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)
Joshua A. Weinberg, Esq. Managing Director and Managing Counsel c/o SSGA Funds Management, Inc. One Iron Street Boston, Massachusetts 02210 (Name and Address of Agent for Service) | Copy to:
David Hearth, Esq. Paul Hastings LLP 101 California Street, 48th Floor San Francisco, California 94111 |
Registrant’s telephone number, including area code: 800-242-0134
Date of fiscal year end: September 30
Date of reporting period: September 30, 2018
Table of Contents
Item 1. Shareholder Report.
Table of Contents
Annual Report
September 30, 2018
State Street Institutional Funds
Table of Contents
State Street Institutional Funds
Annual Report
September 30, 2018
Page | ||||
Notes to Performance | 1 | |||
Manager Reviews and Schedules of Investments | ||||
2 | ||||
10 | ||||
16 | ||||
28 | ||||
State Street Active Core Bond Fund (formerly, State Street Institutional Income Fund) | 34 | |||
Financial Statements | ||||
58 | ||||
64 | ||||
66 | ||||
68 | ||||
Notes to Financial Statements | 70 | |||
Report of Independent Registered Public Accounting Firm | 81 | |||
Other Information | 82 |
This report has been prepared for shareholders and may be distributed to others only if accompanied with a current prospectus and/or summary prospectus.
Table of Contents
State Street Institutional Funds
Notes to Performance — September 30, 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.
The S&P 500® Index of stocks (“S&P 500 Index”) is an unmanaged market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure of large-cap U.S. stock market performance.
The Russell 1000® Growth Index measures the performance of the large-cap growth segment of the U.S. equity universe. It includes companies in the Russell 1000® Index with higher price-to-book ratios and higher forecasted growth values. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership.
The Russell 2000® Index is a market capitalization-weighted index consisting of 2,000 of the smallest U.S.-domiciled publicly traded common stocks that are included in the Russell 3000® Index. The Russell 3000® Index is comprised of the 3,000 largest U.S.-domiciled companies.
The Morgan Stanley Capital International Europe, Australasia, and Far East Index (“MSCI® EAFE® Index”) is a market capitalization-weighted index of equity securities of companies domiciled in various countries. The MSCI® EAFE® Index is designed to represent the performance of developed stock markets outside the U.S. and Canada and excludes certain market segments unavailable to U.S. based investors.
The Morgan Stanley Capital International All Country World Index Ex-U.S. (“MSCI® ACWI Ex-U.S. Index”) is a market capitalization-weighted index designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The MSCI® ACWI Ex-U.S. Index includes both developed and emerging markets.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged market value-weighted index of taxable investment grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. The Bloomberg Barclays U.S. Aggregate Bond Index is designed to represent performance of the U.S. investment-grade fixed rate bond market.
The results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect fees, expenses, or taxes. As such, index returns do not reflect the actual cost of investing in the instruments that comprise an index.
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. (“SSGA FM” or the (“Adviser”)) for investment advisory and administrative services.
Notes to Performance | 1 |
Table of Contents
State Street Institutional U.S. Equity Fund
Management Discussion of Fund Performance — September 30, 2018 (Unaudited)
The State Street Institutional U.S. Equity Fund (the “Fund”) seeks to provide long-term growth of capital by investing primarily in equity securities of U.S. companies. The Fund’s benchmark is the S&P 500 Index (the “Index”).
For the 12-month period ended September 30, 2018 (the “Reporting Period”), the total return for the Fund’s Investment Class was 16.72%, for the Fund’s Service Class was 16.35% and for the Index was 17.91%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Narrow sector leadership, a strong momentum market for growth stocks and mixed stock selection were primary drivers of Fund performance during the Reporting Period relative to the Index. While the Fund enjoyed strong absolute returns in excess of 16%, it modestly lagged the Index. In the past 12 months, momentum-driven technology and internet stocks have dominated a narrow market, disadvantaging a diversified core fund like the State Street Institutional U.S. Equity Fund. The Fund employs a valuation discipline that included lightening up on outperforming technology and Internet names as they reached full value, (e.g., Amazon, Apple, Visa and Salesforce.com) and underweighting some of the most expensive areas of the market (e.g., Netflix as it doubled) which pressured returns. Some individual holdings pressured results, including Newell Brands — which was eliminated as our conviction in its turnaround waned. In the technology sector, momentum didn’t favor attractively-valued Applied Materials, and this semiconductor capital equipment stock detracted from returns. However, we maintained a differentiated view that semiconductor cycles are becoming more muted, due to secular growth in chip demand driven by artificial intelligence, internet-of-things, smart cars, smart homes and factory automation. Stock selection also lagged within health care, including Allergan and Alexion, although we believed the selling was overdone and added to these two positions. Despite the 12-month underperformance, in 2018 calendar year-to-date health care has become a key contributor to performance with relative strength in Boston Scientific and Johnson & Johnson. A bright spot was positive stock selection within financials, including CME, Charles Schwab and JP Morgan Chase.
The Fund used E-Mini S&P 500 Futures in order to equitize cash during the Reporting Period. The Fund’s use of futures created a neutral impact to Fund performance relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Amazon.com Inc., Microsoft Corp. and Apple Inc. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Newell Brands, Inc., Applied Materials Inc. and Alexion Pharmaceuticals.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
2 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Performance Summary — September 30, 2018 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of U.S. companies, such as common and preferred stocks.
Top Ten Largest Holdings
as of September 30, 2018 (as a % of Fair Value) (a)(b)
Microsoft Corp. | 4.30 | % | ||
Apple Inc. | 3.95 | % | ||
Amazon.com Inc. | 3.91 | % | ||
Visa Inc., Class A | 3.35 | % | ||
JPMorgan Chase & Co. | 3.13 | % | ||
Alphabet Inc., Class A | 2.62 | % | ||
PepsiCo Inc. | 2.18 | % | ||
Mondelez International Inc., Class A | 1.72 | % | ||
The Walt Disney Co. | 1.66 | % | ||
Applied Materials Inc. | 1.64 | % |
Sector Allocation as of September 30, 2018
Portfolio composition as a % of Fair Value of $522,379 (in thousands) as of September 30, 2018 (a)(b)
Average Annual Total Return for the periods ended September 30, 2018
Investment Class Shares (Inception date: 11/25/97)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional U.S. Equity Fund | 16.72 | % | 12.39 | % | 10.84 | % | $ | 27,985 | ||||||||
S&P 500 Index | 17.91 | % | 13.95 | % | 11.97 | % | $ | 30,962 |
Service Class Shares (Inception date: 1/3/01)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional U.S. Equity Fund | 16.35 | % | 12.09 | % | 10.71 | % | $ | 27,654 | ||||||||
S&P 500 Index | 17.91 | % | 13.95 | % | 11.97 | % | $ | 30,962 |
State Street Institutional U.S. Equity Fund | 3 |
Table of Contents
State Street Institutional U.S. Equity Fund
Performance Summary, continued — September 30, 2018 (Unaudited)
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
4 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 April 1, 2018 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2018 | $ | 1,115.20 | $ | 1,023.20 | ||||
Expenses paid during the period* | $ | 1.96 | $ | 1.88 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period April 1, 2018 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2018 | $ | 1,112.80 | $ | 1,022.00 | ||||
Expenses paid during the period* | $ | 3.28 | $ | 3.14 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.37% for Investment Class shares and 0.62% for Service Class shares (for the period April 1, 2018-September 30, 2018), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
State Street Institutional U.S. Equity Fund | 5 |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments — September 30, 2018
Number of Shares | Fair $ | |||||||
Common Stock - 95.8%† | ||||||||
Aerospace & Defense - 1.6% |
| |||||||
General Dynamics Corp. | 10,316 | 2,111,892 | ||||||
Hexcel Corp. | 20,159 | 1,351,661 | ||||||
Raytheon Co. | 14,611 | 3,019,509 | ||||||
The Boeing Co. | 4,450 | 1,654,955 | ||||||
|
| |||||||
8,138,017 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.5% |
| |||||||
FedEx Corp. | 4,937 | 1,188,780 | ||||||
United Parcel Service Inc., Class B | 13,483 | 1,574,141 | ||||||
|
| |||||||
2,762,921 | ||||||||
|
| |||||||
Airlines - 0.3% |
| |||||||
Alaska Air Group Inc. | 12,932 | 890,498 | ||||||
JetBlue Airways Corp. (a) | 27,709 | 536,446 | ||||||
|
| |||||||
1,426,944 | ||||||||
|
| |||||||
Application Software - 1.6% |
| |||||||
Adobe Systems Inc. (a) | 7,231 | 1,952,009 | ||||||
Intuit Inc. | 7,628 | 1,734,607 | ||||||
salesforce.com Inc. (a) | 31,163 | 4,955,852 | ||||||
|
| |||||||
8,642,468 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 0.4% |
| |||||||
BlackRock Inc. | 4,221 | 1,989,484 | ||||||
|
| |||||||
Auto Parts & Equipment - 0.3% |
| |||||||
Aptiv PLC | 19,940 | 1,672,966 | ||||||
|
| |||||||
Automotive Retail - 0.3% |
| |||||||
AutoZone Inc. (a) | 2,363 | 1,832,979 | ||||||
|
| |||||||
Biotechnology - 4.2% |
| |||||||
Alexion Pharmaceuticals Inc. (a) | 15,667 | 2,177,870 | ||||||
Biogen Inc. (a) | 22,628 | 7,994,699 | ||||||
Gilead Sciences Inc. | 110,825 | 8,556,798 | ||||||
Vertex Pharmaceuticals Inc. (a) | 18,095 | 3,487,630 | ||||||
|
| |||||||
22,216,997 | ||||||||
|
| |||||||
Building Products - 0.3% |
| |||||||
Allegion PLC | 17,537 | 1,588,326 | ||||||
|
| |||||||
Cable & Satellite - 1.8% |
| |||||||
Charter Communications Inc., Class A (a) | 19,446 | 6,337,063 | ||||||
Comcast Corp., Class A | 92,054 | 3,259,632 | ||||||
|
| |||||||
9,596,695 | ||||||||
|
| |||||||
Communications Equipment - 0.7% |
| |||||||
Cisco Systems Inc. | 71,156 | 3,461,739 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Construction Materials - 0.1% |
| |||||||
Vulcan Materials Co. | 3,117 | 346,610 | ||||||
|
| |||||||
Consumer Finance - 0.4% |
| |||||||
American Express Co. | 21,209 | 2,258,546 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 3.9% |
| |||||||
Mastercard Inc., Class A | 13,605 | 3,028,609 | ||||||
Visa Inc., Class A | 116,444 | 17,477,080 | ||||||
|
| |||||||
20,505,689 | ||||||||
|
| |||||||
Diversified Banks - 4.5% |
| |||||||
Bank of America Corp. | 190,119 | 5,600,906 | ||||||
JPMorgan Chase & Co. | 144,890 | 16,349,387 | ||||||
U.S. Bancorp | 27,654 | 1,460,408 | ||||||
|
| |||||||
23,410,701 | ||||||||
|
| |||||||
Diversified Chemicals - 0.6% |
| |||||||
DowDuPont Inc. | 52,998 | 3,408,301 | ||||||
|
| |||||||
Electric Utilities - 1.3% |
| |||||||
American Electric Power Company Inc. | 15,613 | 1,106,650 | ||||||
Duke Energy Corp. | 4,759 | 380,815 | ||||||
Edison International | 8,780 | 594,231 | ||||||
Exelon Corp. | 38,899 | 1,698,330 | ||||||
NextEra Energy Inc. | 15,332 | 2,569,643 | ||||||
PG&E Corp. | 13,001 | 598,176 | ||||||
|
| |||||||
6,947,845 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.5% |
| |||||||
Emerson Electric Co. | 25,041 | 1,917,640 | ||||||
Rockwell Automation Inc. | 3,805 | 713,513 | ||||||
|
| |||||||
2,631,153 | ||||||||
|
| |||||||
Electronic Components - 1.2% |
| |||||||
Corning Inc. | 172,487 | 6,088,791 | ||||||
|
| |||||||
Environmental & Facilities Services - 0.2% |
| |||||||
Republic Services Inc. | 11,396 | 828,033 | ||||||
|
| |||||||
Fertilizers & Agricultural Chemicals - 0.2% |
| |||||||
The Mosaic Co. | 26,417 | 858,024 | ||||||
|
| |||||||
Financial Exchanges & Data - 1.7% |
| |||||||
CME Group Inc. | 35,719 | 6,079,731 | ||||||
S&P Global Inc. | 15,646 | 3,057,072 | ||||||
|
| |||||||
9,136,803 | ||||||||
|
| |||||||
Footwear - 0.7% |
| |||||||
NIKE Inc., Class B | 42,042 | 3,561,798 | ||||||
|
|
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 — September 30, 2018
Number of Shares | Fair $ | |||||||
General Merchandise Stores - 0.3% |
| |||||||
Dollar Tree Inc. (a) | 18,061 | 1,472,875 | ||||||
|
| |||||||
Gold - 0.1% |
| |||||||
Newmont Mining Corp. | 11,902 | 359,440 | ||||||
|
| |||||||
Healthcare Distributors - 0.3% |
| |||||||
Henry Schein Inc. (a) | 20,408 | 1,735,292 | ||||||
|
| |||||||
Healthcare Equipment - 1.7% |
| |||||||
Boston Scientific Corp. (a) | 134,069 | 5,161,657 | ||||||
Hologic Inc. (a) | 23,129 | 947,826 | ||||||
Medtronic PLC | 29,115 | 2,864,043 | ||||||
|
| |||||||
8,973,526 | ||||||||
|
| |||||||
Healthcare Services - 0.3% |
| |||||||
DaVita Inc. (a) | 22,313 | 1,598,280 | ||||||
|
| |||||||
Healthcare Supplies - 0.4% |
| |||||||
The Cooper Companies Inc. | 6,764 | 1,874,643 | ||||||
|
| |||||||
Home Improvement Retail - 0.7% |
| |||||||
The Home Depot Inc. | 17,792 | 3,685,613 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 0.3% |
| |||||||
Marriott International Inc., Class A | 11,194 | 1,477,944 | ||||||
|
| |||||||
Household Products - 0.8% |
| |||||||
The Procter & Gamble Co. | 47,795 | 3,977,978 | ||||||
|
| |||||||
Hypermarkets & Super Centers - 0.3% |
| |||||||
Walmart Inc. | 15,638 | 1,468,565 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders - 0.1% |
| |||||||
NRG Energy Inc. | 8,978 | 335,777 | ||||||
|
| |||||||
Industrial Conglomerates - 1.1% |
| |||||||
Honeywell International Inc. | 21,060 | 3,504,384 | ||||||
Roper Technologies Inc. | 7,740 | 2,292,665 | ||||||
|
| |||||||
5,797,049 | ||||||||
|
| |||||||
Industrial Gases - 0.4% |
| |||||||
Air Products & Chemicals Inc. | 11,468 | 1,915,729 | ||||||
|
| |||||||
Industrial Machinery - 2.4% |
| |||||||
Ingersoll-Rand PLC | 61,424 | 6,283,675 | ||||||
Xylem Inc. | 75,650 | 6,042,166 | ||||||
|
| |||||||
12,325,841 | ||||||||
|
| |||||||
Insurance Brokers - 0.3% |
| |||||||
Marsh & McLennan Companies Inc. | 17,211 | 1,423,694 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Integrated Oil & Gas - 2.5% |
| |||||||
Chevron Corp. | 67,696 | 8,277,867 | ||||||
Exxon Mobil Corp. | 59,757 | 5,080,540 | ||||||
|
| |||||||
13,358,407 | ||||||||
|
| |||||||
Integrated Telecommunication Services - 0.6% |
| |||||||
AT&T Inc. | 32,743 | 1,099,510 | ||||||
Verizon Communications Inc. | 42,077 | 2,246,491 | ||||||
|
| |||||||
3,346,001 | ||||||||
|
| |||||||
Interactive Home Entertainment - 0.5% |
| |||||||
Activision Blizzard Inc. | 17,062 | 1,419,388 | ||||||
Electronic Arts Inc. (a) | 8,669 | 1,044,528 | ||||||
|
| |||||||
2,463,916 | ||||||||
|
| |||||||
Interactive Media & Services - 5.7% |
| |||||||
Alphabet Inc., Class A (a) | 11,329 | 13,675,009 | ||||||
Alphabet Inc., Class C (a) | 6,249 | 7,457,994 | ||||||
Facebook Inc., Class A (a) | 52,061 | 8,561,952 | ||||||
|
| |||||||
29,694,955 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 4.6% |
| |||||||
Amazon.com Inc. (a)(j) | 10,188 | 20,406,564 | ||||||
Booking Holdings Inc. (a) | 1,778 | 3,527,552 | ||||||
|
| |||||||
23,934,116 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 1.1% |
| |||||||
The Charles Schwab Corp. | 119,396 | 5,868,313 | ||||||
|
| |||||||
IT Consulting & Other Services - 0.7% |
| |||||||
Accenture PLC, Class A | 9,371 | 1,594,944 | ||||||
International Business Machines Corp. | 13,364 | 2,020,771 | ||||||
|
| |||||||
3,615,715 | ||||||||
|
| |||||||
Life & Health Insurance - 0.3% |
| |||||||
Prudential Financial Inc. | 14,763 | 1,495,787 | ||||||
|
| |||||||
Life Sciences Tools & Services - 0.5% |
| |||||||
IQVIA Holdings Inc. (a) | 16,432 | 2,131,888 | ||||||
Thermo Fisher Scientific Inc. | 2,341 | 571,391 | ||||||
|
| |||||||
2,703,279 | ||||||||
|
| |||||||
Managed Healthcare - 2.0% |
| |||||||
Cigna Corp. | 11,067 | 2,304,703 | ||||||
Humana Inc. | 5,831 | 1,973,910 | ||||||
UnitedHealth Group Inc. | 22,547 | 5,998,404 | ||||||
|
| |||||||
10,277,017 | ||||||||
|
| |||||||
Movies & Entertainment - 2.3% |
| |||||||
Netflix Inc. (a) | 8,306 | 3,107,524 |
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 U.S. Equity Fund
Schedule of Investments, continued — September 30, 2018
Number of Shares | Fair $ | |||||||
The Walt Disney Co. | 74,328 | 8,691,916 | ||||||
|
| |||||||
11,799,440 | ||||||||
|
| |||||||
Multi-Line Insurance - 0.3% |
| |||||||
American International Group Inc. | 14,158 | 753,772 | ||||||
The Hartford Financial Services Group Inc. | 16,645 | 831,584 | ||||||
|
| |||||||
1,585,356 | ||||||||
|
| |||||||
Multi-Sector Holdings - 1.1% |
| |||||||
Berkshire Hathaway Inc., Class B (a) | 27,936 | 5,981,377 | ||||||
|
| |||||||
Multi-Utilities - 1.0% |
| |||||||
Dominion Energy Inc. | 10,803 | 759,235 | ||||||
Sempra Energy | 38,624 | 4,393,480 | ||||||
|
| |||||||
5,152,715 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services - 1.3% |
| |||||||
Schlumberger Ltd. | 114,666 | 6,985,453 | ||||||
|
| |||||||
Oil & Gas Exploration & Production - 1.8% |
| |||||||
Concho Resources Inc. (a) | 10,290 | 1,571,798 | ||||||
ConocoPhillips | 24,913 | 1,928,266 | ||||||
Diamondback Energy Inc. | 37,412 | 5,057,728 | ||||||
EOG Resources Inc. | 8,405 | 1,072,226 | ||||||
|
| |||||||
9,630,018 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing - 0.3% |
| |||||||
Valero Energy Corp. | 14,804 | 1,683,955 | ||||||
|
| |||||||
Packaged Foods & Meats - 2.0% |
| |||||||
Mondelez International Inc., Class A | 209,380 | 8,994,965 | ||||||
The Kraft Heinz Co. | 23,188 | 1,277,891 | ||||||
|
| |||||||
10,272,856 | ||||||||
|
| |||||||
Pharmaceuticals - 4.6% |
| |||||||
Allergan PLC | 41,729 | 7,948,540 | ||||||
Elanco Animal Health Inc. (a) | 9,877 | 344,608 | ||||||
Johnson & Johnson | 51,999 | 7,184,702 | ||||||
Mylan N.V. (a) | 92,564 | 3,387,842 | ||||||
Pfizer Inc. | 123,954 | 5,462,653 | ||||||
|
| |||||||
24,328,345 | ||||||||
|
| |||||||
Property & Casualty Insurance - 0.8% |
| |||||||
Chubb Ltd. | 30,597 | 4,088,983 | ||||||
|
| |||||||
Railroads - 0.5% |
| |||||||
Union Pacific Corp. | 17,475 | 2,845,454 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Regional Banks - 1.4% |
| |||||||
First Republic Bank | 77,420 | 7,432,320 | ||||||
|
| |||||||
Restaurants - 0.8% |
| |||||||
McDonald’s Corp. | 26,200 | 4,382,998 | ||||||
|
| |||||||
Semiconductor Equipment - 1.8% |
| |||||||
Applied Materials Inc. | 221,535 | 8,562,328 | ||||||
Lam Research Corp. | 5,758 | 873,488 | ||||||
|
| |||||||
9,435,816 | ||||||||
|
| |||||||
Semiconductors - 2.6% |
| |||||||
Broadcom Inc. | 34,066 | 8,405,104 | ||||||
Intel Corp. | 40,885 | 1,933,452 | ||||||
NVIDIA Corp. | 11,090 | 3,116,512 | ||||||
|
| |||||||
�� | 13,455,068 | |||||||
|
| |||||||
Soft Drinks - 2.2% |
| |||||||
PepsiCo Inc. | 101,991 | 11,402,594 | ||||||
|
| |||||||
Specialized REITs - 3.0% |
| |||||||
American Tower Corp. | 49,895 | 7,249,743 | ||||||
Equinix Inc. | 12,631 | 5,467,834 | ||||||
Extra Space Storage Inc. | 34,013 | 2,946,886 | ||||||
|
| |||||||
15,664,463 | ||||||||
|
| |||||||
Specialty Chemicals - 0.9% |
| |||||||
Albemarle Corp. | 34,463 | 3,438,718 | ||||||
PPG Industries Inc. | 11,577 | 1,263,398 | ||||||
|
| |||||||
4,702,116 | ||||||||
|
| |||||||
Specialty Stores - 0.5% |
| |||||||
Ulta Salon Cosmetics & Fragrance Inc. (a) | 8,879 | 2,504,944 | ||||||
|
| |||||||
Steel - 0.1% |
| |||||||
Steel Dynamics Inc. | 6,302 | 284,787 | ||||||
|
| |||||||
Systems Software - 5.4% |
| |||||||
Microsoft Corp. | 196,451 | 22,468,101 | ||||||
Oracle Corp. | 73,262 | 3,777,389 | ||||||
Proofpoint Inc. (a) | 6,398 | 680,299 | ||||||
ServiceNow Inc. (a) | 6,114 | 1,196,082 | ||||||
|
| |||||||
28,121,871 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 3.9% |
| |||||||
Apple Inc. | 91,454 | 20,644,826 | ||||||
|
| |||||||
Tobacco - 0.5% |
| |||||||
Philip Morris International Inc. | 33,374 | 2,721,316 | ||||||
|
| |||||||
Trading Companies & Distributors - 1.2% |
| |||||||
United Rentals Inc. (a) | 39,004 | 6,381,054 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
8 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — September 30, 2018
Number of Shares | Fair $ | |||||||
Wireless Telecommunication Services - 0.2% |
| |||||||
T-Mobile US Inc. (a) | 14,344 | 1,006,662 | ||||||
|
| |||||||
Total Common Stock (Cost $385,719,809) | 500,986,369 | |||||||
|
| |||||||
Short-Term Investments - 4.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 2.01% | 21,393,075 | 21,393,075 | ||||||
|
| |||||||
Total Investments (Cost $407,112,884) |
| 522,379,444 | ||||||
Other Assets and Liabilities, net - 0.1% |
| 383,140 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| 522,762,584 | ||||||
|
|
Other Information:
The Fund had the following long futures contracts open at September 30, 2018:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
S&P 500 Emini Index Futures | December 2018 | 55 | $ | 8,003,958 | $ | 8,027,250 | $ | 23,292 | ||||||||||||
|
|
During the period ended September 30, 2018, average notional value related to long and short futures contracts was $5,395,513 or 1.00% of net assets and $331,741 or 0.1% of net assets, respectively.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of September 30, 2018.
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional U.S. Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 500,986,369 | $ | — | $ | — | $ | 500,986,369 | ||||||||||
Short-Term Investments | 21,393,075 | — | — | 21,393,075 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 522,379,444 | $ | — | $ | — | $ | 522,379,444 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 23,292 | $ | — | $ | — | $ | 23,292 | ||||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/17 | Value At 9/30/17 | Cost of Purchases | Proceeds Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/18 | Value at 9/30/18 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 12,521,534 | $ | 12,521,534 | $ | 115,325,152 | $ | 106,453,611 | $ | — | $ | — | 21,393,075 | $ | 21,393,075 | $ | 232,535 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional U.S. Equity Fund | 9 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Management Discussion of Fund Performance — September 30, 2018 (Unaudited)
The State Street Institutional Premier Growth Equity Fund (the “Fund”) seeks to provide long-term growth of capital and future income by investing primarily in equity securities of large and medium sized companies. The Fund’s benchmarks are the S&P 500 Index and the Russell 1000 Growth Index (the “Indices”).
For the 12-month period ended September 30, 2018 (the “Reporting Period”), the total return for the Fund’s Investment Class was 19.64% and for the Fund’s Service Class was 19.37%, and the S&P 500 Index and the Russell 1000 Growth Index returned 17.91% and 26.30%, respectively. The Fund and Indices returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Indices are unmanaged and do not reflect fees and expenses of any kind, which would have a negative impact on returns.
While the Fund outperformed the S&P 500 Index, it struggled against the Russell 1000 Growth Index. Underexposure to high-momentum technology names, lack of exposure to high-flying internet stocks, and lagging stock selection within health care were primary drivers of Fund performance during the Reporting Period relative to the Russell 1000 Growth Index. In the past 12 months, momentum-driven technology and internet stocks have dominated a narrow market. The Fund has decreased technology and internet exposure during this period, as valuations have become rich (e.g., lightened up in Apple, Amazon, Visa and Salesforce.com). Therefore, the Fund didn’t benefit fully from the rally in technology and internet. Furthermore, as Netflix doubled over the Reporting Period, its lack of free-cash-flow generation didn’t fit our criteria for quality/sustainable growth stocks — and this underweight detracted from results. At the end of the Reporting Period — right after the Russell rebalance — technology represented the Fund’s largest absolute sector weighting, yet nearly a 390 basis point underweight vs. the Russell 1000 Growth Index. The manager’s valuation discipline has driven this underweight positioning. The single greatest performance detractor was also a technology stock: Applied Materials — a more attractively-valued semiconductor capital equipment stock. However, we maintain a differentiated view that semiconductor cycles are becoming more muted, due to secular growth in chip demand driven by artificial intelligence, internet-of-things, smart cars, smart homes and factory automation. In health care, Allergan was a key detractor, as it lost a key patent earlier than expected during the period. Alexion also lagged. We held these two positions as we believed the selling was overdone. Despite the 12-month underperformance, in 2018 calendar year-to-date health care has become a key contributor to performance, driven by improving sentiment and by rallies in Boston Scientific and Vertex in particular.
The Fund used E-Mini S&P 500 Futures in order to equitize cash during the Reporting Period. The Fund’s use of futures created a neutral impact to Fund performance relative to the Indices.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Amazon.com Inc., Apple, Inc. and Microsoft Corp. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Applied Materials, Inc., Liberty Global PLC-C and Albemarle Corp.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
10 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Performance Summary — September 30, 2018 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital and future income. The Fund seeks to achieve its investment objectives by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks. The Fund invests primarily in a limited number of large and medium-sized companies (meaning companies with market capitalizations of $2 billion or more) that the portfolio manager believes have above-average growth histories and/or growth potential.
Top Ten Largest Holdings
as of September 30, 2018 (as a % of Fair Value) (a)(b)
Apple Inc. | 6.94 | % | ||
Microsoft Corp. | 5.81 | % | ||
Amazon.com Inc. | 5.60 | % | ||
Alphabet Inc., Class C | 5.09 | % | ||
Visa Inc., Class A | 4.83 | % | ||
The Walt Disney Co. | 3.65 | % | ||
United Rentals Inc. | 3.53 | % | ||
CME Group Inc. | 3.45 | % | ||
salesforce.com Inc. | 3.41 | % | ||
Alexion Pharmaceuticals Inc. | 3.32 | % |
Sector Allocation as of September 30, 2018
Portfolio composition as a % of Fair Value of $381,705 (in thousands) as of September 30, 2018 (a)(b)
Average Annual Total Return for the periods ended September 30, 2018
Investment Class Shares (Inception date: 10/29/99)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Premier Growth Equity | 19.64 | % | 14.78 | % | 12.99 | % | $ | 33,918 | ||||||||
S&P 500 Index | 17.91 | % | 13.95 | % | 11.97 | % | $ | 30,962 | ||||||||
Russell 1000 Growth Index | 26.30 | % | 16.58 | % | 14.31 | % | $ | 38,078 |
Service Class Shares (Inception date: 1/3/01)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Premier Growth Equity | 19.37 | % | 14.50 | % | 12.71 | % | $ | 33,080 | ||||||||
S&P 500 Index | 17.91 | % | 13.95 | % | 11.97 | % | $ | 30,962 | ||||||||
Russell 1000 Growth Index | 26.30 | % | 16.58 | % | 14.31 | % | $ | 38,078 |
State Street Institutional Premier Growth Equity Fund | 11 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Performance Summary, continued — September 30, 2018 (Unaudited)
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
See Notes to Performance beginning on page 1 for further information. Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
12 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 April 1, 2018 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2018 | $ | 1,132.00 | $ | 1,023.20 | ||||
Expenses paid during the period* | $ | 2.03 | $ | 1.93 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period April 1, 2018 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2018 | $ | 1,130.50 | $ | 1,021.90 | ||||
Expenses paid during the period* | $ | 3.36 | $ | 3.19 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.38% for Investment Class shares and 0.63% for Service Class shares (for the period April 1, 2018-September 30, 2018), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
State Street Institutional Premier Growth Equity Fund | 13 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Schedule of Investments — September 30, 2018
Number of Shares | Fair $ | |||||||
Common Stock - 95.5%† |
| |||||||
Application Software - 3.4% |
| |||||||
salesforce.com Inc. (a) | 81,842 | 13,015,333 | ||||||
|
| |||||||
Biotechnology - 7.3% |
| |||||||
Alexion Pharmaceuticals Inc. (a) | 91,093 | 12,662,838 | ||||||
Biogen Inc. (a) | 17,219 | 6,083,645 | ||||||
Vertex Pharmaceuticals Inc. (a) | 48,038 | 9,258,844 | ||||||
|
| |||||||
28,005,327 | ||||||||
|
| |||||||
Cable & Satellite - 4.8% |
| |||||||
Charter Communications Inc., Class A (a) | 32,915 | 10,726,340 | ||||||
Liberty Global PLC, Class C (a) | 266,875 | 7,515,200 | ||||||
|
| |||||||
18,241,540 | ||||||||
|
| |||||||
Data Processing & Outsourced Services - 5.2% |
| |||||||
Mastercard Inc., Class A | 7,117 | 1,584,315 | ||||||
Visa Inc., Class A | 122,762 | 18,425,349 | ||||||
|
| |||||||
20,009,664 | ||||||||
|
| |||||||
Electronic Components - 1.7% |
| |||||||
Corning Inc. | 178,629 | 6,305,604 | ||||||
|
| |||||||
Financial Exchanges & Data - 5.9% |
| |||||||
CME Group Inc. | 77,394 | 13,173,233 | ||||||
S&P Global Inc. | 47,148 | 9,212,247 | ||||||
|
| |||||||
22,385,480 | ||||||||
|
| |||||||
Healthcare Distributors - 1.9% |
| |||||||
Henry Schein Inc. (a) | 83,799 | 7,125,429 | ||||||
|
| |||||||
Healthcare Equipment - 4.6% |
| |||||||
Boston Scientific Corp. (a) | 299,256 | 11,521,356 | ||||||
Medtronic PLC | 59,958 | 5,898,068 | ||||||
|
| |||||||
17,419,424 | ||||||||
|
| |||||||
Healthcare Supplies - 2.4% |
| |||||||
The Cooper Companies Inc. (j) | 32,737 | 9,073,060 | ||||||
|
| |||||||
Interactive Media & Services - 9.1% |
| |||||||
Alphabet Inc., Class A (a) | 4,804 | 5,798,812 | ||||||
Alphabet Inc., Class C (a) | 16,289 | 19,440,433 | ||||||
Facebook Inc., Class A (a) | 59,246 | 9,743,597 | ||||||
|
| |||||||
34,982,842 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 7.8% |
| |||||||
Alibaba Group Holding Ltd. ADR (a) | 28,467 | 4,690,223 | ||||||
Amazon.com Inc. (a) | 10,675 | 21,382,025 | ||||||
Booking Holdings Inc. (a) | 1,957 | 3,882,688 | ||||||
|
| |||||||
29,954,936 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Investment Banking & Brokerage - 3.3% |
| |||||||
The Charles Schwab Corp. | 256,200 | 12,592,230 | ||||||
|
| |||||||
Movies & Entertainment - 3.6% |
| |||||||
The Walt Disney Co. | 119,204 | 13,939,716 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 1.4% |
| |||||||
Schlumberger Ltd. | 88,603 | 5,397,695 | ||||||
|
| |||||||
Pharmaceuticals - 2.8% |
| |||||||
Allergan PLC | 56,578 | 10,776,977 | ||||||
|
| |||||||
Regional Banks - 1.9% |
| |||||||
First Republic Bank | 74,725 | 7,173,600 | ||||||
|
| |||||||
Semiconductor Equipment - 2.4% |
| |||||||
Applied Materials Inc. | 234,850 | 9,076,952 | ||||||
|
| |||||||
Semiconductors - 1.4% |
| |||||||
Broadcom Inc. | 21,350 | 5,267,686 | ||||||
|
| |||||||
Soft Drinks - 3.0% |
| |||||||
PepsiCo Inc. | 102,717 | 11,483,761 | ||||||
|
| |||||||
Specialized REITs - 3.0% |
| |||||||
American Tower Corp. | 80,063 | 11,633,154 | ||||||
|
| |||||||
Specialty Chemicals - 1.3% |
| |||||||
Albemarle Corp. | 48,038 | 4,793,232 | ||||||
|
| |||||||
Systems Software - 6.9% |
| |||||||
Microsoft Corp. | 193,930 | 22,179,774 | ||||||
ServiceNow Inc. (a) | 22,240 | 4,350,811 | ||||||
|
| |||||||
26,530,585 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 6.9% |
| |||||||
Apple Inc. | 117,283 | 26,475,464 | ||||||
|
| |||||||
Trading Companies & Distributors - 3.5% |
| |||||||
United Rentals Inc. (a) | 82,376 | 13,476,714 | ||||||
|
| |||||||
Total Common Stock (Cost $228,389,385) |
| 365,136,405 | ||||||
|
| |||||||
Short-Term Investments - 4.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 2.01% | 16,568,746 | 16,568,746 | ||||||
|
| |||||||
Total Investments (Cost $244,958,131) |
| 381,705,151 | ||||||
Other Assets and Liabilities, net - 0.2% |
| 670,553 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| 382,375,704 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
14 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Schedule of Investments, continued — September 30, 2018
Other Information:
The Fund had the following long futures contracts open at September 30, 2018:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
S&P 500 Emini Index Futures | December 2018 | 39 | $ | 5,731,671 | $ | 5,692,050 | $ | (39,621 | ) | |||||||||||
|
|
During the period ended September 30, 2018, average notional value related to long and short futures contracts was $1,367,660 or 0.4% of net assets and $1,429,658 or 0.4% of net assets, respectively.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of September 30, 2018.
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Premier Growth Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 365,136,405 | $ | — | $ | — | $ | 365,136,405 | ||||||||||
Short-Term Investments | 16,568,746 | — | — | 16,568,746 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 381,705,151 | $ | — | $ | — | $ | 381,705,151 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts — Unrealized Depreciation | $ | (39,621 | ) | $ | — | $ | — | $ | (39,621 | ) | ||||||||
|
|
|
|
|
|
|
|
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 9/30/18 | Value at 9/30/18 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 8,628,607 | $ | 8,628,607 | $ | 105,131,693 | $ | 97,191,554 | $ | — | $ | — | 16,568,746 | $ | 16,568,746 | $ | 177,501 | ||||||||||||||||||||
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Premier Growth Equity Fund | 15 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Management Discussion of Fund Performance — September 30, 2018 (Unaudited)
The State Street Institutional Small-Cap Equity Fund (the “Fund”) seeks to provide long-term growth of capital by investing primarily in equity securities of small-cap companies. The Fund’s benchmark is the Russell 2000 Index (the “Index”).
For the 12-month period ended September 30, 2018 (the “Reporting Period”), the total return for the Fund’s Investment Class was 15.47%, for the Fund’s Service Class was 15.14% and for the Index was 15.24%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Champlain Investment Partners, LLC (“Champlain”), Palisade Capital Management, LLC (“Palisade”) and SouthernSun Asset Management, LLC (“SouthernSun”) were primary drivers of Fund performance during the Reporting Period relative to the Index. Champlain added to the overall return of the Fund through their focus on personalized healthcare investments and through cloud-based technology equities. Palisade drove positive returns for the Fund through investments in software-as-a-service based technology investments. Despite substantial outperformance from both of those investment sub-advisers, SouthernSun’s strategy underperformed by nearly 1,100 bps, offsetting much of the strong returns from Champlain and Palisade. SouthernSun lagged primarily from poor timing on security selection as three securities underperformed substantially over the last year. While the magnitude of underperformance from SouthernSun is sizable, it is not unexpected from an investment sub-adviser that tends to run portfolios with less than 20 securities. SouthernSun tends to be either the top or bottom performing sub-adviser in the Fund, and since inception has been a strong contributor of alpha.
The Fund used Russell 2000 e-Mini equity futures in order to hedge the un-invested cash in the Fund during the Reporting Period. The Fund’s use of Russell 2000 e-Mini equity futures did not contribute or detracted from relative performance, as the future tracks the Index and prevents volatility from cash sitting in the Fund, from an absolute standpoint the derivative positioning added to returns because the overall Index return was positive.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were New Relic, Okta and Qualys. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Diebold Nixdorf, Sarepta Therapeutics and Envision Healthcare.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
16 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Performance Summary — September 30, 2018 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of small-cap companies, such as common and preferred stocks. The Fund uses a multi sub-adviser investment strategy that combines growth, value and core investment management styles, which allows the Fund the potential to benefit from both value and growth cycles in the marketplace.
Top Ten Largest Holdings
as of September 30, 2018 (as a % of Fair Value) (a)(b)
John Wiley & Sons Inc., Class A | 1.17 | % | ||
Ritchie Bros Auctioneers Inc. | 1.03 | % | ||
Darling Ingredients Inc. | 1.02 | % | ||
Sensient Technologies Corp. | 1.01 | % | ||
Blackbaud Inc. | 1.00 | % | ||
The Timken Co. | 0.99 | % | ||
Newfield Exploration Co. | 0.95 | % | ||
The Brink’s Co. | 0.95 | % | ||
Hill-Rom Holdings Inc. | 0.88 | % | ||
Clean Harbors Inc. | 0.87 | % |
Sector Allocation as of September 30, 2018
Portfolio composition as a % of Fair Value of $1,527,424 (in thousands) as of September 30, 2018 (a)(b)
Average Annual Total Return for the periods ended September 30, 2018
Investment Class Shares (Inception date: 8/3/98)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Small-Cap Equity Fund | 15.47 | % | 11.32 | % | 12.03 | % | $ | 31,129 | ||||||||
Russell 2000 Index | 15.24 | % | 11.07 | % | 11.11 | % | $ | 28,686 |
Service Class Shares (Inception date: 9/30/05)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Small-Cap Equity Fund | 15.14 | % | 11.04 | % | 11.75 | % | $ | 30,384 | ||||||||
Russell 2000 Index | 15.24 | % | 11.07 | % | 11.11 | % | $ | 28,686 |
State Street Institutional Small-Cap Equity Fund | 17 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Performance Summary, continued — September 30, 2018 (Unaudited)
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
See Notes to Performance beginning on page 1 for further information. Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
18 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 April 1, 2018 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2018 | $ | 1,131.50 | $ | 1,020.70 | ||||
Expenses paid during the period* | $ | 4.70 | $ | 4.46 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period April 1, 2018 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2018 | $ | 1,130.40 | $ | 1,019.40 | ||||
Expenses paid during the period* | $ | 6.03 | $ | 5.72 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.88% for Investment Class shares and 1.13% for Service Class shares (for the period April 1, 2018-September 30, 2018), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
State Street Institutional Small-Cap Equity Fund | 19 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments — September 30, 2018
Number of Shares | Fair $ | |||||||
Common Stock - 93.5%† | ||||||||
Aerospace & Defense - 0.7% |
| |||||||
Esterline Technologies Corp. (a) | 17,214 | 1,565,613 | ||||||
Teledyne Technologies Inc. (a) | 38,377 | 9,466,839 | ||||||
|
| |||||||
11,032,452 | ||||||||
|
| |||||||
Agricultural & Farm Machinery - 0.6% |
| |||||||
AGCO Corp. (j) | 153,872 | 9,353,879 | ||||||
|
| |||||||
Agricultural Products - 1.0% |
| |||||||
Darling Ingredients Inc. (a) | 810,563 | 15,660,077 | ||||||
|
| |||||||
Air Freight & Logistics - 0.3% |
| |||||||
Air Transport Services Group Inc. (a) | 23,500 | 504,545 | ||||||
Forward Air Corp. | 16,800 | 1,204,560 | ||||||
Hub Group Inc., Class A (a) | 51,933 | 2,368,145 | ||||||
|
| |||||||
4,077,250 | ||||||||
|
| |||||||
Airlines - 0.0%* |
| |||||||
Hawaiian Holdings Inc. | 15,300 | 613,530 | ||||||
|
| |||||||
Apparel Retail - 0.6% |
| |||||||
American Eagle Outfitters Inc. | 20,947 | 520,114 | ||||||
Burlington Stores Inc. (a) | 20,383 | 3,320,798 | ||||||
Chico’s FAS Inc. | 65,413 | 567,131 | ||||||
Tailored Brands Inc. | 15,982 | 402,587 | ||||||
The Buckle Inc. | 169,358 | 3,903,702 | ||||||
|
| |||||||
8,714,332 | ||||||||
|
| |||||||
Apparel, Accessories & Luxury Goods - 0.5% |
| |||||||
G-III Apparel Group Ltd. (a) | 153,266 | 7,385,889 | ||||||
|
| |||||||
Application Software - 5.5% |
| |||||||
ACI Worldwide Inc. (a) | 358,512 | 10,088,528 | ||||||
Blackbaud Inc. | 151,347 | 15,358,693 | ||||||
Blackline Inc. (a) | 59,806 | 3,377,245 | ||||||
Cornerstone OnDemand Inc. (a) | 145,533 | 8,258,998 | ||||||
Envestnet Inc. (a) | 34,000 | 2,072,300 | ||||||
Fair Isaac Corp. (a) | 5,278 | 1,206,287 | ||||||
LogMeIn Inc. | 68,500 | 6,103,350 | ||||||
MINDBODY Inc., Class A (a) | 32,500 | 1,321,125 | ||||||
New Relic Inc. (a) | 90,500 | 8,527,815 | ||||||
Paylocity Holding Corp. (a) | 46,725 | 3,752,952 | ||||||
Q2 Holdings Inc. (a) | 71,000 | 4,299,050 | ||||||
RealPage Inc. (a) | 120,319 | 7,929,022 | ||||||
SS&C Technologies Holdings Inc. | 116,200 | 6,603,646 | ||||||
Yext Inc. (a) | 194,700 | 4,614,390 | ||||||
Zix Corp. (a) | 194,000 | 1,076,700 | ||||||
|
| |||||||
84,590,101 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Asset Management & Custody Banks - 0.1% |
| |||||||
BrightSphere Investment Group PLC | 52,248 | 647,875 | ||||||
Cohen & Steers Inc. | 36,844 | 1,496,235 | ||||||
|
| |||||||
2,144,110 | ||||||||
|
| |||||||
Auto Parts & Equipment - 0.8% |
| |||||||
American Axle & Manufacturing Holdings Inc. (a) | 44,073 | 768,633 | ||||||
Cooper-Standard Holdings Inc. (a) | 11,137 | 1,336,217 | ||||||
Gentherm Inc. (a) | 22,927 | 1,042,032 | ||||||
LCI Industries | 25,930 | 2,147,004 | ||||||
Standard Motor Products Inc. | 64,704 | 3,184,731 | ||||||
Stoneridge Inc. (a) | 70,527 | 2,096,063 | ||||||
Tenneco Inc. | 13,184 | 555,574 | ||||||
Tower International Inc. | 29,645 | 896,761 | ||||||
|
| |||||||
12,027,015 | ||||||||
|
| |||||||
Automobile Manufacturers - 0.6% |
| |||||||
Thor Industries Inc. | 103,796 | 8,687,725 | ||||||
Winnebago Industries Inc. | 17,753 | 588,512 | ||||||
|
| |||||||
9,276,237 | ||||||||
|
| |||||||
Automotive Retail - 1.2% |
| |||||||
America’s Car-Mart Inc. (a) | 25,125 | 1,964,775 | ||||||
Asbury Automotive Group Inc. (a) | 12,882 | 885,638 | ||||||
Group 1 Automotive Inc. | 62,367 | 4,047,618 | ||||||
Monro Inc. | 43,984 | 3,061,286 | ||||||
Murphy USA Inc. (a) | 106,114 | 9,068,503 | ||||||
|
| |||||||
19,027,820 | ||||||||
|
| |||||||
Biotechnology - 0.7% |
| |||||||
Repligen Corp. (a) | 187,497 | 10,398,584 | ||||||
|
| |||||||
Brewers - 0.2% |
| |||||||
Craft Brew Alliance Inc. (a) | 7,581 | 123,949 | ||||||
The Boston Beer Company Inc., Class A (a) | 12,500 | 3,593,750 | ||||||
|
| |||||||
3,717,699 | ||||||||
|
| |||||||
Building Products - 0.7% |
| |||||||
American Woodmark Corp. (a)(j) | 10,146 | 795,954 | ||||||
Apogee Enterprises Inc. | 24,080 | 994,985 | ||||||
Builders FirstSource Inc. (a) | 102,988 | 1,511,864 | ||||||
Continental Building Products Inc. (a) | 22,758 | 854,563 | ||||||
Masonite International Corp. (a) | 7,116 | 456,136 | ||||||
NCI Building Systems Inc. (a) | 50,320 | 762,348 | ||||||
Patrick Industries Inc. (a) | 16,200 | 959,040 |
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 — September 30, 2018
Number of Shares | Fair $ | |||||||
Trex Company Inc. (a) | 24,638 | 1,896,633 | ||||||
Universal Forest Products Inc. | 76,961 | 2,719,032 | ||||||
|
| |||||||
10,950,555 | ||||||||
|
| |||||||
Commercial Printing - 0.1% |
| |||||||
Deluxe Corp. | 21,491 | 1,223,698 | ||||||
|
| |||||||
Commodity Chemicals - 0.2% |
| |||||||
AdvanSix Inc. (a)(j) | 32,172 | 1,092,239 | ||||||
Koppers Holdings Inc. (a) | 19,239 | 599,295 | ||||||
Trinseo S.A. | 18,854 | 1,476,268 | ||||||
|
| |||||||
3,167,802 | ||||||||
|
| |||||||
Communications Equipment - 0.4% |
| |||||||
ADTRAN Inc. (j) | 64,150 | 1,132,248 | ||||||
Ciena Corp. (a) | 59,475 | 1,857,999 | ||||||
Extreme Networks Inc. (a) | 88,100 | 482,788 | ||||||
Lumentum Holdings Inc. (a) | 26,174 | 1,569,131 | ||||||
NETGEAR Inc. (a) | 7,107 | 446,675 | ||||||
Plantronics Inc. | 9,258 | 558,257 | ||||||
|
| |||||||
6,047,098 | ||||||||
|
| |||||||
Construction & Engineering - 1.6% |
| |||||||
Aegion Corp. (a)(j) | 460,768 | 11,694,292 | ||||||
Dycom Industries Inc. (a) | 138,480 | 11,715,408 | ||||||
EMCOR Group Inc. | 11,477 | 862,037 | ||||||
|
| |||||||
24,271,737 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks - 2.1% |
| |||||||
Alamo Group Inc. | 20,994 | 1,923,260 | ||||||
Astec Industries Inc. | 32,118 | 1,619,068 | ||||||
Federal Signal Corp. | 481,442 | 12,893,017 | ||||||
The Greenbrier Companies Inc. | 16,215 | 974,522 | ||||||
Trinity Industries Inc. | 338,461 | 12,401,211 | ||||||
Wabash National Corp. | 98,189 | 1,789,985 | ||||||
|
| |||||||
31,601,063 | ||||||||
|
| |||||||
Construction Materials - 0.1% |
| |||||||
Summit Materials Inc., Class A (a) | 50,170 | 912,091 | ||||||
|
| |||||||
Consumer Electronics - 0.0%* |
| |||||||
ZAGG Inc. (a) | 37,600 | 554,600 | ||||||
|
| |||||||
Consumer Finance - 0.1% |
| |||||||
Enova International Inc. (a) | 78,662 | 2,265,466 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 2.1% |
| |||||||
Broadridge Financial Solutions Inc. | 63,372 | 8,361,935 | ||||||
Cass Information Systems Inc. | 11,729 | 763,792 | ||||||
CoreLogic Inc. (a) | 126,327 | 6,241,817 |
Number of Shares | Fair $ | |||||||
CSG Systems International Inc. | 74,654 | 2,996,612 | ||||||
EVERTEC Inc. | 48,618 | 1,171,694 | ||||||
MAXIMUS Inc. | 13,752 | 894,705 | ||||||
NIC Inc. | 195,148 | 2,888,190 | ||||||
Travelport Worldwide Ltd. | 519,133 | 8,757,774 | ||||||
|
| |||||||
32,076,519 | ||||||||
|
| |||||||
Distillers & Vintners - 0.1% |
| |||||||
MGP Ingredients Inc. | 25,295 | 1,997,799 | ||||||
|
| |||||||
Distributors - 0.5% |
| |||||||
LKQ Corp. (a) | 240,257 | 7,608,939 | ||||||
|
| |||||||
Diversified Metals & Mining - 0.4% |
| |||||||
Compass Minerals International Inc. | 71,581 | 4,810,243 | ||||||
Materion Corp. | 15,757 | 953,299 | ||||||
|
| |||||||
5,763,542 | ||||||||
|
| |||||||
Diversified Real Estate Activities - 0.1% |
| |||||||
The RMR Group Inc., Class A | 11,700 | 1,085,760 | ||||||
|
| |||||||
Diversified REITs - 0.2% |
| |||||||
American Assets Trust Inc. | 40,965 | 1,527,585 | ||||||
Global Net Lease Inc. | 56,078 | 1,169,226 | ||||||
|
| |||||||
2,696,811 | ||||||||
|
| |||||||
Diversified Support Services - 1.6% |
| |||||||
Healthcare Services Group Inc. | 167,330 | 6,796,945 | ||||||
Ritchie Bros Auctioneers Inc. | 435,129 | 15,721,211 | ||||||
UniFirst Corp. | 9,305 | 1,615,813 | ||||||
|
| |||||||
24,133,969 | ||||||||
|
| |||||||
Education Services - 0.5% |
| |||||||
Grand Canyon Education Inc. (a) | 10,200 | 1,150,560 | ||||||
K12 Inc. (a) | 324,193 | 5,738,216 | ||||||
|
| |||||||
6,888,776 | ||||||||
|
| |||||||
Electric Utilities - 0.9% |
| |||||||
ALLETE Inc. | 18,375 | 1,378,309 | ||||||
IDACORP Inc. | 123,826 | 12,287,254 | ||||||
|
| |||||||
13,665,563 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.4% |
| |||||||
Atkore International Group Inc. (a) | 32,155 | 853,072 | ||||||
EnerSys | 17,253 | 1,503,254 | ||||||
Generac Holdings Inc. (a) | 16,455 | 928,227 | ||||||
Regal Beloit Corp. | 26,932 | 2,220,543 | ||||||
|
| |||||||
5,505,096 | ||||||||
|
|
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 — September 30, 2018
Number of Shares | Fair $ | |||||||
Electronic Components - 1.3% |
| |||||||
Belden Inc. | 163,370 | 11,666,252 | ||||||
Littelfuse Inc. | 39,412 | 7,799,241 | ||||||
Vishay Intertechnology Inc. | 41,099 | 836,364 | ||||||
|
| |||||||
20,301,857 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.6% |
| |||||||
Control4 Corp. (a) | 22,000 | 755,260 | ||||||
National Instruments Corp. | 48,292 | 2,333,952 | ||||||
Zebra Technologies Corp., Class A (a) | 34,179 | 6,043,873 | ||||||
|
| |||||||
9,133,085 | ||||||||
|
| |||||||
Electronic Manufacturing Services - 0.4% |
| |||||||
KEMET Corp. (a) | 44,961 | 834,026 | ||||||
Methode Electronics Inc. | 22,303 | 807,369 | ||||||
Plexus Corp. (a) | 24,424 | 1,429,048 | ||||||
Sanmina Corp. (a) | 49,186 | 1,357,534 | ||||||
TTM Technologies Inc. (a) | 65,787 | 1,046,671 | ||||||
|
| |||||||
5,474,648 | ||||||||
|
| |||||||
Environmental & Facilities Services - 0.9% |
| |||||||
Casella Waste Systems Inc., Class A (a) | 32,100 | 997,026 | ||||||
Clean Harbors Inc. (a) | 186,305 | 13,335,712 | ||||||
|
| |||||||
14,332,738 | ||||||||
|
| |||||||
Food Distributors - 0.6% |
| |||||||
Performance Food Group Co. (a) | 168,479 | 5,610,351 | ||||||
SpartanNash Co. | 215,452 | 4,321,967 | ||||||
|
| |||||||
9,932,318 | ||||||||
|
| |||||||
Food Retail - 0.1% |
| |||||||
Casey’s General Stores Inc. | 7,807 | 1,007,962 | ||||||
Sprouts Farmers Market Inc. (a) | 43,000 | 1,178,630 | ||||||
|
| |||||||
2,186,592 | ||||||||
|
| |||||||
Footwear - 1.0% |
| |||||||
Deckers Outdoor Corp. (a) | 45,457 | 5,390,291 | ||||||
Skechers U.S.A. Inc., Class A (a) | 32,874 | 918,171 | ||||||
Wolverine World Wide Inc. | 220,292 | 8,602,402 | ||||||
|
| |||||||
14,910,864 | ||||||||
|
| |||||||
Forest Products - 0.1% |
| |||||||
Boise Cascade Co. | 29,281 | 1,077,541 | ||||||
Louisiana-Pacific Corp. | 32,444 | 859,441 | ||||||
|
| |||||||
1,936,982 | ||||||||
|
| |||||||
Gas Utilities - 0.3% |
| |||||||
Chesapeake Utilities Corp. | 8,667 | 727,161 |
Number of Shares | Fair $ | |||||||
South Jersey Industries Inc. | 69,013 | 2,434,089 | ||||||
Spire Inc. | 19,925 | 1,465,484 | ||||||
|
| |||||||
4,626,734 | ||||||||
|
| |||||||
Health Care REITs - 0.1% |
| |||||||
CareTrust REIT Inc. | 66,301 | 1,174,191 | ||||||
|
| |||||||
Healthcare Distributors - 0.0%* |
| |||||||
Owens & Minor Inc. | 28,054 | 463,452 | ||||||
|
| |||||||
Healthcare Equipment - 5.0% |
| |||||||
Cantel Medical Corp. | 17,000 | 1,565,020 | ||||||
Cardiovascular Systems Inc. (a) | 207,500 | 8,121,550 | ||||||
CONMED Corp. | 124,500 | 9,862,890 | ||||||
Hill-Rom Holdings Inc. | 141,821 | 13,387,902 | ||||||
Insulet Corp. (a) | 62,000 | 6,568,900 | ||||||
Integer Holdings Corp. (a) | 9,990 | 828,671 | ||||||
Integra LifeSciences Holdings Corp. (a) | 200,000 | 13,174,000 | ||||||
IntriCon Corp. (a) | 26,324 | 1,479,409 | ||||||
LivaNova PLC (a) | 13,466 | 1,669,380 | ||||||
Masimo Corp. (a) | 26,000 | 3,238,040 | ||||||
NuVasive Inc. (a) | 133,000 | 9,440,340 | ||||||
Orthofix Medical Inc. (a) | 26,872 | 1,553,470 | ||||||
Penumbra Inc. (a) | 39,000 | 5,838,300 | ||||||
Varex Imaging Corp. (a) | 9,296 | 266,423 | ||||||
|
| |||||||
76,994,295 | ||||||||
|
| |||||||
Healthcare Facilities - 0.5% |
| |||||||
Acadia Healthcare Company Inc. (a)(j) | 163,050 | 5,739,360 | ||||||
Select Medical Holdings Corp. (a) | 54,053 | 994,575 | ||||||
Tenet Healthcare Corp. (a) | 17,854 | 508,125 | ||||||
|
| |||||||
7,242,060 | ||||||||
|
| |||||||
Healthcare Services - 1.4% |
| |||||||
Addus HomeCare Corp. (a) | 13,400 | 940,010 | ||||||
Amedisys Inc. (a) | 18,800 | 2,349,248 | ||||||
AMN Healthcare Services Inc. (a) | 22,588 | 1,235,564 | ||||||
BioTelemetry Inc. (a) | 73,605 | 4,743,842 | ||||||
Chemed Corp. | 3,520 | 1,124,922 | ||||||
Diplomat Pharmacy Inc. (a) | 154,497 | 2,998,787 | ||||||
MEDNAX Inc. (a) | 132,669 | 6,190,335 | ||||||
RadNet Inc. (a) | 87,000 | 1,309,350 | ||||||
|
| |||||||
20,892,058 | ||||||||
|
| |||||||
Healthcare Supplies - 0.9% |
| |||||||
Avanos Medical Inc. (a) | 134,000 | 9,179,000 | ||||||
Endologix Inc. (a) | 388,135 | 741,338 | ||||||
ICU Medical Inc. (a) | 3,600 | 1,017,900 |
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 Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2018
Number of Shares | Fair $ | |||||||
Lantheus Holdings Inc. (a) | 55,100 | 823,745 | ||||||
Merit Medical Systems Inc. (a) | 34,927 | 2,146,264 | ||||||
|
| |||||||
13,908,247 | ||||||||
|
| |||||||
Healthcare Technology - 2.0% |
| |||||||
HMS Holdings Corp. (a) | 333,126 | 10,929,864 | ||||||
Medidata Solutions Inc. (a) | 93,000 | 6,817,830 | ||||||
NextGen Healthcare Inc. (a) | 18,516 | 371,801 | ||||||
Omnicell Inc. (a) | 101,623 | 7,306,694 | ||||||
Teladoc Health Inc. (a) | 67,000 | 5,785,450 | ||||||
|
| |||||||
31,211,639 | ||||||||
|
| |||||||
Home Building - 0.3% |
| |||||||
KB Home | 32,345 | 773,369 | ||||||
LGI Homes Inc. (a) | 24,173 | 1,146,767 | ||||||
TopBuild Corp. (a) | 37,611 | 2,137,057 | ||||||
|
| |||||||
4,057,193 | ||||||||
|
| |||||||
Home Furnishing Retail - 0.7% |
| |||||||
Aaron’s Inc. (j) | 177,284 | 9,654,887 | ||||||
RH (a) | 11,031 | 1,445,171 | ||||||
|
| |||||||
11,100,058 | ||||||||
|
| |||||||
Hotel & Resort REITs - 0.5% |
| |||||||
Ashford Hospitality Trust Inc. | 84,115 | 537,495 | ||||||
Chatham Lodging Trust | 60,306 | 1,259,792 | ||||||
RLJ Lodging Trust | 282,555 | 6,224,687 | ||||||
|
| |||||||
8,021,974 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 0.8% |
| |||||||
Extended Stay America Inc. | 606,660 | 12,272,732 | ||||||
Hilton Grand Vacations Inc. (a) | 15,253 | 504,874 | ||||||
|
| |||||||
12,777,606 | ||||||||
|
| |||||||
Household Appliances - 0.8% |
| |||||||
Helen of Troy Ltd. (a) | 88,732 | 11,615,019 | ||||||
|
| |||||||
Housewares & Specialties - 0.0%* |
| |||||||
Tupperware Brands Corp. | 11,876 | 397,252 | ||||||
|
| |||||||
Human Resource & Employment Services - 0.4% |
| |||||||
Barrett Business Services Inc. | 8,700 | 580,986 | ||||||
Heidrick & Struggles International Inc. | 19,400 | 656,690 | ||||||
Insperity Inc. | 24,977 | 2,946,037 | ||||||
Kforce Inc. | 33,400 | 1,255,840 | ||||||
|
| |||||||
5,439,553 | ||||||||
|
| |||||||
Industrial Machinery - 7.5% |
| |||||||
Actuant Corp., Class A (j) | 429,101 | 11,971,918 | ||||||
Altra Industrial Motion Corp. (j) | 148,290 | 6,124,377 | ||||||
Barnes Group Inc. | 118,746 | 8,434,528 |
Number of Shares | Fair $ | |||||||
Crane Co. | 93,477 | 9,193,463 | ||||||
Franklin Electric Company Inc. | 32,402 | 1,530,995 | ||||||
Harsco Corp. (a) | 22,669 | 647,200 | ||||||
Hillenbrand Inc. | 20,253 | 1,059,232 | ||||||
John Bean Technologies Corp. | 84,500 | 10,080,850 | ||||||
Kennametal Inc. | 40,697 | 1,772,761 | ||||||
LB Foster Co., Class A (a) | 37,452 | 769,639 | ||||||
Lydall Inc. (a) | 111,500 | 4,805,650 | ||||||
Mueller Industries Inc. | 196,229 | 5,686,716 | ||||||
Standex International Corp. | 56,500 | 5,890,125 | ||||||
The Timken Co. | 302,660 | 15,087,601 | ||||||
TriMas Corp. (a) | 113,000 | 3,435,200 | ||||||
Watts Water Technologies Inc., Class A | 62,930 | 5,223,190 | ||||||
Welbilt Inc. (a) | 513,400 | 10,719,792 | ||||||
Woodward Inc. | 154,729 | 12,511,387 | ||||||
|
| |||||||
114,944,624 | ||||||||
|
| |||||||
Industrial REITs - 0.6% |
| |||||||
EastGroup Properties Inc. | 44,900 | 4,293,338 | ||||||
Gramercy Property Trust | 80,749 | 2,215,753 | ||||||
Rexford Industrial Realty Inc. | 29,270 | 935,469 | ||||||
STAG Industrial Inc. | 78,972 | 2,171,730 | ||||||
|
| |||||||
9,616,290 | ||||||||
|
| |||||||
Interactive Media & Services - 0.1% |
| |||||||
Care.com Inc. (a) | 51,430 | 1,137,117 | ||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.1% |
| |||||||
Stamps.com Inc. (a) | 4,700 | 1,063,140 | ||||||
|
| |||||||
Internet Services & Infrastructure - 0.6% |
| |||||||
Okta Inc. (a) | 131,500 | 9,252,340 | ||||||
|
| |||||||
Investment Banking & Brokerage - 1.0% |
| |||||||
BGC Partners Inc., Class A | 68,600 | 810,852 | ||||||
Evercore Inc., Class A | 9,906 | 996,048 | ||||||
Greenhill & Company Inc. | 35,722 | 941,275 | ||||||
Houlihan Lokey Inc. | 32,183 | 1,445,982 | ||||||
Piper Jaffray Cos. | 26,043 | 1,988,383 | ||||||
Raymond James Financial Inc. | 76,922 | 7,080,670 | ||||||
Stifel Financial Corp. | 34,945 | 1,791,281 | ||||||
|
| |||||||
15,054,491 | ||||||||
|
| |||||||
IT Consulting & Other Services - 0.2% |
| |||||||
Perficient Inc. (a) | 41,811 | 1,114,263 | ||||||
Science Applications International Corp. | 10,765 | 867,659 | ||||||
The Hackett Group Inc. | 46,800 | 943,020 | ||||||
|
| |||||||
2,924,942 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 23 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2018
Number of Shares | Fair $ | |||||||
Leisure Products - 0.7% |
| |||||||
Acushnet Holdings Corp. | 4,444 | 121,899 | ||||||
Malibu Boats Inc., Class A (a) | 24,800 | 1,357,056 | ||||||
MCBC Holdings Inc. (a) | 41,900 | 1,503,372 | ||||||
Polaris Industries Inc. | 75,350 | 7,606,582 | ||||||
|
| |||||||
10,588,909 | ||||||||
|
| |||||||
Life & Health Insurance - 0.1% |
| |||||||
Trupanion Inc. (a) | 50,989 | 1,821,837 | ||||||
|
| |||||||
Life Sciences Tools & Services - 1.8% |
| |||||||
Bruker Corp. | 176,468 | 5,902,855 | ||||||
ICON PLC (a) | 65,456 | 10,063,860 | ||||||
Medpace Holdings Inc. (a) | 17,900 | 1,072,389 | ||||||
PRA Health Sciences Inc. (a) | 14,300 | 1,575,717 | ||||||
Syneos Health Inc. (a) | 187,808 | 9,681,502 | ||||||
|
| |||||||
28,296,323 | ||||||||
|
| |||||||
Managed Healthcare - 0.0%* |
| |||||||
Magellan Health Inc. (a) | 9,200 | 662,860 | ||||||
|
| |||||||
Marine - 0.1% |
| |||||||
Kirby Corp. (a) | 10,661 | 876,867 | ||||||
Matson Inc. | 25,919 | 1,027,429 | ||||||
|
| |||||||
1,904,296 | ||||||||
|
| |||||||
Multi-Line Insurance - 0.4% |
| |||||||
Horace Mann Educators Corp. (j) | 103,906 | 4,665,379 | ||||||
National General Holdings Corp. | 37,300 | 1,001,132 | ||||||
|
| |||||||
5,666,511 | ||||||||
|
| |||||||
Multi-Utilities - 0.1% |
| |||||||
Black Hills Corp. | 32,356 | 1,879,560 | ||||||
|
| |||||||
Office REITs - 0.8% |
| |||||||
Brandywine Realty Trust | 101,088 | 1,589,103 | ||||||
Corporate Office Properties Trust | 48,814 | 1,456,122 | ||||||
Cousins Properties Inc. | 919,211 | 8,171,786 | ||||||
Franklin Street Properties Corp. | 103,783 | 829,226 | ||||||
|
| |||||||
12,046,237 | ||||||||
|
| |||||||
Office Services & Supplies - 0.9% |
| |||||||
Herman Miller Inc. | 24,500 | 940,800 | ||||||
HNI Corp. | 24,267 | 1,073,572 | ||||||
Knoll Inc. | 32,085 | 752,393 | ||||||
MSA Safety Inc. | 87,081 | 9,268,902 | ||||||
Steelcase Inc., Class A | 62,841 | 1,162,558 | ||||||
|
| |||||||
13,198,225 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Oil & Gas Drilling - 0.1% |
| |||||||
Nabors Industries Ltd. | 191,263 | 1,178,180 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 1.0% |
| |||||||
C&J Energy Services Inc. (a) | 70,308 | 1,462,406 | ||||||
Cactus Inc., Class A (a) | 30,436 | 1,165,090 | ||||||
Forum Energy Technologies Inc. (a) | 311,248 | 3,221,417 | ||||||
Keane Group Inc. (a) | 23,595 | 291,870 | ||||||
Natural Gas Services Group Inc. (a) | 51,043 | 1,077,007 | ||||||
Oil States International Inc. (a) | 212,963 | 7,070,372 | ||||||
ProPetro Holding Corp. (a) | 63,507 | 1,047,231 | ||||||
|
| |||||||
15,335,393 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production - 2.5% |
| |||||||
Callon Petroleum Co. (a) | 185,437 | 2,223,390 | ||||||
Carrizo Oil & Gas Inc. (a) | 201,509 | 5,078,027 | ||||||
Gulfport Energy Corp. (a) | 97,600 | 1,016,016 | ||||||
Newfield Exploration Co. (a) | 505,880 | 14,584,520 | ||||||
Oasis Petroleum Inc. (a) | 147,471 | 2,091,139 | ||||||
PDC Energy Inc. (a) | 17,393 | 851,561 | ||||||
Range Resources Corp. | 28,175 | 478,693 | ||||||
Ring Energy Inc. (a) | 115,255 | 1,142,177 | ||||||
Rosehill Resources Inc. (a) | 59,475 | 362,797 | ||||||
SM Energy Co. | 287,058 | 9,050,939 | ||||||
WildHorse Resource Development Corp. (a) | 63,970 | 1,512,251 | ||||||
|
| |||||||
38,391,510 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing - 0.1% |
| |||||||
Renewable Energy Group Inc. (a) | 32,700 | 941,760 | ||||||
|
| |||||||
Packaged Foods & Meats - 2.6% |
| |||||||
B&G Foods Inc. | 254,500 | 6,986,025 | ||||||
Calavo Growers Inc. | 8,539 | 824,868 | ||||||
Hostess Brands Inc. (a) | 543,500 | 6,016,545 | ||||||
J&J Snack Foods Corp. | 14,000 | 2,112,460 | ||||||
John B Sanfilippo & Son Inc. | 6,901 | 492,593 | ||||||
Sanderson Farms Inc. | 120,289 | 12,434,274 | ||||||
The Simply Good Foods Co. (a) | 254,900 | 4,957,805 | ||||||
TreeHouse Foods Inc. (a) | 119,000 | 5,694,150 | ||||||
|
| |||||||
39,518,720 | ||||||||
|
| |||||||
Paper Products - 0.2% |
| |||||||
Neenah Inc. | 16,671 | 1,438,707 | ||||||
Verso Corp., Class A (a) | 32,953 | 1,109,528 | ||||||
|
| |||||||
2,548,235 | ||||||||
|
| |||||||
Personal Products - 0.4% | ||||||||
elf Beauty Inc. (a) | 311,600 | 3,966,668 |
See Notes to Schedules of Investments and Notes to Financial Statements.
24 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2018
Number of Shares | Fair $ | |||||||
USANA Health Sciences Inc. (a) | 11,958 | 1,441,537 | ||||||
|
| |||||||
5,408,205 | ||||||||
|
| |||||||
Pharmaceuticals - 1.9% |
| |||||||
Assertio Therapeutics Inc. (a) | 85,500 | 502,740 | ||||||
Catalent Inc. (a) | 166,515 | 7,584,758 | ||||||
Endo International PLC (a) | 48,700 | 819,621 | ||||||
Horizon Pharma PLC (a) | 61,500 | 1,204,170 | ||||||
Innoviva Inc. (a) | 56,900 | 867,156 | ||||||
Phibro Animal Health Corp., Class A | 26,500 | 1,136,850 | ||||||
Prestige Consumer Healthcare Inc. (a) | 274,148 | 10,387,468 | ||||||
Supernus Pharmaceuticals Inc. (a) | 135,900 | 6,842,565 | ||||||
|
| |||||||
29,345,328 | ||||||||
|
| |||||||
Property & Casualty Insurance - 2.1% |
| |||||||
AMERISAFE Inc. | 82,991 | 5,141,292 | ||||||
Argo Group International Holdings Ltd. | 167,159 | 10,539,375 | ||||||
James River Group Holdings Ltd. | 46,500 | 1,981,830 | ||||||
RLI Corp. | 70,719 | 5,557,099 | ||||||
The Navigators Group Inc. | 109,500 | 7,566,450 | ||||||
Universal Insurance Holdings Inc. | 19,216 | 932,937 | ||||||
|
| |||||||
31,718,983 | ||||||||
|
| |||||||
Publishing - 1.2% |
| |||||||
John Wiley & Sons Inc., Class A | 293,845 | 17,807,007 | ||||||
|
| |||||||
Railroads - 0.7% |
| |||||||
Genesee & Wyoming Inc., Class A (a) | 121,646 | 11,068,569 | ||||||
|
| |||||||
Regional Banks - 8.5% | ||||||||
1st Source Corp. | 23,612 | 1,242,463 | ||||||
BankUnited Inc. | 13,419 | 475,033 | ||||||
Banner Corp. | 15,654 | 973,209 | ||||||
Bryn Mawr Bank Corp. | 75,000 | 3,517,500 | ||||||
Cadence BanCorp | 89,848 | 2,346,830 | ||||||
Camden National Corp. | 27,166 | 1,180,091 | ||||||
Cathay General Bancorp | 45,494 | 1,885,271 | ||||||
Chemical Financial Corp. | 35,722 | 1,907,555 | ||||||
Columbia Banking System Inc. | 45,588 | 1,767,447 | ||||||
Community Bank System Inc. | 70,500 | 4,305,435 | ||||||
Cullen/Frost Bankers Inc. | 63,206 | 6,601,235 | ||||||
CVB Financial Corp. | 195,500 | 4,363,560 |
Number of Shares | Fair $ | |||||||
Enterprise Financial Services Corp. | 31,841 | 1,689,165 | ||||||
Equity Bancshares Inc., Class A (a) | 21,929 | 860,933 | ||||||
First Financial Bankshares Inc. | 43,500 | 2,570,850 | ||||||
First Interstate BancSystem Inc., Class A | 47,365 | 2,121,952 | ||||||
Fulton Financial Corp. | 356,572 | 5,936,924 | ||||||
German American Bancorp Inc. | 103,500 | 3,651,480 | ||||||
Hancock Whitney Corp. | 19,655 | 934,595 | ||||||
Home BancShares Inc. | 85,049 | 1,862,573 | ||||||
IBERIABANK Corp. | 101,240 | 8,235,874 | ||||||
Independent Bank Corp. | 65,000 | 5,369,000 | ||||||
Lakeland Financial Corp. | 15,523 | 721,509 | ||||||
LegacyTexas Financial Group Inc. | 55,389 | 2,359,571 | ||||||
Origin Bancorp Inc. | 32,866 | 1,237,405 | ||||||
Pinnacle Financial Partners Inc. | 29,550 | 1,777,433 | ||||||
Prosperity Bancshares Inc. | 164,470 | 11,405,994 | ||||||
Renasant Corp. | 234,409 | 9,659,995 | ||||||
Sandy Spring Bancorp Inc. | 38,361 | 1,507,971 | ||||||
Simmons First National Corp., Class A | 64,219 | 1,891,250 | ||||||
Stock Yards Bancorp Inc. | 70,000 | 2,541,000 | ||||||
UMB Financial Corp. | 112,000 | 7,940,800 | ||||||
Umpqua Holdings Corp. | 94,573 | 1,967,118 | ||||||
Union Bankshares Corp. | 41,239 | 1,588,939 | ||||||
United Community Banks Inc. | 58,165 | 1,622,222 | ||||||
Washington Trust Bancorp Inc. | 66,500 | 3,677,450 | ||||||
Westamerica Bancorporation | 108,064 | 6,501,130 | ||||||
Western Alliance Bancorp (a) | 160,842 | 9,150,301 | ||||||
Wintrust Financial Corp. | 15,476 | 1,314,531 | ||||||
|
| |||||||
130,663,594 | ||||||||
|
| |||||||
Reinsurance - 0.0%* |
| |||||||
Maiden Holdings Ltd. | 55,500 | 158,175 | ||||||
|
| |||||||
Research & Consulting Services - 0.3% |
| |||||||
Resources Connection Inc. | 291,758 | 4,843,183 | ||||||
|
| |||||||
Restaurants - 1.2% |
| |||||||
BJ’s Restaurants Inc. | 20,100 | 1,451,220 | ||||||
Bloomin’ Brands Inc. | 18,400 | 364,136 | ||||||
Brinker International Inc. | 22,235 | 1,039,042 | ||||||
Cracker Barrel Old Country Store Inc. | 19,033 | 2,800,325 | ||||||
Dave & Buster’s Entertainment Inc. | 13,100 | 867,482 | ||||||
El Pollo Loco Holdings Inc. (a) | 116,500 | 1,462,075 | ||||||
Red Robin Gourmet Burgers Inc. (a) | 26,356 | 1,058,194 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 25 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2018
Number of Shares | Fair $ | |||||||
Ruth’s Hospitality Group Inc. | 38,300 | 1,208,365 | ||||||
Texas Roadhouse Inc. | 72,280 | 5,008,281 | ||||||
The Cheesecake Factory Inc. | 52,980 | 2,836,549 | ||||||
|
| |||||||
18,095,669 | ||||||||
|
| |||||||
Retail REITs - 0.1% |
| |||||||
Retail Opportunity Investments Corp. | 103,659 | 1,935,313 | ||||||
|
| |||||||
Security & Alarm Services - 0.9% |
| |||||||
The Brink’s Co. | 207,383 | 14,464,964 | ||||||
|
| |||||||
Semiconductor Equipment - 0.7% |
| |||||||
Advanced Energy Industries Inc. (a)(j) | 25,922 | 1,338,871 | ||||||
Amkor Technology Inc. (a) | 83,600 | 617,804 | ||||||
Entegris Inc. | 26,700 | 772,965 | ||||||
Ichor Holdings Ltd. (a) | 98,783 | 2,017,149 | ||||||
MKS Instruments Inc. | 13,000 | 1,041,950 | ||||||
Nanometrics Inc. (a) | 25,300 | 949,256 | ||||||
Rudolph Technologies Inc. (a) | 118,442 | 2,895,907 | ||||||
Versum Materials Inc. | 18,095 | 651,601 | ||||||
|
| |||||||
10,285,503 | ||||||||
|
| |||||||
Semiconductors - 0.6% |
| |||||||
Cirrus Logic Inc. (a) | 11,273 | 435,138 | ||||||
Semtech Corp. (a) | 153,558 | 8,537,825 | ||||||
SMART Global Holdings Inc. (a) | 28,200 | 810,468 | ||||||
|
| |||||||
9,783,431 | ||||||||
|
| |||||||
Soft Drinks - 0.2% |
| |||||||
Cott Corp. | 153,940 | 2,486,131 | ||||||
|
| |||||||
Specialized Consumer Services - 0.1% |
| |||||||
Weight Watchers International Inc. (a) | 14,744 | 1,061,421 | ||||||
|
| |||||||
Specialized REITs - 0.3% |
| |||||||
CoreSite Realty Corp. | 33,414 | 3,713,632 | ||||||
PotlatchDeltic Corp. | 38,855 | 1,591,112 | ||||||
|
| |||||||
5,304,744 | ||||||||
|
| |||||||
Specialty Chemicals - 4.0% |
| |||||||
Chase Corp. | 6,850 | 823,027 | ||||||
Ferro Corp. (a) | 62,467 | 1,450,484 | ||||||
HB Fuller Co. | 189,140 | 9,772,864 | ||||||
Ingevity Corp. (a) | 84,418 | 8,600,506 | ||||||
Innospec Inc. | 81,500 | 6,255,125 | ||||||
Minerals Technologies Inc. | 20,039 | 1,354,636 | ||||||
PolyOne Corp. | 198,155 | 8,663,337 | ||||||
PQ Group Holdings Inc. (a) | 29,831 | 521,148 |
Number of Shares | Fair $ | |||||||
Quaker Chemical Corp. | 41,835 | 8,459,455 | ||||||
Sensient Technologies Corp. | 200,959 | 15,375,373 | ||||||
|
| |||||||
61,275,955 | ||||||||
|
| |||||||
Specialty Stores - 0.4% |
| |||||||
Hibbett Sports Inc. (a) | 65,000 | 1,222,000 | ||||||
Sally Beauty Holdings Inc. (a) | 305,249 | 5,613,529 | ||||||
|
| |||||||
6,835,529 | ||||||||
|
| |||||||
Steel - 0.4% |
| |||||||
Carpenter Technology Corp. | 42,034 | 2,477,904 | ||||||
Commercial Metals Co. | 170,649 | 3,501,718 | ||||||
|
| |||||||
5,979,622 | ||||||||
|
| |||||||
Systems Software - 1.0% |
| |||||||
OneSpan Inc. (a) | 73,271 | 1,395,813 | ||||||
Progress Software Corp. | 23,300 | 822,257 | ||||||
Qualys Inc. (a) | 78,500 | 6,994,350 | ||||||
Talend S.A. ADR (a) | 79,000 | 5,509,460 | ||||||
|
| |||||||
14,721,880 | ||||||||
|
| |||||||
Technology Distributors - 0.2% |
| |||||||
ePlus Inc. (a) | 10,700 | 991,890 | ||||||
SYNNEX Corp. | 8,326 | 705,212 | ||||||
Tech Data Corp. (a) | 24,248 | 1,735,430 | ||||||
|
| |||||||
3,432,532 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.9% |
| |||||||
Diebold Nixdorf Inc. | 648,468 | 2,918,106 | ||||||
NCR Corp. (a) | 30,697 | 872,102 | ||||||
Pure Storage Inc., Class A (a) | 389,270 | 10,101,556 | ||||||
|
| |||||||
13,891,764 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.6% |
| |||||||
Axos Financial Inc. (a) | 27,394 | 942,080 | ||||||
Essent Group Ltd. (a) | 24,485 | 1,083,461 | ||||||
HomeStreet Inc. (a) | 20,871 | 553,081 | ||||||
Kearny Financial Corp. | 42,736 | 591,894 | ||||||
NMI Holdings Inc., Class A (a) | 44,500 | 1,007,925 | ||||||
Walker & Dunlop Inc. | 18,395 | 972,728 | ||||||
WSFS Financial Corp. | 79,443 | 3,745,737 | ||||||
|
| |||||||
8,896,906 | ||||||||
|
| |||||||
Tires & Rubber - 0.1% |
| |||||||
Cooper Tire & Rubber Co. | 71,405 | 2,020,761 | ||||||
|
| |||||||
Tobacco - 0.1% |
| |||||||
Turning Point Brands Inc. | 26,702 | 1,107,065 | ||||||
|
| |||||||
Trading Companies & Distributors - 0.8% |
| |||||||
Applied Industrial Technologies Inc. | 129,922 | 10,166,397 |
See Notes to Schedules of Investments and Notes to Financial Statements.
26 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2018
Number of Shares | Fair $ | |||||||
BMC Stock Holdings Inc. (a) | 41,100 | 766,515 | ||||||
GMS Inc. (a) | 24,961 | 579,095 | ||||||
|
| |||||||
11,512,007 | ||||||||
|
| |||||||
Trucking - 0.7% |
| |||||||
Avis Budget Group Inc. (a) | 23,300 | 748,862 | ||||||
Marten Transport Ltd. | 60,690 | 1,277,525 | ||||||
Old Dominion Freight Line Inc. | 42,601 | 6,869,837 | ||||||
Saia Inc. (a) | 14,122 | 1,079,626 | ||||||
|
| |||||||
9,975,850 | ||||||||
|
| |||||||
Total Common Stock (Cost $1,045,201,174) |
| 1,430,617,865 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Short-Term Investments - 6.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 2.01% (Cost $96,806,112) (d)(e) | 96,806,112 | 96,806,112 | ||||||
|
| |||||||
Total Investments (Cost $1,142,007,286) |
| 1,527,423,977 | ||||||
Other Assets and Liabilities, net - 0.2% |
| 3,821,498 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| 1,531,245,475 | ||||||
|
|
Other Information:
The Fund had the following long futures contracts open at September 30, 2018:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
CME E-mini Russell 2000 Index Futures | December 2018 | 258 | $ | 22,055,240 | $ | 21,940,320 | $ | (114,920 | ) | |||||||||||
|
|
During the period ended September 30, 2018, average notional value related to futures contracts was $22,847,318 or 1.5% of net assets.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of September 30, 2018.
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Small-Cap Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 1,430,617,865 | $ | — | $ | — | $ | 1,430,617,865 | ||||||||||
Short-Term Investments | 96,806,112 | — | — | 96,806,112 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 1,527,423,977 | $ | — | $ | — | $ | 1,527,423,977 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts — Unrealized Depreciation | $ | (114,920 | ) | $ | — | $ | — | $ | (114,920 | ) | ||||||||
|
|
|
|
|
|
|
|
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 9/30/18 | Value at 9/30/18 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 78,324,730 | $ | 78,324,730 | $ | 674,266,526 | $ | 655,785,144 | $ | — | $ | — | 96,806,112 | $ | 96,806,112 | $ | 1,260,300 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 27 |
Table of Contents
State Street Institutional International Equity Fund
Management Discussion of Fund Performance — September 30, 2018 (Unaudited)
The State Street Institutional International Equity Fund (the “Fund”) seeks to provide long-term growth of capital by investing primarily in equity securities of companies located in both developed and emerging market countries outside of the United States. The Fund’s benchmark is the MSCI EAFE Index (the “Index”).
For the 12-month period ended September 30, 2018 (the “Reporting Period”), the total return for the Fund’s Investment Class was 1.01%, for the Fund’s Service Class was 0.75% and for the Index was 2.74%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Underperformance in pharmaceuticals, a drop in French auto-supplier Valeo, and on the positive side, both an overweight and outperformance in Japan were primary drivers of Fund performance during the Reporting Period relative to the Index. In the pharmaceutical space, the Fund underperformed the Index driven in large part by its holding in Bayer. Bayer, a German healthcare and chemicals company, dropped in the wake of a negative lawsuit verdict related to Roundup weed killer, a product of Monsanto, a company that Bayer recently acquired. The clinical link between Roundup and cancer is not definitive and the verdict is under appeal, but this, and other related lawsuits, have impacted the stock price. Our view is that Bayer remains a strong growth story and the market reaction to the lawsuits exceeds our projection of its worst-case liability. We continued to hold Bayer as of quarter-end. Valeo’s stock has dropped amid a generally challenging environment for the automobile industry, which has been hit with the escalating trade war in which automobiles are a primary target and new euro-area emissions regulations which have been costly to comply with. These factors have impacted Valeo’s results. Longer-term we are positive on Valeo based on its strong market position in many of the trends that are transforming the automobile industry including increasing electrification and safety. Japan was a positive for the portfolio over the last year. We have had a positive view on Japan for a number of years based on the many improvements we are seeing at a company level from Prime Minister Shinzo Abe’s reform initiatives. Japan outperformed the Index significantly over the last twelve months, a benefit to the Fund which is overweight in the country. In addition, the Fund’s Japanese stocks across a wide range of industries outperformed the broader Japanese market by more than 3% during this period further adding to the benefit.
The Fund used index futures in order to efficiently manage cash flows due to subscriptions and redemptions during the Reporting Period. The Fund’s use of index futures slightly contributed to Fund performance relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Equinor, Daikin Industries and Kao Corporation. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Bayer AG, Valeo SA and ING Groep NV.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
28 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Performance Summary — September 30, 2018 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks. The Fund invests primarily (meaning at least 65%) in companies located in both developed and emerging market countries outside the United States.
Top Ten Largest Holdings
as of September 30, 2018 (as a % of Fair Value) (a)(b)
Nestle S.A. | 3.62 | % | ||
Daikin Industries Ltd. | 2.57 | % | ||
SAP SE | 2.52 | % | ||
ASML Holding N.V. | 2.38 | % | ||
AIA Group Ltd. | 2.31 | % | ||
Roche Holding AG | 2.27 | % | ||
Mitsubishi UFJ Financial Group Inc. | 2.25 | % | ||
AstraZeneca PLC | 2.23 | % | ||
Equinor ASA | 2.22 | % | ||
BNP Paribas S.A. | 2.16 | % |
Regional Allocation as of September 30, 2018
Portfolio composition as a % of Fair Value of $1,110,751 (in thousands) as of September 30, 2018 (a)(b)
Average Annual Total Return for the periods ended September 30, 2018
Investment Class Shares (Inception date: 11/25/97)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional International Equity Fund | 1.01 | % | 2.88 | % | 3.27 | % | $ | 13,799 | ||||||||
MSCI EAFE Index | 2.74 | % | 4.42 | % | 5.38 | % | $ | 16,888 |
Service Class Shares (Inception date: 1/3/01)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional International Equity Fund | 0.75 | % | 2.64 | % | 3.01 | % | $ | 13,453 | ||||||||
MSCI EAFE Index | 2.74 | % | 4.42 | % | 5.38 | % | $ | 16,888 |
State Street Institutional International Equity Fund | 29 |
Table of Contents
State Street Institutional International Equity Fund
Performance Summary, continued — September 30, 2018 (Unaudited)
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
30 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Performance Summary — September 30, 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 September 30, 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 April 1, 2018 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2018 | $ | 978.80 | $ | 1,022.20 | ||||
Expenses paid during the period* | $ | 2.83 | $ | 2.89 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period April 1, 2018 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2018 | $ | 977.20 | $ | 1,021.00 | ||||
Expenses paid during the period* | $ | 4.06 | $ | 4.15 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.57% for Investment Class shares and 0.82% for Service Class shares (for the period April 1, 2018-September 30, 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 | 31 |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments — September 30, 2018
Number of Shares | Fair $ | |||||||
Common Stock - 94.9%† |
| |||||||
Australia - 0.7% |
| |||||||
Suncorp Group Ltd. (j) | 719,698 | 7,529,867 | ||||||
|
| |||||||
Belgium - 1.4% |
| |||||||
Anheuser-Busch InBev S.A. | 172,192 | 15,044,070 | ||||||
|
| |||||||
Canada - 1.8% |
| |||||||
Brookfield Asset Management Inc., Class A | 133,629 | 5,943,317 | ||||||
Cenovus Energy Inc. | 558,528 | 5,604,292 | ||||||
Seven Generations Energy Ltd., Class A (a) | 711,047 | 8,471,394 | ||||||
|
| |||||||
20,019,003 | ||||||||
|
| |||||||
China - 1.0% |
| |||||||
New Oriental Education & Technology Group Inc. ADR | 149,281 | 11,048,287 | ||||||
|
| |||||||
France - 12.5% |
| |||||||
Air Liquide S.A. | 178,831 | 23,533,784 | ||||||
Airbus SE | 157,366 | 19,773,198 | ||||||
AXA S.A. (j) | 629,519 | 16,926,957 | ||||||
BNP Paribas S.A. | 391,010 | 23,938,665 | ||||||
Schneider Electric SE | 269,133 | 21,663,031 | ||||||
Valeo S.A. | 328,341 | 14,263,160 | ||||||
Vivendi S.A. | 742,726 | 19,125,525 | ||||||
|
| |||||||
139,224,320 | ||||||||
|
| |||||||
Germany - 10.4% |
| |||||||
Bayer AG | 245,148 | 21,785,403 | ||||||
Fresenius SE & Company KGaA | 98,932 | 7,266,875 | ||||||
HeidelbergCement AG | 183,926 | 14,381,569 | ||||||
Infineon Technologies AG | 645,591 | 14,674,636 | ||||||
KION Group AG | 170,196 | 10,465,316 | ||||||
SAP SE | 227,199 | 27,972,503 | ||||||
Wacker Chemie AG | 82,752 | 10,409,407 | ||||||
Zalando SE (a) | 234,384 | 9,122,659 | ||||||
|
| |||||||
116,078,368 | ||||||||
|
| |||||||
Hong Kong - 2.3% |
| |||||||
AIA Group Ltd. | 2,876,602 | 25,696,748 | ||||||
|
| |||||||
India - 1.5% |
| |||||||
ICICI Bank Ltd. | 3,838,780 | 16,180,704 | ||||||
|
| |||||||
Ireland - 1.7% |
| |||||||
Kerry Group PLC, Class A | 173,018 | 19,141,471 | ||||||
|
| |||||||
Italy - 0.4% |
| |||||||
Intesa Sanpaolo S.p.A. (j) | 1,885,016 | 4,818,969 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Japan - 28.4% |
| |||||||
Daikin Industries Ltd. | 214,200 | 28,522,912 | ||||||
Disco Corp. | 84,000 | 14,065,942 | ||||||
FANUC Corp. | 92,049 | 17,358,714 | ||||||
Hoya Corp. | 376,800 | 22,392,041 | ||||||
Kao Corp. | 268,000 | 21,645,745 | ||||||
Keyence Corp. | 38,100 | 22,131,778 | ||||||
Komatsu Ltd. | 755,200 | �� | 22,978,133 | |||||
Mitsubishi UFJ Financial Group Inc. | 4,011,700 | 25,044,649 | ||||||
Mitsui Fudosan Company Ltd. | 772,525 | 18,288,680 | ||||||
Murata Manufacturing Company Ltd. | 120,979 | 18,601,913 | ||||||
Nidec Corp. | 126,974 | 18,271,691 | ||||||
Secom Company Ltd. | 199,700 | 16,284,029 | ||||||
Sekisui House Ltd. | 968,800 | 14,777,004 | ||||||
Shimano Inc. | 64,500 | 10,397,456 | ||||||
SoftBank Group Corp. | 190,001 | 19,186,613 | ||||||
Subaru Corp. | 500,600 | 15,337,307 | ||||||
Tokio Marine Holdings Inc. | 212,943 | 10,567,942 | ||||||
|
| |||||||
315,852,549 | ||||||||
|
| |||||||
Netherlands - 3.9% |
| |||||||
ASML Holding N.V. | 141,503 | 26,444,827 | ||||||
ING Groep N.V. | 1,287,345 | 16,722,883 | ||||||
|
| |||||||
43,167,710 | ||||||||
|
| |||||||
Norway - 2.2% |
| |||||||
Equinor ASA | 873,435 | 24,615,737 | ||||||
|
| |||||||
Portugal - 1.7% |
| |||||||
Galp Energia SGPS S.A. | 977,095 | 19,395,362 | ||||||
|
| |||||||
South Africa - 0.4% |
| |||||||
Naspers Ltd., Class N | 21,373 | 4,608,971 | ||||||
|
| |||||||
Sweden - 3.1% |
| |||||||
Assa Abloy AB, Class B | 975,191 | 19,590,009 | ||||||
Hexagon AB, Class B | 254,205 | 14,892,368 | ||||||
|
| |||||||
34,482,377 | ||||||||
|
| |||||||
Switzerland - 9.4% |
| |||||||
Givaudan S.A. | 6,814 | 16,832,701 | ||||||
Nestle S.A. | 480,612 | 40,257,651 | ||||||
Novartis AG | 264,230 | 22,830,684 | ||||||
Roche Holding AG | 103,779 | 25,259,477 | ||||||
|
| |||||||
105,180,513 | ||||||||
|
| |||||||
Taiwan - 1.2% |
| |||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 1,555,548 | 13,373,444 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
32 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments, continued — September 30, 2018
Number of Shares | Fair $ | |||||||
United Kingdom - 10.9% |
| |||||||
AstraZeneca PLC | 317,945 | 24,723,555 | ||||||
BHP Billiton PLC | 1,011,982 | 22,054,404 | ||||||
Prudential PLC | 992,320 | 22,768,537 | ||||||
Smith & Nephew PLC | 825,969 | 15,074,078 | ||||||
Smiths Group PLC | 849,135 | 16,559,883 | ||||||
Vodafone Group PLC | 9,356,911 | 20,072,086 | ||||||
|
| |||||||
121,252,543 | ||||||||
|
| |||||||
Total Common Stock (Cost $897,462,564) |
| 1,056,711,013 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Short-Term Investments - 4.9% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 2.01% | 54,039,876 | 54,039,876 | ||||||
|
| |||||||
Total Investments (Cost $951,502,440) |
| 1,110,750,889 | ||||||
Other Assets and Liabilities, net - 0.2% |
| 2,322,461 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| 1,113,073,350 | ||||||
|
|
Other Information:
The Fund had the following long futures contracts open at September 30, 2018:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
MSCI EAFE Mini Index Futures | December 2018 | 216 | $ | 21,197,620 | $ | 21,335,400 | $ | 137,780 | ||||||||||||
|
|
During the period ended September 30, 2018, average notional value related to long and short futures contracts was $7,851,340 or 0.7% of net assets and $4,751,691 or 0.3% of net assets, respectively.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of September 30, 2018.
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional International Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 1,056,711,013 | $ | — | $ | — | $ | 1,056,711,013 | ||||||||||
Short-Term Investments | 54,039,876 | — | — | 54,039,876 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 1,110,750,889 | $ | — | $ | — | $ | 1,110,750,889 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts — Unrealized Appreciation | $ | 137,780 | $ | — | $ | — | $ | 137,780 | ||||||||||
|
|
|
|
|
|
|
|
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 9/30/18 | Value at 9/30/18 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 61,540,289 | $ | 61,540,289 | $ | 384,486,041 | $ | 391,986,454 | $ | — | $ | — | 54,039,876 | $ | 54,039,876 | $ | 531,830 | ||||||||||||||||||||
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional International Equity Fund | 33 |
Table of Contents
State Street Active Core Bond Fund
Management Discussion of Fund Performance — September 30, 2018 (Unaudited)
The State Street Active Core Bond Fund (the “Fund”) seeks to provide maximum income consistent with prudent investment management and the preservation of capital by investing primarily in bonds and other debt securities. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”).
For the 12-month period ended September 30, 2018 (the “Reporting Period”), the total return for the Fund’s Investment Class was -1.35%, for the Fund’s Service Class was -1.51% and for the Index was -1.22%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Duration, which had a negative impact, and asset allocation and security selection, which each had a positive impact, were the primary drivers of Fund performance during the Reporting Period relative to the Index.
Our view through much of the year has been long rates are nearing a cyclical peak and short rates would continue to move higher. For 2018 the ten-year government interest rate has increased from 2.40% to 3.06% as of September 30, 2018, negatively impacting our duration positioning.
We also expected the credit and economic cycle would extend further, which it has. This has resulted in credit spreads trading in a range for most of this year, ending the current quarter at what we believe are close to lows in the range, albeit higher than the levels obtained in January 2018. This has produced positive excess returns from asset allocation lifting the Fund’s performance.
While our baseline remains mostly constructive, pricing largely reflects that and tail events (large idiosyncratic events creating volatility and risk aversion) are becoming increasing likely. Credit out-performed as expected by our baseline economic projection. Selection drove out-performance as our bottom-up fundamental underwriting assisted our portfolio construction process to select higher value securities.
The Fund used treasury futures, interest rate swaps and other derivatives in order to actively manage duration during the Reporting Period. The Fund’s use of these derivatives contributed to Fund liquidity and key rate exposure management versus utilizing cash instruments only.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
34 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Performance Summary — September 30, 2018 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek maximum income consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in debt securities. The Fund invests primarily in a variety of investment-grade debt securities, such as mortgage-backed securities, corporate bonds, U.S. Government securities and money market instruments.
Quality Ratings
as of September 30, 2018 as a % of Fair Value (a)(b)
Moody’s / S&P /Rating* | Percentage of Fair Value | |||
Aaa / AAA | 10.87 | % | ||
Aa / AA | 52.10 | % | ||
A / A | 7.89 | % | ||
Baa / BBB | 19.97 | % | ||
Ba / BB and lower | 8.76 | % | ||
NR / Other | 0.41 | % |
Sector Allocation
Portfolio composition as a % of Fair Value of $231,443 (in thousands) as of September 30, 2018 (a)(b)
Average Annual Total Return for the periods ended September 30, 2018
Investment Class Shares (Inception date: 11/21/97)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Active Core Bond Fund | -1.35 | % | 2.46 | % | 3.92 | % | $ | 14,686 | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -1.22 | % | 2.16 | % | 3.77 | % | $ | 14,482 |
Service Class Shares (Inception date: 9/30/05)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Active Core Bond Fund | -1.51 | % | 2.21 | % | 3.66 | % | $ | 14,330 | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | -1.22 | % | 2.16 | % | 3.77 | % | $ | 14,482 |
State Street Active Core Bond Fund | 35 |
Table of Contents
State Street Active Core Bond Fund
Performance Summary, continued — September 30, 2018 (Unaudited)
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
* | Moody’s Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
36 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 April 1, 2018 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2018 | $ | 998.10 | $ | 1,023.80 | ||||
Expenses paid during the period* | $ | 1.25 | $ | 1.27 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Account value at the beginning of the period April 1, 2018 | $ | 1,000.00 | $ | 1,000.00 | ||||
Account value at the end of the period September 30, 2018 | $ | 996.20 | $ | 1,022.60 | ||||
Expenses paid during the period* | $ | 2.50 | $ | 2.54 |
* | 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 April 1, 2018-September 30, 2018), multiplied by the average account value over the period, multiplied by 183/365 (to reflect the one-half year period). |
State Street Active Core Bond Fund | 37 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments September 30, 2018
Principal Amount ($) | Fair $ | |||||||
Bonds and Notes - 98.5%† |
| |||||||
U.S. Treasuries - 40.9% |
| |||||||
U.S. Treasury Bonds | ||||||||
2.75%, 11/15/42 | 455,000 | 421,085 | ||||||
3.00%, 08/15/48 | 4,020,100 | 3,869,627 | ||||||
3.75%, 11/15/43 (j) | 622,000 | 681,124 | ||||||
4.50%, 02/15/36 (j) | 3,287,400 | 3,900,947 | ||||||
U.S. Treasury Notes | ||||||||
1.38%, 12/15/19 (j) | 8,530,700 | 8,397,716 | ||||||
1.50%, 11/30/19 | 8,387,400 | 8,272,772 | ||||||
1.50%, 08/15/20 (j) | 6,059,000 | 5,915,777 | ||||||
2.25%, 03/31/20 (j) | 23,837,000 | 23,660,954 | ||||||
2.75%, 07/31/23 | 11,606,600 | 11,504,756 | ||||||
2.88%, 07/31/25 - 05/15/28 | 24,192,100 | 23,939,175 | ||||||
|
| |||||||
90,563,933 | ||||||||
|
| |||||||
Agency Mortgage Backed - 11.4% |
| |||||||
Federal Home Loan Mortgage Corp. | ||||||||
4.50%, 06/01/33 - 02/01/35 (j) | 9,849 | 10,267 | ||||||
5.00%, 07/01/35 (j) | 86,786 | 92,650 | ||||||
5.50%, 05/01/20 - 04/01/39 (j) | 213,773 | 231,346 | ||||||
6.00%, 07/01/19 | 402 | 403 | ||||||
6.00%, 05/01/20 - 11/01/37 (j) | 363,777 | 394,814 | ||||||
6.50%, 08/01/29 - 10/01/33 (j) | 1,176 | 1,295 | ||||||
7.00%, 06/01/29 - 08/01/36 (j) | 52,716 | 57,966 | ||||||
7.50%, 01/01/30 - 09/01/33 (j) | 1,895 | 2,004 | ||||||
8.00%, 11/01/30 (j) | 11,928 | 12,754 | ||||||
8.50%, 04/01/30 (j) | 13,351 | 15,979 | ||||||
9.50%, 04/01/21 (j) | 10 | 10 | ||||||
Federal National Mortgage Assoc. | ||||||||
3.50%, 11/01/42 - 08/01/45 (j) | 2,371,590 | 2,352,489 | ||||||
4.00%, 05/01/19 - 12/01/41 (j) | 1,874,492 | 1,910,268 | ||||||
4.50%, 05/01/19 - 02/01/40 (j) | 1,232,702 | 1,282,977 | ||||||
5.00%, 07/01/20 - 05/01/39 (j) | 284,207 | 302,586 | ||||||
5.50%, 06/01/20 - 04/01/38 (j) | 977,786 | 1,056,713 | ||||||
6.00%, 09/01/19 - 08/01/35 (j) | 681,381 | 738,740 | ||||||
6.50%, 03/01/19 - 08/01/36 (j) | 61,940 | 66,357 | ||||||
7.00%, 10/01/32 - 02/01/34 (j) | 6,809 | 7,183 | ||||||
7.50%, 12/01/23 - 12/01/33 (j) | 39,767 | 43,142 | ||||||
8.00%, 07/01/25 - 10/01/31 (j) | 9,686 | 10,397 | ||||||
9.00%, 12/01/22 (j) | 538 | 566 | ||||||
Federal National Mortgage Assoc. 1.25% + USD COF11 5.50%, 10/01/24 (h)(j) | 5,473 | 5,649 | ||||||
Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | 2,327 | 2,382 | ||||||
Federal National Mortgage Assoc. TBA | ||||||||
2.50%, TBA (c) | 1,000,000 | 964,513 |
Principal Amount ($) | Fair $ | |||||||
3.00%, TBA (c) | 3,310,725 | 3,221,528 | ||||||
3.50%, TBA (c) | 3,199,000 | 3,147,957 | ||||||
4.00%, TBA (c) | 900,000 | 908,757 | ||||||
4.50%, TBA (c) | 700,000 | 722,022 | ||||||
Government National Mortgage Assoc. | ||||||||
4.00%, 01/20/41 - 04/20/43 (j) | 1,971,170 | 2,021,163 | ||||||
4.50%, 08/15/33 - 05/20/40 (j) | 359,439 | 375,429 | ||||||
5.00%, 08/15/33 (j) | 26,090 | 27,225 | ||||||
6.00%, 04/15/27 - 09/15/36 (j) | 175,042 | 190,607 | ||||||
6.50%, 04/15/19 - 09/15/36 (j) | 76,407 | 81,706 | ||||||
7.00%, 10/15/27 - 10/15/36 (j) | 38,009 | 41,567 | ||||||
7.50%, 01/15/23 - 11/15/31 (j) | 3,500 | 3,593 | ||||||
8.00%, 05/15/30 - 09/15/30 (j) | 369 | 395 | ||||||
9.00%, 12/15/21 (j) | 284 | 298 | ||||||
3.00%, TBA (c) | 2,399,000 | 2,323,036 | ||||||
3.50%, TBA (c) | 2,599,000 | 2,583,567 | ||||||
|
| |||||||
25,212,300 | ||||||||
|
| |||||||
Agency Collateralized Mortgage Obligations - 0.2% |
| |||||||
Federal Home Loan Mortgage Corp. | 693,491 | 1,712 | ||||||
Federal Home Loan Mortgage Corp. REMIC | ||||||||
3.50%, 11/15/24 - 11/15/30 (g)(j) | 387,493 | 31,429 | ||||||
5.50%, 06/15/33 (g)(j) | 28,816 | 5,970 | ||||||
7.50%, 07/15/27 (g)(j) | 3,144 | 668 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR 4.44%, 08/15/25 (g)(h)(j) | 149,360 | 7,906 | ||||||
Federal Home Loan Mortgage Corp. STRIPS | ||||||||
1.47%, 08/01/27 (d)(f)(j) | 681 | 600 | ||||||
8.00%, 02/01/23 (g) | 794 | 97 | ||||||
8.00%, 07/01/24 (g)(j) | 1,418 | 224 | ||||||
Federal National Mortgage Assoc. REMIC | ||||||||
0.51%, 12/25/22 (d)(f)(j) | 45 | 44 | ||||||
1.15%, 12/25/42 (g)(h) | 130,068 | 4,978 | ||||||
5.00%, 02/25/40 - 09/25/40 (g)(j) | 170,211 | 20,990 | ||||||
8.00%, 05/25/22 (g)(j) | 2 | 24 | ||||||
Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | 54,629 | 6,853 | ||||||
Federal National Mortgage Assoc. REMIC 6.20% - 1 month USD LIBOR 3.98%, 06/25/48 (g)(h) | 1,780,401 | 262,132 |
See Notes to Schedules of Investments and Notes to Financial Statements.
38 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
Federal National Mortgage Assoc. STRIPS | ||||||||
1.87%, 12/25/34 (d)(f)(j) | 12,873 | 10,912 | ||||||
4.50%, 08/25/35 - 01/25/36 (g)(j) | 88,872 | 11,883 | ||||||
5.00%, 03/25/38 - 05/25/38 (g)(j) | 49,285 | 11,192 | ||||||
5.50%, 12/25/33 (g)(j) | 12,595 | 2,871 | ||||||
6.00%, 01/25/35 (g)(j) | 53,130 | 11,583 | ||||||
7.50%, 11/25/23 (g)(j) | 9,167 | 1,198 | ||||||
8.00%, 08/25/23 - 07/25/24 (g)(j) | 4,292 | 632 | ||||||
8.50%, 07/25/22 (g)(j) | 74 | 7 | ||||||
8.50%, 07/25/22 (g)** | 2 | — | ||||||
9.00%, 05/25/22 (g)(j) | 63 | 5 | ||||||
Government National Mortgage Assoc. REMIC | ||||||||
4.50%, 05/20/38 - 08/16/39 (g)(j) | 121,013 | 10,252 | ||||||
5.00%, 09/20/38 (g)(j) | 33,027 | 1,317 | ||||||
Government National Mortgage Assoc. REMIC 6.80% - 1 month USD LIBOR 4.64%, 01/16/40 (g)(h)(j) | 246,561 | 45,017 | ||||||
|
| |||||||
450,496 | ||||||||
|
| |||||||
Asset Backed - 2.8% |
| |||||||
American Express Credit Account Master Trust 2017-6 | 1,198,658 | 1,174,411 | ||||||
American Express Credit Account Master Trust 2018-1 | 495,000 | 492,945 | ||||||
American Express Credit Account Master Trust 2018-8 | 1,270,000 | 1,268,169 | ||||||
BA Credit Card Trust 2018-A1 | 432,000 | 427,473 | ||||||
BMW Floorplan Master Owner Trust 2018-1 | 298,000 | 297,196 | ||||||
Chase Funding Trust 2004-1 | 183,410 | 183,410 | ||||||
Chase Issuance Trust 2015-A4 | 650,000 | 638,581 | ||||||
Citibank Credit Card Issuance Trust 2016-A1 | 1,668,000 | 1,646,550 | ||||||
Securitized Term Auto Receivables Trust 2018-1A | 118,000 | 117,228 | ||||||
|
| |||||||
6,245,963 | ||||||||
|
|
Principal Amount ($) | Fair $ | |||||||
Corporate Notes - 38.4% |
| |||||||
21st Century Fox America Inc. | ||||||||
3.38%, 11/15/26 (j) | 29,000 | 28,302 | ||||||
4.50%, 02/15/21 (j) | 61,000 | 62,701 | ||||||
4.75%, 11/15/46 (j) | 17,000 | 18,235 | ||||||
6.65%, 11/15/37 (j) | 110,000 | 145,552 | ||||||
Abbott Laboratories | ||||||||
2.90%, 11/30/21 (j) | 296,000 | 292,054 | ||||||
3.75%, 11/30/26 (j) | 169,000 | 168,376 | ||||||
4.90%, 11/30/46 (j) | 100,000 | 108,624 | ||||||
AbbVie Inc. | ||||||||
2.00%, 11/06/18 (j) | 198,000 | 197,895 | ||||||
3.20%, 05/14/26 (j) | 121,000 | 112,626 | ||||||
4.45%, 05/14/46 (j) | 59,000 | 54,357 | ||||||
4.70%, 05/14/45 (j) | 44,000 | 42,315 | ||||||
4.88%, 11/14/48 (j) | 36,000 | 35,481 | ||||||
Acadia Healthcare Company Inc. | 197,000 | 203,403 | ||||||
Activision Blizzard Inc. | 362,000 | 351,307 | ||||||
AES Corp. | 215,000 | 216,612 | ||||||
Aetna Inc. | 155,000 | 151,322 | ||||||
Aflac Inc. | 50,000 | 46,382 | ||||||
Alexandria Real Estate Equities Inc. | 68,000 | 68,670 | ||||||
Alibaba Group Holding Ltd. | 200,000 | 183,426 | ||||||
4.40%, 12/06/57 (j) | 200,000 | 183,006 | ||||||
Alimentation Couche-Tard Inc. | ||||||||
2.70%, 07/26/22 (b)(j) | 72,000 | 69,179 | ||||||
3.55%, 07/26/27 (b)(j) | 54,000 | 50,762 | ||||||
4.50%, 07/26/47 (b)(j) | 65,000 | 60,365 | ||||||
Allergan Finance LLC | ||||||||
3.25%, 10/01/22 (j) | 131,000 | 128,625 | ||||||
4.63%, 10/01/42 (j) | 16,000 | 15,132 | ||||||
Allergan Funding SCS | ||||||||
3.00%, 03/12/20 (j) | 204,000 | 203,680 | ||||||
3.45%, 03/15/22 (j) | 91,000 | 90,371 | ||||||
4.55%, 03/15/35 (j) | 40,000 | 38,799 | ||||||
4.75%, 03/15/45 (j) | 19,000 | 18,520 | ||||||
Allergan Sales LLC | ||||||||
5.00%, 12/15/21 (b)(j) | 241,000 | 249,813 | ||||||
Altria Group Inc. | ||||||||
2.95%, 05/02/23 (j) | 111,000 | 107,714 | ||||||
3.88%, 09/16/46 (j) | 4,000 | 3,499 | ||||||
4.50%, 05/02/43 (j) | 52,000 | 50,201 | ||||||
Amazon.com Inc. | ||||||||
2.80%, 08/22/24 (j) | 79,000 | 76,262 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 39 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
3.15%, 08/22/27 (j) | 39,000 | 37,390 | ||||||
3.88%, 08/22/37 (j) | 40,000 | 39,123 | ||||||
4.05%, 08/22/47 (j) | 53,000 | 52,100 | ||||||
4.25%, 08/22/57 (j) | 67,000 | 66,864 | ||||||
Ameren Corp. | 71,000 | 68,958 | ||||||
American Axle & Manufacturing Inc. | 168,000 | 167,311 | ||||||
American Campus Communities Operating Partnership LP | ||||||||
3.35%, 10/01/20 (j) | 136,000 | 135,472 | ||||||
4.13%, 07/01/24 (j) | 80,000 | 79,411 | ||||||
American Express Co. | 199,000 | 189,880 | ||||||
American International Group Inc. | ||||||||
4.50%, 07/16/44 (j) | 137,000 | 130,094 | ||||||
6.40%, 12/15/20 (j) | 61,000 | 64,891 | ||||||
American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR thereafter) | 142,000 | 138,132 | ||||||
American Tower Corp. (REIT) | ||||||||
3.38%, 10/15/26 (j) | 65,000 | 60,546 | ||||||
3.40%, 02/15/19 (j) | 259,000 | 259,528 | ||||||
American Water Capital Corp. | 128,000 | 119,638 | ||||||
Amgen Inc. | ||||||||
2.20%, 05/22/19 (j) | 177,000 | 176,377 | ||||||
2.65%, 05/11/22 (j) | 162,000 | 157,323 | ||||||
3.20%, 11/02/27 (j) | 134,000 | 125,590 | ||||||
4.56%, 06/15/48 (j) | 42,000 | 41,129 | ||||||
AMN Healthcare Inc. | 250,000 | 241,875 | ||||||
Anadarko Petroleum Corp. | ||||||||
4.85%, 03/15/21 (j) | 65,000 | 66,727 | ||||||
6.20%, 03/15/40 (j) | 60,000 | 66,712 | ||||||
Andeavor Logistics LP/Tesoro Logistics Finance Corp. | ||||||||
5.20%, 12/01/47 (j) | 42,000 | 41,625 | ||||||
5.25%, 01/15/25 (j) | 582,000 | 598,005 | ||||||
5.50%, 10/15/19 (j) | 325,000 | 329,875 | ||||||
6.25%, 10/15/22 (j) | 168,000 | 173,460 | ||||||
Anheuser-Busch InBev Finance Inc. | ||||||||
4.70%, 02/01/36 (j) | 62,000 | 62,011 | ||||||
4.90%, 02/01/46 (j) | 116,000 | 116,820 | ||||||
Anheuser-Busch InBev Worldwide Inc. | ||||||||
2.50%, 07/15/22 (j) | 102,000 | 98,427 |
Principal Amount ($) | Fair $ | |||||||
4.00%, 04/13/28 (j) | 88,000 | 86,700 | ||||||
4.38%, 04/15/38 (j) | 211,000 | 202,959 | ||||||
4.60%, 04/15/48 (j) | 78,000 | 75,571 | ||||||
4.75%, 04/15/58 (j) | 54,000 | 52,266 | ||||||
Anthem Inc. | 130,000 | 127,979 | ||||||
ANZ New Zealand International Ltd. | 200,000 | 189,382 | ||||||
Apache Corp. | ||||||||
4.38%, 10/15/28 (j) | 54,000 | 53,071 | ||||||
5.10%, 09/01/40 (j) | 66,000 | 65,265 | ||||||
Apple Inc. | ||||||||
2.50%, 02/09/22 (j) | 53,000 | 51,835 | ||||||
2.85%, 05/11/24 (j) | 143,000 | 138,671 | ||||||
3.35%, 02/09/27 (j) | 73,000 | 71,355 | ||||||
3.45%, 02/09/45 (j) | 164,000 | 147,359 | ||||||
3.85%, 08/04/46 (j) | 121,000 | 115,678 | ||||||
4.25%, 02/09/47 (j) | 66,000 | 67,167 | ||||||
Applied Materials Inc. | 95,000 | 94,706 | ||||||
Aptiv PLC | 86,000 | 77,368 | ||||||
Aramark Services Inc. | 80,000 | 78,504 | ||||||
Archer-Daniels-Midland Co. | 67,000 | 61,236 | ||||||
Arconic Inc. | ||||||||
5.13%, 10/01/24 (j) | 156,000 | 156,983 | ||||||
6.15%, 08/15/20 (j) | 75,000 | 77,906 | ||||||
Ascension Health | 52,000 | 56,585 | ||||||
AstraZeneca PLC | ||||||||
2.38%, 11/16/20 (j) | 45,000 | 44,216 | ||||||
3.38%, 11/16/25 (j) | 114,000 | 110,126 | ||||||
3.50%, 08/17/23 (j) | 108,000 | 107,094 | ||||||
4.00%, 01/17/29 (j) | 72,000 | 70,916 | ||||||
4.38%, 08/17/48 (j) | 72,000 | 69,834 | ||||||
AT&T Inc. | ||||||||
2.45%, 06/30/20 (j) | 143,000 | 141,095 | ||||||
3.00%, 06/30/22 (j) | 94,000 | 91,618 | ||||||
3.80%, 03/15/22 (j) | 180,000 | 180,553 | ||||||
4.10%, 02/15/28 (b)(j) | 171,000 | 165,945 | ||||||
4.45%, 04/01/24 (j) | 118,000 | 120,229 | ||||||
4.50%, 05/15/35 - 03/09/48 (j) | 228,000 | 208,783 | ||||||
4.75%, 05/15/46 (j) | 107,000 | 97,657 | ||||||
4.80%, 06/15/44 (j) | 102,000 | 93,993 | ||||||
5.25%, 03/01/37 (j) | 123,000 | 122,474 | ||||||
5.45%, 03/01/47 (j) | 138,000 | 137,949 | ||||||
Athene Holding Ltd. | 118,000 | 110,443 | ||||||
Avangrid Inc. | 239,000 | 227,662 |
See Notes to Schedules of Investments and Notes to Financial Statements.
40 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
Bank of America Corp. | 6,000 | 5,595 | ||||||
3.95%, 04/21/25 (j) | 143,000 | 139,934 | ||||||
4.25%, 10/22/26 (j) | 63,000 | 62,223 | ||||||
Bank of America Corp. (2.37% fixed rate until 07/21/20; 0.66% + 3 month USD LIBOR thereafter) | 144,000 | 141,398 | ||||||
Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter) | 138,000 | 135,505 | ||||||
Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR thereafter) | 242,000 | 232,952 | ||||||
Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.04% + 3 month USD LIBOR thereafter) | 113,000 | 105,987 | ||||||
Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter) | 174,000 | 159,805 | ||||||
Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) | 168,000 | 164,244 | ||||||
Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.31% + 3 month USD LIBOR thereafter) | 171,000 | 170,884 | ||||||
Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR thereafter) | 40,000 | 39,816 | ||||||
Barclays PLC | ||||||||
4.34%, 01/10/28 (j) | 200,000 | 189,446 | ||||||
4.84%, 05/09/28 (j) | 200,000 | 187,350 | ||||||
Barclays PLC (4.97% fixed rate until 05/16/28; 1.90% + 3 month USD LIBOR thereafter) | 200,000 | 197,620 |
Principal Amount ($) | Fair $ | |||||||
Barrick North America Finance LLC | 26,000 | 28,521 | ||||||
BAT Capital Corp. | ||||||||
2.30%, 08/14/20 (b)(j) | 137,000 | 134,283 | ||||||
2.76%, 08/15/22 (b)(j) | 116,000 | 111,836 | ||||||
3.56%, 08/15/27 (b)(j) | 120,000 | 111,746 | ||||||
4.39%, 08/15/37 (b)(j) | 51,000 | 47,396 | ||||||
4.54%, 08/15/47 (b)(j) | 82,000 | 75,576 | ||||||
Bausch Health Companies Inc. | 391,000 | 412,622 | ||||||
Baxalta Inc. | 40,000 | 39,649 | ||||||
Bayer US Finance II LLC | ||||||||
3.50%, 06/25/21 (b)(j) | 405,000 | 403,858 | ||||||
3.88%, 12/15/23 (b)(j) | 205,000 | 203,575 | ||||||
4.70%, 07/15/64 (b)(j) | 24,000 | 20,388 | ||||||
Becton Dickinson and Co. | ||||||||
2.89%, 06/06/22 (j) | 117,000 | 112,893 | ||||||
3.70%, 06/06/27 (j) | 209,000 | 199,764 | ||||||
3.73%, 12/15/24 (j) | 6,000 | 5,875 | ||||||
4.67%, 06/06/47 (j) | 15,000 | 14,910 | ||||||
4.69%, 12/15/44 (j) | 18,000 | 17,770 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
2.40%, 02/01/20 (j) | 253,000 | 250,875 | ||||||
3.25%, 04/15/28 (j) | 94,000 | 88,885 | ||||||
3.80%, 07/15/48 (j) | 94,000 | 84,714 | ||||||
6.13%, 04/01/36 (j) | 113,000 | 137,040 | ||||||
Berry Global Inc. | 225,000 | 226,687 | ||||||
Biogen Inc. | 45,000 | 44,772 | ||||||
BNP Paribas S.A. | 58,000 | 59,993 | ||||||
BNP Paribas S.A. (5.13% fixed rate until 11/15/27; 2.84% + USD 5 year Swap Rate thereafter) | 200,000 | 178,456 | ||||||
Boston Scientific Corp. | 164,000 | 162,148 | ||||||
BP Capital Markets PLC | ||||||||
3.02%, 01/16/27 | 320,000 | 300,742 | ||||||
3.22%, 11/28/23 (j) | 160,000 | 157,133 | ||||||
Brighthouse Financial Inc. | ||||||||
3.70%, 06/22/27 (j) | 20,000 | 17,769 | ||||||
4.70%, 06/22/47 (j) | 9,000 | 7,437 | ||||||
Brixmor Operating Partnership LP | 176,000 | 167,154 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 41 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | ||||||||
2.20%, 01/15/21 (j) | 56,000 | 54,241 | ||||||
2.65%, 01/15/23 (j) | 38,000 | 35,890 | ||||||
3.13%, 01/15/25 (j) | 45,000 | 41,787 | ||||||
3.88%, 01/15/27 (j) | 36,000 | 33,930 | ||||||
Brown-Forman Corp. | 32,000 | 31,664 | ||||||
Buckeye Partners LP | 53,000 | 49,332 | ||||||
Bunge Limited Finance Corp. | 63,000 | 57,935 | ||||||
Burlington Northern Santa Fe LLC | 106,000 | 104,592 | ||||||
Campbell Soup Co. | 179,000 | 177,767 | ||||||
Canadian Natural Resources Ltd. | ||||||||
3.85%, 06/01/27 (j) | 36,000 | 35,039 | ||||||
4.95%, 06/01/47 (j) | 28,000 | 29,200 | ||||||
Canadian Pacific Railway Co. | 68,000 | 64,630 | ||||||
Capital One Financial Corp. | ||||||||
3.75%, 07/28/26 (j) | 53,000 | 49,395 | ||||||
4.20%, 10/29/25 (j) | 56,000 | 54,603 | ||||||
Cardinal Health Inc. | ||||||||
2.62%, 06/15/22 (j) | 60,000 | 57,412 | ||||||
3.08%, 06/15/24 (j) | 62,000 | 58,582 | ||||||
Caterpillar Financial Services Corp. | 157,000 | 152,190 | ||||||
Caterpillar Inc. | 41,000 | 39,188 | ||||||
Catholic Health Initiatives | 129,000 | 117,031 | ||||||
CBL & Associates LP | 249,000 | 201,068 | ||||||
CBS Corp. | 83,000 | 74,274 | ||||||
CCO Holdings LLC/CCO Holdings Capital Corp. | 249,000 | 233,114 | ||||||
Celgene Corp. | ||||||||
3.45%, 11/15/27 (j) | 5,000 | 4,658 | ||||||
4.35%, 11/15/47 (j) | 6,000 | 5,411 | ||||||
4.55%, 02/20/48 (j) | 107,000 | 99,432 | ||||||
5.00%, 08/15/45 (j) | 45,000 | 44,563 | ||||||
Cenovus Energy Inc. | ||||||||
4.25%, 04/15/27 (j) | 63,000 | 60,901 | ||||||
4.45%, 09/15/42 (j) | 34,000 | 29,890 | ||||||
5.40%, 06/15/47 (j) | 16,000 | 15,992 | ||||||
CenterPoint Energy Inc. | 130,000 | 124,292 |
Principal Amount ($) | Fair $ | |||||||
CenturyLink Inc. | 134,000 | 136,345 | ||||||
CF Industries Inc. | 151,000 | 158,928 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
3.58%, 07/23/20 (j) | 100,000 | 99,750 | ||||||
4.91%, 07/23/25 (j) | 66,000 | 67,100 | ||||||
5.38%, 05/01/47 (j) | 72,000 | 68,661 | ||||||
5.75%, 04/01/48 (j) | 45,000 | 44,946 | ||||||
6.38%, 10/23/35 (j) | 21,000 | 22,643 | ||||||
6.48%, 10/23/45 (j) | 45,000 | 48,387 | ||||||
Chevron Corp. | ||||||||
2.42%, 11/17/20 (j) | 61,000 | 60,239 | ||||||
3.19%, 06/24/23 (j) | 111,000 | 110,181 | ||||||
Church & Dwight Company Inc. | 59,000 | 56,615 | ||||||
Cigna Corp. | ||||||||
3.25%, 04/15/25 (j) | 124,000 | 117,354 | ||||||
3.88%, 10/15/47 (j) | 68,000 | 58,212 | ||||||
Cimarex Energy Co. | 18,000 | 17,186 | ||||||
Cinemark USA Inc. | 125,000 | 122,969 | ||||||
Cisco Systems Inc. | 69,000 | 85,740 | ||||||
Citibank NA | 254,000 | 251,013 | ||||||
Citigroup Inc. | ||||||||
2.40%, 02/18/20 (j) | 188,000 | 186,118 | ||||||
2.70%, 10/27/22 (j) | 115,000 | 110,594 | ||||||
2.90%, 12/08/21 (j) | 194,000 | 189,945 | ||||||
4.40%, 06/10/25 (j) | 55,000 | 54,988 | ||||||
4.45%, 09/29/27 (j) | 84,000 | 83,019 | ||||||
4.65%, 07/23/48 (j) | 170,000 | 171,673 | ||||||
4.75%, 05/18/46 (j) | 67,000 | 65,543 | ||||||
Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) | 99,000 | 95,691 | ||||||
Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter) | 51,000 | 47,033 | ||||||
Citigroup Inc. (4.28% fixed rate until 04/24/47; 1.84% + 3 month USD LIBOR thereafter) | 121,000 | 115,887 | ||||||
CME Group Inc. | 83,000 | 83,036 |
See Notes to Schedules of Investments and Notes to Financial Statements.
42 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
CMS Energy Corp. | 194,000 | 204,612 | ||||||
CNA Financial Corp. | ||||||||
3.45%, 08/15/27 (j) | 67,000 | 62,013 | ||||||
5.88%, 08/15/20 (j) | 252,000 | 263,020 | ||||||
CNH Industrial Capital LLC | ||||||||
3.38%, 07/15/19 (j) | 94,000 | 93,706 | ||||||
4.38%, 11/06/20 (j) | 72,000 | 72,810 | ||||||
4.88%, 04/01/21 (j) | 92,000 | 94,300 | ||||||
CNH Industrial N.V. | 156,000 | 158,402 | ||||||
CNOOC Nexen Finance 2014 ULC | 233,000 | 235,144 | ||||||
Columbia Pipeline Group Inc. | 82,000 | 81,859 | ||||||
Comcast Corp. | ||||||||
3.97%, 11/01/47 (j) | 226,000 | 201,624 | ||||||
4.20%, 08/15/34 (j) | 108,000 | 103,857 | ||||||
4.60%, 08/15/45 (j) | 42,000 | 41,049 | ||||||
Commonwealth Bank of Australia | 202,000 | 182,446 | ||||||
Concho Resources Inc. | ||||||||
3.75%, 10/01/27 (j) | 54,000 | 51,708 | ||||||
4.30%, 08/15/28 (j) | 155,000 | 154,217 | ||||||
4.88%, 10/01/47 (j) | 43,000 | 43,519 | ||||||
ConocoPhillips Co. | 18,000 | 18,516 | ||||||
Consolidated Edison Company of New York Inc. | ||||||||
2.90%, 12/01/26 (j) | 132,000 | 123,169 | ||||||
3.88%, 06/15/47 (j) | 64,000 | 59,653 | ||||||
Constellation Brands Inc. | ||||||||
2.70%, 05/09/22 (j) | 117,000 | 112,714 | ||||||
4.50%, 05/09/47 (j) | 30,000 | 27,940 | ||||||
Continental Resources Inc. | 85,000 | 86,488 | ||||||
Corning Inc. | 104,000 | 91,268 | ||||||
Corporation Andina de Fomento | 157,000 | 153,717 | ||||||
Crane Co. | 36,000 | 33,529 | ||||||
Credit Suisse Group Funding Guernsey Ltd. | 275,000 | 271,708 | ||||||
CSX Corp. | 77,000 | 74,757 | ||||||
CVS Health Corp. | ||||||||
2.25%, 08/12/19 (j) | 159,000 | 158,145 | ||||||
3.13%, 03/09/20 (j) | 479,000 | 478,746 | ||||||
3.35%, 03/09/21 (j) | 303,000 | 302,309 |
Principal Amount ($) | Fair $ | |||||||
3.70%, 03/09/23 (j) | 134,000 | 133,413 | ||||||
3.88%, 07/20/25 (j) | 66,000 | 64,982 | ||||||
4.10%, 03/25/25 (j) | 134,000 | 133,539 | ||||||
4.30%, 03/25/28 (j) | 98,000 | 97,142 | ||||||
4.78%, 03/25/38 (j) | 84,000 | 83,749 | ||||||
5.00%, 12/01/24 (j) | 136,000 | 141,901 | ||||||
5.05%, 03/25/48 (j) | 99,000 | 101,132 | ||||||
5.13%, 07/20/45 (j) | 50,000 | 51,246 | ||||||
D.R. Horton Inc. | 150,000 | 146,574 | ||||||
Dana Financing Luxembourg Sarl | 245,000 | 249,888 | ||||||
Dell International LLC/EMC Corp. | ||||||||
3.48%, 06/01/19 (b)(j) | 256,000 | 256,712 | ||||||
5.45%, 06/15/23 (b)(j) | 97,000 | 101,930 | ||||||
6.02%, 06/15/26 (b)(j) | 66,000 | 70,493 | ||||||
8.10%, 07/15/36 (b)(j) | 15,000 | 17,985 | ||||||
8.35%, 07/15/46 (b)(j) | 78,000 | 97,123 | ||||||
Deutsche Bank AG | ||||||||
2.70%, 07/13/20 (j) | 132,000 | 129,236 | ||||||
3.30%, 11/16/22 (j) | 155,000 | 147,352 | ||||||
Deutsche Bank AG (4.88% fixed rate until 12/01/27; 2.55% + USD 5 year Mid-Market Swap Rate thereafter) | 202,000 | 178,730 | ||||||
Devon Energy Corp. | ||||||||
4.00%, 07/15/21 (j) | 305,000 | 307,968 | ||||||
5.00%, 06/15/45 (j) | 61,000 | 60,782 | ||||||
Diageo Investment Corp. | 119,000 | 116,827 | ||||||
Discover Bank | 298,000 | 296,078 | ||||||
Discovery Communications LLC | ||||||||
2.20%, 09/20/19 (j) | 147,000 | 145,840 | ||||||
3.95%, 03/20/28 (j) | 160,000 | 151,888 | ||||||
5.00%, 09/20/37 (j) | 45,000 | 43,827 | ||||||
5.20%, 09/20/47 (j) | 21,000 | 20,513 | ||||||
DISH DBS Corp. | 83,000 | 81,016 | ||||||
Dollar Tree Inc. | ||||||||
3.70%, 05/15/23 (j) | 139,000 | 137,172 | ||||||
4.00%, 05/15/25 (j) | 135,000 | 132,316 | ||||||
Dominion Energy Inc. | ||||||||
2.50%, 12/01/19 (j) | 168,000 | 166,785 | ||||||
2.58%, 07/01/20 (j) | 123,000 | 121,401 | ||||||
3.63%, 12/01/24 (j) | 132,000 | 129,113 | ||||||
DTE Energy Co. | ||||||||
2.85%, 10/01/26 (j) | 151,000 | 138,364 | ||||||
3.85%, 12/01/23 (j) | 77,000 | 77,312 | ||||||
Duke Energy Carolinas LLC | 72,000 | 68,547 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 43 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
Duke Energy Corp. | 50,000 | 44,055 | ||||||
Duke Energy Progress LLC | 94,000 | 92,267 | ||||||
Duke Realty LP | ||||||||
3.25%, 06/30/26 (j) | 89,000 | 83,575 | ||||||
3.38%, 12/15/27 (j) | 60,000 | 56,233 | ||||||
Duquesne Light Holdings Inc. | 72,000 | 67,193 | ||||||
Eastman Chemical Co. | 45,000 | 45,027 | ||||||
Eaton Corp. | 141,000 | 131,446 | ||||||
Ecolab Inc. | ||||||||
3.25%, 12/01/27 (j) | 55,000 | 52,768 | ||||||
3.95%, 12/01/47 (j) | 67,000 | 63,772 | ||||||
Ecopetrol S.A. | ||||||||
5.88%, 05/28/45 (j) | 132,000 | 130,196 | ||||||
7.63%, 07/23/19 (j) | 61,000 | 63,188 | ||||||
Edison International | 82,000 | 81,169 | ||||||
EI du Pont de Nemours & Co. 0.53% + 3 month USD LIBOR | 141,000 | 141,864 | ||||||
Electricite de France S.A. | 392,000 | 391,294 | ||||||
Eli Lilly & Co. | 18,000 | 17,035 | ||||||
EMC Corp. | 377,000 | 369,931 | ||||||
Emera US Finance LP | 15,000 | 14,779 | ||||||
Enbridge Energy Partners LP | 20,000 | 21,372 | ||||||
Encana Corp. | 145,000 | 145,544 | ||||||
Endo Dac/Endo Finance LLC/Endo Finco Inc. | 251,000 | 252,569 | ||||||
Energy Transfer Equity LP | 585,000 | 617,175 | ||||||
Energy Transfer Partners LP | ||||||||
4.20%, 09/15/23 (j) | 78,000 | 78,620 | ||||||
4.95%, 06/15/28 (j) | 44,000 | 44,830 | ||||||
5.80%, 06/15/38 (j) | 84,000 | 87,541 | ||||||
6.13%, 12/15/45 (j) | 33,000 | 34,983 | ||||||
6.50%, 02/01/42 (j) | 110,000 | 121,074 | ||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 91,000 | 92,298 | ||||||
EnLink Midstream Partners LP | 166,000 | 157,078 |
Principal Amount ($) | Fair $ | |||||||
Entergy Louisiana LLC | ||||||||
3.05%, 06/01/31 (j) | 59,000 | 53,768 | ||||||
4.00%, 03/15/33 (j) | 72,000 | 72,054 | ||||||
Enterprise Products Operating LLC | 90,000 | 84,628 | ||||||
Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter) | 47,000 | 44,027 | ||||||
EOG Resources Inc. | ||||||||
4.10%, 02/01/21 (j) | 167,000 | 169,740 | ||||||
4.15%, 01/15/26 (j) | 116,000 | 118,545 | ||||||
EPR Properties | 89,000 | 87,530 | ||||||
EQT Corp. | 67,000 | 62,794 | ||||||
EQT Midstream Partners LP | ||||||||
4.75%, 07/15/23 (j) | 34,000 | 34,516 | ||||||
5.50%, 07/15/28 (j) | 34,000 | 34,957 | ||||||
ERP Operating LP | 49,000 | 49,359 | ||||||
Exelon Corp. | ||||||||
3.50%, 06/01/22 (j) | 133,000 | 130,695 | ||||||
4.45%, 04/15/46 (j) | 96,000 | 93,325 | ||||||
Express Scripts Holding Co. | 66,000 | 61,292 | ||||||
Exxon Mobil Corp. | 114,000 | 111,741 | ||||||
FedEx Corp. | 189,000 | 172,143 | ||||||
FirstEnergy Corp. | ||||||||
3.90%, 07/15/27 (j) | 22,000 | 21,413 | ||||||
4.85%, 07/15/47 (j) | 60,000 | 61,485 | ||||||
Florida Power & Light Co. | 102,000 | 102,005 | ||||||
Ford Motor Co. | 82,000 | 77,242 | ||||||
Ford Motor Credit Company LLC | ||||||||
3.22%, 01/09/22 (j) | 459,000 | 443,523 | ||||||
3.34%, 03/28/22 (j) | 200,000 | 193,288 | ||||||
Frontier Communications Corp. | 288,000 | 289,800 | ||||||
General Dynamics Corp. | ||||||||
2.13%, 08/15/26 (j) | 162,000 | 145,099 | ||||||
2.88%, 05/11/20 (j) | 174,000 | 173,584 | ||||||
3.00%, 05/11/21 (j) | 244,000 | 242,695 | ||||||
3.38%, 05/15/23 (j) | 154,000 | 153,709 | ||||||
3.50%, 05/15/25 (j) | 149,000 | 148,690 | ||||||
General Mills Inc. | ||||||||
3.20%, 04/16/21 (j) | 165,000 | 164,017 | ||||||
3.70%, 10/17/23 (j) | 134,000 | 133,205 |
See Notes to Schedules of Investments and Notes to Financial Statements.
44 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
4.55%, 04/17/38 (j) | 60,000 | 57,620 | ||||||
4.70%, 04/17/48 (j) | 48,000 | 46,114 | ||||||
General Motors Co. | 19,000 | 17,249 | ||||||
General Motors Financial Company Inc. | ||||||||
2.35%, 10/04/19 (j) | 175,000 | 173,796 | ||||||
3.15%, 01/15/20 (j) | 176,000 | 175,915 | ||||||
3.20%, 07/13/20 (j) | 78,000 | 77,743 | ||||||
3.55%, 04/09/21 (j) | 232,000 | 231,659 | ||||||
5.25%, 03/01/26 (j) | 121,000 | 123,712 | ||||||
Georgia-Pacific LLC | 39,000 | 38,608 | ||||||
Gilead Sciences Inc. | ||||||||
2.55%, 09/01/20 (j) | 58,000 | 57,393 | ||||||
2.95%, 03/01/27 (j) | 40,000 | 37,200 | ||||||
3.50%, 02/01/25 (j) | 70,000 | 68,705 | ||||||
3.65%, 03/01/26 (j) | 121,000 | 118,722 | ||||||
4.15%, 03/01/47 (j) | 118,000 | 111,787 | ||||||
4.80%, 04/01/44 (j) | 50,000 | 51,648 | ||||||
GlaxoSmithKline Capital Inc. | ||||||||
3.38%, 05/15/23 (j) | 154,000 | 153,349 | ||||||
3.63%, 05/15/25 (j) | 149,000 | 148,531 | ||||||
GlaxoSmithKline Capital PLC | 122,000 | 121,789 | ||||||
Glencore Finance Canada Ltd. | 70,000 | 72,096 | ||||||
Glencore Funding LLC | 314,000 | 313,460 | ||||||
Grupo Televisa SAB | 209,000 | 194,734 | ||||||
H&E Equipment Services Inc. | 269,000 | 268,005 | ||||||
Halfmoon Parent Inc. | ||||||||
3.20%, 09/17/20 (b)(j) | 180,000 | 179,420 | ||||||
3.40%, 09/17/21 (b)(j) | 90,000 | 89,668 | ||||||
3.75%, 07/15/23 (b)(j) | 109,000 | 108,890 | ||||||
4.13%, 11/15/25 (b)(j) | 181,000 | 180,647 | ||||||
4.38%, 10/15/28 (b)(j) | 72,000 | 71,797 | ||||||
4.80%, 08/15/38 (b)(j) | 54,000 | 54,189 | ||||||
4.90%, 12/15/48 (b)(j) | 54,000 | 53,979 | ||||||
Halliburton Co. | ||||||||
3.80%, 11/15/25 (j) | 99,000 | 98,106 | ||||||
5.00%, 11/15/45 (j) | 66,000 | 70,344 | ||||||
HCA Inc. | 450,000 | 458,437 | ||||||
Hess Corp. | ||||||||
5.60%, 02/15/41 (j) | 40,000 | 40,666 | ||||||
5.80%, 04/01/47 (j) | 25,000 | 26,308 | ||||||
Hewlett Packard Enterprise Co. | 38,000 | 39,172 | ||||||
Highwoods Realty LP | 67,000 | 65,183 |
Principal Amount ($) | Fair $ | |||||||
Hilcorp Energy I LP/Hilcorp Finance Co. | 258,000 | 259,290 | ||||||
HSBC Holdings PLC | 248,000 | 246,440 | ||||||
HSBC Holdings PLC (3.95% fixed rate until 05/18/23; 0.99% + 3 month USD LIBOR thereafter) | 204,000 | 202,658 | ||||||
HSBC Holdings PLC (4.29% fixed rate until 09/12/25; 1.35% + 3 month USD LIBOR thereafter) | 205,000 | 203,165 | ||||||
HSBC Holdings PLC (6.00% fixed rate until 05/22/27; 3.75% + USD 5 year Mid-Market Swap Rate thereafter) | 220,000 | 210,168 | ||||||
HSBC Holdings PLC (6.50% fixed rate until 03/23/28; 3.61% + USD 5 year Mid-Market Swap Rate thereafter) | 160,000 | 154,544 | ||||||
Hyundai Capital America | 71,000 | 68,952 | ||||||
Icahn Enterprises LP/Icahn Enterprises Finance Corp. | 226,000 | 229,639 | ||||||
Ingersoll-Rand Luxembourg Finance S.A. | 134,000 | 130,863 | ||||||
Intel Corp. | 173,000 | 161,518 | ||||||
International Business Machines Corp. | 109,000 | 106,415 | ||||||
International Paper Co. | 85,000 | 78,365 | ||||||
Interstate Power & Light Co. | 90,000 | 86,411 | ||||||
j2 Cloud Services LLC/j2 Global Co-Obligor Inc. | 135,000 | 138,551 | ||||||
Jabil Inc. | 121,000 | 114,110 | ||||||
JBS USA LUX S.A./JBS USA Finance Inc. | 166,000 | 164,523 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 45 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
Jefferies Group LLC | ||||||||
5.13%, 01/20/23 (j) | 85,000 | 87,775 | ||||||
6.50%, 01/20/43 (j) | 89,000 | 91,534 | ||||||
Johnson & Johnson | 55,000 | 52,898 | ||||||
Johnson Controls International PLC | 41,000 | 39,356 | ||||||
JPMorgan Chase & Co. | ||||||||
2.55%, 10/29/20 (j) | 246,000 | 242,433 | ||||||
3.30%, 04/01/26 (j) | 136,000 | 130,231 | ||||||
3.63%, 12/01/27 (j) | 79,000 | 74,469 | ||||||
JPMorgan Chase & Co. (3.51% fixed rate until 01/23/28; 0.95% + 3 month USD LIBOR thereafter) | 157,000 | 148,585 | ||||||
JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) | 137,000 | 127,688 | ||||||
JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) | 39,000 | 35,443 | ||||||
JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter) | 104,000 | 102,198 | ||||||
JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR thereafter) | 113,000 | 104,945 | ||||||
JPMorgan Chase & Co. (4.20% fixed rate until 07/23/28; 1.26% + 3 month USD LIBOR thereafter) | 170,000 | 169,405 | ||||||
JPMorgan Chase & Co. (4.63% fixed rate until 11/01/22; 2.58% + 3 month USD LIBOR thereafter) | 109,000 | 103,303 | ||||||
JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) | 264,000 | 274,227 |
Principal Amount ($) | Fair $ | |||||||
JPMorgan Chase & Co. 3.47% + 3 month USD LIBOR | 134,000 | 134,482 | ||||||
Keurig Dr Pepper Inc. | ||||||||
3.55%, 05/25/21 (b)(j) | 524,000 | 522,879 | ||||||
4.06%, 05/25/23 (b)(j) | 155,000 | 155,195 | ||||||
4.50%, 11/15/45 (j) | 54,000 | 50,008 | ||||||
4.60%, 05/25/28 (b)(j) | 150,000 | 151,010 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
3.50%, 03/01/21 (j) | 161,000 | 161,335 | ||||||
5.30%, 09/15/20 (j) | 83,000 | 85,933 | ||||||
6.38%, 03/01/41 (j) | 51,000 | 57,701 | ||||||
Kinder Morgan Inc. | ||||||||
3.05%, 12/01/19 (j) | 63,000 | 62,930 | ||||||
4.30%, 03/01/28 (j) | 81,000 | 80,226 | ||||||
5.05%, 02/15/46 (j) | 51,000 | 50,801 | ||||||
5.55%, 06/01/45 (j) | 66,000 | 69,899 | ||||||
Kraft Heinz Foods Co. | ||||||||
4.38%, 06/01/46 (j) | 61,000 | 53,700 | ||||||
L Brands Inc. | 167,000 | 143,470 | ||||||
Lamb Weston Holdings Inc. | 254,000 | 248,615 | ||||||
Lee Enterprises Inc. | 228,000 | 237,405 | ||||||
Lennar Corp. | 406,000 | 392,620 | ||||||
Lincoln National Corp. | ||||||||
3.63%, 12/12/26 (j) | 59,000 | 56,555 | ||||||
3.80%, 03/01/28 (j) | 123,000 | 118,640 | ||||||
4.35%, 03/01/48 (j) | 113,000 | 105,132 | ||||||
Lloyds Banking Group PLC (2.91% fixed rate until 11/07/22; 0.81% + 3 month USD LIBOR thereafter) | 203,000 | 193,494 | ||||||
Lockheed Martin Corp. | ||||||||
3.55%, 01/15/26 (j) | 53,000 | 52,400 | ||||||
3.80%, 03/01/45 (j) | 43,000 | 39,933 | ||||||
Lowe’s Companies Inc. | 58,000 | 52,940 | ||||||
LYB International Finance BV | 39,000 | 38,031 | ||||||
LYB International Finance II BV | 53,000 | 49,642 | ||||||
Macy’s Retail Holdings Inc. | 35,000 | 26,169 | ||||||
Marathon Oil Corp. | ||||||||
2.70%, 06/01/20 (j) | 180,000 | 177,570 | ||||||
3.85%, 06/01/25 (j) | 66,000 | 64,547 |
See Notes to Schedules of Investments and Notes to Financial Statements.
46 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
Marsh & McLennan Companies Inc. | 119,000 | 115,932 | ||||||
Masco Corp. | 45,000 | 41,356 | ||||||
McDonald’s Corp. | ||||||||
3.70%, 01/30/26 (j) | 48,000 | 47,492 | ||||||
3.80%, 04/01/28 (j) | 126,000 | 124,079 | ||||||
4.88%, 12/09/45 (j) | 71,000 | 74,137 | ||||||
Medtronic Inc. | ||||||||
2.50%, 03/15/20 (j) | 173,000 | 171,808 | ||||||
4.63%, 03/15/45 (j) | 106,000 | 112,151 | ||||||
Memorial Sloan-Kettering Cancer Center | 102,000 | 99,953 | ||||||
Merck & Company Inc. | 116,000 | 111,359 | ||||||
MetLife Inc. | ||||||||
4.05%, 03/01/45 (j) | 21,000 | 19,684 | ||||||
4.72%, 12/15/44 (j) | 86,000 | 88,917 | ||||||
MGM Resorts International | 150,000 | 139,688 | ||||||
Microsoft Corp. | ||||||||
1.55%, 08/08/21 (j) | 94,000 | 90,246 | ||||||
2.40%, 08/08/26 (j) | 71,000 | 65,460 | ||||||
3.45%, 08/08/36 (j) | 77,000 | 73,299 | ||||||
3.50%, 02/12/35 (j) | 77,000 | 73,889 | ||||||
3.70%, 08/08/46 (j) | 258,000 | 247,290 | ||||||
4.00%, 02/12/55 (j) | 102,000 | 100,573 | ||||||
4.10%, 02/06/37 (j) | 26,000 | 26,840 | ||||||
4.50%, 02/06/57 (j) | 30,000 | 32,408 | ||||||
Mizuho Bank Ltd. | 523,000 | 521,917 | ||||||
Mizuho Financial Group Inc. | 231,000 | 225,398 | ||||||
Mizuho Financial Group Inc. (3.92% fixed rate until 09/11/23; 1.00% + 3 month USD LIBOR thereafter) | 205,000 | 204,024 | ||||||
Molina Healthcare Inc. | 183,000 | 180,035 | ||||||
Molson Coors Brewing Co. | ||||||||
2.10%, 07/15/21 (j) | 208,000 | 200,067 | ||||||
4.20%, 07/15/46 (j) | 54,000 | 47,748 | ||||||
Morgan Stanley | ||||||||
2.45%, 02/01/19 (j) | 71,000 | 70,946 | ||||||
2.63%, 11/17/21 (j) | 387,000 | 376,195 | ||||||
2.65%, 01/27/20 (j) | 69,000 | 68,549 | ||||||
2.75%, 05/19/22 (j) | 129,000 | 125,100 | ||||||
3.70%, 10/23/24 (j) | 50,000 | 49,269 | ||||||
3.95%, 04/23/27 (j) | 337,000 | 323,136 | ||||||
4.10%, 05/22/23 (j) | 130,000 | 130,699 |
Principal Amount ($) | Fair $ | |||||||
Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | 66,000 | 61,910 | ||||||
MPLX LP | ||||||||
3.38%, 03/15/23 (j) | 73,000 | 71,478 | ||||||
4.50%, 04/15/38 (j) | 69,000 | 64,932 | ||||||
4.70%, 04/15/48 (j) | 61,000 | 57,095 | ||||||
5.20%, 03/01/47 (j) | 27,000 | 27,057 | ||||||
MUFG Bank Ltd. | ||||||||
2.30%, 03/10/19 (b)(j) | 200,000 | 199,440 | ||||||
2.30%, 03/05/20 (b)(j) | 204,000 | 201,213 | ||||||
Murphy Oil Corp. | 558,000 | 567,207 | ||||||
Mylan Inc. | ||||||||
4.55%, 04/15/28 (b)(j) | 39,000 | 37,916 | ||||||
5.20%, 04/15/48 (b)(j) | 59,000 | 54,760 | ||||||
National Retail Properties Inc. | 130,000 | 127,745 | ||||||
Navient Corp. | ||||||||
6.75%, 06/15/26 (j) | 155,000 | 153,063 | ||||||
8.00%, 03/25/20 (j) | 136,000 | 143,310 | ||||||
Newell Brands Inc. | ||||||||
3.85%, 04/01/23 (j) | 63,000 | 61,640 | ||||||
4.20%, 04/01/26 (j) | 35,000 | 33,276 | ||||||
5.50%, 04/01/46 (j) | 33,000 | 31,410 | ||||||
Newfield Exploration Co. | 250,000 | 258,437 | ||||||
Newmont Mining Corp. | 91,000 | 88,466 | ||||||
Nexen Energy ULC | 69,000 | 83,561 | ||||||
NGPL PipeCo LLC | 208,000 | 206,960 | ||||||
Noble Energy Inc. | ||||||||
3.90%, 11/15/24 (j) | 86,000 | 84,481 | ||||||
5.05%, 11/15/44 (j) | 21,000 | 20,308 | ||||||
Nordstrom Inc. | 6,000 | 5,524 | ||||||
Norfolk Southern Corp. | 79,000 | 73,938 | ||||||
Northern States Power Co. | 357,000 | 350,713 | ||||||
Northrop Grumman Corp. | ||||||||
2.55%, 10/15/22 (j) | 61,000 | 58,794 | ||||||
2.93%, 01/15/25 (j) | 106,000 | 100,545 | ||||||
3.25%, 01/15/28 (j) | 81,000 | 76,142 | ||||||
3.85%, 04/15/45 (j) | 22,000 | 20,032 | ||||||
4.03%, 10/15/47 (j) | 82,000 | 76,793 | ||||||
NRG Energy Inc. | 113,000 | 116,582 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 47 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
Nucor Corp. | ||||||||
3.95%, 05/01/28 (j) | 143,000 | 142,655 | ||||||
4.13%, 09/15/22 (j) | 72,000 | 73,426 | ||||||
Nutrien Ltd. | ||||||||
4.00%, 12/15/26 (j) | 86,000 | 83,193 | ||||||
4.90%, 06/01/43 (j) | 57,000 | 56,070 | ||||||
Occidental Petroleum Corp. | ||||||||
4.10%, 02/15/47 (j) | 39,000 | 37,767 | ||||||
4.20%, 03/15/48 (j) | 73,000 | 71,995 | ||||||
Olin Corp. | 250,000 | 233,125 | ||||||
Omnicom Group Inc./Omnicom Capital Inc. | 112,000 | 111,383 | ||||||
Oncor Electric Delivery Company LLC | 22,000 | 20,771 | ||||||
Oracle Corp. | ||||||||
2.40%, 09/15/23 (j) | 90,000 | 85,826 | ||||||
3.25%, 11/15/27 (j) | 145,000 | 139,467 | ||||||
3.80%, 11/15/37 (j) | 42,000 | 39,994 | ||||||
4.00%, 07/15/46 - 11/15/47 (j) | 191,000 | 181,972 | ||||||
4.13%, 05/15/45 (j) | 29,000 | 28,170 | ||||||
Oshkosh Corp. | 101,000 | 104,030 | ||||||
Owens Corning | 70,000 | 58,006 | ||||||
Owens-Brockway Glass Container Inc. | 100,000 | 104,164 | ||||||
Pacific Gas & Electric Co. | 578,000 | 551,938 | ||||||
PacifiCorp | 198,000 | 247,627 | ||||||
Packaging Corporation of America | 66,000 | 61,991 | ||||||
Parker-Hannifin Corp. | 120,000 | 115,064 | ||||||
Party City Holdings Inc. | 70,000 | 70,875 | ||||||
Penske Automotive Group Inc. | 202,000 | 197,203 | ||||||
PepsiCo Inc. | 68,000 | 61,209 | ||||||
Perrigo Finance Unlimited Co. | 250,000 | 241,837 | ||||||
Petroleos Mexicanos | ||||||||
4.50%, 01/23/26 (j) | 67,000 | 62,705 | ||||||
5.35%, 02/12/28 (b)(j) | 45,000 | 42,397 | ||||||
5.38%, 03/13/22 | 89,000 | 91,450 | ||||||
5.63%, 01/23/46 (j) | 72,000 | 60,973 |
Principal Amount ($) | Fair $ | |||||||
6.35%, 02/12/48 (b)(j) | 45,000 | 41,079 | ||||||
6.50%, 03/13/27 | 114,000 | 116,256 | ||||||
6.75%, 09/21/47 (j) | 156,000 | 148,422 | ||||||
Pfizer Inc. | ||||||||
3.00%, 12/15/26 (j) | 81,000 | 77,719 | ||||||
3.20%, 09/15/23 (j) | 108,000 | 107,140 | ||||||
3.60%, 09/15/28 (j) | 180,000 | 177,833 | ||||||
4.13%, 12/15/46 (j) | 46,000 | 45,611 | ||||||
4.40%, 05/15/44 (j) | 31,000 | 31,817 | ||||||
Philip Morris International Inc. | 95,000 | 87,992 | ||||||
Phillips 66 | 171,000 | 168,223 | ||||||
Phillips 66 Partners LP | ||||||||
3.75%, 03/01/28 (j) | 82,000 | 77,848 | ||||||
4.68%, 02/15/45 (j) | 66,000 | 62,569 | ||||||
Pilgrim’s Pride Corp. | 166,000 | 157,185 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | ||||||||
4.70%, 06/15/44 (j) | 51,000 | 46,109 | ||||||
5.75%, 01/15/20 (j) | 99,000 | 101,630 | ||||||
PPL Capital Funding Inc. | 121,000 | 112,363 | ||||||
Precision Castparts Corp. | 88,000 | 90,041 | ||||||
Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter) | 144,000 | 143,644 | ||||||
Public Service Company of Colorado | 160,000 | 159,622 | ||||||
PulteGroup Inc. | 255,000 | 253,247 | ||||||
QUALCOMM Inc. | ||||||||
2.90%, 05/20/24 (j) | 64,000 | 61,124 | ||||||
3.00%, 05/20/22 (j) | 40,000 | 39,390 | ||||||
3.25%, 05/20/27 (j) | 6,000 | 5,637 | ||||||
4.30%, 05/20/47 (j) | 7,000 | 6,598 | ||||||
Range Resources Corp. | 249,000 | 246,821 | ||||||
Realty Income Corp. | 88,000 | 81,065 | ||||||
Republic Services Inc. | 44,000 | 41,851 | ||||||
Rio Tinto Finance USA PLC | 64,000 | 62,778 | ||||||
Rockwell Collins Inc. | 99,000 | 94,165 | ||||||
Rogers Communications Inc. | 44,000 | 46,055 |
See Notes to Schedules of Investments and Notes to Financial Statements.
48 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
Royal Bank of Scotland Group PLC (4.52% fixed rate until 06/25/23; 1.55% + 3 month USD LIBOR thereafter) | 201,000 | 200,423 | ||||||
RPM International Inc. | 91,000 | 86,346 | ||||||
Ryder System Inc. | 240,000 | 238,874 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.20%, 03/15/28 (j) | 73,000 | 70,805 | ||||||
5.00%, 03/15/27 (j) | 50,000 | 51,314 | ||||||
salesforce.com Inc. | ||||||||
3.25%, 04/11/23 (j) | 139,000 | 138,028 | ||||||
3.70%, 04/11/28 (j) | 189,000 | 188,374 | ||||||
Santander Holdings USA Inc. | ||||||||
2.65%, 04/17/20 (j) | 248,000 | 244,719 | ||||||
4.40%, 07/13/27 (j) | 81,000 | 77,410 | ||||||
Santander UK Group Holdings PLC | 200,000 | 194,820 | ||||||
Schlumberger Holdings Corp. | 61,000 | 60,522 | ||||||
Sempra Energy | ||||||||
3.80%, 02/01/38 (j) | 47,000 | 42,308 | ||||||
4.00%, 02/01/48 (j) | 47,000 | 41,859 | ||||||
Shell International Finance BV | ||||||||
3.75%, 09/12/46 (j) | 41,000 | 38,454 | ||||||
4.13%, 05/11/35 (j) | 60,000 | 60,760 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.88%, 09/23/23 (j) | 14,000 | 13,335 | ||||||
3.20%, 09/23/26 (j) | 61,000 | 56,256 | ||||||
Simon Property Group LP | 111,000 | 106,275 | ||||||
Sinclair Television Group Inc. | 218,000 | 219,090 | ||||||
Smithfield Foods Inc. | ||||||||
2.70%, 01/31/20 (b)(j) | 74,000 | 72,796 | ||||||
4.25%, 02/01/27 (b)(j) | 116,000 | 109,627 | ||||||
South Carolina Electric & Gas Co. | 19,000 | 17,370 | ||||||
Southern California Edison Co. | 153,000 | 147,296 | ||||||
Southern Copper Corp. | 76,000 | 83,266 | ||||||
Southwestern Electric Power Co. | 116,000 | 106,135 | ||||||
Spectra Energy Partners LP | ||||||||
3.38%, 10/15/26 (j) | 47,000 | 44,279 | ||||||
4.50%, 03/15/45 (j) | 24,000 | 22,953 |
Principal Amount ($) | Fair $ | |||||||
Sprint Corp. | 312,000 | 330,876 | ||||||
Standard Industries Inc. | 425,000 | 423,937 | ||||||
Starbucks Corp. | 180,000 | 179,379 | ||||||
Sumitomo Mitsui Banking Corp. | 251,000 | 248,696 | ||||||
Suncor Energy Inc. | 27,000 | 25,354 | ||||||
Sunoco Logistics Partners Operations LP | 80,000 | 76,779 | ||||||
Syngenta Finance N.V. | ||||||||
3.70%, 04/24/20 (b)(j) | 225,000 | 224,651 | ||||||
3.93%, 04/23/21 (b)(j) | 275,000 | 274,376 | ||||||
4.44%, 04/24/23 (b)(j) | 200,000 | 198,610 | ||||||
5.18%, 04/24/28 (b)(j) | 200,000 | 192,026 | ||||||
Sysco Corp. | 100,000 | 93,959 | ||||||
T-Mobile USA Inc. | 307,000 | 291,650 | ||||||
Tampa Electric Co. | 152,000 | 148,250 | ||||||
Target Corp. | 121,000 | 111,873 | ||||||
Teachers Insurance & Annuity Association of America | 76,000 | 80,879 | ||||||
Teck Resources Ltd. | 225,000 | 212,202 | ||||||
Telecom Italia S.p.A. | 411,000 | 399,204 | ||||||
Telefonica Emisiones SAU | 189,000 | 182,013 | ||||||
Tencent Holdings Ltd. | 200,000 | 181,176 | ||||||
Tenet Healthcare Corp. | ||||||||
4.75%, 06/01/20 (j) | 268,000 | 270,345 | ||||||
6.00%, 10/01/20 (j) | 341,000 | 351,656 | ||||||
Teva Pharmaceutical Finance Netherlands III BV | ||||||||
1.70%, 07/19/19 (j) | 409,000 | 402,104 | ||||||
2.20%, 07/21/21 (j) | 64,000 | 60,120 | ||||||
2.80%, 07/21/23 (j) | 416,000 | 369,131 | ||||||
Texas Instruments Inc. | 60,000 | 60,241 | ||||||
The Allstate Corp. | 102,000 | 99,532 | ||||||
The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | 181,000 | 187,230 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 49 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter) | 141,000 | 135,462 | ||||||
The Bank of Nova Scotia (4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR thereafter) | 152,000 | 142,564 | ||||||
The Boeing Co. | ||||||||
3.25%, 03/01/28 (j) | 156,000 | 151,409 | ||||||
3.55%, 03/01/38 (j) | 163,000 | 154,201 | ||||||
The Dow Chemical Co. | 113,000 | 108,158 | ||||||
The George Washington University | 84,000 | 83,541 | ||||||
The Goldman Sachs Group Inc. | ||||||||
2.30%, 12/13/19 (j) | 57,000 | 56,501 | ||||||
2.35%, 11/15/21 (j) | 194,000 | 186,841 | ||||||
2.63%, 04/25/21 (j) | 372,000 | 364,240 | ||||||
3.85%, 01/26/27 (j) | 186,000 | 180,561 | ||||||
4.25%, 10/21/25 (j) | 12,000 | 11,884 | ||||||
4.80%, 07/08/44 (j) | 53,000 | 54,093 | ||||||
5.15%, 05/22/45 (j) | 116,000 | 118,636 | ||||||
The Goldman Sachs Group Inc. (2.91% fixed rate until 06/05/22; 1.05% + 3 month USD LIBOR thereafter) | 213,000 | 205,943 | ||||||
The Goldman Sachs Group Inc. (3.81% fixed rate until 04/23/28; 1.16% + 3 month USD LIBOR thereafter) | 157,000 | 149,784 | ||||||
The Goldman Sachs Group Inc. (4.02% fixed rate until 10/31/37; 1.37% + 3 month USD LIBOR thereafter) | 71,000 | 65,645 | ||||||
The Goldman Sachs Group Inc. (4.22% fixed rate until 05/01/28; 1.30% + 3 month USD LIBOR thereafter) | 109,000 | 107,373 | ||||||
The Hartford Financial Services Group Inc. 2.13% + 3 month USD LIBOR | 95,000 | 89,158 | ||||||
The Home Depot Inc. | ||||||||
3.35%, 09/15/25 (j) | 57,000 | 56,282 | ||||||
3.50%, 09/15/56 (j) | 91,000 | 79,139 | ||||||
3.90%, 06/15/47 (j) | 82,000 | 79,030 |
Principal Amount ($) | Fair $ | |||||||
The Interpublic Group of Companies Inc. | 180,000 | 180,245 | ||||||
The Kroger Co. | ||||||||
2.95%, 11/01/21 (j) | 194,000 | 190,822 | ||||||
4.65%, 01/15/48 (j) | 51,000 | 48,208 | ||||||
The Mosaic Co. | 24,000 | 24,574 | ||||||
The Sherwin-Williams Co. | ||||||||
2.25%, 05/15/20 (j) | 121,000 | 119,267 | ||||||
2.75%, 06/01/22 (j) | 48,000 | 46,530 | ||||||
3.45%, 06/01/27 (j) | 45,000 | 42,773 | ||||||
4.50%, 06/01/47 (j) | 30,000 | 28,838 | ||||||
The Southern Co. | ||||||||
1.85%, 07/01/19 (j) | 524,000 | 520,039 | ||||||
3.25%, 07/01/26 (j) | 18,000 | 16,790 | ||||||
4.40%, 07/01/46 (j) | 30,000 | 28,547 | ||||||
The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + USD 5 year Swap Rate thereafter) | 109,000 | 102,208 | ||||||
The Walt Disney Co. | 26,000 | 25,804 | ||||||
The Williams Companies Inc. | ||||||||
3.75%, 06/15/27 (j) | 41,000 | 39,085 | ||||||
3.90%, 01/15/25 (j) | 48,000 | 47,015 | ||||||
4.85%, 03/01/48 (j) | 63,000 | 60,830 | ||||||
4.90%, 01/15/45 (j) | 40,000 | 38,820 | ||||||
5.40%, 03/04/44 (j) | 19,000 | 19,565 | ||||||
Time Warner Cable LLC | ||||||||
4.50%, 09/15/42 (j) | 19,000 | 16,247 | ||||||
6.55%, 05/01/37 (j) | 74,000 | 80,292 | ||||||
TransCanada PipeLines Ltd. | 39,000 | 40,743 | ||||||
Transcontinental Gas Pipe Line Company LLC | 81,000 | 79,097 | ||||||
Tyco Electronics Group S.A. | ||||||||
2.35%, 08/01/19 (j) | 266,000 | 264,726 | ||||||
3.13%, 08/15/27 (j) | 152,000 | 141,755 | ||||||
Tyson Foods Inc. | ||||||||
2.65%, 08/15/19 (j) | 45,000 | 44,897 | ||||||
4.55%, 06/02/47 (j) | 24,000 | 22,434 | ||||||
U.S. Bancorp (5.13% fixed rate until 01/15/21; 3.49% + 3 month USD LIBOR thereafter) | 287,000 | 294,806 | ||||||
UBS Group Funding Switzerland AG | 401,000 | 397,158 |
See Notes to Schedules of Investments and Notes to Financial Statements.
50 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
Union Pacific Corp. | ||||||||
3.20%, 06/08/21 (j) | 174,000 | 173,610 | ||||||
3.50%, 06/08/23 (j) | 159,000 | 158,585 | ||||||
3.60%, 09/15/37 (j) | 28,000 | 25,705 | ||||||
4.10%, 09/15/67 (j) | 45,000 | 39,317 | ||||||
United Technologies Corp. | ||||||||
3.65%, 08/16/23 (j) | 179,000 | 178,429 | ||||||
3.95%, 08/16/25 (j) | 72,000 | 71,716 | ||||||
4.13%, 11/16/28 (j) | 126,000 | 125,347 | ||||||
4.15%, 05/15/45 (j) | 34,000 | 31,744 | ||||||
4.45%, 11/16/38 (j) | 60,000 | 59,572 | ||||||
4.50%, 06/01/42 (j) | 33,000 | 32,590 | ||||||
4.63%, 11/16/48 (j) | 60,000 | 60,305 | ||||||
UnitedHealth Group Inc. | 16,000 | 17,126 | ||||||
Vale Overseas Ltd. | ||||||||
4.38%, 01/11/22 (j) | 37,000 | 37,377 | ||||||
6.25%, 08/10/26 (j) | 69,000 | 75,453 | ||||||
6.88%, 11/10/39 (j) | 56,000 | 65,457 | ||||||
Vale S.A. | 19,000 | 19,534 | ||||||
Valero Energy Partners LP | 182,000 | 178,628 | ||||||
Ventas Realty LP | 140,000 | 129,135 | ||||||
Verizon Communications Inc. | ||||||||
3.38%, 02/15/25 (j) | 121,000 | 117,568 | ||||||
4.33%, 09/21/28 (b)(j) | 135,000 | 135,682 | ||||||
4.40%, 11/01/34 (j) | 59,000 | 57,486 | ||||||
4.67%, 03/15/55 (j) | 77,000 | 72,763 | ||||||
4.86%, 08/21/46 (j) | 392,000 | 392,933 | ||||||
5.01%, 04/15/49 (j) | 43,000 | 43,827 | ||||||
5.25%, 03/16/37 (j) | 70,000 | 74,640 | ||||||
Viacom Inc. | ||||||||
3.45%, 10/04/26 (j) | 75,000 | 70,470 | ||||||
5.25%, 04/01/44 (j) | 19,000 | 18,603 | ||||||
Virgin Media Finance PLC | 238,000 | 232,821 | ||||||
Virginia Electric & Power Co. | 71,000 | 67,678 | ||||||
Visa Inc. | ||||||||
3.15%, 12/14/25 (j) | 36,000 | 34,883 | ||||||
4.30%, 12/14/45 (j) | 99,000 | 102,603 | ||||||
Vodafone Group PLC | ||||||||
4.38%, 05/30/28 (j) | 164,000 | 161,469 | ||||||
5.25%, 05/30/48 (j) | 46,000 | 46,111 | ||||||
Vornado Realty LP | 70,000 | 66,800 | ||||||
Vulcan Materials Co. | 73,000 | 69,800 | ||||||
Wabtec Corp. | 128,000 | 117,367 |
Principal Amount ($) | Fair $ | |||||||
Walgreens Boots Alliance Inc. | 39,000 | 37,210 | ||||||
Walmart Inc. | ||||||||
3.63%, 12/15/47 (j) | 58,000 | 54,253 | ||||||
3.70%, 06/26/28 (j) | 155,000 | 154,954 | ||||||
3.95%, 06/28/38 (j) | 62,000 | 61,885 | ||||||
4.05%, 06/29/48 (j) | 62,000 | 62,006 | ||||||
Warner Media LLC | 70,000 | 68,955 | ||||||
WEC Energy Group Inc. | 153,000 | 150,309 | ||||||
WellCare Health Plans Inc. | 202,000 | 204,273 | ||||||
Wells Fargo & Co. | ||||||||
2.63%, 07/22/22 (j) | 91,000 | 87,768 | ||||||
3.90%, 05/01/45 (j) | 6,000 | 5,578 | ||||||
4.75%, 12/07/46 (j) | 132,000 | 131,300 | ||||||
Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) | 167,000 | 175,542 | ||||||
Wells Fargo & Co. (5.90% fixed rate until 06/15/24; 3.11% + 3 month USD LIBOR thereafter) | 157,000 | 159,416 | ||||||
Wells Fargo & Co. 3.77% + 3 month USD LIBOR | 156,000 | 158,086 | ||||||
Wells Fargo Bank NA | 771,000 | 757,870 | ||||||
Western Gas Partners LP | ||||||||
4.00%, 07/01/22 (j) | 60,000 | 59,775 | ||||||
5.38%, 06/01/21 (j) | 30,000 | 31,001 | ||||||
Westlake Chemical Corp. | ||||||||
3.60%, 08/15/26 (j) | 63,000 | 59,214 | ||||||
4.38%, 11/15/47 (j) | 35,000 | 31,240 | ||||||
5.00%, 08/15/46 (j) | 26,000 | 25,542 | ||||||
WestRock Co. | 88,000 | 83,186 | ||||||
Willis North America Inc. | 124,000 | 120,471 | ||||||
WPP Finance 2010 | 96,000 | 92,662 | ||||||
Xilinx Inc. | 81,000 | 76,944 | ||||||
XPO Logistics Inc. | 101,000 | 104,283 | ||||||
Yamana Gold Inc. | 86,000 | 80,727 | ||||||
Zoetis Inc. | ||||||||
3.00%, 09/12/27 (j) | 45,000 | 41,640 | ||||||
3.90%, 08/20/28 (j) | 108,000 | 106,651 | ||||||
|
| |||||||
85,010,458 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 51 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
Non-Agency Collateralized Mortgage Obligations - 3.3% |
| |||||||
BANK 2018-BNK10 | 156,611 | 153,755 | ||||||
BANK 2018-BNK11 | 123,000 | 125,205 | ||||||
BXP Trust 2017-GM | 711,000 | 686,318 | ||||||
Citigroup Commercial Mortgage Trust 2016-P6 | ||||||||
3.72%, 12/10/49 (h)(j) | 268,803 | 267,955 | ||||||
4.03%, 12/10/49 (h)(j) | 345,016 | 345,953 | ||||||
Citigroup Commercial Mortgage Trust 2018-C5 | 224,000 | 230,044 | ||||||
COMM 2013-LC13 Mortgage Trust | 175,000 | 181,226 | ||||||
COMM 2014-CR14 Mortgage Trust | 245,000 | 253,992 | ||||||
GS Mortgage Securities Trust 2012-GCJ9 | 731,807 | 49,512 | ||||||
GS Mortgage Securities Trust 2015-GC28 | 2,754,944 | 124,079 | ||||||
GS Mortgage Securities Trust 2016-GS3 | 379,000 | 356,008 | ||||||
GS Mortgage Securities Trust 2017-GS5 | 716,046 | 711,945 | ||||||
GS Mortgage Securities Trust 2018-GS9 | 237,000 | 239,344 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp. 2012-LC9 | 898,063 | 43,913 | ||||||
JPMBB Commercial Mortgage Securities Trust 2013-C12 | 125,000 | 126,939 | ||||||
LB-UBS Commercial Mortgage Trust 2004-C8 | 46,050 | 63 | ||||||
LB-UBS Commercial Mortgage Trust 2007-C6 | ||||||||
6.11%, 07/15/40 (h)(j) | 12,860 | 12,989 | ||||||
6.11%, 07/15/40 (b)(j) | 25,261 | 25,516 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20 | 3,097,427 | 184,086 |
Principal Amount ($) | Fair $ | |||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | 3,792,309 | 173,335 | ||||||
Morgan Stanley Capital I Trust 2006-IQ11 | 270,000 | 276,257 | ||||||
Morgan Stanley Capital I Trust 2006-T21 | 35,960 | 35,960 | ||||||
Morgan Stanley Capital I Trust 2016-UBS9 | 4,651,477 | 295,977 | ||||||
UBS Commercial Mortgage Trust 2018-C12 | 189,000 | 196,555 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 | 3,043,468 | 179,491 | ||||||
Wells Fargo Commercial Mortgage Trust 2018-AUS | 1,122,000 | 1,129,523 | ||||||
WFRBS Commercial Mortgage Trust 2013-C17 | 240,000 | 245,114 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | 544,000 | 559,068 | ||||||
|
| |||||||
7,210,122 | ||||||||
|
| |||||||
Sovereign Bonds - 0.7% |
| |||||||
Government of Chile | 200,000 | 190,024 | ||||||
Government of Colombia | 200,000 | 199,962 | ||||||
Government of Mexico | ||||||||
4.60%, 02/10/48 | 202,000 | 189,811 | ||||||
4.75%, 03/08/44 (j) | 240,000 | 229,519 | ||||||
Government of Oman | 215,000 | 209,634 | ||||||
Government of Peru | 113,000 | 133,981 | ||||||
Government of Philippines | 200,000 | 193,162 | ||||||
Government of Uruguay | 117,568 | 119,972 | ||||||
|
| |||||||
1,466,065 | ||||||||
|
| |||||||
Municipal Bonds and Notes - 0.8% |
| |||||||
American Municipal Power Inc. | 105,000 | 127,483 |
See Notes to Schedules of Investments and Notes to Financial Statements.
52 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Principal Amount ($) | Fair $ | |||||||
Metropolitan St. Louis Sewer District | 325,000 | 366,502 | ||||||
Port Authority of New York & New Jersey | 475,000 | 492,228 | ||||||
State of California | 165,000 | 171,171 | ||||||
5.70%, 11/01/21 (j) | 290,000 | 312,371 | ||||||
State of Illinois | 100,000 | 95,975 | ||||||
The University of Texas System | 95,000 | 85,578 | ||||||
|
| |||||||
1,651,308 | ||||||||
|
| |||||||
Total Bonds and Notes (Cost $220,020,781) | 217,810,645 | |||||||
|
| |||||||
Number of Shares | ||||||||
Domestic Equity - 0.1% |
| |||||||
Preferred Stock - 0.1% |
| |||||||
Wells Fargo & Co. 3.09% + 3 month USD LIBOR | 8,578 | 221,055 | ||||||
|
|
Principal Amount ($) | Fair $ | |||||||
Purchased Options - 0.0%* |
| |||||||
Purchased Options - 0.0%* |
| |||||||
10 Yr. U.S. Treasury Note Futures Options (Strike price 119.50 USD, expiration date 11/23/2018) | 136,000 | 46,750 | ||||||
10 Yr. U.S. Treasury Note Futures Options (Strike price 120.00 USD, expiration date 11/23/2018) | 131,000 | 28,656 | ||||||
|
| |||||||
Total Options (Cost $160,483) |
| 75,406 | ||||||
|
| |||||||
Total Investments in Securities (Cost $220,395,714) |
| 218,107,106 | ||||||
|
| |||||||
Short-Term Investments - 6.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 2.01% | 13,336,330 | 13,336,330 | ||||||
|
| |||||||
Total Investments (Cost $233,732,044) |
| 231,443,436 | ||||||
Liabilities in Excess of Other Assets, net - (4.6)% |
| (10,162,750 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% |
| 221,280,686 | ||||||
|
|
Other Information:
Centrally Cleared Credit Default Swaps - Buy Protection
Reference Entity | Counterparty | Notional Amount (000s omitted) | Contract Payment | Termination Date | Market Value | Unamortized Upfront Payments Received | Unrealized Depreciation | |||||||||||||||||||
Markit CDX North America Investment Grade Index | Intercontinental Exchange | $ | 1,841 | 1.00%/Quarterly | 12/20/23 | $ | (35,330 | ) | $ | (32,692 | ) | $ | (2,638 | ) | ||||||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 53 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
Centrally Cleared Interest Rate Swaps
Counterparty | Notional Amount (000s omitted) | Fund Pays/Receives Fixed Rate/Payment Frequency | Floating Rate | Contract annual Fixed Rate | Termination Date | Market Value | Unamortized Upfront Payments Received | Unrealized Appreciation | ||||||||||||||||||||||
CME Group, Inc. | $ | 9,486 | | Receives/ Quarterly |
| 3 Month U.S. Dollar LIBOR | 3.05 | % | 11/19/21 | $ | 6,055 | $ | — | $ | 6,055 | |||||||||||||||
CME Group, Inc. | 9,488 | | Receives/ Quarterly |
| 3 Month U.S. Dollar LIBOR | 3.06 | 11/19/21 | 4,838 | — | 4,838 | ||||||||||||||||||||
|
| |||||||||||||||||||||||||||||
$ | 10,893 | |||||||||||||||||||||||||||||
|
|
The Fund had the following long futures contracts open at September 30, 2018:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
Ultra Long-Term U.S. Treasury Bond Futures | December 2018 | 29 | $ | 4,617,899 | $ | 4,474,156 | $ | (143,743 | ) | |||||||||||
2 Yr. U.S. Treasury Notes Futures | December 2018 | 204 | 43,102,856 | 42,989,813 | (113,043 | ) | ||||||||||||||
5 Yr. U.S. Treasury Notes Futures | December 2018 | 71 | 8,023,341 | 7,985,836 | (37,505 | ) | ||||||||||||||
10 Yr. U.S. Treasury Notes Futures | December 2018 | 280 | 33,634,302 | 33,258,750 | (375,552 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (669,843 | ) | ||||||||||||||||||
|
|
The Fund had the following short futures contracts open at September 30, 2018:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
U.S. Long Bond Futures | December 2018 | 53 | $ | (7,592,334 | ) | $ | (7,446,500 | ) | $ | 145,834 | ||||||||||
10 Yr. U.S. Treasury Ultra Futures | December 2018 | 99 | (12,662,780 | ) | (12,474,000 | ) | 188,780 | |||||||||||||
|
| |||||||||||||||||||
$ | 334,614 | |||||||||||||||||||
|
| |||||||||||||||||||
$ | (335,229 | ) | ||||||||||||||||||
|
|
The Fund had the following open Purchased Options contracts at September 30, 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 | Goldman Sachs & Co. | $ | 120 | 11/23/2018 | 131 | $ | 131,000 | $ | 28,656 | $ | 94,404 | $ | (65,748 | ) | ||||||||||||||||
Calls | Goldman Sachs & Co. | $ | 119.50 | 11/23/2018 | 136 | $ | 136,000 | $ | 46,750 | $ | 66,079 | $ | (19,329 | ) | ||||||||||||||||
|
| |||||||||||||||||||||||||||||
Total purchased option contracts |
| $ | (85,077 | ) | ||||||||||||||||||||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
54 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
The Fund had the following open Written Options contracts at September 30, 2018:
Written Options
Description | Counterparty | Strike Price | Expiration Date | Number of Contracts | Notional Amount | Market Value | Premiums Paid (Received) by Fund | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||||
Calls | Goldman Sachs & Co. | $ | 123 | 11/23/2018 | (131 | ) | $ | (131,000 | ) | $ | (4,094 | ) | $ | (14,081 | ) | $ | 9,987 | |||||||||||||
Calls | Goldman Sachs & Co. | $ | 122.50 | 11/23/2018 | (136 | ) | $ | (136,000 | ) | $ | (4,250 | ) | $ | (6,171 | ) | $ | 1,921 | |||||||||||||
|
| |||||||||||||||||||||||||||||
Total written option contracts |
| $ | 11,908 | |||||||||||||||||||||||||||
|
|
During the period ended September 30, 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 | $ | 6,938 | $ | 27,475 | $ | 7,031 | $ | 12,014 | $ | 53,807,867 | $ | 25,839,370 | $ | 4,571,520 | $ | 14,505,556 |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of September 30, 2018.
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Active Core Bond Fund | Investments in Securities | |||||||||||||||||
U.S. Treasuries | $ | — | $ | 90,563,933 | $ | — | $ | 90,563,933 | ||||||||||
Agency Mortgage Backed | — | 25,212,300 | — | 25,212,300 | ||||||||||||||
Agency Collateralized Mortgage Obligations | — | 450,496 | — | 450,496 | ||||||||||||||
Asset Backed | — | 6,245,963 | — | 6,245,963 | ||||||||||||||
Corporate Notes | — | 85,010,458 | — | 85,010,458 | ||||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 7,210,122 | — | 7,210,122 | ||||||||||||||
Sovereign Bonds | — | 1,466,065 | — | 1,466,065 | ||||||||||||||
Municipal Bonds and Notes | — | 1,651,308 | — | 1,651,308 | ||||||||||||||
Preferred Stock | 221,055 | — | — | 221,055 | ||||||||||||||
Purchased Options | 75,406 | — | — | 75,406 | ||||||||||||||
Short-Term Investments | 13,336,330 | — | — | 13,336,330 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 13,632,791 | $ | 217,810,645 | $ | — | $ | 231,443,436 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Credit Default Swap Contracts — Unrealized Appreciation | $ | — | $ | (2,638 | ) | $ | — | $ | (2,638 | ) | ||||||||
Interest Rate Swaps — Unrealized Appreciation | 10,893 | 10,893 | ||||||||||||||||
Long Futures Contracts — Unrealized Depreciation | (669,843 | ) | — | — | (669,843 | ) | ||||||||||||
Short Futures Contracts — Unrealized Appreciation | 334,614 | — | — | 334,614 | ||||||||||||||
Written Options — Unrealized Appreciation | 11,908 | — | 11,908 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Other Financial Instruments | $ | (323,321 | ) | $ | 8,255 | $ | — | $ | (315,066 | ) | ||||||||
|
|
|
|
|
|
| �� |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 55 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2018
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 9/30/18 | Value at 9/30/18 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 14,675,624 | $ | 14,675,624 | $ | 142,080,775 | $ | 143,420,069 | $ | — | $ | — | 13,336,330 | $ | 13,336,330 | $ | 120,741 |
See Notes to Schedules of Investments and Notes to Financial Statements.
56 | State Street Active Core Bond Fund |
Table of Contents
State Street Institutional Funds
Notes to Schedules of Investments — September 30, 2018
The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Funds’ future investments and should not be construed as a recommendation to purchase or sell a particular security. See each Fund’s summary prospectus and the Funds’ statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2018, these securities amounted to $15,980,437 or 7.22% of the State Street Active Core Bond 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 September 30, 2018. |
(i) | Step coupon bond. |
(j) | At September 30, 2018, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBAs. |
† | Percentages are based on net assets as of September 30, 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
STRIPS - Separate Trading of Registered Interest and Principal of Security
TBA - To Be Announced
Notes to Schedules of Investments.
57 |
Table of Contents
State Street Institutional U.S. Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | ||||||||||||||||
Inception date | 11/25/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.95 | $ | 13.50 | $ | 14.46 | $ | 17.32 | $ | 15.59 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.16 | * | 0.18 | * | 0.21 | * | 0.21 | * | 0.22 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 1.95 | * | 2.16 | * | 1.52 | * | (0.65 | )* | 2.60 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 2.11 | 2.34 | 1.73 | (0.44 | ) | 2.82 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.21 | 0.21 | 0.24 | 0.25 | 0.22 | |||||||||||||||
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 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 13.74 | $ | 14.95 | $ | 13.50 | $ | 14.46 | $ | 17.32 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(a) | 16.72 | % | 18.29 | % | 13.29 | % | (3.57 | )% | 18.88 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 522,658 | $ | 461,828 | $ | 603,060 | $ | 615,024 | $ | 836,752 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.36 | %(b) | ||||||||||
Gross expenses | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.36 | % | ||||||||||
Net investment income | 1.21 | % | 1.29 | % | 1.61 | % | 1.32 | % | 1.36 | % | ||||||||||
Portfolio turnover rate | 48 | % | 80 | % | 43 | % | 41 | % | 38 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | ||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||
Net asset value, beginning of period | $ | 15.77 | $ | 14.18 | $ | 15.06 | $ | 17.95 | $ | 15.96 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.14 | * | 0.15 | * | 0.19 | * | 0.18 | * | 0.19 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 2.08 | * | 2.29 | * | 1.58 | * | (0.69 | )* | 2.67 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 2.22 | 2.44 | 1.77 | (0.51 | ) | 2.86 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.18 | 0.17 | 0.20 | 0.21 | — | |||||||||||||||
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 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 14.70 | $ | 15.77 | $ | 14.18 | $ | 15.06 | $ | 17.95 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(a) | 16.35 | % | 18.07 | % | 12.96 | % | (3.83 | )% | 18.55 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 104 | $ | 95 | $ | 95 | $ | 104 | $ | 117 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.62 | % | 0.62 | % | 0.62 | % | 0.62 | % | 0.61 | %(b) | ||||||||||
Gross expenses | 0.62 | % | 0.62 | % | 0.62 | % | 0.62 | % | 0.61 | % | ||||||||||
Net investment income | 0.95 | % | 1.04 | % | 1.35 | % | 1.07 | % | 1.11 | % | ||||||||||
Portfolio turnover rate | 48 | % | 80 | % | 43 | % | 41 | % | 38 | % |
See Notes to Financial Highlights and Notes to Financial Statements.
58 | Financial Highlights |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | ||||||||||||||||
Inception date | 10/29/99 | |||||||||||||||||||
Net asset value, beginning of period | $ | 15.69 | $ | 14.23 | $ | 13.61 | $ | 14.96 | $ | 12.92 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.11 | * | 0.13 | * | 0.13 | * | 0.13 | * | 0.13 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 2.82 | * | 2.60 | * | 1.88 | * | (0.11 | )* | 2.38 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income from investment operations | 2.93 | 2.73 | 2.01 | 0.02 | 2.51 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.13 | 0.12 | 0.14 | 0.13 | 0.11 | |||||||||||||||
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 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 17.49 | $ | 15.69 | $ | 14.23 | $ | 13.61 | $ | 14.96 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(a) | 19.64 | % | 21.18 | % | 15.25 | % | (0.47 | )% | 19.80 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 365,078 | $ | 360,416 | $ | 325,700 | $ | 334,227 | $ | 428,536 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.38 | % | 0.38 | % | 0.38 | % | 0.38 | % | 0.37 | %(b) | ||||||||||
Gross expenses | 0.38 | % | 0.38 | % | 0.38 | % | 0.38 | % | 0.37 | % | ||||||||||
Net investment income | 0.68 | % | 0.88 | % | 0.95 | % | 0.89 | % | 0.94 | % | ||||||||||
Portfolio turnover rate | 21 | % | 24 | % | 21 | % | 21 | % | 21 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | ||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||
Net asset value, beginning of period | $ | 15.48 | $ | 14.06 | $ | 13.46 | $ | 14.82 | $ | 12.80 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.07 | * | 0.09 | * | 0.09 | * | 0.09 | * | 0.10 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 2.78 | * | 2.57 | * | 1.87 | * | (0.12 | )* | 2.36 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 2.85 | 2.66 | 1.96 | (0.03 | ) | 2.46 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.09 | 0.09 | 0.11 | 0.09 | 0.08 | |||||||||||||||
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 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 17.24 | $ | 15.48 | $ | 14.06 | $ | 13.46 | $ | 14.82 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(a) | 19.37 | % | 20.84 | % | 14.99 | % | (0.77 | )% | 19.56 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 17,298 | $ | 16,136 | $ | 11,547 | $ | 5,820 | $ | 3,836 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.63 | % | 0.63 | % | 0.63 | % | 0.63 | % | 0.62 | %(b) | ||||||||||
Gross expenses | 0.63 | % | 0.63 | % | 0.63 | % | 0.63 | % | 0.62 | % | ||||||||||
Net investment income | 0.43 | % | 0.62 | % | 0.67 | % | 0.61 | % | 0.69 | % | ||||||||||
Portfolio turnover rate | 21 | % | 24 | % | 21 | % | 21 | % | 21 | % |
See Notes to Financial Highlights and Notes to Financial Statements.
Financial Highlights | 59 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | ||||||||||||||||
Inception date | 8/3/98 | |||||||||||||||||||
Net asset value, beginning of period | $ | 20.79 | $ | 17.96 | $ | 17.18 | $ | 19.32 | $ | 20.19 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.03 | * | 0.05 | * | 0.04 | * | 0.03 | * | 0.01 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 2.95 | * | 3.42 | * | 2.79 | * | (0.08 | )* | 1.12 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 2.98 | 3.47 | 2.83 | (0.05 | ) | 1.13 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.04 | 0.04 | 0.03 | 0.02 | 0.02 | |||||||||||||||
Net realized gains | 1.79 | 0.60 | 2.02 | 2.07 | 1.98 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 1.83 | 0.64 | 2.05 | 2.09 | 2.00 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 21.94 | $ | 20.79 | $ | 17.96 | $ | 17.18 | $ | 19.32 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(a) | 15.47 | % | 19.65 | % | 18.24 | % | (0.90 | )% | 5.61 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,528,575 | $ | 1,464,018 | $ | 1,298,789 | $ | 1,171,984 | $ | 1,264,304 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.88 | % | 0.88 | % | 0.89 | % | 0.89 | % | 0.88 | %(b) | ||||||||||
Gross expenses | 0.88 | % | 0.88 | % | 0.89 | % | 0.89 | % | 0.88 | % | ||||||||||
Net investment income | 0.14 | % | 0.27 | % | 0.25 | % | 0.17 | % | 0.07 | % | ||||||||||
Portfolio turnover rate | 38 | % | 34 | % | 33 | % | 40 | % | 37 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | ||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||
Net asset value, beginning of period | $ | 20.79 | $ | 17.98 | $ | 17.21 | $ | 19.37 | $ | 20.27 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss) | (0.02 | )* | 0.01 | * | (0.00 | )*(c) | (0.01 | )* | (0.04 | )* | ||||||||||
Net realized and unrealized gains/(losses) on investments | 2.95 | * | 3.41 | * | 2.80 | * | (0.08 | )* | 1.12 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 2.93 | 3.42 | 2.80 | (0.09 | ) | 1.08 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | — | 0.01 | 0.01 | — | — | |||||||||||||||
Net realized gains | 1.79 | 0.60 | 2.02 | 2.07 | 1.98 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 1.79 | 0.61 | 2.03 | 2.07 | 1.98 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 21.93 | $ | 20.79 | $ | 17.98 | $ | 17.21 | $ | 19.37 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(a) | 15.14 | % | 19.38 | % | 17.96 | % | (1.12 | )% | 5.32 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 2,671 | $ | 2,373 | $ | 2,579 | $ | 1,741 | $ | 71 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 1.13 | % | 1.13 | % | 1.14 | % | 1.14 | % | 1.13 | %(b) | ||||||||||
Gross expenses | 1.13 | % | 1.13 | % | 1.14 | % | 1.14 | % | 1.13 | % | ||||||||||
Net investment income (loss) | (0.11 | )% | 0.03 | % | (0.00 | )%(d) | (0.07 | )% | (0.19 | )% | ||||||||||
Portfolio turnover rate | 38 | % | 34 | % | 33 | % | 40 | % | 37 | % |
See Notes to Financial Highlights and Notes to Financial Statements.
60 | Financial Highlights |
Table of Contents
State Street Institutional International Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | ||||||||||||||||
Inception date | 11/25/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 13.42 | $ | 11.83 | $ | 11.41 | $ | 12.72 | $ | 12.71 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.23 | * | 0.17 | * | 0.20 | * | 0.18 | * | 0.30 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | (0.09 | )* | 1.63 | * | 0.40 | * | (1.15 | )* | (0.08 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.14 | 1.80 | 0.60 | (0.97 | ) | 0.22 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.19 | 0.21 | 0.18 | 0.34 | 0.21 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.19 | 0.21 | 0.18 | 0.34 | 0.21 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 13.37 | $ | 13.42 | $ | 11.83 | $ | 11.41 | $ | 12.72 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(a) | 1.01 | % | 15.58 | % | 5.32 | % | (7.80 | )% | 1.69 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,095,253 | $ | 1,213,757 | $ | 1,238,011 | $ | 1,284,412 | $ | 1,724,647 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.57 | % | 0.57 | % | 0.57 | % | 0.56 | % | 0.56 | %(b) | ||||||||||
Gross expenses | 0.57 | % | 0.57 | % | 0.57 | % | 0.56 | % | 0.56 | % | ||||||||||
Net investment income | 1.68 | % | 1.40 | % | 1.73 | % | 1.38 | % | 2.29 | % | ||||||||||
Portfolio turnover rate | 24 | % | 30 | % | 33 | % | 26 | % | 39 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | ||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||
Net asset value, beginning of period | $ | 13.34 | $ | 11.76 | $ | 11.33 | $ | 12.62 | $ | 12.61 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.20 | * | 0.14 | * | 0.17 | * | 0.08 | * | 0.26 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | (0.10 | )* | 1.63 | * | 0.40 | * | (1.06 | )* | (0.08 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.10 | 1.77 | 0.57 | (0.98 | ) | 0.18 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.16 | 0.19 | 0.14 | 0.31 | 0.17 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.16 | 0.19 | 0.14 | 0.31 | 0.17 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 13.28 | $ | 13.34 | $ | 11.76 | $ | 11.33 | $ | 12.62 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(a) | 0.75 | % | 15.33 | % | 5.01 | % | (7.95 | )% | 1.42 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 17,820 | $ | 18,687 | $ | 17,796 | $ | 19,562 | $ | 92,749 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.82 | % | 0.82 | % | 0.82 | % | 0.81 | % | 0.81 | %(b) | ||||||||||
Gross expenses | 0.82 | % | 0.82 | % | 0.82 | % | 0.81 | % | 0.81 | % | ||||||||||
Net investment income | 1.44 | % | 1.14 | % | 1.45 | % | 0.63 | % | 2.03 | % | ||||||||||
Portfolio turnover rate | 24 | % | 30 | % | 33 | % | 26 | % | 39 | % |
See Notes to Financial Highlights and Notes to Financial Statements.
Financial Highlights | 61 |
Table of Contents
State Street Active Core Bond Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | ||||||||||||||||
Inception date | 11/21/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.52 | $ | 9.67 | $ | 9.45 | $ | 9.51 | $ | 9.34 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.26 | * | 0.24 | * | 0.26 | * | 0.25 | * | 0.26 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | (0.38 | )* | (0.15 | )* | 0.31 | * | (0.05 | )* | 0.17 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | (0.12 | ) | 0.09 | 0.57 | 0.20 | 0.43 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.27 | 0.23 | 0.26 | 0.26 | 0.26 | |||||||||||||||
Net realized gains | 0.06 | 0.01 | 0.09 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.33 | 0.24 | 0.35 | 0.26 | 0.26 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 9.07 | $ | 9.52 | $ | 9.67 | $ | 9.45 | $ | 9.51 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(a) | (1.35 | )% | 0.98 | % | 6.18 | % | 2.05 | % | 4.61 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 221,201 | $ | 220,157 | $ | 298,908 | $ | 291,252 | $ | 322,946 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.25 | % | 0.24 | % | 0.24 | % | 0.23 | % | 0.23 | %(b) | ||||||||||
Gross expenses | 0.25 | % | 0.24 | % | 0.24 | % | 0.23 | % | 0.23 | % | ||||||||||
Net investment income | 2.83 | % | 2.56 | % | 2.79 | % | 2.65 | % | 2.73 | % | ||||||||||
Portfolio turnover rate | 181 | % | 326 | % | 219 | % | 297 | % | 308 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | 9/30/14** | ||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.73 | $ | 9.89 | $ | 9.66 | $ | 9.72 | $ | 9.55 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: | ||||||||||||||||||||
Net investment income | 0.24 | * | 0.22 | * | 0.25 | * | 0.23 | * | 0.24 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | (0.38 | )* | (0.16 | )* | 0.31 | * | (0.05 | )* | 0.17 | * | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | (0.14 | ) | 0.06 | 0.56 | 0.18 | 0.41 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.25 | 0.21 | 0.24 | 0.24 | 0.24 | |||||||||||||||
Net realized gains | 0.06 | 0.01 | 0.09 | — | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.31 | 0.22 | 0.33 | 0.24 | 0.24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 9.28 | $ | 9.73 | $ | 9.89 | $ | 9.66 | $ | 9.72 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Return(a) | (1.51 | )% | 0.65 | % | 5.95 | % | 1.81 | % | 4.32 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 80 | $ | 90 | $ | 181 | $ | 248 | $ | 327 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.50 | % | 0.49 | % | 0.49 | % | 0.48 | % | 0.48 | %(b) | ||||||||||
Gross expenses | 0.50 | % | 0.49 | % | 0.49 | % | 0.48 | % | 0.48 | % | ||||||||||
Net investment income | 2.57 | % | 2.28 | % | 2.58 | % | 2.40 | % | 2.47 | % | ||||||||||
Portfolio turnover rate | 181 | % | 326 | % | 219 | % | 297 | % | 308 | % |
See Notes to Financial Highlights and Notes to Financial Statements.
62 | 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%. |
* | 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. |
See Notes to Financial Highlights and Notes to Financial Statements.
Financial Highlights | 63 |
Table of Contents
State Street Institutional Funds
Statements of Assets and Liabilities — September 30, 2018
State Street Institutional U.S. Equity Fund | State Street Institutional Premier Growth Equity Fund | State Street Institutional Small-Cap Equity Fund | ||||||||||
Assets | ||||||||||||
Investments in securities, at fair value (cost $385,719,809; $228,389,385; $1,045,201,174; $897,462,564; and $220,395,714, respectively) | $ | 500,986,369 | $ | 365,136,405 | $ | 1,430,617,865 | ||||||
Short-term affiliated investments, at fair value | 21,393,075 | 16,568,746 | 96,806,112 | |||||||||
Cash | 3,734 | — | 17,299 | |||||||||
Cash collateral on deposit with broker for future contracts | 629,103 | 453,068 | 1,631,349 | |||||||||
Cash collateral on deposit with broker for Swap Contracts | — | — | — | |||||||||
Foreign currency (cost $0; $0; $0; $912,517; and $0, respectively) | — | — | — | |||||||||
Receivable for investments sold | 12,604,451 | 1,194,907 | 2,664,726 | |||||||||
Income receivables | 312,468 | 159,507 | 1,072,644 | |||||||||
Receivable for fund shares sold | 34,135 | 70,277 | 1,766,664 | |||||||||
Income receivable from affiliated investments | 34,263 | 18,269 | 160,419 | |||||||||
Receivable for accumulated variation margin on futures | 23,400 | — | — | |||||||||
Other assets | 11,255 | 7,930 | 30,924 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 536,032,253 | 383,609,109 | 1,534,768,002 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Distribution payable to shareholders | — | — | — | |||||||||
Payable for investments purchased | 13,116,724 | 918,069 | 2,298,039 | |||||||||
Payable for fund shares redeemed | — | 156,258 | 74 | |||||||||
Payable for accumulated variation margin on Swaps | — | — | — | |||||||||
Payable for accumulated variation margin on futures | — | 39,350 | 114,655 | |||||||||
Payable to the Adviser | 152,924 | 116,205 | 1,109,205 | |||||||||
Distribution and service fees | 21 | 3,523 | 554 | |||||||||
Written options (Premiums received $20,252) | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 13,269,669 | 1,233,405 | 3,522,527 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 522,762,584 | $ | 382,375,704 | $ | 1,531,245,475 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in | $ | 378,053,955 | $ | 205,933,383 | $ | 970,804,323 | ||||||
Total distributable earnings (loss) | $ | 144,708,629 | $ | 176,442,321 | $ | 560,441,152 | ||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 522,762,584 | $ | 382,375,704 | $ | 1,531,245,475 | ||||||
|
|
|
|
|
| |||||||
Investment Class: | ||||||||||||
Net Assets | $ | 522,658,369 | $ | 365,077,872 | $ | 1,528,574,936 | ||||||
Shares outstanding ($0.001 par value, unlimited shares authorized) | 38,025,516 | 20,872,808 | 69,670,041 | |||||||||
Net asset value, offering and redemption price per share | $ | 13.74 | $ | 17.49 | $ | 21.94 | ||||||
Service Class: | ||||||||||||
Net Assets | $ | 104,215 | $ | 17,297,832 | $ | 2,670,539 | ||||||
Shares outstanding ($0.001 par value, unlimited shares authorized) | 7,088 | 1,003,600 | 121,779 | |||||||||
Net asset value, offering and redemption price per share | $ | 14.70 | $ | 17.24 | $ | 21.93 |
The accompanying Notes are an integral part of these financial statements.
64 | Statements of Assets and Liabilities |
Table of Contents
State Street | State Street Active Core Bond Fund | |||||
$ | 1,056,711,013 |
| $ | 218,107,106 | ||
54,039,876 | 13,336,330 | |||||
17,777 | 209,458 | |||||
987,565 | 349,537 | |||||
— | 128,026 | |||||
910,435 | — | |||||
— | 7,348,511 | |||||
3,422,944 | 1,690,907 | |||||
334,278 | 29,887 | |||||
63,095 | 16,211 | |||||
138,149 | — | |||||
26,455 | 4,988 | |||||
|
|
|
| |||
1,116,651,587 | 241,220,961 | |||||
|
|
|
| |||
— | 336 | |||||
3,053,731 | 17,501,206 | |||||
12,714 | 2,028,455 | |||||
— | 25,000 | |||||
— | 333,751 | |||||
508,140 | 43,166 | |||||
3,652 | 17 | |||||
— | 8,344 | |||||
|
|
|
| |||
3,578,237 | 19,940,275 | |||||
|
|
|
| |||
$ | 1,113,073,350 | $ | 221,280,686 | |||
|
|
|
| |||
$ | 1,093,714,161 | $ | 229,739,509 | |||
$ | 19,359,189 | $ | (8,458,823 | ) | ||
|
|
|
| |||
$ | 1,113,073,350 | $ | 221,280,686 | |||
|
|
|
| |||
$ | 1,095,253,072 | $ | 221,200,629 | |||
81,932,745 | 24,380,461 | |||||
$ | 13.37 | $ | 9.07 | |||
$ | 17,820,278 | $ | 80,057 | |||
1,341,826 | 8,625 | |||||
$ | 13.28 | $ | 9.28 |
The accompanying Notes are an integral part of these financial statements.
Statements of Assets and Liabilities | 65 |
Table of Contents
State Street Institutional Funds
Statements of Operations — For the year ended September 30, 2018
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 | $ | 7,350,204 | $ | 3,897,414 | $ | 13,900,883 | ||||||
Interest | — | — | — | |||||||||
Income from affiliated investments | 232,535 | 177,501 | 1,260,300 | |||||||||
Less: Foreign taxes withheld | — | — | (48,988 | ) | ||||||||
|
|
|
|
|
| |||||||
Total income | 7,582,739 | 4,074,915 | 15,112,195 | |||||||||
|
|
|
|
|
| |||||||
Expenses |
| |||||||||||
Advisory and administration fees | 1,744,893 | 1,426,319 | 12,921,547 | |||||||||
Distribution and service fees | ||||||||||||
Service Class | 252 | 41,051 | 6,234 | |||||||||
Trustees’ fees | 41,610 | 26,592 | 107,027 | |||||||||
Other expenses | 635 | 522 | 2,871 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,787,390 | 1,494,484 | 13,037,679 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | $ | 5,795,349 | $ | 2,580,431 | $ | 2,074,516 | ||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments |
| |||||||||||
Realized gain (loss) on: | ||||||||||||
Unaffiliated investments | $ | 28,723,700 | $ | 42,657,493 | $ | 192,621,525 | ||||||
Futures | 867,200 | (160,402 | ) | 3,810,305 | ||||||||
Written options | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency transactions | — | — | — | |||||||||
Increase (decrease) in unrealized appreciation/depreciation on: |
| |||||||||||
Unaffiliated investments | 38,445,634 | 24,234,889 | 15,252,834 | |||||||||
Futures | 21,839 | 19,905 | (1,022,908 | ) | ||||||||
Written options | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency translations | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | 68,058,373 | 66,751,885 | 210,661,756 | |||||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 73,853,722 | $ | 69,332,316 | $ | 212,736,272 | ||||||
|
|
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
66 | Statements of Operations |
Table of Contents
State Street Institutional International Equity Fund | State Street Active Core Bond Fund | |||||
$ | 29,796,266 | $ | 20,395 | |||
— | 6,417,180 | |||||
531,830 | 120,741 | |||||
(3,229,667 | ) | — | ||||
|
|
|
| |||
27,098,429 | 6,558,316 | |||||
|
|
|
| |||
6,746,684 | 512,940 | |||||
46,928 | 212 | |||||
91,589 | 18,973 | |||||
1,218 | 529 | |||||
|
|
|
| |||
6,886,419 | 532,654 | |||||
|
|
|
| |||
$ | 20,212,010 | $ | 6,025,662 | |||
|
|
|
| |||
$ | 47,184,110 | $ | (3,043,354 | ) | ||
1,529,556 | (453,803 | ) | ||||
— | 152,120 | |||||
— | 211,099 | |||||
(871,211 | ) | — | ||||
(53,897,495 | ) | (5,180,761 | ) | |||
114,383 | (380,976 | ) | ||||
— | 11,908 | |||||
— | 36,914 | |||||
(22,446 | ) | — | ||||
|
|
|
| |||
(5,963,103 | ) | (8,646,853 | ) | |||
|
|
|
| |||
$ | 14,248,907 | $ | (2,621,191 | ) | ||
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Operations | 67 |
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 | |||||||||||||||
Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | |||||||||||||
Increase (Decrease) in Net Assets |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income | $ | 5,795,349 | $ | 7,448,228 | $ | 2,580,431 | $ | 3,072,120 | ||||||||
Net realized gain (loss) on investments, futures, swap contracts and foreign currency transactions | 29,590,900 | 100,382,739 | 42,497,091 | 19,997,844 | ||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, swap contracts and foreign currency translations | 38,467,473 | (9,635,178 | ) | 24,254,794 | 45,291,327 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from operations | 73,853,722 | 98,195,789 | 69,332,316 | 68,361,291 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to shareholders: |
| |||||||||||||||
Total distributions | ||||||||||||||||
Investment Class | (101,975,515 | ) | (38,790,223 | ) | (25,180,960 | ) | (28,596,958 | ) | ||||||||
Service Class | (22,854 | ) | (5,769 | ) | (1,123,407 | ) | (999,595 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Increase (decrease) in assets from operations and distributions | (28,144,647 | ) | 59,399,797 | 43,027,949 | 38,764,738 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Share transactions: |
| |||||||||||||||
Proceeds from sale of shares | ||||||||||||||||
Investment Class | 53,698,946 | 23,678,745 | 42,754,466 | 39,338,252 | ||||||||||||
Service Class | 16,622 | 5,590 | 1,779,379 | 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 | (66,216,987 | ) | (262,621,887 | ) | (102,892,357 | ) | (70,298,092 | ) | ||||||||
Service Class | (22,607 | ) | (22,343 | ) | (3,530,884 | ) | (2,489,023 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 88,984,002 | (200,631,526 | ) | (37,204,300 | ) | 540,223 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase (decrease) in net assets | 60,839,355 | (141,231,729 | ) | 5,823,649 | 39,304,961 | |||||||||||
Net Assets |
| |||||||||||||||
Beginning of year | 461,923,229 | 603,154,958 | 376,552,055 | 337,247,094 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of year | $ | 522,762,584 | $ | 461,923,229 | $ | 382,375,704 | $ | 376,552,055 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Changes in Fund Shares |
| |||||||||||||||
Investment Class |
| |||||||||||||||
Shares sold | 4,011,006 | 1,688,791 | 2,655,077 | 2,742,967 | ||||||||||||
Issued for distributions reinvested | 8,224,082 | 2,925,389 | 1,535,964 | 2,218,156 | ||||||||||||
Shares redeemed | (5,098,707 | ) | (18,404,658 | ) | (6,288,782 | ) | (4,875,026 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in fund shares | 7,136,381 | (13,790,478 | ) | (2,097,741 | ) | 86,097 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Service Class |
| |||||||||||||||
Shares sold | 1,035 | 370 | 111,196 | 316,632 | ||||||||||||
Issued for distributions reinvested | 1,727 | 417 | 74,152 | 78,895 | ||||||||||||
Shares redeemed | (1,715 | ) | (1,474 | ) | (224,132 | ) | (174,546 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in fund shares | 1,047 | (687 | ) | (38,784 | ) | 220,981 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
For the year ended September 30, 2017, the source of distributions paid to shareholders was (See Note 11 in the Notes to Financial Statements): |
| |||||||||||||||
Investment Class |
| |||||||||||||||
Net investment income | $ | (9,204,143 | ) | $ | (2,724,978 | ) | ||||||||||
Net realized capital gains | (29,586,080 | ) | (25,871,980 | |||||||||||||
|
|
|
| |||||||||||||
Total distributions | (38,790,223 | ) | (28,596,958 | ) | ||||||||||||
|
|
|
| |||||||||||||
Service Class |
| |||||||||||||||
Net investment income | $ | (1,169 | ) | $ | (70,521 | ) | ||||||||||
Net realized capital gains | (4,600 | ) | (929,074 | ) | ||||||||||||
|
|
|
| |||||||||||||
Total distributions | (5,769 | ) | (999,595 | ) | ||||||||||||
|
|
|
| |||||||||||||
Undistributed net investment income as of September 30, 2017: | $ | 4,988,201 | $ | 2,005,335 |
The accompanying Notes are an integral part of these financial statements.
68 | Statements of Changes in Net Assets |
Table of Contents
State Street Institutional Small-Cap Equity Fund | State Street Institutional International Equity Fund | State Street Active Core Bond Fund | ||||||||||||||||||||
Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | |||||||||||||||||
$ | 2,074,516 | $ | 3,730,825 | $ | 20,212,010 | $ | 17,165,969 | $ | 6,025,662 | $ | 6,815,962 | |||||||||||
| 196,431,830 |
| 113,221,299 | 47,842,455 | 586,795 | (3,133,938 | ) | (1,737,551 | ) | |||||||||||||
| 14,229,926 |
| 132,749,651 | (53,805,558 | ) | 160,903,177 | (5,512,915 | ) | (3,361,479 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
212,736,272 | 249,701,775 | 14,248,907 | 178,655,941 | (2,621,191 | ) | 1,716,932 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(126,974,052 | ) | (46,178,376 | ) | (16,515,359 | ) | (21,670,619 | ) | (7,405,287 | ) | (6,765,787 | ) | |||||||||||
(203,189 | ) | (84,439 | ) | (224,900 | ) | (280,973 | ) | (2,735 | ) | (2,295 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
85,559,031 | 203,438,960 | (2,491,352 | ) | 156,704,349 | (10,029,213 | ) | (5,051,150 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
70,899,448 | 70,119,922 | 45,266,177 | 45,554,141 | 82,798,232 | 36,633,790 | |||||||||||||||||
239,934 | 435,295 | 468,698 | 220,946 | 140 | 3,243 | |||||||||||||||||
126,017,253 | 46,178,377 | 16,514,923 | 21,670,123 | 7,405,233 | 6,679,291 | |||||||||||||||||
203,189 | 84,438 | 224,900 | 280,973 | 2,735 | 2,294 | |||||||||||||||||
(217,765,972 | ) | (154,152,789 | ) | (177,858,832 | ) | (245,913,305 | ) | (79,134,378 | ) | (117,017,251 | ) | |||||||||||
(298,248 | ) | (1,081,378 | ) | (1,494,939 | ) | (1,880,348 | ) | (8,782 | ) | (93,066 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(20,704,396 | ) | (38,416,135 | ) | (116,879,073 | ) | (180,067,470 | ) | 11,063,180 | (73,791,699 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
64,854,635 | 165,022,825 | (119,370,425 | ) | (23,363,121 | ) | 1,033,967 | (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 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,531,245,475 | $ | 1,466,390,840 | $ | 1,113,073,350 | $ | 1,232,443,775 | $ | 221,280,686 | $ | 220,246,719 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
3,446,837 | 3,635,977 | 3,314,879 | 3,670,675 | 8,988,122 | 3,872,839 | |||||||||||||||||
6,509,156 | 2,430,441 | 1,223,328 | 1,919,409 | 799,321 | 707,546 | |||||||||||||||||
(10,693,711 | ) | (7,961,615 | ) | (13,035,153 | ) | (19,831,129 | ) | (8,541,774 | ) | (12,353,748 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(737,718 | ) | (1,895,197 | ) | (8,496,946 | ) | (14,241,045 | ) | 1,245,669 | (7,773,363 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
11,853 | 22,804 | 34,628 | 18,410 | 14 | 339 | |||||||||||||||||
10,479 | 4,435 | 16,734 | 24,975 | 288 | 238 | |||||||||||||||||
(14,674 | ) | (56,588 | ) | (109,917 | ) | (155,864 | ) | (931 | ) | (9,626 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
7,658 | (29,349 | ) | (58,555 | ) | (112,479 | ) | (629 | ) | (9,049 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | (2,814,987 | ) | $ | (21,670,619 | ) | $ | (6,369,455 | ) | ||||||||||||||
(43,363,389 | ) | — | (396,332 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
(46,178,376 | ) | (21,670,619 | ) | (6,765,787 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | (1,191 | ) | $ | (280,973 | ) | $ | (2,161 | ) | ||||||||||||||
(83,248 | ) | — | (134 | ) | ||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
(84,439 | ) | (280,973 | ) | (2,295 | ) | |||||||||||||||||
|
|
|
|
|
| |||||||||||||||||
$ | 1,870,838 | $ | 16,635,149 | $ | 1,418,534 |
The accompanying Notes are an integral part of these financial statements.
Statements of Changes in Net Assets | 69 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements — September 30, 2018
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 Active Core Bond Fund (formerly, 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. |
• | Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value pursuant to the valuation policy and procedures approved by the Board. |
• | Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative 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.
The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of each Fund’s investments according to the fair value hierarchy as of September 30, 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 Funds had no material transfers between levels for the fiscal year ended September 30, 2018.
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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 September 30, 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 Active Core Bond Fund. The State Street Active Core Bond Fund declares them daily and pays them monthly.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Securities and Other Investments |
Delayed Delivery Transactions and When-Issued Securities During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable Fund’s Schedule of Investments. 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.
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.
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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 Each Fund may enter into futures contracts to meet the Fund’s 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.
For the fiscal year ended September 30, 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 Active Core Bond Fund | Management of Interest Rate Risk |
Options on Futures Contracts The State Street Active Core Bond Fund may purchase and write options, including options on exchanged traded futures contracts, subject to certain limitations. Writing puts and buying calls tend to increase the Fund’s exposure to the underlying instrument while buying puts and writing calls tend to decrease the Fund’s exposure to the underlying instrument. The Fund will not enter into a transaction involving options for speculative purposes. The Fund’s risks in using these contracts include changes in the value of the underlying instruments, non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts.
When the Fund writes an option, the amount of the premium received is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by the 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.
For the fiscal year ended September 30, 2018, the State Street Active Core Bond Fund purchased and wrote options in order to manage interest rate risk.
Credit Default Swaps During the fiscal year ended September 30, 2018, the State Street Active Core Bond 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
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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 fiscal year ended September 30, 2018, the State Street Active Core Bond Fund entered into interest rate swaps in order to manage exposure to interest rates.
The following tables summarize the value of the Funds’ derivative instruments as of September 30, 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 U.S. Equity Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 23,400 | $ | — | $ | 23,400 | ||||||||||||
State Street Institutional International |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 138,149 | $ | — | $ | 138,149 |
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Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Active Core Bond Fund |
| |||||||||||||||||||||||
Futures Contracts | $ | 334,614 | $ | — | $ | — | $ | — | $ | — | $ | 334,614 | ||||||||||||
Swap Contracts(a) | 10,893 | — | — | — | — | 10,893 | ||||||||||||||||||
Written Options Contracts | 11,908 | — | — | — | — | 11,908 |
(a) | Unrealized appreciation on swap contracts. The Statement of Assets and Liabilities only reflect the current day’s net variation margin. |
Liability Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Institutional Premier Growth |
| |||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (39,350 | ) | $ | — | $ | (39,350 | ) | ||||||||||
State Street Institutional Small-Cap |
| |||||||||||||||||||||||
Futures Contracts | — | — | — | (114,655 | ) | — | (114,655 | ) | ||||||||||||||||
State Street Active Core Bond Fund | ||||||||||||||||||||||||
Futures Contracts | (669,843 | ) | — | — | — | — | (669,843 | ) | ||||||||||||||||
Swap Contracts(a) |
| — | (2,638 | ) | — | — | (2,638 | ) | ||||||||||||||||
Purchased Options(b) | (85,077 | ) | — | — | — | (85,077 | ) |
(a) | Unrealized depreciation on swap contracts. The Statements of Assets and Liabilities only reflect the current day’s net variation margin. |
(b) | Purchased options are included in investments in securities. |
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 | $ | — | $ | — | $ | — | $ | 867,200 | $ | — | $ | 867,200 | ||||||||||||
State Street Institutional Premier Growth |
| |||||||||||||||||||||||
Futures Contracts | — | — | — | (160,402 | ) | — | (160,402 | ) | ||||||||||||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | 3,810,305 | — | 3,810,305 | ||||||||||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | 1,529,556 | — | 1,529,556 | ||||||||||||||||||
State Street Active Core Bond Fund | ||||||||||||||||||||||||
Futures Contracts | (453,803 | ) | — | — | — | — | (453,803 | ) | ||||||||||||||||
Swap Contracts | 291,439 | — | (80,340 | ) | — | — | 211,099 | |||||||||||||||||
Purchased Option Contracts(a) | (201,127 | ) | — | — | — | — | (201,127 | ) | ||||||||||||||||
Written Option Contracts | 152,120 | — | — | — | — | 152,120 |
(a) | Purchased options are 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 | $ | — | $ | — | $ | — | $ | 21,839 | $ | — | $ | 21,839 | ||||||||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | 19,905 | — | 19,905 | ||||||||||||||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | (1,022,908 | ) | — | (1,022,908 | ) | ||||||||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||||||
Futures Contracts | — | — | — | 114,383 | — | 114,383 | ||||||||||||||||||
State Street Active Core Bond Fund | ||||||||||||||||||||||||
Futures Contracts | (380,976 | ) | — | — | — | — | (380,976 | ) | ||||||||||||||||
Swap Contracts | 10,893 | — | 26,021 | — | — | 36,914 | ||||||||||||||||||
Purchased Option Contracts(b) | — | (85,077 | ) | — | — | (85,077 | ) | |||||||||||||||||
Written Option Contracts | 11,908 | — | — | — | 11,908 |
(b) | Purchased options are 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 Active Core Bond 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 fiscal year ended September 30, 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 fiscal year ended September 30, 2018 were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | — | $ | — | $ | 220,131,560 | $ | 234,178,876 | ||||||||
State Street Institutional Premier Growth Equity Fund | — | — | 77,726,093 | 147,238,603 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | — | — | 526,412,261 | 689,873,897 | ||||||||||||
State Street Institutional International Equity Fund | — | — | 283,510,766 | 389,415,962 | ||||||||||||
State Street Active Core Bond | 326,380,858 | 310,117,177 | 62,499,059 | 61,779,334 |
8. | Income Taxes |
The Funds have qualified and intend to continue to qualify as regulated investment companies under 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.
Under tax reform legislation commonly referred to as the Tax Cuts and Jobs Act (the “Tax Act”,) a direct REIT shareholder is permitted to claim a 20% deduction for “qualified REIT dividends” (i.e. ordinary REIT dividends other than capital gain dividends and portions of REIT dividends designated as qualified dividend income). The Act does not contain a provision permitting a regulated investment company, such as the Funds, to pass through the special character of “qualified REIT dividends” to its shareholders. Unless future tax guidance addresses this issue, direct investors in REITs will benefit from the deduction, while investors in the Funds that invest in such REITs will not.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions, nontaxable dividend adjustments to income, foreign currencies, REITs, passive foreign investment companies, investments in forwards and futures, investments in swap contracts, paydown gains and losses, corporate actions, straddle loss deferrals and wash sale loss deferrals.
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The tax character of distributions paid during the year ended September 30, 2018 was as follows:
Fund | Ordinary Income | Long Term Capital Gains | Tax Return of Capital | Total | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | 23,650,688 | $ | 78,347,681 | $ | — | $ | 101,998,369 | ||||||||
State Street Institutional Premier Growth Equity Fund | 3,331,860 | 22,972,507 | — | 26,304,367 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | 18,749,413 | 108,427,828 | — | 127,177,241 | ||||||||||||
State Street Institutional International Equity Fund | 16,740,259 | — | — | 16,740,259 | ||||||||||||
State Street Active Core Bond Fund | 7,408,022 | — | — | 7,408,022 |
The tax character of distributions paid during the year ended September 30, 2017 was as follows:
Fund | Ordinary Income | Long Term Capital Gains | Tax Return of Capital | Total | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | 9,879,092 | $ | 28,916,900 | $ | — | $ | 38,795,992 | ||||||||
State Street Institutional Premier Growth Equity Fund | 2,795,499 | 26,801,054 | — | 29,596,553 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | 3,374,607 | 42,888,208 | — | 46,262,815 | ||||||||||||
State Street Institutional International Equity Fund | 21,951,592 | — | — | 21,951,592 | ||||||||||||
State Street Active Core Bond Fund | 6,768,082 | — | — | 6,768,082 |
At September 30, 2018, the components of distributable earnings on a tax basis were as follows:
Fund | Undistributed Ordinary Income | Capital Loss Carryforwards* | Undistributed Long term Capital Gain | Net Unrealized Gains (losses) | Qualified Late-Year Losses** | Total | ||||||||||||||||||
State Street Institutional U.S. Equity Fund | $ | 4,560,649 | $ | — | $ | 27,162,646 | $ | 112,985,334 | $ | — | $ | 144,708,629 | ||||||||||||
State Street Institutional Premier Growth Equity Fund | 2,185,374 | — | 39,360,884 | 134,896,063 | — | 176,442,321 | ||||||||||||||||||
State Street Institutional Small-Cap Equity Fund | 11,950,771 | — | 174,891,054 | 373,599,327 | — | 560,441,152 | ||||||||||||||||||
State Street Institutional International Equity Fund | 19,210,233 | (147,219,614 | ) | — | 147,368,570 | — | 19,359,189 | |||||||||||||||||
State Street Active Core Bond Fund | 355,794 | (6,479,345 | ) | — | (2,334,219 | ) | — | (8,457,770 | ) |
* | A portion of the Fund’s Capital Loss Carryforwards may be subject to limitations. |
** | The Funds have elected to defer certain qualified late-year losses in the next taxable year. |
As of September 30, 2018, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:
Fund | Expiring 2019 | Non-Expiring Short Term* | Non-Expiring Long Term* | |||||||||
State Street Institutional International Equity Fund | $ | 140,255,693 | $ | 6,963,921 | $ | — | ||||||
State Street Active Core Bond Fund | — | 2,389,070 | 4,090,275 |
* | Must be utilized prior to losses subject to expiration. |
As of September 30, 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 | $ | 409,417,402 | $ | 119,201,105 | $ | (6,215,771 | ) | $ | 112,985,334 | |||||||
State Street Institutional Premier Growth Equity Fund | 246,769,467 | 140,544,968 | (5,648,905 | ) | 134,896,063 | |||||||||||
State Street Institutional Small-Cap Equity Fund | 1,153,709,730 | 418,526,096 | (44,926,769 | ) | 373,599,327 | |||||||||||
State Street Institutional International Equity Fund | 963,495,889 | 191,447,186 | (44,054,406 | ) | 147,392,780 | |||||||||||
State Street Active Core Bond Fund | 233,462,589 | 1,038,420 | (3,372,730 | ) | (2,334,310 | ) |
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Notes to Financial Statements, continued — September 30, 2018
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 October 12, 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.
Effective October 11, 2018, the Agreement was renewed, and as a result, the Funds and other affiliated funds continue to participate in a $500 million revolving credit facility. Pursuant to the renewed agreement, the line of credit will terminate on October 10, 2019 or such earlier date on which the commitments shall terminate as provided in the renewed agreement. The Funds had no outstanding loans as of September 30, 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.
Interest Rate Risk Is the risk that fixed income securities will decline in value because of changes in interest rates. Bond prices generally rise when interest rates decline and generally decline when interest rates rise. Although governmental financial regulators, including the U.S. Federal Reserve, have taken steps to maintain historically low interest rates, the U.S. Federal Reserve has recently begun to raise interest rates and may continue to do so. Thus, a Fund currently faces a heightened level of interest rate risk.
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. | New and Recent Accounting Pronouncements |
In August 2018, the Financial Accounting Standards Board (“FASB”) issued Accounting Standards Update 2018-13, Fair Value Measurement (Topic 820)- Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (Topic 820) — Disclosure Framework — Changes to the Disclosure Requirements for Fair Value Measurement (“ASU 2018-13”) which introduces new fair value disclosure requirements as well as eliminates and modifies certain existing fair value disclosure requirements. ASU 2018-13 would be effective for fiscal years beginning after December 15, 2019, and interim periods within those fiscal years. Management is currently evaluating the impact of this guidance to the Funds. The impact would most likely be limited to changes in the Funds’ financial statement disclosures regarding fair value, primarily those disclosures related to transfers between levels of the fair value hierarchy.
In August 2018, the Securities and Exchange Commission released its Final Rule on Disclosure Update and Simplification (the “Final Rule”) which is intended to simplify an issuer’s disclosure compliance efforts by removing redundant or outdated disclosure requirements without significantly altering the mix of information provided to investors. The Funds have adopted the Final Rule for the current period with the most notable impacts being that the Funds are no longer required to present
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State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2018
components of distributable earnings on the Statements of Assets and Liabilities or the sources of distributions to shareholders and the amount of undistributed net investment income on the Statements of Changes in Net Assets.
In March 2017, the 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 |
On October 31, 2018, a shareholder redemption in the amount of $919,887,389 occurred in the State Street Institutional International Equity Fund. Net assets as of October 31, 2018, were $81,527,986. In anticipation of the redemption, the Board approved the following actions to be taken by SSGA FM, as being in the best interest of the Fund:
The Fund paying dividends from net investment income and/or making distributions of net long-term capital gains (a “Special Distribution”) to registered shareholders as of October 26, 2018 (the “Record Date”). On October 29, 2018, for registered shareholders on the Record Date, the Fund’s Investment Class shares and Service Class shares paid a Special Distribution of approximately $0.23 and $0.21 per share, respectively, from net investment income.
Effective October 30, 2018, SSGA FM is contractually obligated, until January 31, 2020 (i) to waive up to the full amount of the advisory fee payable by the Fund, and/or (ii) to reimburse the Fund for expenses to the extent that the Total Annual Fund Operating Expenses (exclusive of non-recurring account fees, extraordinary expenses, distribution and shareholder servicing fees) exceed 0.55% of average daily net assets on an annual basis (the “Fee Reduction Arrangement”). This Fee Reduction Arrangement may not be terminated prior to January 31, 2020, except with approval of the Board.
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State Street Institutional Funds
Report of Independent Registered Public Accounting Firm
To the Shareholders of 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 Active Core Bond Fund
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of 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 Active Core Bond Fund (formerly State Street Institutional Income Fund) (collectively referred to as the “Trust”), including the schedules of investments, as of September 30, 2018, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the three years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds at September 30, 2018, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the three years in the period ended, in conformity with U.S. generally accepted accounting principles. The financial highlights for periods ended prior to October 1, 2016 were audited by another independent registered public accounting firm whose report, dated November 20, 2015, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Trust’s financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2018, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
November 28, 2018
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Other Information — September 30, 2018 (Unaudited)
Tax Information
For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended September 30, 2018.
Dividends Received Deduction
Each Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended September 30, 2018 are considered qualified dividend income and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Capital Gain Dividend
The Funds hereby designate as a capital gain dividend the amount reflected below, or if subsequently determined to be different, the net capital gain of such fiscal period.
Amount | ||||
State Street Institutional U.S. Equity Fund | $ | 78,347,681 | ||
State Street Premier Growth Equity Fund | 22,972,507 | |||
State Street Institutional Small-Cap Equity Fund | 108,427,828 |
Foreign Tax Credit
The Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by each Fund to its shareholders. For the year ended September 30, 2018, the total amount of foreign taxes that will be passed through are:
Amount | ||||
State Street Institutional International Equity Fund | $ | 3,254,168 |
The amount of foreign source income earned on the following Funds during the year ended September 30, 2018 were as follows:
Amount | ||||
State Street Institutional International Equity Fund | $ | 30,052,940 |
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State Street Institutional Funds
Other Information — September 30, 2018 (Unaudited)
Disclosure for the Board of Trustees’ Consideration of the Renewal of the Investment Advisory and Administration Agreement with SSGA Funds Management, Inc. and the Sub-Advisory Agreements with each of Champlain Investment Partners, LLC, GlobeFlex Capital, L.P., Kennedy Capital Management, Inc., Palisade Capital Management, LLC and SouthernSun Asset Management, LLC on behalf of the State Street Institutional Small-Cap Equity Fund
At meetings of the Board of Trustees (the “Board”) of State Street Institutional Funds (the “Institutional Funds”) held on May 16, 2018 and June 5, 2018 (the “Board Meetings”), the Board members, including the Board members who are not “interested persons” (as defined in the Investment Company Act of 1940, as amended (the “1940 Act”)) of the Institutional Funds (“Independent Board Members”), considered and unanimously approved the continuance for an additional year of the investment advisory and administration agreement (the “Investment Advisory and Administration Agreement”) between SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”) and the Institutional Funds on behalf of each of its series portfolios (each, a “Fund” and collectively, the “Funds”), and the sub-advisory agreements (each, a “Small-Cap Sub-Advisory Agreement”) by and among SSGA FM, the Institutional Funds on behalf of the State Street Institutional Small-Cap Equity Fund (the “Institutional Small-Cap Equity Fund”), and each of Champlain Investment Partners, LLC, GlobeFlex Capital, L.P., Kennedy Capital Management, Inc., Palisade Capital Management, LLC and SouthernSun Asset Management, LLC (collectively, the “Small-Cap Equity Fund Sub-Advisers”).
In considering whether to approve the continuance for an additional year of the Investment Advisory and Administration Agreement and the Small-Cap Sub-Advisory Agreements, the Board members considered and discussed a substantial amount of information and analysis provided, at the Board’s request, by the Adviser and each of the Small-Cap Equity Fund Sub-Advisers. The Board members also considered detailed information regarding performance and expenses of other investment companies, including those with similar investment strategies and sizes, which was prepared by an independent third party provider, Broadridge Financial Solutions, Inc. (“Broadridge”). The Board members reviewed the fees charged by the Adviser for other mutual funds and investment products other than mutual funds that employ a similar investment strategy as any of the Funds. The Board had the opportunity to ask questions and request additional information in connection with its considerations.
Before approving the continuance of the Investment Advisory and Administration Agreement and the Small-Cap Sub-Advisory Agreements, the Independent Board Members reviewed the information provided with management of the Adviser and with their independent legal counsel. The Board also reviewed a memorandum prepared by independent legal counsel discussing the legal standards for the consideration of the proposed continuances. The Independent Board Members discussed the proposed continuances of the Investment Advisory and Administration Agreement and the Small-Cap Sub-Advisory Agreements in detail during private sessions in advance of, and at, the Board Meetings with their independent legal counsel at which no representatives of the Adviser or any of the Small-Cap Equity Fund Sub-Advisers were present. The Independent Board Members and their independent legal counsel requested, and received and considered, additional information from the Adviser and each of the Small-Cap Equity Fund Sub-Advisers following the May 16, 2018 Board Meeting and prior to the June 5, 2018 Board Meeting.
In advance of the Board Meetings, and in response to their detailed requests, the Board members received from the Adviser written responses to their inquiries, which included substantial exhibits and other materials related to the Adviser’s business and the services it provides to each Fund. Also in advance of the Board Meetings, the Board members received from each of the Small-Cap Equity Fund Sub-Advisers a written response to a letter of inquiry prepared by SSGA FM at the Board’s request, which included substantial exhibits and other materials related to the business of, and services provided by, each of the Small-Cap Equity Fund Sub-Advisers. The Board members took into account their multi-year experience as Board members and particularly their previous consideration of these types of agreements.
During the Board Meetings, the Board members had an opportunity to discuss this information with SSGA FM representatives, including senior executives, representatives from the legal, compliance and finance departments, and investment personnel. The Board members also had an opportunity to hear presentations by representatives of each of the Small-Cap Equity Fund Sub-Advisers. The Board members posed questions to these representatives and engaged in significant discussions.
In reaching its determinations relating to the continuances of the Investment Advisory and Administration Agreement and the Small-Cap Sub-Advisory Agreements, the Board considered those factors it deemed relevant, including the factors discussed below. In its deliberations, the Board did not identify any single factor that was dispositive and each Board member may have attributed different weights to the various factors. The Board members evaluated the information provided to them, as well as the presentations and discussions that occurred at the Board Meetings, for each Fund on a Fund-by-Fund basis, and their determinations were made separately in respect of each Fund.
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The material factors and conclusions that formed the basis for the Board’s determinations to approve the continuances of the Investment Advisory and Administration Agreement on behalf of each Fund and the Small-Cap Sub-Advisory Agreements on behalf of the Institutional Small-Cap Equity Fund are as discussed below.
The Nature, Extent and Quality of Services Provided.
The Board reviewed the services provided by the Adviser and each of the Small-Cap Equity Fund Sub-Advisers. In connection with their consideration of the Adviser’s services, the Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to each Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries, as well as sector, credit quality and interest rate exposure (all as applicable). The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing certain Funds and the extensive experience and resources committed by the Adviser to the evaluation of the Funds’ portfolios. For the Institutional Small-Cap Equity Fund, the Board considered the Adviser’s processes used for overseeing multiple sub-advisers. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Board also considered the significant risks assumed by the Adviser in connection with the services provided to the Funds, including operational, enterprise, regulatory, litigation and compliance risks. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board had previously reviewed the compliance programs of SSGA FM and various affiliated service providers (“Affiliated Service Providers”). Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
In connection with their consideration of the services provided by each of the Small-Cap Equity Fund Sub-Advisers, the Board considered each Small-Cap Equity Fund Sub-Adviser’s attributes relating to its investment philosophy oriented toward long-term performance, its process for selecting investments, its experienced professionals, access to significant technological resources and a favorable history and reputation. The Board also considered the review process undertaken by SSGA FM and SSGA FM’s favorable assessment of the nature and quality of the investment sub-advisory services provided by each Small-Cap Equity Fund Sub-Adviser to the Institutional Small-Cap Equity Fund.
In light of the foregoing and other relevant information, the Board, including the Independent Board Members, concluded that the services provided by the Adviser and each of the Small-Cap Equity Fund Sub-Advisers continue to be satisfactory.
Investment Performance.
The Board members considered the investment performance of each of the Funds for various periods. The Board members reviewed detailed comparisons of the performance of the Funds with the relevant securities indices and peer and category groupings of mutual funds prepared by Broadridge with respect to various periods. The Board members also engaged in detailed discussions with SSGA FM management, and, in connection with the Institutional Small-Cap Equity Fund, representatives of each of the Small-Cap Equity Fund Sub-Advisers about each of their investment processes and performance results. These discussions focused on each Fund’s investment objective, the Adviser’s allocation process among the Small-Cap Equity Fund Sub-Advisers in connection with the Institutional Small-Cap Equity Fund, the number and experience of portfolio management and supporting research personnel, each Fund’s investment style and approach employed, the likely market cycles for each Fund’s investment style and, in some instances, relative underperformance and plans to seek to improve relative performance. The Board also considered the Institutional Small-Cap Equity Fund’s multi-manager structure and how each Small-Cap Equity Fund Sub-Adviser’s approach to small-cap investing fits within the Institutional Small-Cap Equity Fund’s overall strategy. The Board members discussed SSGA FM’s investment approach with respect to each of the Funds, that the performance of the Funds generally is consistent with SSGA FM’s articulated long-term approach and overall investment philosophy and, if applicable, reasons for a Fund’s underperformance.
Taking these factors into consideration, the Board, including the Independent Board Members, concluded that each Fund’s performance, or the Adviser’s explanation for relative underperformance and plans for improvement, as applicable, was acceptable overall.
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Cost of the Services Provided And Profits Realized From The Relationships with the Funds.
The Board members considered the management fees paid to the Adviser by the Funds, as well as the fees paid to each of the Small-Cap Equity Fund Sub-Advisers by the Adviser, which reduced the net management fees retained by the Adviser. The Board reviewed the level of profits realized by the Adviser, the Affiliated Service Providers and each Small-Cap Equity Fund Sub-Adviser in providing investment advisory and other services to the Funds. Information also was presented regarding the financial condition of the Adviser and each Small-Cap Equity Fund Sub-Adviser for various past periods. SSGA FM reviewed with the Board the Funds’ unitary fee structure where SSGA FM (and not the Funds) bears most of the Funds’ operating expenses, therefore affecting SSGA FM’s profitability. The Board members also considered the Adviser’s statements concerning its significant investment in supporting registered investment companies. The Board also considered the various risks borne by SSGA FM, the Affiliated Service Providers and each of the Small-Cap Equity Fund Sub-Advisers in connection with their various roles in servicing the Funds, including enterprise, litigation, business, operational and entrepreneurial risk.
The Board concluded that the profitability of the Adviser and, with respect to the Institutional Small-Cap Equity Fund, each of the Small-Cap Equity Fund Sub-Advisers, and the profitability range of each of the Affiliated Service Providers with respect to its services to each of the Funds, were reasonable in relation to the services provided.
The Extent to Which Economies of Scale Would Be Realized as the Funds Grow and Whether Fee Levels Would Reflect Such Economies of Scale.
The Board considered the extent to which the Adviser and the Affiliated Service Providers, on the one hand, and the Funds, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of the Funds. The Board concluded that, in light of, among other considerations, the current size of each of the Funds, the level of profitability of the Adviser and the Affiliated Service Providers with respect to the Funds, and/or the comparative management fees and expense ratios of the Funds, it does not appear that the Adviser or the Affiliated Service Providers has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed management fees should be reduced or that breakpoints in such fees should be implemented for the Funds at this time.
Comparison of Services to be Rendered and Fees to be Paid.
The Board discussed the respective services provided to the Funds by the Adviser and each of the Small-Cap Equity Fund Sub-Advisers, and the fees charged to the Funds, including for the Institutional Small-Cap Equity Fund, (i) the allocation of the total advisory fees between SSGA FM and the Small-Cap Equity Fund Sub-Advisers, and (ii) the services required of SSGA FM to oversee the Small-Cap Equity Fund Sub-Advisers for those services. As part of its review, the Board considered each Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM, as compared to the expense ratios of a group of comparable mutual funds selected by Broadridge, and the related Broadridge analysis for the Funds. The Board also considered the comparability of the fees charged and the services provided to the Funds by the Adviser to the fees charged and services provided to other clients of the Adviser. The Board members discussed that the Funds’ advisory fees and expense ratios compared favorably with those of the applicable Broadridge peer group funds, except for the Institutional Small-Cap Equity Fund, with advisory fees and expense ratios that were somewhat higher than peer group medians, but still within the range of those funds in the applicable peer group (noting the Adviser’s unitary advisory fee structure). The Board members also reviewed comparative mutual fund and/or other account fee information for Small-Cap Equity Fund Sub-Adviser clients provided by each of the Small-Cap Equity Fund Sub-Advisers.
In light of the foregoing, the Board, including the Independent Board Members, determined that the management fees and sub-advisory fees, considered in relation to the services provided to the Funds, supported the Board’s approval of the continuance of the Investment Advisory and Administration Agreement and the Small-Cap Sub-Advisory Agreements.
Fall-Out Benefits.
The Board considered actual and potential financial benefits that the Adviser and each of the Small-Cap Equity Fund Sub-Advisers may derive from their respective relationships with the Funds, including the custody, fund accounting and sub-administration services being provided to the Funds by affiliates of the Adviser and, to the extent applicable, soft dollar commission benefits generated through Fund portfolio transactions. The Board noted, however, that each Fund benefits from the vast array of resources available through SSGA FM, and that each Fund represents only a small portion of the assets managed by SSGA FM.
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Conclusion.
No single factor was determinative to the Board’s decision. Based on their discussion and such other matters as were deemed relevant, the Board members, including the Independent Board Members, approved the continuance of the Investment Advisory and Administration Agreement for the Funds, and each Small-Cap Sub-Advisory Agreement for the Institutional Small-Cap Equity Fund.
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Other Information, continued — September 30, 2018 (Unaudited)
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||||
INTERESTED TRUSTEE AND EXECUTIVE OFFICERS | ||||||||||||
Jeanne M. La Porta SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1965 | Trustee and President | Term: Until successor is elected and qualified Served: Since 2014 | Senior Managing Director at State Street Global Advisors (July 2016 – present); Director of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); President of GE Retirement Savings Plan Funds (July 2016 – present); Senior Vice President and Commercial Operations Leader at GE Asset Management Incorporated (“GEAM”) (March 2014 – July 2016); President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. (April 2014 – present); President and Trustee of GEAM’s UCITs Funds (March 2014 – November 2014); Senior Vice President and Commercial Administrative Officer at GEAM (April 2010 – March 2014); Vice President of State Street Institutional Funds (July 2003 – present); Vice President of Elfun Funds and GE Retirement Savings Plan Funds (October 2003 – July 2016); Secretary of GE Funds (July 2007 – September 2010) and Vice President (July 2007 – February 2011); Senior Vice President and Deputy General Counsel of GEAM (October 2007 – April 2010); Vice President and Assistant Secretary of Elfun Funds and GE Retirement Savings Plan Funds (July 2003 – June 2010); and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM (May 1997 – October 2007). | 18 | Director and President of State Street Variable Insurance Series Funds, Inc.; Trustee of Elfun Funds (2014 – present). |
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Other Information, continued — September 30, 2018 (Unaudited)
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||||
INTERESTED TRUSTEE AND EXECUTIVE OFFICERS (continued) | ||||||||||||
Arthur A. Jensen SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1966 | Treasurer | Term: Until successor is elected and qualified Served: Since June 2011 | Vice President at State Street Global Advisors (July 2016 – present); Mutual Funds Controller of GEAM (April 2011 – July 2016). | N/A | N/A | |||||||
Brian Harris SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1973 | Chief Compliance Officer and Anti-Money Laundering Officer | Term: Until successor is elected and qualified Served: Since June 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). | N/A | N/A | |||||||
Bruce S. Rosenberg SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1961 | Assistant Treasurer | Term: Until successor is elected and qualified Served: Since June 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | N/A | N/A | |||||||
Ann M. Carpenter SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1966 | Assistant Treasurer | Term: Until successor is elected and qualified Served: Since June 2016 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | N/A | N/A | |||||||
Chad C. Hallett SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Assistant Treasurer | Term: Until successor is elected and qualified Served: Since June 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 –November 2014).* | N/A | N/A | |||||||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1968 | Assistant Treasurer | Term: Until successor is elected and qualified Served: Since March 2017 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | N/A | N/A |
88 | Other Information |
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State Street Institutional Funds
Other Information, continued — September 30, 2018 (Unaudited)
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||||
INTERESTED TRUSTEE AND EXECUTIVE OFFICERS (continued) | ||||||||||||
Daniel G. Plourde SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1980 | Assistant Treasurer | Term: Until successor is elected and qualified Served: Since June 2017 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 –May 2015). | |||||||||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111-2900
YOB: 1976 | Secretary | Term: Until successor is elected and qualified Served: Since March 2017 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013). | N/A | N/A | |||||||
* Served in various capacities and/or with various affiliated entities during noted time period. | ||||||||||||
NON-INTERESTED TRUSTEES | ||||||||||||
John R. Costantino c/o SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1946 | Chairman of the Board | Term: Until successor is elected and qualified Served: Since 1997 | Managing General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 12 | Director of State Street Variable Insurance Series Funds, Inc. (1997 – present); Director of Kleinfeld Bridal Corp. (March 2016 – present); Trustee of Neuroscience Research Institute (1986 – 2018); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director of Artes Medical (2006 – 2008); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||||
R. Sheldon Johnson c/o SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1946 | Trustee | Term: Until successor is elected and qualified Served: Since April 2011 | Manager, Artis Energy Holdings Inc. (December 2016 – present); Retired (2006 – December 2016); Head of Global Institutional Equity Sales and Marketing at Morgan Stanley & Co., Inc. (2002 – 2006); and Managing Director at Morgan Stanley & Co., Inc. (1988 – 2006). | 12 | Director of State Street Variable Insurance Series Funds, Inc. (April 2011 – present) and Trustee of St. Lawrence University (2003 – present). |
Other Information | 89 |
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State Street Institutional Funds
Other Information, continued — September 30, 2018 (Unaudited)
Name, Address and Age | Position(s) Held with Fund | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 years | Number of Portfolios in Fund Complex Overseen by Trustee | Other Directorships Held by Trustee | |||||||
NON-INTERESTED TRUSTEES (continued) | ||||||||||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1962 | Trustee | Term: Until successor is elected and qualified Served: Since January 2012 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 12 | Director of State Street Variable Insurance Series Funds, Inc. (January 2012 – present) and Trustee of Emmanuel College (2010 – present). |
90 | Other Information |
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State Street Institutional Funds
Other Information, continued — September 30, 2018 (Unaudited)
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, and (iii) on the SEC’s website at www.sec.gov. 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 (1) without charge, upon request, by calling 1-800-242-0134 (toll free), and (2) on the website of the SEC at www.sec.gov.
Quarterly Portfolio Schedule
The Funds 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 are available (i) without charge, upon request, by calling 1-800-242-013, (ii) on the Funds’ website at http://www.ssga.com/geam, and (iii) on the SEC’s website at www.sec.gov.
Other Information | 91 |
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State Street Institutional Funds
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.
One Iron Street
Boston, Massachusetts 02210
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, Massachusetts 02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
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Item 2. Code of Ethics.
As of the end of the period covered by this report, State Street Institutional Funds (the “Trust” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Mr. John R. Costantino and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
For the fiscal years ended September 30, 2018 and September 30, 2017, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $132,280 and $183,200, respectively.
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(b) | Audit-Related Fees |
For the fiscal years ended September 30, 2018 and September 30, 2017, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.
(c) | Tax Fees |
For the fiscal years ended September 30, 2018 and September 30, 2017, the aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns were $51,318 and $60,775, respectively.
(d) | All Other Fees |
For the fiscal years ended September 30, 2018 and September 30, 2017, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended September 30, 2018 and September 30, 2017, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”) and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $6,581,832 and $7,777,372, respectively.
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Audit Committee is responsible for, among other things, the appointment, compensation and oversight of the work of the Funds’ Auditor. As part of this responsibility and to ensure that the Auditor’s independence is not impaired, the Audit Committee (1) pre-approves the audit and non-audit services provided to the Funds by the Auditor, and (2) all non-audit services provided to the Funds’ investment adviser and Covered Affiliates (as defined in the Audit Committee Charter) that provide ongoing services to the Funds if the services directly impact the Funds’ operations or financial reporting, in accordance with the Audit Committee Charter. The following excerpt from the Audit Committee Charter sets forth the pre-approval policies and procedures:
Pre-Approval of Audit Related Services and Permissible Non-Audit Services. The Audit Committee shall pre-approve both audit (including audit, review, and attest) services and permissible non-audit services provided to the Fund and, if the nature of the engagement relates directly to the operations and financial reporting of the Fund, permissible non-audit services provided to any Covered Affiliate.
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The Audit Committee may determine to delegate the authority to grant pre-approvals to one or more Audit Committee members, each acting on behalf of the Audit Committee. In this event, the member of the Audit Committee so delegated shall report each delegated pre-approval to the Audit Committee at its next regularly scheduled meeting. The Audit Committee may also adopt and follow, in lieu of explicit pre-approval described above, written policies and procedures detailed as to the particular service, designed to safeguard the continued independence of the Auditor, consistent with the requirements of the Investment Company Act of 1940, as amended (the “1940 Act”), and SEC regulations.
Notwithstanding the foregoing, the pre-approval requirement concerning permissible non-audit services provided to the Fund or any Covered Affiliate is waived if: (1) the aggregate amount of all such non-audit services provided constitutes no more than five percent (5%) of the total amount of revenues paid to the Auditor by the Fund and the Covered Affiliates during the fiscal year in which the services are provided that would have to be pre-approved by the Audit Committee, (2) the non-audit services were not recognized as non-audit services at the time of the engagement, and (3) such non-audit services are promptly brought to the attention of the Audit Committee and approved by the Audit Committee or one or more designated members of the Audit Committee prior to the completion of the audit.
(e)(2) | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
(f) | Not applicable. |
(g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended September 30, 2018 and September 30, 2017, the aggregate non-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $39,413,418 and $47,297,371, respectively. The figure for the fiscal year ended September 30, 2017 was previously reported as $28,718,894 and has been restated to include certain other audit fees totaling $18,578,477, in the aggregate, primarily relating to statutory and financial statement audits, the requirement to opine on the design and operating effectiveness of internal control over financial reporting and accounting consultations.
(h) | E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
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Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the Registrant. |
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the 1940 Act) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Trust’s 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 Trust’s internal control over financial reporting.
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Item 12. Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.
(a) Not applicable.
(b) Not applicable.
Item 13. Exhibits.
(a)(1) | Code of Ethics pursuant to Item 2 of Form N-CSR is attached hereto. |
(a)(2) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(a) under the 1940 Act are attached hereto. |
(a)(3) | Not applicable to the Registrant. |
(a)(4) | Not applicable. |
(b) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | STATE STREET INSTITUTIONAL FUNDS | |
By: | /s/ Jeanne M. La Porta | |
Jeanne M. La Porta President | ||
Date: | December 7, 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: | December 7, 2018 | |
By: | /s/ Arthur A. Jensen | |
Arthur A. Jensen Treasurer (Principal Financial Officer) | ||
Date: | December 7, 2018 |