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 c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 | 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: March 31, 2018
Table of Contents
Item 1. ShareholderReport.
Table of Contents
Semi-Annual Report
March 31, 2018
State Street Institutional Funds
Table of Contents
State Street Institutional Funds
Semi-Annual Report
March 31, 2018
Page | ||||
Notes to Performance | 1 | |||
Fund Information and Schedules of Investments | ||||
2 | ||||
8 | ||||
12 | ||||
23 | ||||
28 | ||||
Financial Statements | ||||
48 | ||||
54 | ||||
56 | ||||
58 | ||||
Notes to Financial Statements | 60 | |||
Other Information | 69 |
This report has been prepared for shareholders and may be distributed to others only if accompanied with a current prospectus and/or summary prospectus.
Table of Contents
State Street Institutional Funds
Notes to Performance — March 31, 2018 (Unaudited)
Total return performance shown in this report for the State Street Institutional Funds (the “Trust”) and each of its series portfolios (each, a “Fund” and collectively, the “Funds”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund expenses.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate, so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods of less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Funds’ website at http://www.ssga.com/geam for the most recent month-end performance data.
An investment in a Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in a Fund is subject to risk, including possible loss of principal invested.
State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street Institutional Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. for investment advisory and administrative services.
Notes to Performance | 1 |
Table of Contents
State Street Institutional U.S. Equity Fund
Understanding Your Fund’s Expenses — March 31, 2018 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2018.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2018 | $ | 1,046.70 | $ | 1,023.10 | ||||
Expenses paid during the period* | $ | 1.89 | $ | 1.87 |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2018 | $ | 1,045.60 | $ | 1,021.80 | ||||
Expenses paid during the period* | $ | 3.16 | $ | 3.13 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.37% for Investment Class shares and 0.62% for Service Class shares (for the period October 1, 2017-March 31, 2018), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
2 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Fund Information — March 31, 2018 (Unaudited)
Top Ten Largest Holdings
as of March 31, 2018 (as a % of Fair Value) (a)(b)
Microsoft Corp. | 3.71 | % | ||
Apple Inc. | 3.48 | % | ||
Visa Inc., Class A | 3.31 | % | ||
JPMorgan Chase & Co. | 3.22 | % | ||
Amazon.com Inc. | 2.58 | % | ||
PepsiCo Inc. | 2.37 | % | ||
Alphabet Inc., Class A | 2.22 | % | ||
Applied Materials Inc. | 1.97 | % | ||
Broadcom Ltd. | 1.91 | % | ||
Facebook Inc., Class A | 1.90 | % |
Sector Allocation as of March 31, 2018
Portfolio composition as a % of Fair Value of $450,647 (in thousands) as of March 31, 2018 (a)(b)
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
State Street Institutional U.S. Equity Fund | 3 |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Common Stock - 96.4%† | ||||||||
Aerospace & Defense - 1.9% |
| |||||||
General Dynamics Corp. | 12,006 | 2,652,125 | ||||||
Hexcel Corp. | 18,346 | 1,184,968 | ||||||
Raytheon Co. | 13,685 | 2,953,497 | ||||||
The Boeing Co. | 5,287 | 1,733,502 | ||||||
|
| |||||||
8,524,092 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.5% |
| |||||||
FedEx Corp. | 4,053 | 973,166 | ||||||
United Parcel Service Inc., Class B | 12,910 | 1,351,160 | ||||||
|
| |||||||
2,324,326 | ||||||||
|
| |||||||
Airlines - 0.3% |
| |||||||
Alaska Air Group Inc. | 9,006 | 558,012 | ||||||
Southwest Airlines Co. | 16,870 | 966,313 | ||||||
|
| |||||||
1,524,325 | ||||||||
|
| |||||||
Aluminum - 0.1% |
| |||||||
Alcoa Corp. (a) | 7,238 | 325,420 | ||||||
|
| |||||||
Apparel, Accessories & Luxury Goods - 0.1% |
| |||||||
PVH Corp. | 3,257 | 493,208 | ||||||
|
| |||||||
Application Software - 1.9% |
| |||||||
Adobe Systems Inc. (a) | 6,773 | 1,463,510 | ||||||
Intuit Inc. | 9,952 | 1,725,179 | ||||||
salesforce.com Inc. (a) | 46,366 | 5,392,366 | ||||||
|
| |||||||
8,581,055 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 0.6% |
| |||||||
Ameriprise Financial Inc. | 6,617 | 978,919 | ||||||
BlackRock Inc. | 3,405 | 1,844,557 | ||||||
|
| |||||||
2,823,476 | ||||||||
|
| |||||||
Automobile Manufacturers - 0.3% |
| |||||||
General Motors Co. | 42,259 | 1,535,692 | ||||||
|
| |||||||
Automotive Retail - 0.4% |
| |||||||
AutoZone Inc. (a) | 3,050 | 1,978,504 | ||||||
|
| |||||||
Biotechnology - 3.3% |
| |||||||
Alexion Pharmaceuticals Inc. (a) | 15,716 | 1,751,705 | ||||||
Biogen Inc. (a) | 22,419 | 6,138,771 | ||||||
Gilead Sciences Inc. | 52,682 | 3,971,696 | ||||||
Vertex Pharmaceuticals Inc. (a) | 17,327 | 2,823,954 | ||||||
|
| |||||||
14,686,126 | ||||||||
|
| |||||||
Building Products - 0.4% |
| |||||||
Allegion PLC | 21,520 | 1,835,441 | ||||||
|
|
Number of Shares | Fair Value $ | |||||||
Cable & Satellite - 2.5% |
| |||||||
Charter Communications Inc., Class A (a) | 15,186 | 4,726,187 | ||||||
Comcast Corp., Class A | 191,464 | 6,542,325 | ||||||
|
| |||||||
11,268,512 | ||||||||
|
| |||||||
Communications Equipment - 0.6% |
| |||||||
Cisco Systems Inc. | 60,274 | 2,585,152 | ||||||
|
| |||||||
Consumer Finance - 0.5% |
| |||||||
American Express Co. | 16,575 | 1,546,116 | ||||||
Discover Financial Services | 12,063 | 867,692 | ||||||
|
| |||||||
2,413,808 | ||||||||
|
| |||||||
Data Processing & Outsourced Services - 3.6% |
| |||||||
Mastercard Inc., Class A | 6,514 | 1,140,992 | ||||||
Visa Inc., Class A | 124,882 | 14,938,385 | ||||||
|
| |||||||
16,079,377 | ||||||||
|
| |||||||
Diversified Banks - 4.7% |
| |||||||
Bank of America Corp. | 182,043 | 5,459,470 | ||||||
JPMorgan Chase & Co. | 131,967 | 14,512,411 | ||||||
U.S. Bancorp | 26,479 | 1,337,189 | ||||||
|
| |||||||
21,309,070 | ||||||||
|
| |||||||
Diversified Chemicals - 0.5% |
| |||||||
DowDuPont Inc. | 33,676 | 2,145,498 | ||||||
|
| |||||||
Electric Utilities - 1.4% |
| |||||||
American Electric Power Company Inc. | 14,950 | 1,025,420 | ||||||
Duke Energy Corp. | 5,866 | 454,439 | ||||||
Edison International | 8,407 | 535,190 | ||||||
Exelon Corp. | 37,247 | 1,453,005 | ||||||
NextEra Energy Inc. | 14,681 | 2,397,848 | ||||||
PG&E Corp. | 12,449 | 546,885 | ||||||
|
| |||||||
6,412,787 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.3% |
| |||||||
Rockwell Automation Inc. | 7,793 | 1,357,541 | ||||||
|
| |||||||
Environmental & Facilities Services - 0.3% |
| |||||||
Republic Services Inc. | 20,529 | 1,359,636 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals - 0.1% |
| |||||||
Monsanto Co. | 4,811 | 561,396 | ||||||
|
| |||||||
Financial Exchanges & Data - 1.9% |
| |||||||
CME Group Inc. | 35,018 | 5,663,811 | ||||||
S&P Global Inc. | 14,981 | 2,862,270 | ||||||
|
| |||||||
8,526,081 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
4 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Footwear - 0.6% |
| |||||||
NIKE Inc., Class B | 40,256 | 2,674,609 | ||||||
|
| |||||||
Gold - 0.1% |
| |||||||
B2Gold Corp. (a) | 162,039 | 442,366 | ||||||
|
| |||||||
Healthcare Distributors - 0.4% |
| |||||||
Henry Schein Inc. (a) | 24,752 | 1,663,582 | ||||||
|
| |||||||
Healthcare Equipment - 2.2% |
| |||||||
Boston Scientific Corp. (a) | 246,320 | 6,729,463 | ||||||
Hologic Inc. (a) | 23,398 | 874,149 | ||||||
Medtronic PLC | 27,879 | 2,236,453 | ||||||
|
| |||||||
9,840,065 | ||||||||
|
| |||||||
Healthcare Supplies - 0.6% |
| |||||||
The Cooper Companies Inc. | 10,907 | 2,495,631 | ||||||
|
| |||||||
Home Entertainment Software - 0.4% |
| |||||||
Activision Blizzard Inc. | 15,015 | 1,012,912 | ||||||
Electronic Arts Inc. (a) | 7,101 | 860,925 | ||||||
|
| |||||||
1,873,837 | ||||||||
|
| |||||||
Home Improvement Retail - 1.0% |
| |||||||
The Home Depot Inc. | 23,972 | 4,272,769 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 0.3% |
| |||||||
Marriott International Inc., Class A | 10,719 | 1,457,570 | ||||||
|
| |||||||
Hypermarkets & Super Centers - 0.3% |
| |||||||
Walmart Inc. | 14,159 | 1,259,726 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders - 0.1% |
| |||||||
NRG Energy Inc. | 8,597 | 262,466 | ||||||
|
| |||||||
Industrial Conglomerates - 1.1% |
| |||||||
Honeywell International Inc. | 18,882 | 2,728,638 | ||||||
Roper Technologies Inc. | 8,104 | 2,274,712 | ||||||
|
| |||||||
5,003,350 | ||||||||
|
| |||||||
Industrial Machinery - 2.3% |
| |||||||
Ingersoll-Rand PLC | 59,452 | 5,083,741 | ||||||
Xylem Inc. | 71,395 | 5,491,703 | ||||||
|
| |||||||
10,575,444 | ||||||||
|
| |||||||
Insurance Brokers - 0.3% |
| |||||||
Marsh & McLennan Companies Inc. | 16,480 | 1,361,083 | ||||||
|
| |||||||
Integrated Oil & Gas - 2.6% |
| |||||||
Chevron Corp. | 65,113 | 7,425,486 |
Number of Shares | Fair Value $ | |||||||
Exxon Mobil Corp. | 57,219 | 4,269,110 | ||||||
|
| |||||||
11,694,596 | ||||||||
|
| |||||||
Integrated Telecommunication Services - 0.4% |
| |||||||
Verizon Communications Inc. | 40,290 | 1,926,668 | ||||||
|
| |||||||
Internet & Direct Marketing Retail - 3.9% |
| |||||||
Amazon.com Inc. (a)(l) | 8,031 | 11,623,587 | ||||||
Booking Holdings Inc. (a) | 1,703 | 3,542,904 | ||||||
Netflix Inc. (a) | 8,559 | 2,527,901 | ||||||
|
| |||||||
17,694,392 | ||||||||
|
| |||||||
Internet Software & Services - 5.4% |
| |||||||
Alphabet Inc., Class A (a) | 9,634 | 9,991,807 | ||||||
Alphabet Inc., Class C (a) | 5,672 | 5,852,313 | ||||||
Facebook Inc., Class A (a) | 53,502 | 8,549,084 | ||||||
|
| |||||||
24,393,204 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 2.9% |
| |||||||
The Charles Schwab Corp. | 117,560 | 6,138,983 | ||||||
The Goldman Sachs Group Inc. | 27,889 | 7,024,124 | ||||||
|
| |||||||
13,163,107 | ||||||||
|
| |||||||
IT Consulting & Other Services - 0.7% |
| |||||||
Accenture PLC, Class A | 8,515 | 1,307,053 | ||||||
International Business Machines Corp. | 11,680 | 1,792,062 | ||||||
|
| |||||||
3,099,115 | ||||||||
|
| |||||||
Life & Health Insurance - 0.5% |
| |||||||
Lincoln National Corp. | 9,309 | 680,116 | ||||||
Prudential Financial Inc. | 13,690 | 1,417,599 | ||||||
|
| |||||||
2,097,715 | ||||||||
|
| |||||||
Life Sciences Tools & Services - 0.9% |
| |||||||
Illumina Inc. (a) | 3,510 | 829,834 | ||||||
IQVIA Holdings Inc. (a) | 19,804 | 1,942,970 | ||||||
Thermo Fisher Scientific Inc. | 5,108 | 1,054,598 | ||||||
|
| |||||||
3,827,402 | ||||||||
|
| |||||||
Managed Healthcare - 1.5% |
| |||||||
Humana Inc. | 8,189 | 2,201,449 | ||||||
UnitedHealth Group Inc. | 21,589 | 4,620,046 | ||||||
|
| |||||||
6,821,495 | ||||||||
|
| |||||||
Metal & Glass Containers - 0.2% |
| |||||||
Ball Corp. | 22,481 | 892,720 | ||||||
|
| |||||||
Movies & Entertainment - 2.0% |
| |||||||
The Walt Disney Co. | 69,240 | 6,954,466 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional U.S. Equity Fund | 5 |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Time Warner Inc. | 21,818 | 2,063,546 | ||||||
|
| |||||||
9,018,012 | ||||||||
|
| |||||||
Multi-Line Insurance - 0.2% |
| |||||||
American International Group Inc. | 13,556 | 737,718 | ||||||
|
| |||||||
Multi-Sector Holdings - 1.2% |
| |||||||
Berkshire Hathaway Inc., Class B (a) | 26,749 | 5,335,891 | ||||||
|
| |||||||
Multi-Utilities - 1.0% |
| |||||||
Dominion Energy Inc. | 10,344 | 697,496 | ||||||
Sempra Energy | 36,062 | 4,010,816 | ||||||
|
| |||||||
4,708,312 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services - 1.1% |
| |||||||
Schlumberger Ltd. | 79,235 | 5,132,843 | ||||||
|
| |||||||
Oil & Gas Exploration & Production - 1.5% |
| |||||||
Concho Resources Inc. (a) | 6,034 | 907,091 | ||||||
ConocoPhillips | 23,854 | 1,414,304 | ||||||
Diamondback Energy Inc. (a) | 20,058 | 2,537,738 | ||||||
EOG Resources Inc. | 12,092 | 1,272,925 | ||||||
Pioneer Natural Resources Co. | 4,001 | 687,292 | ||||||
|
| |||||||
6,819,350 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing - 0.3% |
| |||||||
Valero Energy Corp. | 14,175 | 1,315,015 | ||||||
|
| |||||||
Packaged Foods & Meats - 1.5% |
| |||||||
Mondelez International Inc., Class A | 105,064 | 4,384,321 | ||||||
The Kraft Heinz Co. | 38,639 | 2,406,823 | ||||||
|
| |||||||
6,791,144 | ||||||||
|
| |||||||
Paper Packaging - 0.2% |
| |||||||
Packaging Corporation of America | 9,514 | 1,072,228 | ||||||
|
| |||||||
Pharmaceuticals - 4.9% |
| |||||||
Allergan PLC | 39,957 | 6,724,363 | ||||||
Johnson & Johnson | 55,781 | 7,148,335 | ||||||
Mylan N.V. (a) | 66,201 | 2,725,495 | ||||||
Pfizer Inc. | 155,197 | 5,507,942 | ||||||
|
| |||||||
22,106,135 | ||||||||
|
| |||||||
Property & Casualty Insurance - 1.2% |
| |||||||
Chubb Ltd. | 37,154 | 5,081,553 | ||||||
The Allstate Corp. | 2,863 | 271,412 | ||||||
|
| |||||||
5,352,965 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Railroads - 0.5% |
| |||||||
Union Pacific Corp. | 16,266 | 2,186,638 | ||||||
|
| |||||||
Regional Banks - 1.5% |
| |||||||
First Republic Bank | 74,131 | 6,865,272 | ||||||
|
| |||||||
Research & Consulting Services - 0.1% |
| |||||||
Verisk Analytics Inc. (a) | 3,859 | 401,336 | ||||||
|
| |||||||
Restaurants - 1.5% |
| |||||||
McDonald’s Corp. | 13,353 | 2,088,142 | ||||||
Starbucks Corp. | 79,962 | 4,629,000 | ||||||
|
| |||||||
6,717,142 | ||||||||
|
| |||||||
Semiconductor Equipment - 2.2% |
| |||||||
Applied Materials Inc. | 159,997 | 8,897,433 | ||||||
Lam Research Corp. | 5,513 | 1,120,021 | ||||||
|
| |||||||
10,017,454 | ||||||||
|
| |||||||
Semiconductors - 3.0% |
| |||||||
Broadcom Ltd. | 36,551 | 8,613,243 | ||||||
Intel Corp. | 39,148 | 2,038,828 | ||||||
NVIDIA Corp. | 8,536 | 1,976,852 | ||||||
QUALCOMM Inc. | 18,163 | 1,006,412 | ||||||
|
| |||||||
13,635,335 | ||||||||
|
| |||||||
Soft Drinks - 2.4% |
| |||||||
PepsiCo Inc. | 97,658 | 10,659,371 | ||||||
|
| |||||||
Specialized REITs - 2.9% |
| |||||||
American Tower Corp. | 49,701 | 7,223,543 | ||||||
Equinix Inc. | 10,735 | 4,488,733 | ||||||
Extra Space Storage Inc. | 13,027 | 1,138,039 | ||||||
|
| |||||||
12,850,315 | ||||||||
|
| |||||||
Specialty Chemicals - 1.2% |
| |||||||
Albemarle Corp. | 39,930 | 3,703,108 | ||||||
GCP Applied Technologies Inc. (a) | 18,535 | 538,442 | ||||||
The Sherwin-Williams Co. | 3,244 | 1,272,037 | ||||||
|
| |||||||
5,513,587 | ||||||||
|
| |||||||
Specialty Stores - 0.2% |
| |||||||
Signet Jewelers Ltd. | 7,165 | 275,996 | ||||||
Ulta Salon Cosmetics & Fragrance Inc. (a) | 2,931 | 598,715 | ||||||
|
| |||||||
874,711 | ||||||||
|
| |||||||
Steel - 0.1% |
| |||||||
Steel Dynamics Inc. | 6,034 | 266,823 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
6 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Systems Software - 4.9% |
| |||||||
Microsoft Corp. | 183,080 | 16,709,712 | ||||||
Oracle Corp. | 56,055 | 2,564,516 | ||||||
Proofpoint Inc. (a) | 23,035 | 2,617,928 | ||||||
|
| |||||||
21,892,156 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 3.6% |
| |||||||
Apple Inc. | 93,510 | 15,689,108 | ||||||
Hewlett Packard Enterprise Co. | 22,107 | 387,757 | ||||||
|
| |||||||
16,076,865 | ||||||||
|
| |||||||
Tobacco - 1.0% |
| |||||||
Philip Morris International Inc. | 46,101 | 4,582,439 | ||||||
|
| |||||||
Trading Companies & Distributors - 1.1% |
| |||||||
United Rentals Inc. (a) | 29,659 | 5,122,999 | ||||||
|
|
Number of Shares | Fair Value $ | |||||||
Wireless Telecommunication Services - 0.2% |
| |||||||
T-Mobile US Inc. (a) | 13,735 | 838,384 | ||||||
|
| |||||||
Total Common Stock (Cost $355,868,756) | 434,333,875 | |||||||
|
| |||||||
Short-Term Investments - 3.6% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 16,313,395 | 16,313,395 | ||||||
|
| |||||||
Total Investments (Cost $372,182,151) | 450,647,270 | |||||||
Other Assets and Liabilities, net - 0.0% | 36,143 | |||||||
|
| |||||||
NET ASSETS - 100.0% | 450,683,413 | |||||||
|
|
Other Information:
The Fund had the following long futures contracts open at March 31, 2018:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
S&P 500 Emini Index Futures | June 2018 | 70 | 9,258,359 | $ | 9,250,500 | $ | (7,859 | ) | ||||||||||||
|
|
During the period ended March 31, 2018, average notional value related to futures contracts was $3,025,862 or 0.7% of net assets.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional U.S. Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 434,333,875 | $ | — | $ | — | $ | 434,333,875 | ||||||||||
Short-Term Investments | 16,313,395 | — | — | 16,313,395 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 450,647,270 | $ | — | $ | — | $ | 450,647,270 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts - Unrealized Depreciation | $ | (7,859 | ) | $ | — | $ | — | $ | (7,859 | ) | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/17 | Value At 9/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/18 | Value at 3/31/18 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 12,521,534 | $ | 12,521,534 | $ | 60,541,856 | $ | 56,749,995 | $ | — | $ | — | 16,313,395 | $ | 16,313,395 | $ | 68,817 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional U.S. Equity Fund | 7 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Understanding Your Fund’s Expenses — March 31, 2018 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2018.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2018 | $ | 1,056.80 | $ | 1,023.00 | ||||
Expenses paid during the period* | $ | 1.95 | $ | 1.92 |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2018 | $ | 1,055.90 | $ | 1,021.80 | ||||
Expenses paid during the period* | $ | 3.23 | $ | 3.18 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.38% for Investment Class shares and 0.63% for Service Class shares (for the period October 1, 2017-March 31, 2018), multiplied by the average account value over the period, multiplied by 182/365 (to reflect the one-half year period). |
8 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Fund Information — March 31, 2018 (Unaudited)
Top Ten Largest Holdings
as of March 31, 2018 (as a % of Fair Value) (a)(b)
Apple Inc. | 5.93 | % | ||
Alphabet Inc., Class C | 5.07 | % | ||
Microsoft Corp. | 4.99 | % | ||
Visa Inc., Class A | 4.97 | % | ||
Amazon.com Inc. | 4.66 | % | ||
The Charles Schwab Corp. | 4.48 | % | ||
United Rentals Inc. | 4.17 | % | ||
CME Group Inc. | 4.08 | % | ||
Facebook Inc., Class A | 3.69 | % | ||
American Tower Corp. | 3.51 | % |
Sector Allocation as of March 31, 2018
Portfolio composition as a % of Fair Value of $373,942 (in thousands) as of March 31, 2018 (a)(b)
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
State Street Institutional Premier Growth Equity Fund | 9 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Schedule of Investments — March 31, 2018 (Unaudited)
Number of Shares | Fair $ | |||||||
Common Stock - 97.3%† | ||||||||
Application Software - 4.5% |
| |||||||
Intuit Inc. | 28,084 | 4,868,361 | ||||||
salesforce.com Inc. (a) | 101,302 | 11,781,423 | ||||||
|
| |||||||
16,649,784 | ||||||||
|
| |||||||
Biotechnology - 6.4% |
| |||||||
Alexion Pharmaceuticals Inc. (a) | 92,275 | 10,284,972 | ||||||
Biogen Inc. (a) | 19,900 | 5,449,018 | ||||||
Vertex Pharmaceuticals Inc. (a) | 50,350 | 8,206,043 | ||||||
|
| |||||||
23,940,033 | ||||||||
|
| |||||||
Cable & Satellite - 6.8% |
| |||||||
Charter Communications Inc., Class A (a) | 30,491 | 9,489,409 | ||||||
Comcast Corp., Class A (l) | 168,503 | 5,757,748 | ||||||
Liberty Global PLC, Class C (a) | 326,975 | 9,949,849 | ||||||
|
| |||||||
25,197,006 | ||||||||
|
| |||||||
Data Processing & Outsourced Services - 5.0% |
| |||||||
Visa Inc., Class A | 155,464 | 18,596,604 | ||||||
|
| |||||||
Financial Exchanges & Data - 6.8% |
| |||||||
CME Group Inc. | 94,281 | 15,249,009 | ||||||
S&P Global Inc. | 53,158 | 10,156,367 | ||||||
|
| |||||||
25,405,376 | ||||||||
|
| |||||||
Healthcare Distributors - 1.9% |
| |||||||
Henry Schein Inc. (a) | 104,514 | 7,024,386 | ||||||
|
| |||||||
Healthcare Equipment - 4.4% |
| |||||||
Boston Scientific Corp. (a) | 395,179 | 10,796,290 | ||||||
Medtronic PLC | 72,215 | 5,793,088 | ||||||
|
| |||||||
16,589,378 | ||||||||
|
| |||||||
Healthcare Supplies - 2.2% |
| |||||||
The Cooper Companies Inc. | 35,105 | 8,032,375 | ||||||
|
| |||||||
Internet & Direct Marketing Retail - 4.7% |
| |||||||
Amazon.com Inc. (a) | 12,036 | 17,420,184 | ||||||
|
| |||||||
Internet Software & Services - 11.6% |
| |||||||
Alibaba Group Holding Ltd. ADR (a) | 34,102 | 6,259,081 | ||||||
Alphabet Inc., Class A (a) | 4,212 | 4,368,434 | ||||||
Alphabet Inc., Class C (a) | 18,366 | 18,949,855 | ||||||
Facebook Inc., Class A (a) | 86,257 | 13,783,006 | ||||||
|
| |||||||
43,360,376 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 4.5% |
| |||||||
The Charles Schwab Corp. | 320,957 | 16,760,375 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Movies & Entertainment - 2.0% |
| |||||||
The Walt Disney Co. | 74,932 | 7,526,170 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 1.7% |
| |||||||
Schlumberger Ltd. | 99,898 | 6,471,392 | ||||||
|
| |||||||
Pharmaceuticals - 2.9% |
| |||||||
Allergan PLC | 63,790 | 10,735,219 | ||||||
|
| |||||||
Regional Banks - 1.8% |
| |||||||
First Republic Bank | 71,212 | 6,594,943 | ||||||
|
| |||||||
Restaurants - 1.1% |
| |||||||
Starbucks Corp. | 71,815 | 4,157,370 | ||||||
|
| |||||||
Semiconductor Equipment - 3.4% |
| |||||||
Applied Materials Inc. | 230,688 | 12,828,560 | ||||||
|
| |||||||
Semiconductors - 2.6% |
| |||||||
Broadcom Ltd. | 41,725 | 9,832,496 | ||||||
|
| |||||||
Soft Drinks - 3.2% |
| |||||||
PepsiCo Inc. | 110,195 | 12,027,784 | ||||||
|
| |||||||
Specialized REITs - 3.5% |
| |||||||
American Tower Corp. | 90,269 | 13,119,697 | ||||||
|
| |||||||
Specialty Chemicals - 1.2% |
| |||||||
Albemarle Corp. | 47,342 | 4,390,497 | ||||||
|
| |||||||
Systems Software - 5.0% |
| |||||||
Microsoft Corp. | 204,612 | 18,674,937 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 5.9% |
| |||||||
Apple Inc. | 132,234 | 22,186,221 | ||||||
|
| |||||||
Trading Companies & Distributors - 4.2% |
| |||||||
United Rentals Inc. (a) | 90,269 | 15,592,164 | ||||||
|
| |||||||
Total Common Stock (Cost $251,061,982) | 363,113,327 | |||||||
|
| |||||||
Short-Term Investments - 2.9% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.62% | 10,828,948 | 10,828,948 | ||||||
|
| |||||||
Total Investments (Cost $261,890,930) | 373,942,275 | |||||||
Liabilities in Excess of Other Assets, net - (0.2)% | (851,184 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | 373,091,091 | |||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
10 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Other Information:
The Fund had the following short futures contracts open at March 31, 2018:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
S&P 500 Emini Index Futures | June 2018 | 10 | (1,346,648 | ) | $ | (1,321,500 | ) | $ | 25,148 | |||||||||||
|
|
During the period ended March 31, 2018, average notional value related to futures contracts was $1,726,882 or 0.5% of net assets.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Premier Growth Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 363,113,327 | $ | — | $ | — | $ | 363,113,327 | ||||||||||
Short-Term Investments | 10,828,948 | — | — | 10,828,948 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 373,942,275 | $ | — | $ | — | $ | 373,942,275 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Short Futures Contracts - Unrealized Appreciation | $ | 25,148 | $ | — | $ | — | $ | 25,148 | ||||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/17 | Value At 9/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/18 | Value at 3/31/18 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 8,628,607 | $ | 8,628,607 | $ | 64,771,381 | $ | 62,571,040 | $ | — | $ | — | 10,828,948 | $ | 10,828,948 | $ | 74,646 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Premier Growth Equity Fund | 11 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Understanding Your Fund’s Expenses — March 31, 2018 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2018.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2018 | $ | 1,020.50 | $ | 1,020.50 | ||||
Expenses paid during the period* | $ | 4.43 | $ | 4.43 |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2018 | $ | 1,018.60 | $ | 1,019.30 | ||||
Expenses paid during the period* | $ | 5.69 | $ | 5.69 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.88% for Investment Class shares and 1.13% for Service Class shares (for the period October 1, 2017-March 31, 2018), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
12 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Fund Information — March 31, 2018 (Unaudited)
Top Ten Largest Holdings
as of March 31, 2018 (as a % of Fair Value) (a)(b)
John Wiley & Sons Inc., Class A | 1.39 | % | ||
Blackbaud Inc. | 1.15 | % | ||
Ritchie Bros Auctioneers Inc. | 1.10 | % | ||
Integra LifeSciences Holdings Corp. | 1.06 | % | ||
Actuant Corp., Class A | 1.02 | % | ||
Woodward Inc. | 0.97 | % | ||
Darling Ingredients Inc. | 0.88 | % | ||
Prosperity Bancshares Inc. | 0.88 | % | ||
New Relic Inc. | 0.82 | % | ||
Sensient Technologies Corp. | 0.82 | % |
Sector Allocation as of March 31, 2018
Portfolio composition as a % of Fair Value of $1,401,602 (in thousands) as of March 31, 2018 (a)(b)
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
State Street Institutional Small-Cap Equity Fund | 13 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Common Stock - 94.7%† | ||||||||
Aerospace & Defense - 0.7% |
| |||||||
Esterline Technologies Corp. (a) | 10,683 | 781,462 | ||||||
Teledyne Technologies Inc. (a) | 47,202 | 8,834,798 | ||||||
|
| |||||||
9,616,260 | ||||||||
|
| |||||||
Agricultural & Farm Machinery - 0.5% |
| |||||||
AGCO Corp. (l) | 108,066 | 7,008,080 | ||||||
|
| |||||||
Agricultural Products - 0.9% |
| |||||||
Darling Ingredients Inc. (a) | 715,884 | 12,384,793 | ||||||
|
| |||||||
Air Freight & Logistics - 0.2% |
| |||||||
Air Transport Services Group Inc. (a) | 23,500 | 548,020 | ||||||
Forward Air Corp. | 16,800 | 888,048 | ||||||
Hub Group Inc., Class A (a) | 24,865 | 1,040,600 | ||||||
|
| |||||||
2,476,668 | ||||||||
|
| |||||||
Airlines - 0.0%* |
| |||||||
Hawaiian Holdings Inc. | 15,300 | 592,110 | ||||||
|
| |||||||
Aluminum - 0.0%* |
| |||||||
Kaiser Aluminum Corp. | 3,563 | 359,507 | ||||||
|
| |||||||
Apparel Retail - 0.7% |
| |||||||
American Eagle Outfitters Inc. | 30,087 | 599,634 | ||||||
Burlington Stores Inc. (a) | 28,153 | 3,748,572 | ||||||
Chico’s FAS Inc. | 52,118 | 471,147 | ||||||
Francesca’s Holdings Corp. (a) | 46,800 | 224,640 | ||||||
The Buckle Inc. | 172,640 | 3,823,976 | ||||||
The Children’s Place Inc. | 8,000 | 1,082,000 | ||||||
|
| |||||||
9,949,969 | ||||||||
|
| |||||||
Apparel, Accessories & Luxury Goods - 0.5% |
| |||||||
G-III Apparel Group Ltd. (a) | 175,690 | 6,619,999 | ||||||
|
| |||||||
Application Software - 4.1% |
| |||||||
ACI Worldwide Inc. (a) | 350,025 | 8,302,593 | ||||||
Blackbaud Inc. | 157,736 | 16,059,102 | ||||||
Blackline Inc. (a) | 36,340 | 1,424,892 | ||||||
Fair Isaac Corp. | 5,278 | 893,935 | ||||||
Guidewire Software Inc. (a) | 74,000 | 5,981,420 | ||||||
Paylocity Holding Corp. (a) | 71,892 | 3,683,027 | ||||||
PTC Inc. (a) | 29,539 | 2,304,337 | ||||||
RealPage Inc. (a) | 191,752 | 9,875,228 | ||||||
SS&C Technologies Holdings Inc. | 159,613 | 8,561,641 | ||||||
Zix Corp. (a) | 194,000 | 828,380 | ||||||
|
| |||||||
57,914,555 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Asset Management & Custody Banks - 0.9% |
| |||||||
BrightSphere Investment Group PLC | 52,248 | 823,428 | ||||||
Cohen & Steers Inc. | 29,342 | 1,193,046 | ||||||
Financial Engines Inc. | 294,500 | 10,307,500 | ||||||
|
| |||||||
12,323,974 | ||||||||
|
| |||||||
Auto Parts & Equipment - 1.4% |
| |||||||
American Axle & Manufacturing Holdings Inc. (a) | 44,073 | 670,791 | ||||||
Cooper-Standard Holdings Inc. (a) | 13,575 | 1,667,145 | ||||||
Gentherm Inc. (a) | 26,665 | 905,277 | ||||||
LCI Industries | 22,986 | 2,393,992 | ||||||
Standard Motor Products Inc. | 61,033 | 2,903,340 | ||||||
Stoneridge Inc. (a) | 69,944 | 1,930,454 | ||||||
Tenneco Inc. | 155,701 | 8,543,314 | ||||||
Tower International Inc. | 29,645 | 822,649 | ||||||
|
| |||||||
19,836,962 | ||||||||
|
| |||||||
Automobile Manufacturers - 0.6% |
| |||||||
Thor Industries Inc. | 60,258 | 6,939,914 | ||||||
Winnebago Industries Inc. | 51,729 | 1,945,010 | ||||||
|
| |||||||
8,884,924 | ||||||||
|
| |||||||
Automotive Retail - 1.1% |
| |||||||
America’s Car-Mart Inc. (a) | 26,841 | 1,354,129 | ||||||
Asbury Automotive Group Inc. (a) | 12,882 | 869,535 | ||||||
Group 1 Automotive Inc. | 56,124 | 3,667,142 | ||||||
Murphy USA Inc. (a) | 121,780 | 8,865,584 | ||||||
|
| |||||||
14,756,390 | ||||||||
|
| |||||||
Biotechnology - 0.7% |
| |||||||
Eagle Pharmaceuticals Inc. (a) | 20,500 | 1,080,145 | ||||||
Repligen Corp. (a) | 222,032 | 8,033,118 | ||||||
|
| |||||||
9,113,263 | ||||||||
|
| |||||||
Brewers - 0.4% |
| |||||||
Craft Brew Alliance Inc. (a) | 38,761 | 720,955 | ||||||
The Boston Beer Company Inc., Class A (a) | 28,500 | 5,387,925 | ||||||
|
| |||||||
6,108,880 | ||||||||
|
| |||||||
Building Products - 0.7% |
| |||||||
American Woodmark Corp. (a)(l) | 12,059 | 1,187,208 | ||||||
Apogee Enterprises Inc. | 15,182 | 658,140 | ||||||
Builders FirstSource Inc. (a) | 116,951 | 2,320,308 | ||||||
Continental Building Products Inc. (a) | 22,758 | 649,741 |
See Notes to Schedules of Investments and Notes to Financial Statements.
14 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Masonite International Corp. (a) | 7,116 | 436,566 | ||||||
NCI Building Systems Inc. (a) | 50,320 | 890,664 | ||||||
Trex Company Inc. (a) | 12,319 | 1,339,938 | ||||||
Universal Forest Products Inc. | 61,293 | 1,988,958 | ||||||
|
| |||||||
9,471,523 | ||||||||
|
| |||||||
Commercial Printing - 0.2% |
| |||||||
Brady Corp., Class A | 59,000 | 2,191,850 | ||||||
Deluxe Corp. | 12,604 | 932,822 | ||||||
LSC Communications Inc. | 19,109 | 333,452 | ||||||
|
| |||||||
3,458,124 | ||||||||
|
| |||||||
Commodity Chemicals - 0.2% |
| |||||||
AdvanSix Inc. (a)(l) | 32,172 | 1,118,942 | ||||||
Koppers Holdings Inc. (a) | 19,239 | 790,723 | ||||||
Trinseo S.A. | 18,854 | 1,396,139 | ||||||
|
| |||||||
3,305,804 | ||||||||
|
| |||||||
Communications Equipment - 0.3% |
| |||||||
ADTRAN Inc. (l) | 51,094 | 794,512 | ||||||
Ciena Corp. (a) | 35,956 | 931,260 | ||||||
Extreme Networks Inc. (a) | 88,100 | 975,267 | ||||||
Lumentum Holdings Inc. (a) | 16,275 | 1,038,345 | ||||||
Plantronics Inc. | 7,377 | 445,350 | ||||||
|
| |||||||
4,184,734 | ||||||||
|
| |||||||
Construction & Engineering - 1.0% |
| |||||||
Aegion Corp. (a)(l) | 338,438 | 7,753,615 | ||||||
Argan Inc. | 14,799 | 635,617 | ||||||
Dycom Industries Inc. (a) | 45,156 | 4,860,140 | ||||||
EMCOR Group Inc. | 11,477 | 894,403 | ||||||
|
| |||||||
14,143,775 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks - 1.8% |
| |||||||
Alamo Group Inc. | 16,729 | 1,838,517 | ||||||
Astec Industries Inc. | 31,566 | 1,741,812 | ||||||
Federal Signal Corp. | 464,420 | 10,226,528 | ||||||
The Greenbrier Companies Inc. | 15,755 | 791,689 | ||||||
Trinity Industries Inc. | 283,633 | 9,254,945 | ||||||
Wabash National Corp. | 78,241 | 1,628,195 | ||||||
|
| |||||||
25,481,686 | ||||||||
|
| |||||||
Construction Materials - 0.1% |
| |||||||
Summit Materials Inc., Class A (a) | 39,991 | 1,210,927 | ||||||
|
| |||||||
Consumer Finance - 0.1% |
| |||||||
Enova International Inc. (a) | 78,662 | 1,734,497 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 1.3% |
| |||||||
Broadridge Financial Solutions Inc. | 77,213 | 8,469,494 |
Number of Shares | Fair Value $ | |||||||
Cass Information Systems Inc. | 9,541 | 567,785 | ||||||
CoreLogic Inc. (a) | 128,776 | 5,824,539 | ||||||
Everi Holdings Inc. (a) | 122,328 | 803,695 | ||||||
EVERTEC Inc. | 48,618 | 794,904 | ||||||
MAXIMUS Inc. | 13,752 | 917,808 | ||||||
Travelport Worldwide Ltd. | 62,256 | 1,017,263 | ||||||
|
| |||||||
18,395,488 | ||||||||
|
| |||||||
Distributors - 0.5% |
| |||||||
LKQ Corp. (a) | 197,666 | 7,501,425 | ||||||
|
| |||||||
Diversified Metals & Mining - 0.3% |
| |||||||
Compass Minerals International Inc. | 61,479 | 3,707,184 | ||||||
Materion Corp. | 12,549 | 640,626 | ||||||
|
| |||||||
4,347,810 | ||||||||
|
| |||||||
Diversified Real Estate Activities - 0.1% |
| |||||||
The RMR Group Inc., Class A | 11,700 | 818,415 | ||||||
|
| |||||||
Diversified REITs - 0.1% |
| |||||||
American Assets Trust Inc. | 19,652 | 656,573 | ||||||
Gramercy Property Trust | 45,842 | 996,147 | ||||||
|
| |||||||
1,652,720 | ||||||||
|
| |||||||
Diversified Support Services - 2.0% |
| |||||||
Healthcare Services Group Inc. | 229,304 | 9,970,138 | ||||||
Ritchie Bros Auctioneers Inc. | 492,328 | 15,493,562 | ||||||
UniFirst Corp. | 7,420 | 1,199,443 | ||||||
Viad Corp. | 17,416 | 913,469 | ||||||
|
| |||||||
27,576,612 | ||||||||
|
| |||||||
Education Services - 0.4% |
| |||||||
Grand Canyon Education Inc. (a) | 10,200 | 1,070,184 | ||||||
K12 Inc. (a) | 349,262 | 4,952,535 | ||||||
|
| |||||||
6,022,719 | ||||||||
|
| |||||||
Electric Utilities - 0.8% |
| |||||||
ALLETE Inc. | 14,637 | 1,057,523 | ||||||
IDACORP Inc. | 112,172 | 9,901,423 | ||||||
Spark Energy Inc., Class A | 45,400 | 537,990 | ||||||
|
| |||||||
11,496,936 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.2% |
| |||||||
Atkore International Group Inc. (a) | 32,155 | 638,277 | ||||||
EnerSys | 13,756 | 954,254 | ||||||
Regal Beloit Corp. | 21,441 | 1,572,697 | ||||||
|
| |||||||
3,165,228 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 15 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Electronic Components - 0.8% |
| |||||||
Belden Inc. | 20,092 | 1,385,142 | ||||||
Littelfuse Inc. | 40,176 | 8,363,840 | ||||||
Vishay Intertechnology Inc. | 59,032 | 1,097,995 | ||||||
|
| |||||||
10,846,977 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.9% |
| |||||||
Control4 Corp. (a) | 60,392 | 1,297,220 | ||||||
National Instruments Corp. | 49,227 | 2,489,410 | ||||||
VeriFone Systems Inc. (a) | 289,166 | 4,447,373 | ||||||
Zebra Technologies Corp., Class A (a) | 32,763 | 4,560,282 | ||||||
|
| |||||||
12,794,285 | ||||||||
|
| |||||||
Electronic Manufacturing Services - 0.3% |
| |||||||
Benchmark Electronics Inc. | 14,230 | 424,765 | ||||||
KEMET Corp. (a) | 44,961 | 815,143 | ||||||
Methode Electronics Inc. | 17,754 | 694,181 | ||||||
Plexus Corp. (a) | 26,157 | 1,562,358 | ||||||
TTM Technologies Inc. (a) | 69,417 | 1,061,386 | ||||||
|
| |||||||
4,557,833 | ||||||||
|
| |||||||
Environmental & Facilities Services - 0.8% |
| |||||||
Casella Waste Systems Inc., Class A (a) | 32,100 | 750,498 | ||||||
Clean Harbors Inc. (a) | 211,737 | 10,334,883 | ||||||
|
| |||||||
11,085,381 | ||||||||
|
| |||||||
Food Distributors - 0.6% |
| |||||||
Performance Food Group Co. (a) | 170,949 | 5,102,828 | ||||||
SpartanNash Co. | 219,628 | 3,779,798 | ||||||
|
| |||||||
8,882,626 | ||||||||
|
| |||||||
Food Retail - 0.1% |
| |||||||
Casey’s General Stores Inc. | 9,640 | 1,058,183 | ||||||
Sprouts Farmers Market Inc. (a) | 43,000 | 1,009,210 | ||||||
|
| |||||||
2,067,393 | ||||||||
|
| |||||||
Footwear - 1.0% |
| |||||||
Deckers Outdoor Corp. (a) | 56,605 | 5,096,148 | ||||||
Wolverine World Wide Inc. | 321,853 | 9,301,552 | ||||||
|
| |||||||
14,397,700 | ||||||||
|
| |||||||
Forest Products - 0.1% |
| |||||||
Boise Cascade Co. | 29,281 | 1,130,246 | ||||||
Louisiana-Pacific Corp. | 32,444 | 933,414 | ||||||
|
| |||||||
2,063,660 | ||||||||
|
| |||||||
Gas Utilities - 0.1% |
| |||||||
South Jersey Industries Inc. | 54,981 | 1,548,265 |
Number of Shares | Fair Value $ | |||||||
Spire Inc. | 5,702 | 412,255 | ||||||
|
| |||||||
1,960,520 | ||||||||
|
| |||||||
General Merchandise Stores - 0.1% |
| |||||||
Big Lots Inc. | 16,039 | 698,178 | ||||||
|
| |||||||
Health Care REITs - 0.0%* |
| |||||||
CareTrust REIT Inc. | 33,950 | 454,930 | ||||||
|
| |||||||
Healthcare Distributors - 0.0%* |
| |||||||
Owens & Minor Inc. | 22,353 | 347,589 | ||||||
|
| |||||||
Healthcare Equipment - 5.2% |
| |||||||
Cantel Medical Corp. | 22,000 | 2,451,020 | ||||||
Cardiovascular Systems Inc. (a) | 288,500 | 6,326,805 | ||||||
CONMED Corp. | 143,000 | 9,056,190 | ||||||
Hill-Rom Holdings Inc. | 129,584 | 11,273,808 | ||||||
Insulet Corp. (a) | 111,000 | 9,621,480 | ||||||
Integra LifeSciences Holdings Corp. (a) | 267,200 | 14,786,848 | ||||||
LivaNova PLC (a) | 10,741 | 950,578 | ||||||
Masimo Corp. (a) | 33,500 | 2,946,325 | ||||||
Natus Medical Inc. (a) | 11,689 | 393,335 | ||||||
NuVasive Inc. (a) | 180,000 | 9,397,800 | ||||||
Orthofix International N.V. (a) | 15,951 | 937,600 | ||||||
Penumbra Inc. (a) | 42,200 | 4,880,430 | ||||||
|
| |||||||
73,022,219 | ||||||||
|
| |||||||
Healthcare Facilities - 0.5% |
| |||||||
Acadia Healthcare Company Inc. (a)(l) | 120,456 | 4,719,466 | ||||||
Encompass Health Corp. | 15,162 | 866,812 | ||||||
Select Medical Holdings Corp. (a) | 54,053 | 932,414 | ||||||
|
| |||||||
6,518,692 | ||||||||
|
| |||||||
Healthcare Services - 1.4% |
| |||||||
Addus HomeCare Corp. (a) | 13,400 | 651,910 | ||||||
Amedisys Inc. (a) | 18,800 | 1,134,392 | ||||||
AMN Healthcare Services Inc. (a) | 22,588 | 1,281,869 | ||||||
BioTelemetry Inc. (a) | 95,360 | 2,960,928 | ||||||
Chemed Corp. | 3,520 | 960,467 | ||||||
Diplomat Pharmacy Inc. (a) | 172,908 | 3,484,096 | ||||||
LHC Group Inc. (a) | 13,200 | 812,592 | ||||||
MEDNAX Inc. (a) | 114,477 | 6,368,356 | ||||||
RadNet Inc. (a) | 87,000 | 1,252,800 | ||||||
|
| |||||||
18,907,410 | ||||||||
|
| |||||||
Healthcare Supplies - 1.0% |
| |||||||
Endologix Inc. (a) | 357,819 | 1,513,574 | ||||||
Halyard Health Inc. (a) | 83,500 | 3,847,680 |
See Notes to Schedules of Investments and Notes to Financial Statements.
16 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
ICU Medical Inc. (a) | 25,000 | 6,310,000 | ||||||
Lantheus Holdings Inc. (a) | 55,100 | 876,090 | ||||||
Merit Medical Systems Inc. (a) | 27,817 | 1,261,501 | ||||||
|
| |||||||
13,808,845 | ||||||||
|
| |||||||
Healthcare Technology - 1.9% |
| |||||||
HMS Holdings Corp. (a) | 364,403 | 6,136,546 | ||||||
Medidata Solutions Inc. (a) | 129,500 | 8,133,895 | ||||||
Omnicell Inc. (a) | 178,247 | 7,735,920 | ||||||
Quality Systems Inc. (a) | 3,983 | 54,368 | ||||||
Teladoc Inc. (a) | 98,000 | 3,949,400 | ||||||
|
| |||||||
26,010,129 | ||||||||
|
| |||||||
Home Building - 0.4% |
| |||||||
KB Home | 32,345 | 920,215 | ||||||
LGI Homes Inc. (a) | 19,245 | 1,358,120 | ||||||
Taylor Morrison Home Corp., Class A (a) | 35,212 | 819,735 | ||||||
TopBuild Corp. (a) | 40,303 | 3,083,986 | ||||||
|
| |||||||
6,182,056 | ||||||||
|
| |||||||
Home Furnishing Retail - 0.6% |
| |||||||
Aaron’s Inc. (l) | 147,533 | 6,875,038 | ||||||
RH (a) | 11,031 | 1,051,033 | ||||||
|
| |||||||
7,926,071 | ||||||||
|
| |||||||
Home Furnishings - 0.1% |
| |||||||
Tempur Sealy International Inc. (a) | 15,932 | 721,560 | ||||||
|
| |||||||
Hotel & Resort REITs - 0.4% |
| |||||||
Ashford Hospitality Trust Inc. | 66,985 | 432,723 | ||||||
Chatham Lodging Trust | 33,984 | 650,794 | ||||||
LaSalle Hotel Properties | 22,870 | 663,459 | ||||||
RLJ Lodging Trust | 210,267 | 4,087,590 | ||||||
|
| |||||||
5,834,566 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 0.9% |
| |||||||
Extended Stay America Inc. | 416,987 | 8,243,833 | ||||||
ILG Inc. | 118,478 | 3,685,851 | ||||||
|
| |||||||
11,929,684 | ||||||||
|
| |||||||
Household Appliances - 0.7% |
| |||||||
Helen of Troy Ltd. (a) | 109,954 | 9,565,998 | ||||||
|
| |||||||
Household Products - 0.0%* |
| |||||||
Energizer Holdings Inc. | 1,808 | 107,721 | ||||||
|
| |||||||
Housewares & Specialties - 0.0%* |
| |||||||
Tupperware Brands Corp. | 9,453 | 457,336 | ||||||
|
|
Number of Shares | Fair Value $ | |||||||
Human Resource & Employment Services - 0.3% |
| |||||||
Insperity Inc. | 24,977 | 1,737,150 | ||||||
Kforce Inc. | 33,400 | 903,470 | ||||||
TriNet Group Inc. (a) | 24,635 | 1,141,093 | ||||||
TrueBlue Inc. (a) | 30,114 | 779,953 | ||||||
|
| |||||||
4,561,666 | ||||||||
|
| |||||||
Industrial Machinery - 7.3% |
| |||||||
Actuant Corp., Class A (l) | 612,842 | 14,248,576 | ||||||
Altra Industrial Motion Corp. (l) | 31,701 | 1,456,661 | ||||||
Barnes Group Inc. | 116,022 | 6,948,558 | ||||||
Crane Co. | 52,971 | 4,912,531 | ||||||
Franklin Electric Company Inc. | 25,310 | 1,031,382 | ||||||
Harsco Corp. (a) | 22,669 | 468,115 | ||||||
Hillenbrand Inc. | 20,253 | 929,613 | ||||||
John Bean Technologies Corp. | 35,500 | 4,025,700 | ||||||
Kennametal Inc. | 25,073 | 1,006,932 | ||||||
LB Foster Co., Class A (a) | 29,830 | 702,497 | ||||||
Lydall Inc. (a) | 144,500 | 6,972,125 | ||||||
Mueller Industries Inc. | 174,752 | 4,571,512 | ||||||
Nordson Corp. | 21,771 | 2,968,258 | ||||||
Standex International Corp. | 72,500 | 6,912,875 | ||||||
The Gorman-Rupp Co. | 11,000 | 321,750 | ||||||
The Timken Co. | 213,902 | 9,753,931 | ||||||
TriMas Corp. (a) | 201,400 | 5,286,750 | ||||||
Watts Water Technologies Inc., Class A | 64,149 | 4,984,377 | ||||||
Welbilt Inc. (a) | 534,900 | 10,403,805 | ||||||
Woodward Inc. | 190,240 | 13,632,598 | ||||||
|
| |||||||
101,538,546 | ||||||||
|
| |||||||
Industrial REITs - 0.2% |
| |||||||
Rexford Industrial Realty Inc. | 50,552 | 1,455,392 | ||||||
STAG Industrial Inc. | 51,230 | 1,225,422 | ||||||
|
| |||||||
2,680,814 | ||||||||
|
| |||||||
Internet Software & Services - 3.6% |
| |||||||
Care.com Inc. (a) | 51,430 | 836,766 | ||||||
Cornerstone OnDemand Inc. (a) | 210,329 | 8,225,967 | ||||||
LogMeIn Inc. | 89,000 | 10,283,950 | ||||||
MINDBODY Inc., Class A (a) | 45,100 | 1,754,390 | ||||||
New Relic Inc. (a) | 154,500 | 11,451,540 | ||||||
NIC Inc. | 276,330 | 3,675,189 | ||||||
Okta Inc. (a) | 178,500 | 7,113,225 | ||||||
Q2 Holdings Inc. (a) | 91,000 | 4,145,050 | ||||||
Stamps.com Inc. (a) | 4,700 | 944,935 | ||||||
The Meet Group Inc. (a) | 87,600 | 183,084 | ||||||
Web.com Group Inc. (a) | 41,100 | 743,910 | ||||||
Yext Inc. (a) | 53,500 | 676,775 | ||||||
|
| |||||||
50,034,781 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 17 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Investment Banking & Brokerage - 1.1% |
| |||||||
BGC Partners Inc., Class A | 68,600 | 922,670 | ||||||
Evercore Inc., Class A | 9,906 | 863,803 | ||||||
Greenhill & Company Inc. | 36,723 | 679,375 | ||||||
Houlihan Lokey Inc. | 32,183 | 1,435,362 | ||||||
Piper Jaffray Cos. | 20,740 | 1,722,457 | ||||||
Raymond James Financial Inc. | 86,563 | 7,739,598 | ||||||
Stifel Financial Corp. | 23,794 | 1,409,319 | ||||||
|
| |||||||
14,772,584 | ||||||||
|
| |||||||
IT Consulting & Other Services - 0.2% |
| |||||||
Perficient Inc. (a) | 40,489 | 928,008 | ||||||
Science Applications International Corp. | 10,765 | 848,282 | ||||||
The Hackett Group Inc. | 46,800 | 751,608 | ||||||
|
| |||||||
2,527,898 | ||||||||
|
| |||||||
Leisure Products - 0.9% |
| |||||||
Brunswick Corp. | 21,903 | 1,300,819 | ||||||
Malibu Boats Inc., Class A (a) | 24,800 | 823,608 | ||||||
MCBC Holdings Inc. (a) | 41,900 | 1,055,880 | ||||||
Polaris Industries Inc. | 85,868 | 9,833,604 | ||||||
|
| |||||||
13,013,911 | ||||||||
|
| |||||||
Life & Health Insurance - 0.1% |
| |||||||
Trupanion Inc. (a) | 37,400 | 1,117,886 | ||||||
|
| |||||||
Life Sciences Tools & Services - 1.8% |
| |||||||
Bruker Corp. | 162,349 | 4,857,482 | ||||||
Cambrex Corp. (a) | 27,667 | 1,446,984 | ||||||
ICON PLC (a) | 74,072 | 8,750,866 | ||||||
PRA Health Sciences Inc. (a) | 14,300 | 1,186,328 | ||||||
Syneos Health Inc. (a) | 246,782 | 8,760,761 | ||||||
|
| |||||||
25,002,421 | ||||||||
|
| |||||||
Managed Healthcare - 0.9% |
| |||||||
Centene Corp. (a) | 76,899 | 8,218,196 | ||||||
HealthEquity Inc. (a) | 47,700 | 2,887,758 | ||||||
Magellan Health Inc. (a) | 19,229 | 2,059,426 | ||||||
|
| |||||||
13,165,380 | ||||||||
|
| |||||||
Marine - 0.1% |
| |||||||
Kirby Corp. (a) | 14,350 | 1,104,233 | ||||||
Matson Inc. | 25,919 | 742,320 | ||||||
|
| |||||||
1,846,553 | ||||||||
|
| |||||||
Multi-Line Insurance - 0.4% |
| |||||||
Horace Mann Educators Corp. (l) | 97,947 | 4,187,234 | ||||||
National General Holdings Corp. | 37,300 | 906,763 | ||||||
|
| |||||||
5,093,997 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Multi-Utilities - 0.1% |
| |||||||
Black Hills Corp. | 25,763 | 1,398,931 | ||||||
|
| |||||||
Office REITs - 0.7% |
| |||||||
Brandywine Realty Trust | 80,504 | 1,278,404 | ||||||
Corporate Office Properties Trust | 22,362 | 577,610 | ||||||
Cousins Properties Inc. | 866,104 | 7,517,783 | ||||||
|
| |||||||
9,373,797 | ||||||||
|
| |||||||
Office Services & Supplies - 0.6% |
| |||||||
Herman Miller Inc. | 24,500 | 782,775 | ||||||
HNI Corp. | 19,347 | 698,233 | ||||||
Knoll Inc. | 32,085 | 647,796 | ||||||
MSA Safety Inc. | 68,900 | 5,735,236 | ||||||
Steelcase Inc., Class A | 50,044 | 680,599 | ||||||
|
| |||||||
8,544,639 | ||||||||
|
| |||||||
Oil & Gas Drilling - 0.1% |
| |||||||
Nabors Industries Ltd. | 108,694 | 759,771 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 0.9% |
| |||||||
C&J Energy Services Inc. (a) | 47,132 | 1,216,948 | ||||||
Dril-Quip Inc. (a) | 44,675 | 2,001,440 | ||||||
Forum Energy Technologies Inc. (a) | 200,479 | 2,205,269 | ||||||
Natural Gas Services Group Inc. (a) | 31,070 | 741,020 | ||||||
Oil States International Inc. (a) | 234,794 | 6,151,603 | ||||||
|
| |||||||
12,316,280 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production - 1.6% |
| |||||||
Callon Petroleum Co. (a) | 147,692 | 1,955,442 | ||||||
Carrizo Oil & Gas Inc. (a) | 191,605 | 3,065,680 | ||||||
Newfield Exploration Co. (a) | 408,149 | 9,966,999 | ||||||
PDC Energy Inc. (a) | 20,688 | 1,014,333 | ||||||
Ring Energy Inc. (a) | 91,820 | 1,317,617 | ||||||
SM Energy Co. | 278,480 | 5,020,994 | ||||||
|
| |||||||
22,341,065 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing - 0.1% |
| |||||||
Par Pacific Holdings Inc. (a) | 55,800 | 958,086 | ||||||
|
| |||||||
Packaged Foods & Meats - 1.8% |
| |||||||
B&G Foods Inc. | 271,500 | 6,434,550 | ||||||
Cal-Maine Foods Inc. (a) | 26,204 | 1,145,115 | ||||||
Hostess Brands Inc. (a) | 37,200 | 550,188 | ||||||
J&J Snack Foods Corp. | 18,500 | 2,526,360 | ||||||
Sanderson Farms Inc. | 46,036 | 5,479,204 | ||||||
The Simply Good Foods Co. (a) | 239,700 | 3,291,081 | ||||||
TreeHouse Foods Inc. (a) | 154,500 | 5,912,715 | ||||||
|
| |||||||
25,339,213 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
18 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Paper Packaging - 0.2% |
| |||||||
Packaging Corporation of America | 18,763 | 2,114,590 | ||||||
|
| |||||||
Paper Products - 0.1% |
| |||||||
Neenah Inc. | 18,025 | 1,413,160 | ||||||
|
| |||||||
Personal Products - 0.5% |
| |||||||
elf Beauty Inc. (a) | 286,000 | 5,539,820 | ||||||
USANA Health Sciences Inc. (a) | 11,958 | 1,027,192 | ||||||
|
| |||||||
6,567,012 | ||||||||
|
| |||||||
Pharmaceuticals - 2.1% |
| |||||||
Catalent Inc. (a) | 195,518 | 8,027,969 | ||||||
Corcept Therapeutics Inc. (a) | 83,137 | 1,367,604 | ||||||
Depomed Inc. (a) | 33,300 | 219,447 | ||||||
Horizon Pharma PLC (a) | 61,500 | 873,300 | ||||||
Innoviva Inc. (a) | 56,900 | 948,523 | ||||||
Phibro Animal Health Corp., Class A | 26,500 | 1,052,050 | ||||||
Prestige Brands Holdings Inc. (a) | 293,992 | 9,913,410 | ||||||
Supernus Pharmaceuticals Inc. (a) | 159,600 | 7,309,680 | ||||||
|
| |||||||
29,711,983 | ||||||||
|
| |||||||
Property & Casualty Insurance - 2.1% |
| |||||||
AMERISAFE Inc. | 81,373 | 4,495,858 | ||||||
Argo Group International Holdings Ltd. | 181,684 | 10,428,662 | ||||||
Atlas Financial Holdings Inc. (a) | 23,001 | 238,060 | ||||||
James River Group Holdings Ltd. | 12,100 | 429,187 | ||||||
RLI Corp. | 65,870 | 4,175,499 | ||||||
The Navigators Group Inc. | 154,500 | 8,906,925 | ||||||
Universal Insurance Holdings Inc. | 13,835 | 441,337 | ||||||
|
| |||||||
29,115,528 | ||||||||
|
| |||||||
Publishing - 1.4% |
| |||||||
John Wiley & Sons Inc., Class A | 305,100 | 19,434,870 | ||||||
|
| |||||||
Railroads - 0.6% |
| |||||||
Genesee & Wyoming Inc., Class A (a) | 124,003 | 8,778,172 | ||||||
|
| |||||||
Regional Banks - 9.4% |
| |||||||
1st Source Corp. | 18,805 | 951,909 | ||||||
BankUnited Inc. | 10,707 | 428,066 |
Number of Shares | Fair Value $ | |||||||
Banner Corp. | 26,523 | 1,471,761 | ||||||
Bryn Mawr Bank Corp. | 97,500 | 4,285,125 | ||||||
Camden National Corp. | 21,651 | 963,470 | ||||||
Cathay General Bancorp | 23,187 | 927,016 | ||||||
Chemical Financial Corp. | 28,461 | 1,556,247 | ||||||
Columbia Banking System Inc. | 23,209 | 973,618 | ||||||
Community Bank System Inc. | 112,500 | 6,025,500 | ||||||
Cullen/Frost Bankers Inc. | 64,431 | 6,834,196 | ||||||
CVB Financial Corp. | 260,500 | 5,897,720 | ||||||
Enterprise Financial Services Corp. | 25,378 | 1,190,228 | ||||||
Equity Bancshares Inc., Class A (a) | 17,457 | 683,616 | ||||||
FCB Financial Holdings Inc., Class A (a) | 14,535 | 742,739 | ||||||
First Financial Bankshares Inc. | 79,000 | 3,657,700 | ||||||
First Interstate BancSystem Inc., Class A | 37,719 | 1,491,786 | ||||||
Fulton Financial Corp. | 363,481 | 6,451,788 | ||||||
German American Bancorp Inc. | 104,500 | 3,485,075 | ||||||
Great Southern Bancorp Inc. | 9,012 | 450,149 | ||||||
Home BancShares Inc. | 65,229 | 1,487,874 | ||||||
IBERIABANK Corp. | 99,163 | 7,734,714 | ||||||
Independent Bank Corp. | 74,000 | 5,294,700 | ||||||
Lakeland Financial Corp. | 12,367 | 571,726 | ||||||
LegacyTexas Financial Group Inc. | 47,299 | 2,025,343 | ||||||
Pinnacle Financial Partners Inc. | 22,057 | 1,416,059 | ||||||
Prosperity Bancshares Inc. | 170,090 | 12,353,637 | ||||||
Renasant Corp. | 238,952 | 10,169,797 | ||||||
Sandy Spring Bancorp Inc. | 9,487 | 367,716 | ||||||
Simmons First National Corp., Class A | 41,410 | 1,178,115 | ||||||
South State Corp. | 7,217 | 615,610 | ||||||
Stock Yards Bancorp Inc. | 91,000 | 3,194,100 | ||||||
Texas Capital Bancshares Inc. (a) | 12,048 | 1,083,115 | ||||||
UMB Financial Corp. | 119,900 | 8,679,561 | ||||||
Umpqua Holdings Corp. | 76,641 | 1,640,884 | ||||||
Union Bankshares Corp. | 32,857 | 1,206,180 | ||||||
United Community Banks Inc. | 32,815 | 1,038,595 | ||||||
Washington Trust Bancorp Inc. | 90,000 | 4,837,500 | ||||||
Westamerica Bancorporation | 110,158 | 6,397,977 | ||||||
Western Alliance Bancorp (a) | 163,959 | 9,527,658 | ||||||
Wintrust Financial Corp. | 22,732 | 1,956,089 | ||||||
|
| |||||||
131,244,659 | ||||||||
|
| |||||||
Reinsurance - 0.0%* |
| |||||||
Maiden Holdings Ltd. | 62,953 | 409,194 | ||||||
|
| |||||||
Research & Consulting Services - 0.3% |
| |||||||
Resources Connection Inc. | 281,360 | 4,558,032 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 19 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Residential REITs - 0.5% |
| |||||||
Education Realty Trust Inc. | 226,413 | 7,415,026 | ||||||
|
| |||||||
Restaurants - 1.5% |
| |||||||
BJ’s Restaurants Inc. | 20,100 | 902,490 | ||||||
Brinker International Inc. | 22,235 | 802,683 | ||||||
Cracker Barrel Old Country Store Inc. | 19,402 | 3,088,798 | ||||||
Dave & Buster’s Entertainment Inc. (a) | 13,100 | 546,794 | ||||||
El Pollo Loco Holdings Inc. (a) | 151,500 | 1,439,250 | ||||||
Papa John’s International Inc. | 79,000 | 4,526,700 | ||||||
Red Robin Gourmet Burgers Inc. (a) | 16,787 | 973,646 | ||||||
Ruth’s Hospitality Group Inc. | 63,915 | 1,562,722 | ||||||
Texas Roadhouse Inc. | 89,090 | 5,147,620 | ||||||
The Cheesecake Factory Inc. | 54,007 | 2,604,218 | ||||||
|
| |||||||
21,594,921 | ||||||||
|
| |||||||
Retail REITs - 0.0%* |
| |||||||
Retail Opportunity Investments Corp. | 36,152 | 638,806 | ||||||
|
| |||||||
Security & Alarm Services - 0.8% |
| |||||||
The Brink’s Co. | 147,090 | 10,494,871 | ||||||
|
| |||||||
Semiconductor Equipment - 0.8% |
| |||||||
Advanced Energy Industries Inc. (a)(l) | 16,700 | 1,067,130 | ||||||
Amkor Technology Inc. (a) | 83,600 | 846,868 | ||||||
Brooks Automation Inc. | 38,829 | 1,051,489 | ||||||
Entegris Inc. | 26,700 | 929,160 | ||||||
FormFactor Inc. (a) | 55,100 | 752,115 | ||||||
Ichor Holdings Ltd. (a) | 22,400 | 542,304 | ||||||
MKS Instruments Inc. | 13,000 | 1,503,450 | ||||||
Rudolph Technologies Inc. (a) | 120,737 | 3,344,415 | ||||||
Ultra Clean Holdings Inc. (a) | 40,400 | 777,700 | ||||||
Versum Materials Inc. | 18,095 | 680,915 | ||||||
|
| |||||||
11,495,546 | ||||||||
|
| |||||||
Semiconductors - 0.6% |
| |||||||
Cirrus Logic Inc. (a) | 13,900 | 564,757 | ||||||
Semtech Corp. (a) | 156,533 | 6,112,614 | ||||||
SMART Global Holdings Inc. (a) | 28,200 | 1,405,488 | ||||||
|
| |||||||
8,082,859 | ||||||||
|
| |||||||
Specialized REITs - 0.4% |
| |||||||
CoreSite Realty Corp. | 34,061 | 3,414,956 | ||||||
PotlatchDeltic Corp. | 30,934 | 1,610,115 | ||||||
|
| |||||||
5,025,071 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Specialty Chemicals - 3.9% |
| |||||||
Ferro Corp. (a) | 49,773 | 1,155,729 | ||||||
HB Fuller Co. | 229,802 | 11,428,054 | ||||||
Ingevity Corp. (a) | 78,834 | 5,809,277 | ||||||
Innospec Inc. | 89,000 | 6,105,400 | ||||||
KMG Chemicals Inc. | 26,353 | 1,579,862 | ||||||
Minerals Technologies Inc. | 13,924 | 932,212 | ||||||
PolyOne Corp. | 196,869 | 8,370,870 | ||||||
PQ Group Holdings Inc. (a) | 23,763 | 331,969 | ||||||
Quaker Chemical Corp. | 53,554 | 7,932,954 | ||||||
Sensient Technologies Corp. | 162,231 | 11,450,264 | ||||||
|
| |||||||
55,096,591 | ||||||||
|
| |||||||
Specialty Stores - 0.2% |
| |||||||
Hibbett Sports Inc. (a) | 84,000 | 2,011,800 | ||||||
Sally Beauty Holdings Inc. (a) | 51,749 | 851,271 | ||||||
|
| |||||||
2,863,071 | ||||||||
|
| |||||||
Steel - 0.4% |
| |||||||
Carpenter Technology Corp. | 33,505 | 1,478,241 | ||||||
Commercial Metals Co. | 173,956 | 3,559,140 | ||||||
Worthington Industries Inc. | 18,635 | 799,814 | ||||||
|
| |||||||
5,837,195 | ||||||||
|
| |||||||
Systems Software - 1.9% |
| |||||||
CommVault Systems Inc. (a) | 158,000 | 9,037,600 | ||||||
Progress Software Corp. | 23,300 | 895,885 | ||||||
Qualys Inc. (a) | 146,500 | 10,657,875 | ||||||
Talend S.A. ADR (a) | 101,400 | 4,879,368 | ||||||
VASCO Data Security International Inc. (a) | 52,640 | 681,688 | ||||||
|
| |||||||
26,152,416 | ||||||||
|
| |||||||
Technology Distributors - 0.3% |
| |||||||
ePlus Inc. (a) | 10,700 | 831,390 | ||||||
SYNNEX Corp. | 8,326 | 985,799 | ||||||
Tech Data Corp. (a) | 22,032 | 1,875,584 | ||||||
|
| |||||||
3,692,773 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 1.0% |
| |||||||
Diebold Nixdorf Inc. | 483,711 | 7,449,149 | ||||||
Pure Storage Inc., Class A (a) | 323,000 | 6,443,850 | ||||||
|
| |||||||
13,892,999 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.4% |
| |||||||
Dime Community Bancshares Inc. | 33,857 | 622,969 | ||||||
Essent Group Ltd. (a) | 24,485 | 1,042,081 | ||||||
HomeStreet Inc. (a) | 25,421 | 728,312 | ||||||
Kearny Financial Corp. | 28,060 | 364,780 | ||||||
NMI Holdings Inc., Class A (a) | 44,500 | 736,475 |
See Notes to Schedules of Investments and Notes to Financial Statements.
20 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Walker & Dunlop Inc. | 18,395 | 1,093,031 | ||||||
Washington Federal Inc. | 23,209 | 803,031 | ||||||
|
| |||||||
5,390,679 | ||||||||
|
| |||||||
Tires & Rubber - 0.1% |
| |||||||
Cooper Tire & Rubber Co. | 31,341 | 918,291 | ||||||
|
| |||||||
Trading Companies & Distributors - 0.8% |
| |||||||
Applied Industrial Technologies Inc. | 128,557 | 9,371,805 | ||||||
BMC Stock Holdings Inc. (a) | 41,100 | 803,505 | ||||||
CAI International Inc. (a) | 26,077 | 554,397 | ||||||
GMS Inc. (a) | 24,961 | 762,808 | ||||||
|
| |||||||
11,492,515 | ||||||||
|
| |||||||
Trucking - 0.9% |
| |||||||
Marten Transport Ltd. | 33,977 | 774,676 | ||||||
Old Dominion Freight Line Inc. | 64,649 | 9,501,463 | ||||||
Saia Inc. (a) | 25,175 | 1,891,901 | ||||||
|
| |||||||
12,168,040 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Water Utilities - 0.0%* |
| |||||||
SJW Group | 10,232 | 539,329 | ||||||
|
| |||||||
Total Common Stock (Cost $1,007,261,237) | 1,325,590,534 | |||||||
|
| |||||||
Short-Term Investments - 5.5% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.62% (Cost $76,011,292) (d)(m) | 76,011,292 | 76,011,292 | ||||||
|
| |||||||
Total Investments (Cost $1,083,272,529) | 1,401,601,826 | |||||||
Liabilities in Excess of Other Assets, net - (0.2)% | (2,245,130 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | 1,399,356,696 | |||||||
|
|
Other Information:
The Fund had the following long futures contracts open at March 31, 2018:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
CME E-mini Russell 2000 Index Futures | June 2018 | 304 | 23,762,690 | $ | 23,274,240 | $ | (488,450 | ) | ||||||||||||
|
|
During the period ended March 31, 2018, average notional value related to futures contracts was $22,827,211 or 1.6% of net assets.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Small-Cap Equity Fund | Investments in Securities† | |||||||||||||||||
Common Stock | $ | 1,325,590,534 | $ | — | $ | — | $ | 1,325,590,534 | ||||||||||
Short-Term Investments | 76,011,292 | — | — | 76,011,292 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 1,401,601,826 | $ | — | $ | — | $ | 1,401,601,826 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments* | ||||||||||||||||||
Long Futures Contracts - Unrealized Depreciation | $ | (488,450 | ) | $ | — | $ | — | $ | (488,450 | ) | ||||||||
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 21 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Affiliate Table
Number of Shares Held at 9/30/17 | Value At 9/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/18 | Value at 3/31/18 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 78,324,730 | $ | 78,324,730 | $ | 463,014,238 | $ | 465,327,676 | $ | — | $ | — | 76,011,292 | $ | 76,011,292 | $ | 493,007 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
22 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Performance Summary — March 31, 2018 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2018.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2018 | $ | 1,032.00 | $ | 1,022.10 | ||||
Expenses paid during the period* | $ | 2.89 | $ | 2.87 |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2018 | $ | 1,031.00 | $ | 1,020.80 | ||||
Expenses paid during the period* | $ | 4.15 | $ | 4.13 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.57% for Investment Class shares and 0.82% for Service Class shares (for the period October 1, 2017-March 31, 2018), 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 | 23 |
Table of Contents
State Street Institutional International Equity Fund
Fund Information — March 31, 2018 (Unaudited)
Top Ten Largest Holdings
as of March 31, 2018 (as a % of Fair Value) (a)(b)
Nestle S.A. | 3.19 | % | ||
ASML Holding N.V. | 2.67 | % | ||
BNP Paribas S.A. | 2.34 | % | ||
Vodafone Group PLC | 2.30 | % | ||
Roche Holding AG | 2.28 | % | ||
Mitsubishi UFJ Financial Group Inc. | 2.27 | % | ||
AIA Group Ltd. | 2.20 | % | ||
Komatsu Ltd. | 2.18 | % | ||
Bayer AG | 2.17 | % | ||
BHP Billiton PLC | 2.17 | % |
Regional Allocation as of March 31, 2018
Portfolio composition as a % of Fair Value of $1,205,203 (in thousands) as of March 31, 2018 (a)(b)
(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. |
24 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Common Stock - 96.3%† | ||||||||
Australia - 0.7% |
| |||||||
Suncorp Group Ltd. (k) | 778,724 | 8,020,882 | ||||||
|
| |||||||
Belgium - 2.1% |
| |||||||
Anheuser-Busch InBev S.A. (k) | 226,202 | 24,858,055 | ||||||
|
| |||||||
Canada - 1.2% |
| |||||||
Brookfield Asset Management Inc., Class A (l) | 144,589 | 5,632,158 | ||||||
Cenovus Energy Inc. (l) | 479,163 | 4,077,113 | ||||||
Seven Generations Energy Ltd., Class A (a) | 414,881 | 5,148,804 | ||||||
|
| |||||||
14,858,075 | ||||||||
|
| |||||||
China - 1.6% |
| |||||||
NetEase Inc. ADR | 18,911 | 5,302,455 | ||||||
New Oriental Education & Technology Group Inc. ADR | 161,524 | 14,157,579 | ||||||
|
| |||||||
19,460,034 | ||||||||
|
| |||||||
France - 12.3% |
| |||||||
Air Liquide S.A. (k) | 137,102 | 16,816,622 | ||||||
Airbus SE (k) | 170,271 | 19,700,580 | ||||||
AXA S.A. (l)(k) | 681,149 | 18,098,167 | ||||||
BNP Paribas S.A. (k) | 380,522 | 28,206,029 | ||||||
Schneider Electric SE (k) | 291,205 | 25,631,417 | ||||||
Valeo S.A. (k) | 303,534 | 20,069,022 | ||||||
Vivendi S.A. (k) | 803,644 | 20,832,188 | ||||||
|
| |||||||
149,354,025 | ||||||||
|
| |||||||
Germany - 12.0% |
| |||||||
Bayer AG (k) | 232,273 | 26,172,240 | ||||||
Fresenius SE & Company KGaA (k) | 142,755 | 10,910,416 | ||||||
HeidelbergCement AG (k) | 167,103 | 16,408,528 | ||||||
Infineon Technologies AG (k) | 698,539 | 18,776,815 | ||||||
KION Group AG (k) | 184,155 | 17,184,450 | ||||||
SAP SE (k) | 245,837 | 25,795,829 | ||||||
Wacker Chemie AG (k) | 99,050 | 16,269,255 | ||||||
Zalando SE (a)(k) | 253,608 | 13,832,307 | ||||||
|
| |||||||
145,349,840 | ||||||||
|
| |||||||
Hong Kong - 2.2% |
| |||||||
AIA Group Ltd. (k) | 3,112,602 | 26,608,117 | ||||||
|
| |||||||
India - 2.5% |
| |||||||
ICICI Bank Ltd. (k) | 3,772,333 | 16,371,298 | ||||||
Power Grid Corporation of India Ltd. (k) | 4,455,806 | 13,278,034 | ||||||
|
| |||||||
29,649,332 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Ireland - 1.2% |
| |||||||
Kerry Group PLC, Class A (l) | 147,693 | 14,967,161 | ||||||
|
| |||||||
Italy - 1.6% |
| |||||||
Intesa Sanpaolo S.p.A. (k) | 5,422,814 | 19,734,858 | ||||||
|
| |||||||
Japan - 26.8% |
| |||||||
Daikin Industries Ltd. (k) | 231,800 | 25,764,701 | ||||||
FANUC Corp. (k) | 88,049 | 22,671,399 | ||||||
Hoya Corp. (k) | 407,700 | 20,604,642 | ||||||
Kao Corp. (k) | 313,300 | 23,532,675 | ||||||
Keyence Corp. (k) | 29,600 | 18,499,433 | ||||||
Komatsu Ltd. (k) | 785,600 | 26,330,382 | ||||||
Mitsubishi UFJ Financial Group Inc. (k) | 4,119,700 | 27,392,103 | ||||||
Mitsui Fudosan Company Ltd. (k) | 835,825 | 20,188,293 | ||||||
Murata Manufacturing Company Ltd. (k) | 161,179 | 22,259,389 | ||||||
Nidec Corp. (k) | 148,974 | 22,940,240 | ||||||
Secom Company Ltd. (k) | 216,100 | 16,104,574 | ||||||
Sekisui House Ltd. (k) | 1,047,800 | 19,182,345 | ||||||
Shimano Inc. (k) | 101,800 | 14,697,972 | ||||||
SoftBank Group Corp. (k) | 205,501 | 15,336,506 | ||||||
Subaru Corp. (k) | 541,600 | 17,937,726 | ||||||
Tokio Marine Holdings Inc. (k) | 230,406 | 10,452,667 | ||||||
|
| |||||||
323,895,047 | ||||||||
|
| |||||||
Netherlands - 4.7% |
| |||||||
ASML Holding N.V. (k) | 162,503 | 32,207,586 | ||||||
ING Groep N.V. (k) | 1,450,009 | 24,457,272 | ||||||
|
| |||||||
56,664,858 | ||||||||
|
| |||||||
Norway - 2.1% |
| |||||||
Statoil ASA (k) | 1,085,992 | 25,663,434 | ||||||
|
| |||||||
Portugal - 1.4% |
| |||||||
Galp Energia SGPS S.A. (k) | 886,328 | 16,706,851 | ||||||
|
| |||||||
South Africa - 0.5% |
| |||||||
Naspers Ltd., Class N (k) | 23,126 | 5,654,453 | ||||||
|
| |||||||
Spain - 1.0% |
| |||||||
Banco Bilbao Vizcaya Argentaria S.A. (l)(k) | 1,571,286 | 12,437,838 | ||||||
|
| |||||||
Sweden - 3.4% |
| |||||||
Assa Abloy AB, Class B (k) | 1,020,644 | 22,056,863 | ||||||
Hexagon AB, Class B (k) | 315,763 | 18,791,297 | ||||||
|
| |||||||
40,848,160 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional International Equity Fund | 25 |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Number of Shares | Fair Value $ | |||||||
Switzerland - 6.8% |
| |||||||
Givaudan S.A. (k) | 7,373 | 16,792,234 | ||||||
Nestle S.A. (k) | 487,874 | 38,497,856 | ||||||
Roche Holding AG (k) | 119,775 | 27,430,119 | ||||||
|
| |||||||
82,720,209 | ||||||||
|
| |||||||
Taiwan - 1.4% |
| |||||||
Taiwan Semiconductor Manufacturing Company Ltd. (k) | 1,997,548 | 16,919,628 | ||||||
|
| |||||||
United Kingdom - 10.8% |
| |||||||
BHP Billiton PLC (k) | 1,323,490 | 26,152,674 | ||||||
Prudential PLC (k) | 929,591 | 23,225,922 | ||||||
Shire PLC (k) | 381,593 | 18,989,102 | ||||||
Smith & Nephew PLC (k) | 893,712 | 16,716,271 | ||||||
Smiths Group PLC (k) | 865,099 | 18,399,183 |
Number of Shares | Fair Value $ | |||||||
Vodafone Group PLC (k) | 10,124,343 | 27,696,553 | ||||||
|
| |||||||
131,179,705 | ||||||||
|
| |||||||
Total Common Stock (Cost $941,057,203) | 1,165,550,562 | |||||||
|
| |||||||
Short-Term Investments - 3.3% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.62% | 39,652,079 | 39,652,079 | ||||||
|
| |||||||
Total Investments (Cost $980,709,282) | 1,205,202,641 | |||||||
Other Assets and Liabilities, net - 0.4% | 4,301,488 | |||||||
|
| |||||||
NET ASSETS - 100.0% | 1,209,504,129 | |||||||
|
|
Other Information:
The Fund had the following long futures contracts open at March 31, 2018:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
MSCI EAFE Mini Index Futures | June 2018 | 79 | 8,006,276 | $ | 7,902,370 | $ | (103,906 | ) | ||||||||||||
|
|
During the period ended March 31, 2018, average notional value related to futures contracts was $9,653,864 or 0.8% of net assets.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2018.
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional International Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 49,285,270 | $ | 1,116,265,292 | $ | — | $ | 1,165,550,562 | ||||||||||
Short-Term Investments | 39,652,079 | — | — | 39,652,079 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 88,937,349 | $ | 1,116,265,292 | $ | — | $ | 1,205,202,641 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts - Unrealized Depreciation | $ | (103,906 | ) | $ | — | $ | — | $ | (103,906 | ) | ||||||||
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
26 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
The Fund was invested in the following sectors at March 31, 2018 (unaudited):
Sector | Percentage (based on Fair Value) | |||
Diversified Banks | 10.67% | |||
Pharmaceuticals | 4.45% | |||
Packaged Foods & Meats | 4.44% | |||
Life & Health Insurance | 4.13% | |||
Electrical Components & Equipment | 4.03% | |||
Building Products | 3.97% | |||
Integrated Oil & Gas | 3.85% | |||
Construction Machinery & Heavy Trucks | 3.61% | |||
Wireless Telecommunication Services | 3.57% | |||
Electronic Equipment & Instruments | 3.09% | |||
Semiconductors | 2.96% | |||
Specialty Chemicals | 2.74% | |||
Semiconductor Equipment | 2.67% | |||
Diversified Metals & Mining | 2.17% | |||
Application Software | 2.14% | |||
Brewers | 2.06% | |||
Personal Products | 1.95% | |||
Industrial Machinery | 1.88% | |||
Electronic Components | 1.85% | |||
Movies & Entertainment | 1.73% | |||
Healthcare Supplies | 1.71% | |||
Diversified Real Estate Activities | 1.67% | |||
Auto Parts & Equipment | 1.67% | |||
Aerospace & Defense | 1.63% | |||
Home Building | 1.59% |
Sector | Percentage (based on Fair Value) | |||
Biotechnology | 1.58% | |||
Property & Casualty Insurance | 1.53% | |||
Industrial Conglomerates | 1.53% | |||
Multi-Line Insurance | 1.50% | |||
Automobile Manufacturers | 1.49% | |||
Industrial Gases | 1.40% | |||
Healthcare Equipment | 1.39% | |||
Construction Materials | 1.36% | |||
Security & Alarm Services | 1.34% | |||
Leisure Products | 1.22% | |||
Education Services | 1.17% | |||
Internet & Direct Marketing Retail | 1.15% | |||
Electric Utilities | 1.10% | |||
Healthcare Services | 0.91% | |||
Cable & Satellite | 0.47% | |||
Asset Management & Custody Banks | 0.47% | |||
Internet Software & Services | 0.44% | |||
Oil & Gas Exploration & Production | 0.43% | |||
|
| |||
96.71% | ||||
|
| |||
Short-Term Investments | ||||
Short-Term Investments | 3.29% | |||
|
| |||
3.29% | ||||
|
| |||
100.00% | ||||
|
|
Affiliate Table
Number of Shares Held at 9/30/17 | Value At 9/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Depreciation | Number of Shares Held at 3/31/18 | Value at 3/31/18 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 61,540,289 | $ | 61,540,289 | $ | 239,525,807 | $ | 261,414,017 | $ | — | $ | — | 39,652,079 | $ | 39,652,079 | $ | 223,539 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional International Equity Fund | 27 |
Table of Contents
State Street Institutional Income Fund
Understanding Your Fund’s Expenses — March 31, 2018 (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended March 31, 2018.
Actual Expenses
The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.
Hypothetical Example for Comparison Purposes
The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.
Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.
Investment Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2018 | $ | 988.30 | $ | 1,023.70 | ||||
Expenses paid during the period* | $ | 1.24 | $ | 1.26 |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period October 1, 2017 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period March 31, 2018 | $ | 988.70 | $ | 1,022.40 | ||||
Expenses paid during the period* | $ | 2.48 | $ | 2.52 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.25% for Investment Class shares and 0.50% for Service Class shares (for the period October 1, 2017-March 31, 2018), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
28 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Fund Information — March 31, 2018 (Unaudited)
Quality Ratings
as of March 31, 2018 as a % of Fair Value (a)(b)
Moody’s/S&P/Rating* | Percentage of Fair Value | |||
Aaa/AAA | 10.01 | % | ||
Aa/AA | 51.36 | % | ||
A/A | 8.41 | % | ||
Baa/BBB | 19.82 | % | ||
Ba/BB and lower | 9.38 | % | ||
NR/Other | 1.02 | % |
Sector Allocation
Portfolio composition as a % of Fair Value of $224,548 (in thousands) as of March 31, 2018 (a)(b)
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
* | Moody’s Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
State Street Institutional Income Fund | 29 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
Bonds and Notes - 98.2%† | ||||||||
U.S. Treasuries - 39.5% |
| |||||||
U.S. Treasury Bonds | 35,000 | 33,830 | ||||||
3.00%, 02/15/48 | 4,157,400 | 4,181,389 | ||||||
3.75%, 11/15/43 (l) | 622,000 | 710,679 | ||||||
4.50%, 02/15/36 (l) | 3,179,400 | 3,929,357 | ||||||
U.S. Treasury Notes | 20,394,300 | 20,229,618 | ||||||
1.38%, 12/15/19 (l) | 13,436,700 | 13,237,836 | ||||||
1.50%, 08/15/20 (l) | 6,059,000 | 5,943,516 | ||||||
1.50%, 02/28/23 | 8,393,900 | 7,983,354 | ||||||
1.63%, 08/31/22 (l) | 4,329,000 | 4,165,753 | ||||||
1.88%, 08/31/24 (l) | 3,389,000 | 3,233,309 | ||||||
2.13%, 12/31/22 (l) | 695,000 | 681,656 | ||||||
2.25%, 11/15/25 - 11/15/27 | 17,456,300 | 16,866,307 | ||||||
2.25%, 02/15/27 - 08/15/27 (l) | 5,082,400 | 4,878,855 | ||||||
|
| |||||||
86,075,459 | ||||||||
|
| |||||||
Agency Mortgage Backed - 10.6% |
| |||||||
Federal Home Loan Mortgage Corp. | 10,091 | 10,617 | ||||||
5.00%, 07/01/35 - 06/01/41 (l) | 829,861 | 892,885 | ||||||
5.50%, 05/01/20 - 04/01/39 (l) | 237,515 | 259,467 | ||||||
6.00%, 07/01/19 | 663 | 665 | ||||||
6.00%, 05/01/20 - 11/01/37 (l) | 405,212 | 445,347 | ||||||
6.50%, 08/01/29 - 10/01/33 (l) | 1,278 | 1,440 | ||||||
7.00%, 06/01/29 - 08/01/36 (l) | 58,609 | 64,150 | ||||||
7.50%, 01/01/30 - 09/01/33 (l) | 1,929 | 1,999 | ||||||
8.00%, 11/01/30 (l) | 12,430 | 13,737 | ||||||
8.50%, 04/01/30 (l) | 17,557 | 20,800 | ||||||
9.50%, 04/01/21 (l) | 14 | 14 | ||||||
Federal National Mortgage Assoc. | 2,511,904 | 2,535,930 | ||||||
4.00%, 05/01/19 - 12/01/41 (l) | 2,013,039 | 2,083,556 | ||||||
4.50%, 05/01/18 - 01/01/41 (l) | 3,601,609 | 3,805,728 | ||||||
5.00%, 07/01/20 - 06/01/41 (l) | 1,330,199 | 1,432,123 | ||||||
5.50%, 06/01/20 - 04/01/38 (l) | 1,087,884 | 1,185,862 | ||||||
6.00%, 05/01/19 - 08/01/35 (l) | 761,667 | 833,957 | ||||||
6.50%, 01/01/19 - 08/01/36 (l) | 66,415 | 73,454 | ||||||
7.00%, 10/01/32 - 02/01/34 (l) | 8,847 | 9,335 | ||||||
7.50%, 12/01/23 - 12/01/33 (l) | 43,686 | 47,654 | ||||||
8.00%, 07/01/25 - 10/01/31 (l) | 10,550 | 11,396 | ||||||
9.00%, 12/01/22 (l) | 660 | 697 | ||||||
Federal National Mortgage Assoc. 1.25% + USD COF11 | 5,831 | 5,833 | ||||||
Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | 2,365 | 2,430 | ||||||
Federal National Mortgage Assoc. | 1,755,725 | 1,753,179 |
Principal Amount ($) | Fair Value $ | |||||||
3.50%, TBA (c) | 3,395,389 | 3,460,852 | ||||||
4.00%, TBA (c) | 350,000 | 359,124 | ||||||
4.50%, TBA (c) | 350,000 | 366,408 | ||||||
Government National Mortgage Assoc. | 2,150,663 | 2,230,745 | ||||||
4.50%, 08/15/33 - 05/20/40 (l) | 396,991 | 418,197 | ||||||
5.00%, 08/15/33 (l) | 30,331 | 32,146 | ||||||
6.00%, 04/15/27 - 09/15/36 (l) | 190,746 | 214,351 | ||||||
6.50%, 04/15/19 - 09/15/36 (l) | 82,319 | 91,948 | ||||||
7.00%, 10/15/27 - 10/15/36 (l) | 41,812 | 45,354 | ||||||
7.50%, 01/15/23 - 11/15/31 (l) | 3,964 | 4,091 | ||||||
8.00%, 05/15/30 - 09/15/30 (l) | 388 | 418 | ||||||
9.00%, 12/15/21 (l) | 371 | 394 | ||||||
5.50%, TBA (c) | 255,000 | 277,163 | ||||||
|
| |||||||
22,993,446 | ||||||||
|
| |||||||
Agency Collateralized Mortgage Obligations - 0.2% |
| |||||||
Federal Home Loan Mortgage Corp. | 742,847 | 1,640 | ||||||
Federal Home Loan Mortgage Corp. REMIC | 486,316 | 36,772 | ||||||
5.50%, 06/15/33 (g)(l) | 30,705 | 6,082 | ||||||
7.50%, 07/15/27 (g)(l) | 3,460 | 511 | ||||||
Federal Home Loan Mortgage Corp. REMIC | 183,541 | 12,287 | ||||||
Federal Home Loan Mortgage Corp. STRIPS | 749 | 681 | ||||||
8.00%, 02/01/23 (g) | 955 | 128 | ||||||
8.00%, 07/01/24 (g)(l) | 1,562 | 252 | ||||||
Federal National Mortgage Assoc. REMIC | 73 | 72 | ||||||
1.18%, 12/25/42 (g)(h)(l) | 145,299 | 5,226 | ||||||
5.00%, 02/25/40 - 09/25/40 (g)(l) | 206,032 | 23,369 | ||||||
8.00%, 05/25/22 (g)(l) | 2 | 32 | ||||||
Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | 514,990 | 75,461 | ||||||
Federal National Mortgage Assoc. REMIC 6.60% - 1 month USD LIBOR | 835,719 | 164,183 |
See Notes to Schedules of Investments and Notes to Financial Statements.
30 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
Federal National Mortgage Assoc. STRIPS | 14,092 | 11,969 | ||||||
4.50%, 08/25/35 - 01/25/36 (g)(l) | 99,033 | 19,167 | ||||||
5.00%, 03/25/38 - 05/25/38 (g)(l) | 54,537 | 10,885 | ||||||
5.50%, 12/25/33 (g)(l) | 13,876 | 3,128 | ||||||
6.00%, 01/25/35 (g)(l) | 57,726 | 11,263 | ||||||
7.50%, 11/25/23 (g)(l) | 11,092 | 1,553 | ||||||
8.00%, 08/25/23 - 07/25/24 (g)(l) | 4,949 | 889 | ||||||
8.50%, 07/25/22 (g)(l) | 94 | 10 | ||||||
8.50%, 07/25/22 (g)(l)(**) | 2 | - | ||||||
9.00%, 05/25/22 (l)(g) | 81 | 8 | ||||||
Government National Mortgage Assoc. REMIC | 166,927 | 12,081 | ||||||
5.00%, 01/20/38 - 09/20/38 (g)(l) | 50,954 | 1,563 | ||||||
Government National Mortgage Assoc. REMIC 6.80% - 1 month USD LIBOR | 276,312 | 45,724 | ||||||
|
| |||||||
444,936 | ||||||||
|
| |||||||
Asset Backed - 2.6% |
| |||||||
American Express Credit Account Master Trust 2017-6 | 1,198,658 | 1,177,046 | ||||||
American Express Credit Account Master Trust 2018-1 | 495,000 | 494,188 | ||||||
BA Credit Card Trust 2017-A2 | 1,000,000 | 979,493 | ||||||
BA Credit Card Trust 2018-A1 | 432,000 | 430,788 | ||||||
Chase Funding Trust 2004-1 | 201,633 | 208,698 | ||||||
Chase Issuance Trust 2015-A4 | 650,000 | 639,063 | ||||||
Citibank Credit Card Issuance Trust 2016-A1 | 1,668,000 | 1,643,682 | ||||||
|
| |||||||
5,572,958 | ||||||||
|
| |||||||
Corporate Notes - 39.1% |
| |||||||
21st Century Fox America Inc. | 37,000 | 36,528 | ||||||
4.50%, 02/15/21 (l) | 61,000 | 63,578 | ||||||
4.75%, 11/15/46 (l) | 25,000 | 27,161 |
Principal Amount ($) | Fair Value $ | |||||||
6.65%, 11/15/37 (l) | 135,000 | 176,908 | ||||||
Abbott Laboratories | 296,000 | 292,806 | ||||||
3.75%, 11/30/26 (l) | 207,000 | 205,756 | ||||||
4.90%, 11/30/46 (l) | 123,000 | 135,339 | ||||||
AbbVie Inc. | 198,000 | 197,311 | ||||||
3.20%, 05/14/26 (l) | 148,000 | 140,741 | ||||||
4.45%, 05/14/46 (l) | 74,000 | 73,649 | ||||||
4.70%, 05/14/45 (l) | 53,000 | 54,621 | ||||||
Acadia Healthcare Company Inc. | 167,000 | 174,097 | ||||||
Activision Blizzard Inc. | 188,000 | 181,725 | ||||||
AES Corp. | 306,000 | 310,590 | ||||||
Aetna Inc. | 190,000 | 186,525 | ||||||
Aflac Inc. | 54,000 | 52,646 | ||||||
Agrium Inc. | 57,000 | 59,080 | ||||||
Alibaba Group Holding Ltd. | ||||||||
2.80%, 06/06/23 (l) | 200,000 | 193,638 | ||||||
4.00%, 12/06/37 (l) | 200,000 | 190,536 | ||||||
4.40%, 12/06/57 (l) | 200,000 | 190,054 | ||||||
Alimentation Couche-Tard Inc. 2.70%, 07/26/22 (b)(l) | 83,000 | 80,447 | ||||||
3.55%, 07/26/27 (b)(l) | 133,000 | 127,866 | ||||||
4.50%, 07/26/47 (b)(l) | 76,000 | 73,979 | ||||||
Allergan Funding SCS | 204,000 | 202,970 | ||||||
3.45%, 03/15/22 (l) | 91,000 | 90,265 | ||||||
4.55%, 03/15/35 (l) | 49,000 | 48,116 | ||||||
4.75%, 03/15/45 (l) | 28,000 | 27,410 | ||||||
Altria Group Inc. | 132,000 | 128,755 | ||||||
3.88%, 09/16/46 (l) | 4,000 | 3,731 | ||||||
4.50%, 05/02/43 (l) | 64,000 | 64,881 | ||||||
Amazon.com Inc. 2.80%, 08/22/24 (b)(l) | 93,000 | 90,154 | ||||||
3.15%, 08/22/27 (b)(l) | 46,000 | 44,391 | ||||||
3.88%, 08/22/37 (b)(l) | 47,000 | 46,774 | ||||||
4.05%, 08/22/47 (b)(l) | 63,000 | 62,804 | ||||||
4.25%, 08/22/57 (b)(l) | 78,000 | 78,123 | ||||||
AMC Networks Inc. | 10,000 | 9,575 | ||||||
American Axle & Manufacturing Inc. | 168,000 | 167,370 | ||||||
6.50%, 04/01/27 (l) | 84,000 | 83,790 | ||||||
6.63%, 10/15/22 (l) | 56,000 | 57,960 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 31 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
American Campus Communities Operating Partnership LP | 136,000 | 136,227 | ||||||
4.13%, 07/01/24 (l) | 98,000 | 98,494 | ||||||
American Express Credit Corp. 2.25%, 05/05/21 (l) | 203,000 | 197,578 | ||||||
American International Group Inc. | 163,000 | 160,951 | ||||||
6.40%, 12/15/20 (l) | 61,000 | 65,811 | ||||||
American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87%, + 3 month USD LIBOR thereafter) 5.75%, 04/01/48 (h) | 155,000 | 157,525 | ||||||
American Tower Corp. (REIT) | 78,000 | 73,090 | ||||||
3.40%, 02/15/19 (l) | 259,000 | 260,119 | ||||||
American Water Capital Corp. | 152,000 | 144,885 | ||||||
Amgen Inc. | 177,000 | 175,736 | ||||||
2.65%, 05/11/22 (l) | 171,000 | 166,793 | ||||||
3.20%, 11/02/27 (l) | 164,000 | 155,734 | ||||||
4.56%, 06/15/48 (l) | 93,000 | 94,855 | ||||||
Amkor Technology Inc. | 219,000 | 220,232 | ||||||
Anadarko Petroleum Corp. | 65,000 | 67,539 | ||||||
6.20%, 03/15/40 (l) | 95,000 | 112,306 | ||||||
6.60%, 03/15/46 (l) | 17,000 | 21,343 | ||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | 44,000 | 43,246 | ||||||
5.25%, 01/15/25 (l) | 582,000 | 591,719 | ||||||
5.50%, 10/15/19 (l) | 325,000 | 332,312 | ||||||
6.25%, 10/15/22 | 168,000 | 175,350 | ||||||
Anheuser-Busch InBev Finance Inc. | 170,000 | 168,858 | ||||||
4.70%, 02/01/36 (l) | 73,000 | 77,230 | ||||||
4.90%, 02/01/46 (l) | 138,000 | 148,379 | ||||||
Anheuser-Busch InBev Worldwide Inc. | 117,000 | 113,650 | ||||||
4.00%, 04/13/28 (c) | 209,000 | 212,053 | ||||||
4.38%, 04/15/38 (c) | 80,000 | 81,761 | ||||||
4.60%, 04/15/48 (c) | 105,000 | 108,846 | ||||||
4.75%, 04/15/58 (c) | 64,000 | 65,899 | ||||||
Anthem Inc. | 155,000 | 153,275 | ||||||
ANZ New Zealand International Ltd. | 200,000 | 194,058 |
Principal Amount ($) | Fair Value $ | |||||||
Apache Corp. | 81,000 | 83,278 | ||||||
Apple Inc. | 53,000 | 52,227 | ||||||
2.85%, 05/11/24 (l) | 171,000 | 166,708 | ||||||
3.35%, 02/09/27 (l) | 90,000 | 88,921 | ||||||
3.45%, 02/09/45 (l) | 73,000 | 67,318 | ||||||
3.85%, 08/04/46 (l) | 143,000 | 139,837 | ||||||
4.25%, 02/09/47 (l) | 90,000 | 93,937 | ||||||
Applied Materials Inc. | 115,000 | 113,004 | ||||||
4.35%, 04/01/47 (l) | 75,000 | 79,564 | ||||||
Aptiv PLC | 90,000 | 89,326 | ||||||
Aramark Services Inc. | 80,000 | 78,200 | ||||||
5.13%, 01/15/24 (l) | 172,000 | 175,440 | ||||||
Archer-Daniels-Midland Co. | 82,000 | 75,583 | ||||||
Arconic Inc. | 156,000 | 158,632 | ||||||
6.15%, 08/15/20 (l) | 75,000 | 78,844 | ||||||
Ascension Health | 52,000 | 60,089 | ||||||
AstraZeneca PLC | 45,000 | 44,308 | ||||||
3.38%, 11/16/25 (l) | 139,000 | 136,911 | ||||||
AT&T Inc. | 143,000 | 141,327 | ||||||
3.00%, 06/30/22 (l) | 103,000 | 101,121 | ||||||
3.40%, 08/14/24 (l) | 83,000 | 83,583 | ||||||
4.25%, 03/01/27 | 159,000 | 160,646 | ||||||
4.45%, 04/01/24 (l) | 133,000 | 137,356 | ||||||
4.50%, 05/15/35 (l) | 145,000 | 142,065 | ||||||
4.75%, 05/15/46 (l) | 136,000 | 132,029 | ||||||
4.80%, 06/15/44 (l) | 115,000 | 112,227 | ||||||
4.90%, 08/14/37 (l) | 94,000 | 94,938 | ||||||
5.15%, 02/14/50 (l) | 144,000 | 145,296 | ||||||
5.25%, 03/01/37 (l) | 138,000 | 145,963 | ||||||
5.30%, 08/14/58 (l) | 81,000 | 81,931 | ||||||
5.45%, 03/01/47 (l) | 118,000 | 125,472 | ||||||
Athene Holding Ltd. | 144,000 | 138,144 | ||||||
Avangrid Inc. | 251,000 | 244,080 | ||||||
Bank of America Corp. | 8,000 | 7,558 | ||||||
3.95%, 04/21/25 (l) | 171,000 | 169,413 | ||||||
4.25%, 10/22/26 (l) | 74,000 | 74,506 | ||||||
Bank of America Corp. (2.37% fixed rate until 07/21/20; 0.66% + 3 month USD LIBOR thereafter) | 144,000 | 141,428 |
See Notes to Schedules of Investments and Notes to Financial Statements.
32 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter) | 156,000 | 154,440 | ||||||
Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR thereafter) | 264,000 | 256,706 | ||||||
Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.04% + 3 month USD LIBOR thereafter) | 144,000 | 137,883 | ||||||
Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter) | 206,000 | 197,292 | ||||||
Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) | 200,000 | 203,676 | ||||||
Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR thereafter) | 52,000 | 54,225 | ||||||
Bank of America Corp. (5.40% fixed rate until 04/30/18; 3.63% + 3 month USD LIBOR thereafter) | 334,000 | 334,150 | ||||||
Barclays PLC | 200,000 | 198,302 | ||||||
4.84%, 05/09/28 (l) | 200,000 | 196,310 | ||||||
Barrick North America Finance LLC | 36,000 | 41,196 | ||||||
BAT Capital Corp. | 137,000 | 134,309 | ||||||
2.76%, 08/15/22 (l)(b) | 138,000 | 133,572 | ||||||
3.56%, 08/15/27 (l)(b) | 147,000 | 140,958 | ||||||
4.39%, 08/15/37 (l)(b) | 63,000 | 62,431 | ||||||
4.54%, 08/15/47 (l)(b) | 100,000 | 98,409 | ||||||
Baxalta Inc. | 132,000 | 130,981 | ||||||
Becton Dickinson and Co. | 123,000 | 119,298 | ||||||
3.70%, 06/06/27 (l) | 255,000 | 245,960 |
Principal Amount ($) | Fair Value $ | |||||||
3.73%, 12/15/24 (l) | 8,000 | 7,862 | ||||||
4.67%, 06/06/47 (l) | 38,000 | 38,480 | ||||||
4.69%, 12/15/44 (l) | 5,000 | 5,027 | ||||||
Berkshire Hathaway Energy Co. | 253,000 | 250,875 | ||||||
3.25%, 04/15/28 (l)(b) | 111,000 | 107,164 | ||||||
3.80%, 07/15/48 (l)(b) | 111,000 | 105,955 | ||||||
6.13%, 04/01/36 (l) | 134,000 | 171,205 | ||||||
Berry Global Inc. | 225,000 | 227,542 | ||||||
Biogen Inc. | 45,000 | 44,715 | ||||||
BNP Paribas S.A. | 58,000 | 60,999 | ||||||
BNP Paribas S.A. (5.13% fixed rate until 11/15/27; 2.84% + USD 5 year Swap Rate thereafter) | 200,000 | 184,764 | ||||||
Boston Scientific Corp. | 202,000 | 202,432 | ||||||
BP Capital Markets PLC | 211,000 | 209,728 | ||||||
3.22%, 11/28/23 (l) | 197,000 | 195,475 | ||||||
3.28%, 09/19/27 (l) | 112,000 | 108,817 | ||||||
Brighthouse Financial Inc. | 28,000 | 26,001 | ||||||
4.70%, 06/22/47 (l)(b) | 15,000 | 13,749 | ||||||
Brixmor Operating Partnership LP | 215,000 | 206,037 | ||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | 56,000 | 54,374 | ||||||
2.65%, 01/15/23 (l) | 45,000 | 42,817 | ||||||
3.13%, 01/15/25 (l) | 56,000 | 52,814 | ||||||
3.88%, 01/15/27 (l) | 45,000 | 43,792 | ||||||
Brown-Forman Corp. | 38,000 | 38,359 | ||||||
Buckeye Partners LP | 58,000 | 58,024 | ||||||
Bunge Limited Finance Corp. | 76,000 | 73,449 | ||||||
Campbell Soup Co. | 179,000 | 180,253 | ||||||
Canadian Natural Resources Ltd. | 45,000 | 44,136 | ||||||
4.95%, 06/01/47 (l) | 36,000 | 37,658 | ||||||
Canadian Pacific Railway Co. | 81,000 | 77,820 | ||||||
Capital One Financial Corp. | 136,000 | 134,616 | ||||||
Cardinal Health Inc. | 63,000 | 60,881 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 33 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
3.08%, 06/15/24 (l) | 73,000 | 69,679 | ||||||
3.41%, 06/15/27 (l) | 37,000 | 34,855 | ||||||
4.37%, 06/15/47 (l) | 31,000 | 29,324 | ||||||
Caterpillar Financial Services Corp. | 198,000 | 192,482 | ||||||
Caterpillar Inc. | 52,000 | 52,038 | ||||||
Catholic Health Initiatives | 130,000 | 130,160 | ||||||
4.35%, 11/01/42 (l) | 129,000 | 119,258 | ||||||
CBS Corp. | 93,000 | 84,359 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 157,000 | 159,747 | ||||||
Celgene Corp. | ||||||||
3.45%, 11/15/27 (l) | 7,000 | 6,647 | ||||||
4.35%, 11/15/47 (l) | 8,000 | 7,607 | ||||||
4.55%, 02/20/48 (l) | 88,000 | 86,500 | ||||||
5.00%, 08/15/45 (l) | 57,000 | 59,490 | ||||||
Cenovus Energy Inc. | 24,000 | 24,156 | ||||||
CenterPoint Energy Inc. | 137,000 | 132,646 | ||||||
CenturyLink Inc. | 300,000 | 292,890 | ||||||
Cequel Communications Holdings I LLC/Cequel Capital Corp. | 248,000 | 247,702 | ||||||
CF Industries Inc. | 151,000 | 161,004 | ||||||
Charles River Laboratories International Inc. | 95,000 | 96,306 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | 190,000 | 190,000 | ||||||
4.91%, 07/23/25 (l) | 117,000 | 119,332 | ||||||
5.38%, 05/01/47 (l) | 59,000 | 57,458 | ||||||
6.38%, 10/23/35 (l) | 27,000 | 30,065 | ||||||
6.48%, 10/23/45 (l) | 54,000 | 59,650 | ||||||
Chevron Corp. | 61,000 | 60,487 | ||||||
3.19%, 06/24/23 (l) | 136,000 | 136,283 | ||||||
Chevron Phillips Chemical Company LLC/Chevron Phillips Chemical Company LP | 325,000 | 326,365 | ||||||
Church & Dwight Company Inc. | 73,000 | 70,655 |
Principal Amount ($) | Fair Value $ | |||||||
Cigna Corp. | 152,000 | 145,376 | ||||||
3.88%, 10/15/47 (l) | 84,000 | 75,030 | ||||||
Cimarex Energy Co. | 26,000 | 25,670 | ||||||
Cinemark USA Inc. | 125,000 | 123,281 | ||||||
Cisco Systems Inc. | 254,000 | 249,331 | ||||||
Citigroup Inc. | 136,000 | 131,798 | ||||||
2.90%, 12/08/21 (l) | 194,000 | 191,144 | ||||||
4.45%, 09/29/27 (l) | 99,000 | 100,230 | ||||||
4.75%, 05/18/46 (l) | 78,000 | 79,214 | ||||||
Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) | 184,000 | 179,030 | ||||||
Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter) | 61,000 | 58,534 | ||||||
Citigroup Inc. (4.28% fixed rate until 04/24/47; 1.84% + 3 month USD LIBOR thereafter) | 202,000 | 203,786 | ||||||
CMS Energy Corp. | 194,000 | 214,166 | ||||||
CNA Financial Corp. | 82,000 | 78,007 | ||||||
5.88%, 08/15/20 (l) | 252,000 | 267,294 | ||||||
CNH Industrial Capital LLC | 94,000 | 93,765 | ||||||
4.38%, 11/06/20 (l) | 72,000 | 73,215 | ||||||
4.88%, 04/01/21 (l) | 92,000 | 94,696 | ||||||
CNH Industrial N.V. | 161,000 | 164,321 | ||||||
CNOOC Nexen Finance 2014 ULC | 233,000 | 236,616 | ||||||
Columbia Pipeline Group Inc. | 82,000 | 82,052 | ||||||
Comcast Corp. | 51,000 | 48,295 | ||||||
4.20%, 08/15/34 (l) | 133,000 | 134,204 | ||||||
4.60%, 08/15/45 (l) | 93,000 | 96,343 | ||||||
Commonwealth Bank of Australia | 202,000 | 197,586 | ||||||
Concho Resources Inc. | 66,000 | 64,535 | ||||||
4.88%, 10/01/47 (l) | 53,000 | 56,067 | ||||||
ConocoPhillips Co. | 49,000 | 48,646 |
See Notes to Schedules of Investments and Notes to Financial Statements.
34 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
5.95%, 03/15/46 (l) | 33,000 | 42,544 | ||||||
Consolidated Edison Company of New York Inc. | 136,000 | 129,906 | ||||||
Constellation Brands Inc. | 123,000 | 118,961 | ||||||
4.50%, 05/09/47 (l) | 38,000 | 37,943 | ||||||
Corning Inc. | 114,000 | 105,965 | ||||||
Corporation Andina de Fomento | 157,000 | 154,962 | ||||||
Crane Co. | 40,000 | 39,800 | ||||||
Credit Suisse AG | 353,000 | 352,876 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | 275,000 | 275,688 | ||||||
Crown Americas LLC/Crown Americas Capital Corp. VI | 50,000 | 48,315 | ||||||
CSX Corp. | 84,000 | 83,034 | ||||||
CVS Health Corp. | 159,000 | 157,474 | ||||||
3.13%, 03/09/20 | 479,000 | 480,030 | ||||||
3.35%, 03/09/21 | 480,000 | 482,947 | ||||||
3.70%, 03/09/23 | 160,000 | 161,035 | ||||||
3.88%, 07/20/25 (l) | 81,000 | 80,284 | ||||||
4.10%, 03/25/25 | 160,000 | 161,525 | ||||||
4.30%, 03/25/28 | 209,000 | 210,446 | ||||||
4.78%, 03/25/38 | 191,000 | 194,132 | ||||||
5.05%, 03/25/48 | 121,000 | 127,461 | ||||||
5.13%, 07/20/45 (l) | 60,000 | 63,869 | ||||||
D.R. Horton Inc. | 150,000 | 147,805 | ||||||
Daimler Finance North America LLC | 333,000 | 332,814 | ||||||
Dana Financing Luxembourg Sarl | 245,000 | 254,800 | ||||||
Dell International LLC/EMC Corp. | 256,000 | 257,229 | ||||||
5.45%, 06/15/23 (l)(b) | 115,000 | 121,882 | ||||||
6.02%, 06/15/26 (l)(b) | 79,000 | 85,032 | ||||||
8.10%, 07/15/36 (b) | 19,000 | 23,165 | ||||||
8.35%, 07/15/46 (l)(b) | 85,000 | 107,987 | ||||||
Deutsche Bank AG | 132,000 | 129,266 | ||||||
3.30%, 11/16/22 (l) | 155,000 | 150,798 | ||||||
Devon Energy Corp. | 305,000 | 310,527 |
Principal Amount ($) | Fair Value $ | |||||||
5.00%, 06/15/45 (l) | 74,000 | 78,586 | ||||||
Diageo Investment Corp. | 125,000 | 123,627 | ||||||
Discover Bank | 298,000 | 297,073 | ||||||
Discovery Communications LLC | 147,000 | 145,404 | ||||||
3.95%, 03/20/28 (l) | 197,000 | 188,893 | ||||||
5.00%, 09/20/37 (l) | 57,000 | 56,835 | ||||||
5.20%, 09/20/47 (l) | 27,000 | 26,911 | ||||||
Dominion Energy Inc. | 168,000 | 166,454 | ||||||
2.58%, 07/01/20 (l) | 123,000 | 121,460 | ||||||
3.63%, 12/01/24 (l) | 156,000 | 155,488 | ||||||
DTE Energy Co. | 180,000 | 165,825 | ||||||
3.85%, 12/01/23 (l) | 84,000 | 85,567 | ||||||
Duke Energy Corp. | 56,000 | 50,707 | ||||||
Duke Energy Progress LLC | 112,000 | 115,189 | ||||||
Duke Realty LP | 68,000 | 64,883 | ||||||
Duquesne Light Holdings Inc. | 72,000 | 69,268 | ||||||
Eastman Chemical Co. | 54,000 | 54,412 | ||||||
Eaton Corp. | 183,000 | 172,238 | ||||||
Ecolab Inc. | 86,000 | 83,060 | ||||||
3.95%, 12/01/47 (l)(b) | 75,000 | 72,902 | ||||||
Ecopetrol S.A. | 151,000 | 149,248 | ||||||
7.63%, 07/23/19 (l) | 61,000 | 64,512 | ||||||
Edison International | 160,000 | 161,446 | ||||||
EI du Pont de Nemours & Co. 0.53% + 3 month USD LIBOR | 141,000 | 141,903 | ||||||
Electricite de France S.A. | 392,000 | 390,153 | ||||||
Eli Lilly & Co. | 26,000 | 25,354 | ||||||
EMC Corp. | 377,000 | 362,712 | ||||||
Emera US Finance LP | 21,000 | 21,066 | ||||||
Enbridge Energy Partners LP | 28,000 | 29,459 | ||||||
Encana Corp. | 145,000 | 146,903 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 35 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
Endo Dac/Endo Finance LLC/Endo Finco Inc. | 251,000 | 247,235 | ||||||
Energy Transfer Equity LP | 585,000 | 604,012 | ||||||
Energy Transfer Partners LP | 135,000 | 146,023 | ||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 111,000 | 112,283 | ||||||
Entergy Louisiana LLC | 68,000 | 63,421 | ||||||
4.00%, 03/15/33 | 85,000 | 86,824 | ||||||
Enterprise Products Operating LLC | 121,000 | 121,817 | ||||||
4.25%, 02/15/48 (l) | 109,000 | 106,146 | ||||||
Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter) | 59,000 | 57,342 | ||||||
Envision Healthcare Corp. | 337,000 | 347,952 | ||||||
EOG Resources Inc. | 142,000 | 146,469 | ||||||
EQT Corp. | 54,000 | 52,452 | ||||||
3.90%, 10/01/27 (l) | 83,000 | 79,568 | ||||||
ERP Operating LP | 61,000 | 63,564 | ||||||
Exelon Corp. | 140,000 | 138,551 | ||||||
4.45%, 04/15/46 (l) | 106,000 | 108,487 | ||||||
Express Scripts Holding Co. | 81,000 | 76,298 | ||||||
4.80%, 07/15/46 (l) | 46,000 | 46,903 | ||||||
Exxon Mobil Corp. | 114,000 | 112,280 | ||||||
FedEx Corp. | 52,000 | 49,558 | ||||||
FirstEnergy Corp. | 28,000 | 27,464 | ||||||
4.85%, 07/15/47 (l) | 37,000 | 38,784 | ||||||
Florida Power & Light Co. | 121,000 | 125,800 | ||||||
Ford Motor Co. | 100,000 | 98,922 | ||||||
Ford Motor Credit Company LLC | 255,000 | 250,716 | ||||||
Freeport-McMoRan Inc. | 226,000 | 223,457 |
Principal Amount ($) | Fair Value $ | |||||||
Frontier Communications Corp. | 372,000 | 372,000 | ||||||
General Dynamics Corp. | 69,000 | 62,424 | ||||||
General Motors Co. | 27,000 | 26,466 | ||||||
General Motors Financial Company Inc. | 176,000 | 175,618 | ||||||
3.20%, 07/13/20 (l) | 78,000 | 77,775 | ||||||
5.25%, 03/01/26 (l) | 149,000 | 157,407 | ||||||
Georgia-Pacific LLC | 45,000 | 45,270 | ||||||
Gilead Sciences Inc. | 58,000 | 57,528 | ||||||
2.95%, 03/01/27 (l) | 49,000 | 46,484 | ||||||
3.50%, 02/01/25 (l) | 86,000 | 85,997 | ||||||
3.65%, 03/01/26 (l) | 149,000 | 149,486 | ||||||
4.15%, 03/01/47 (l) | 144,000 | 142,343 | ||||||
4.80%, 04/01/44 (l) | 62,000 | 66,902 | ||||||
Glencore Funding LLC | 314,000 | 312,882 | ||||||
Grupo Televisa SAB | 209,000 | 194,715 | ||||||
H&E Equipment Services Inc. | 20,000 | 20,150 | ||||||
Halliburton Co. | 122,000 | 122,309 | ||||||
5.00%, 11/15/45 (l) | 81,000 | 88,348 | ||||||
HCA Inc. | 450,000 | 453,375 | ||||||
Hess Corp. | 47,000 | 45,995 | ||||||
5.60%, 02/15/41 (l) | 49,000 | 50,025 | ||||||
5.80%, 04/01/47 (l) | 33,000 | 34,523 | ||||||
Hewlett Packard Enterprise Co. | 47,000 | 50,191 | ||||||
Highwoods Realty LP | 76,000 | 75,575 | �� | |||||
Hilcorp Energy I LP/Hilcorp Finance Co. | 258,000 | 255,420 | ||||||
HSBC Holdings PLC | 248,000 | 249,354 | ||||||
HSBC Holdings PLC (3.26% fixed rate until 03/13/22; 1.06% + 3 month USD LIBOR thereafter) | 200,000 | 197,748 | ||||||
HSBC Holdings PLC (6.00% fixed rate until 05/22/27; 3.75% + USD 5 year Mid-Market Swap Rate thereafter) | 220,000 | 214,390 |
See Notes to Schedules of Investments and Notes to Financial Statements.
36 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
HSBC Holdings PLC (6.50% fixed rate until 03/23/28; 3.61% + USD 5 year Mid-Market Swap Rate thereafter) | 160,000 | 164,154 | ||||||
Hyundai Capital America | 71,000 | 69,711 | ||||||
IBM Credit LLC | 485,000 | 482,425 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 226,000 | 230,661 | ||||||
Ingersoll-Rand Luxembourg Finance S.A. | 175,000 | 175,026 | ||||||
Intel Corp. | 212,000 | 200,185 | ||||||
International Business Machines Corp. | 185,000 | 188,345 | ||||||
International Paper Co. | 104,000 | 99,140 | ||||||
Interstate Power & Light Co. | 90,000 | 88,709 | ||||||
IPALCO Enterprises Inc. | 20,000 | 19,647 | ||||||
j2 Cloud Services LLC/j2 Global Co-Obligor Inc. | 135,000 | 137,869 | ||||||
Jabil Inc. | 143,000 | 138,523 | ||||||
JB Poindexter & Company Inc. | 96,000 | 99,000 | ||||||
Jefferies Group LLC | 103,000 | 108,904 | ||||||
6.50%, 01/20/43 (l) | 113,000 | 126,062 | ||||||
Johnson & Johnson | 274,000 | 264,900 | ||||||
3.63%, 03/03/37 (l) | 68,000 | 67,789 | ||||||
Johnson Controls International PLC | 49,000 | 49,809 | ||||||
JPMorgan Chase & Co. | 246,000 | 242,839 | ||||||
3.30%, 04/01/26 (l) | 167,000 | 161,516 | ||||||
3.63%, 12/01/27 (l) | 97,000 | 93,050 | ||||||
JPMorgan Chase & Co. (3.51% fixed rate until 01/23/28; 0.95% + 3 month USD LIBOR thereafter) | 194,000 | 187,753 |
Principal Amount ($) | Fair Value $ | |||||||
JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) | 168,000 | 162,760 | ||||||
JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) | 46,000 | 43,579 | ||||||
JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR thereafter) | 138,000 | 133,830 | ||||||
JPMorgan Chase & Co. (4.63% fixed rate until 11/01/22; 2.58% + 3 month USD LIBOR thereafter) | 134,000 | 127,785 | ||||||
JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) | 324,000 | 340,200 | ||||||
JPMorgan Chase & Co. (7.90% fixed rate until 04/30/18; 3.47% + 3 month USD LIBOR thereafter) | 134,000 | 134,616 | ||||||
Kinder Morgan Energy Partners LP | 161,000 | 160,982 | ||||||
6.38%, 03/01/41 (l) | 63,000 | 71,506 | ||||||
Kinder Morgan Inc. | 63,000 | 62,848 | ||||||
4.30%, 03/01/28 | 210,000 | 208,690 | ||||||
5.05%, 02/15/46 (l) | 63,000 | 61,804 | ||||||
5.55%, 06/01/45 (l) | 81,000 | 84,677 | ||||||
Kraft Heinz Foods Co. | 74,000 | 67,716 | ||||||
Lamb Weston Holdings Inc. | 234,000 | 232,245 | ||||||
Lee Enterprises Inc. | 353,000 | 367,120 | ||||||
Lennar Corp. | 176,000 | 172,814 | ||||||
4.75%, 11/29/27 (l)(b) | 147,000 | 141,120 | ||||||
Levi Strauss & Co. | 212,000 | 213,590 | ||||||
Lincoln National Corp. | 66,000 | 65,061 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 37 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
3.80%, 03/01/28 (l) | 151,000 | 149,691 | ||||||
4.35%, 03/01/48 (l) | 123,000 | 121,320 | ||||||
Lithia Motors Inc. | 48,000 | 48,000 | ||||||
Lloyds Banking Group PLC (2.91% fixed rate until 11/07/22; 0.81% + 3 month USD LIBOR thereafter) | 203,000 | 195,891 | ||||||
Lockheed Martin Corp. | 68,000 | 67,602 | ||||||
3.80%, 03/01/45 (l) | 55,000 | 51,932 | ||||||
Lowe’s Companies Inc. | 71,000 | 66,127 | ||||||
LYB International Finance BV | 48,000 | 50,197 | ||||||
LYB International Finance II BV | 65,000 | 62,449 | ||||||
Macy’s Retail Holdings Inc. | 44,000 | 35,839 | ||||||
Marathon Oil Corp. | 81,000 | 80,117 | ||||||
Marathon Petroleum Corp. | 112,000 | 111,243 | ||||||
Marsh & McLennan Companies Inc. | 146,000 | 144,864 | ||||||
Masco Corp. | 51,000 | 48,688 | ||||||
McDonald’s Corp. | 60,000 | 60,344 | ||||||
4.88%, 12/09/45 (l) | 87,000 | 94,582 | ||||||
Medtronic Inc. | 173,000 | 171,952 | ||||||
4.63%, 03/15/45 (l) | 131,000 | 143,038 | ||||||
Memorial Sloan-Kettering Cancer Center | 110,000 | 111,952 | ||||||
Merck & Company Inc. | 142,000 | 136,976 | ||||||
MetLife Inc. | 29,000 | 27,764 | ||||||
4.72%, 12/15/44 (l) | 96,000 | 102,264 | ||||||
Mexichem SAB de C.V. | 200,000 | 187,688 | ||||||
MGM Resorts International | 125,000 | 119,375 | ||||||
6.63%, 12/15/21 (l) | 348,000 | 373,787 | ||||||
Microsoft Corp. | 94,000 | 90,289 | ||||||
2.40%, 08/08/26 (l) | 87,000 | 80,978 | ||||||
3.45%, 08/08/36 (l) | 94,000 | 91,861 |
Principal Amount ($) | Fair Value $ | |||||||
3.70%, 08/08/46 (l) | 107,000 | 105,344 | ||||||
4.00%, 02/12/55 (l) | 126,000 | 127,736 | ||||||
4.10%, 02/06/37 (l) | 34,000 | 36,052 | ||||||
4.25%, 02/06/47 (l) | 21,000 | 22,615 | ||||||
4.50%, 02/06/57 (l) | 39,000 | 43,017 | ||||||
Mizuho Bank Ltd. | 523,000 | 520,656 | ||||||
Mizuho Financial Group Inc. | 231,000 | 226,303 | ||||||
Molina Healthcare Inc. | 227,000 | 211,961 | ||||||
Molson Coors Brewing Co. | 208,000 | 200,000 | ||||||
4.20%, 07/15/46 (l) | 66,000 | 62,291 | ||||||
Monsanto Co. | 30,000 | 28,834 | ||||||
Morgan Stanley | 71,000 | 70,839 | ||||||
2.63%, 11/17/21 (l) | 387,000 | 377,453 | ||||||
2.65%, 01/27/20 (l) | 69,000 | 68,546 | ||||||
2.75%, 05/19/22 (l) | 136,000 | 132,580 | ||||||
3.70%, 10/23/24 (l) | 62,000 | 61,686 | ||||||
3.95%, 04/23/27 (l) | 209,000 | 203,658 | ||||||
4.10%, 05/22/23 (l) | 155,000 | 157,489 | ||||||
5.00%, 11/24/25 | 204,000 | 214,127 | ||||||
Morgan Stanley (3.77% fixed rate until 01/24/28; 1.14% + 3 month USD LIBOR thereafter) | 244,000 | 239,735 | ||||||
Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | 81,000 | 78,976 | ||||||
MPLX LP | 87,000 | 86,121 | ||||||
4.50%, 04/15/38 (l) | 85,000 | 83,904 | ||||||
4.70%, 04/15/48 (l) | 74,000 | 72,439 | ||||||
5.20%, 03/01/47 (l) | 35,000 | 36,591 | ||||||
Murphy Oil Corp. | 558,000 | 551,025 | ||||||
Mylan Inc. | 172,000 | 172,531 | ||||||
5.20%, 04/15/48 (c)(b) | 69,000 | 69,747 | ||||||
National Retail Properties Inc. | 147,000 | 146,431 | ||||||
Navient Corp. | 302,000 | 321,630 | ||||||
Newell Brands Inc. | 77,000 | 76,792 | ||||||
4.20%, 04/01/26 (l) | 46,000 | 45,570 | ||||||
5.50%, 04/01/46 (l) | 111,000 | 117,106 | ||||||
Newmont Mining Corp. | 117,000 | 123,014 |
See Notes to Schedules of Investments and Notes to Financial Statements.
38 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
Nexen Energy ULC | 78,000 | 96,847 | ||||||
NGPL PipeCo LLC | 41,000 | 40,590 | ||||||
Noble Energy Inc. | 150,000 | 151,033 | ||||||
5.05%, 11/15/44 (l) | 29,000 | 30,276 | ||||||
Nordstrom Inc. | 6,000 | 5,626 | ||||||
Northern States Power Co. | 357,000 | 351,859 | ||||||
Northrop Grumman Corp. | 75,000 | 72,690 | ||||||
2.93%, 01/15/25 (l) | 138,000 | 132,334 | ||||||
3.25%, 01/15/28 (l) | 105,000 | 100,268 | ||||||
3.85%, 04/15/45 (l) | 32,000 | 30,028 | ||||||
4.03%, 10/15/47 (l) | 106,000 | 102,014 | ||||||
NRG Energy Inc. | 227,000 | 233,742 | ||||||
Nucor Corp. | 72,000 | 74,684 | ||||||
Occidental Petroleum Corp. | 48,000 | 48,045 | ||||||
4.20%, 03/15/48 | 90,000 | 90,791 | ||||||
Omnicom Group Inc. | 118,000 | 118,976 | ||||||
Oncor Electric Delivery Company LLC | 22,000 | 21,564 | ||||||
Oracle Corp. | 94,000 | 90,766 | ||||||
2.40%, 09/15/23 (l) | 109,000 | 104,402 | ||||||
3.25%, 11/15/27 (l) | 179,000 | 174,520 | ||||||
3.80%, 11/15/37 (l) | 51,000 | 50,292 | ||||||
4.00%, 07/15/46 - 11/15/47 (l) | 170,000 | 168,131 | ||||||
4.13%, 05/15/45 (l) | 37,000 | 37,318 | ||||||
Owens Corning | 87,000 | 80,725 | ||||||
Owens-Brockway Glass Container Inc. | 100,000 | 105,250 | ||||||
Pacific Gas & Electric Co. | 578,000 | 566,741 | ||||||
PacifiCorp | 234,000 | 304,867 | ||||||
Packaging Corporation of America | 81,000 | 77,609 | ||||||
Parker-Hannifin Corp. | 156,000 | 152,563 | ||||||
Party City Holdings Inc. | 78,000 | 79,365 | ||||||
Penske Automotive Group Inc. | 195,000 | 195,000 |
Principal Amount ($) | Fair Value $ | |||||||
PepsiCo Inc. | 84,000 | 77,308 | ||||||
Perrigo Finance Unlimited Co. | 250,000 | 248,475 | ||||||
Petroleos Mexicanos | 78,000 | 75,453 | ||||||
5.35%, 02/12/28 (l)(b) | 45,000 | 44,314 | ||||||
5.38%, 03/13/22 (l) | 89,000 | 92,657 | ||||||
5.63%, 01/23/46 (l) | 83,000 | 73,998 | ||||||
6.35%, 02/12/48 (l)(b) | 45,000 | 43,479 | ||||||
6.50%, 03/13/27 (l) | 136,000 | 145,248 | ||||||
6.75%, 09/21/47 (l) | 181,000 | 183,329 | ||||||
PetSmart Inc. | 259,000 | 186,480 | ||||||
Pfizer Inc. | 99,000 | 95,845 | ||||||
4.13%, 12/15/46 (l) | 58,000 | 59,783 | ||||||
4.40%, 05/15/44 (l) | 40,000 | 42,791 | ||||||
Philip Morris International Inc. | 117,000 | 115,790 | ||||||
Phillips 66 | 210,000 | 209,185 | ||||||
Phillips 66 Partners LP | 100,000 | 96,668 | ||||||
4.68%, 02/15/45 (l) | 81,000 | 78,896 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | 63,000 | 56,148 | ||||||
5.75%, 01/15/20 (l) | 99,000 | 102,859 | ||||||
Potash Corporation of Saskatchewan Inc. | 89,000 | 89,000 | ||||||
PPL Capital Funding Inc. | 143,000 | 135,277 | ||||||
Precision Castparts Corp. | 92,000 | 99,112 | ||||||
Prudential Financial Inc. (4.50% fixed rate until 09/15/27; 2.38% + 3 month USD LIBOR thereafter) | 66,000 | 62,958 | ||||||
Prudential Financial Inc. (5.38% fixed rate until 05/15/25; 3.03% + 3 month USD LIBOR thereafter) | 160,000 | 163,912 | ||||||
PulteGroup Inc. | 255,000 | 263,447 | ||||||
QUALCOMM Inc. | 77,000 | 73,630 | ||||||
3.00%, 05/20/22 (l) | 42,000 | 41,360 | ||||||
3.25%, 05/20/27 (l) | 12,000 | 11,382 | ||||||
4.30%, 05/20/47 (l) | 9,000 | 8,717 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 39 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
Realty Income Corp. | 107,000 | 99,422 | ||||||
Republic Services Inc. | 58,000 | 55,896 | ||||||
Rio Tinto Finance USA PLC | 82,000 | 83,561 | ||||||
Rockwell Collins Inc. | 129,000 | 124,397 | ||||||
Rogers Communications Inc. | 54,000 | 59,487 | ||||||
Royal Bank of Scotland Group PLC (3.50% fixed rate until 05/15/22; 1.48% + 3 month USD LIBOR thereafter) | 200,000 | 196,466 | ||||||
RPM International Inc. | 162,000 | 158,177 | ||||||
Ryder System Inc. | 240,000 | 238,265 | ||||||
Sabine Pass Liquefaction LLC | 90,000 | 88,654 | ||||||
5.00%, 03/15/27 (l) | 62,000 | 64,382 | ||||||
Santander Holdings USA Inc. | 248,000 | 245,108 | ||||||
4.40%, 07/13/27 | 99,000 | 98,038 | ||||||
Santander UK Group Holdings PLC | 200,000 | 201,206 | ||||||
Schlumberger Holdings Corp. | 61,000 | 60,849 | ||||||
Select Income REIT | 153,000 | 148,846 | ||||||
Sempra Energy | 136,000 | 130,425 | ||||||
3.80%, 02/01/38 (l) | 57,000 | 53,747 | ||||||
4.00%, 02/01/48 (l) | 57,000 | 53,327 | ||||||
Shell International Finance BV | 91,000 | 90,416 | ||||||
3.75%, 09/12/46 (l) | 49,000 | 47,362 | ||||||
4.13%, 05/11/35 (l) | 73,000 | 75,621 | ||||||
Shire Acquisitions Investments Ireland DAC | 22,000 | 20,998 | ||||||
3.20%, 09/23/26 (l) | 74,000 | 69,075 | ||||||
Simon Property Group LP | 136,000 | 131,292 | ||||||
Sinclair Television Group Inc. | 384,000 | 387,360 | ||||||
Smithfield Foods Inc. | 74,000 | 72,953 | ||||||
4.25%, 02/01/27 (l)(b) | 116,000 | 114,820 | ||||||
South Carolina Electric & Gas Co. | 22,000 | 21,120 |
Principal Amount ($) | Fair Value $ | |||||||
Southern California Edison Co. | 153,000 | 148,967 | ||||||
Southern Copper Corp. | 90,000 | 101,889 | ||||||
Southwestern Electric Power Co. | 120,000 | 111,295 | ||||||
Spectra Energy Partners LP | 59,000 | 55,628 | ||||||
4.50%, 03/15/45 (l) | 32,000 | 30,981 | ||||||
Sprint Corp. | 478,000 | 469,061 | ||||||
Standard Industries Inc. | 400,000 | 405,000 | ||||||
Sumitomo Mitsui Banking Corp. | 254,000 | 251,841 | ||||||
Suncor Energy Inc. | 35,000 | 34,267 | ||||||
Sunoco Logistics Partners Operations LP | 132,000 | 125,610 | ||||||
Sunoco LP/Sunoco Finance Corp. | 59,000 | 57,009 | ||||||
5.88%, 03/15/28 (l)(b) | 94,000 | 91,062 | ||||||
Sysco Corp. | 123,000 | 118,027 | ||||||
T-Mobile USA Inc. | 124,000 | 118,730 | ||||||
6.63%, 04/01/23 (l) | 272,000 | 281,003 | ||||||
Tampa Electric Co. | 160,000 | 162,915 | ||||||
Target Corp. | 149,000 | 138,253 | ||||||
Teachers Insurance & Annuity Association of America | 93,000 | 102,500 | ||||||
Teck Resources Ltd. | 133,000 | 134,330 | ||||||
Telefonica Emisiones SAU | 189,000 | 188,492 | ||||||
Tencent Holdings Ltd. | 205,000 | 199,967 | ||||||
3.60%, 01/19/28 (l)(b) | 200,000 | 192,334 | ||||||
3.93%, 01/19/38 (l)(b) | 200,000 | 190,342 | ||||||
Tenet Healthcare Corp. | 226,000 | 227,695 | ||||||
6.00%, 10/01/20 (l) | 424,000 | 438,331 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | 409,000 | 394,881 | ||||||
2.20%, 07/21/21 (l) | 64,000 | 57,644 | ||||||
The Allstate Corp. | 126,000 | 127,542 |
See Notes to Schedules of Investments and Notes to Financial Statements.
40 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) 5.75%, 08/15/53 (l)(h) | 181,000 | 190,548 | ||||||
The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter) | 174,000 | 169,215 | ||||||
The Bank of Nova Scotia (4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR thereafter) | 180,000 | 171,049 | ||||||
The Bank of Tokyo-Mitsubishi UFJ Ltd. | 200,000 | 198,996 | ||||||
The Boeing Co. | 202,000 | 199,913 | ||||||
3.55%, 03/01/38 (l) | 210,000 | 204,855 | ||||||
The Dow Chemical Co. | 138,000 | 138,498 | ||||||
The George Washington University | 84,000 | 84,968 | ||||||
The Goldman Sachs Group Inc. | 57,000 | 56,364 | ||||||
2.35%, 11/15/21 (l) | 194,000 | 187,214 | ||||||
2.63%, 04/25/21 (l) | 372,000 | 364,203 | ||||||
3.85%, 01/26/27 (l) | 228,000 | 224,756 | ||||||
4.25%, 10/21/25 (l) | 20,000 | 20,104 | ||||||
4.80%, 07/08/44 (l) | 65,000 | 69,976 | ||||||
5.15%, 05/22/45 (l) | 141,000 | 151,854 | ||||||
The Goldman Sachs Group Inc. (2.91% fixed rate until 06/05/22; 1.05% + 3 month USD LIBOR thereafter) 2.91%, 06/05/23 (l)(h) | 261,000 | 254,164 | ||||||
The Goldman Sachs Group Inc. (3.81% fixed rate until 04/23/28; 1.16% + 3 month USD LIBOR thereafter) | 194,000 | 189,862 | ||||||
The Goldman Sachs Group Inc. (4.02% fixed rate until 10/31/37; 1.37% + 3 month USD LIBOR thereafter) | 88,000 | 85,093 | ||||||
The Hartford Financial Services Group Inc. (3.96% fixed rate until 04/02/18; 2.13% + 3 month USD LIBOR thereafter) | 95,000 | 92,364 |
Principal Amount ($) | Fair Value $ | |||||||
The Home Depot Inc. | 70,000 | 69,742 | ||||||
3.50%, 09/15/56 (l) | 113,000 | 100,993 | ||||||
3.90%, 06/15/47 (l) | 100,000 | 99,251 | ||||||
The Kroger Co. | 194,000 | 192,297 | ||||||
4.65%, 01/15/48 (l) | 63,000 | 61,225 | ||||||
The Mosaic Co. | 32,000 | 33,618 | ||||||
The Nielsen Company Luxembourg Sarl | 150,000 | 148,125 | ||||||
The Sherwin-Williams Co. | 121,000 | 118,939 | ||||||
2.75%, 06/01/22 (l) | 50,000 | 48,664 | ||||||
3.45%, 06/01/27 (l) | 56,000 | 53,677 | ||||||
4.50%, 06/01/47 (l) | 38,000 | 37,937 | ||||||
The Southern Co. | 524,000 | 516,900 | ||||||
3.25%, 07/01/26 (l) | 24,000 | 22,780 | ||||||
4.40%, 07/01/46 (l) | 36,000 | 36,016 | ||||||
The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + USD 5 year Swap Rate thereafter) | 134,000 | 128,280 | ||||||
The Walt Disney Co. | 34,000 | 35,675 | ||||||
Time Warner Cable LLC | 27,000 | 23,671 | ||||||
6.55%, 05/01/37 (l) | 91,000 | 102,135 | ||||||
Time Warner Inc. | 77,000 | 82,150 | ||||||
Transcontinental Gas Pipe Line Company LLC | 95,000 | 93,116 | ||||||
Tyco Electronics Group S.A. | 266,000 | 264,581 | ||||||
3.13%, 08/15/27 (l) | 187,000 | 179,894 | ||||||
Tyson Foods Inc. | 45,000 | 44,774 | ||||||
4.55%, 06/02/47 (l) | 32,000 | 32,097 | ||||||
U.S. Bancorp (5.13% fixed rate until 01/15/21; 3.49% + 3 month USD LIBOR thereafter) | 287,000 | 294,892 | ||||||
UBS Group Funding Switzerland AG | 401,000 | 398,010 | ||||||
Union Pacific Corp. | 32,000 | 30,853 | ||||||
4.10%, 09/15/67 (l) | 53,000 | 50,960 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 41 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
United Technologies Corp. | 55,000 | 49,621 | ||||||
UnitedHealth Group Inc. | 24,000 | 26,392 | ||||||
Vale Overseas Ltd. | 37,000 | 37,891 | ||||||
6.25%, 08/10/26 (l) | 82,000 | 91,792 | ||||||
6.88%, 11/10/39 (l) | 67,000 | 79,304 | ||||||
Vale S.A. | 25,000 | 26,375 | ||||||
Valeant Pharmaceuticals International Inc. | 391,000 | 407,617 | ||||||
Valvoline Inc. | 146,000 | 141,445 | ||||||
Ventas Realty LP | 171,000 | 161,014 | ||||||
Verizon Communications Inc. | 149,000 | 146,585 | ||||||
4.40%, 11/01/34 (l) | 72,000 | 71,014 | ||||||
4.67%, 03/15/55 (l) | 94,000 | 89,346 | ||||||
4.86%, 08/21/46 (l) | 321,000 | 324,178 | ||||||
5.01%, 04/15/49 (l) | 52,000 | 53,981 | ||||||
5.25%, 03/16/37 (l) | 86,000 | 92,582 | ||||||
Viacom Inc. | 92,000 | 87,064 | ||||||
5.25%, 04/01/44 (l) | 27,000 | 27,424 | ||||||
Virgin Media Finance PLC | 439,000 | 420,342 | ||||||
Virginia Electric & Power Co. 4.00%, 11/15/46 (l) | 85,000 | 84,224 | ||||||
Visa Inc. | 45,000 | 44,237 | ||||||
4.30%, 12/14/45 (l) | 121,000 | 129,207 | ||||||
Vornado Realty LP | 86,000 | 83,248 | ||||||
Vulcan Materials Co. | 87,000 | 85,723 | ||||||
Wabtec Corp. | 147,000 | 140,754 | ||||||
Walgreens Boots Alliance Inc. 4.65%, 06/01/46 (l) | 48,000 | 46,658 | ||||||
Walmart Inc. | 71,000 | 69,121 | ||||||
WEC Energy Group Inc. | 182,000 | 180,710 | ||||||
WellCare Health Plans Inc. 5.25%, 04/01/25 (l) | 202,000 | 202,768 | ||||||
Wells Fargo & Co. | 104,000 | 100,599 | ||||||
3.90%, 05/01/45 (l) | 6,000 | 5,861 | ||||||
4.75%, 12/07/46 (l) | 162,000 | 166,097 |
Principal Amount ($) | Fair Value $ | |||||||
Wells Fargo & Co. (3.58% fixed rate until 05/22/27; 1.31% + 3 month USD LIBOR thereafter) 3.58%, 05/22/28 (l)(h) | 285,000 | 277,975 | ||||||
Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) 5.88%, 12/29/49 (l)(h) | 205,000 | 215,660 | ||||||
Wells Fargo & Co. (5.89% fixed rate until 06/15/18; 3.77% + 3 month USD LIBOR thereafter) 5.89%, 03/29/49 (l)(h) | 156,000 | 158,221 | ||||||
Wells Fargo & Co. (5.90% fixed rate until 06/15/24; 3.11% + 3 month USD LIBOR thereafter) 5.90%, 12/29/49 (l)(h) | 193,000 | 198,809 | ||||||
Wells Fargo Bank NA | 771,000 | 760,329 | ||||||
Western Digital Corp. | 100,000 | 100,055 | ||||||
Western Gas Partners LP | 38,000 | 38,009 | ||||||
5.38%, 06/01/21 (l) | 120,000 | 125,194 | ||||||
Westlake Chemical Corp. | 76,000 | 73,484 | ||||||
4.38%, 11/15/47 (l) | 41,000 | 39,561 | ||||||
5.00%, 08/15/46 (l) | 34,000 | 35,833 | ||||||
WestRock Co. | 104,000 | 99,418 | ||||||
Williams Partners LP | 50,000 | 47,825 | ||||||
3.90%, 01/15/25 (l) | 60,000 | 59,200 | ||||||
4.85%, 03/01/48 | 76,000 | 75,213 | ||||||
4.90%, 01/15/45 (l) | 49,000 | 48,530 | ||||||
5.40%, 03/04/44 (l) | 27,000 | 28,292 | ||||||
Willis North America Inc. | 144,000 | 141,634 | ||||||
WPP Finance 2010 | 118,000 | 116,291 | ||||||
Wynn Las Vegas LLC/Wynn Las Vegas Capital Corp. | 202,000 | 197,960 | ||||||
Xilinx Inc. | 99,000 | 95,095 | ||||||
XPO Logistics Inc. | 135,000 | 139,387 | ||||||
Yamana Gold Inc. | 90,000 | 88,338 | ||||||
Zoetis Inc. | 57,000 | 53,492 | ||||||
|
| |||||||
85,030,156 | ||||||||
|
|
��
See Notes to Schedules of Investments and Notes to Financial Statements.
42 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) | Fair Value $ | |||||||
Non-Agency Collateralized Mortgage Obligations - 4.1% |
| |||||||
BANK 2018-BNK10 | 156,611 | 154,071 | ||||||
BXP Trust 2017-GM | 711,000 | 703,354 | ||||||
Citigroup Commercial Mortgage Trust 2016-P6 | 1,148,803 | 1,163,947 | ||||||
4.03%, 12/10/49 (l)(h) | 345,016 | 354,286 | ||||||
COMM 2013-LC13 Mortgage Trust | 175,000 | 184,165 | ||||||
COMM 2014-CR14 Mortgage Trust | 245,000 | 259,022 | ||||||
GS Mortgage Securities Corp. II | 237,000 | 244,941 | ||||||
GS Mortgage Securities Trust 2015-GC28 | 2,787,175 | 137,375 | ||||||
GS Mortgage Securities Trust 2016-GS3 | 759,000 | 723,677 | ||||||
GS Mortgage Securities Trust 2017-GS5 | 1,830,046 | 1,852,706 | ||||||
GS Mortgage Securities Trust II 2012-GCJ9 | 739,979 | 55,020 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9 | 932,551 | 49,897 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | 125,000 | 128,042 | ||||||
LB-UBS Commercial Mortgage Trust 2004-C8 | 46,650 | 55 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6 | 133,910 | 133,830 | ||||||
6.11%, 07/15/40 (l)(h) | 68,168 | 68,111 | ||||||
MASTR Alternative Loan Trust 2003-5 | 1,366 | 1 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | 3,148,501 | 203,873 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | 3,814,382 | 184,044 |
Principal Amount ($) | Fair Value $ | |||||||
Morgan Stanley Capital I Trust 2006-IQ11 | 270,000 | 277,623 | ||||||
Morgan Stanley Capital I Trust 2006-T21 | 38,545 | 38,506 | ||||||
Morgan Stanley Capital I Trust 2007-IQ16 | 3,118 | 3,116 | ||||||
Morgan Stanley Capital I Trust 2016-UBS9 | 4,678,488 | 312,897 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 | 3,119,011 | 201,019 | ||||||
Wells Fargo Commercial Mortgage Trust 2017-RB1 | 483,093 | 488,387 | ||||||
WFRBS Commercial Mortgage Trust 2013-C17 | 240,000 | 247,689 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | 544,000 | 563,916 | ||||||
4.59%, 03/15/47 (l)(h)(b) | 275,134 | 233,164 | ||||||
|
| |||||||
8,966,734 | ||||||||
|
| |||||||
Sovereign Bonds - 0.7% |
| |||||||
Government of Chile | 200,000 | 196,406 | ||||||
Government of Colombia | 200,000 | 202,770 | ||||||
Government of Mexico | 202,000 | 192,005 | ||||||
4.75%, 03/08/44 (l) | 276,000 | 268,269 | ||||||
Government of Oman | 215,000 | 206,907 | ||||||
Government of Peru | 130,000 | 157,144 | ||||||
Government of Philippines | 200,000 | 200,604 | ||||||
Government of Uruguay | 136,268 | 141,103 | ||||||
|
| |||||||
1,565,208 | ||||||||
|
| |||||||
Municipal Bonds and Notes - 1.4% |
| |||||||
American Municipal Power Inc. | 105,000 | 136,410 | ||||||
Commonwealth of Massachusetts | 325,000 | 376,282 | ||||||
Metropolitan St. Louis Sewer District | 325,000 | 375,752 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 43 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Principal Amount ($) or Shares | Fair Value $ | |||||||
New York City Water & Sewer System | 980,000 | 1,136,692 | ||||||
Port Authority of New York & New Jersey | 475,000 | 519,792 | ||||||
State of California | 290,000 | 318,173 | ||||||
State of Illinois | 100,000 | 93,733 | ||||||
The University of Texas System | 95,000 | 90,594 | ||||||
|
| |||||||
3,047,428 | ||||||||
|
| |||||||
FNMA (TBA) - 0.0%* |
| |||||||
Lehman | 203,294 | 4,391 | ||||||
|
| |||||||
Total Bonds and Notes (Cost $214,539,223) | 213,700,716 | |||||||
|
| |||||||
Domestic Equity - 0.1% | ||||||||
Preferred Stock - 0.1%, |
| |||||||
Wells Fargo & Co. 3.09%, + 3 month USD LIBOR | 8,578 | 225,516 | ||||||
|
|
Principal Amount ($) | Fair Value $ | |||||||
Purchased Options - 0.0%* | ||||||||
10 Yr. U.S. Treasury Note Futures (Strike price 121.50 USD, expiration date 05/25/2018) | 39,000 | 23,766 | ||||||
|
| |||||||
Total Investments in Securities (Cost $214,767,153) | 213,949,998 | |||||||
|
| |||||||
Short-Term Investments - 4.9% | ||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.62%, | 10,597,836 | 10,597,836 | ||||||
|
| |||||||
Total Investments (Cost $225,364,989) | 224,547,834 | |||||||
Liabilities in Excess of Other Assets, net - (3.2)% | (6,959,268 | ) | ||||||
|
| |||||||
NET ASSETS - 100.0% | 217,588,566 | |||||||
|
|
Other Information:
Centrally Cleared Credit Default Swaps - Buy Protection
Reference Entity | Counterparty | Notional Amount (000s omitted) | Contract annual Payment | Termination Date | Market Value | Unamortized Upfront Payments Received | Unrealized Appreciation | |||||||||||||||||||
Markit CDX North America Investment Grade Index | CME Group Inc. | $ | 5,199 | 1.00%/Quarterly | 12/20/22 | $ | (96,432 | ) | $ | (103,439 | ) | $ | 7,007 | |||||||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
44 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Centrally Cleared Interest Rate Swaps
Counterparty | Notional Amount (000s omitted) | Fund Pays/ Fixed | Floating Rate | Contract annual Fixed Rate | Termination Date | Market Value | Unamortized Upfront Payments Received | Unrealized Appreciation | ||||||||||||||||||||||||
CME Group Inc. | $ | 1,546 | | Receives/ Quarterly | 3 month U.S. Dollar LIBOR | 2.62 | % | 10/16/43 | $ | 79,096 | $ | — | $ | 79,096 | ||||||||||||||||||
CME Group Inc. | $ | 588 | | Receives/ Quarterly | 3 month U.S. Dollar LIBOR | 2.65 | % | 11/07/43 | $ | 27,190 | $ | — | $ | 27,190 | ||||||||||||||||||
CME Group Inc. | $ | 947 | | Receives/ Quarterly | 3 month U.S. Dollar LIBOR | 2.67 | % | 10/24/43 | $ | 39,385 | $ | — | $ | 39,385 | ||||||||||||||||||
CME Group Inc. | $ | 2,829 | | Receives/ Quarterly | 3 month U.S. Dollar LIBOR | 2.77 | % | 01/16/44 | $ | 69,598 | $ | — | $ | 69,598 | ||||||||||||||||||
|
| |||||||||||||||||||||||||||||||
$ | 215,269 | |||||||||||||||||||||||||||||||
|
|
The Fund had the following long futures contracts open at March 31, 2018:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
Ultra Long-Term U.S. Treasury Bond Futures | June 2018 | 70 | 10,854,381 | $ | 11,232,813 | $ | 378,157 | |||||||||||||
10 Yr. U.S. Treasury Notes Futures | June 2018 | 354 | 42,458,919 | 42,883,781 | 424,862 | |||||||||||||||
5 Yr. U.S. Treasury Notes Futures | June 2018 | 64 | 7,302,901 | 7,325,500 | 22,599 | |||||||||||||||
|
| |||||||||||||||||||
$ | 825,618 | |||||||||||||||||||
|
|
The Fund had the following short futures contracts open at March 31, 2018:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
U.S. Long Bond Futures | June 2018 | 29 | (4,161,667 | ) | $ | (4,252,126 | ) | $ | (89,909 | ) | ||||||||||
2 Yr. U.S. Treasury Notes Futures | June 2018 | 26 | (5,526,611 | ) | (5,527,843 | ) | (1,232 | ) | ||||||||||||
10 Yr. U.S. Treasury Ultra Futures | June 2018 | 80 | (10,240,618 | ) | (10,388,750 | ) | (148,132 | ) | ||||||||||||
|
| |||||||||||||||||||
$ | (239,273 | ) | ||||||||||||||||||
|
| |||||||||||||||||||
$ | 586,345 | |||||||||||||||||||
|
|
The Fund had the following open Purchased Options contracts at March 31, 2018:
Purchased Options | ||||||||||||||||||||||||||||||||
Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||||
Calls | ||||||||||||||||||||||||||||||||
10 Yr. U.S. Treasury Note Futures - June 2018 | Goldman Sachs & Co. | 121.50 | 5/25/2018 | 39 | $ | 39,000 | $ | 23,766 | $ | 13,480 | $ | 10,286 |
During the period ended March 31, 2018 average notional values related to derivative contracts were as follows:
Purchased Put Options | Purchased Call Options | Written Put Options | Written Call Options | Long Futures Contracts | Short Futures Contracts | Credit Default Swap Contracts | Interest Rate Swap Contracts | |||||||||||||||||||||||||
Average Notional Value | $ | 1,288 | $ | 8,808 | $ | 13,058 | $ | 5,240 | $ | 35,222,494 | $ | 30,568,850 | $ | 5,473,019 | $ | 14,631,550 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Income Fund | 45 |
Table of Contents
State Street Institutional Income Fund
Schedule of Investments, continued — March 31, 2018 (Unaudited)
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Income Fund | Investments in Securities | |||||||||||||||||
U.S. Treasuries | $ | — | $ | 86,075,459 | $ | — | $ | 86,075,459 | ||||||||||
Agency Mortgage Backed | — | 22,993,446 | — | 22,993,446 | ||||||||||||||
Agency Collateralized Mortgage Obligations | — | 444,936 | — | 444,936 | ||||||||||||||
Asset Backed | — | 5,572,958 | — | 5,572,958 | ||||||||||||||
Corporate Notes | — | 85,030,156 | — | 85,030,156 | ||||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 8,966,734 | — | 8,966,734 | ||||||||||||||
Sovereign Bonds | — | 1,565,208 | — | 1,565,208 | ||||||||||||||
Municipal Bonds and Notes | — | 3,047,428 | — | 3,047,428 | ||||||||||||||
FNMA (TBA) | — | — | 4,391 | 4,391 | ||||||||||||||
Preferred Stock | 225,516 | — | — | 225,516 | ||||||||||||||
Purchased Options | 23,766 | — | — | 23,766 | ||||||||||||||
Short-Term Investments | 10,597,836 | — | — | 10,597,836 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 10,847,118 | $ | 213,696,325 | $ | 4,391 | $ | 224,547,834 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Credit Default Swap Contracts - Unrealized Appreciation | $ | — | $ | 7,007 | $ | — | $ | 7,007 | ||||||||||
Centrally Cleared Interest Rate Swaps - Unrealized Appreciation | — | 215,269 | — | 215,269 | ||||||||||||||
Long Futures Contracts - Unrealized Appreciation | 825,618 | — | — | 825,618 | ||||||||||||||
Short Futures Contracts - Unrealized Depreciation | (239,273 | ) | — | — | (239,273 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Other Financial Instruments | $ | 586,375 | $ | 222,276 | $ | — | $ | 808,651 | ||||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/17 | Value At 9/30/17 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 3/31/18 | Value at 3/31/18 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 14,675,624 | $ | 14,675,624 | $ | 80,580,529 | $ | 84,658,317 | $ | — | $ | — | 10,597,836 | $ | 10,597,836 | $ | 41,449 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
46 | State Street Institutional Income Fund |
Table of Contents
State Street Institutional Funds
Notes to Schedules of Investments — March 31, 2018 (Unaudited)
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Funds’ future investments and should not be construed as a recommendation to purchase or sell a particular security. See each Fund’s summary prospectus and the Funds’ statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2018, these securities amounted to $14,543,246 or 6.68% of the net assets of the State Street Institutional Income Fund. These securities have been determined to be liquid using procedures established by the State Street Institutional Funds’ Board of Trustees (the “Board”). |
(c) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future. |
(d) | Coupon amount represents effective yield. |
(e) | 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. |
(f) | Principal only security. These securities represent the right to receive the monthly principal payments on an underlying pool of mortgages. No payments of interest on the pool are passed through to the “principal only” holder. |
(g) | Interest only security. These securities represent the right to receive the monthly interest payments on an underlying pool of mortgages. Payments of principal on the pool reduce the value of the “interest only” holding. |
(h) | Variable or floating rate security. The stated rate represents the rate at March 31, 2018. |
(i) | Step coupon bond. |
(j) | Security is in default. |
(k) | Security is fair valued by the Oversight Committee, in accordance with the procedures approved by the Board. |
(l) | At March 31, 2018, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBA’s. |
† | Percentages are based on net assets as of March 31, 2018. |
* | Less than 0.05%. |
** | Less than $0.50 |
Abbreviations:
ADR - American Depositary Receipt
LIBOR - London Interbank Offerred Rate
REIT - Real Estate Investment Trust
REMIC - Real Estate Mortgage Investment Conduit
SPDR - Standard and Poor’s Depositary Receipt
STRIPS - Separate Trading of Registered Interest and Principal of Security
TBA - To Be Announced
Notes to Schedule of Investments | 47 |
Table of Contents
State Street Institutional U.S. Equity Fund
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/18† | 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 | $ | 14.95 | $ | 13.50 | $ | 14.46 | $ | 17.32 | $ | 15.59 | $ | 12.90 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.08 | * | 0.18 | * | 0.21 | * | 0.21 | * | 0.22 | * | 0.22 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.62 | * | 2.16 | * | 1.52 | * | (0.65 | )* | 2.60 | * | 2.67 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.70 | 2.34 | 1.73 | (0.44 | ) | 2.82 | 2.89 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.21 | 0.21 | 0.24 | 0.25 | 0.22 | 0.20 | ||||||||||||||||||
Net realized gains | 3.11 | 0.68 | 2.45 | 2.17 | 0.87 | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 3.32 | 0.89 | 2.69 | 2.42 | 1.09 | 0.20 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 12.33 | $ | 14.95 | $ | 13.50 | $ | 14.46 | $ | 17.32 | $ | 15.59 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 4.67 | % | 18.29 | % | 13.29 | % | (3.57 | )% | 18.88 | % | 22.76 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 450,590 | $ | 461,828 | $ | 603,060 | $ | 615,024 | $ | 836,752 | $ | 767,603 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.37 | %*** | 0.37 | % | 0.37 | % | 0.37 | % | 0.36 | %(b) | 0.36 | %(b) | ||||||||||||
Gross expenses | 0.37 | %*** | 0.37 | % | 0.37 | % | 0.37 | % | 0.36 | % | 0.36 | % | ||||||||||||
Net investment income | 1.21 | %*** | 1.29 | % | 1.61 | % | 1.32 | % | 1.36 | % | 1.60 | % | ||||||||||||
Portfolio turnover rate | 27 | % | 80 | % | 43 | % | 41 | % | 38 | % | 37 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/18† | 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 | $ | 15.77 | $ | 14.18 | $ | 15.06 | $ | 17.95 | $ | 15.96 | $ | 13.12 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.07 | * | 0.15 | * | 0.19 | * | 0.18 | * | 0.19 | * | 0.18 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.66 | * | 2.29 | * | 1.58 | * | (0.69 | )* | 2.67 | * | 2.83 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.73 | 2.44 | 1.77 | (0.51 | ) | 2.86 | 3.01 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.18 | 0.17 | 0.20 | 0.21 | — | 0.17 | ||||||||||||||||||
Net realized gains | 3.11 | 0.68 | 2.45 | 2.17 | 0.87 | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 3.29 | 0.85 | 2.65 | 2.38 | 0.87 | 0.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 13.21 | $ | 15.77 | $ | 14.18 | $ | 15.06 | $ | 17.95 | $ | 15.96 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 4.56 | % | 18.07 | % | 12.96 | % | (3.83 | )% | 18.55 | % | 23.23 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 94 | $ | 95 | $ | 95 | $ | 104 | $ | 117 | $ | 84 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.62 | %*** | 0.62 | % | 0.62 | % | 0.62 | % | 0.61 | %(b) | 0.61 | %(b) | ||||||||||||
Gross expenses | 0.62 | %*** | 0.62 | % | 0.62 | % | 0.62 | % | 0.61 | % | 0.61 | % | ||||||||||||
Net investment income | 0.94 | %*** | 1.04 | % | 1.35 | % | 1.07 | % | 1.11 | % | 1.33 | % | ||||||||||||
Portfolio turnover rate | 27 | % | 80 | % | 43 | % | 41 | % | 38 | % | 37 | % |
See Notes to Financial Highlights and Notes to Financial Statements
48 | Financial Highlights |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/18† | 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 | $ | 15.69 | $ | 14.23 | $ | 13.61 | $ | 14.96 | $ | 12.92 | $ | 10.83 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.06 | * | 0.13 | * | 0.13 | * | 0.13 | * | 0.13 | * | 0.14 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.83 | * | 2.60 | * | 1.88 | * | (0.11 | )* | 2.38 | * | 2.09 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income from investment operations | 0.89 | 2.73 | 2.01 | 0.02 | 2.51 | 2.23 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.13 | 0.12 | 0.14 | 0.13 | 0.11 | 0.14 | ||||||||||||||||||
Net realized gains | 1.00 | 1.15 | 1.25 | 1.24 | 0.36 | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 1.13 | 1.27 | 1.39 | 1.37 | 0.47 | 0.14 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 15.45 | $ | 15.69 | $ | 14.23 | $ | 13.61 | $ | 14.96 | $ | 12.92 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 5.68 | % | 21.18 | % | 15.25 | % | (0.47 | )% | 19.80 | % | 20.85 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 357,415 | $ | 360,416 | $ | 325,700 | $ | 334,227 | $ | 428,536 | $ | 369,286 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.38 | %*** | 0.38 | % | 0.38 | % | 0.38 | % | 0.37 | %(b) | 0.38 | %(b) | ||||||||||||
Gross expenses | 0.38 | %*** | 0.38 | % | 0.38 | % | 0.38 | % | 0.37 | % | 0.38 | % | ||||||||||||
Net investment income | 0.73 | %*** | 0.88 | % | 0.95 | % | 0.89 | % | 0.94 | % | 1.20 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 24 | % | 21 | % | 21 | % | 21 | % | 25 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/18† | 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 | $ | 15.48 | $ | 14.06 | $ | 13.46 | $ | 14.82 | $ | 12.80 | $ | 10.74 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.04 | * | 0.09 | * | 0.09 | * | 0.09 | * | 0.10 | * | 0.11 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.82 | * | 2.57 | * | 1.87 | * | (0.12 | )* | 2.36 | * | 2.07 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.86 | 2.66 | 1.96 | (0.03 | ) | 2.46 | 2.18 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.09 | 0.09 | 0.11 | 0.09 | 0.08 | 0.12 | ||||||||||||||||||
Net realized gains | 1.00 | 1.15 | 1.25 | 1.24 | 0.36 | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 1.09 | 1.24 | 1.36 | 1.33 | 0.44 | 0.12 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 15.25 | $ | 15.48 | $ | 14.06 | $ | 13.46 | $ | 14.82 | $ | 12.80 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 5.59 | % | 20.84 | % | 14.99 | % | (0.77 | )% | 19.56 | % | 20.49 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 15,677 | $ | 16,136 | $ | 11,547 | $ | 5,820 | $ | 3,836 | $ | 3,216 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.63 | %*** | 0.63 | % | 0.63 | % | 0.63 | % | 0.62 | %(b) | 0.63 | %(b) | ||||||||||||
Gross expenses | 0.63 | %*** | 0.63 | % | 0.63 | % | 0.63 | % | 0.62 | % | 0.63 | % | ||||||||||||
Net investment income | 0.48 | %*** | 0.62 | % | 0.67 | % | 0.61 | % | 0.69 | % | 0.93 | % | ||||||||||||
Portfolio turnover rate | 11 | % | 24 | % | 21 | % | 21 | % | 21 | % | 25 | % |
See Notes to Financial Highlights and Notes to Financial Statements
Financial Highlights | 49 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/18† | 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 | $ | 20.79 | $ | 17.96 | $ | 17.18 | $ | 19.32 | $ | 20.19 | $ | 16.80 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.02 | * | 0.05 | * | 0.04 | * | 0.03 | * | 0.01 | * | 0.07 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.41 | * | 3.42 | * | 2.79 | * | (0.08 | )* | 1.12 | * | 4.69 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.43 | 3.47 | 2.83 | (0.05 | ) | 1.13 | 4.76 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.04 | 0.04 | 0.03 | 0.02 | 0.02 | 0.07 | ||||||||||||||||||
Net realized gains | 1.79 | 0.60 | 2.02 | 2.07 | 1.98 | 1.30 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 1.83 | 0.64 | 2.05 | 2.09 | 2.00 | 1.37 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 19.39 | $ | 20.79 | $ | 17.96 | $ | 17.18 | $ | 19.32 | $ | 20.19 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 2.05 | % | 19.65 | % | 18.24 | % | (0.90 | )% | 5.61 | % | 30.57 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,396,983 | $ | 1,464,018 | $ | 1,298,789 | $ | 1,171,984 | $ | 1,264,304 | $ | 1,249,146 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.88 | %*** | 0.88 | % | 0.89 | % | 0.89 | % | 0.88 | %(b) | 0.88 | %(b) | ||||||||||||
Gross expenses | 0.88 | %*** | 0.88 | % | 0.89 | % | 0.89 | % | 0.88 | % | 0.89 | % | ||||||||||||
Net investment income | 0.22 | %*** | 0.27 | % | 0.25 | % | 0.17 | % | 0.07 | % | 0.37 | % | ||||||||||||
Portfolio turnover rate | 16 | % | 34 | % | 33 | % | 40 | % | 37 | % | 37 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/18† | 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 | $ | 20.79 | $ | 17.98 | $ | 17.21 | $ | 19.37 | $ | 20.27 | $ | 16.87 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | (0.00 | )*(c) | 0.01 | * | (0.00 | )*(c) | (0.01 | )* | (0.04 | )* | 0.02 | * | ||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.40 | * | 3.41 | * | 2.80 | * | (0.08 | )* | 1.12 | * | 4.72 | * | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.40 | 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 | 1.79 | 0.60 | 2.02 | 2.07 | 1.98 | 1.30 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 1.79 | 0.61 | 2.03 | 2.07 | 1.98 | 1.34 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 19.40 | $ | 20.79 | $ | 17.98 | $ | 17.21 | $ | 19.37 | $ | 20.27 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 1.86 | % | 19.38 | % | 17.96 | % | (1.12 | )% | 5.32 | % | 30.26 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,374 | $ | 2,373 | $ | 2,579 | $ | 1,741 | $ | 71 | $ | 87 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 1.13 | %*** | 1.13 | % | 1.14 | % | 1.14 | % | 1.13 | %(b) | 1.13 | %(b) | ||||||||||||
Gross expenses | 1.13 | %*** | 1.13 | % | 1.14 | % | 1.14 | % | 1.13 | % | 1.14 | % | ||||||||||||
Net investment income (loss) | (0.03 | )%*** | 0.03 | % | (0.00 | )%(d) | (0.07 | )% | (0.19 | )% | 0.09 | % | ||||||||||||
Portfolio turnover rate | 16 | % | 34 | % | 33 | % | 40 | % | 37 | % | 37 | % |
See Notes to Financial Highlights and Notes to Financial Statements
50 | Financial Highlights |
Table of Contents
State Street Institutional International Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/18† | 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 | $ | 13.42 | $ | 11.83 | $ | 11.41 | $ | 12.72 | $ | 12.71 | $ | 10.68 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||||||
Net investment income | 0.05 | 0.17 | * | 0.20 | * | 0.18 | * | 0.30 | * | 0.18 | * | |||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.38 | 1.63 | * | 0.40 | * | (1.15 | )* | (0.08 | )* | 2.09 | * | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.43 | 1.80 | 0.60 | (0.97 | ) | 0.22 | 2.27 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.19 | 0.21 | 0.18 | 0.34 | 0.21 | 0.24 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.19 | 0.21 | 0.18 | 0.34 | 0.21 | 0.24 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 13.66 | $ | 13.42 | $ | 11.83 | $ | 11.41 | $ | 12.72 | $ | 12.71 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 3.20 | % | 15.58 | % | 5.32 | % | (7.80 | )% | 1.69 | % | 21.57 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,190,730 | $ | 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 | % | 0.57 | % | 0.56 | % | 0.56 | %(a) | 0.56 | %(a) | ||||||||||||
Gross expenses | 0.57 | %*** | 0.57 | % | 0.57 | % | 0.56 | % | 0.56 | % | 0.56 | % | ||||||||||||
Net investment income | 0.74 | %*** | 1.40 | % | 1.73 | % | 1.38 | % | 2.29 | % | 1.57 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 30 | % | 33 | % | 26 | % | 39 | % | 47 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/18† | 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 | $ | 13.34 | $ | 11.76 | $ | 11.33 | $ | 12.62 | $ | 12.61 | $ | 10.59 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||||||
Net investment income | 0.03 | 0.14 | * | 0.17 | * | 0.08 | * | 0.26 | * | 0.15 | * | |||||||||||||
Net realized and unrealized gains/(losses) on investments | 0.38 | 1.63 | * | 0.40 | * | (1.06 | )* | (0.08 | )* | 2.07 | * | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | 0.41 | 1.77 | 0.57 | (0.98 | ) | 0.18 | 2.22 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.16 | 0.19 | 0.14 | 0.31 | 0.17 | 0.20 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.16 | 0.19 | 0.14 | 0.31 | 0.17 | 0.20 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 13.59 | $ | 13.34 | $ | 11.76 | $ | 11.33 | $ | 12.62 | $ | 12.61 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | 3.10 | % | 15.33 | % | 5.01 | % | (7.95 | )% | 1.42 | % | 21.19 | % | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 18,774 | $ | 18,687 | $ | 17,796 | $ | 19,562 | $ | 92,749 | $ | 101,204 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.82 | %*** | 0.82 | % | 0.82 | % | 0.81 | % | 0.81 | %(b) | 0.81 | %(b) | ||||||||||||
Gross expenses | 0.82 | %*** | 0.82 | % | 0.82 | % | 0.81 | % | 0.81 | % | 0.81 | % | ||||||||||||
Net investment income | 0.49 | %*** | 1.14 | % | 1.45 | % | 0.63 | % | 2.03 | % | 1.31 | % | ||||||||||||
Portfolio turnover rate | 13 | % | 30 | %�� | 33 | % | 26 | % | 39 | % | 47 | % |
See Notes to Financial Highlights and Notes to Financial Statements
Financial Highlights | 51 |
Table of Contents
State Street Institutional Income Fund
Financial Highlights
Selected data based on a share outstanding throughout the periods indicated
Investment Class | ||||||||||||||||||||||||
3/31/18† | 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 | $ | 9.52 | $ | 9.67 | $ | 9.45 | $ | 9.51 | $ | 9.34 | $ | 10.01 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.12 | * | 0.24 | * | 0.26 | * | 0.25 | 0.26 | 0.21 | |||||||||||||||
Net realized and unrealized gains/(losses) on investments | (0.23 | ) | (0.15 | )* | 0.31 | * | (0.05 | ) | 0.17 | (0.32 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | (0.11 | ) | 0.09 | 0.57 | 0.20 | 0.43 | (0.11 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.12 | 0.23 | 0.26 | 0.26 | 0.26 | 0.21 | ||||||||||||||||||
Net realized gains | 0.06 | 0.01 | 0.09 | — | — | 0.35 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.18 | 0.24 | 0.35 | 0.26 | 0.26 | 0.56 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 9.23 | $ | 9.52 | $ | 9.67 | $ | 9.45 | $ | 9.51 | $ | 9.34 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | (1.17 | )% | 0.98 | % | 6.18 | % | 2.05 | % | 4.61 | % | (1.13 | )% | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 217,505 | $ | 220,157 | $ | 298,908 | $ | 291,252 | $ | 322,946 | $ | 341,603 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.25 | %*** | 0.24 | % | 0.24 | % | 0.23 | % | 0.23 | %(b) | 0.21 | %(b) | ||||||||||||
Gross expenses | 0.25 | %*** | 0.24 | % | 0.24 | % | 0.23 | % | 0.23 | % | 0.23 | % | ||||||||||||
Net investment income | 2.66 | %*** | 2.56 | % | 2.79 | % | 2.65 | % | 2.73 | % | 2.21 | % | ||||||||||||
Portfolio turnover rate | 104 | % | 326 | % | 219 | % | 297 | % | 308 | % | 348 | % | ||||||||||||
Service Class | ||||||||||||||||||||||||
3/31/18† | 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 | $ | 9.73 | $ | 9.89 | $ | 9.66 | $ | 9.72 | $ | 9.55 | $ | 10.23 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||||||
Net investment income | 0.12 | 0.22 | * | 0.25 | * | 0.23 | 0.24 | 0.19 | ||||||||||||||||
Net realized and unrealized gains/(losses) on investments | (0.23 | ) | (0.16 | )* | 0.31 | * | (0.05 | ) | 0.17 | (0.33 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total income/(loss) from investment operations | (0.11 | ) | 0.06 | 0.56 | 0.18 | 0.41 | (0.14 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less distributions from: |
| |||||||||||||||||||||||
Net investment income | 0.11 | 0.21 | 0.24 | 0.24 | 0.24 | 0.19 | ||||||||||||||||||
Net realized gains | 0.06 | 0.01 | 0.09 | — | — | 0.35 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | 0.17 | 0.22 | 0.33 | 0.24 | 0.24 | 0.54 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net asset value, end of period | $ | 9.45 | $ | 9.73 | $ | 9.89 | $ | 9.66 | $ | 9.72 | $ | 9.55 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total return(a) | (1.13 | )% | 0.65 | % | 5.95 | % | 1.81 | % | 4.32 | % | (1.40 | )% | ||||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 84 | $ | 90 | $ | 181 | $ | 248 | $ | 327 | $ | 316 | ||||||||||||
Ratios to average net assets: |
| |||||||||||||||||||||||
Net expenses | 0.50 | %*** | 0.49 | % | 0.49 | % | 0.48 | % | 0.48 | %(b) | 0.46 | %(b) | ||||||||||||
Gross expenses | 0.50 | %*** | 0.49 | % | 0.49 | % | 0.48 | % | 0.48 | % | 0.48 | % | ||||||||||||
Net investment income | 2.40 | %*** | 2.28 | % | 2.58 | % | 2.40 | % | 2.47 | % | 2.00 | % | ||||||||||||
Portfolio turnover rate | 104 | % | 326 | % | 219 | % | 297 | % | 308 | % | 348 | % |
See Notes to Financial Highlights and Notes to Financial Statements
52 | Financial Highlights |
Table of Contents
State Street Institutional Funds
Notes to Financial Highlights
(a) | Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. |
(b) | Includes contractual management fee waiver related to the Fund’s investments in the GE Institutional Money Market Fund (the “Money Market Fund”). The fee waiver agreement was terminated effective June 30, 2014 with the closure of the Money Market Fund. |
(c) | Less than $0.005. |
(d) | Less than 0.005%. |
† | Unaudited. |
* | Per share values have been calculated using the average share method. |
** | Beginning with the year ended September 30, 2016, the Funds were audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
*** | Annualized for periods less than one year. |
See Notes to Financial Highlights and Notes to Financial Statements
Financial Highlights | 53 |
Table of Contents
State Street Institutional Funds
Statements of Assets and Liabilities — March 31, 2018 (Unaudited)
State Street Institutional U.S. Equity Fund | State Street Institutional Premier Growth Equity Fund | State Street Institutional | ||||||||||
Assets | ||||||||||||
Investments in securities, at fair value (cost $355,868,756; $251,061,982; $1,007,261,237; $941,057,203; and $214,767,153, respectively) | $ | 434,333,875 | $ | 363,113,327 | $ | 1,325,590,534 | ||||||
Short-term affiliated investments, at fair value | 16,313,395 | 10,828,948 | 76,011,292 | |||||||||
Cash | 155,100 | 88,707 | 157,232 | |||||||||
Cash collateral on deposit with broker for future contracts | 132,987 | — | 2,221,479 | |||||||||
Foreign currency (cost $0; $0; $0; $1,215,331; and $0, respectively) | — | — | — | |||||||||
Receivable for investments sold | 7,380,131 | — | 2,143,081 | |||||||||
Income receivables | 265,831 | 106,410 | 985,439 | |||||||||
Receivable for fund shares sold | 1,091 | 255,199 | 1,865 | |||||||||
Income receivable from affiliated investments | 15,127 | 15,128 | 82,203 | |||||||||
Receivable for centrally cleared swaps | — | — | — | |||||||||
Receivable for accumulated variation margin on futures | — | 25,313 | — | |||||||||
Other assets | 31,905 | 22,274 | 87,003 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 458,629,442 | 374,455,307 | 1,407,280,128 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Distribution payable to shareholders | — | — | — | |||||||||
Net cash collateral on futures contracts due to broker | — | 42,920 | — | |||||||||
Net cash collateral on swap contracts due to broker | — | — | — | |||||||||
Payable for investments purchased | 7,790,324 | 904,273 | 5,884,068 | |||||||||
Payable for fund shares redeemed | — | 292,969 | 490,245 | |||||||||
Payable for accumulated variation margin on futures | 7,738 | — | 488,123 | |||||||||
Payable to the Adviser | 147,946 | 120,613 | 1,060,487 | |||||||||
Distribution and service fees | 21 | 3,440 | 509 | |||||||||
Accrued foreign capital gains tax | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 7,946,029 | 1,364,215 | 7,923,432 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 450,683,413 | $ | 373,091,091 | $ | 1,399,356,696 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in | $ | 357,937,840 | $ | 244,614,980 | $ | 1,019,952,486 | ||||||
Undistributed (distributions in excess of) net investment income | 1,282,005 | 419,925 | 771,863 | |||||||||
Accumulated net realized gain (loss) | 13,006,308 | 15,979,693 | 60,791,500 | |||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||
Unaffiliated Investments | 78,465,119 | 112,051,345 | 318,329,297 | |||||||||
Futures | (7,859 | ) | 25,148 | (488,450 | ) | |||||||
Swap contracts | — | — | — | |||||||||
Foreign currency related transactions | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 450,683,413 | $ | 373,091,091 | $ | 1,399,356,696 | ||||||
|
|
|
|
|
| |||||||
Investment Class: | ||||||||||||
Net Assets | $ | 450,589,796 | $ | 357,414,549 | $ | 1,396,982,602 | ||||||
Shares outstanding ($0.001 par value, unlimited shares authorized) | 36,538,959 | 23,126,849 | 72,051,051 | |||||||||
Net asset value, offering and redemption price per share | $ | 12.33 | $ | 15.45 | $ | 19.39 | ||||||
Service Class: | ||||||||||||
Net Assets | $ | 93,617 | $ | 15,676,542 | $ | 2,374,094 | ||||||
Shares outstanding ($0.001 par value, unlimited shares authorized) | 7,088 | 1,028,082 | 122,354 | |||||||||
Net asset value, offering and redemption price per share | $ | 13.21 | $ | 15.25 | $ | 19.40 |
The accompanying Notes are an integral part of these financial statements.
54 | Statements of Assets and Liabilities |
Table of Contents
State Street Institutional International Equity Fund | State Street Institutional Income Fund | |||||
$ | 1,165,550,562 | $ | 213,949,999 | |||
39,652,079 | 10,597,836 | |||||
— | — | |||||
1,683,885 | — | |||||
1,204,606 | — | |||||
2,624,252 | 9,753,908 | |||||
4,803,283 | 1,398,340 | |||||
— | 120,224 | |||||
56,645 | 11,402 | |||||
— | 117,104 | |||||
— | 587,555 | |||||
74,592 | 14,107 | |||||
|
|
|
| |||
1,215,649,904 | 236,550,475 | |||||
|
|
|
| |||
— | 310 | |||||
— | 472,161 | |||||
— | 38,735 | |||||
4,493,325 | 8,255,117 | |||||
809,547 | 10,152,940 | |||||
103,853 | — | |||||
579,710 | 42,629 | |||||
4,005 | 17 | |||||
155,335 | — | |||||
|
|
|
| |||
6,145,775 | 18,961,909 | |||||
|
|
|
| |||
$ | 1,209,504,129 | $ | 217,588,566 | |||
|
|
|
| |||
$ | 1,199,550,439 | $ | 222,169,028 | |||
4,475,394 | 1,458,626 | |||||
(218,781,642 | ) | (6,030,555 | ) | |||
224,338,024 | (817,154 | ) | ||||
(103,906 | ) | 586,345 | ||||
— | 222,276 | |||||
25,820 | — | |||||
|
|
|
| |||
$ | 1,209,504,129 | $ | 217,588,566 | |||
|
|
|
| |||
$ | 1,190,730,140 | $ | 217,504,529 | |||
87,163,946 | 23,552,869 | |||||
$ | 13.66 | $ | 9.23 | |||
$ | 18,773,989 | $ | 84,037 | |||
1,381,577 | 8,896 | |||||
$ | 13.59 | $ | 9.45 |
The accompanying Notes are an integral part of these financial statements.
Statements of Assets and Liabilities | 55 |
Table of Contents
State Street Institutional Funds
Statements of Operations — For the period ended March 31, 2018 (Unaudited)
State Street Institutional U.S. Equity Fund | State Street Institutional Premier Growth Equity Fund | State Street Institutional Small-Cap Equity Fund | ||||||||||
Investment Income | ||||||||||||
Income | ||||||||||||
Dividend | $ | 3,690,405 | $ | 2,024,856 | $ | 7,526,956 | ||||||
Interest | — | 96 | 3,406 | |||||||||
Income from affiliated investments | 68,817 | 74,646 | 493,007 | |||||||||
Less: Foreign taxes withheld | — | — | (24,954 | ) | ||||||||
Dividend Income — Non-Cash Transactions | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Total income | 3,759,222 | 2,099,598 | 7,998,415 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Advisory and administration fees | 870,096 | 704,652 | 6,373,175 | |||||||||
Distribution and service fees | ||||||||||||
Service Class | 129 | 20,539 | 2,996 | |||||||||
Trustees’ fees | 20,379 | 11,769 | 49,129 | |||||||||
Other expenses | 635 | 157 | 2,822 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before waiver | 891,239 | 737,117 | 6,428,122 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 891,239 | 737,117 | 6,428,122 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | $ | 2,867,983 | $ | 1,362,481 | $ | 1,570,293 | ||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments |
| |||||||||||
Realized gain (loss) on: | ||||||||||||
Unaffiliated investments | $ | 17,304,776 | $ | 20,360,247 | $ | 80,870,615 | ||||||
Futures | 83,026 | 19,490 | 2,489,419 | |||||||||
Written options | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency transactions | — | — | — | |||||||||
Increase (decrease) in unrealized appreciation/depreciation on: | ||||||||||||
Unaffiliated investments | 1,644,193 | (460,786 | ) | (51,834,560 | ) | |||||||
Futures | (9,312 | ) | 84,674 | (1,396,438 | ) | |||||||
Swap contracts | — | — | — | |||||||||
Foreign currency translations | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | 19,022,683 | 20,003,625 | 30,129,036 | |||||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 21,890,666 | $ | 21,366,106 | $ | 31,699,329 | ||||||
|
|
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
56 | Statements of Operations |
Table of Contents
State Street Institutional International Equity Fund | State Street Institutional Income Fund | |||||
$ | 7,131,636 | $ | 15,860 | |||
— | 2,995,234 | |||||
223,539 | 41,449 | |||||
(781,054 | ) | — | ||||
1,559,345 | — | |||||
|
|
|
| |||
8,133,466 | 3,052,543 | |||||
|
|
|
| |||
3,484,004 | 253,428 | |||||
23,896 | 109 | |||||
41,952 | 9,585 | |||||
3,110 | 529 | |||||
|
|
|
| |||
3,552,962 | 263,651 | |||||
|
|
|
| |||
3,552,962 | 263,651 | |||||
|
|
|
| |||
$ | 4,580,504 | $ | 2,788,892 | |||
|
|
|
| |||
$ | 22,976,653 | $ | (1,482,123 | ) | ||
884,943 | (410,075 | ) | ||||
— | 133,098 | |||||
— | (213,959 | ) | ||||
(261,940 | ) | — | ||||
11,192,080 | (3,709,307 | ) | ||||
(127,303 | ) | 540,598 | ||||
— | 250,935 | |||||
27,584 | — | |||||
|
|
|
| |||
34,692,017 | (4,890,833 | ) | ||||
|
|
|
| |||
$ | 39,272,521 | $ | (2,101,941 | ) | ||
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Operations | 57 |
Table of Contents
State Street Institutional Funds
Statements of Changes in Net Assets
State Street Institutional U.S. Equity Fund | State Street Institutional Premier Growth Equity Fund | |||||||||||||||
Six Months Ended March 31, 2018* | Year Ended September 30, | Six Months Ended March 31, 2018* | Year Ended September 30, | |||||||||||||
Increase (Decrease) in Net Assets |
| |||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 2,867,983 | $ | 7,448,228 | $ | 1,362,481 | $ | 3,072,120 | ||||||||
Net realized gain (loss) on investments, futures, written options, swap contracts and foreign currency transactions | 17,387,802 | 100,382,739 | 20,379,737 | 19,997,844 | ||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, swap contracts and foreign currency translations | 1,634,881 | (9,635,178 | ) | (376,112 | ) | 45,291,327 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from operations | 21,890,666 | 98,195,789 | 21,366,106 | 68,361,291 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders from: |
| |||||||||||||||
Net investment income | ||||||||||||||||
Investment Class | (6,572,944 | ) | (9,204,143 | ) | (2,852,911 | ) | (2,724,978 | ) | ||||||||
Service Class | (1,235 | ) | (1,169 | ) | (94,980 | ) | (70,521 | ) | ||||||||
Net realized gains | ||||||||||||||||
Investment Class | (95,402,571 | ) | (29,586,080 | ) | (22,328,049 | ) | (25,871,980 | ) | ||||||||
Service Class | (21,619 | ) | (4,600 | ) | (1,028,427 | ) | (929,074 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (101,998,369 | ) | (38,795,992 | ) | (26,304,367 | ) | (29,596,553 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in assets from operations and distributions | (80,107,703 | ) | 59,399,797 | (4,938,261 | ) | 38,764,738 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Share transactions: |
| |||||||||||||||
Proceeds from sale of shares | ||||||||||||||||
Investment Class | 10,518,519 | 23,678,745 | 20,769,257 | 39,338,252 | ||||||||||||
Service Class | 16,622 | 5,590 | 1,009,638 | 4,552,728 | ||||||||||||
Value of distributions reinvested | ||||||||||||||||
Investment Class | 101,485,174 | 38,322,600 | 23,561,689 | 28,436,763 | ||||||||||||
Service Class | 22,854 | 5,769 | 1,123,407 | 999,595 | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Investment Class | (43,152,675 | ) | (262,621,887 | ) | (42,611,092 | ) | (70,298,092 | ) | ||||||||
Service Class | (22,607 | ) | (22,343 | ) | (2,375,602 | ) | (2,489,023 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 68,867,887 | (200,631,526 | ) | 1,477,298 | 540,223 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | (11,239,816 | ) | (141,231,729 | ) | (3,460,963 | ) | 39,304,961 | |||||||||
Net Assets | ||||||||||||||||
Beginning of period | 461,923,229 | 603,154,958 | 376,552,055 | 337,247,094 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 450,683,413 | $ | 461,923,229 | $ | 373,091,091 | $ | 376,552,055 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distributions in excess of) net investment income, end of period | $ | 1,282,005 | $ | 4,988,201 | $ | 419,925 | $ | 2,005,335 | ||||||||
Changes in Fund Shares | ||||||||||||||||
Investment Class | ||||||||||||||||
Shares sold | 773,545 | 1,688,791 | 1,304,271 | 2,742,967 | ||||||||||||
Issued for distributions reinvested | 8,224,082 | 2,925,389 | 1,535,964 | 2,218,156 | ||||||||||||
Shares redeemed | (3,347,803 | ) | (18,404,658 | ) | (2,683,935 | ) | (4,875,026 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in fund shares | 5,649,824 | (13,790,478 | ) | 156,300 | 86,097 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Service Class | ||||||||||||||||
Shares sold | 1,035 | 370 | 64,155 | 316,632 | ||||||||||||
Issued for distributions reinvested | 1,727 | 417 | 74,152 | 78,895 | ||||||||||||
Shares redeemed | (1,715 | ) | (1,474 | ) | (152,609 | ) | (174,546 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in fund shares | 1,047 | (687 | ) | (14,302 | ) | 220,981 | ||||||||||
|
|
|
|
|
|
|
|
* | Unaudited. |
The accompanying Notes are an integral part of these financial statements.
58 | Statements of Changes in Net Assets |
Table of Contents
State Street Institutional Small-Cap Equity Fund | State Street Institutional International Equity Fund | State Street Institutional Income Fund | ||||||||||||||||||||
Six Months Ended March 31, 2018* | Year Ended September 30, | Six Months Ended March 31, 2018* | Year Ended September 30, | Six Months Ended March 31, 2018* | Year Ended September 30, | |||||||||||||||||
$ | 1,570,293 | $ | 3,730,825 | $ | 4,580,504 | $ | 17,165,969 | $ | 2,788,892 | $ | 6,815,962 | |||||||||||
| 83,360,034 |
| 113,221,299 | 23,599,656 | 586,795 | (1,973,059 | ) | (1,737,551 | ) | |||||||||||||
| (53,230,998 | ) | 132,749,651 | 11,092,361 | 160,903,177 | (2,917,774 | ) | (3,361,479 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
31,699,329 | 249,701,775 | 39,272,521 | 178,655,941 | (2,101,941 | ) | 1,716,932 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(2,669,268 | ) | (2,814,987 | ) | (16,515,359 | ) | (21,670,619 | ) | (2,747,764 | ) | (6,369,455 | ) | |||||||||||
— | (1,191 | ) | (224,900 | ) | (280,973 | ) | (1,036 | ) | (2,161 | ) | ||||||||||||
(124,304,783 | ) | (43,363,389 | ) | — | — | (1,299,582 | ) | (396,332 | ) | |||||||||||||
(203,189 | ) | (83,248 | ) | — | — | (529 | ) | (134 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(127,177,240 | ) | (46,262,815 | ) | (16,740,259 | ) | (21,951,592 | ) | (4,048,911 | ) | (6,768,082 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| (95,477,911 | ) | 203,438,960 | 22,532,262 | 156,704,349 | (6,150,852 | ) | (5,051,150 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
46,625,384 | 70,119,922 | 22,357,372 | 45,554,141 | 49,068,576 | 36,633,790 | |||||||||||||||||
151,457 | 435,295 | 301,648 | 220,946 | 140 | 3,243 | |||||||||||||||||
126,017,253 | 46,178,377 | 16,514,923 | 21,670,123 | 4,047,317 | 6,679,291 | |||||||||||||||||
203,189 | 84,438 | 224,900 | 280,973 | 1,565 | 2,294 | |||||||||||||||||
(144,356,413 | ) | (154,152,789 | ) | (84,076,567 | ) | (245,913,305 | ) | (49,619,810 | ) | (117,017,251 | ) | |||||||||||
(197,103 | ) | (1,081,378 | ) | (794,184 | ) | (1,880,348 | ) | (5,089 | ) | (93,066 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
28,443,767 | (38,416,135 | ) | (45,471,908 | ) | (180,067,470 | ) | 3,492,699 | (73,791,699 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
| (67,034,144 | ) | 165,022,825 | (22,939,646 | ) | (23,363,121 | ) | (2,658,153 | ) | (78,842,849 | ) | |||||||||||
1,466,390,840 | 1,301,368,015 | 1,232,443,775 | 1,255,806,896 | 220,246,719 | 299,089,568 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,399,356,696 | $ | 1,466,390,840 | $ | 1,209,504,129 | $ | 1,232,443,775 | $ | 217,588,566 | $ | 220,246,719 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 771,863 |
| $ | 1,870,838 | $ | 4,475,394 | $ | 16,635,149 | $ | 1,458,626 | $ | 1,418,534 | ||||||||||
2,313,379 | 3,635,977 | 1,606,603 | 3,670,675 | 5,291,661 | 3,872,839 | |||||||||||||||||
6,509,156 | 2,430,441 | 1,223,328 | 1,919,409 | 431,241 | 707,546 | |||||||||||||||||
(7,179,243 | ) | (7,961,615 | ) | (6,095,676 | ) | (19,831,129 | ) | (5,304,825 | ) | (12,353,748 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
1,643,292 | (1,895,197 | ) | (3,265,745 | ) | (14,241,045 | ) | 418,077 | (7,773,363 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
7,628 | 22,804 | 22,059 | 18,410 | 15 | 339 | |||||||||||||||||
10,479 | 4,435 | 16,734 | 24,975 | 163 | 238 | |||||||||||||||||
(9,874 | ) | (56,588 | ) | (57,597 | ) | (155,864 | ) | (536 | ) | (9,626 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
8,233 | (29,349 | ) | (18,804 | ) | (112,479 | ) | (358 | ) | (9,049 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Changes in Net Assets | 59 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements — March 31, 2018 (Unaudited)
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 five investment funds (each, a “Fund” and collectively, the “Funds”): State Street Institutional U.S. Equity Fund, State Street Institutional Premier Growth Equity Fund, State Street Institutional Small-Cap Equity Fund, State Street Institutional International Equity 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 of the Trust (the “Board”). 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. |
• | 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 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. |
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• | 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 the 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 SSGA Funds Management, Inc. (“SSGA FM”) 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.
A “significant event” is an event that the Board believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund’s portfolio securities to no longer reflect their value at the time of the Fund’s net asset value calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Board. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy. At March 31, 2018, the independent fair value service was used for certain foreign securities in the State Street Institutional International Equity Fund, and these securities were classified within Level 2 of the fair value hierarchy.
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 March 31, 2018 is disclosed in each 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 State Street Institutional International Equity Fund had transfers from Level 1 to Level 2 during the period ended March 31, 2018, in the
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amount of $1,060,444,844. At March 31, 2018, these investments were valued using the independent fair value service. At September 30, 2017, these were valued at exchange closing prices. No other Funds had material transfers between levels for the six-month period ended March 31, 2018.
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.
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 March 31, 2018, 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 Certain Funds may transact 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. A Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to such purchase commitments, a Fund identifies 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.
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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.
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 The Funds may enter into futures contracts to meet the Funds’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, a Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by a Fund 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. A Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
During the six-month period ended March 31, 2018, 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 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 Income Fund | Management of Interest Rate Risk |
Options on Futures Contracts The Funds may purchase and write options, including options on exchanged traded 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. A Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts.
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 a Fund 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.
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During the six-month period ended March 31, 2018, the State Street Institutional Income Fund purchased and wrote options in order to manage interest rate risk.
Credit Default Swaps During the six-month period ended March 31, 2018, the State Street Institutional Income Fund engaged in credit default swaps to manage credit risk. When the Fund is the buyer in a credit default swap contract, the 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, the Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund loses its investment and recovers nothing. However, if a credit event occurs, the Fund receives full notional value for a referenced debt obligation that may have little or no value. When the 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, the 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 the Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the 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 the Fund for the same referenced obligation.
As the seller, the Fund may create economic leverage to its portfolio because, in addition to its total net assets, the 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. The 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. The 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. The 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 the Fund had invested in the referenced debt obligation directly. If the Fund is a buyer of a credit default swap and no credit event occurs, the Fund will not earn any return on its investment. If the Fund is a seller of a credit default swap, the Fund’s risk of loss may be the entire notional amount of the swap. Swaps may also subject the 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.
Interest Rate Swaps Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest, such as an exchange of fixed rate payments for floating rate payments.
During the period ended March 31, 2018, the State Street Institutional Income Fund entered into interest rate swaps in order to manage exposure to interest rates.
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The following tables summarize the value of the Funds’ derivative instruments as of March 31, 2018 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 | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 25,313 | $ | — | $ | 25,313 | ||||||||||||
State Street Institutional Income Fund | ||||||||||||||||||||||||
Futures Contracts | 827,129 | — | — | — | — | 827,129 | ||||||||||||||||||
Swap Contracts(a) | 215,269 | — | 7,007 | — | — | 222,276 | ||||||||||||||||||
Purchased Options Contracts(b) | 10,286 | — | — | — | — | 10,286 |
(a) | Unrealized appreciation on swap contracts is included in receivable for centrally cleared swaps. |
(b) | Included in net unrealized appreciation (depreciation) on investments. |
Liability Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Institutional U.S. Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (7,738 | ) | $ | — | $ | (7,738 | ) | ||||||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | (488,123 | ) | — | (488,123 | ) | ||||||||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | (103,853 | ) | — | (103,853 | ) | ||||||||||||||||
State Street Institutional Income Fund | ||||||||||||||||||||||||
Futures Contracts | (239,572 | ) | — | — | — | — | (239,572 | ) |
Net Realized Gain (Loss)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Institutional U.S. Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 83,026 | $ | — | $ | 83,026 | ||||||||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | 19,490 | — | 19,490 | ||||||||||||||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | 2,489,419 | — | 2,489,419 | ||||||||||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | 884,943 | — | 884,943 | ||||||||||||||||||
State Street Institutional Income Fund | ||||||||||||||||||||||||
Futures Contracts | (410,075 | ) | — | — | — | — | (410,075 | ) | ||||||||||||||||
Swap Contracts | 31,857 | — | (245,816 | ) | — | — | (213,959 | ) | ||||||||||||||||
Purchased Option Contracts(a) | (160,300 | ) | — | — | — | — | (160,300 | ) | ||||||||||||||||
Written Option Contracts | 133,098 | — | — | — | — | 133,098 |
(a) | Included in net realized gain (loss) from investments. |
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Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Institutional U.S. Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (9,312 | ) | $ | — | $ | (9,312 | ) | ||||||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | 84,674 | — | 84,674 | ||||||||||||||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | (1,396,438 | ) | — | (1,396,438 | ) | ||||||||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | (127,303 | ) | — | (127,303 | ) | ||||||||||||||||
State Street Institutional Income Fund | ||||||||||||||||||||||||
Futures Contracts | 540,598 | — | — | — | — | 540,598 | ||||||||||||||||||
Swap Contracts | — | — | 250,935 | — | — | 250,935 | ||||||||||||||||||
Purchased Option Contracts(b) | 10,286 | — | — | — | — | 10,286 |
(b) | Included in net unrealized appreciation (depreciation) from investments. |
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 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 Income Fund | First $25 million | 0.35 | % | |||
Next $25 million | 0.30 | % | ||||
Next $50 million | 0.25 | % | ||||
Over $100 million | 0.20 | % |
Distribution and Shareholder Servicing Fees The Funds have adopted a Shareholder Servicing and Distribution Plan (the “Plan”) pursuant to Rule 12b-1 under the 1940 Act with respect to the Service Class shares of each Fund. Each Fund pays State Street Global Advisors Funds Distributors, LLC (“SSGA FD”), 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.
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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 six-month period ended March 31, 2018 are disclosed in the Schedules of Investments.
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 Bank and Trust Company 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 six-month period ended, March 31, 2018 were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | — | $ | — | $ | 126,435,184 | $ | 160,087,413 | ||||||||
State Street Institutional Premier Growth Equity Fund | — | — | 41,303,340 | 65,851,784 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | — | — | 224,281,767 | 314,574,771 | ||||||||||||
State Street Institutional International Equity Fund | — | — | 157,516,457 | 195,595,129 | ||||||||||||
State Street Institutional Income Fund | 172,481,987 | 165,761,931 | 43,705,458 | 45,804,624 |
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 it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
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.
As of March 31, 2018, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Fund | Cost of Investments for Tax Purposes | Gross Tax Appreciation | Gross Tax Depreciation | Net Tax Appreciation/ (Depreciation) | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | 374,767,584 | $ | 84,064,708 | $ | 8,192,881 | $ | 75,871,827 | ||||||||
State Street Institutional Premier Growth Equity Fund | 262,669,938 | 121,554,158 | 10,256,673 | 111,297,485 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | 1,091,838,163 | 365,407,176 | 56,131,963 | 309,275,213 | ||||||||||||
State Street Institutional International Equity Fund | 996,252,928 | 233,651,397 | 24,805,590 | 208,845,807 | ||||||||||||
State Street Institutional Income Fund | 226,284,957 | 1,811,568 | 2,740,070 | (928,502 | ) |
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9. | Line of Credit |
The Funds and other affiliated funds (each, a “Participant” and collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2018 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operation expenses. 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 12, 2017, the Participants participated in a $360 million revolving credit facility.
The Funds had no outstanding loans as of March 31, 2018.
10. | Risks |
Concentration Risk As a result of a Fund’s ability to invest a large percentage of its 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 a Fund’s investments more than if a Fund was 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 a Fund invests. Foreign markets may be less liquid than 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, a Fund trades financial instruments and enters 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 a Fund has unsettled or open transactions defaults.
11. | Recent Accounting Pronouncement |
In March 2017, the Financial Accounting Standards Board (FASB) issued Accounting Standards Update (“ASU”) No. 2017-08, Receivables — Nonrefundable Fees and Other Costs (Subtopic 310-20): Premium Amortization on Purchased Callable Debt Securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.
12. | 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.
68 | Notes to Financial Statements |
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State Street Institutional Funds
Proxy Voting Policies and Procedures and Record
The Funds have adopted the proxy voting policies of SSGA FM. A description of the policies and procedures that the Funds have adopted to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-242-0134, (ii) on the Funds’ website at http://www.ssga.com/geam, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how the Funds voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-800-242-0134 (toll free), or (2) on the website of the SEC at www.sec.gov.
Quarterly Portfolio Schedule
The Funds will file their complete schedules of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Funds’ semi-annual and annual financial statements. The Funds’ Forms N-Q is available (i) without charge, upon request, by calling 1-800-242-013, (ii) on the Funds’ website at http://www.ssga.com/geam, (iii) on the SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.
Other Information | 69 |
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Trustees
John R. Costantino, Chairman
R. Sheldon Johnson
Donna M. Rapaccioli
Jeanne M. La Porta
Officers
Jeanne M. La Porta, President
Arthur Jensen, Treasurer
Brian Harris, Chief Compliance Officer and Anti-Money Laundering Officer
Bruce S. Rosenberg, Assistant Treasurer
Ann M. Carpenter, Assistant Treasurer
Chad C. Hallett, Assistant Treasurer
Darlene Anderson-Vasquez, Assistant Treasurer
Daniel G. Plourde, Assistant Treasurer
Jesse Hallee, Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
1600 Summer Street
P.O. Box 7900
Stamford, CT 06904-7900
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, MA 02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
State Street Institutional Funds State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 |
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Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
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.
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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 Registrant’s principal executive officer and principal financial officer have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective 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 Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Registrant’s last fiscal quarter of the period covered by this Form N-CSR filing that have materially affected, or are reasonably likely to materially affect, the Registrant’s internal control over financial reporting.
Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable.
(b) Not applicable.
Item 13. Exhibits.
(a)(1) | Not applicable; this Form N-CSR is a Semi-Annual Report. |
(a)(2) | Certifications of principal executive officer and principal financial and accounting officer of the Registrant as required by Rule 30a-2(a) under the 1940 Act are attached hereto. |
(a)(3) | Not applicable to the Registrant. |
(a)(4) | Not applicable. |
(b) | Certifications of principal executive officer and principal financial and accounting officer of the Registrant 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 (Principal Executive Officer) |
Date: May 21, 2018
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: May 21, 2018
By: | /s/ Arthur A. Jensen | |
Arthur A. Jensen | ||
Treasurer (Principal Financial Officer) |
Date: May 21, 2018