA Credit Card Trust 2017-A2 | 1,156,000 | 1,150,474 | ||||||
Citibank Credit Card Issuance Trust 2014-A6 | 675,000 | 679,373 | ||||||
Citibank Credit Card Issuance Trust 2016-A1 | 1,520,000 | 1,516,974 | ||||||
Citibank Credit Card Issuance Trust 2017-A8 | 1,443,000 | 1,439,370 | ||||||
|
| |||||||
4,786,191 | ||||||||
|
|
Principal Amount ($) or Shares | Fair Value $ | |||||||
Corporate Notes - 12.2% |
| |||||||
21st Century Fox America Inc. 3.38%, 11/15/26 | 31,000 | 31,008 | ||||||
4.75%, 11/15/46 | 32,000 | 34,239 | ||||||
6.65%, 11/15/37 | 119,000 | 156,734 | ||||||
Abbott Laboratories | 247,000 | 251,066 | ||||||
3.75%, 11/30/26 | 174,000 | 178,588 | ||||||
4.90%, 11/30/46 | 82,000 | 91,518 | ||||||
AbbVie Inc. | 157,000 | 157,502 | ||||||
3.20%, 05/14/26 | 174,000 | 173,943 | ||||||
4.45%, 05/14/46 | 62,000 | 65,521 | ||||||
4.70%, 05/14/45 | 53,000 | 57,820 | ||||||
ACCO Brands Corp. | 143,000 | 148,363 | ||||||
AES Corp. | 184,000 | 189,520 | ||||||
Aetna Inc. | 170,000 | 176,853 | ||||||
Aflac Inc. | 72,000 | 71,795 | ||||||
Agrium Inc. | 58,000 | 63,265 | ||||||
Alexandria Real Estate Equities Inc. | 109,000 | 110,710 | ||||||
Alimentation Couche-Tard Inc. 2.70%, 07/26/22 (b) | 126,000 | 126,452 | ||||||
3.55%, 07/26/27 (b) | 126,000 | 127,079 | ||||||
4.50%, 07/26/47 (b) | 51,000 | 52,713 | ||||||
Allergan Funding SCS | 125,000 | 127,565 | ||||||
3.45%, 03/15/22 | 137,000 | 142,035 | ||||||
3.80%, 03/15/25 | 92,000 | 95,486 | ||||||
4.55%, 03/15/35 | 51,000 | 54,458 | ||||||
4.75%, 03/15/45 | 9,000 | 9,766 | ||||||
Altria Group Inc. | 105,000 | 106,671 | ||||||
3.88%, 09/16/46 | 5,000 | 4,867 | ||||||
4.50%, 05/02/43 | 48,000 | 51,376 | ||||||
Amazon.com Inc. | 93,000 | 93,388 | ||||||
3.15%, 08/22/27 (b) | 97,000 | 97,669 | ||||||
3.88%, 08/22/37 (b) | 105,000 | 106,874 | ||||||
4.05%, 08/22/47 (b) | 68,000 | 69,260 | ||||||
4.25%, 08/22/57 (b) | 115,000 | 117,976 | ||||||
AMC Networks Inc. | 10,000 | 10,088 | ||||||
America Movil SAB de C.V. 3.13%, 07/16/22 | 200,000 | 204,972 |
See Notes to Schedules of Investments and Notes to Financial Statements.
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Principal Amount ($) or Shares | Fair Value $ | |||||||
American Axle & Manufacturing Inc. | 140,000 | 142,800 | ||||||
6.50%, 04/01/27 (b) | 70,000 | 70,613 | ||||||
6.63%, 10/15/22 | 53,000 | 54,723 | ||||||
American Campus Communities Operating Partnership LP 3.35%, 10/01/20 | 103,000 | 105,478 | ||||||
4.13%, 07/01/24 | 84,000 | 87,946 | ||||||
American Electric Power Company Inc. | 270,000 | 274,714 | ||||||
American Express Co. | 129,000 | 133,194 | ||||||
American International Group Inc. | 164,000 | 169,346 | ||||||
4.50%, 07/16/44 | 88,000 | 91,851 | ||||||
4.80%, 07/10/45 | 91,000 | 99,292 | ||||||
American Tower Corp. (REIT) | 62,000 | 61,230 | ||||||
3.40%, 02/15/19 | 355,000 | 361,443 | ||||||
American Water Capital Corp. | 145,000 | 144,407 | ||||||
AmeriGas Partners LP/AmeriGas Finance Corp. | 108,000 | 112,914 | ||||||
Amgen Inc. | 211,000 | 211,886 | ||||||
2.60%, 08/19/26 | 67,000 | 64,173 | ||||||
2.65%, 05/11/22 | 174,000 | 175,423 | ||||||
4.56%, 06/15/48 | 94,000 | 101,862 | ||||||
Amkor Technology Inc. | 184,000 | 187,450 | ||||||
Anadarko Petroleum Corp. | 14,000 | 14,879 | ||||||
6.20%, 03/15/40 | 82,000 | 95,290 | ||||||
6.60%, 03/15/46 | 17,000 | 20,947 | ||||||
Andeavor | 217,000 | 234,167 | ||||||
Anglo American Capital PLC | 200,000 | 208,528 | ||||||
Anheuser-Busch InBev Finance Inc. 2.65%, 02/01/21 | 91,000 | 92,460 | ||||||
3.65%, 02/01/26 | 380,000 | 393,095 | ||||||
4.70%, 02/01/36 | 75,000 | 83,156 | ||||||
4.90%, 02/01/46 | 186,000 | 211,309 | ||||||
Anheuser-Busch InBev Worldwide Inc. | 188,000 | 189,470 | ||||||
Anthem Inc. | 149,000 | 153,348 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Apache Corp. | 80,000 | 83,939 | ||||||
Apple Inc. | 84,000 | 85,113 | ||||||
2.85%, 05/11/24 | 174,000 | 176,078 | ||||||
3.35%, 02/09/27 | 63,000 | 64,799 | ||||||
3.45%, 02/09/45 | 53,000 | 50,285 | ||||||
3.85%, 08/04/46 | 257,000 | 259,424 | ||||||
4.25%, 02/09/47 | 29,000 | 31,181 | ||||||
4.65%, 02/23/46 | 30,000 | 33,983 | ||||||
Applied Materials Inc. | 80,000 | 81,402 | ||||||
4.35%, 04/01/47 | 53,000 | 56,981 | ||||||
Aramark Services Inc. | 179,000 | 190,026 | ||||||
Archer-Daniels-Midland Co. | 112,000 | 107,322 | ||||||
Arconic Inc. | 60,000 | 65,475 | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc. | 200,000 | 205,260 | ||||||
Ascension Health | 41,000 | 47,231 | ||||||
AstraZeneca PLC | 54,000 | 54,245 | ||||||
3.13%, 06/12/27 | 63,000 | 62,259 | ||||||
3.38%, 11/16/25 | 86,000 | 87,549 | ||||||
AT&T Inc. | 115,000 | 115,838 | ||||||
2.85%, 02/14/23 | 285,000 | 283,395 | ||||||
3.00%, 06/30/22 | 151,000 | 152,496 | ||||||
3.40%, 08/14/24 | 84,000 | 84,184 | ||||||
3.90%, 08/14/27 | 235,000 | 235,390 | ||||||
4.45%, 04/01/24 | 114,000 | 121,141 | ||||||
4.50%, 05/15/35 | 136,000 | 134,186 | ||||||
4.80%, 06/15/44 | 109,000 | 105,953 | ||||||
4.90%, 08/14/37 | 95,000 | 96,038 | ||||||
5.15%, 02/14/50 | 213,000 | 214,510 | ||||||
5.25%, 03/01/37 | 116,000 | 122,230 | ||||||
5.30%, 08/14/58 | 86,000 | 86,998 | ||||||
5.45%, 03/01/47 | 146,000 | 154,220 | ||||||
Bank of America Corp. | 357,000 | 349,507 | ||||||
3.88%, 08/01/25 | 178,000 | 186,645 | ||||||
3.95%, 04/21/25 | 157,000 | 161,708 | ||||||
4.25%, 10/22/26 | 66,000 | 69,061 | ||||||
Bank of America Corp. (2.37% fixed rate until 07/21/20; 0.66% + 3 month USD LIBOR thereafter) | 144,000 | 144,009 |
See Notes to Schedules of Investments and Notes to Financial Statements.
62 | State Street Institutional Strategic Investment Fund |
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Principal Amount ($) or Shares | Fair Value $ | |||||||
Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter) | 198,000 | 201,560 | ||||||
Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) | 204,000 | 215,091 | ||||||
Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR thereafter) | 88,000 | 95,211 | ||||||
Bank of America Corp. (8.00% fixed rate until 01/30/18; 3.63% + 3 month USD LIBOR thereafter) | 309,000 | 313,400 | ||||||
Barclays PLC | 200,000 | 206,860 | ||||||
4.84%, 05/09/28 | 200,000 | 207,268 | ||||||
Barrick North America Finance LLC | 30,000 | 35,760 | ||||||
BAT Capital Corp. | 145,000 | 145,631 | ||||||
2.76%, 08/15/22 (b) | 144,000 | 144,831 | ||||||
3.56%, 08/15/27 (b) | 143,000 | 144,204 | ||||||
4.39%, 08/15/37 (b) | 68,000 | 69,725 | ||||||
4.54%, 08/15/47 (b) | 97,000 | 99,530 | ||||||
Baxalta Inc. | 132,000 | 134,063 | ||||||
Becton Dickinson and Co. | 126,000 | 126,479 | ||||||
3.70%, 06/06/27 | 214,000 | 216,442 | ||||||
3.73%, 12/15/24 | 9,000 | 9,236 | ||||||
4.67%, 06/06/47 | 37,000 | 38,742 | ||||||
4.69%, 12/15/44 | 5,000 | 5,260 | ||||||
Berkshire Hathaway Energy Co. | 364,000 | 468,184 | ||||||
Berry Global Inc. | 220,000 | 230,186 | ||||||
BHP Billiton Finance USA Ltd. | 51,000 | 60,105 | ||||||
Biogen Inc. | 50,000 | 51,195 | ||||||
Boardwalk Pipelines LP | 29,000 | 29,578 | ||||||
BP Capital Markets PLC | 200,000 | 199,875 | ||||||
3.22%, 11/28/23 | 135,000 | �� | 138,171 | |||||
3.28%, 09/19/27 | 201,000 | 200,950 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Brighthouse Financial Inc. | 23,000 | 22,580 | ||||||
4.70%, 06/22/47 (b) | 13,000 | 12,740 | ||||||
Brixmor Operating Partnership LP | 365,000 | 361,474 | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 80,000 | 81,376 | ||||||
3.63%, 01/15/24 (b) | 75,000 | 77,185 | ||||||
3.88%, 01/15/27 (b) | 51,000 | 52,525 | ||||||
Buckeye Partners LP | 82,000 | 81,246 | ||||||
5.60%, 10/15/44 | 38,000 | 39,355 | ||||||
Bunge Limited Finance Corp. | 144,000 | 143,863 | ||||||
Burlington Northern Santa Fe LLC | 88,000 | 92,881 | ||||||
CalAtlantic Group Inc. | 215,000 | 222,525 | ||||||
Calpine Corp. | 289,000 | 298,768 | ||||||
Canadian Natural Resources Ltd. 3.85%, 06/01/27 | 76,000 | 76,724 | ||||||
4.95%, 06/01/47 | 51,000 | 53,849 | ||||||
Capital One Financial Corp. | 149,000 | 153,027 | ||||||
Cardinal Health Inc. | 62,000 | 61,876 | ||||||
3.08%, 06/15/24 | 76,000 | 76,489 | ||||||
3.41%, 06/15/27 | 62,000 | 62,147 | ||||||
4.37%, 06/15/47 | 31,000 | 31,919 | ||||||
Carlson Travel Inc. | 209,000 | 207,432 | ||||||
Caterpillar Inc. | 82,000 | 89,592 | ||||||
Catholic Health Initiatives | 105,000 | 105,751 | ||||||
4.35%, 11/01/42 | 82,000 | 76,914 | ||||||
CBL & Associates LP | 21,000 | 21,260 | ||||||
CBS Corp. | 77,000 | 72,941 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 215,000 | 228,179 | ||||||
Celgene Corp. | 76,000 | 86,813 | ||||||
Cenovus Energy Inc. | 25,000 | 24,875 | ||||||
CenterPoint Energy Inc. | 145,000 | 144,738 | ||||||
CenturyLink Inc. | 269,000 | 268,327 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 63 |
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Principal Amount ($) or Shares | Fair Value $ | |||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. | 347,000 | 353,940 | ||||||
CF Industries Inc. | 122,000 | 135,274 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 173,000 | 177,638 | ||||||
4.91%, 07/23/25 | 250,000 | 267,493 | ||||||
5.38%, 05/01/47 (b) | 57,000 | 59,159 | ||||||
6.38%, 10/23/35 | 25,000 | 29,142 | ||||||
6.48%, 10/23/45 | 50,000 | 58,630 | ||||||
Chevron Corp. | 124,000 | 128,676 | ||||||
Church & Dwight Company Inc. | 77,000 | 76,716 | ||||||
3.15%, 08/01/27 | 127,000 | 125,688 | ||||||
Cigna Corp. | 126,000 | 127,549 | ||||||
3.88%, 10/15/47 | 86,000 | 85,997 | ||||||
Cimarex Energy Co. | 86,000 | 87,550 | ||||||
Cisco Systems Inc. | 133,000 | 129,013 | ||||||
Citigroup Inc. | 317,000 | 317,094 | ||||||
2.05%, 12/07/18 | 240,000 | 240,427 | ||||||
2.90%, 12/08/21 | 144,000 | 145,742 | ||||||
4.45%, 09/29/27 | 9,000 | 9,498 | ||||||
4.65%, 07/30/45 | 44,000 | 48,651 | ||||||
Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) | 285,000 | 285,302 | ||||||
Citigroup Inc. (3.67% fixed rate until 07/24/27; 1.39% + 3 month USD LIBOR thereafter) | 143,000 | 144,411 | ||||||
Citigroup Inc. (4.28% fixed rate until 04/24/47; 1.84% + 3 month USD LIBOR thereafter) | 202,000 | 211,936 | ||||||
CMS Energy Corp. | 171,000 | 190,925 | ||||||
CNA Financial Corp. | 87,000 | 85,961 | ||||||
5.88%, 08/15/20 | 167,000 | 182,244 | ||||||
CNH Industrial N.V. | 215,000 | 227,685 | ||||||
CNOOC Nexen Finance 2014 ULC | 349,000 | 370,980 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Columbia Pipeline Group Inc. | 87,000 | 88,964 | ||||||
Comcast Corp. | 45,000 | 46,315 | ||||||
4.20%, 08/15/34 | 127,000 | 134,338 | ||||||
4.60%, 08/15/45 | 76,000 | 83,573 | ||||||
Concho Resources Inc. | 44,000 | 44,286 | ||||||
4.88%, 10/01/47 | 57,000 | 59,597 | ||||||
ConocoPhillips Co. | 235,000 | 241,763 | ||||||
5.95%, 03/15/46 | 26,000 | 33,703 | ||||||
Consolidated Edison Company of New York Inc. | 155,000 | 152,548 | ||||||
Constellation Brands Inc. | 126,000 | 126,218 | ||||||
3.50%, 05/09/27 | 79,000 | 79,781 | ||||||
4.50%, 05/09/47 | 37,000 | 39,007 | ||||||
Continental Resources Inc. | 61,000 | 61,994 | ||||||
Corporation Andina de Fomento | 143,000 | 143,182 | ||||||
Costco Wholesale Corp. | 126,000 | 126,014 | ||||||
Credit Agricole S.A. | 250,000 | 249,955 | ||||||
Credit Suisse AG | 314,000 | 314,247 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | ||||||||
3.13%, 12/10/20 | 250,000 | 254,995 | ||||||
3.80%, 06/09/23 | 385,000 | 398,340 | ||||||
CSX Corp. | 78,000 | 80,218 | ||||||
CVS Health Corp. | 86,000 | 89,675 | ||||||
5.13%, 07/20/45 | 173,000 | 198,808 | ||||||
Daimler Finance North America LLC | 374,000 | 376,044 | ||||||
Dana Financing Luxembourg Sarl | 215,000 | 232,200 | ||||||
Danaher Corp. | 28,000 | 30,463 | ||||||
Dell International LLC/EMC Corp. | 181,000 | 184,530 | ||||||
4.42%, 06/15/21 (b) | 135,000 | 141,626 | ||||||
6.02%, 06/15/26 (b) | 66,000 | 73,218 | ||||||
8.35%, 07/15/46 (b) | 56,000 | 71,770 | ||||||
Delphi Automotive PLC | 72,000 | 72,575 |
See Notes to Schedules of Investments and Notes to Financial Statements.
64 | State Street Institutional Strategic Investment Fund |
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Schedule of Investments, continued — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
Deutsche Bank AG | 285,000 | 286,345 | ||||||
Deutsche Telekom International Finance BV | 213,000 | 208,641 | ||||||
Devon Energy Corp. | 58,000 | 61,105 | ||||||
5.85%, 12/15/25 | 54,000 | 62,316 | ||||||
Diageo Investment Corp. | 90,000 | 92,239 | ||||||
Discover Bank | 250,000 | 255,333 | ||||||
Discovery Communications LLC | 140,000 | 140,508 | ||||||
3.95%, 03/20/28 | 145,000 | 144,696 | ||||||
5.00%, 09/20/37 | 55,000 | 56,160 | ||||||
5.20%, 09/20/47 | 55,000 | 55,930 | ||||||
Dollar General Corp. | 247,000 | 247,257 | ||||||
Dominion Energy Inc. | 119,000 | 119,715 | ||||||
3.63%, 12/01/24 | 111,000 | 114,750 | ||||||
DTE Energy Co. | 224,000 | 214,312 | ||||||
Duke Energy Corp. | 85,000 | 81,818 | ||||||
Duke Energy Progress LLC | 100,000 | 106,287 | ||||||
Duquesne Light Holdings Inc. | 145,000 | 144,237 | ||||||
Eastman Chemical Co. | 56,000 | 58,224 | ||||||
Eaton Corp. | 144,000 | 142,440 | ||||||
Ecopetrol S.A. | 145,000 | 142,245 | ||||||
EI du Pont de Nemours & Co. 0.53% + 3 month USD LIBOR | 124,000 | 125,046 | ||||||
Electricite de France S.A. | 368,000 | 369,433 | ||||||
Eli Lilly & Co. | 60,000 | 60,625 | ||||||
3.70%, 03/01/45 | 24,000 | 24,101 | ||||||
3.95%, 05/15/47 | 37,000 | 38,783 | ||||||
Embraer Netherlands Finance BV | 65,000 | 70,272 | ||||||
EMC Corp. | 304,000 | 300,200 | ||||||
Emera US Finance LP | 132,000 | 132,863 | ||||||
4.75%, 06/15/46 | 39,000 | 41,941 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Enbridge Energy Partners LP | 23,000 | 24,233 | ||||||
Enbridge Inc. (5.50% fixed rate until 07/15/27; 3.42% + 3 month USD LIBOR until 07/15/47; 4.17% + 3 month USD LIBOR thereafter) | 127,000 | 128,694 | ||||||
Encana Corp. | 135,000 | 138,544 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco Inc. | 210,000 | 220,248 | ||||||
Enel Finance International N.V. | 238,000 | 238,484 | ||||||
4.75%, 05/25/47 (b) | 200,000 | 211,681 | ||||||
Energy Transfer Equity LP | 571,000 | 613,825 | ||||||
Energy Transfer LP | 62,000 | 62,095 | ||||||
6.50%, 02/01/42 | 91,000 | 103,162 | ||||||
Energy Transfer LP/Regency Energy Finance Corp. | 107,000 | 112,042 | ||||||
EnLink Midstream Partners LP (6.00% fixed rate until 12/15/22; 4.11% + 3 month USD LIBOR thereafter) | 184,000 | 184,182 | ||||||
Entergy Louisiana LLC | 109,000 | 105,168 | ||||||
Enterprise Products Operating LLC | 166,000 | 174,237 | ||||||
EOG Resources Inc. | 134,000 | 142,150 | ||||||
EQT Corp. | 145,000 | 145,532 | ||||||
3.90%, 10/01/27 (c) | 145,000 | 145,087 | ||||||
ERP Operating LP | 56,000 | 59,905 | ||||||
Exelon Corp. | 235,000 | 241,860 | ||||||
4.45%, 04/15/46 (l) | 160,000 | 167,469 | ||||||
Express Scripts Holding Co. | 135,000 | 133,518 | ||||||
4.80%, 07/15/46 (l) | 41,000 | 43,377 | ||||||
Exxon Mobil Corp. | 84,000 | 84,592 | ||||||
3.04%, 03/01/26 (l) | 66,000 | 67,185 | ||||||
FedEx Corp. | 2,000 | 1,976 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 65 |
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Schedule of Investments, continued — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
FirstEnergy Corp. | 102,000 | 103,897 | ||||||
4.85%, 07/15/47 | 35,000 | 36,733 | ||||||
Florida Power & Light Co. | 58,000 | 62,300 | ||||||
Ford Motor Co. | 204,000 | 212,085 | ||||||
Ford Motor Credit Company LLC | 360,000 | 365,004 | ||||||
Freeport-McMoRan Inc. | 182,000 | 182,364 | ||||||
Frontier Communications Corp. | 295,000 | 292,050 | ||||||
11.00%, 09/15/25 (l) | 175,000 | 148,750 | ||||||
General Dynamics Corp. | 59,000 | 55,438 | ||||||
General Motors Co. | 25,000 | 25,262 | ||||||
General Motors Financial Company Inc. | 160,000 | 162,965 | ||||||
5.25%, 03/01/26 (l) | 194,000 | 211,285 | ||||||
Georgia-Pacific LLC | 9,000 | 9,300 | ||||||
Gilead Sciences Inc. | 81,000 | 79,759 | ||||||
2.95%, 03/01/27 | 76,000 | 75,251 | ||||||
3.65%, 03/01/26 (l) | 98,000 | 102,293 | ||||||
4.15%, 03/01/47 (l) | 82,000 | 84,169 | ||||||
4.80%, 04/01/44 (l) | 48,000 | 53,849 | ||||||
Glencore Finance Canada Ltd. | 40,000 | 44,244 | ||||||
Glencore Funding LLC | 144,000 | 144,872 | ||||||
Grupo Televisa SAB | 200,000 | 200,378 | ||||||
H&E Equipment Services Inc. | 15,000 | 15,788 | ||||||
Halliburton Co. | 125,000 | 128,524 | ||||||
5.00%, 11/15/45 (l) | 75,000 | 82,185 | ||||||
HCA Inc. | 429,000 | 452,080 | ||||||
Hess Corp. | 69,000 | 68,636 | ||||||
5.60%, 02/15/41 (l) | 55,000 | 54,900 | ||||||
5.80%, 04/01/47 (l) | 41,000 | 42,116 | ||||||
Hewlett Packard Enterprise Co. | 41,000 | 43,444 | ||||||
Honeywell International Inc. | 213,000 | 204,073 | ||||||
HSBC Holdings PLC | 200,000 | 203,732 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
4.25%, 03/14/24 (l) | 200,000 | 209,072 | ||||||
HSBC Holdings PLC (3.26% fixed rate until 03/13/22; 1.06% + 3 month USD LIBOR thereafter) 3.26%, 03/13/23 (h)(l) | 355,000 | 362,476 | ||||||
HSBC Holdings PLC (6.00% fixed rate until 05/22/27; 3.75% + USD 5 year Mid-Market Swap Rate thereafter) | 220,000 | 230,098 | ||||||
Hyundai Capital America | 118,000 | 118,000 | ||||||
3.10%, 04/05/22 (b)(l) | 69,000 | 68,656 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 182,000 | 187,824 | ||||||
ING Bank N.V. | 200,000 | 202,833 | ||||||
Ingersoll-Rand Luxembourg Finance S.A. | 160,000 | 165,720 | ||||||
Intel Corp. | 125,000 | 127,281 | ||||||
2.60%, 05/19/26 (l) | 80,000 | 78,115 | ||||||
2.88%, 05/11/24 (l) | 122,000 | 123,464 | ||||||
International Business Machines Corp. | 101,000 | 102,608 | ||||||
3.63%, 02/12/24 (l) | 177,000 | 185,616 | ||||||
International Flavors & Fragrances Inc. | 37,000 | 38,020 | ||||||
International Paper Co. | 125,000 | 126,328 | ||||||
Interstate Power & Light Co. | 335,000 | 339,558 | ||||||
Intesa Sanpaolo S.p.A. | 200,000 | 200,756 | ||||||
IPALCO Enterprises Inc. | 15,000 | 15,130 | ||||||
j2 Cloud Services LLC/j2 Global Co-Obligor Inc. | 17,000 | 17,745 | ||||||
JB Poindexter & Company Inc. | 83,000 | 86,735 | ||||||
JBS USA LUX S.A./JBS USA Finance Inc. | 94,000 | 92,859 | ||||||
Jefferies Group LLC | 273,000 | 298,143 | ||||||
6.50%, 01/20/43 | 90,000 | 103,162 | ||||||
Johnson & Johnson | 94,000 | 98,021 |
See Notes to Schedules of Investments and Notes to Financial Statements.
66 | State Street Institutional Strategic Investment Fund |
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Schedule of Investments, continued — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
Johnson Controls International PLC | 51,000 | 54,100 | ||||||
JPMorgan Chase & Co. | 80,000 | 79,890 | ||||||
2.55%, 10/29/20 | 128,000 | 129,434 | ||||||
3.30%, 04/01/26 | 229,000 | 229,747 | ||||||
3.63%, 12/01/27 | 81,000 | 81,182 | ||||||
JPMorgan Chase & Co. (3.22% fixed rate until 03/01/24; 1.16% + 3 month USD LIBOR thereafter) | 138,000 | 140,193 | ||||||
JPMorgan Chase & Co. (3.78% fixed rate until 02/01/27; 1.34% + 3 month USD LIBOR thereafter) | 94,000 | 96,709 | ||||||
JPMorgan Chase & Co. (3.88% fixed rate until 07/24/17; 1.36% + 3 month USD LIBOR thereafter) | 183,000 | 183,988 | ||||||
JPMorgan Chase & Co. (3.54% fixed rate until 05/01/27; 1.38% + 3 month USD LIBOR thereafter) | 219,000 | 221,475 | ||||||
JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR thereafter) | 147,000 | 148,588 | ||||||
JPMorgan Chase & Co. (5.00% fixed rate until 07/01/19; 3.32% + 3 month USD LIBOR thereafter) | 105,000 | 106,785 | ||||||
JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) | 312,000 | 344,367 | ||||||
JPMorgan Chase & Co. (7.90% fixed rate until 04/30/18; 3.47% + 3 month USD LIBOR thereafter) | 144,000 | 148,111 | ||||||
KB Home | 201,000 | 224,743 | ||||||
Kinder Morgan Energy Partners LP | 56,000 | 56,670 | ||||||
6.38%, 03/01/41 | 54,000 | 62,237 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Kinder Morgan Inc. | 50,000 | 50,893 | ||||||
5.05%, 02/15/46 | 54,000 | 55,464 | ||||||
5.55%, 06/01/45 | 75,000 | 80,814 | ||||||
Kraft Heinz Foods Co. | 102,000 | 97,940 | ||||||
4.38%, 06/01/46 | 103,000 | 101,269 | ||||||
L Brands Inc. | 130,000 | 138,762 | ||||||
Lee Enterprises Inc. | 300,000 | 311,062 | ||||||
Lennar Corp. | 149,000 | 154,122 | ||||||
4.75%, 05/30/25 | 150,000 | 156,656 | ||||||
Levi Strauss & Co. | 222,000 | 234,210 | ||||||
Lincoln National Corp. | 169,000 | 171,111 | ||||||
Lithia Motors Inc. | 37,000 | 38,388 | ||||||
Lloyds Banking Group PLC | 400,000 | 407,264 | ||||||
Lockheed Martin Corp. | 114,000 | 117,793 | ||||||
3.80%, 03/01/45 | 54,000 | 52,728 | ||||||
4.70%, 05/15/46 | 57,000 | 63,807 | ||||||
Lowe’s Companies Inc. | 153,000 | 148,454 | ||||||
LYB International Finance BV | 41,000 | 44,875 | ||||||
LYB International Finance II BV | 138,000 | 137,536 | ||||||
Macy’s Retail Holdings Inc. | 29,000 | 23,387 | ||||||
Marathon Oil Corp. | 68,000 | 67,976 | ||||||
Marathon Petroleum Corp. | 118,000 | 120,217 | ||||||
Marsh & McLennan Companies Inc. | 136,000 | 140,265 | ||||||
Masco Corp. | 27,000 | 28,637 | ||||||
McDonald’s Corp. | 93,000 | 96,931 | ||||||
4.88%, 12/09/45 | 54,000 | 60,718 | ||||||
Medtronic Inc. | 105,000 | 109,490 | ||||||
4.63%, 03/15/45 | 82,000 | 93,379 | ||||||
Memorial Sloan-Kettering Cancer Center | 79,000 | 81,241 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 67 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
Merck & Company Inc. | 234,000 | 234,711 | ||||||
MetLife Inc. | 89,000 | 99,114 | ||||||
Mexichem SAB de C.V. | 200,000 | 198,996 | ||||||
5.50%, 01/15/48 (b)(c) | 200,000 | 197,256 | ||||||
MGM Resorts International | 222,000 | 235,054 | ||||||
6.63%, 12/15/21 | 370,000 | 416,805 | ||||||
Microsoft Corp. | 132,000 | 129,583 | ||||||
2.40%, 08/08/26 | 153,000 | 147,949 | ||||||
3.45%, 08/08/36 | 82,000 | 82,544 | ||||||
3.70%, 08/08/46 | 82,000 | 82,741 | ||||||
4.00%, 02/12/55 | 119,000 | 123,302 | ||||||
4.10%, 02/06/37 | 41,000 | 44,653 | ||||||
4.25%, 02/06/47 | 84,000 | 92,815 | ||||||
Mizuho Bank Ltd. | 420,000 | 422,768 | ||||||
Mizuho Financial Group Inc. | 362,000 | 361,702 | ||||||
Molina Healthcare Inc. | 120,000 | 118,200 | ||||||
Molson Coors Brewing Co. | 174,000 | 171,679 | ||||||
3.00%, 07/15/26 | 126,000 | 122,728 | ||||||
4.20%, 07/15/46 | 57,000 | 57,145 | ||||||
Monsanto Co. | 32,000 | 32,105 | ||||||
Morgan Stanley | 130,000 | 130,881 | ||||||
2.63%, 11/17/21 (l) | 229,000 | 229,696 | ||||||
2.65%, 01/27/20 (l) | 109,000 | 110,269 | ||||||
2.75%, 05/19/22 | 144,000 | 144,723 | ||||||
3.63%, 01/20/27 (l) | 133,000 | 134,668 | ||||||
3.70%, 10/23/24 (l) | 73,000 | 75,683 | ||||||
3.95%, 04/23/27 (l) | 257,000 | 261,834 | ||||||
4.10%, 05/22/23 (l) | 297,000 | 310,929 | ||||||
4.38%, 01/22/47 (l) | 115,000 | 122,308 | ||||||
Morgan Stanley (3.59% fixed rate until 07/22/27; 1.34% + 3 month USD LIBOR thereafter) | 229,000 | 230,021 | ||||||
Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | 85,000 | 85,477 | ||||||
MPLX LP | 41,000 | 42,983 | ||||||
Murphy Oil Corp. | 211,000 | 217,056 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Mylan N.V. | 63,000 | 64,089 | ||||||
3.95%, 06/15/26 | 66,000 | 67,239 | ||||||
National Retail Properties Inc. | 131,000 | 134,309 | ||||||
Navient Corp. | 243,000 | 267,616 | ||||||
NCL Corporation Ltd. | 186,000 | 192,975 | ||||||
Newell Brands Inc. | 135,000 | 141,789 | ||||||
4.20%, 04/01/26 | 135,000 | 142,258 | ||||||
5.50%, 04/01/46 | 37,000 | 43,936 | ||||||
Newmont Mining Corp. | 109,000 | 116,657 | ||||||
Nexen Energy ULC | 39,000 | 50,058 | ||||||
NGPL PipeCo LLC | 37,000 | 38,772 | ||||||
Noble Energy Inc. | 150,000 | 153,744 | ||||||
Nordstrom Inc. | 7,000 | 6,877 | ||||||
Northern States Power Co. | 337,000 | 338,614 | ||||||
Northrop Grumman Corp. | 29,000 | 28,220 | ||||||
Novartis Capital Corp. | 18,000 | 18,332 | ||||||
4.00%, 11/20/45 | 29,000 | 30,893 | ||||||
NRG Energy Inc. | 184,000 | 193,200 | ||||||
Nucor Corp. | 61,000 | 65,083 | ||||||
NuStar Logistics LP | 122,000 | 126,917 | ||||||
Occidental Petroleum Corp. | 69,000 | 70,670 | ||||||
Omnicom Group Inc. | 79,000 | 82,351 | ||||||
Oncor Electric Delivery Company LLC | 24,000 | 24,177 | ||||||
Oracle Corp. | 99,000 | 98,294 | ||||||
2.40%, 09/15/23 | 94,000 | 93,480 | ||||||
4.00%, 07/15/46 | 82,000 | 84,790 | ||||||
4.13%, 05/15/45 | 51,000 | 53,387 | ||||||
Owens-Brockway Glass Container Inc. | 100,000 | 113,125 | ||||||
Pacific Gas & Electric Co. | 506,000 | 522,824 |
See Notes to Schedules of Investments and Notes to Financial Statements.
68 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
PacifiCorp | 3,000 | 4,017 | ||||||
Parker-Hannifin Corp. | 252,000 | 253,552 | ||||||
PepsiCo Inc. | 51,000 | 48,372 | ||||||
Perrigo Finance Unlimited Co. | 200,000 | 204,126 | ||||||
Petroleos Mexicanos | 277,000 | 276,327 | ||||||
5.38%, 03/13/22 (b)(l) | 180,000 | 192,285 | ||||||
5.63%, 01/23/46 (l) | 67,000 | 62,473 | ||||||
6.38%, 01/23/45 (l) | 91,000 | 92,874 | ||||||
6.50%, 03/13/27 (b) | 130,000 | 143,988 | ||||||
6.75%, 09/21/47 | 144,000 | 153,518 | ||||||
PetSmart Inc. | 210,000 | 183,225 | ||||||
Pfizer Inc. | 175,000 | 177,212 | ||||||
4.13%, 12/15/46 | 67,000 | 71,809 | ||||||
4.40%, 05/15/44 | 40,000 | 44,391 | ||||||
Philip Morris International Inc. | 104,000 | 106,384 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 55,000 | 49,731 | ||||||
5.75%, 01/15/20 | 101,000 | 107,483 | ||||||
Potash Corporation of Saskatchewan Inc. | 60,000 | 62,545 | ||||||
PPL Capital Funding Inc. | 202,000 | 198,879 | ||||||
Precision Castparts Corp. | 81,000 | 88,834 | ||||||
Prudential Financial Inc. | 72,000 | 73,226 | ||||||
Prudential Financial Inc. 3.03% + 3 month USD LIBOR | 136,000 | 147,270 | ||||||
PulteGroup Inc. | 160,000 | 174,464 | ||||||
QUALCOMM Inc. | 126,000 | 126,524 | ||||||
2.90%, 05/20/24 | 126,000 | 126,593 | ||||||
3.25%, 05/20/27 | 45,000 | 45,347 | ||||||
4.30%, 05/20/47 | 51,000 | 52,232 | ||||||
Realty Income Corp. | 200,000 | 190,846 | ||||||
Reynolds American Inc. | 2,000 | 2,146 | ||||||
5.85%, 08/15/45 | 33,000 | 40,054 | ||||||
Rio Tinto Finance USA PLC | 71,000 | 73,988 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Rockwell Collins Inc. | 124,000 | 126,300 | ||||||
3.50%, 03/15/27 | 66,000 | 67,298 | ||||||
4.35%, 04/15/47 | 63,000 | 65,516 | ||||||
Rogers Communications Inc. | 45,000 | 50,862 | ||||||
Royal Bank of Scotland Group (3.50% fixed rate until 05/15/22; 1.48% + 3 month USD LIBOR thereafter) | 200,000 | 201,558 | ||||||
RPM International Inc. | 128,000 | 129,870 | ||||||
Ryder System Inc. | 268,000 | 269,897 | ||||||
Sabine Pass Liquefaction LLC | 302,000 | 303,936 | ||||||
5.00%, 03/15/27 | 63,000 | 66,995 | ||||||
Santander Holdings USA Inc. | 251,000 | 252,160 | ||||||
3.70%, 03/28/22 (b) | 217,000 | 221,177 | ||||||
4.40%, 07/13/27 (b) | 100,000 | 101,999 | ||||||
Schlumberger Holdings Corp. | 101,000 | 103,440 | ||||||
4.00%, 12/21/25 (b) | 36,000 | 37,763 | ||||||
Select Income REIT | 136,000 | 137,416 | ||||||
Shell International Finance BV | 135,000 | 134,302 | ||||||
3.75%, 09/12/46 | 51,000 | 49,468 | ||||||
4.13%, 05/11/35 | 75,000 | 79,291 | ||||||
Shire Acquisitions Investments Ireland DAC | 22,000 | 21,887 | ||||||
3.20%, 09/23/26 | 58,000 | 57,157 | ||||||
Siemens Financieringsmaatschappij N.V. | 345,000 | 354,973 | ||||||
Simon Property Group LP | 139,000 | 139,657 | ||||||
Sinclair Television Group Inc. | 387,000 | 397,159 | ||||||
Smithfield Foods Inc. | 56,000 | 56,172 | ||||||
4.25%, 02/01/27 (b) | 73,000 | 75,467 | ||||||
Southern California Edison Co. | 135,000 | 135,408 | ||||||
Southern Copper Corp. | 73,000 | 83,771 | ||||||
Spectra Energy Partners LP | 67,000 | 66,514 | ||||||
4.50%, 03/15/45 | 26,000 | 26,319 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 69 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
Sprint Corp. | 98,000 | 112,269 | ||||||
Standard Industries Inc. | 242,000 | 257,125 | ||||||
Statoil ASA | 84,000 | 84,435 | ||||||
Sumitomo Life Insurance Co. (4.00% fixed rate until 09/14/27; 2.99% + 3 month USD LIBOR thereafter) | 200,000 | 196,278 | ||||||
Sumitomo Mitsui Banking Corp. | 253,000 | 253,972 | ||||||
Sunoco Logistics Partners Operations LP | 141,000 | 143,851 | ||||||
Sunoco LP/Sunoco Finance Corp. | 270,000 | 278,100 | ||||||
6.25%, 04/15/21 | 72,000 | 75,449 | ||||||
SunTrust Banks Inc. (5.05% fixed rate until 06/15/22; 3.10% + 3 month USD LIBOR thereafter) | 349,000 | 356,852 | ||||||
SUPERVALU Inc. | 104,000 | 99,320 | ||||||
Sysco Corp. | 126,000 | 125,355 | ||||||
T-Mobile USA Inc. | 232,000 | 243,020 | ||||||
Tampa Electric Co. | 140,000 | 147,494 | ||||||
Target Corp. | 134,000 | 128,262 | ||||||
Teachers Insurance & Annuity Association of America | 123,000 | 138,914 | ||||||
Teck Resources Ltd. | 123,000 | 129,842 | ||||||
TEGNA Inc. | 94,000 | 98,935 | ||||||
Tenet Healthcare Corp. | 182,000 | 187,387 | ||||||
6.00%, 10/01/20 | 347,000 | 369,798 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 145,000 | 144,326 | ||||||
1.70%, 07/19/19 | 86,000 | 84,763 | ||||||
3.15%, 10/01/26 | 137,000 | 126,414 | ||||||
4.10%, 10/01/46 | 45,000 | 38,345 | ||||||
The Allstate Corp. | 63,000 | 67,005 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | 150,000 | 164,310 | ||||||
The Bank of New York Mellon Corp. | 129,000 | 129,428 | ||||||
The Bank of New York Mellon Corp. (3.44% fixed rate until 02/07/27; 1.07% + 3 month USD LIBOR thereafter) | 136,000 | 139,453 | ||||||
The Bank of New York Mellon Corp. (4.63% fixed rate until 08/01/16; 3.13% + 3 month USD LIBOR thereafter) | 292,000 | 297,898 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd. | 400,000 | 401,885 | ||||||
The Dow Chemical Co. | 128,000 | 131,909 | ||||||
The Estee Lauder Companies Inc. | 59,000 | 59,814 | ||||||
The Goldman Sachs Group Inc. | 138,000 | 138,614 | ||||||
2.35%, 11/15/21 (l) | 226,000 | 224,126 | ||||||
2.38%, 01/22/18 (l) | 234,000 | 234,551 | ||||||
2.63%, 04/25/21 (l) | 182,000 | 182,850 | ||||||
2.90%, 07/19/18 (l) | 173,000 | 174,573 | ||||||
3.85%, 01/26/27 (l) | 198,000 | 201,998 | ||||||
4.25%, 10/21/25 (l) | 46,000 | 47,977 | ||||||
4.80%, 07/08/44 (l) | 133,000 | 148,743 | ||||||
5.15%, 05/22/45 (l) | 129,000 | 147,679 | ||||||
The Goldman Sachs Group Inc. (2.91% fixed rate until 07/22/24; 0.99% + 3 month USD LIBOR thereafter) | 139,000 | 139,104 | ||||||
The Goldman Sachs Group Inc. (2.91% fixed rate until 06/05/22; 1.05% + 3 month USD LIBOR thereafter) | 276,000 | 276,265 | ||||||
The Goldman Sachs Group Inc. (3.27% fixed rate until 09/29/24; 1.20% + 3 month USD LIBOR thereafter) | 162,000 | 162,363 | ||||||
The Goldman Sachs Group Inc. (3.69% fixed rate until 06/05/27; 1.51% + 3 month USD LIBOR thereafter) | 138,000 | 139,317 |
See Notes to Schedules of Investments and Notes to Financial Statements.
70 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
The Home Depot Inc. | 160,000 | 165,534 | ||||||
3.50%, 09/15/56 | 95,000 | 87,469 | ||||||
3.90%, 06/15/47 | 76,000 | 77,762 | ||||||
The Kroger Co. | 160,000 | 161,421 | ||||||
4.65%, 01/15/48 | 90,000 | 87,396 | ||||||
The Mosaic Co. | 26,000 | 26,563 | ||||||
The Nielsen Company Luxembourg Sarl | 144,000 | 149,760 | ||||||
The Sherwin-Williams Co. | 122,000 | 122,479 | ||||||
2.75%, 06/01/22 | 48,000 | 48,318 | ||||||
3.13%, 06/01/24 | 125,000 | 125,888 | ||||||
3.45%, 06/01/27 | 122,000 | 122,997 | ||||||
4.50%, 06/01/47 | 90,000 | 94,596 | ||||||
The Southern Co. | 83,000 | 82,047 | ||||||
4.40%, 07/01/46 | 59,000 | 61,115 | ||||||
The Southern Co. (5.50% fixed rate until 03/15/22; 3.63% + 3 month USD LIBOR thereafter) | 114,000 | 120,864 | ||||||
The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + USD 5 year Swap Rate thereafter) | 112,000 | 111,233 | ||||||
The Walt Disney Co. | 55,000 | 57,599 | ||||||
Time Warner Cable LLC | 25,000 | 23,658 | ||||||
6.55%, 05/01/37 | 84,000 | 98,635 | ||||||
Time Warner Inc. | 142,000 | 142,274 | ||||||
5.35%, 12/15/43 | 169,000 | 182,104 | ||||||
TransCanada PipeLines Ltd. | 70,000 | 78,705 | ||||||
Tyco Electronics Group S.A. | 240,000 | 241,280 | ||||||
3.13%, 08/15/27 | 145,000 | 143,750 | ||||||
Tyson Foods Inc. | 54,000 | 54,638 | ||||||
4.55%, 06/02/47 | 50,000 | 53,484 | ||||||
U.S. Bancorp (5.13% fixed rate until 01/15/21; 3.49% + 3 month USD LIBOR thereafter) | 274,000 | 290,440 | ||||||
UBS Group Funding Switzerland AG | 401,000 | 407,074 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Union Pacific Corp. | 34,000 | 34,497 | ||||||
4.10%, 09/15/67 | 57,000 | 57,654 | ||||||
United Technologies Corp. | 204,000 | 196,950 | ||||||
3.75%, 11/01/46 | 47,000 | 45,346 | ||||||
UnitedHealth Group Inc. | 54,000 | 62,333 | ||||||
Vale Overseas Ltd. | 92,000 | 95,748 | ||||||
5.88%, 06/10/21 | 184,000 | 202,190 | ||||||
6.25%, 08/10/26 | 29,000 | 32,958 | ||||||
6.88%, 11/10/39 | 55,000 | 63,121 | ||||||
Valvoline Inc. | 30,000 | 30,450 | ||||||
Ventas Realty LP | 139,000 | 135,205 | ||||||
Verizon Communications Inc. | 158,000 | 158,637 | ||||||
4.40%, 11/01/34 | 125,000 | 124,951 | ||||||
4.67%, 03/15/55 | 86,000 | 81,852 | ||||||
4.86%, 08/21/46 | 335,000 | 341,388 | ||||||
5.25%, 03/16/37 | 91,000 | 99,874 | ||||||
Viacom Inc. | 77,000 | 74,022 | ||||||
5.25%, 04/01/44 | 91,000 | 87,218 | ||||||
Videotron Ltd. | 15,000 | 15,596 | ||||||
Virgin Media Finance PLC | 202,000 | 209,322 | ||||||
Virginia Electric & Power Co. | 180,000 | 184,846 | ||||||
Visa Inc. | 53,000 | 54,310 | ||||||
4.30%, 12/14/45 | 75,000 | 82,823 | ||||||
Volkswagen Group of America Finance LLC 0.44% + 3 month USD LIBOR | 200,000 | 200,083 | ||||||
Vulcan Materials Co. | 66,000 | 67,494 | ||||||
W.R. Grace & Co. | 367,000 | 403,241 | ||||||
Wabtec Corp. | 146,000 | 143,585 | ||||||
Wal-Mart Stores Inc. | 162,000 | 179,135 | ||||||
Walgreens Boots Alliance Inc. | 41,000 | 43,048 | ||||||
WEC Energy Group Inc. | 250,000 | 257,600 | ||||||
WellCare Health Plans Inc. | 168,000 | 176,820 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 71 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
Wells Fargo & Co. | 285,000 | 285,439 | ||||||
3.90%, 05/01/45 | 74,000 | 74,243 | ||||||
4.75%, 12/07/46 | 139,000 | 152,393 | ||||||
Wells Fargo & Co. (3.58% fixed rate until 05/22/27; 1.31% + 3 month USD LIBOR thereafter) | 138,000 | 139,965 | ||||||
Wells Fargo & Co. (5.90% fixed rate until 06/15/24; 3.11% + 3 month USD LIBOR thereafter) | 183,000 | 199,241 | ||||||
Wells Fargo & Co. (7.98% fixed rate until 03/15/18; 3.77% + 3 month USD LIBOR thereafter) | 144,000 | 147,604 | ||||||
Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) | 190,000 | 211,470 | ||||||
Western Digital Corp. | 35,000 | 38,369 | ||||||
Western Gas Partners LP | 120,000 | 128,676 | ||||||
Westlake Chemical Corp. | 95,000 | 95,109 | ||||||
5.00%, 08/15/46 | 42,000 | 45,781 | ||||||
WestRock Co. | 111,000 | 111,134 | ||||||
Williams Partners LP | ||||||||
3.75%, 06/15/27 | 52,000 | 51,959 | ||||||
3.90%, 01/15/25 | 76,000 | 77,593 | ||||||
4.90%, 01/15/45 | 41,000 | 41,543 | ||||||
5.40%, 03/04/44 | 25,000 | 27,019 | ||||||
Willis North America Inc. | 145,000 | 148,180 | ||||||
Windstream Services LLC | 259,000 | 183,242 | ||||||
WPP Finance 2010 | 234,000 | 239,450 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 169,000 | 171,738 | ||||||
Xilinx Inc. | 100,000 | 100,126 | ||||||
XPO Logistics Inc. | 215,000 | 226,287 | ||||||
|
| |||||||
82,691,203 | ||||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations - 1.3% |
| |||||||
American Tower Trust I (REIT) | 420,000 | 419,235 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Banc of America Commercial Mortgage Trust 2008-1 | 133,112 | 133,711 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PW18 | 261,836 | 261,932 | ||||||
BXP Trust 2017-GM | 635,000 | 646,366 | ||||||
Citigroup Commercial Mortgage Trust 2015-GC33 | 400,000 | 421,163 | ||||||
Citigroup Commercial Mortgage Trust 2016-P5 | 330,977 | 326,461 | ||||||
Citigroup Commercial Mortgage Trust 2016-P6 | ||||||||
3.72%, 12/10/49 (h) | 934,657 | 981,035 | ||||||
4.03%, 12/10/49 (h) | 287,661 | 300,825 | ||||||
COMM 2013-LC13 Mortgage Trust | 140,000 | 152,956 | ||||||
COMM 2014-CR14 Mortgage Trust | 200,000 | 216,238 | ||||||
GS Mortgage Securities Trust 2015-GC28 | 2,237,088 | 122,101 | ||||||
GS Mortgage Securities Trust 2016-GS3 | 673,000 | 661,899 | ||||||
GS Mortgage Securities Trust 2017-GS5 | 730,527 | 764,826 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9 | 876,927 | 54,892 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | 90,000 | 94,943 | ||||||
JPMDB Commercial Mortgage Securities Trust 2017-C5 | 676,308 | 707,663 | ||||||
LB-UBS Commercial Mortgage Trust 2004-C8 | 7,827 | 13 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6 | ||||||||
6.11%, 07/15/40 (b) | 132,044 | 132,044 | ||||||
6.11%, 07/15/40 (h) | 59,240 | 59,222 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | 2,501,342 | 177,713 |
See Notes to Schedules of Investments and Notes to Financial Statements.
72 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | 3,067,457 | 160,819 | ||||||
Morgan Stanley Capital I Trust 2006-IQ11 | 110,000 | 108,583 | ||||||
Morgan Stanley Capital I Trust 2006-T21 | 60,250 | 60,210 | ||||||
Morgan Stanley Capital I Trust 2007-IQ16 | 138,992 | 139,880 | ||||||
Morgan Stanley Capital I Trust 2008-T29 | 110,000 | 110,696 | ||||||
Morgan Stanley Capital I Trust 2016-UBS9 | 2,141,457 | 155,353 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 | 2,527,059 | 177,228 | ||||||
Wells Fargo Commercial Mortgage Trust 2017-RB1 | 427,111 | 444,605 | ||||||
Wells Fargo Mortgage Backed Securities Trust 2006-3 | 3,355 | — | ** | |||||
WFRBS Commercial Mortgage Trust 2013-C17 | 190,000 | 201,452 | ||||||
WFRBS Commercial Mortgage Trust 2014-C25 | 80,000 | 60,134 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | 447,000 | 473,557 | ||||||
4.59%, 03/15/47 (b)(h) | 464,977 | 391,285 | ||||||
|
| |||||||
9,119,040 | ||||||||
|
| |||||||
Sovereign Bonds - 0.4% |
| |||||||
Government of Chile | 200,000 | 203,618 | ||||||
Government of Colombia | 200,000 | 205,942 | ||||||
Government of Mexico | 310,000 | 317,434 | ||||||
4.75%, 03/08/44 | 204,000 | 210,122 | ||||||
Government of Panama | ||||||||
4.00%, 09/22/24 | 200,000 | 213,412 | ||||||
4.50%, 05/15/47 | 220,000 | 232,353 | ||||||
Government of Peru | 109,000 | 137,769 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
Government of Philippines | 200,000 | 219,482 | ||||||
Government of Saudi Arabia | ||||||||
2.88%, 03/04/23 (b)(c) | 402,000 | 400,814 | ||||||
3.63%, 03/04/28 (b)(c) | 402,000 | 400,826 | ||||||
4.63%, 10/04/47 (b)(c) | 201,000 | 201,937 | ||||||
Government of Uruguay | 109,011 | 115,072 | ||||||
|
| |||||||
2,858,781 | ||||||||
|
| |||||||
Municipal Bonds and Notes - 0.2% |
| |||||||
Municipal Electric Authority of Georgia | 169,000 | 213,572 | ||||||
New Jersey Transportation Trust Fund Authority | 65,000 | 67,796 | ||||||
Port Authority of New York & New Jersey | 350,000 | 391,727 | ||||||
South Carolina State Public Service Authority | 120,000 | 154,377 | ||||||
State of California | 175,000 | 196,959 | ||||||
State of Illinois | 75,000 | 75,847 | ||||||
The University of Texas System | 85,000 | 83,744 | ||||||
|
| |||||||
1,184,022 | ||||||||
|
| |||||||
FNMA (TBA) - 0.0%* |
| |||||||
Lehman | 60,172 | 1,300 | ||||||
|
| |||||||
Total Bonds and Notes (Cost $201,201,032) | 203,491,744 | |||||||
|
| |||||||
Exchange Traded & Mutual Funds - 41.7% | ||||||||
Exchange Traded & Mutual Funds - 41.7% |
| |||||||
SPDR Bloomberg Barclays High Yield Bond ETF (m) | 632,267 | 23,596,205 | ||||||
State Street Equity 500 Index II Portfolio (m) | 17,730,650 | 229,080,003 | ||||||
Vanguard FTSE Emerging Markets ETF | 668,255 | 29,115,870 | ||||||
|
| |||||||
Total Exchange Traded & Mutual Funds (Cost $249,661,274) | 281,792,078 | |||||||
|
| |||||||
Total Investments in Securities (Cost $561,210,110) | 622,125,163 | |||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 73 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) or Shares | Fair Value $ | |||||||
Short-Term Investments - 9.5% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.96% | 64,109,601 | 64,109,601 | ||||||
|
| |||||||
Total Investments (Cost $625,319,711) | 686,234,764 | |||||||
Liabilities in Excess of Other Assets, net - (1.6)% | (11,039,155 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | 675,195,609 | |||||||
|
|
Other Information:
During the period ended September 30, 2017, average notional values related to purchased and written option contracts were $28,000 or less than 0.05% of net assets and $72,000 or less than 0.05% of net assets, respectively.
Centrally Cleared Credit Default Swaps - Buy Protection
Reference Entity | Counterparty | Notional Amount (000s omitted) | Contract annual Fixed Rate/ Payment Frequency | Termination Date | Market Value | Unamortized Upfront Payments Received | Unrealized Depreciation | |||||||||||||||||||
Markit CDX North America Investment Grade Index | CME Group Inc. | $ | 5,123 | | 1.00%/ Quarterly |
| 06/20/22 | $ | (107,733 | ) | $ | (81,193 | ) | $ | (26,540 | ) | ||||||||||
|
|
During the period ended September 30, 2017, average notional value related to swap contracts was $12,478,068 or 1.8% of net assets of net assets.
The Fund had the following long futures contracts open at September 30, 2017:
Description | Expiration date | Number of Contracts | Notional Amount | Current Notional Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
MSCI EAFE Mini Index Futures | December 2017 | 16 | 1,561,593 | $ | 1,582,720 | $ | 21,127 | |||||||||||||
S&P Mid 400 Emini Index Futures | December 2017 | 86 | 14,781,015 | 15,443,020 | 662,005 | |||||||||||||||
Ultra Long-Term U.S. Treasury Bond Futures | December 2017 | 22 | 3,694,768 | 3,632,750 | (62,018 | ) | ||||||||||||||
5 Yr. U.S. Treasury Notes Futures | December 2017 | 59 | 6,973,523 | 6,932,500 | (41,023 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | 580,091 | |||||||||||||||||||
|
|
The Fund had the following short futures contracts open at September 30, 2017:
Description | Expiration date | Number of Contracts | Notional Amount | Current Notional Value | Unrealized Appreciation | |||||||||||||||
U.S. Long Bond Futures | December 2017 | 6 | (926,063 | ) | $ | (916,875 | ) | $ | 9,188 | |||||||||||
2 Yr. U.S. Treasury Notes Futures | December 2017 | 4 | (864,555 | ) | (862,812 | ) | 1,743 | |||||||||||||
10 Yr. U.S. Treasury Notes Futures | December 2017 | 68 | (8,652,732 | ) | (8,521,250 | ) | 131,482 | |||||||||||||
10 Yr. U.S. Treasury Ultra Futures | December 2017 | 53 | (7,197,993 | ) | (7,119,391 | ) | 78,602 | |||||||||||||
|
| |||||||||||||||||||
$ | 221,015 | |||||||||||||||||||
|
| |||||||||||||||||||
$ | 801,106 | |||||||||||||||||||
|
|
During the period ended September 30, 2017, average notional values related to long and short futures contracts were $40,008,268 or 5.9% of net assets and $22,072,102 or 3.2% of net assets, respectively.
See Notes to Schedules of Investments and Notes to Financial Statements.
74 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — September 30, 2017
The Fund was invested in the following countries/territories at September 30, 2017 (unaudited):
Country/Territory | Percentage (based on Fair Value) | |||
United States | 77.17% | |||
Japan | 4.99% | |||
United Kingdom | 2.46% | |||
France | 2.43% | |||
Germany | 2.33% | |||
Switzerland | 1.43% | |||
Netherlands | 1.40% | |||
Canada | 0.72% | |||
China | 0.70% | |||
India | 0.62% | |||
Sweden | 0.62% | |||
Taiwan | 0.45% | |||
Hong Kong | 0.42% | |||
Belgium | 0.42% | |||
Italy | 0.38% | |||
Mexico | 0.37% | |||
Norway | 0.35% | |||
Ireland | 0.35% | |||
South Korea | 0.33% | |||
South Africa | 0.32% | |||
Spain | 0.23% | |||
Portugal | 0.21% | |||
Luxembourg | 0.20% | |||
Saudi Arabia | 0.15% | |||
Australia | 0.14% |
Country/Territory | Percentage (based on Fair Value) | |||
Brazil | 0.12% | |||
Guernsey | 0.10% | |||
Russian Federation | 0.09% | |||
Jersey | 0.07% | |||
Panama | 0.06% | |||
Colombia | 0.05% | |||
Philippines | 0.05% | |||
Cayman Islands | 0.03% | |||
Indonesia | 0.03% | |||
Chile | 0.03% | |||
Bermuda | 0.03% | |||
Malaysia | 0.02% | |||
Supranational | 0.02% | |||
Peru | 0.02% | |||
Uruguay | 0.02% | |||
Argentina | 0.02% | |||
Hungary | 0.01% | |||
Turkey | 0.01% | |||
Thailand | 0.01% | |||
Poland | 0.01% | |||
United Arab Emirates | 0.01% | |||
Barbados | 0.00% | *** | ||
|
| |||
100.00% | ||||
|
|
The Fund’s % share of investment in the various categories, based on Fair Value, is as follows at September 30, 2017 (unaudited):
Industry | Domestic | Foreign | Total | |||||||||
Exchange Traded & Mutual Funds | 41.07% | 0.00% | 41.07% | |||||||||
Diversified Banks | 0.02% | 2.59% | 2.61% | |||||||||
Pharmaceuticals | 0.00% | 1.25% | 1.25% | |||||||||
Semiconductors | 0.00% | 0.94% | 0.94% | |||||||||
Packaged Foods & Meats | 0.00% | 0.89% | 0.89% | |||||||||
Electrical Components & Equipment | 0.00% | 0.77% | 0.77% | |||||||||
Life & Health Insurance | 0.00% | 0.75% | 0.75% | |||||||||
Wireless Telecommunication Services | 0.00% | 0.73% | 0.73% | |||||||||
Integrated Oil & Gas | 0.00% | 0.72% | 0.72% | |||||||||
Building Products | 0.00% | 0.71% | 0.71% | |||||||||
Construction Machinery & Heavy Trucks | 0.00% | 0.66% | 0.66% | |||||||||
Electronic Equipment & Instruments | 0.00% | 0.54% | 0.54% | |||||||||
Internet Software & Services | 0.00% | 0.52% | 0.52% | |||||||||
Specialty Chemicals | 0.00% | 0.48% | 0.48% | |||||||||
Diversified Real Estate Activities | 0.00% | 0.46% | 0.46% | |||||||||
Semiconductor Equipment | 0.00% | 0.45% | 0.45% | |||||||||
Brewers | 0.00% | 0.42% | 0.42% | |||||||||
Auto Parts & Equipment | 0.00% | 0.37% | 0.37% | |||||||||
Diversified Metals & Mining | 0.00% | 0.37% | 0.37% | |||||||||
Industrial Machinery | 0.00% | 0.36% | 0.36% | |||||||||
Movies & Entertainment | 0.00% | 0.33% | 0.33% | |||||||||
Application Software | 0.00% | 0.32% | 0.32% |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 75 |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — September 30, 2017
Industry | Domestic | Foreign | Total | |||||||||
Personal Products | 0.00% | 0.31% | 0.31% | |||||||||
Cable & Satellite | 0.00% | 0.31% | 0.31% | |||||||||
Construction Materials | 0.00% | 0.30% | 0.30% | |||||||||
Electronic Components | 0.00% | 0.30% | 0.30% | |||||||||
Biotechnology | 0.00% | 0.30% | 0.30% | |||||||||
Multi-Line Insurance | 0.00% | 0.30% | 0.30% | |||||||||
Home Building | 0.00% | 0.29% | 0.29% | |||||||||
Property & Casualty Insurance | 0.00% | 0.28% | 0.28% | |||||||||
Automobile Manufacturers | 0.00% | 0.27% | 0.27% | |||||||||
Healthcare Equipment | 0.00% | 0.26% | 0.26% | |||||||||
Aerospace & Defense | 0.00% | 0.26% | 0.26% | |||||||||
Electric Utilities | 0.00% | 0.26% | 0.26% | |||||||||
Security & Alarm Services | 0.00% | 0.26% | 0.26% | |||||||||
Oil & Gas Exploration & Production | 0.00% | 0.25% | 0.25% | |||||||||
Internet & Direct Marketing Retail | 0.00% | 0.23% | 0.23% | |||||||||
Leisure Products | 0.00% | 0.22% | 0.22% | |||||||||
Technology Hardware, Storage & Peripherals | 0.00% | 0.22% | 0.22% | |||||||||
Healthcare Services | 0.00% | 0.19% | 0.19% | |||||||||
Advertising | 0.00% | 0.14% | 0.14% | |||||||||
Asset Management & Custody Banks | 0.00% | 0.10% | 0.10% | |||||||||
Thrifts & Mortgage Finance | 0.00% | 0.03% | 0.03% | |||||||||
IT Consulting & Other Services | 0.00% | 0.03% | 0.03% | |||||||||
Hypermarkets & Super Centers | 0.00% | 0.02% | 0.02% | |||||||||
Food Retail | 0.00% | 0.02% | 0.02% | |||||||||
Restaurants | 0.00% | 0.02% | 0.02% | |||||||||
General Merchandise Stores | 0.00% | 0.02% | 0.02% | |||||||||
Diversified Chemicals | 0.00% | 0.02% | 0.02% | |||||||||
Education Services | 0.00% | 0.01% | 0.01% | |||||||||
Real Estate Development | 0.00% | 0.01% | 0.01% | |||||||||
Soft Drinks | 0.00% | 0.01% | 0.01% | |||||||||
Diversified Support Services | 0.00% | 0.01% | 0.01% | |||||||||
Other Diversified Financial Services | 0.00% | 0.01% | 0.01% | |||||||||
Footwear | 0.00% | 0.01% | 0.01% | |||||||||
Marine Ports & Services | 0.00% | 0.01% | 0.01% | |||||||||
Construction & Engineering | 0.00% | 0.01% | 0.01% | |||||||||
Commercial Printing | 0.00% | 0.00% | 0.00% | *** | ||||||||
|
| |||||||||||
61.01% | ||||||||||||
|
|
Sector | Percentage (based on Fair Value) | |||
Corporate Notes | 12.05% | |||
U.S. Treasuries | 10.41% | |||
Agency Mortgage Backed | 4.28% | |||
Non-Agency Collateralized Mortgage Obligations | 1.33% | |||
Asset Backed | 0.70% | |||
Sovereign Bonds | 0.42% | |||
Agency Collateralized Mortgage Obligations | 0.29% | |||
Municipal Bonds and Notes | 0.17% | |||
FNMA (TBA) | 0.00% | *** | ||
|
| |||
29.65% | ||||
|
|
Sector | Percentage (based on Fair Value) | |||
Short-Term Investments | ||||
Short-Term Investments | 9.34% | |||
|
| |||
9.34% | ||||
|
| |||
100.00% | ||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
76 | State Street Institutional Strategic Investment Fund |
Table of Contents
State Street Institutional Strategic Investment Fund
Schedule of Investments, continued — September 30, 2017
The following tables present the Fund’s investments measured at fair value on a recurring basis at September 30, 2017:
Investments | Level 1 | Level 2 | Level 3 | Total | ||||||||||||||
Investments in Securities | ||||||||||||||||||
Domestic Equity | $ | 156,587 | $ | — | $ | — | $ | 156,587 | ||||||||||
Foreign Equity | 136,684,754 | — | — | 136,684,754 | ||||||||||||||
U.S. Treasuries | — | 71,476,082 | — | 71,476,082 | ||||||||||||||
Agency Mortgage Backed | — | 29,406,414 | — | 29,406,414 | ||||||||||||||
Agency Collateralized Mortgage Obligations | — | 1,968,711 | — | 1,968,711 | ||||||||||||||
Asset Backed | — | 4,786,191 | — | 4,786,191 | ||||||||||||||
Corporate Notes | — | 82,691,203 | — | 82,691,203 | ||||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 9,119,040 | — | 9,119,040 | ||||||||||||||
Sovereign Bonds | — | 2,858,781 | — | 2,858,781 | ||||||||||||||
Municipal Bonds and Notes | — | 1,184,022 | — | 1,184,022 | ||||||||||||||
FNMA (TBA) | — | — | 1,300 | 1,300 | ||||||||||||||
Exchange Traded & Mutual Funds | 281,792,078 | — | — | 281,792,078 | ||||||||||||||
Short-Term Investments | 64,109,601 | — | — | 64,109,601 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 482,743,020 | $ | 203,490,444 | $ | 1,300 | $ | 686,234,764 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Credit Default Swap Contracts — Unrealized Depreciation | $ | — | $ | (26,540 | ) | $ | — | $ | (26,540 | ) | ||||||||
Long Futures Contracts — Unrealized Appreciation | 683,132 | — | — | 683,132 | ||||||||||||||
Long Futures Contracts — Unrealized Depreciation | (103,041 | ) | — | — | (103,041 | ) | ||||||||||||
Short Futures Contracts — Unrealized Appreciation | 221,015 | — | — | 221,015 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Other Financial Instruments | $ | 801,106 | $ | (26,540 | ) | $ | — | $ | 774,566 | |||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/17 | Value at 9/30/17 | Dividend Income | ||||||||||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 632,267 | $ | 23,216,844 | $ | — | $ | — | $ | — | $ | 379,361 | 632,267 | $ | 23,596,205 | $ | 1,347,508 | ||||||||||||||||||||
State Street Equity 500 Index II Portfolio | — | — | 269,000,000 | 71,100,000 | 5,293,254 | 25,886,749 | 17,730,650 | 229,080,003 | — | |||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 85,905,257 | 85,905,257 | 233,295,083 | 255,090,739 | — | — | 64,109,601 | 64,109,601 | 470,782 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 109,122,101 | $ | 502,295,083 | $ | 326,190,739 | $ | 5,293,254 | $ | 26,266,110 | $ | 316,785,809 | $ | 1,818,290 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Strategic Investment Fund | 77 |
Table of Contents
State Street Institutional Income Fund
Portfolio Management Discussion and Analysis — September 30, 2017 (Unaudited)
Q. | How did the State Street Institutional Income Fund perform compared to its benchmark and Morningstar peer group for the twelve-month period ended September 30, 2017? |
A. | For the twelve-month period ended September 30, 2017, the State Street Institutional Income Fund returned 0.98% for the Investment Class shares and 0.65% for the Service Class shares. The Fund’s benchmark, the Bloomberg Barclays U.S. Aggregate Bond Index returned 0.07% and the Fund’s Morningstar peer group of 985 U.S. Intermediate-Term Bond funds returned an average of 0.83% over the same period. |
Q. | What market conditions impacted the Fund’s performance? |
A. | The appetite for riskier assets strengthened after the November, 2016 election as the pro-growth agenda of President-elect Donald Trump, including healthcare, tax and regulatory reform, bolstered the economic outlook for many investors. While the Trump administration and Republican led Congress gained ground on the regulatory environment, the Senate failed twice to secure enough votes to reform healthcare and the debate over tax cuts only started in September. Economic data did improve over the period. The labor market added nearly 2 million jobs since over the last 12 months. Both Institute for Supply Management (“ISM”) manufacturing and non-manufacturing indices indicated stronger expansion. Inflation was moderate, however, remaining below the Federal Reserve’s 2% target as measured by the Personal Consumption Expenditures (“PCE”) Core Index. The Federal Reserve raised its Fed Funds target in three 25 bps moves during the period to a range of 1%-1.25%. In September, the Federal Open Market Committee announced it will begin gradually reducing its balance sheet monthly to a $50B taper of U.S. Treasuries and mortgage-backed securities per month. Volatility in both interest rates and credit spreads remained low over the last twelve months. U.S. Treasury yields rose early in the period. The 10 year note yield increased nearly +100bps to 2.6% by mid-December, then ratcheted lower to finish September 2017 at 2.3%. The yield curve steepened early but ended the period flatter. The spread between 2 year and 30 year Treasuries narrowed to +137 bps from +155 bps after peaking in December (+203 bps). Credit spreads tightened with growth expectations improving with a few short term backups around geopolitical headlines regarding North Korea. Investment grade and high yield spreads dropped -35 bps and -140 bps respectively. |
Q. | What were the drivers behind Fund performance |
A. | The primary drivers of the outperformance of the Fund versus its benchmark were security selection and sector allocation. Selection in the investment grade credit sector, particularly the overweight in banks and an overweight in BBB-rated commercial mortgage-backed securities (“MBS”) were significant positive contributors. The out of index exposure to high yield and overweight in high grade credit added value as credit spreads tightened over the twelve month period. This was offset somewhat by short positions in both investment grade and high yield credit default index swaps known as CDX swaps. Duration positioning, primarily expressed through U.S. Treasury futures, added marginally to excess return over the period. |
Q. | Were there any significant changes in the Fund during the period? |
A. | The exposure to investment grade credit was reduced early in the period as credit spreads tightened. We increased the exposure in September after spreads widened in August due to geopolitical headlines around North Korea. The exposure to the commercial MBS sector was reduced in the third quarter of 2017 and we significantly upgraded the commercial mortgage-backed securities’ (“CMBS”) holdings by selling BBB-rated issues to buy AAA-rated securities. With the Federal Reserve’s announcement in September to begin unwinding its balance sheet by reducing holdings in U.S. Treasuries and agency mortgage-backed securities, we initiated an underweight in the MBS sector. The exposure to high yield cash bonds was unchanged during the period however the short position in High Yield CDX was closed out. |
78 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Performance Summary — September 30, 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.
Morningstar Performance Comparison
Based on average annual returns for periods ended September 30, 2017
One Year | Five Year | Ten Year | ||||||||||
Number of funds in peer group | 985 | 773 | 546 | |||||||||
Peer group average annual total return | 0.83 | % | 2.12 | % | 4.26 | % | ||||||
Morningstar Category in peer group: Intermediate-Term Bond |
|
Quality Ratings
as of September 30, 2017 (as a % of Fair Value) (a)(b)
Moody’s / S&P / Rating* | Percentage of Fair Value | |||
Aaa / AAA | 6.07 | % | ||
Aa / AA | 48.29 | % | ||
A / A | 7.59 | % | ||
Baa / BBB | 21.49 | % | ||
Ba / BB and lower | 9.74 | % | ||
NR / Other | 6.82 | % |
Sector Allocation
Portfolio composition as a % of Fair Value of $304,500 (in thousands) as of September 30, 2017 (a)(b)
Average Annual Total Return for the periods ended September 30, 2017
Investment Class Shares (Inception date: 11/21/97)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Income Fund | 0.98 | % | 2.51 | % | 4.14 | % | $ | 15,008 | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07 | % | 2.06 | % | 4.27 | % | $ | 15,196 |
Service Class Shares (Inception date: 9/30/05)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Income Fund | 0.65 | % | 2.23 | % | 4.08 | % | $ | 14,917 | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 0.07 | % | 2.06 | % | 4.27 | % | $ | 15,196 |
State Street Institutional Income Fund | 79 |
Table of Contents
State Street Institutional Income Fund
Performance Summary, continued — September 30, 2017 (Unaudited)
(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. |
See Notes to Performance beginning on page 1 for further information, including an explanation of Morningstar peer categories.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
80 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2017 | $ | 1,026.60 | $ | 1,023.90 | ||||
Expenses paid during the period* | $ | 1.22 | $ | 1.22 |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period April 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2017 | $ | 1,023.90 | $ | 1,022.60 | ||||
Expenses paid during the period* | $ | 2.49 | $ | 2.48 |
* | 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 April 1, 2017-September 30, 2017), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
State Street Institutional Income Fund | 81 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
Bonds and Notes - 98.3%† | ||||||||
U.S. Treasuries - 32.0% |
| |||||||
U.S. Treasury Bonds | ||||||||
2.25%, 08/15/46 | 2,431,000 | 2,138,380 | ||||||
2.50%, 05/15/46 (l) | 2,016,400 | 1,874,385 | ||||||
3.75%, 11/15/43 | 425,000 | 498,359 | ||||||
4.50%, 02/15/36 | 1,420,400 | 1,827,160 | ||||||
U.S. Treasury Notes | ||||||||
0.88%, 03/31/18 - 10/15/18 (l) | 12,000,100 | 11,952,648 | ||||||
1.25%, 12/31/18 (l) | 1,889,800 | 1,886,531 | ||||||
1.25%, 08/31/19 | 3,668,000 | 3,652,851 | ||||||
1.38%, 12/15/19 (l) | 10,376,200 | 10,345,487 | ||||||
1.50%, 08/15/20 | 3,578,000 | 3,567,517 | ||||||
1.63%, 08/31/22 | 2,262,000 | 2,231,124 | ||||||
1.75%, 09/30/22 | 8,370,200 | 8,293,696 | ||||||
1.88%, 08/31/24 | 1,655,000 | 1,625,425 | ||||||
2.00%, 07/31/22 - 02/15/25 | 13,456,000 | 13,285,451 | ||||||
2.25%, 02/15/27 (l) | 1,984,400 | 1,972,692 | ||||||
2.25%, 08/15/27 | 1,275,000 | 1,266,483 | ||||||
2.38%, 05/15/27 (l) | 4,130,000 | 4,147,594 | ||||||
|
| |||||||
70,565,783 | ||||||||
|
| |||||||
Agency Mortgage Backed - 15.4% |
| |||||||
Federal Home Loan Mortgage Corp. | ||||||||
4.50%, 06/01/33 - 02/01/35 (l) | 10,399 | 11,198 | ||||||
5.00%, 07/01/35 - 06/01/41 (l) | 908,498 | 990,349 | ||||||
5.50%, 05/01/20 - 04/01/39 (l) | 46,164 | 50,304 | ||||||
5.50%, 01/01/38 | 221,368 | 245,486 | ||||||
6.00%, 07/01/19 - 06/01/37 | 157,243 | 175,953 | ||||||
6.00%, 05/01/20 - 11/01/37 (l) | 293,262 | 327,764 | ||||||
6.50%, 08/01/29 - 10/01/33 (l) | 1,586 | 1,770 | ||||||
7.00%, 06/01/29 - 08/01/36 (l) | 65,126 | 72,066 | ||||||
7.50%, 01/01/30 - 09/01/33 (l) | 1,962 | 2,049 | ||||||
8.00%, 11/01/30 (l) | 12,897 | 14,405 | ||||||
8.50%, 04/01/30 (l) | 17,979 | 21,360 | ||||||
9.50%, 04/01/21 (l) | 18 | 18 | ||||||
Federal National Mortgage Assoc. | ||||||||
3.50%, 11/01/42 - 08/01/45 (l) | 2,635,190 | 2,729,464 | ||||||
4.00%, 05/01/19 - 12/01/41 (l) | 2,180,308 | 2,307,723 | ||||||
4.50%, 05/01/18 - 01/01/41 (l) | 3,990,534 | 4,299,428 | ||||||
5.00%, 07/01/20 - 06/01/41 (l) | 1,474,282 | 1,612,589 | ||||||
5.50%, 06/01/20 - 04/01/38 (l) | 1,235,137 | 1,367,299 | ||||||
6.00%, 05/01/19 - 08/01/35 (l) | 838,101 | 932,631 | ||||||
6.50%, 10/01/18 - 08/01/36 (l) | 74,905 | 83,215 | ||||||
7.00%, 10/01/32 - 02/01/34 (l) | 9,074 | 9,639 | ||||||
7.50%, 12/01/23 - 12/01/33 (l) | 48,527 | 53,264 | ||||||
8.00%, 07/01/25 - 10/01/31 (l) | 11,163 | 12,216 | ||||||
9.00%, 12/01/22 (l) | 1,244 | 1,329 | ||||||
Federal National Mortgage Assoc. 1.25% + USD COF11 | 6,177 | 6,208 |
Principal Amount ($) | Fair Value $ | |||||||
Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | 2,408 | 2,478 | ||||||
Federal National Mortgage Assoc. TBA | ||||||||
2.50%, TBA (c) | 3,494,409 | 3,517,612 | ||||||
3.00%, TBA (c) | 8,855,725 | 8,926,357 | ||||||
Government National Mortgage Assoc. | ||||||||
3.50%, 05/20/43 (l) | 2,273,320 | 2,372,318 | ||||||
4.00%, 01/20/41 - 04/20/43 (l) | 2,373,951 | 2,522,831 | ||||||
4.50%, 08/15/33 - 05/20/40 (l) | 442,338 | 475,423 | ||||||
5.00%, 08/15/33 (l) | 32,408 | 35,568 | ||||||
6.00%, 04/15/27 - 09/15/36 (l) | 210,346 | 240,948 | ||||||
6.50%, 04/15/19 - 09/15/36 (l) | 87,869 | 97,188 | ||||||
7.00%, 10/15/27 - 10/15/36 (l) | 44,551 | 48,837 | ||||||
7.50%, 01/15/23 - 11/15/31 (l) | 4,266 | 4,442 | ||||||
8.00%, 05/15/30 - 09/15/30 (l) | 405 | 441 | ||||||
9.00%, 12/15/21 (l) | 484 | 524 | ||||||
5.50%, TBA (c) | 255,000 | 283,609 | ||||||
|
| |||||||
33,856,303 | ||||||||
|
| |||||||
Agency Collateralized Mortgage Obligations - 1.1% |
| |||||||
Federal Home Loan Mortgage Corp. | 795,293 | 1,671 | ||||||
Federal Home Loan Mortgage Corp. REMIC | ||||||||
3.50%, 11/15/24 - 11/15/30 (g) | 574,567 | 42,377 | ||||||
5.50%, 06/15/33 (g) | 33,532 | 6,771 | ||||||
7.50%, 07/15/27 (g) | 3,703 | 576 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.00% - 1 month USD LIBOR | 1,301,586 | 257,868 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.10% - 1 month USD LIBOR | 4,757,003 | 730,021 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.20% - 1 month USD LIBOR | 985,737 | 182,981 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR | 221,217 | 18,208 | ||||||
Federal Home Loan Mortgage Corp. STRIPS | ||||||||
1.47%, 08/01/27 (d)(f) | 833 | 770 | ||||||
8.00%, 02/01/23 - 07/01/24 (g) | 2,914 | 469 |
See Notes to Schedules of Investments and Notes to Financial Statements.
82 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
Federal Home Loan Mortgage Corp. STRIPS 5.95% - 1 month USD LIBOR | 1,445,141 | 290,394 | ||||||
Federal National Mortgage Assoc. REMIC | ||||||||
0.51%, 12/25/22 (d)(f) | 110 | 108 | ||||||
1.20%, 12/25/42 (g)(h) | 154,979 | 6,335 | ||||||
5.00%, 02/25/40 - 09/25/40 (g) | 247,443 | 29,142 | ||||||
8.00%, 05/25/22 (g) | 4 | 54 | ||||||
Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | 2,567,560 | 491,250 | ||||||
Federal National Mortgage Assoc. REMIC 6.60% - 1 month USD LIBOR | 910,720 | 209,954 | ||||||
Federal National Mortgage Assoc. REMIC 7.50% - 1 month USD LIBOR | 1,854 | 17 | ||||||
Federal National Mortgage Assoc. STRIPS | ||||||||
1.87%, 12/25/34 (d)(f) | 15,727 | 13,573 | ||||||
4.50%, 08/25/35 - 01/25/36 (g) | 111,313 | 19,742 | ||||||
5.00%, 03/25/38 - 05/25/38 (g) | 61,499 | 11,666 | ||||||
5.50%, 12/25/33 (g) | 15,270 | 3,447 | ||||||
6.00%, 01/25/35 (g) | 65,325 | 13,017 | ||||||
7.50%, 11/25/23 (g) | 13,170 | 2,007 | ||||||
8.00%, 08/25/23 - 07/25/24 (g) | 5,679 | 1,116 | ||||||
8.50%, 07/25/22 (g) | 114 | 13 | ||||||
8.50%, 07/25/22 (g)** | 3 | — | ||||||
9.00%, 05/25/22 (g) | 100 | 11 | ||||||
Government National Mortgage Assoc. REMIC | ||||||||
4.50%, 02/20/38 - 08/16/39 (g) | 246,763 | 14,861 | ||||||
5.00%, 01/20/38 - 09/20/38 (g) | 89,194 | 2,936 | ||||||
Government National Mortgage Assoc. REMIC | 310,847 | 56,723 | ||||||
|
| |||||||
2,408,078 | ||||||||
|
| |||||||
Asset Backed - 2.5% |
| |||||||
BA Credit Card Trust 2017-A2 | 1,260,000 | 1,253,976 | ||||||
Chase Funding Trust 2004-1 | 220,432 | 227,645 | ||||||
Citibank Credit Card Issuance Trust 2014-A6 | 763,000 | 767,944 |
Principal Amount ($) | Fair Value $ | |||||||
Citibank Credit Card Issuance Trust 2016-A1 | 1,668,000 | 1,664,679 | ||||||
Citibank Credit Card Issuance Trust 2017-A8 | 1,578,000 | 1,574,031 | ||||||
|
| |||||||
5,488,275 | ||||||||
|
| |||||||
Corporate Notes - 40.5% |
| |||||||
21st Century Fox America Inc. | ||||||||
3.38%, 11/15/26 | 43,000 | 43,012 | ||||||
4.75%, 11/15/46 | 45,000 | 48,149 | ||||||
6.65%, 11/15/37 | 157,000 | 206,783 | ||||||
Abbott Laboratories | ||||||||
2.90%, 11/30/21 (l) | 356,000 | 361,860 | ||||||
3.75%, 11/30/26 (l) | 243,000 | 249,408 | ||||||
4.90%, 11/30/46 (l) | 110,000 | 122,768 | ||||||
AbbVie Inc. | ||||||||
2.00%, 11/06/18 (l) | 210,000 | 210,672 | ||||||
3.20%, 05/14/26 (l) | 173,000 | 172,943 | ||||||
4.45%, 05/14/46 (l) | 86,000 | 90,884 | ||||||
4.70%, 05/14/45 (l) | 62,000 | 67,638 | ||||||
ACCO Brands Corp. | 251,000 | 260,412 | ||||||
AES Corp. | 228,000 | 234,840 | ||||||
Aetna Inc. | 224,000 | 233,029 | ||||||
Aflac Inc. | 94,000 | 93,732 | ||||||
Agrium Inc. | 67,000 | 73,082 | ||||||
Alexandria Real Estate Equities Inc. | 159,000 | 161,495 | ||||||
Alimentation Couche-Tard Inc. | ||||||||
2.70%, 07/26/22 (b) | 97,000 | 97,348 | ||||||
3.55%, 07/26/27 (b) | 97,000 | 97,830 | ||||||
4.50%, 07/26/47 (b) | 57,000 | 58,915 | ||||||
Allergan Funding SCS | ||||||||
3.00%, 03/12/20 (l) | 158,000 | 161,242 | ||||||
3.45%, 03/15/22 (l) | 153,000 | 158,623 | ||||||
3.80%, 03/15/25 (l) | 98,000 | 101,713 | ||||||
4.55%, 03/15/35 | 58,000 | 61,932 | ||||||
4.75%, 03/15/45 (l) | 10,000 | 10,851 | ||||||
Altria Group Inc. | ||||||||
2.95%, 05/02/23 (l) | 153,000 | 155,434 | ||||||
3.88%, 09/16/46 (l) | 6,000 | 5,840 | ||||||
4.50%, 05/02/43 (l) | 76,000 | 81,346 | ||||||
Amazon.com Inc. | ||||||||
2.80%, 08/22/24 (b) | 108,000 | 108,450 | ||||||
3.15%, 08/22/27 (b) | 55,000 | 55,380 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 83 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
3.88%, 08/22/37 (b) | 90,000 | 91,606 | ||||||
4.05%, 08/22/47 (b) | 75,000 | 76,390 | ||||||
4.25%, 08/22/57 (b) | 125,000 | 128,235 | ||||||
AMC Networks Inc. | 10,000 | 10,088 | ||||||
American Axle & Manufacturing Inc. | ||||||||
6.25%, 04/01/25 (b) | 168,000 | 171,360 | ||||||
6.50%, 04/01/27 (b) | 84,000 | 84,735 | ||||||
6.63%, 10/15/22 (l) | 56,000 | 57,820 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
3.35%, 10/01/20 | 136,000 | 139,272 | ||||||
4.13%, 07/01/24 (l) | 98,000 | 102,604 | ||||||
American Electric Power Company Inc. | 341,000 | 346,954 | ||||||
American Express Co. | 138,000 | 142,486 | ||||||
American International Group Inc. | ||||||||
4.50%, 07/16/44 (l) | 104,000 | 108,551 | ||||||
4.80%, 07/10/45 (l) | 96,000 | 104,748 | ||||||
American Tower Corp. (REIT) | 91,000 | 89,870 | ||||||
3.40%, 02/15/19 (l) | 388,000 | 395,042 | ||||||
American Water Capital Corp. | 160,000 | 159,346 | ||||||
AmeriGas Partners LP/AmeriGas Finance Corp. | 192,000 | 200,736 | ||||||
Amgen Inc. | ||||||||
2.20%, 05/22/19 (l) | 188,000 | 188,790 | ||||||
2.60%, 08/19/26 | 73,000 | 69,919 | ||||||
2.65%, 05/11/22 (l) | 201,000 | 202,644 | ||||||
4.56%, 06/15/48 (l) | 130,000 | 140,873 | ||||||
Amkor Technology Inc. | 219,000 | 223,106 | ||||||
Anadarko Petroleum Corp. | ||||||||
4.85%, 03/15/21 (l) | 19,000 | 20,193 | ||||||
6.20%, 03/15/40 (l) | 111,000 | 128,990 | ||||||
6.60%, 03/15/46 (l) | 20,000 | 24,644 | ||||||
Andeavor | 301,000 | 324,813 | ||||||
Anglo American Capital PLC | 200,000 | 208,528 | ||||||
Anheuser-Busch InBev Finance Inc. | ||||||||
3.65%, 02/01/26 (l) | 367,000 | 379,647 | ||||||
4.70%, 02/01/36 (l) | 85,000 | 94,244 | ||||||
4.90%, 02/01/46 (l) | 162,000 | 184,043 |
Principal Amount ($) | Fair Value $ | |||||||
Anheuser-Busch InBev Worldwide Inc. | 136,000 | 137,064 | ||||||
Anthem Inc. | 182,000 | 187,311 | ||||||
Apache Corp. | 95,000 | 99,678 | ||||||
Apple Inc. | ||||||||
2.50%, 02/09/22 (l) | 120,000 | 121,590 | ||||||
2.85%, 05/11/24 (l) | 201,000 | 203,400 | ||||||
3.35%, 02/09/27 (l) | 105,000 | 107,999 | ||||||
3.45%, 02/09/45 (l) | 85,000 | 80,646 | ||||||
3.85%, 08/04/46 (l) | 243,000 | 245,292 | ||||||
4.25%, 02/09/47 (l) | 46,000 | 49,459 | ||||||
Applied Materials Inc. | ||||||||
3.30%, 04/01/27 (l) | 77,000 | 78,350 | ||||||
4.35%, 04/01/47 (l) | 59,000 | 63,432 | ||||||
Aramark Services Inc. | 322,000 | 341,835 | ||||||
Archer-Daniels-Midland Co. | 186,000 | 178,231 | ||||||
Arconic Inc. | 75,000 | 81,844 | ||||||
Ardagh Packaging Finance PLC/Ardagh Holdings USA Inc. | 250,000 | 256,575 | ||||||
Ascension Health | 58,000 | 66,814 | ||||||
AstraZeneca PLC | ||||||||
2.38%, 11/16/20 (l) | 51,000 | 51,232 | ||||||
3.13%, 06/12/27 (l) | 73,000 | 72,142 | ||||||
3.38%, 11/16/25 (l) | 106,000 | 107,909 | ||||||
AT&T Inc. | ||||||||
2.45%, 06/30/20 (l) | 151,000 | 152,101 | ||||||
2.85%, 02/14/23 | 315,000 | 313,227 | ||||||
3.00%, 06/30/22 (l) | 109,000 | 110,080 | ||||||
3.40%, 08/14/24 | 97,000 | 97,212 | ||||||
3.90%, 08/14/27 | 215,000 | 215,357 | ||||||
4.45%, 04/01/24 (l) | 154,000 | 163,647 | ||||||
4.50%, 05/15/35 (l) | 170,000 | 167,732 | ||||||
4.80%, 06/15/44 (l) | 134,000 | 130,255 | ||||||
4.90%, 08/14/37 | 110,000 | 111,202 | ||||||
5.15%, 02/14/50 | 238,000 | 239,687 | ||||||
5.25%, 03/01/37 (l) | 161,000 | 169,647 | ||||||
5.30%, 08/14/58 | 95,000 | 96,102 | ||||||
5.45%, 03/01/47 (l) | 138,000 | 145,769 | ||||||
Bank of America Corp. | ||||||||
3.25%, 10/21/27 (l) | 174,000 | 170,348 | ||||||
3.88%, 08/01/25 (l) | 202,000 | 211,811 | ||||||
3.95%, 04/21/25 (l) | 200,000 | 205,998 | ||||||
4.25%, 10/22/26 (l) | 86,000 | 89,989 |
See Notes to Schedules of Investments and Notes to Financial Statements.
84 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
Bank of America Corp. (2.37% fixed rate until 07/21/20; 0.66% + 3 month USD LIBOR thereafter) | 159,000 | 159,010 | ||||||
Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter) | 270,000 | 274,855 | ||||||
Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) | 234,000 | 246,723 | ||||||
Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR thereafter) | 94,000 | 101,702 | ||||||
Bank of America Corp. (8.00% fixed rate until 01/30/18; 3.63% + 3 month USD LIBOR thereafter) | 334,000 | 338,756 | ||||||
Barclays PLC | ||||||||
4.34%, 01/10/28 (l) | 200,000 | 206,860 | ||||||
4.84%, 05/09/28 (l) | 200,000 | 207,268 | ||||||
Barrick North America Finance LLC | 42,000 | 50,064 | ||||||
BAT Capital Corp. | ||||||||
2.30%, 08/14/20 (b) | 160,000 | 160,696 | ||||||
2.76%, 08/15/22 (b) | 162,000 | 162,935 | ||||||
3.56%, 08/15/27 (b) | 113,000 | 113,951 | ||||||
4.39%, 08/15/37 (b) | 75,000 | 76,903 | ||||||
4.54%, 08/15/47 (b) | 107,000 | 109,791 | ||||||
Baxalta Inc. | 153,000 | 155,391 | ||||||
Becton Dickinson and Co. | ||||||||
2.89%, 06/06/22 (l) | 143,000 | 143,543 | ||||||
3.70%, 06/06/27 (l) | 240,000 | 242,738 | ||||||
3.73%, 12/15/24 (l) | 10,000 | 10,262 | ||||||
4.67%, 06/06/47 (l) | 44,000 | 46,072 | ||||||
4.69%, 12/15/44 (l) | 7,000 | 7,364 | ||||||
Berkshire Hathaway Energy Co. 6.13%, 04/01/36 | 156,000 | 200,650 | ||||||
Berry Global Inc. | 260,000 | 272,038 | ||||||
Biogen Inc. | 53,000 | 54,267 | ||||||
Boardwalk Pipelines LP | 63,000 | 64,255 |
Principal Amount ($) | Fair Value $ | |||||||
BP Capital Markets PLC | 154,000 | 153,904 | ||||||
3.22%, 11/28/23 (l) | 172,000 | 176,040 | ||||||
3.28%, 09/19/27 | 219,000 | 218,945 | ||||||
Brighthouse Financial Inc. | 33,000 | 32,397 | ||||||
4.70%, 06/22/47 (b)(l) | 19,000 | 18,619 | ||||||
Brixmor Operating Partnership LP | 505,000 | 500,122 | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 137,000 | 139,356 | ||||||
3.63%, 01/15/24 (b)(l) | 140,000 | 144,078 | ||||||
3.88%, 01/15/27 (b)(l) | 52,000 | 53,555 | ||||||
Buckeye Partners LP | 110,000 | 108,988 | ||||||
5.60%, 10/15/44 (l) | 53,000 | 54,891 | ||||||
Bunge Limited Finance Corp. | 156,000 | 155,852 | ||||||
CalAtlantic Group Inc. | 386,000 | 399,510 | ||||||
Calpine Corp. | 262,000 | 270,856 | ||||||
Canadian Natural Resources Ltd. 3.85%, 06/01/27 (l) | 85,000 | 85,809 | ||||||
4.95%, 06/01/47 (l) | 58,000 | 61,240 | ||||||
Canadian Pacific Railway Co. | 94,000 | 93,402 | ||||||
Capital One Financial Corp. | 158,000 | 162,271 | ||||||
Cardinal Health Inc. | 73,000 | 72,854 | ||||||
3.08%, 06/15/24 (l) | 85,000 | 85,547 | ||||||
3.41%, 06/15/27 (l) | 73,000 | 73,173 | ||||||
4.37%, 06/15/47 (l) | 36,000 | 37,067 | ||||||
Carlson Travel Inc. | 252,000 | 250,110 | ||||||
Caterpillar Inc. | 96,000 | 104,888 | ||||||
Catholic Health Initiatives | 130,000 | 130,929 | ||||||
4.35%, 11/01/42 | 129,000 | 120,998 | ||||||
CBL & Associates LP | 32,000 | 32,396 | ||||||
CBS Corp. | 108,000 | 102,306 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 399,000 | 423,459 | ||||||
Celgene Corp. | 101,000 | 115,369 | ||||||
Cenovus Energy Inc. | 29,000 | 28,855 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 85 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
CenterPoint Energy Inc. | 160,000 | 159,710 | ||||||
CenturyLink Inc. | 50,000 | 49,875 | ||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. | 485,000 | 494,700 | ||||||
CF Industries Inc. | 151,000 | 167,429 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 223,000 | 228,978 | ||||||
4.91%, 07/23/25 (l) | 222,000 | 237,533 | ||||||
5.38%, 05/01/47 (b) | 62,000 | 64,348 | ||||||
6.38%, 10/23/35 (l) | 32,000 | 37,301 | ||||||
6.48%, 10/23/45 (l) | 63,000 | 73,873 | ||||||
Chevron Corp. | 158,000 | 163,958 | ||||||
Church & Dwight Company Inc. | 85,000 | 84,686 | ||||||
3.15%, 08/01/27 | 140,000 | 138,554 | ||||||
Cigna Corp. | 177,000 | 179,175 | ||||||
3.88%, 10/15/47 | 93,000 | 92,997 | ||||||
Cimarex Energy Co. | 98,000 | 99,766 | ||||||
Cisco Systems Inc. | 170,000 | 164,903 | ||||||
Citigroup Inc. | 321,000 | 321,571 | ||||||
2.90%, 12/08/21 | 159,000 | 160,924 | ||||||
4.45%, 09/29/27 (l) | 115,000 | 121,366 | ||||||
Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) | 315,000 | 315,334 | ||||||
Citigroup Inc. (3.67% fixed rate until 07/24/27; 1.39% + 3 month USD LIBOR thereafter) | 157,000 | 158,550 | ||||||
Citigroup Inc. (4.28% fixed rate until 04/24/47; 1.84% + 3 month USD LIBOR thereafter) | 232,000 | 243,412 | ||||||
CMS Energy Corp. | 215,000 | 240,052 | ||||||
CNA Financial Corp. | 96,000 | 94,854 | ||||||
5.88%, 08/15/20 (l) | 303,000 | 330,658 | ||||||
CNH Industrial N.V. | 380,000 | 402,420 |
Principal Amount ($) | Fair Value $ | |||||||
CNOOC Nexen Finance 2014 ULC | 233,000 | 247,674 | ||||||
Columbia Pipeline Group Inc. | 96,000 | 98,168 | ||||||
Comcast Corp. | 154,000 | 162,898 | ||||||
4.60%, 08/15/45 (l) | 108,000 | 118,761 | ||||||
Concho Resources Inc. | 47,000 | 47,305 | ||||||
4.88%, 10/01/47 | 62,000 | 64,825 | ||||||
ConocoPhillips Co. | 108,000 | 111,108 | ||||||
5.95%, 03/15/46 (l) | 38,000 | 49,257 | ||||||
Consolidated Edison Company of New York Inc. | 150,000 | 147,627 | ||||||
Constellation Brands Inc. | 144,000 | 144,249 | ||||||
3.50%, 05/09/27 (l) | 90,000 | 90,890 | ||||||
4.50%, 05/09/47 (l) | 44,000 | 46,387 | ||||||
Continental Resources Inc. | 75,000 | 76,222 | ||||||
Corporation Andina de Fomento 2.20%, 07/18/20 | 157,000 | 157,199 | ||||||
Costco Wholesale Corp. | 149,000 | 149,016 | ||||||
Credit Agricole S.A. | 250,000 | 249,955 | ||||||
Credit Suisse AG | 391,000 | 391,308 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | 250,000 | 254,995 | ||||||
3.80%, 06/09/23 (l) | 275,000 | 284,529 | ||||||
CSX Corp. | 93,000 | 95,644 | ||||||
CVS Health Corp. | 95,000 | 99,059 | ||||||
5.13%, 07/20/45 (l) | 224,000 | 257,416 | ||||||
Daimler Finance North America LLC | 333,000 | 334,820 | ||||||
Dana Financing Luxembourg Sarl | 386,000 | 416,880 | ||||||
Danaher Corp. | 42,000 | 45,694 | ||||||
Dell International LLC/EMC Corp. | 284,000 | 289,538 | ||||||
4.42%, 06/15/21 (b)(l) | 173,000 | 181,491 | ||||||
6.02%, 06/15/26 (b)(l) | 92,000 | 102,062 | ||||||
8.35%, 07/15/46 (b)(l) | 56,000 | 71,770 |
See Notes to Schedules of Investments and Notes to Financial Statements.
86 | State Street Institutional Income Fund |
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Schedule of Investments, continued — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
Delphi Automotive PLC | 100,000 | 100,798 | ||||||
Deutsche Bank AG | 313,000 | 314,477 | ||||||
Devon Energy Corp. | 86,000 | 90,604 | ||||||
5.85%, 12/15/25 (l) | 48,000 | 55,392 | ||||||
Diageo Investment Corp. | 146,000 | 149,632 | ||||||
Discover Bank | 298,000 | 304,356 | ||||||
Discovery Communications LLC | 155,000 | 155,563 | ||||||
3.95%, 03/20/28 | 155,000 | 154,674 | ||||||
5.00%, 09/20/37 | 60,000 | 61,265 | ||||||
5.20%, 09/20/47 | 60,000 | 61,015 | ||||||
Dollar General Corp. | 313,000 | 313,326 | ||||||
Dominion Energy Inc. | 136,000 | 136,817 | ||||||
3.63%, 12/01/24 (l) | 124,000 | 128,189 | ||||||
DTE Energy Co. | 151,000 | 144,469 | ||||||
Duke Energy Corp. | 100,000 | 96,257 | ||||||
Duke Energy Progress LLC | 130,000 | 138,173 | ||||||
Duquesne Light Holdings Inc. | 160,000 | 159,158 | ||||||
Eastman Chemical Co. | 63,000 | 65,502 | ||||||
Eaton Corp. | 155,000 | 153,321 | ||||||
Ecopetrol S.A. | 198,000 | 194,238 | ||||||
EI du Pont de Nemours & Co. 0.53% + 3 month USD LIBOR | 141,000 | 142,189 | ||||||
Electricite de France S.A. | 392,000 | 393,526 | ||||||
Eli Lilly & Co. | 72,000 | 72,750 | ||||||
3.70%, 03/01/45 (l) | 31,000 | 31,131 | ||||||
3.95%, 05/15/47 (l) | 43,000 | 45,072 | ||||||
Embraer Netherlands Finance BV | 51,000 | 55,137 | ||||||
EMC Corp. | 377,000 | 372,287 | ||||||
Emera US Finance LP | 53,000 | 53,347 | ||||||
4.75%, 06/15/46 (l) | 25,000 | 26,885 | ||||||
Enbridge Energy Partners LP | 33,000 | 34,769 |
Principal Amount ($) | Fair Value $ | |||||||
Enbridge Inc. (5.50% fixed rate until 07/15/27; 3.42% + 3 month USD LIBOR until 07/15/47; 4.17% + 3 month USD LIBOR thereafter) | 139,000 | 140,854 | ||||||
Encana Corp. | 170,000 | 174,462 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco Inc. | 251,000 | 263,249 | ||||||
Enel Finance International N.V. | 271,000 | 271,551 | ||||||
Energy Transfer Equity LP | 610,000 | 655,750 | ||||||
Energy Transfer LP | 86,000 | 86,132 | ||||||
6.50%, 02/01/42 (l) | 157,000 | 177,983 | ||||||
Energy Transfer LP/Regency Energy Finance Corp. | 129,000 | 135,078 | ||||||
EnLink Midstream Partners LP (6.00% fixed rate until 12/15/22; 4.11% + 3 month USD LIBOR thereafter) | 199,000 | 199,197 | ||||||
Entergy Louisiana LLC | 76,000 | 73,328 | ||||||
Enterprise Products Operating LLC | 141,000 | 147,996 | ||||||
EOG Resources Inc. | 166,000 | 176,096 | ||||||
EQT Corp. | 157,000 | 157,576 | ||||||
3.90%, 10/01/27 (c) | 157,000 | 157,094 | ||||||
ERP Operating LP | 71,000 | 75,951 | ||||||
Exelon Corp. | 270,000 | 277,881 | ||||||
4.45%, 04/15/46 (l) | 95,000 | 99,435 | ||||||
Express Scripts Holding Co. | 170,000 | 168,133 | ||||||
4.80%, 07/15/46 (l) | 55,000 | 58,189 | ||||||
Exxon Mobil Corp. | 133,000 | 133,938 | ||||||
3.04%, 03/01/26 | 85,000 | 86,527 | ||||||
FedEx Corp. | 2,000 | 1,976 | ||||||
FirstEnergy Corp. | 66,000 | 67,228 | ||||||
4.85%, 07/15/47 | 41,000 | 43,029 | ||||||
Florida Power & Light Co. | 134,000 | 143,933 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 87 |
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Schedule of Investments, continued — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
Ford Motor Co. | 116,000 | 120,597 | ||||||
Ford Motor Credit Company LLC | 255,000 | 258,545 | ||||||
Freeport-McMoRan Inc. | 226,000 | 226,452 | ||||||
Frontier Communications Corp. | 407,000 | 402,930 | ||||||
11.00%, 09/15/25 | 151,000 | 128,350 | ||||||
General Dynamics Corp. | 110,000 | 103,358 | ||||||
General Motors Co. | 32,000 | 32,335 | ||||||
General Motors Financial Company Inc. | 207,000 | 210,836 | ||||||
5.25%, 03/01/26 | 174,000 | 189,503 | ||||||
Georgia-Pacific LLC | 49,000 | 50,635 | ||||||
Gilead Sciences Inc. | 110,000 | 108,315 | ||||||
2.95%, 03/01/27 | 91,000 | 90,103 | ||||||
3.65%, 03/01/26 | 115,000 | 120,038 | ||||||
4.15%, 03/01/47 | 102,000 | 104,698 | ||||||
4.80%, 04/01/44 | 72,000 | 80,773 | ||||||
Glencore Finance Canada Ltd. | 57,000 | 63,047 | ||||||
Glencore Funding LLC | 165,000 | 165,999 | ||||||
Grupo Televisa SAB | 209,000 | 209,395 | ||||||
H&E Equipment Services Inc. | 20,000 | 21,050 | ||||||
Halliburton Co. | 142,000 | 146,003 | ||||||
5.00%, 11/15/45 | 95,000 | 104,101 | ||||||
Hess Corp. | 92,000 | 91,515 | ||||||
5.60%, 02/15/41 | 76,000 | 75,862 | ||||||
5.80%, 04/01/47 | 56,000 | 57,525 | ||||||
Hewlett Packard Enterprise Co. | 56,000 | 59,339 | ||||||
HSBC Holdings PLC | 248,000 | 259,249 | ||||||
HSBC Holdings PLC (3.26% fixed rate until 03/13/22; 1.06% + 3 month USD LIBOR thereafter) | 200,000 | 204,212 | ||||||
HSBC Holdings PLC (6.00% fixed rate until 05/22/27; 3.75% + USD 5 year Mid-Market Swap Rate thereafter) | 220,000 | 230,098 |
Principal Amount ($) | Fair Value $ | |||||||
Hyundai Capital America | 207,000 | 207,000 | ||||||
3.10%, 04/05/22 (b) | 79,000 | 78,606 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 226,000 | 233,232 | ||||||
Ingersoll-Rand Luxembourg Finance S.A. | 206,000 | 213,364 | ||||||
Ingles Markets Inc. | 49,000 | 48,020 | ||||||
Intel Corp. | 130,000 | 126,937 | ||||||
2.88%, 05/11/24 | 145,000 | 146,740 | ||||||
International Business Machines Corp. | 103,000 | 104,640 | ||||||
3.63%, 02/12/24 | 185,000 | 194,006 | ||||||
International Flavors & Fragrances Inc. | 44,000 | 45,213 | ||||||
International Paper Co. | 122,000 | 123,296 | ||||||
Interstate Power & Light Co. | 100,000 | 101,360 | ||||||
Intesa Sanpaolo S.p.A. | 219,000 | 219,828 | ||||||
IPALCO Enterprises Inc. | 20,000 | 20,174 | ||||||
j2 Cloud Services LLC/j2 Global Co-Obligor Inc. | 21,000 | 21,920 | ||||||
JB Poindexter & Company Inc. | 120,000 | 125,400 | ||||||
JBS USA LUX S.A./JBS USA Finance Inc. | 86,000 | 84,956 | ||||||
Jefferies Group LLC | ||||||||
5.13%, 01/20/23 | 121,000 | 132,144 | ||||||
6.50%, 01/20/43 | 132,000 | 151,304 | ||||||
Johnson & Johnson | 130,000 | 135,561 | ||||||
Johnson Controls International PLC | 58,000 | 61,525 | ||||||
JPMorgan Chase & Co. | ||||||||
2.55%, 10/29/20 (l) | 146,000 | 147,635 | ||||||
3.30%, 04/01/26 (l) | 196,000 | 196,639 | ||||||
3.63%, 12/01/27 (l) | 113,000 | 113,254 | ||||||
JPMorgan Chase & Co. (3.22% fixed rate until 03/01/24; 1.16% + 3 month USD LIBOR thereafter) | 157,000 | 159,495 |
See Notes to Schedules of Investments and Notes to Financial Statements.
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Schedule of Investments, continued — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
JPMorgan Chase & Co. (3.78% fixed rate until 02/01/27; 1.34% + 3 month USD LIBOR thereafter) | 133,000 | 136,833 | ||||||
JPMorgan Chase & Co. (3.88% fixed rate until 07/24/17; 1.36% + 3 month USD LIBOR thereafter) | 197,000 | 198,064 | ||||||
JPMorgan Chase & Co. (3.54% fixed rate until 05/01/27; 1.38% + 3 month USD LIBOR thereafter) | 173,000 | 174,955 | ||||||
JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR thereafter) | 152,000 | 153,642 | ||||||
JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) | 389,000 | 429,355 | ||||||
JPMorgan Chase & Co. (7.90% fixed rate until 04/30/18; 3.47% + 3 month USD LIBOR thereafter) | 156,000 | 160,454 | ||||||
KB Home | 239,000 | 267,232 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
3.50%, 09/01/23 | 103,000 | 104,233 | ||||||
6.38%, 03/01/41 | 74,000 | 85,288 | ||||||
Kinder Morgan Inc. | ||||||||
3.05%, 12/01/19 | 70,000 | 71,250 | ||||||
5.05%, 02/15/46 | 74,000 | 76,007 | ||||||
5.55%, 06/01/45 | 95,000 | 102,364 | ||||||
Kraft Heinz Foods Co. | 30,000 | 28,806 | ||||||
4.38%, 06/01/46 | 87,000 | 85,538 | ||||||
L Brands Inc. | 4,000 | 4,270 | ||||||
Lee Enterprises Inc. | 353,000 | 366,017 | ||||||
Lennar Corp. | ||||||||
4.50%, 11/15/19 | 118,000 | 122,056 | ||||||
4.75%, 05/30/25 | 176,000 | 183,810 | ||||||
Levi Strauss & Co. | 262,000 | 276,410 | ||||||
Lincoln National Corp. | 128,000 | 129,599 |
Principal Amount ($) | Fair Value $ | |||||||
Lithia Motors Inc. | 48,000 | 49,800 | ||||||
Lockheed Martin Corp. | ||||||||
3.55%, 01/15/26 | 80,000 | 82,662 | ||||||
3.80%, 03/01/45 | 65,000 | 63,469 | ||||||
4.70%, 05/15/46 | 72,000 | 80,598 | ||||||
Lowe’s Companies Inc. | 89,000 | 86,356 | ||||||
LYB International Finance BV | 57,000 | 62,387 | ||||||
LYB International Finance II BV 3.50%, 03/02/27 | 173,000 | 172,419 | ||||||
Macy’s Retail Holdings Inc. | 46,000 | 37,097 | ||||||
Marathon Oil Corp. | 94,000 | 93,967 | ||||||
Marathon Petroleum Corp. | 130,000 | 132,443 | ||||||
Marsh & McLennan Companies Inc. | 171,000 | 176,363 | ||||||
Masco Corp. | ||||||||
4.38%, 04/01/26 | 38,000 | 40,304 | ||||||
McDonald’s Corp. | ||||||||
3.70%, 01/30/26 | 70,000 | 72,959 | ||||||
4.88%, 12/09/45 | 72,000 | 80,957 | ||||||
Medtronic Inc. | ||||||||
3.50%, 03/15/25 | 24,000 | 25,026 | ||||||
4.63%, 03/15/45 | 97,000 | 110,461 | ||||||
Memorial Sloan-Kettering Cancer Center | 122,000 | 125,461 | ||||||
Merck & Company Inc. | 166,000 | 166,505 | ||||||
MetLife Inc. | 106,000 | 118,046 | ||||||
Mexichem SAB de C.V. | ||||||||
4.00%, 10/04/27 (b)(c) | 200,000 | 198,996 | ||||||
5.50%, 01/15/48 (b)(c) | 200,000 | 197,256 | ||||||
MGM Resorts International | ||||||||
5.25%, 03/31/20 (l) | 267,000 | 282,700 | ||||||
6.63%, 12/15/21 (l) | 438,000 | 493,407 | ||||||
Microsoft Corp. | ||||||||
1.55%, 08/08/21 (l) | 169,000 | 165,906 | ||||||
2.40%, 08/08/26 (l) | 43,000 | 41,581 | ||||||
3.45%, 08/08/36 (l) | 110,000 | 110,730 | ||||||
3.70%, 08/08/46 (l) | 67,000 | 67,606 | ||||||
4.00%, 02/12/55 (l) | 144,000 | 149,206 | ||||||
4.10%, 02/06/37 (l) | 64,000 | 69,702 | ||||||
4.25%, 02/06/47 (l) | 120,000 | 132,593 | ||||||
Mizuho Bank Ltd. | 523,000 | 526,447 | ||||||
Mizuho Financial Group Inc. | 231,000 | 230,810 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 89 |
Table of Contents
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Schedule of Investments, continued — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
Molina Healthcare Inc. | 149,000 | 146,765 | ||||||
Molson Coors Brewing Co. | ||||||||
2.10%, 07/15/21 | 244,000 | 240,745 | ||||||
3.00%, 07/15/26 | 86,000 | 83,767 | ||||||
4.20%, 07/15/46 | 78,000 | 78,199 | ||||||
Monsanto Co. | 35,000 | 35,114 | ||||||
Morgan Stanley | ||||||||
2.45%, 02/01/19 (l) | 182,000 | 183,234 | ||||||
2.63%, 11/17/21 (l) | 198,000 | 198,602 | ||||||
2.65%, 01/27/20 (l) | 73,000 | 73,850 | ||||||
2.75%, 05/19/22 | 159,000 | 159,798 | ||||||
3.70%, 10/23/24 (l) | 72,000 | 74,646 | ||||||
3.95%, 04/23/27 (l) | 246,000 | 250,627 | ||||||
4.10%, 05/22/23 (l) | 182,000 | 190,536 | ||||||
Morgan Stanley (3.59% fixed rate until 07/22/27; 1.34% + 3 month USD LIBOR thereafter) | 251,000 | 252,119 | ||||||
Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | 95,000 | 95,533 | ||||||
MPLX LP | 56,000 | 58,709 | ||||||
Murphy Oil Corp. | 260,000 | 267,462 | ||||||
National Retail Properties Inc. | 172,000 | 176,345 | ||||||
Navient Corp. | 302,000 | 332,593 | ||||||
NCL Corporation Ltd. | 220,000 | 228,250 | ||||||
Newell Brands Inc. | ||||||||
3.85%, 04/01/23 | 175,000 | 183,801 | ||||||
4.20%, 04/01/26 | 116,000 | 122,236 | ||||||
5.50%, 04/01/46 | 46,000 | 54,624 | ||||||
Newmont Mining Corp. | 136,000 | 145,554 | ||||||
Nexen Energy ULC | 87,000 | 111,667 | ||||||
NGPL PipeCo LLC | 41,000 | 42,964 | ||||||
Noble Energy Inc. | 175,000 | 179,368 | ||||||
Nordstrom Inc. | 8,000 | 7,860 | ||||||
Northern States Power Co. | 427,000 | 429,045 | ||||||
Northrop Grumman Corp. | 37,000 | 36,005 | ||||||
Novartis Capital Corp. | 20,000 | 21,306 |
Principal Amount ($) | Fair Value $ | |||||||
NRG Energy Inc. | 227,000 | 238,350 | ||||||
Nucor Corp. | 84,000 | 89,622 | ||||||
NuStar Logistics LP | 151,000 | 157,085 | ||||||
Occidental Petroleum Corp. | 57,000 | 58,379 | ||||||
Omnicom Group Inc. | 138,000 | 143,854 | ||||||
Oncor Electric Delivery Company LLC | 24,000 | 24,177 | ||||||
Oracle Corp. | ||||||||
1.90%, 09/15/21 | 110,000 | 109,216 | ||||||
2.40%, 09/15/23 | 127,000 | 126,298 | ||||||
4.00%, 07/15/46 | 110,000 | 113,743 | ||||||
4.13%, 05/15/45 | 63,000 | 65,949 | ||||||
Owens-Brockway Glass Container Inc. | 300,000 | 339,375 | ||||||
Pacific Gas & Electric Co. | 640,000 | 661,280 | ||||||
PacifiCorp | 258,000 | 345,465 | ||||||
Parker-Hannifin Corp. | 183,000 | 184,127 | ||||||
PepsiCo Inc. | 69,000 | 65,445 | ||||||
Perrigo Finance Unlimited Co. | 250,000 | 255,157 | ||||||
Petroleos Mexicanos | ||||||||
4.50%, 01/23/26 (l) | 253,000 | 252,385 | ||||||
5.38%, 03/13/22 (b)(l) | 250,000 | 267,062 | ||||||
5.63%, 01/23/46 (l) | 94,000 | 87,649 | ||||||
6.50%, 03/13/27 (b)(l) | 150,000 | 166,140 | ||||||
6.75%, 09/21/47 (l) | 200,000 | 213,220 | ||||||
PetSmart Inc. | 260,000 | 226,850 | ||||||
Pfizer Inc. | ||||||||
3.00%, 12/15/26 | 152,000 | 153,921 | ||||||
4.13%, 12/15/46 | 93,000 | 99,676 | ||||||
4.40%, 05/15/44 | 46,000 | 51,049 | ||||||
Philip Morris International Inc. | 136,000 | 139,117 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | ||||||||
4.70%, 06/15/44 | 75,000 | 67,815 | ||||||
5.75%, 01/15/20 | 110,000 | 117,061 | ||||||
Potash Corporation of Saskatchewan Inc. | 104,000 | 108,411 | ||||||
PPL Capital Funding Inc. | 168,000 | 165,404 |
See Notes to Schedules of Investments and Notes to Financial Statements.
90 | State Street Institutional Income Fund |
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Principal Amount ($) | Fair Value $ | |||||||
Precision Castparts Corp. | 102,000 | 111,864 | ||||||
Prudential Financial Inc. (4.50% fixed rate until 09/15/27; 2.38% + 3 month USD LIBOR thereafter) | 78,000 | 79,328 | ||||||
Prudential Financial Inc. (5.38% fixed rate until 05/15/25; 3.03% + 3 month USD LIBOR thereafter) | 178,000 | 192,751 | ||||||
PulteGroup Inc. | 340,000 | 370,736 | ||||||
QUALCOMM Inc. | ||||||||
2.10%, 05/20/20 | 143,000 | 143,595 | ||||||
2.90%, 05/20/24 | 143,000 | 143,674 | ||||||
3.25%, 05/20/27 | 50,000 | 50,385 | ||||||
4.30%, 05/20/47 | 34,000 | 34,821 | ||||||
Realty Income Corp. | 277,000 | 264,322 | ||||||
Reynolds American Inc. | 47,000 | 57,047 | ||||||
Rio Tinto Finance USA PLC | 96,000 | 100,041 | ||||||
Rockwell Collins Inc. | 97,000 | 98,799 | ||||||
3.50%, 03/15/27 (l) | 33,000 | 33,649 | ||||||
4.35%, 04/15/47 (l) | 71,000 | 73,836 | ||||||
Rogers Communications Inc. | 63,000 | 71,207 | ||||||
Royal Bank of Scotland Group PLC (3.50% fixed rate until 05/15/22; 1.48% + 3 month USD LIBOR thereafter) | 200,000 | 201,558 | ||||||
RPM International Inc. | 191,000 | 193,790 | ||||||
Ryder System Inc. | 240,000 | 241,699 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.20%, 03/15/28 | 421,000 | 423,699 | ||||||
5.00%, 03/15/27 | 72,000 | 76,566 | ||||||
Santander Holdings USA Inc. | ||||||||
2.65%, 04/17/20 | 287,000 | 288,326 | ||||||
3.70%, 03/28/22 (b)(l) | 249,000 | 253,793 | ||||||
4.40%, 07/13/27 (b) | 110,000 | 112,199 | ||||||
Santander UK Group Holdings PLC | 200,000 | 208,920 | ||||||
Schlumberger Holdings Corp. | 71,000 | 72,715 | ||||||
Select Income REIT | 161,000 | 162,676 |
Principal Amount ($) | Fair Value $ | |||||||
Shell International Finance BV | 171,000 | 170,116 | ||||||
3.75%, 09/12/46 (l) | 58,000 | 56,258 | ||||||
4.13%, 05/11/35 (l) | 85,000 | 89,863 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.88%, 09/23/23 (l) | 26,000 | 25,830 | ||||||
3.20%, 09/23/26 (l) | 86,000 | 84,750 | ||||||
Simon Property Group LP | 159,000 | 159,752 | ||||||
Sinclair Television Group Inc. | 459,000 | 471,049 | ||||||
Smithfield Foods Inc. | ||||||||
2.70%, 01/31/20 (b)(l) | 74,000 | 74,228 | ||||||
4.25%, 02/01/27 (b)(l) | 116,000 | 119,920 | ||||||
Southern California Edison Co. | 170,000 | 170,513 | ||||||
Southern Copper Corp. | 100,000 | 114,755 | ||||||
Spectra Energy Partners LP | ||||||||
3.38%, 10/15/26 (l) | 92,000 | 91,332 | ||||||
4.50%, 03/15/45 (l) | 37,000 | 37,454 | ||||||
Standard Industries Inc. | 325,000 | 345,312 | ||||||
Statoil ASA | 107,000 | 107,554 | ||||||
Sumitomo Life Insurance Co. (4.00% fixed rate until 09/14/27; 2.99% + 3 month USD LIBOR thereafter) | 200,000 | 196,278 | ||||||
Sumitomo Mitsui Banking Corp. | 254,000 | 254,975 | ||||||
Sunoco Logistics Partners Operations LP | 153,000 | 156,094 | ||||||
Sunoco LP/Sunoco Finance Corp. | ||||||||
5.50%, 08/01/20 (l) | 326,000 | 335,780 | ||||||
6.25%, 04/15/21 (l) | 125,000 | 130,987 | ||||||
SunTrust Banks Inc. (5.05% fixed rate until 06/15/22; 3.10% + 3 month USD LIBOR thereafter) | 402,000 | 411,045 | ||||||
SUPERVALU Inc. | 92,000 | 87,860 | ||||||
Sysco Corp. | 143,000 | 142,268 | ||||||
T-Mobile USA Inc. | 272,000 | 284,920 | ||||||
Tampa Electric Co. | 177,000 | 186,475 | ||||||
Target Corp. | 174,000 | 166,549 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 91 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
Teachers Insurance & Annuity Association of America | 108,000 | 121,973 | ||||||
Teck Resources Ltd. | 133,000 | 140,398 | ||||||
TEGNA Inc. | 113,000 | 118,932 | ||||||
Telefonica Emisiones SAU | 189,000 | 195,615 | ||||||
Tenet Healthcare Corp. | ||||||||
4.75%, 06/01/20 | 226,000 | 232,690 | ||||||
6.00%, 10/01/20 (l) | 424,000 | 451,857 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
1.40%, 07/20/18 | 158,000 | 157,265 | ||||||
1.70%, 07/19/19 | 95,000 | 93,634 | ||||||
3.15%, 10/01/26 (l) | 182,000 | 167,937 | ||||||
4.10%, 10/01/46 (l) | 63,000 | 53,684 | ||||||
The Allstate Corp. | 89,000 | 94,658 | ||||||
The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | 201,000 | 220,175 | ||||||
The Bank of New York Mellon (3.44% fixed rate until 02/07/27; 1.07% + 3 month USD LIBOR thereafter) | 191,000 | 195,849 | ||||||
The Bank of New York Mellon (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter) | 405,000 | 413,181 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd. | 400,000 | 401,885 | ||||||
The Dow Chemical Co. | 161,000 | 165,917 | ||||||
The Estee Lauder Companies Inc. | 124,000 | 125,710 | ||||||
The Goldman Sachs Group Inc. | ||||||||
2.30%, 12/13/19 | 157,000 | 157,699 | ||||||
2.35%, 11/15/21 (l) | 194,000 | 192,392 | ||||||
2.63%, 04/25/21 | 222,000 | 223,037 | ||||||
2.90%, 07/19/18 (l) | 231,000 | 233,100 | ||||||
3.85%, 01/26/27 (l) | 269,000 | 274,431 | ||||||
4.25%, 10/21/25 | 59,000 | 61,535 | ||||||
4.80%, 07/08/44 | 128,000 | 143,151 | ||||||
5.15%, 05/22/45 | 165,000 | 188,892 | ||||||
The Goldman Sachs Group Inc. (2.91% fixed rate until 07/22/24; 0.99% + 3 month USD LIBOR thereafter) | 161,000 | 161,121 |
Principal Amount ($) | Fair Value $ | |||||||
The Goldman Sachs Group Inc. (2.91% fixed rate until 06/05/22; 1.05% + 3 month USD LIBOR thereafter) | 316,000 | 316,303 | ||||||
The Goldman Sachs Group Inc. (3.27% fixed rate until 09/29/24; 1.20% + 3 month USD LIBOR thereafter) | 175,000 | 175,392 | ||||||
The Goldman Sachs Group Inc. (3.69% fixed rate until 06/05/27; 1.51% + 3 month USD LIBOR thereafter) | 157,000 | 158,498 | ||||||
The Home Depot Inc. | ||||||||
3.35%, 09/15/25 | 162,000 | 167,604 | ||||||
3.50%, 09/15/56 | 131,000 | 120,616 | ||||||
3.90%, 06/15/47 | 88,000 | 90,040 | ||||||
The Kroger Co. | ||||||||
2.95%, 11/01/21 | 206,000 | 207,829 | ||||||
4.65%, 01/15/48 | 97,000 | 94,194 | ||||||
The Mosaic Co. | 37,000 | 37,801 | ||||||
The Nielsen Company Luxembourg Sarl | 250,000 | 260,000 | ||||||
The Sherwin-Williams Co. | ||||||||
2.25%, 05/15/20 (l) | 141,000 | 141,554 | ||||||
2.75%, 06/01/22 (l) | 59,000 | 59,391 | ||||||
3.13%, 06/01/24 (l) | 142,000 | 143,008 | ||||||
3.45%, 06/01/27 (l) | 96,000 | 96,784 | ||||||
4.50%, 06/01/47 (l) | 60,000 | 63,064 | ||||||
The Southern Co. | ||||||||
3.25%, 07/01/26 (l) | 28,000 | 27,679 | ||||||
4.40%, 07/01/46 (l) | 42,000 | 43,506 | ||||||
The Southern Co. (5.50% fixed rate until 03/15/22; 3.63% + 3 month USD LIBOR thereafter) | 174,000 | 184,477 | ||||||
The Walt Disney Co. | 39,000 | 40,843 | ||||||
Time Warner Cable LLC | ||||||||
4.50%, 09/15/42 (l) | 32,000 | 30,282 | ||||||
6.55%, 05/01/37 (l) | 106,000 | 124,468 | ||||||
Time Warner Inc. | ||||||||
3.80%, 02/15/27 (l) | 163,000 | 163,315 | ||||||
5.35%, 12/15/43 (l) | 142,000 | 153,011 | ||||||
TransCanada PipeLines Ltd. | 42,000 | 47,223 | ||||||
Tyco Electronics Group S.A. | ||||||||
2.35%, 08/01/19 (l) | 295,000 | 296,573 | ||||||
3.13%, 08/15/27 | 160,000 | 158,621 |
See Notes to Schedules of Investments and Notes to Financial Statements.
92 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
Tyson Foods Inc. | ||||||||
2.65%, 08/15/19 (l) | 53,000 | 53,626 | ||||||
4.55%, 06/02/47 | 59,000 | 63,111 | ||||||
U.S. Bancorp (5.13% fixed rate until 01/15/21; 3.49% + 3 month USD LIBOR thereafter) | 345,000 | 365,700 | ||||||
UBS Group Funding Switzerland AG | 401,000 | 407,074 | ||||||
Union Pacific Corp. | ||||||||
3.60%, 09/15/37 | 37,000 | 37,541 | ||||||
4.10%, 09/15/67 | 62,000 | 62,712 | ||||||
United Technologies Corp. | ||||||||
2.65%, 11/01/26 (l) | 148,000 | 142,885 | ||||||
3.75%, 11/01/46 (l) | 65,000 | 62,713 | ||||||
UnitedHealth Group Inc. | 28,000 | 32,321 | ||||||
Vale Overseas Ltd. | ||||||||
4.38%, 01/11/22 (l) | 127,000 | 132,174 | ||||||
5.88%, 06/10/21 (l) | 255,000 | 280,209 | ||||||
6.25%, 08/10/26 | 57,000 | 64,779 | ||||||
6.88%, 11/10/39 (l) | 75,000 | 86,074 | ||||||
Valvoline Inc. | 40,000 | 40,600 | ||||||
Ventas Realty LP | 201,000 | 195,513 | ||||||
Verizon Communications Inc. | ||||||||
3.38%, 02/15/25 (b) | 174,000 | 174,701 | ||||||
4.40%, 11/01/34 (l) | 84,000 | 83,967 | ||||||
4.67%, 03/15/55 (l) | 110,000 | 104,695 | ||||||
4.86%, 08/21/46 (l) | 387,000 | 394,380 | ||||||
5.25%, 03/16/37 | 101,000 | 110,850 | ||||||
Viacom Inc. | ||||||||
3.45%, 10/04/26 | 107,000 | 102,861 | ||||||
5.25%, 04/01/44 | 99,000 | 94,886 | ||||||
Videotron Ltd. | 18,000 | 18,715 | ||||||
Virgin Media Finance PLC | 439,000 | 454,914 | ||||||
Virginia Electric & Power Co. | 100,000 | 102,692 | ||||||
Visa Inc. | ||||||||
3.15%, 12/14/25 | 52,000 | 53,285 | ||||||
4.30%, 12/14/45 | 83,000 | 91,658 | ||||||
Volkswagen Group of America Finance LLC 0.44% + 3 month USD LIBOR | 211,000 | 211,087 | ||||||
Vulcan Materials Co. | 72,000 | 73,630 | ||||||
W.R. Grace & Co. | 438,000 | 481,252 |
Principal Amount ($) | Fair Value $ | |||||||
Wabtec Corp. | 113,000 | 111,131 | ||||||
Walgreens Boots Alliance Inc. | 57,000 | 59,848 | ||||||
WEC Energy Group Inc. | 202,000 | 208,141 | ||||||
WellCare Health Plans Inc. | 202,000 | 212,605 | ||||||
Wells Fargo & Co. | ||||||||
2.63%, 07/22/22 | 115,000 | 115,177 | ||||||
3.90%, 05/01/45 (l) | 78,000 | 78,257 | ||||||
4.75%, 12/07/46 (l) | 121,000 | 132,658 | ||||||
Wells Fargo & Co. 1.31% + 3 month USD LIBOR | 157,000 | 159,236 | ||||||
Wells Fargo & Co. 3.11% + 3 month USD LIBOR | 227,000 | 247,146 | ||||||
Wells Fargo & Co. 3.77% + 3 month USD LIBOR | 156,000 | 159,905 | ||||||
Wells Fargo & Co. 3.99% + 3 month USD LIBOR | 240,000 | 267,120 | ||||||
Western Digital Corp. | 65,000 | 71,256 | ||||||
Western Gas Partners LP | 133,000 | 142,616 | ||||||
Westlake Chemical Corp. | 89,000 | 89,102 | ||||||
5.00%, 08/15/46 | 37,000 | 40,331 | ||||||
WestRock Co. | 122,000 | 122,148 | ||||||
Williams Partners LP | 59,000 | 58,954 | ||||||
3.90%, 01/15/25 | 140,000 | 142,934 | ||||||
4.90%, 01/15/45 | 58,000 | 58,768 | ||||||
5.40%, 03/04/44 | 32,000 | 34,584 | ||||||
Willis North America Inc. | 169,000 | 172,706 | ||||||
Windstream Services LLC | 409,000 | 289,367 | ||||||
WPP Finance 2010 | 298,000 | 304,940 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 202,000 | 205,272 | ||||||
Xilinx Inc. | 115,000 | 115,145 | ||||||
XPO Logistics Inc. | 386,000 | 406,265 | ||||||
|
| |||||||
89,082,339 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 93 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
Non-Agency Collateralized Mortgage |
| |||||||
American Tower Trust I (REIT) | 644,000 | 642,827 | ||||||
Banc of America Commercial Mortgage Trust 2008-1 | 37,438 | 37,606 | ||||||
Bear Stearns Commercial Mortgage Securities Trust 2007-PW18 | 171,547 | 171,611 | ||||||
BXP Trust 2017-GM | 711,000 | 723,727 | ||||||
Citigroup Commercial Mortgage Trust 2016-P5 | 408,463 | 402,890 | ||||||
Citigroup Commercial Mortgage Trust 2016-P6 | 1,148,803 | 1,205,807 | ||||||
4.03%, 12/10/49 (h) | 345,016 | 360,805 | ||||||
COMM 2013-LC13 Mortgage Trust | 175,000 | 191,195 | ||||||
COMM 2014-CR14 Mortgage Trust | 245,000 | 264,892 | ||||||
GS Mortgage Securities Trust 2015-GC28 | 2,804,351 | 153,062 | ||||||
GS Mortgage Securities Trust 2016-GS3 | 759,000 | 746,480 | ||||||
GS Mortgage Securities Trust 2017-GS5 | 830,046 | 869,017 | ||||||
GS Mortgage Securities Trust II 2012-GCJ9 | 747,524 | 62,434 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9 | 1,027,031 | 64,288 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | 125,000 | 131,865 | ||||||
JPMDB Commercial Mortgage Securities Trust 2017-C5 | 768,541 | 804,173 | ||||||
LB-UBS Commercial Mortgage Trust 2004-C8 | 68,111 | 117 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6 | 82,851 | 82,826 | ||||||
6.11%, 07/15/40 (b)(l) | 162,752 | 162,752 |
Principal Amount ($) | Fair Value $ | |||||||
MASTR Alternative Loan Trust 2003-5 | 3,693 | 15 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | 3,173,220 | 225,448 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | 3,835,255 | 201,073 | ||||||
Morgan Stanley Capital I Trust 2006-IQ11 | 270,000 | 266,521 | ||||||
Morgan Stanley Capital I Trust 2006-T21 | 43,036 | 43,007 | ||||||
Morgan Stanley Capital I Trust 2007-IQ16 | 91,064 | 91,645 | ||||||
Morgan Stanley Capital I Trust 2008-T29 | 250,000 | 251,582 | ||||||
Morgan Stanley Capital I Trust 2016-UBS9 | 4,704,849 | 341,315 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 1.43%, 02/15/48 (g)(h) | 3,144,902 | 220,559 | ||||||
Wells Fargo Commercial Mortgage Trust 2017-RB1 | 483,093 | 502,880 | ||||||
Wells Fargo Mortgage Backed Securities Trust 2006-3 | 10,275 | — | ** | |||||
WFRBS Commercial Mortgage Trust 2013-C17 | 240,000 | 254,466 | ||||||
WFRBS Commercial Mortgage Trust 2014-C25 | 95,000 | 71,409 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | 544,000 | 576,319 | ||||||
4.59%, 03/15/47 (b)(h) | 582,134 | 489,874 | ||||||
|
| |||||||
10,614,487 | ||||||||
|
| |||||||
Sovereign Bonds - 1.2% |
| |||||||
Government of Chile | 200,000 | 203,618 | ||||||
Government of Colombia | 200,000 | 205,942 | ||||||
Government of Mexico | 304,000 | 313,123 | ||||||
Government of Oman | 200,000 | 201,700 |
See Notes to Schedules of Investments and Notes to Financial Statements.
94 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — September 30, 2017
Principal Amount ($) | Fair Value $ | |||||||
Government of Panama | 220,000 | 232,353 | ||||||
Government of Peru | 144,000 | 182,007 | ||||||
Government of Philippines 3.95%, 01/20/40 | 200,000 | 207,514 | ||||||
Government of Saudi 2.88%, 03/04/23 (b)(c) | 402,000 | 400,814 | ||||||
3.63%, 03/04/28 (b)(c) | 402,000 | 400,826 | ||||||
4.63%, 10/04/47 (b)(c) | 201,000 | 201,937 | ||||||
Government of Uruguay | 150,818 | 159,204 | ||||||
|
| |||||||
2,709,038 | ||||||||
|
| |||||||
Municipal Bonds and Notes - 0.8% |
| |||||||
American Municipal Power Inc. | 105,000 | 138,149 | ||||||
Municipal Electric Authority of Georgia | 286,000 | 361,430 | ||||||
Port Authority of New York & New Jersey | 475,000 | 531,629 | ||||||
South Carolina State Public Service Authority | 185,000 | 237,999 | ||||||
State of California | 290,000 | 326,389 | ||||||
State of Illinois | 100,000 | 101,130 |
Principal Amount ($) of Shares | Fair Value $ | |||||||
The University of Texas System | 95,000 | 93,596 | ||||||
|
| |||||||
1,790,322 | ||||||||
|
| |||||||
FNMA (TBA) - 0.0%* |
| |||||||
Lehman | 203,294 | 4,391 | ||||||
|
| |||||||
Total Bonds and Notes (Cost $213,646,420) | 216,519,016 | |||||||
|
| |||||||
Domestic Equity - 0.1% | ||||||||
Preferred Stock - 0.1% | ||||||||
Wells Fargo & Co. 3.09% + 3 month USD LIBOR | 8,578 | 234,008 | ||||||
|
| |||||||
Total Investments in Securities (Cost $213,860,871) | 216,753,024 | |||||||
|
| |||||||
Short-Term Investments - 6.7% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.96% | 14,675,624 | 14,675,624 | ||||||
|
| |||||||
Total Investments (Cost $228,536,495) | 231,428,648 | |||||||
Liabilities in Excess of Other Assets, net - (5.1)% | (11,181,929 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | 220,246,719 | |||||||
|
|
Other Information:
During the period ended September 30, 2017, average notional values related to purchased and written option contracts were $30,000 or less than 0.05% of net assets and $79,000 or less than 0.05% of net assets, respectively.
Centrally Cleared Credit Default Swaps - Buy Protection
Reference Entity | Counterparty | Notional Amount (000s omitted) | Contract annual Fixed Rate/Payment Frequency | Termination Date | Market Value | Unamortized Upfront Payments Received | Unrealized Depreciation | |||||||||||||||||||
Markit CDX North America Investment Grade Index | CME Group Inc. | $ | 5,583 | | 1.00%/ Quarterly |
| 06/20/22 | $ | (117,396 | ) | $ | (88,737 | ) | $ | (28,659 | ) | ||||||||||
|
|
During the period ended September 30, 2017, average notional value related to swap contracts was $15,820,184 or 7.2% of net assets of net assets.
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 95 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — September 30, 2017
The Fund had the following long futures contracts open at September 30, 2017:
Description | Expiration date | Number of Contracts | Notional Amount | Current Notional Value | Unrealized Depreciation | |||||||||||||||
Ultra Long-Term U.S. Treasury Bond Futures | December 2017 | 29 | $ | 4,873,042 | $ | 4,788,625 | $ | (84,417 | ) | |||||||||||
5 Yr. U.S. Treasury Notes Futures | December 2017 | 81 | 9,578,729 | 9,517,500 | (61,229 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (145,646 | ) | ||||||||||||||||||
|
|
The Fund had the following short futures contracts open at September 30, 2017:
Description | Expiration date | Number of Contracts | Notional Amount | Current Notional Value | Unrealized Appreciation | |||||||||||||||
U.S. Long Bond Futures | December 2017 | 18 | (2,785,095 | ) | $ | (2,750,625 | ) | $ | 34,470 | |||||||||||
2 Yr. U.S. Treasury Notes Futures | December 2017 | 23 | (4,974,848 | ) | (4,961,172 | ) | 13,676 | |||||||||||||
10 Yr. U.S. Treasury Notes Futures | December 2017 | 7 | (891,038 | ) | (877,187 | ) | 13,851 | |||||||||||||
10 Yr. U.S. Treasury Ultra Futures | December 2017 | 88 | (11,950,271 | ) | (11,820,875 | ) | 129,396 | |||||||||||||
|
| |||||||||||||||||||
$ | 191,393 | |||||||||||||||||||
|
| |||||||||||||||||||
$ | 45,747 | |||||||||||||||||||
|
|
During the period ended September 30, 2017, average notional values related to long and short futures contracts were $ 26,073,181 or 11.8% of net assets and $22,710,531 or 10.3% of net assets, respectively.
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Income Fund | Investments in Securities† | |||||||||||||||||
U.S. Treasuries | $ | — | $ | 70,565,783 | $ | — | $ | 70,565,783 | ||||||||||
Agency Mortgage Backed | — | 33,856,303 | — | 33,856,303 | ||||||||||||||
Agency Collateralized Mortgage Obligations | — | 2,408,078 | — | 2,408,078 | ||||||||||||||
Asset Backed | — | 5,488,275 | — | 5,488,275 | ||||||||||||||
Corporate Notes | — | 89,082,339 | — | 89,082,339 | ||||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 10,614,487 | — | 10,614,487 | ||||||||||||||
Sovereign Bonds | — | 2,709,038 | — | 2,709,038 | ||||||||||||||
Municipal Bonds and Notes | — | 1,790,322 | — | 1,790,322 | ||||||||||||||
FNMA (TBA) | — | — | 4,391 | 4,391 | ||||||||||||||
Preferred Stock | 234,008 | — | — | 234,008 | ||||||||||||||
Short-Term Investments | 14,675,624 | — | — | 14,675,624 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 14,909,632 | $ | 216,514,625 | $ | 4,391 | $ | 231,428,648 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Credit Default Swap Contracts — Unrealized Depreciation | $ | — | $ | (28,659 | ) | $ | — | $ | (28,659 | ) | ||||||||
Long Futures Contracts — Unrealized Depreciation | (145,646 | ) | — | — | (145,646 | ) | ||||||||||||
Short Futures Contracts — Unrealized Appreciation | 191,393 | — | — | 191,393 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Other Financial Instruments | $ | 45,747 | $ | (28,659 | ) | $ | — | $ | 17,088 | |||||||||
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
96 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — September 30, 2017
Affiliate Table
Number of Shares Held at 9/30/16 | Value At 9/30/16 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/17 | Value at 9/30/17 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 29,678,865 | $ | 29,678,865 | $ | 151,086,464 | $ | 166,089,705 | $ | — | $ | — | 14,675,624 | $ | 14,675,624 | $ | 168,284 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 29,678,865 | $ | 151,086,464 | $ | 166,089,705 | $ | — | $ | — | $ | 14,675,624 | $ | 168,284 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 97 |
Table of Contents
State Street Institutional Funds
Notes to Schedules of Investments — September 30, 2017
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 September 30, 2017, these securities amounted to $18,754,229 or 2.78% and $19,919,454 or 9.04% 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 the Fund’s Board of Trustees. |
(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 State Street Bank & Trust Co., the Fund’s 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 September 30, 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 of Trustees. Security value is determined based on Level 3 inputs. |
(l) | At September 30, 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 September 30, 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
98 | Notes to Schedule of Investments |
Table of Contents
State Street Institutional U.S. Equity Fund
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 11/25/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 13.50 | $ | 14.46 | $ | 17.32 | $ | 15.59 | $ | 12.90 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.18 | * | 0.21 | * | 0.21 | * | 0.22 | * | 0.22 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 2.16 | * | 1.52 | * | (0.65 | )* | 2.60 | * | 2.67 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 2.34 | 1.73 | (0.44 | ) | 2.82 | 2.89 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.21 | 0.24 | 0.25 | 0.22 | 0.20 | |||||||||||||||
Net realized gains | 0.68 | 2.45 | 2.17 | 0.87 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.89 | 2.69 | 2.42 | 1.09 | 0.20 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 14.95 | $ | 13.50 | $ | 14.46 | $ | 17.32 | $ | 15.59 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 18.29 | % | 13.29 | % | (3.57 | )% | 18.88 | % | 22.76 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 461,828 | $ | 603,060 | $ | 615,024 | $ | 836,752 | $ | 767,603 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.37 | % | 0.37 | % | 0.37 | % | 0.36 | %(b) | 0.36 | %(b) | ||||||||||
Gross expenses | 0.37 | % | 0.37 | % | 0.37 | % | 0.36 | % | 0.36 | % | ||||||||||
Net investment income | 1.29 | % | 1.61 | % | 1.32 | % | 1.36 | % | 1.60 | % | ||||||||||
Portfolio turnover rate | 80 | % | 43 | % | 41 | % | 38 | % | 37 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.18 | $ | 15.06 | $ | 17.95 | $ | 15.96 | $ | 13.12 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.15 | * | 0.19 | * | 0.18 | * | 0.19 | * | 0.18 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 2.29 | * | 1.58 | * | (0.69 | )* | 2.67 | * | 2.83 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 2.44 | 1.77 | (0.51 | ) | 2.86 | 3.01 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.17 | 0.20 | 0.21 | — | 0.17 | |||||||||||||||
Net realized gains | 0.68 | 2.45 | 2.17 | 0.87 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.85 | 2.65 | 2.38 | 0.87 | 0.17 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 15.77 | $ | 14.18 | $ | 15.06 | $ | 17.95 | $ | 15.96 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 18.07 | % | 12.96 | % | (3.83 | )% | 18.55 | % | 23.23 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 95 | $ | 95 | $ | 104 | $ | 117 | $ | 84 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.62 | % | 0.62 | % | 0.62 | % | 0.61 | %(b) | 0.61 | %(b) | ||||||||||
Gross expenses | 0.62 | % | 0.62 | % | 0.62 | % | 0.61 | % | 0.61 | % | ||||||||||
Net investment income | 1.04 | % | 1.35 | % | 1.07 | % | 1.11 | % | 1.33 | % | ||||||||||
Portfolio turnover rate | 80 | % | 43 | % | 41 | % | 38 | % | 37 | % |
See Notes to Financial Highlights and Notes to Financial Statements.
Financial Highlights | 99 |
Table of Contents
State Street Institutional S&P 500 Index Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 11/25/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 20.69 | $ | 18.34 | $ | 18.84 | $ | 16.01 | $ | 13.71 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.43 | * | 0.39 | * | 0.37 | * | 0.32 | * | 0.30 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 3.26 | * | 2.37 | * | (0.48 | )* | 2.76 | * | 2.27 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 3.69 | 2.76 | (0.11 | ) | 3.08 | 2.57 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.41 | 0.41 | 0.39 | 0.25 | 0.27 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.41 | 0.41 | 0.39 | 0.25 | 0.27 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 23.97 | $ | 20.69 | $ | 18.34 | $ | 18.84 | $ | 16.01 | ||||||||||
�� |
|
|
|
|
|
|
|
|
|
| ||||||||||
Total return(a) | 18.08 | % | 15.21 | % | (0.68 | )% | 19.54 | % | 19.11 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,498 | $ | 8,875 | $ | 20,017 | $ | 32,326 | $ | 42,753 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.16 | % | 0.16 | % | 0.16 | % | 0.19 | %(b) | 0.15 | %(b) | ||||||||||
Gross expenses | 0.16 | % | 0.16 | % | 0.16 | % | 0.19 | % | 0.15 | % | ||||||||||
Net investment income | 1.93 | % | 2.02 | % | 1.91 | % | 1.79 | % | 2.05 | % | ||||||||||
Portfolio turnover rate | 11 | % | 12 | % | 7 | % | 16 | % | 2 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||
Net asset value, beginning of period | $ | 21.09 | $ | 18.69 | $ | 19.20 | $ | 16.31 | $ | 13.97 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.38 | * | 0.36 | * | 0.33 | * | 0.28 | * | 0.27 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 3.34 | * | 2.40 | * | (0.49 | )* | 2.83 | * | 2.31 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 3.72 | 2.76 | (0.16 | ) | 3.11 | 2.58 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.36 | 0.36 | 0.35 | 0.22 | 0.24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.36 | 0.36 | 0.35 | 0.22 | 0.24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 24.45 | $ | 21.09 | $ | 18.69 | $ | 19.20 | $ | 16.31 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 17.84 | % | 14.90 | % | (0.95 | )% | 19.28 | % | 18.81 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,100 | $ | 7,360 | $ | 6,960 | $ | 7,150 | $ | 5,922 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.41 | % | 0.41 | % | 0.41 | % | 0.44 | %(b) | 0.40 | %(b) | ||||||||||
Gross expenses | 0.41 | % | 0.41 | % | 0.41 | % | 0.44 | % | 0.40 | % | ||||||||||
Net investment income | 1.66 | % | 1.80 | % | 1.65 | % | 1.52 | % | 1.80 | % | ||||||||||
Portfolio turnover rate | 11 | % | 12 | % | 7 | % | 16 | % | 2 | % |
See Notes to Financial Highlights and Notes to Financial Statements.
100 | Financial Highlights |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 10/29/99 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.23 | $ | 13.61 | $ | 14.96 | $ | 12.92 | $ | 10.83 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.13 | * | 0.13 | * | 0.13 | * | 0.13 | * | 0.14 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 2.60 | * | 1.88 | * | (0.11 | )* | 2.38 | * | 2.09 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income from investment operations | 2.73 | 2.01 | 0.02 | 2.51 | 2.23 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.12 | 0.14 | 0.13 | 0.11 | 0.14 | |||||||||||||||
Net realized gains | 1.15 | 1.25 | 1.24 | 0.36 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 1.27 | 1.39 | 1.37 | 0.47 | 0.14 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 15.69 | $ | 14.23 | $ | 13.61 | $ | 14.96 | $ | 12.92 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 21.18 | % | 15.25 | % | (0.47 | )% | 19.80 | % | 20.85 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 360,416 | $ | 325,700 | $ | 334,227 | $ | 428,536 | $ | 369,286 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.38 | % | 0.38 | % | 0.38 | % | 0.37 | %(b) | 0.38 | %(b) | ||||||||||
Gross expenses | 0.38 | % | 0.38 | % | 0.38 | % | 0.37 | % | 0.38 | % | ||||||||||
Net investment income | 0.88 | % | 0.95 | % | 0.89 | % | 0.94 | % | 1.20 | % | ||||||||||
Portfolio turnover rate | 24 | % | 21 | % | 21 | % | 21 | % | 25 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.06 | $ | 13.46 | $ | 14.82 | $ | 12.80 | $ | 10.74 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.09 | * | 0.09 | * | 0.09 | * | 0.10 | * | 0.11 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 2.57 | * | 1.87 | * | (0.12 | )* | 2.36 | * | 2.07 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 2.66 | 1.96 | (0.03 | ) | 2.46 | 2.18 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.09 | 0.11 | 0.09 | 0.08 | 0.12 | |||||||||||||||
Net realized gains | 1.15 | 1.25 | 1.24 | 0.36 | – | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 1.24 | 1.36 | 1.33 | 0.44 | 0.12 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 15.48 | $ | 14.06 | $ | 13.46 | $ | 14.82 | $ | 12.80 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 20.84 | % | 14.99 | % | (0.77 | )% | 19.56 | % | 20.49 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 16,136 | $ | 11,547 | $ | 5,820 | $ | 3,836 | $ | 3,216 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 0.63 | % | 0.63 | % | 0.63 | % | 0.62 | %(b) | 0.63 | %(b) | ||||||||||
Gross expenses | 0.63 | % | 0.63 | % | 0.63 | % | 0.62 | % | 0.63 | % | ||||||||||
Net investment income | 0.62 | % | 0.67 | % | 0.61 | % | 0.69 | % | 0.93 | % | ||||||||||
Portfolio turnover rate | 24 | % | 21 | % | 21 | % | 21 | % | 25 | % |
See Notes to Financial Highlights and Notes to Financial Statements.
Financial Highlights | 101 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 8/3/98 | |||||||||||||||||||
Net asset value, beginning of period | $ | 17.96 | $ | 17.18 | $ | 19.32 | $ | 20.19 | $ | 16.80 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.05 | * | 0.04 | * | 0.03 | * | 0.01 | * | 0.07 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 3.42 | * | 2.79 | * | (0.08 | )* | 1.12 | * | 4.69 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 3.47 | 2.83 | (0.05 | ) | 1.13 | 4.76 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.04 | 0.03 | 0.02 | 0.02 | 0.07 | |||||||||||||||
Net realized gains | 0.60 | 2.02 | 2.07 | 1.98 | 1.30 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.64 | 2.05 | 2.09 | 2.00 | 1.37 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 20.79 | $ | 17.96 | $ | 17.18 | $ | 19.32 | $ | 20.19 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 19.65 | % | 18.24 | % | (0.90 | )% | 5.61 | % | 30.57 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,464,018 | $ | 1,298,789 | $ | 1,171,984 | $ | 1,264,304 | $ | 1,249,146 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.88 | % | 0.89 | % | 0.89 | % | 0.88 | %(b) | 0.88 | %(b) | ||||||||||
Gross expenses | 0.88 | % | 0.89 | % | 0.89 | % | 0.88 | % | 0.89 | % | ||||||||||
Net investment income | 0.27 | % | 0.25 | % | 0.17 | % | 0.07 | % | 0.37 | % | ||||||||||
Portfolio turnover rate | 34 | % | 33 | % | 40 | % | 37 | % | 37 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||
Net asset value, beginning of period | $ | 17.98 | $ | 17.21 | $ | 19.37 | $ | 20.27 | $ | 16.87 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income (loss) | 0.01 | * | (0.00 | )*(c) | (0.01 | )* | (0.04 | )* | 0.02 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 3.41 | * | 2.80 | * | (0.08 | )* | 1.12 | * | 4.72 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 3.42 | 2.80 | (0.09 | ) | 1.08 | 4.74 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.01 | 0.01 | — | — | 0.04 | |||||||||||||||
Net realized gains | 0.60 | 2.02 | 2.07 | 1.98 | 1.30 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.61 | 2.03 | 2.07 | 1.98 | 1.34 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 20.79 | $ | 17.98 | $ | 17.21 | $ | 19.37 | $ | 20.27 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 19.38 | % | 17.96 | % | (1.12 | )% | 5.32 | % | 30.26 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,373 | $ | 2,579 | $ | 1,741 | $ | 71 | $ | 87 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 1.13 | % | 1.14 | % | 1.14 | % | 1.13 | %(b) | 1.13 | %(b) | ||||||||||
Gross expenses | 1.13 | % | 1.14 | % | 1.14 | % | 1.13 | % | 1.14 | % | ||||||||||
Net investment income (loss) | 0.03 | % | (0.00 | )%(d) | (0.07 | )% | (0.19 | )% | 0.09 | % | ||||||||||
Portfolio turnover rate | 34 | % | 33 | % | 40 | % | 37 | % | 37 | % |
See Notes to Financial Highlights and Notes to Financial Statements.
102 | Financial Highlights |
Table of Contents
State Street Institutional International Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 11/25/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 11.83 | $ | 11.41 | $ | 12.72 | $ | 12.71 | $ | 10.68 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.17 | * | 0.20 | * | 0.18 | * | 0.30 | * | 0.18 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 1.63 | * | 0.40 | * | (1.15 | )* | (0.08 | )* | 2.09 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 1.80 | 0.60 | (0.97 | ) | 0.22 | 2.27 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.21 | 0.18 | 0.34 | 0.21 | 0.24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.21 | 0.18 | 0.34 | 0.21 | 0.24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 13.42 | $ | 11.83 | $ | 11.41 | $ | 12.72 | $ | 12.71 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 15.58 | % | 5.32 | % | (7.80 | )% | 1.69 | % | 21.57 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,213,757 | $ | 1,238,011 | $ | 1,284,412 | $ | 1,724,647 | $ | 1,836,243 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 0.57 | % | 0.57 | % | 0.56 | % | 0.56 | %(b) | 0.56 | %(b) | ||||||||||
Gross expenses | 0.57 | % | 0.57 | % | 0.56 | % | 0.56 | % | 0.56 | % | ||||||||||
Net investment income | 1.40 | % | 1.73 | % | 1.38 | % | 2.29 | % | 1.57 | % | ||||||||||
Portfolio turnover rate | 30 | % | 33 | % | 26 | % | 39 | % | 47 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||
Net asset value, beginning of period | $ | 11.76 | $ | 11.33 | $ | 12.62 | $ | 12.61 | $ | 10.59 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.14 | * | 0.17 | * | 0.08 | * | 0.26 | * | 0.15 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 1.63 | * | 0.40 | * | (1.06 | )* | (0.08 | )* | 2.07 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 1.77 | 0.57 | (0.98 | ) | 0.18 | 2.22 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.19 | 0.14 | 0.31 | 0.17 | 0.20 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.19 | 0.14 | 0.31 | 0.17 | 0.20 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 13.34 | $ | 11.76 | $ | 11.33 | $ | 12.62 | $ | 12.61 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 15.33 | % | 5.01 | % | (7.95 | )% | 1.42 | % | 21.19 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 18,687 | $ | 17,796 | $ | 19,562 | $ | 92,749 | $ | 101,204 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.82 | % | 0.82 | % | 0.81 | % | 0.81 | %(b) | 0.81 | %(b) | ||||||||||
Gross expenses | 0.82 | % | 0.82 | % | 0.81 | % | 0.81 | % | 0.81 | % | ||||||||||
Net investment income | 1.14 | % | 1.45 | % | 0.63 | % | 2.03 | % | 1.31 | % | ||||||||||
Portfolio turnover rate | 30 | % | 33 | % | 26 | % | 39 | % | 47 | % |
See Notes to Financial Highlights and Notes to Financial Statements.
Financial Highlights | 103 |
Table of Contents
State Street Institutional Strategic Investment Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 10/29/99 | |||||||||||||||||||
Net asset value, beginning of period | $ | 12.11 | $ | 11.91 | $ | 13.54 | $ | 13.09 | $ | 11.88 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.18 | * | 0.23 | * | 0.21 | * | 0.25 | * | 0.22 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 1.06 | * | 0.77 | * | (0.49 | )* | 0.90 | * | 1.22 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 1.24 | 1.00 | (0.28 | ) | 1.15 | 1.44 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.24 | 0.20 | 0.25 | 0.22 | 0.23 | |||||||||||||||
Net realized gains | 0.14 | 0.60 | 1.10 | 0.48 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.38 | 0.80 | 1.35 | 0.70 | 0.23 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 12.97 | $ | 12.11 | $ | 11.91 | $ | 13.54 | $ | 13.09 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 10.59 | % | 8.83 | % | (2.46 | )% | 8.98 | % | 12.34 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 675,137 | $ | 757,680 | $ | 754,367 | $ | 835,338 | $ | 827,998 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.33 | %(e) | 0.36 | % | 0.36 | % | 0.35 | %(b) | 0.34 | %(b) | ||||||||||
Gross expenses | 0.36 | % | 0.36 | % | 0.36 | % | 0.35 | % | 0.36 | % | ||||||||||
Net investment income | 1.45 | % | 1.94 | % | 1.61 | % | 1.84 | % | 1.74 | % | ||||||||||
Portfolio turnover rate | 174 | % | 109 | % | 144 | % | 185 | % | 153 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||
Net asset value, beginning of period | $ | 12.00 | $ | 11.81 | $ | 13.44 | $ | 12.99 | $ | 11.80 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.15 | * | 0.20 | * | 0.17 | * | 0.21 | * | 0.18 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 1.06 | * | 0.76 | * | (0.48 | )* | 0.90 | * | 1.21 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 1.21 | 0.96 | (0.31 | ) | 1.11 | 1.39 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.21 | 0.17 | 0.22 | 0.18 | 0.20 | |||||||||||||||
Net realized gains | 0.14 | 0.60 | 1.10 | 0.48 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.35 | 0.77 | 1.32 | 0.66 | 0.20 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 12.86 | $ | 12.00 | $ | 11.81 | $ | 13.44 | $ | 12.99 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 10.41 | % | 8.53 | % | (2.72 | )% | 8.79 | % | 11.98 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 58 | $ | 55 | $ | 60 | $ | 62 | $ | 57 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.58 | %(e) | 0.61 | % | 0.61 | % | 0.60 | %(b) | 0.59 | %(b) | ||||||||||
Gross expenses | 0.61 | % | 0.61 | % | 0.61 | % | 0.60 | % | 0.61 | % | ||||||||||
Net investment income | 1.20 | % | 1.70 | % | 1.36 | % | 1.60 | % | 1.48 | % | ||||||||||
Portfolio turnover rate | 174 | % | 109 | % | 144 | % | 185 | % | 153 | % |
See Notes to Financial Highlights and Notes to Financial Statements.
104 | Financial Highlights |
Table of Contents
State Street Institutional Income Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 11/21/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.67 | $ | 9.45 | $ | 9.51 | $ | 9.34 | $ | 10.01 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.24 | * | 0.26 | * | 0.25 | 0.26 | 0.21 | |||||||||||||
Net realized and unrealized gains/(losses) on investments | (0.15 | )* | 0.31 | * | (0.05 | ) | 0.17 | (0.32 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.09 | 0.57 | 0.20 | 0.43 | (0.11 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.23 | 0.26 | 0.26 | 0.26 | 0.21 | |||||||||||||||
Net realized gains | 0.01 | 0.09 | — | — | 0.35 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.24 | 0.35 | 0.26 | 0.26 | 0.56 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 9.52 | $ | 9.67 | $ | 9.45 | $ | 9.51 | $ | 9.34 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 0.98 | % | 6.18 | % | 2.05 | % | 4.61 | % | (1.13 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 220,157 | $ | 298,908 | $ | 291,252 | $ | 322,946 | $ | 341,603 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.24 | % | 0.24 | % | 0.23 | % | 0.23 | %(b) | 0.21 | %(b) | ||||||||||
Gross expenses | 0.24 | % | 0.24 | % | 0.23 | % | 0.23 | % | 0.23 | % | ||||||||||
Net investment income | 2.56 | % | 2.79 | % | 2.65 | % | 2.73 | % | 2.21 | % | ||||||||||
Portfolio turnover rate | 326 | % | 219 | % | 297 | % | 308 | % | 348 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | 9/30/13** | ||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.89 | $ | 9.66 | $ | 9.72 | $ | 9.55 | $ | 10.23 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.22 | * | 0.25 | * | 0.23 | 0.24 | 0.19 | |||||||||||||
Net realized and unrealized gains/(losses) on investments | (0.16 | )* | 0.31 | * | (0.05 | ) | 0.17 | (0.33 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.06 | 0.56 | 0.18 | 0.41 | (0.14 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.21 | 0.24 | 0.24 | 0.24 | 0.19 | |||||||||||||||
Net realized gains | 0.01 | 0.09 | — | — | 0.35 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.22 | 0.33 | 0.24 | 0.24 | 0.54 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 9.73 | $ | 9.89 | $ | 9.66 | $ | 9.72 | $ | 9.55 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 0.65 | % | 5.95 | % | 1.81 | % | 4.32 | % | (1.40 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 90 | $ | 181 | $ | 248 | $ | 327 | $ | 316 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.49 | % | 0.49 | % | 0.48 | % | 0.48 | %(b) | 0.46 | %(b) | ||||||||||
Gross expenses | 0.49 | % | 0.49 | % | 0.48 | % | 0.48 | % | 0.48 | % | ||||||||||
Net investment income | 2.28 | % | 2.58 | % | 2.40 | % | 2.47 | % | 2.00 | % | ||||||||||
Portfolio turnover rate | 326 | % | 219 | % | 297 | % | 308 | % | 348 | % |
See Notes to Financial Highlights and Notes to Financial Statements.
Financial Highlights | 105 |
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%. |
(e) | Includes contractual waiver by the adviser to reduce the Fund’s total annual operating expenses (excluding extraordinary expenses, interest, taxes, commissions and acquired fund fees and expenses, if any) by 0.06% of average daily net assets and a contractual reimbursement of any ordinary operating expenses (excluding extraordinary expenses, interest, taxes and commissions) indirectly borne by the Fund as a result of investing in the State Street Equity 500 Index II Portfolio. |
* | 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. |
The accompanying Notes are an integral part of these financial statements.
106 | Financial Highlights |
Table of Contents
This page has been intentionally left blank.
Table of Contents
State Street Institutional Funds
Statements of Assets and Liabilities — September 30, 2017
State Street Institutional U.S. Equity Fund | State Street Institutional S&P 500 Index Fund | State Street Institutional Premier Growth Equity Fund | ||||||||||
Assets | ||||||||||||
Investments in securities, at fair value (cost $372,216,210; $7,188,117; $255,250,177; $1,016,838,747; $956,168,751; $335,510,825; and $213,860,871, respectively) | $ | 449,037,136 | $ | 10,335,834 | $ | 367,762,308 | ||||||
Investments in affiliated securities, at fair value (cost $0; $11,525; $0; $0; $0; $225,699,285; and $0, respectively) | — | 17,102 | — | |||||||||
Short-term affiliated investments, at fair value | 12,521,534 | 246,950 | 8,628,607 | |||||||||
Cash | — | — | — | |||||||||
Restricted cash(1) | — | 9,000 | — | |||||||||
Foreign currency (cost $0; $0; $0; $0; $957,331; $110,012; and $0, respectively) | — | — | — | |||||||||
Receivable for investments sold | 926,399 | — | — | |||||||||
Income receivables | 284,292 | 10,867 | 182,486 | |||||||||
Receivable for fund shares sold | 10,465 | — | 299,115 | |||||||||
Income receivable from affiliated investments | 10,491 | 253 | 8,023 | |||||||||
Receivable for variation margin on open futures contracts | 840 | 874 | — | |||||||||
Other assets | 11,490 | 381 | 6,637 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 462,802,647 | 10,621,261 | 376,887,176 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Distribution payable to shareholders | — | — | — | |||||||||
Payable for investments purchased | 741,125 | — | — | |||||||||
Payable for fund shares redeemed | 172 | 19,955 | 205,751 | |||||||||
Payable for variation margin on open centrally cleared swap contracts | — | — | — | |||||||||
Payable for variation margin on open futures contracts | — | — | 11,772 | |||||||||
Payable to the Adviser (Note 5) | 138,102 | 1,481 | 114,292 | |||||||||
Distribution and service fees (Note 5) | 19 | 1,702 | 3,306 | |||||||||
Accrued foreign capital gains tax | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 879,418 | 23,138 | 335,121 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 461,923,229 | $ | 10,598,123 | $ | 376,552,055 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in | $ | 289,069,953 | $ | 14,156,245 | $ | 243,137,683 | ||||||
Undistributed (distributions in excess of) net investment income | 4,988,201 | 231,915 | 2,005,335 | |||||||||
Accumulated net realized gain (loss) | 91,042,696 | (6,946,150 | ) | 18,956,432 | ||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||
Unaffiliated Investments | 76,820,926 | 3,147,717 | 112,512,131 | |||||||||
Affiliated investments | — | 5,577 | — | |||||||||
Futures | 1,453 | 2,819 | (59,526 | ) | ||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency related transactions | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 461,923,229 | $ | 10,598,123 | $ | 376,552,055 | ||||||
|
|
|
|
|
| |||||||
Investment Class: | ||||||||||||
Net Assets | $ | 461,827,967 | $ | 2,497,938 | $ | 360,416,163 | ||||||
Shares outstanding ($0.001 par value, unlimited shares authorized) | 30,889,135 | 104,196 | 22,970,549 | |||||||||
Net asset value, offering and redemption price per share | $ | 14.95 | $ | 23.97 | $ | 15.69 | ||||||
Service Class: | ||||||||||||
Net Assets | $ | 95,262 | $ | 8,100,185 | $ | 16,135,892 | ||||||
Shares outstanding ($0.001 par value, unlimited shares authorized) | 6,041 | 331,279 | 1,042,384 | |||||||||
Net asset value, offering and redemption price per share | $ | 15.77 | $ | 24.45 | $ | 15.48 | ||||||
(1) Deposits at broker for futures contracts.
|
The accompanying Notes are an integral part of these financial statements.
108 | Statements of Assets and Liabilities |
Table of Contents
State Street Institutional Small-Cap Equity Fund | State Street Institutional International Equity Fund | State Street Institutional Strategic Investment Fund | State Street Institutional Income Fund | |||||||||||
$ | 1,387,002,604 | $ | 1,169,544,321 | $ | 369,448,955 | $ | 216,753,024 | |||||||
| — | — | 252,676,208 | — | ||||||||||
78,324,730 | 61,540,289 | 64,109,601 | 14,675,624 | |||||||||||
17,850 | 18,686 | 1,935 | — | |||||||||||
954,000 | 1,175,000 | 160,000 | — | |||||||||||
— | 964,027 | 110,545 | — | |||||||||||
983,869 | 6,112,065 | 20,522,543 | 17,610,935 | |||||||||||
903,244 | 2,500,771 | 1,592,834 | 1,451,678 | |||||||||||
1,511,203 | 1,323,373 | 609,788 | 5 | |||||||||||
66,699 | 19,904 | 59,547 | 15,139 | |||||||||||
2,191 | 131,339 | 49,321 | 18,461 | |||||||||||
28,381 | 23,635 | 14,259 | 5,094 | |||||||||||
|
|
|
|
|
|
|
| |||||||
1,469,794,771 | 1,243,353,410 | 709,355,536 | 250,529,960 | |||||||||||
|
|
|
|
|
|
|
| |||||||
— | — | — | 281 | |||||||||||
2,217,258 | 10,115,883 | 33,944,901 | 30,046,970 | |||||||||||
163,097 | 968 | 2,948 | 190,473 | |||||||||||
— | — | 1,638 | 1,773 | |||||||||||
— | — | — | — | |||||||||||
1,023,107 | 559,344 | 179,998 | 43,724 | |||||||||||
469 | 3,814 | 12 | 20 | |||||||||||
— | 229,626 | 30,430 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||
3,403,931 | 10,909,635 | 34,159,927 | 30,283,241 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,466,390,840 | $ | 1,232,443,775 | $ | 675,195,609 | $ | 220,246,719 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 991,508,719 | $ | 1,245,022,347 | $ | 560,014,431 | $ | 218,676,329 | |||||||
1,870,838 | 16,635,149 | 8,128,587 | 1,418,534 | |||||||||||
101,939,438 | (242,381,298 | ) | 45,376,790 | (2,757,385 | ) | |||||||||
370,163,857 | 213,145,944 | 33,907,700 | 2,892,153 | |||||||||||
— | — | 26,976,923 | — | |||||||||||
907,988 | 23,397 | 801,106 | 45,747 | |||||||||||
— | — | (26,540 | ) | (28,659 | ) | |||||||||
— | (1,764 | ) | 16,612 | — | ||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,466,390,840 | $ | 1,232,443,775 | $ | 675,195,609 | $ | 220,246,719 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 1,464,017,742 | $ | 1,213,757,133 | $ | 675,137,286 | $ | 220,156,644 | |||||||
70,407,759 | 90,429,691 | 52,046,874 | 23,134,792 | |||||||||||
$ | 20.79 | $ | 13.42 | $ | 12.97 | $ | 9.52 | |||||||
$ | 2,373,098 | $ | 18,686,642 | $ | 58,323 | $ | 90,075 | |||||||
114,121 | 1,400,381 | 4,536.7 | 9,254 | |||||||||||
$ | 20.79 | $ | 13.34 | $ | 12.86 | $ | 9.73 |
The accompanying Notes are an integral part of these financial statements.
Statements of Assets and Liabilities | 109 |
Table of Contents
State Street Institutional Funds
Statements of Operations — For the year ended September 30, 2017
State Street Institutional U.S. Equity Fund | State Street Institutional S&P 500 Index Fund | State Street Institutional Premier Growth Equity Fund | ||||||||||
Investment Income | ||||||||||||
Income | ||||||||||||
Dividend | $ | 9,473,458 | $ | 353,240 | $ | 4,360,151 | ||||||
Interest | — | — | — | |||||||||
Income from affiliated investments | 106,674 | 4,555 | 79,095 | |||||||||
Less: Foreign taxes withheld | (375 | ) | — | — | ||||||||
Dividend Income — Non-Cash Transactions | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Total income | 9,579,757 | 357,795 | 4,439,246 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Advisory and administration fees (Note 5) | 2,089,039 | 25,768 | 1,311,211 | |||||||||
Distribution and service fees (Note 5): | ||||||||||||
Service Class | 253 | 20,352 | 33,101 | |||||||||
Trustees’ fees | 40,509 | 1,075 | 21,776 | |||||||||
Other expenses | 1,728 | 246 | 1,038 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before waivers/reimbursements | 2,131,529 | 47,441 | 1,367,126 | |||||||||
|
|
|
|
|
| |||||||
Less: Expenses waived/reimbursed by the adviser | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net expenses | 2,131,529 | 47,441 | 1,367,126 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | $ | 7,448,228 | $ | 310,354 | $ | 3,072,120 | ||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments |
| |||||||||||
Realized gain (loss) on: | ||||||||||||
Unaffiliated investments | $ | 99,839,920 | $ | 1,734,726 | $ | 19,737,978 | ||||||
Affiliated investments | — | 2,982 | — | |||||||||
Futures | 542,783 | 108,707 | 259,866 | |||||||||
Written options | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency transactions | 36 | — | — | |||||||||
Increase (decrease) in unrealized appreciation/depreciation on: | ||||||||||||
Unaffiliated investments | (9,637,535 | ) | 655,447 | 45,373,439 | ||||||||
Affiliated investments | — | 4,583 | — | |||||||||
Futures | 2,357 | (1,622 | ) | (82,112 | ) | |||||||
Swap contracts | — | — | — | |||||||||
Foreign currency translations | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | 90,747,561 | 2,504,823 | 65,289,171 | |||||||||
|
|
|
|
|
| |||||||
Net Increase in Net Assets Resulting from Operations | $ | 98,195,789 | $ | 2,815,177 | $ | 68,361,291 | ||||||
|
|
|
|
|
|
* | Includes change in accrued foreign capital gains tax of $116,274, and $(5,608) 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.
110 | Statements of Operations |
Table of Contents
State Street Institutional Small-Cap Equity Fund | State Street Institutional International Equity Fund | State Street Institutional Strategic Investment Fund | State Street Institutional Income Fund | |||||||||||
$ | 15,716,887 | $ | 26,461,857 | $ | 5,655,854 | $ | 37,864 | |||||||
3,260 | — | 6,118,813 | 7,255,827 | |||||||||||
496,220 | 196,646 | 1,818,290 | 168,284 | |||||||||||
(41,833 | ) | (4,046,529 | ) | (491,711 | ) | — | ||||||||
— | 1,559,345 | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||
16,174,534 | 24,171,319 | 13,101,246 | 7,461,975 | |||||||||||
|
|
|
|
|
|
|
| |||||||
12,335,641 | 6,870,800 | 2,599,097 | 620,839 | |||||||||||
5,968 | 44,438 | 140 | 257 | |||||||||||
93,377 | 79,551 | 49,589 | 23,552 | |||||||||||
8,723 | 10,561 | 13,454 | 1,365 | |||||||||||
|
|
|
|
|
|
|
| |||||||
12,443,709 | 7,005,350 | 2,662,280 | 646,013 | |||||||||||
|
|
|
|
|
|
|
| |||||||
— | — | (208,699 | ) | — | ||||||||||
|
|
|
|
|
|
|
| |||||||
12,443,709 | 7,005,350 | 2,453,581 | 646,013 | |||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 3,730,825 | $ | 17,165,969 | $ | 10,647,665 | $ | 6,815,962 | |||||||
|
|
|
|
|
|
|
| |||||||
$ | 110,519,557 | $ | 630,856 | $ | 47,571,116 | $ | (615,576 | ) | ||||||
— | — | 5,293,254 | — | |||||||||||
2,701,742 | 175,576 | 1,373,387 | 175,241 | |||||||||||
— | — | 7,719 | 8,471 | |||||||||||
— | — | (1,063,706 | ) | (1,305,687 | ) | |||||||||
— | (219,637 | ) | (24,606 | ) | — | |||||||||
131,969,990 | 160,836,968 | * | (16,992,754 | )* | (3,939,823 | ) | ||||||||
— | — | 26,266,110 | — | |||||||||||
779,661 | 5,723 | 708,273 | 38,263 | |||||||||||
— | — | 438,285 | 540,081 | |||||||||||
— | 60,486 | 22,950 | — | |||||||||||
|
|
|
|
|
|
|
| |||||||
245,970,950 | 161,489,972 | 63,600,028 | (5,099,030 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||
$ | 249,701,775 | $ | 178,655,941 | $ | 74,247,693 | $ | 1,716,932 | |||||||
|
|
|
|
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Operations | 111 |
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 | |||||||||||||||
Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | |||||||||||||
Increase (Decrease) in Net Assets |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income | $ | 7,448,228 | $ | 9,819,453 | $ | 310,354 | $ | 385,705 | ||||||||
Net realized gain (loss) on investments, futures and foreign currency transactions | 100,382,739 | 31,707,651 | 1,846,415 | 5,278,524 | ||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and foreign currency translations | (9,635,178 | ) | 35,732,707 | 658,408 | (2,515,588 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from operations | 98,195,789 | 77,259,811 | 2,815,177 | 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 | 59,399,797 | (33,754,546 | ) | 2,502,685 | 2,594,429 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Share transactions: |
| |||||||||||||||
Proceeds from sale of shares | ||||||||||||||||
Investment Class | 23,678,745 | 21,123,025 | 1,668,334 | 3,544,265 | ||||||||||||
Service Class | 5,590 | 20,465 | 1,826,004 | 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 | (262,621,887 | ) | (109,875,352 | ) | (9,521,372 | ) | (16,828,064 | ) | ||||||||
Service Class | (22,343 | ) | (40,174 | ) | (2,424,203 | ) | (1,503,268 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | (200,631,526 | ) | 21,781,805 | (8,139,375 | ) | (13,337,033 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (141,231,729 | ) | (11,972,741 | ) | (5,636,690 | ) | (10,742,604 | ) | ||||||||
Net Assets | ||||||||||||||||
Beginning of year | 603,154,958 | 615,127,699 | 16,234,813 | 26,977,417 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 461,923,229 | $ | 603,154,958 | $ | 10,598,123 | $ | 16,234,813 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distributions in excess of) net investment income, end of year | $ | 4,988,201 | $ | 6,822,971 | $ | 231,915 | $ | 232,106 | ||||||||
Changes in Fund Shares | ||||||||||||||||
Investment Class | ||||||||||||||||
Shares sold | 1,688,791 | 1,635,190 | 75,394 | 186,211 | ||||||||||||
Issued for distributions reinvested | 2,925,389 | 8,793,333 | 8,357 | 21,889 | ||||||||||||
Shares redeemed | (18,404,658 | ) | (8,296,312 | ) | (408,563 | ) | (870,643 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in fund shares | (13,790,478 | ) | 2,132,211 | (324,812 | ) | (662,543 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Service Class | ||||||||||||||||
Shares sold | 370 | 1,339 | 81,460 | 45,325 | ||||||||||||
Issued for distributions reinvested | 417 | 1,635 | 6,192 | 6,827 | ||||||||||||
Shares redeemed | (1,474 | ) | (3,157 | ) | (105,275 | ) | (75,576 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in fund shares | (687 | ) | (183 | ) | (17,623 | ) | (23,424 | ) | ||||||||
|
|
|
|
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
112 | Statements of Changes in Net Assets |
Table of Contents
State Street Institutional Funds
Statements of Changes in Net Assets
State Street Institutional Premier Growth Equity Fund | State Street Institutional Small-Cap Equity Fund | |||||||||||||||
Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | |||||||||||||
Increase (Decrease) in Net Assets |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income | $ | 3,072,120 | $ | 3,186,928 | $ | 3,730,825 | $ | 2,976,932 | ||||||||
Net realized gain (loss) on investments and futures | 19,997,844 | 31,295,981 | 113,221,299 | 50,236,237 | ||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments and futures | 45,291,327 | 13,860,759 | 132,749,651 | 150,737,476 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from operations | 68,361,291 | 48,343,668 | 249,701,775 | 203,950,645 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: |
| |||||||||||||||
Net investment income | ||||||||||||||||
Investment Class | (2,724,978 | ) | (3,274,744 | ) | (2,814,987 | ) | (2,263,681 | ) | ||||||||
Service Class | (70,521 | ) | (49,836 | ) | (1,191 | ) | (981 | ) | ||||||||
Net realized gains | ||||||||||||||||
Investment Class | (25,871,980 | ) | (29,010,695 | ) | (43,363,389 | ) | (135,317,625 | ) | ||||||||
Service Class | (929,074 | ) | (575,259 | ) | (83,248 | ) | (207,202 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (29,596,553 | ) | (32,910,534 | ) | (46,262,815 | ) | (137,789,489 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in assets from operations and distributions | 38,764,738 | 15,433,134 | 203,438,960 | 66,161,156 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Share transactions: |
| |||||||||||||||
Proceeds from sale of shares | ||||||||||||||||
Investment Class | 39,338,252 | 55,895,930 | 70,119,922 | 59,925,029 | ||||||||||||
Service Class | 4,552,728 | 6,508,525 | 435,295 | 730,980 | ||||||||||||
Value of distributions reinvested | ||||||||||||||||
Investment Class | 28,436,763 | 32,115,120 | 46,178,377 | 137,581,306 | ||||||||||||
Service Class | 999,595 | 624,951 | 84,438 | 208,183 | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Investment Class | (70,298,092 | ) | (111,333,277 | ) | (154,152,789 | ) | (136,736,850 | ) | ||||||||
Service Class | (2,489,023 | ) | (2,044,128 | ) | (1,081,378 | ) | (227,265 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 540,223 | (18,232,879 | ) | (38,416,135 | ) | 61,481,383 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 39,304,961 | (2,799,745 | ) | 165,022,825 | 127,642,539 | |||||||||||
Net Assets | ||||||||||||||||
Beginning of year | 337,247,094 | 340,046,839 | 1,301,368,015 | 1,173,725,476 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 376,552,055 | $ | 337,247,094 | $ | 1,466,390,840 | $ | 1,301,368,015 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distributions in excess of) net investment income, end of year | $ | 2,005,335 | $ | 1,728,714 | $ | 1,870,838 | $ | 1,346,261 | ||||||||
Changes in Fund Shares | ||||||||||||||||
Investment Class | ||||||||||||||||
Shares sold | 2,742,967 | 4,156,779 | 3,635,977 | 3,564,517 | ||||||||||||
Issued for distributions reinvested | 2,218,156 | 2,368,372 | 2,430,441 | 8,779,917 | ||||||||||||
Shares redeemed | (4,875,026 | ) | (8,206,857 | ) | (7,961,615 | ) | (8,267,615 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in fund shares | 86,097 | (1,681,706 | ) | (1,895,197 | ) | 4,076,819 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Service Class |
| |||||||||||||||
Shares sold | 316,632 | 494,832 | 22,804 | 43,619 | ||||||||||||
Issued for distributions reinvested | 78,895 | 46,569 | 4,435 | 13,243 | ||||||||||||
Shares redeemed | (174,546 | ) | (152,431 | ) | (56,588 | ) | (14,595 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in fund shares | 220,981 | 388,970 | (29,349 | ) | 42,267 | |||||||||||
|
|
|
|
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Changes in Net Assets | 113 |
Table of Contents
State Street Institutional Funds
Statements of Changes in Net Assets
State Street Institutional International Equity Fund | State Street Institutional Strategic Investment Fund | |||||||||||||||
Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | |||||||||||||
Increase (Decrease) in Net Assets |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income | $ | 17,165,969 | $ | 21,964,998 | $ | 10,647,665 | $ | 14,634,870 | ||||||||
Net realized gain (loss) on investments, futures, swap contracts and foreign currency transactions | 586,795 | (45,394,227 | ) | 53,157,164 | 7,209,519 | |||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, swap contracts and foreign currency translations | 160,903,177 | 88,195,510 | 10,442,864 | 41,759,066 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from operations | 178,655,941 | 64,766,281 | 74,247,693 | 63,603,455 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: |
| |||||||||||||||
Net investment income | ||||||||||||||||
Investment Class | (21,670,619 | ) | (20,487,258 | ) | (14,897,628 | ) | (12,422,840 | ) | ||||||||
Service Class | (280,973 | ) | (228,586 | ) | (993 | ) | (853 | ) | ||||||||
Net realized gains | ||||||||||||||||
Investment Class | — | — | (8,441,498 | ) | (37,733,122 | ) | ||||||||||
Service Class | — | — | (641 | ) | (3,016 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (21,951,592 | ) | (20,715,844 | ) | (23,340,760 | ) | (50,159,831 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in assets from operations and distributions | 156,704,349 | 44,050,437 | 50,906,933 | 13,443,624 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Share transactions: |
| |||||||||||||||
Proceeds from sale of shares | ||||||||||||||||
Investment Class | 45,554,141 | 47,289,789 | 35,399,840 | 32,104,281 | ||||||||||||
Service Class | 220,946 | 110,591 | 1,412 | 1,911 | ||||||||||||
Value of distributions reinvested | ||||||||||||||||
Investment Class | 21,670,123 | 20,486,760 | 23,339,025 | 50,155,750 | ||||||||||||
Service Class | 280,973 | 228,334 | 1,634 | 3,427 | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Investment Class | (245,913,305 | ) | (157,598,526 | ) | (192,184,923 | ) | (92,389,632 | ) | ||||||||
Service Class | (1,880,348 | ) | (2,735,116 | ) | (3,408 | ) | (11,933 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | (180,067,470 | ) | (92,218,168 | ) | (133,446,420 | ) | (10,136,196 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (23,363,121 | ) | (48,167,731 | ) | (82,539,487 | ) | 3,307,428 | |||||||||
Net Assets |
| |||||||||||||||
Beginning of year | 1,255,806,896 | 1,303,974,627 | 757,735,096 | 754,427,668 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 1,232,443,775 | $ | 1,255,806,896 | $ | 675,195,609 | $ | 757,735,096 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distributions in excess of) net investment income, end of year | $ | 16,635,149 | $ | 21,640,409 | $ | 8,128,587 | $ | 11,785,501 | ||||||||
Changes in Fund Shares |
| |||||||||||||||
Investment Class |
| |||||||||||||||
Shares sold | 3,670,675 | 4,137,415 | 2,868,619 | 2,746,867 | ||||||||||||
Issued for distributions reinvested | 1,919,409 | 1,754,003 | 2,003,350 | 4,399,627 | ||||||||||||
Shares redeemed | (19,831,129 | ) | (13,763,388 | ) | (15,415,370 | ) | (7,913,209 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in fund shares | (14,241,045 | ) | (7,871,970 | ) | (10,543,401 | ) | (766,715 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Service Class |
| |||||||||||||||
Shares sold | 18,410 | 9,772 | 120 | 169 | ||||||||||||
Issued for distributions reinvested | 24,975 | 19,616 | 141 | 302 | ||||||||||||
Shares redeemed | (155,864 | ) | (242,704 | ) | (286 | ) | (1,009 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in fund shares | (112,479 | ) | (213,316 | ) | (25 | ) | (538 | ) | ||||||||
|
|
|
|
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
114 | Statements of Changes in Net Assets |
Table of Contents
State Street Institutional Funds
Statements of Changes in Net Assets
State Street Institutional Income Fund | ||||||||
Year Ended September 30, | Year Ended September 30, | |||||||
Increase (Decrease) in Net Assets |
| |||||||
Operations: |
| |||||||
Net investment income | $ | 6,815,962 | $ | 8,230,530 | ||||
Net realized gain (loss) on investments, futures and swap contracts | (1,737,551 | ) | 1,808,794 | |||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures and swap contracts | (3,361,479 | ) | 7,696,899 | |||||
|
|
|
| |||||
Net increase (decrease) from operations | 1,716,932 | 17,736,223 | ||||||
|
|
|
| |||||
Distributions to shareholders from: |
| |||||||
Net investment income |
| |||||||
Investment Class | (6,369,455 | ) | (7,971,456 | ) | ||||
Service Class | (2,161 | ) | (5,539 | ) | ||||
Net realized gains |
| |||||||
Investment Class | (396,332 | ) | (2,849,874 | ) | ||||
Service Class | (134 | ) | (2,372 | ) | ||||
|
|
|
| |||||
Total distributions | (6,768,082 | ) | (10,829,241 | ) | ||||
|
|
|
| |||||
Increase (decrease) in assets from operations and distributions | (5,051,150 | ) | 6,906,982 | |||||
|
|
|
| |||||
Share transactions: |
| |||||||
Proceeds from sale of shares |
| |||||||
Investment Class | 36,633,790 | 57,547,356 | ||||||
Service Class | 3,243 | 34,392 | ||||||
Value of distributions reinvested |
| |||||||
Investment Class | 6,679,291 | 10,809,076 | ||||||
Service Class | 2,294 | 7,912 | ||||||
Cost of shares redeemed |
| |||||||
Investment Class | (117,017,251 | ) | (67,602,733 | ) | ||||
Service Class | (93,066 | ) | (112,921 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (73,791,699 | ) | 683,082 | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | (78,842,849 | ) | 7,590,064 | |||||
Net Assets |
| |||||||
Beginning of year | 299,089,568 | 291,499,504 | ||||||
|
|
|
| |||||
End of year | $ | 220,246,719 | $ | 299,089,568 | ||||
|
|
|
| |||||
Undistributed (distributions in excess of) net investment income, end of year | $ | 1,418,534 | $ | 211,089 | ||||
Changes in Fund Shares |
| |||||||
Investment Class |
| |||||||
Shares sold | 3,872,839 | 6,075,536 | ||||||
Issued for distributions reinvested | 707,546 | 1,147,253 | ||||||
Shares redeemed | (12,353,748 | ) | (7,141,399 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in fund shares | (7,773,363 | ) | 81,390 | |||||
|
|
|
| |||||
Service Class |
| |||||||
Shares sold | 339 | 3,496 | ||||||
Issued for distributions reinvested | 238 | 823 | ||||||
Shares redeemed | (9,626 | ) | (11,670 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in fund shares | (9,049 | ) | (7,351 | ) | ||||
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Changes in Net Assets | 115 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements — September 30, 2017
1. | Organization of the Funds |
State Street Institutional Funds (the “Trust”) 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 seven investment funds (each, a “Fund” and collectively, the “Funds”): State Street Institutional U.S. Equity Fund, State Street Institutional S&P 500 Index Fund, 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 and State Street Institutional 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 a diversified investment company within the meaning of the 1940 Act.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees (the “Board”) of the Trust. The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value each Fund’s investments by major category are as follows:
• | Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value per share or unit. |
• | Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value pursuant to the valuation policy and procedures approved by the Board. |
• | Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative |
116 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2017
inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income. |
• | Debt obligations (including short term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices. |
• | Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
• | Options on futures are priced at their last sale price on the principal market on which they are traded on the valuation date. If there were no sales on that day, options on futures are valued at either the last reported sale or official closing price on their primary exchange determined in accordance with valuation policy and procedures approved by the Board. |
• | Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event the advisor is unable to obtain an independent, third–party valuation the agreements will be fair valued. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of each Fund’s investments according to the fair value hierarchy as of September 30, 2017 is disclosed in the Fund’s respective Schedule of Investments.
Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. The Funds had no material transfers between levels for the year ended September 30, 2017.
Investment Transactions and Income Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Notes to Financial Statements | 117 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2017
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
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).
Foreign Currency Translation The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates 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 the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. 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 September 30, 2017, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
Distributions Distributions from net investment income, if any, are declared and paid annually for all Funds except the State Street Institutional Income Fund. The State Street Institutional Income Fund declares them daily and pays them monthly.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Securities and Other Investments |
Delayed Delivery Transactions and When-Issued Securities During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable Fund’s Schedule of Investments. The Funds may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to such purchase commitments, the Funds identify securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.
To-Be-Announced Transactions Certain Funds may seek to obtain exposure to U.S. agency mortgage pass-through securities through the use of “to-be-announced” or “TBA transactions.” “TBA” refers to a commonly used mechanism for the forward settlement of U.S. agency mortgage pass-through securities. In a TBA transaction, the buyer and seller decide on general trade parameters, such as agency, settlement date, coupon, and price.
A fund may use TBA transactions to “roll over” such agreements prior to the settlement date. This type of TBA transaction is sometimes known as a “TBA roll.” In a “TBA roll” a Fund generally will sell the obligation to purchase the pools stipulated in the TBA agreement prior to the settlement date and will enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities. A fund may also enter into TBA agreements and settle such transactions on the stipulated settlement date by accepting actual receipt or delivery of the pools of mortgage pass-through securities.
118 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2017
Default by or bankruptcy of a counterparty to a TBA transaction would expose a Fund to possible loss because of adverse market action, expenses or delays in connection with the purchase or sale of the pools of mortgage pass-through securities specified in the TBA transaction. To minimize this risk, a Fund will enter into TBA transactions only with established counterparties. A Fund’s use of “TBA rolls” may impact portfolio turnover, transaction costs and capital gain distributions to shareholders.
4. | Derivative Financial Instruments |
Futures Contracts Certain Funds may enter into futures contracts to meet the Funds’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Funds equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Funds recognize a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended September 30, 2017 the following Funds entered into futures contracts for strategies listed below:
Funds | Strategies | |
State Street Institutional U.S. Equity Fund | Equitization of cash | |
State Street Institutional S&P 500 Index Fund | Equitization of cash | |
State Street Institutional Premier Growth Equity Fund | Equitization of cash | |
State Street Institutional Small-Cap Equity Fund | Equitization of cash | |
State Street Institutional International Equity Fund | Equitization of cash | |
State Street Institutional Strategic Investment Fund | Equitization of Cash; Management of Interest Rate Risk | |
State Street Institutional Income Fund | Management of Interest Rate Risk |
Options on Futures Contracts Certain Funds may purchase and write options, including options on futures contracts, subject to certain limitations. Writing puts and buying calls tend to increase a Fund’s exposure to the underlying instrument while buying puts and writing calls tend to decrease a Fund’s exposure to the underlying instrument. A Fund will not enter into a transaction involving options for speculative purposes. The 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.
When a Fund writes an option, the amount of the premium received is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by the Funds on the expiration date as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase, as a realized loss. When an option is exercised, the proceeds from the sale of the underlying instrument or the cost basis of the securities purchased is adjusted by the original premium received or paid. In return for a premium paid, call and put options on futures contracts give the holder the right, but not the obligation, to purchase or sell, respectively, a position in a particular futures contract at a specified exercise price.
For the period ended September 30, 2017 the State Street Institutional Strategic Investment Fund and the State Street Institutional Income Fund purchased and wrote options in order to hedge against changes in market conditions and interest rates.
Credit Default Swaps During the year ended September 30, 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
Notes to Financial Statements | 119 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2017
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 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.
The following tables summarize the value of the Funds’ derivative instruments as of September 30, 2017 and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Total | ||||||||||||||||
State Street Institutional U.S. Equity Fund | ||||||||||||||||||||
Futures Contracts(a) | $ | — | $ | — | $ | — | $ | 1,453 | $ | 1,453 | ||||||||||
State Street Institutional S&P 500 Index Fund | ||||||||||||||||||||
Futures Contracts(a) | — | — | — | 2,819 | 2,819 | |||||||||||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||||||||||||
Futures Contracts(a) | — | — | — | 907,988 | 907,988 | |||||||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||
Futures Contracts(a) | — | — | — | 23,397 | 23,397 | |||||||||||||||
State Street Institutional Strategic Investment Fund | ||||||||||||||||||||
Futures Contracts(a) | 221,015 | — | — | 683,132 | 904,147 | |||||||||||||||
State Street Institutional Income Fund | ||||||||||||||||||||
Futures Contracts(a) | 191,393 | — | — | — | 191,393 |
(a) | Unrealized appreciation on open futures contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin. |
120 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2017
Liability Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Total | ||||||||||||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||||||||||
Futures Contracts(a) | $ | — | $ | — | $ | — | $ | (59,526 | ) | $ | (59,526 | ) | ||||||||
State Street Institutional Strategic Investment Fund | ||||||||||||||||||||
Futures Contracts(a) | (103,041 | ) | — | — | — | (103,041 | ) | |||||||||||||
Swap Contracts(b) | — | — | (26,540 | ) | — | (26,540 | ) | |||||||||||||
State Street Institutional Income Fund | ||||||||||||||||||||
Futures Contracts(a) | (145,646 | ) | — | — | — | (145,646 | ) | |||||||||||||
Swap Contracts(b) | — | — | (28,659 | ) | — | (28,659 | ) |
(a) | Unrealized depreciation on open futures contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin. |
(b) | Unrealized appreciation on open swap contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin. |
Net Realized Gain (Loss)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Total | ||||||||||||||||
State Street Institutional U.S. Equity Fund | ||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 542,783 | $ | 542,783 | ||||||||||
State Street Institutional S&P 500 Index Fund | ||||||||||||||||||||
Futures Contracts | — | — | — | 108,707 | 108,707 | |||||||||||||||
State Street Institutional Premier Growth | ||||||||||||||||||||
Futures Contracts | — | — | — | 259,866 | 259,866 | |||||||||||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||||||||||||
Futures Contracts | — | — | — | 2,701,742 | 2,701,742 | |||||||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||
Futures Contracts | — | — | — | 175,576 | 175,576 | |||||||||||||||
State Street Institutional Strategic Investment Fund | ||||||||||||||||||||
Futures Contracts | 297,360 | — | — | 1,076,027 | 1,373,387 | |||||||||||||||
Swap Contracts | — | — | (1,063,706 | ) | — | (1,063,706 | ) | |||||||||||||
Purchased Option Contracts(a) | (7,570 | ) | — | — | — | (7,570 | ) | |||||||||||||
Written Option Contracts | 7,719 | — | — | — | 7,719 | |||||||||||||||
State Street Institutional Income Fund | ||||||||||||||||||||
Futures Contracts | 175,241 | — | — | — | 175,241 | |||||||||||||||
Swap Contracts | — | — | (1,305,687 | ) | — | (1,305,687 | ) | |||||||||||||
Purchased Option Contracts(a) | (8,074 | ) | — | — | — | (8,074 | ) | |||||||||||||
Written Option Contracts | 8,471 | — | — | — | 8,471 |
(a) | Options purchased are included in net realized gain (loss) from investments. |
Notes to Financial Statements | 121 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2017
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Total | ||||||||||||||||
State Street Institutional U.S. Equity Fund | ||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 2,357 | $ | 2,357 | ||||||||||
State Street Institutional S&P 500 Index Fund | ||||||||||||||||||||
Futures Contracts | — | — | — | (1,622 | ) | (1,622 | ) | |||||||||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||||||||||
Futures Contracts | — | — | — | (82,112 | ) | (82,112 | ) | |||||||||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||||||||||||
Futures Contracts | — | — | — | 779,661 | 779,661 | |||||||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||
Futures Contracts | — | — | — | 5,723 | 5,723 | |||||||||||||||
State Street Institutional Strategic Investment Fund | ||||||||||||||||||||
Futures Contracts | 89,287 | — | — | 618,986 | 708,273 | |||||||||||||||
Swap Contracts | — | — | 438,285 | — | 438,285 | |||||||||||||||
State Street Institutional Income Fund | ||||||||||||||||||||
Futures Contracts | 38,263 | — | — | — | 38,263 | |||||||||||||||
Swap Contracts | — | — | 540,081 | — | 540,081 |
5. | Fees and Transactions with Affiliates |
Advisory Fee 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 Premier Growth Equity Fund | Next $25 million | 0.45 | % | |||
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 | % |
122 | Notes to Financial Statements |
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State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2017
SSGA FM has agreed to waive fees to reduce the Fund’s total annual operating expenses (excluding extraordinary expenses, interest, taxes, commissions and acquired fund fees and expenses, if any) by 0.06% of average daily net assets. SSGA FM also agrees to reimburse the Fund for any ordinary operating expenses (excluding extraordinary expenses, interest, taxes and commissions) indirectly borne by the Fund as a result of investing in the State Street Equity 500 Index II Portfolio (the “S&P 500 Portfolio”), a mutual fund advised by SSGA FM. This contractual fee waiver/expense reimbursement will remain in place through April 30, 2018 and before that date, SSGA FM may not terminate this arrangement without approval of the Board. SSGA FM has waived its right to receive reimbursement of the portion of its advisory fees waived pursuant to this agreement.
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 Advisors Funds Distributors, LLC (“SSGA FD”), formerly known as 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.
Other Transactions with affiliates The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended September 30, 2017 are disclosed in the Schedules of Investments.
In March, 2017, the State Street Institutional U.S. Equity Fund, the State Street Institutional S&P 500 Index Fund and the State Street Institutional Strategic Investment Fund received non-recurring litigation payments of $5,313, $210 and $8,624, respectively, from State Street Corp., an affiliate.
Due to Custodian In certain circumstances, the Funds may have cash overdraft with the custodian. The Due to Custodian amount, if any, reflects cash overdrawn with State Street as custodian who is an affiliate of the Funds.
6. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
7. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended, September 30, 2017 were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | — | $ | — | $ | 435,524,261 | $ | 654,886,640 | ||||||||
State Street Institutional S&P 500 Index Fund | — | — | 1,832,774 | 9,291,982 | ||||||||||||
State Street Institutional Premier Growth Equity Fund | — | — | 82,273,550 | 102,927,551 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | — | — | 448,849,528 | 512,667,364 | ||||||||||||
State Street Institutional International Equity Fund | — | — | 356,520,340 | 566,092,542 | ||||||||||||
State Street Institutional Strategic Investment Fund | 747,118,516 | 752,952,991 | 426,110,641 | 555,297,209 | ||||||||||||
State Street Institutional Income Fund | 764,939,396 | 788,815,991 | 88,011,203 | 130,842,046 |
8. | Income Taxes |
The Funds have qualified and intend to continue to qualify as regulated investment companies Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent they distribute their taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
Notes to Financial Statements | 123 |
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State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2017
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Funds’ tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions, nontaxable dividend adjustments to income, foreign currencies, REITs, passive foreign investment companies, investments in forwards and futures, investments in swap contracts, paydown gains and losses, corporate actions, straddle loss deferrals and wash sale loss deferrals.
The tax character of distributions paid during the year ended September 30, 2017 was as follows:
Fund | Ordinary Income | Long Term Capital Gains | Tax Return of Capital | Total | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | 9,879,092 | $ | 28,916,900 | $ | — | $ | 38,795,992 | ||||||||
State Street Institutional S&P 500 Index Fund | 312,492 | — | — | 312,492 | ||||||||||||
State Street Institutional Premier Growth Equity Fund | 2,795,499 | 26,801,054 | — | 29,596,553 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | 3,374,607 | 42,888,208 | — | 46,262,815 | ||||||||||||
State Street Institutional International Equity Fund | 21,951,592 | — | — | 21,951,592 | ||||||||||||
State Street Institutional Strategic Investment Fund | 16,367,487 | 6,973,273 | — | 23,340,760 | ||||||||||||
State Street Institutional Income Fund | 6,768,082 | — | — | 6,768,082 |
The tax character of distributions paid during the year ended September 30, 2016 was as follows:
Fund | Ordinary Income | Long Term Capital Gains | Tax Return of Capital | Total | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | 9,778,155 | $ | 101,236,202 | $ | — | $ | 111,014,357 | ||||||||
State Street Institutional S&P 500 Index Fund | 554,212 | — | — | 554,212 | ||||||||||||
State Street Institutional Premier Growth Equity Fund | 3,953,664 | 28,956,870 | — | 32,910,534 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | 2,264,662 | 135,524,827 | — | 137,789,489 | ||||||||||||
State Street Institutional International Equity Fund | 20,715,844 | — | — | 20,715,844 | ||||||||||||
State Street Institutional Strategic Investment Fund | 14,267,379 | 35,892,452 | — | 50,159,831 | ||||||||||||
State Street Institutional Income Fund | 10,829,241 | — | — | 10,829,241 |
At September 30, 2017 the components of distributable earnings on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Capital Loss Carryforwards* | Undistributed Long Term Capital Gain | Net Unrealized Gains (Losses) | Qualified Late-Year Losses** | Total | ||||||||||||||||||
State Street Institutional U.S. Equity Fund | $ | 21,278,499 | $ | — | $ | 77,345,689 | $ | 74,229,088 | $ | — | $ | 172,853,276 | ||||||||||||
State Street Institutional S&P 500 Index Fund | 231,915 | (7,514,323 | ) | 613,954 | 3,110,330 | — | (3,558,124 | ) | ||||||||||||||||
State Street Institutional Premier Growth Equity Fund | 2,246,210 | — | 19,469,420 | 111,698,742 | — | 133,414,372 | ||||||||||||||||||
State Street Institutional Small-Cap Equity Fund | 17,559,389 | — | 94,379,431 | 362,943,301 | — | 474,882,121 | ||||||||||||||||||
State Street Institutional International Equity Fund | 16,635,196 | (227,026,679 | ) | — | 197,812,910 | — | (12,578,573 | ) | ||||||||||||||||
State Street Institutional Strategic Investment Fund | 22,427,672 | — | 34,773,460 | 57,980,047 | — | 115,181,179 | ||||||||||||||||||
State Street Institutional Income Fund | 1,418,815 | (2,617,218 | ) | — | 2,769,074 | — | 1,570,671 |
* | A portion of the Funds Capital Loss Carryover may be subject to limitations. |
** | The Funds have elected to defer certain qualified late-year losses in the next taxable year. |
124 | Notes to Financial Statements |
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State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2017
As of September 30, 2017, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:
Fund | Expiring 2018 | Expiring 2019 | 2020 | 2021 | Non-Expiring Short Term* | Non-Expiring Long Term* | ||||||||||||||||||
State Street Institutional S&P 500 Index Fund** | $ | 6,311,576 | $ | 1,202,747 | $ | — | $ | — | $ | — | $ | — | ||||||||||||
State Street Institutional International Equity Fund | 34,429,113 | 140,255,693 | — | — | 15,099,487 | 37,242,386 | ||||||||||||||||||
State Street Institutional Income Fund | — | — | — | — | 1,264,099 | 1,353,119 |
* | Must be utilized prior to losses subject to expiration. |
** | A portion of the Fund’s capital loss carryover may be subject to limitations. |
As of September 30, 2017, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | 387,331,035 | $ | 81,285,707 | $ | 7,056,619 | $ | 74,229,088 | ||||||||
State Street Institutional S&P 500 Index Fund | 7,492,375 | 3,292,133 | 181,803 | 3,110,330 | ||||||||||||
State Street Institutional Premier Growth Equity Fund | 264,632,647 | 115,451,345 | 3,752,603 | 111,698,742 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | 1,103,292,021 | 406,486,846 | 43,543,545 | 362,943,301 | ||||||||||||
State Street Institutional International Equity Fund | 1,033,063,707 | 234,310,601 | 36,266,301 | 198,044,300 | ||||||||||||
State Street Institutional Strategic Investment Trust | 628,999,307 | 62,815,217 | 4,805,194 | 58,010,023 | ||||||||||||
State Street Institutional Income Fund | 228,637,556 | 4,046,437 | 1,238,257 | 2,808,180 |
9. | 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. Prior to October 13, 2016, the Participants could borrow up to $360 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreements.
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 ordinary fund operating expenses paid by the adviser. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 13, 2016, interest was calculated at a rate per annum equal to the sum of the New York Fed Bank Rate plus 1%.
Effective October 12, 2017, the Agreement was renewed, and as a result, the Funds and other affiliated Funds participate in a $500 million revolving credit facility.
The Funds had no outstanding loans as of September 30, 2017.
10. | Risks |
Concentration Risk As a result of the Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Funds’ investments more than if the Funds were more broadly diversified
Foreign and Emerging Markets Risk Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Funds’ invest. Foreign markets may be less liquid than
Notes to Financial Statements | 125 |
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State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2017
investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
11. | 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.
The Board has approved a separate Plan of Dissolution, Liquidation and Termination for the State Street Institutional S&P 500 Index Fund and the State Street Institutional Strategic Investment Fund, pursuant to which the Funds are expected to be liquidated and terminated on or about November 20, 2017 and November 30, 2017, respectively.
126 | Notes to Financial Statements |
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State Street Institutional Funds
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of State Street Institutional Funds:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of State Street Institutional Funds (comprising, respectively, U.S. Equity Fund, S&P 500 Index Fund, Premier Growth Equity Fund, Small-Cap Equity Fund, International Equity Fund, Strategic Investment Fund and Income Fund) (collectively, the “Funds”) as of September 30, 2017, and the related statements of operations for the year then ended, and the statements of changes in net assets and the financial highlights for each of the two years in the period then ended. These financial statements and financial highlights are the responsibility of the Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits. The financial highlights for periods ended prior to October 1, 2016 were audited by another independent registered public accounting firm whose report, dated November 20, 2015, expressed an unqualified opinion on those financial highlights.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Funds’ internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Funds’ internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of September 30, 2017, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers or others were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of each of the above mentioned funds comprising State Street Institutional Funds at September 30, 2017, the results of their operations for the year then ended, and the changes in their net assets and the financial highlights for each of the two years in period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
November 22, 2017
Report of Independent Registered Public Accounting Firm | 127 |
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State Street Institutional Funds
Tax Information — September 30, 2017 (Unaudited)
Tax Information
For federal income tax purposes, the following information is furnished with respect to the distributions of the Funds for its fiscal year ended September 30, 2017.
Dividends Received Deduction
Each Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended September 30, 2017 are considered qualified dividend income and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Qualified Interest Income
Each fund reports the maximum amount allowable of its net taxable income and short-term capital gain as qualified interest income.
Foreign Tax Credit
The following Fund has made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by a Fund to its shareholders. For the year ended September 30, 2017, the total amount of foreign taxes that will be passed through are:
Amount | ||||
State Street Institutional International Equity Fund | $ | 2,711,948 |
The amount of foreign source income earned on the Fund during the year ended September 30, 2017 were as follows:
Amount | ||||
State Street Institutional International Equity Fund | $ | 28,217,848 |
Long term capital gains dividends were paid from the following Funds during the year ended September 30, 2017:
Amount | ||||
State Street Institutional U.S. Equity Fund | $ | 28,916,900 | ||
State Street Institutional Premier Growth Equity Fund | 26,801,054 | |||
State Street Institutional Small-Cap Equity Fund | 42,888,208 | |||
State Street Institutional Strategic Investment Fund | 6,973,273 |
128 | Tax Information |
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State Street Institutional Funds
Additional Information — September 30, 2017 (Unaudited)
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||||
INTERESTED TRUSTEE AND EXECUTIVE OFFICERS | ||||||||||||
Jeanne M. La Porta SSGA FM 1600 Summer St. Stamford, CT 06905
Age 52 | Trustee & President | Until successor is elected and qualified – 3 years | Senior Managing Director at State Street Global Advisors since July 2016; Director of State Street Global Advisors Funds Distributors, LLC since May 2017; President of GE Retirement Savings Plan Funds since July 2016; Senior Vice President and Commercial Operations Leader at GE Asset Management Incorporated (“GEAM”) from March 2014 to July 2016; President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. since April 2014; President and Trustee of GEAM’s UCITs Funds from March 2014 to November 2014; Senior Vice President and Commercial Administrative Officer at GEAM from April 2010 to March 2014; Vice President of State Street Institutional Funds since July 2003; Vice President of Elfun Funds and GE Retirement Savings Plan Funds from October 2003 to July 2016; Secretary of GE Funds from July 2007 to September 2010 and Vice President from July 2007 to February 2011; Senior Vice President and Deputy General Counsel of GEAM from October 2007 to April 2010; Vice President and Assistant Secretary of Elfun Funds and GE Retirement Savings Plan Funds from July 2003 to June 2010; and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM from May 1997 to October 2007. | 20 | Director and President of State Street Variable Insurance Series Funds, Inc. since 2014; Trustee of Elfun Funds since 2014. |
Additional Information | 129 |
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State Street Institutional Funds
Additional Information, continued — September 30, 2017 (Unaudited)
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||||
INTERESTED TRUSTEE AND EXECUTIVE OFFICERS (continued) | ||||||||||||
Arthur A. Jensen SSGA FM 1600 Summer St. Stamford, CT 06905
Age 51 | Treasurer | Until successor is elected and qualified – 6 years | Vice President at State Street Global Advisors since July 2016; Deputy Treasurer of Elfun Funds since July 2016; Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds since June 2011; Treasurer of Elfun Funds from June 2011 to July 2016; Mutual Funds Controller of GEAM from April 2011 to July 2016; Senior Vice President at Citigroup from 2008 to 2010; and Vice President at JPMorgan from 2005 to 2008. | N/A | N/A | |||||||
Robert Herlihy SSGA FM 1600 Summer St. Stamford, CT 06905
Age 50 | Chief Compliance Officer | Until successor is elected and qualified – 12 years | Managing Director at State Street Global Advisors since July 2016; Deputy Chief Compliance Officer of Elfun Funds since July 2016; Chief Compliance Officer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds since July 2005; Chief Compliance Officer of GEAM and Elfun Funds from July 2005 to July 2016; Chief Compliance Officer of GE Funds from July 2005 to February 2011; and Manager of Fund Administration at GEAM from 2002-2005. | N/A | N/A | |||||||
Brian Harris SSGA FM State Street Financial Center One Lincoln Street Boston, MA 02111-2900
Age 43 | Deputy Chief Compliance Officer and Anti-Money Laundering Officer | Until successor is elected and qualified – 1 year | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010-2013); Director of Compliance, AARP Financial Inc. (2008-2010). | N/A | N/A | |||||||
Bruce S. Rosenberg SSGA FM State Street Financial Center One Lincoln Street Boston, MA 02111-2900 Age 55 | Assistant Treasurer | Until successor is elected and qualified – 1 year | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | N/A | N/A |
130 | Additional Information |
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State Street Institutional Funds
Additional Information, continued — September 30, 2017 (Unaudited)
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||||
INTERESTED TRUSTEE AND EXECUTIVE OFFICERS (continued) | ||||||||||||
Ann M. Carpenter SSGA FM State Street Financial Center One Lincoln Street Boston, MA 02111-2900
Age 50 | Assistant Treasurer | Until successor is elected and qualified – 1 year | Chief Operating Officer, SSGA Funds Management, Inc. (April 2014 – present); Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2005 – present).* | N/A | N/A | |||||||
Chad C. Hallett SSGA FM State Street Financial Center One Lincoln Street Boston, MA 02111-2900 Age 47 | Assistant Treasurer | Until successor is elected and qualified – 1 year | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014). | N/A | N/A | |||||||
Darlene Anderson-Vasquez SSGA FM State Street Financial Center One Lincoln Street Boston, MA 02111-2900
Age 48 | Assistant Treasurer | Until successor is elected and qualified – less than 1 year | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | N/A | N/A | |||||||
Daniel G. Plourde SSGA FM State Street Financial Center One Lincoln Street Boston, MA 02111-2900
Age 37 | Assistant Treasurer | Until successor is elected and qualified – less than 1 year | Assistant Vice President, SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 –May 2015). | N/A | N/A | |||||||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, Floor 7 Mail Stop SUM0703 Boston, MA 02111
Age 41 | Secretary | Until successor is elected and qualified – less than 1 year | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013). | N/A | N/A |
* Served in various capacities and/or with various affiliated entities during noted time period.
Additional Information | 131 |
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State Street Institutional Funds
Additional Information, continued — September 30, 2017 (Unaudited)
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||||
INDEPENDENT TRUSTEES | ||||||||||||
John R. Costantino c/o SSGA FM 1600 Summer St. Stamford, CT 06905
Age 71 | Chairman of the Board | Until successor is elected and qualified – 20 years | General Partner, NGN Capital LLC since 2006; and Managing Director, Vice President of Walden Capital Management since 1996. | 14 | Director of State Street Variable Insurance Series Funds, Inc. since 1997; Trustee of Neuroscience Research Institute since 1986; Trustee of Fordham University from 1989 to 1995 and 2001 to 2007 and Trustee Emeritus since 2007; Trustee of GE Funds from 1993 to February 2011; Director of Artes Medical from 2006 to 2008; and Trustee of Gregorian University Foundation from 1992 to 2007. | |||||||
R. Sheldon Johnson c/o SSGA FM 1600 Summer St. Stamford, CT 06905
Age 71 | Trustee | Until successor is elected and qualified – 6 years | Retired, 2006 to present; Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. from 2002 to 2006; and Managing Director at Morgan Stanley & Co., Inc. from 1988 to 2006. | 14 | Director of State Street Variable Insurance Series Funds, Inc. since April 2011 and Trustee of St. Lawrence University since 2003. | |||||||
Donna M. Rapaccioli c/o SSGA FM 1600 Summer St. Stamford, CT 06905
Age 54 | Trustee | Until successor is elected and qualified – 5 years | Dean of the Gabelli School of Business since 2007 and Accounting Professor since 1987 at Fordham University. | 14 | Director of State Street Variable Insurance Series Funds, Inc. since January 2012 and Trustee of Emmanuel College since 2010. |
132 | Additional Information |
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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 D. 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
Daniel G. Plourde
Distributor
State Street Global Advisors Funds Distributors, LLC
Member FINRA and SIPC
Custodian
State Street Bank & Trust Company
Investment Team | 133 |
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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 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 | IBG-25643 |
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Item 2. Code of Ethics.
As of the end of the period covered by this report, State Street Institutional Funds (the “Trust” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Registrant’s Code is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Mr. John R. Costantino and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
For the fiscal years ended September 30, 2017 and September 30, 2016, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $183,200 and $200,800, respectively.
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(b) | Audit-Related Fees |
For the fiscal years ended September 30, 2017 and September 30, 2016, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.
(c) | Tax Fees |
For the fiscal years ended September 30, 2017 and September 30, 2016, the aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns were $60,775 and $61,467, respectively.
(d) | All Other Fees |
For the fiscal years ended September 30, 2017 and September 30, 2016, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended September 30, 2017 and September 30, 2016, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”) and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $7,777,372 and $7,777,372, respectively.
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Audit Committee is responsible for, among other things, the appointment, compensation and oversight of the work of the Funds’ Auditor. As part of this responsibility and to ensure that the Auditor’s independence is not impaired, the Audit Committee (1) pre-approves the audit and non-audit services provided to the Funds by the Auditor, and (2) all non-audit services provided to the Funds’ investment adviser and Covered Affiliates (as defined in the Audit Committee Charter) that provide ongoing services to the Funds if the services directly impact the Funds’ operations or financial reporting, in accordance with the Audit Committee Charter. The following excerpt from the Audit Committee Charter sets forth the pre-approval policies and procedures:
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Pre-Approval of Audit Related Services and Permissible Non-Audit Services. The Audit Committee shall pre-approve both audit (including audit, review, and attest) services and permissible non-audit services provided to the Fund and, if the nature of the engagement relates directly to the operations and financial reporting of the Fund, permissible non-audit services provided to any Covered Affiliate.
The Audit Committee may determine to delegate the authority to grant pre-approvals to one or more Audit Committee members, each acting on behalf of the Audit Committee. In this event, the member of the Audit Committee so delegated shall report each delegated pre-approval to the Audit Committee at its next regularly scheduled meeting. The Audit Committee may also adopt and follow, in lieu of explicit pre-approval described above, written policies and procedures detailed as to the particular service, designed to safeguard the continued independence of the Auditor, consistent with the requirements of the Investment Company Act of 1940, as amended (the “1940 Act”), and SEC regulations thereunder.
Notwithstanding the foregoing, the pre-approval requirement concerning permissible non-audit services provided to the Fund or any Covered Affiliate is waived if: (1) the aggregate amount of all such non-audit services provided constitutes no more than five percent (5%) of the total amount of revenues paid to the Auditor by the Fund and the Covered Affiliates during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee, (2) the non-audit services were not recognized as non-audit services at the time of the engagement, and (3) such non-audit services are promptly brought to the attention of the Audit Committee and approved by the Audit Committee or one or more designated members of the Audit Committee prior to the completion of the audit.
(e)(2) | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
(f) | Not applicable. |
(g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended September 30, 2017 and September 30, 2016, the aggregate non-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $28,718,894 and $25,696,758, respectively.
(h) | E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
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Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Schedule of Investments.
(a) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Trust’s second fiscal quarter of the period covered by this Form N-CSR filing that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.
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Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) | Not applicable. |
(b) | Not applicable. |
Item 13. Exhibits.
(a)(1) | Code of Ethics pursuant to Item 2 of Form N-CSR is attached hereto. |
(a)(2) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(a) under the 1940 Act are attached hereto. |
(a)(3) | Not applicable to the Registrant. |
(b) | Certifications of principal executive officer and principal financial and accounting officer of the Trust 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.
Registrant: | STATE STREET INSTITUTIONAL FUNDS | |
By: | /s/ Jeanne M. La Porta | |
Jeanne M. La Porta President | ||
Date: | November 22, 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 (Principal Executive Officer) | ||
Date: | November 22, 2017 | |
By: | /s/ Arthur A. Jensen | |
Arthur A. Jensen Treasurer (Principal Financial and Accounting Officer) | ||
Date: | November 22, 2017 |