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State Street Institutional Funds

Filed: 30 May 19, 3:02pm
Table of Contents

 

 

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

 

 

FORMN-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)

 

 

One Iron Street, Boston, Massachusetts 02210

(Address of principal executive offices)(Zip code)

 

 

 

(Name and Address of Agent for Service) Copy to:

Joshua A. Weinberg, Esq.

Managing Director and Managing Counsel

c/o SSGA Funds Management, Inc.

One Iron Street

Boston, Massachusetts 02210

 

Timothy W. Diggins, Esq.

Ropes & Gray LLP

Prudential Tower

800 Boylston Street

Boston, Massachusetts 02199-3600

 

 

Registrant’s telephone number, including area code:800-242-0134

Date of fiscal year end: September 30

Date of reporting period: March 31, 2019

 

 

 


Table of Contents

Item 1. Shareholder Report.


Table of Contents

Semi-Annual Report

March 31, 2019

 

State Street Institutional Funds

Beginning on January 1, 2021, as permitted by regulations adopted by the U.S. Securities and Exchange Commission, paper copies of a Fund’s annual and semi-annual shareholder reports will no longer be sent by mail, unless you specifically request paper copies of the reports from the Fund (or from your financial intermediary, such as a broker-dealer or bank). Instead, the reports will be made available on a Fund’s website (www.ssga.com/geam), and you will be notified by mail each time a report is posted, and provided with a website link to access the report. If you already elected to receive shareholder reports electronically, you will not be affected by this change and you need not take any action. You may elect to receive shareholder reports and other communications from a Fund by calling800-242-0134.

You may elect to receive all future reports in paper free of charge. If you invest through a financial intermediary, you can contact your financial intermediary to request that you continue to receive paper copies of your shareholder reports. If you invest directly with a Fund, you can inform the Fund that you wish to continue receiving paper copies of your shareholder reports by calling 800-242-0134. Your election to receive reports in paper will apply to all funds held in your account, if you invest through your financial intermediary or all funds held with the fund complex if you invest directly with a Fund.

 

LOGO


Table of Contents

State Street Institutional Funds

Semi-Annual Report

March 31, 2019

Table of Contents

 

     Page 
Notes to Performance     1 
Fund Information and Schedules of Investments    

State Street Institutional U.S. Equity Fund

     2 

State Street Institutional Premier Growth Equity Fund

     8 

State Street InstitutionalSmall-Cap Equity Fund

     12 

State Street Institutional International Equity Fund

     22 

State Street Active Core Bond Fund

     27 
Financial Statements    

Financial Highlights

     48 

Statements of Assets and Liabilities

     54 

Statements of Operations

     56 

Statements of Changes in Net Assets

     58 
Notes to Financial Statements     60 
Special Meeting of Shareholders—Voting Results     70 
Other Information     71 

This report has been prepared for shareholders and may be distributed to others only if accompanied with a current prospectus and/or summary prospectus.


Table of Contents

State Street Institutional Funds

Notes to Performance — March 31, 2019 (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 recentmonth-end performance data.

An investment in a Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in a Fund is subject to risk, including possible loss of principal invested.

 

 

State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street Institutional Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. (“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

Understanding Your Fund’s Expenses — March 31, 2019 (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 entiresix-month period ended March 31, 2019.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

Investment Class

 Actual
Fund Return
  Hypothetical
5% Return
(2.5% for
the period)
 

Actual Fund Return

  

Account value at the beginning of the period

October 1, 2018

 $1,000.00  $1,000.00 

Account value at the end of the period

March 31, 2019

 $984.10  $1,023.00 

Expenses paid during the period*

 $1.88  $1.92 

Service Class

      

Actual Fund Return

  

Account value at the beginning of the period

October 1, 2018

 $1,000.00  $1,000.00 

Account value at the end of the period

March 31, 2019

 $983.60  $1,021.80 

Expenses paid during the period*

 $3.12  $3.18 

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.38% for Investment Class shares and 0.63% for Service Class shares (for the period October 1, 2018-March 31, 2019), multiplied by the average account value over the period, multiplied by 182/365 (to reflect theone-half year period).

 

 

2 State Street Institutional U.S. Equity Fund


Table of Contents

State Street Institutional U.S. Equity Fund

Fund Information — March 31, 2019 (Unaudited)

 

 

Sector Allocation as of March 31, 2019

Portfolio Composition as a % of Fair Value of $414,840 (in thousands) as of March 31, 2019(a)(b)

 

LOGO

Top Ten Largest Holdings

as of March 31, 2019 (as a % of Fair Value)(a)(b)

 

Microsoft Corp.

  4.81

Amazon.com Inc.

  3.85

Visa Inc., Class A

  3.54

Apple Inc.

  3.34

JPMorgan Chase & Co.

  2.82

Alphabet Inc., Class A

  2.71

Merck & Company Inc.

  2.42

UnitedHealth Group Inc.

  2.41

PepsiCo Inc.

  2.14

Gilead Sciences Inc.

  2.05
 

 

 

 

(a)

Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares

 

(b)

The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

 

State Street Institutional U.S. Equity Fund  3 


Table of Contents

State Street Institutional U.S. Equity Fund

Schedule of Investments — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      
Common Stock - 98.0%†

 

Aerospace & Defense - 1.5%

 

General Dynamics Corp.

   5,094      862,312 

Hexcel Corp.

   16,397      1,134,017 

Raytheon Co.

   11,920      2,170,394 

The Boeing Co.

   5,751      2,193,546 
      

 

 

 
     6,360,269 
      

 

 

 

Air Freight & Logistics - 0.4%

 

FedEx Corp.

   3,008      545,681 

United Parcel Service Inc., Class B

   10,987      1,227,688 
      

 

 

 
     1,773,369 
      

 

 

 

Airlines - 0.2%

 

Alaska Air Group Inc.

   10,520      590,383 

JetBlue Airways Corp. (a)

   15,634      255,772 
      

 

 

 
     846,155 
      

 

 

 

Application Software - 1.6%

 

Adobe Inc. (a)

   5,878      1,566,428 

Intuit Inc.

   4,147      1,084,067 

salesforce.com Inc. (a)

   25,101      3,975,246 
      

 

 

 
     6,625,741 
      

 

 

 

Auto Parts & Equipment - 0.3%

 

Aptiv PLC

   16,233      1,290,361 
      

 

 

 

Automotive Retail - 0.5%

 

AutoZone Inc. (a)

   1,923      1,969,383 
      

 

 

 

Biotechnology - 3.7%

 

Alexion Pharmaceuticals Inc. (a)

   16,030      2,166,936 

BioMarin Pharmaceutical Inc. (a)

   17,052      1,514,729 

Gilead Sciences Inc.

   130,727      8,498,562 

Vertex Pharmaceuticals Inc. (a)

   16,475      3,030,576 
      

 

 

 
     15,210,803 
      

 

 

 

Building Products - 0.2%

 

Allegion PLC

   7,559      685,677 
      

 

 

 

Cable & Satellite - 2.1%

 

Charter Communications Inc., Class A (a)

   16,892      5,860,004 

Comcast Corp., Class A

   74,928      2,995,621 
      

 

 

 
     8,855,625 
      

 

 

 

Communications Equipment - 0.7%

 

Cisco Systems Inc.

   56,451      3,047,790 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Construction Materials - 0.1%

 

Vulcan Materials Co.

   2,527      299,197 
      

 

 

 

Consumer Finance - 0.2%

 

American Express Co.

   9,016      985,449 
      

 

 

 

Data Processing & Outsourced Services - 4.2%

 

Mastercard Inc., Class A

   11,930      2,808,918 

Visa Inc., Class A

   93,967      14,676,706 
      

 

 

 
     17,485,624 
      

 

 

 

Diversified Banks - 2.8%

 

JPMorgan Chase & Co.

   115,716      11,713,931 
      

 

 

 

Diversified Chemicals - 0.5%

 

DowDuPont Inc.

   40,522      2,160,228 
      

 

 

 

Electric Utilities - 1.4%

 

American Electric Power Company Inc.

   13,651      1,143,271 

Duke Energy Corp.

   3,873      348,570 

Edison International

   7,141      442,171 

Exelon Corp.

   31,669      1,587,567 

NextEra Energy Inc.

   12,470      2,410,700 
      

 

 

 
     5,932,279 
      

 

 

 

Electrical Components & Equipment - 0.5%

 

Emerson Electric Co.

   28,043      1,920,104 
      

 

 

 

Electronic Components - 1.3%

 

Corning Inc.

   160,964      5,327,908 
      

 

 

 

Environmental & Facilities Services - 0.4%

 

Republic Services Inc.

   5,513      443,135 

Waste Management Inc.

   11,547      1,199,849 
      

 

 

 
     1,642,984 
      

 

 

 

Fertilizers & Agricultural Chemicals - 0.1%

 

The Mosaic Co.

   14,184      387,365 
      

 

 

 

Financial Exchanges & Data - 3.0%

 

CME Group Inc.

   28,239      4,647,575 

MSCI Inc.

   8,295      1,649,378 

S&P Global Inc.

   27,982      5,891,610 
      

 

 

 
     12,188,563 
      

 

 

 

Footwear - 0.7%

 

NIKE Inc., Class B

   34,223      2,881,919 
      

 

 

 

General Merchandise Stores - 0.4%

 

Dollar Tree Inc. (a)

   14,694      1,543,458 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

4 State Street Institutional U.S. Equity Fund


Table of Contents

State Street Institutional U.S. Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      

Gold - 0.1%

 

Newmont Mining Corp.

   9,696      346,826 
      

 

 

 

Healthcare Equipment - 1.6%

 

Becton Dickinson and Co.

   7,114      1,776,579 

Boston Scientific Corp. (a)

   71,727      2,752,882 

Medtronic PLC

   21,837      1,988,914 
      

 

 

 
     6,518,375 
      

 

 

 

Healthcare Services - 1.2%

 

Cigna Corp.

   15,967      2,567,813 

DaVita Inc. (a)

   21,451      1,164,575 

Quest Diagnostics Inc.

   15,370      1,382,070 
      

 

 

 
     5,114,458 
      

 

 

 

Home Improvement Retail - 0.5%

 

The Home Depot Inc.

   11,234      2,155,692 
      

 

 

 

Hotels, Resorts & Cruise Lines - 0.3%

 

Marriott International Inc., Class A

   9,119      1,140,696 
      

 

 

 

Household Products - 1.0%

 

The Procter & Gamble Co.

   38,920      4,049,626 
      

 

 

 

Hypermarkets & Super Centers - 0.3%

 

Walmart Inc.

   12,717      1,240,289 
      

 

 

 

Industrial Conglomerates - 1.3%

 

Honeywell International Inc.

   20,013      3,180,466 

Roper Technologies Inc.

   6,290      2,150,991 
      

 

 

 
     5,331,457 
      

 

 

 

Industrial Gases - 0.5%

 

Air Products & Chemicals Inc.

   8,872      1,694,197 

Linde PLC

   3,186      560,513 
      

 

 

 
     2,254,710 
      

 

 

 

Industrial Machinery - 2.6%

 

Ingersoll-Rand PLC

   50,278      5,427,510 

Xylem Inc.

   67,353      5,323,581 
      

 

 

 
     10,751,091 
      

 

 

 

Insurance Brokers - 0.3%

 

Marsh & McLennan Companies Inc.

   14,008      1,315,351 
      

 

 

 

Integrated Oil & Gas - 2.4%

 

Chevron Corp.

   48,867      6,019,437 

Exxon Mobil Corp.

   48,643      3,930,354 
      

 

 

 
     9,949,791 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Integrated Telecommunication Services - 0.7%

 

AT&T Inc.

   26,642      835,493 

Verizon Communications Inc.

   34,251      2,025,262 
      

 

 

 
     2,860,755 
      

 

 

 

Interactive Home Entertainment - 0.3%

 

Activision Blizzard Inc.

   11,133      506,886 

Electronic Arts Inc. (a)

   5,613      570,449 
      

 

 

 
     1,077,335 
      

 

 

 

Interactive Media & Services - 5.8%

 

Alphabet Inc., Class A (a)

   9,558      11,248,715 

Alphabet Inc., Class C (a)

   5,034      5,906,442 

Facebook Inc., Class A (a)

   40,952      6,826,289 
      

 

 

 
     23,981,446 
      

 

 

 

Internet & Direct Marketing Retail - 4.6%

 

Amazon.com Inc. (a)

   8,961      15,957,301 

Booking Holdings Inc. (a)

   1,778      3,102,450 
      

 

 

 
     19,059,751 
      

 

 

 

Investment Banking & Brokerage - 0.9%

 

The Charles Schwab Corp.

   89,320      3,819,323 
      

 

 

 

IT Consulting & Other Services - 0.7%

 

Accenture PLC, Class A

   7,636      1,344,089 

International Business Machines Corp.

   10,877      1,534,744 
      

 

 

 
     2,878,833 
      

 

 

 

Life & Health Insurance - 0.3%

 

Prudential Financial Inc.

   12,030      1,105,316 
      

 

 

 

Life Sciences Tools & Services - 0.9%

 

Illumina Inc. (a)

   5,813      1,806,041 

IQVIA Holdings Inc. (a)

   8,454      1,216,108 

Thermo Fisher Scientific Inc.

   1,895      518,699 
      

 

 

 
     3,540,848 
      

 

 

 

Managed Healthcare - 2.8%

 

Humana Inc.

   6,345      1,687,770 

UnitedHealth Group Inc.

   40,364      9,980,403 
      

 

 

 
     11,668,173 
      

 

 

 

Movies & Entertainment - 2.3%

 

Netflix Inc. (a)

   6,757      2,409,276 

The Walt Disney Co.

   63,354      7,034,195 
      

 

 

 
     9,443,471 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Institutional U.S. Equity Fund  5 


Table of Contents

State Street Institutional U.S. Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      

Multi-Line Insurance - 0.3%

 

American International Group Inc.

   11,536      496,740 

The Hartford Financial Services Group Inc.

   13,541      673,259 
      

 

 

 
     1,169,999 
      

 

 

 

Multi-Sector Holdings - 1.1%

 

Berkshire Hathaway Inc., Class B (a)

   22,742      4,568,640 
      

 

 

 

Multi-Utilities - 1.2%

 

CMS Energy Corp.

   8,547      474,700 

Dominion Energy Inc.

   10,739      823,252 

Sempra Energy

   27,656      3,480,784 
      

 

 

 
     4,778,736 
      

 

 

 

Oil & Gas Equipment & Services - 1.2%

 

Schlumberger Ltd.

   117,271      5,109,497 
      

 

 

 

Oil & Gas Exploration & Production - 1.3%

 

Concho Resources Inc.

   6,063      672,751 

ConocoPhillips

   20,270      1,352,820 

Diamondback Energy Inc.

   31,189      3,166,619 

EOG Resources Inc.

   3,851      366,538 
      

 

 

 
     5,558,728 
      

 

 

 

Oil & Gas Refining & Marketing - 0.2%

 

Marathon Petroleum Corp.

   16,178      968,253 
      

 

 

 

Packaged Foods & Meats - 1.7%

 

Mondelez International Inc., Class A

   144,032      7,190,077 
      

 

 

 

Personal Products - 0.7%

 

Estee Lauder Cos., Inc. Class A

   16,391      2,713,530 
      

 

 

 

Pharmaceuticals - 5.2%

 

Allergan PLC

   53,742      7,868,367 

Elanco Animal Health Inc. (a)

   33,384      1,070,625 

Merck & Company Inc.

   120,901      10,055,336 

Mylan N.V. (a)

   89,030      2,523,110 
      

 

 

 
     21,517,438 
      

 

 

 

Property & Casualty Insurance - 0.4%

 

Chubb Ltd.

   11,289      1,581,363 
      

 

 

 

Railroads - 0.6%

 

Union Pacific Corp.

   14,890      2,489,608 
      

 

 

 

Regional Banks - 2.5%

 

Comerica Inc.

   13,694      1,004,044 

First Republic Bank

   64,607      6,490,419 
   Number
of Shares
     Fair
Value
$
 

Regions Financial Corp.

   73,699      1,042,841 

SVB Financial Group (a)

   7,785      1,731,073 
      

 

 

 
     10,268,377 
      

 

 

 

Restaurants - 1.0%

 

McDonald’s Corp.

   21,698      4,120,450 
      

 

 

 

Semiconductor Equipment - 2.2%

 

Applied Materials Inc.

   183,815      7,290,103 

ASML Holding N.V.

   9,827      1,847,967 
      

 

 

 
     9,138,070 
      

 

 

 

Semiconductors - 2.7%

 

Broadcom Inc.

   19,555      5,880,384 

Intel Corp.

   43,343      2,327,519 

NVIDIA Corp.

   10,308      1,850,904 

Texas Instruments Inc.

   11,968      1,269,446 
      

 

 

 
     11,328,253 
      

 

 

 

Soft Drinks - 2.1%

 

PepsiCo Inc.

   72,279      8,857,791 
      

 

 

 

Specialized REITs - 2.7%

 

American Tower Corp.

   16,542      3,259,767 

Equinix Inc.

   11,282      5,112,551 

Extra Space Storage Inc.

   27,686      2,821,480 
      

 

 

 
     11,193,798 
      

 

 

 

Specialty Chemicals - 0.4%

 

Albemarle Corp. (j)

   6,265      513,605 

PPG Industries Inc.

   9,421      1,063,348 
      

 

 

 
     1,576,953 
      

 

 

 

Specialty Stores - 0.3%

 

Ulta Salon Cosmetics & Fragrance Inc. (a)

   3,873      1,350,631 
      

 

 

 

Steel - 0.0%*

 

Steel Dynamics Inc.

   5,136      181,147 
      

 

 

 

Systems Software - 6.2%

 

Microsoft Corp.

   169,100      19,943,654 

Oracle Corp.

   49,824      2,676,047 

Proofpoint Inc. (a)

   7,718      937,197 

Red Hat Inc. (a)

   4,187      764,965 

ServiceNow Inc. (a)

   5,731      1,412,634 
      

 

 

 
     25,734,497 
      

 

 

 

Technology Hardware, Storage & Peripherals - 3.4%

 

Apple Inc.

   72,963      13,859,322 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

6 State Street Institutional U.S. Equity Fund


Table of Contents

State Street Institutional U.S. Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      

Tobacco - 0.6%

 

Philip Morris International Inc.

   27,164      2,401,026 
      

 

 

 

Trading Companies & Distributors - 1.3%

 

United Rentals Inc. (a)

   47,870      5,469,148 
      

 

 

 

Trucking - 0.3%

 

Lyft Inc., Class A

   14,542      1,138,493 
      

 

 

 

Wireless Telecommunication Services - 0.2%

 

T-Mobile US Inc. (a)

   11,673      806,604 
      

 

 

 
Total Common Stock
(Cost $328,108,003)

 

     405,808,224 
      

 

 

 

 

   Number
of Shares
     Fair
Value
$
 
Short-Term Investments - 2.2%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 2.43%
(Cost $9,031,390) (d)(e)

   9,031,390      9,031,390 
      

 

 

 
Total Investments
(Cost $337,139,393)

 

     414,839,614 
Liabilities in Excess of Other Assets,net - (0.2)%

 

     (976,214
      

 

 

 
NET ASSETS - 100.0%

 

     413,863,400 
      

 

 

 
 

Other Information:

The Fund had the following long futures contracts open at March 31, 2019:

 

Description  Expiration
date
   Number of
Contracts
   Notional
Amount
   Value   Unrealized
Depreciation
 

S&P 500 Emini Index Futures

   June 2019    1   $142,465   $141,890   $(575
          

 

 

 

During the period ended March 31, 2019, average notional value related to long and short futures contracts was $1,243,275 or 0.3% of net assets and $1,302,719 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 March 31, 2019.

 

Fund  Investments  Level 1  Level 2   Level 3   Total 
State Street Institutional U.S. Equity Fund  

Investments in Securities

       
  

Common Stock

  $405,808,224  $   $   $405,808,224 
  

Short-Term Investments

   9,031,390           9,031,390 
    

 

 

  

 

 

   

 

 

   

 

 

 
  

Total Investments in Securities

  $414,839,614  $   $   $414,839,614 
    

 

 

  

 

 

   

 

 

   

 

 

 
  

Other Financial Instruments

       
  

Long Futures Contracts — Unrealized Depreciation

  $(575 $   $   $(575
    

 

 

  

 

 

   

 

 

   

 

 

 

 

Affiliate Table

 

   Number
of Shares
Held at
9/30/18
  Value At
9/30/18
  Cost of
Purchases
  Proceeds
from
Shares
Sold
  Realized
Gain
(Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  Number
of Shares
Held at
3/31/19
  Value at
3/31/19
  Dividend
Income
 

State Street Institutional U.S. Government Money Market Fund - Class G Shares

  21,393,075  $21,393,075  $29,380,420  $41,742,105  $  $   9,031,390  $9,031,390  $114,491 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Institutional U.S. Equity Fund  7 


Table of Contents

State Street Institutional Premier Growth Equity Fund

Understanding Your Fund’s Expenses — March 31, 2019 (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 entiresix-month period ended March 31, 2019.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

Investment Class

 Actual
Fund Return
   Hypothetical
5% Return
(2.5% for
the period)
 

Actual Fund Return

   

Account value at the beginning of the period

October 1, 2018

 $1,000.00   $1,000.00 

Account value at the end of the period

March 31, 2019

 $979.60   $1,023.00 

Expenses paid during the period*

 $1.88   $1.92 

Service Class

       

Actual Fund Return

   

Account value at the beginning of the period

October 1, 2018

 $1,000.00   $1,000.00 

Account value at the end of the period

March 31, 2019

 $977.70   $1,021.80 

Expenses paid during the period*

 $3.11   $3.18 

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.38% for Investment Class shares and 0.63% for Service Class shares (for the period October 1, 2018-March 31, 2019), multiplied by the average account value over the period, multiplied by 182/365 (to reflect theone-half year period).

 

 

8 State Street Institutional Premier Growth Equity Fund


Table of Contents

State Street Institutional Premier Growth Equity Fund

Fund Information — March 31, 2019 (Unaudited)

 

 

Sector Allocation as of March 31, 2019

Portfolio Composition as a % of Fair Value of $361,449 (in thousands) as of March 31, 2019(a)(b)

 

LOGO

Top Ten Largest Holdings

as of March 31, 2019 (as a % of Fair Value)(a)(b)

 

Microsoft Corp.

  8.00

Apple Inc.

  5.95

Alphabet Inc., Class C

  5.11

Amazon.com Inc.

  5.08

Visa Inc., Class A

  4.85

salesforce.com Inc.

  3.28

PepsiCo Inc.

  3.23

Charter Communications Inc., Class A

  3.22

Applied Materials Inc.

  3.21

UnitedHealth Group Inc.

  3.18
 

 

 

 

(a)

Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares

 

(b)

The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

 

State Street Institutional Premier Growth Equity Fund  9 


Table of Contents

State Street Institutional Premier Growth Equity Fund

Schedule of Investments — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      
Common Stock - 96.7%†

 

Application Software - 3.3%

 

salesforce.com Inc. (a)

   74,929      11,866,506 
      

 

 

 

Biotechnology - 5.7%

 

Alexion Pharmaceuticals Inc. (a)

   84,035      11,359,851 

Vertex Pharmaceuticals Inc. (a)

   50,433      9,277,151 
      

 

 

 
     20,637,002 
      

 

 

 

Cable & Satellite - 4.6%

 

Charter Communications Inc., Class A (a)

   33,514      11,626,342 

Liberty Global PLC, Class C (a)

   206,796      5,006,531 
      

 

 

 
     16,632,873 
      

 

 

 

Data Processing & Outsourced Services - 6.1%

 

Mastercard Inc., Class A (j)

   18,184      4,281,423 

Visa Inc., Class A

   112,271      17,535,607 
      

 

 

 
     21,817,030 
      

 

 

 

Electronic Components - 2.3%

 

Corning Inc.

   248,618      8,229,256 
      

 

 

 

Financial Exchanges & Data - 5.1%

 

CME Group Inc.

   53,487      8,802,891 

S&P Global Inc.

   45,544      9,589,289 
      

 

 

 
     18,392,180 
      

 

 

 

Healthcare Equipment - 3.5%

 

Abbott Laboratories

   23,757      1,899,135 

Boston Scientific Corp. (a)

   231,779      8,895,678 

Intuitive Surgical Inc. (a)

   3,331      1,900,602 
      

 

 

 
     12,695,415 
      

 

 

 

Healthcare Supplies - 1.8%

 

The Cooper Companies Inc. (j)

   21,288      6,304,867 
      

 

 

 

Interactive Media & Services - 9.8%

 

Alphabet Inc., Class A (a)

   5,619      6,612,945 

Alphabet Inc., Class C (a)

   15,735      18,462,033 

Facebook Inc., Class A (a)

   61,407      10,235,933 
      

 

 

 
     35,310,911 
      

 

 

 

Internet & Direct Marketing Retail - 8.4%

 

Alibaba Group Holding Ltd. ADR (a)

   31,644      5,773,448 

Amazon.com Inc. (a)

   10,312      18,363,094 

Booking Holdings Inc. (a)

   3,489      6,087,991 
      

 

 

 
     30,224,533 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Investment Banking & Brokerage - 2.7%

 

The Charles Schwab Corp.

   230,298      9,847,542 
      

 

 

 

Managed Healthcare - 3.2%

 

UnitedHealth Group Inc.

   46,448      11,484,732 
      

 

 

 

Movies & Entertainment - 3.2%

 

The Walt Disney Co.

   102,248      11,352,595 
      

 

 

 

Oil & Gas Equipment & Services - 1.1%

 

Schlumberger Ltd.

   92,807      4,043,601 
      

 

 

 

Pharmaceuticals - 3.3%

 

Allergan PLC

   56,633      8,291,637 

Elanco Animal Health Inc. (a)

   105,968      3,398,394 
      

 

 

 
     11,690,031 
      

 

 

 

Regional Banks - 2.2%

 

First Republic Bank

   77,596      7,795,294 
      

 

 

 

Semiconductor Equipment - 3.3%

 

Applied Materials Inc.

   292,542      11,602,216��

ASML Holding N.V.

   2,100      394,905 
      

 

 

 
     11,997,121 
      

 

 

 

Soft Drinks - 3.2%

 

PepsiCo Inc.

   95,263      11,674,481 
      

 

 

 

Specialized REITs - 2.8%

 

American Tower Corp.

   51,614      10,171,055 
      

 

 

 

Specialty Chemicals - 1.2%

 

Albemarle Corp.

   53,624      4,396,095 
      

 

 

 

Systems Software - 10.4%

 

Microsoft Corp.

   245,022      28,897,894 

ServiceNow Inc. (a)

   35,320      8,706,027 
      

 

 

 
     37,603,921 
      

 

 

 

Technology Hardware, Storage & Peripherals - 6.0%

 

Apple Inc.

   113,293      21,520,005 
      

 

 

 

Trading Companies & Distributors - 3.0%

 

United Rentals Inc. (a)

   93,691      10,704,197 
      

 

 

 

Trucking - 0.5%

 

Lyft Inc., Class A

   24,706      1,934,233 
      

 

 

 
Total Common Stock
(Cost $233,426,258)

 

     348,325,476 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

10 State Street Institutional Premier Growth Equity Fund


Table of Contents

State Street Institutional Premier Growth Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      
Short-Term Investments - 3.7%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 2.43%
(Cost $13,123,854) (d)(e)(j)

   13,123,854      13,123,854 
      

 

 

 
Total Investments
(Cost $246,550,112)

 

     361,449,330 
Liabilities in Excess of Other Assets,net - (0.4)%

 

     (1,384,403
      

 

 

 
NET ASSETS - 100.0%

 

     360,064,927 
      

 

 

 
 

 

Other Information:

The Fund had the following long futures contracts open at March 31, 2019:

 

Description  Expiration
date
   Number of
Contracts
   Notional
Amount
   Value   Unrealized
Appreciation
 

S&P 500 Emini Index Futures

   June 2019    23   $3,209,073   $3,263,470   $54,397 
          

 

 

 

During the period ended March 31, 2019, average notional value related to long and short futures contracts was $3,033,739 or 0.8% of net assets and $1,334,577 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 March 31, 2019.

 

Fund  Investments  Level 1   Level 2   Level 3   Total 
State Street Institutional Premier Growth Equity Fund  

Investments in Securities

        
  

Common Stock

  $348,325,476   $   $   $348,325,476 
  

Short-Term Investments

   13,123,854            13,123,854 
    

 

 

   

 

 

   

 

 

   

 

 

 
  

Total Investments in Securities

  $361,449,330   $   $   $361,449,330 
    

 

 

   

 

 

   

 

 

   

 

 

 
  

Other Financial Instruments

        
  

Long Futures Contracts — Unrealized Appreciation

  $54,397   $   $   $54,397 
    

 

 

   

 

 

   

 

 

   

 

 

 

 

Affiliate Table

 

   Number
of Shares
Held at
9/30/18
  Value At
9/30/18
  Cost of
Purchases
  Proceeds
from
Shares
Sold
  Realized
Gain
(Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  Number
of Shares
Held at
3/31/19
  Value at
3/31/19
  Dividend
Income
 

State Street Institutional U.S. Government Money Market Fund - Class G Shares

  16,568,746  $16,568,746  $33,511,338  $36,956,230  $  $   13,123,854  $13,123,854  $111,753 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Institutional Premier Growth Equity Fund  11 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Understanding Your Fund’s Expenses — March 31, 2019 (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 entiresix-month period ended March 31, 2019.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

Investment Class

  Actual
Fund Return
   Hypothetical
5% Return
(2.5% for
the period)
 

Actual Fund Return

    

Account value at the beginning of the period

October 1, 2018

  $1,000.00   $1,000.00 

Account value at the end of the period

March 31, 2019

  $919.10   $1,020.50 

Expenses paid during the period*

  $4.26   $4.48 

Service Class

        

Actual Fund Return

    

Account value at the beginning of the period

October 1, 2018

  $1,000.00   $1,000.00 

Account value at the end of the period

March 31, 2019

  $918.00   $1,019.20 

Expenses paid during the period*

  $5.45   $5.74 

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.89% for Investment Class shares and 1.14% for Service Class shares (for the period October 1, 2018-March 31, 2019), multiplied by the average account value over the period, multiplied by 182/365 (to reflect theone-half year period).

 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

12 State Street InstitutionalSmall-Cap Equity Fund


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Fund Information — March 31, 2019 (Unaudited)

 

 

Sector Allocation as of March 31, 2019

Portfolio Composition as a % of Fair Value of $1,308,350 (in thousands) as of March 31, 2019(a)(b)

 

LOGO

Top Ten Largest Holdings

as of March 31, 2019 (as a % of Fair Value)(a)(b)

 

Darling Ingredients Inc.

  1.09

Koppers Holdings Inc.

  1.09

The Brink’s Co.

  1.08

The Timken Co.

  1.07

Sanderson Farms Inc.

  1.01

Clean Harbors Inc.

  0.97

Dycom Industries Inc.

  0.94

Extended Stay America Inc.

  0.93

Hill Rom Holdings Inc.

  0.88

Actuant Corp.

  0.82
 

 

 

 

(a)

Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares

 

(b)

The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

 

State Street InstitutionalSmall-Cap Equity Fund  13 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      
Common Stock - 94.6%†

 

Aerospace & Defense - 0.6%

 

Teledyne Technologies Inc. (a)

   35,617      8,441,585 
      

 

 

 

Agricultural & Farm Machinery - 0.7%

 

AGCO Corp.

   131,898      9,173,505 
      

 

 

 

Agricultural Products - 1.1%

 

Darling Ingredients Inc. (a)

   658,750      14,261,936 
      

 

 

 

Air Freight & Logistics - 0.2%

 

Echo Global Logistics Inc. (a)

   35,300      874,734 

Forward Air Corp.

   16,296      1,054,840 

Hub Group Inc., Class A (a)

   29,978      1,224,601 
      

 

 

 
     3,154,175 
      

 

 

 

Airlines - 0.0%*

 

Hawaiian Holdings Inc.

   15,300      401,625 
      

 

 

 

Apparel Retail - 0.7%

 

American Eagle Outfitters Inc.

   81,979      1,817,474 

Burlington Stores Inc. (a)

   20,384      3,193,765 

Chico’s FAS Inc.

   176,493      753,625 

The Buckle Inc.

   157,177      2,942,354 
      

 

 

 
     8,707,218 
      

 

 

 

Apparel, Accessories & Luxury Goods - 0.5%

 

G-III Apparel Group Ltd. (a)

   151,930      6,071,123 
      

 

 

 

Application Software - 6.2%

 

ACI Worldwide Inc. (a)

   285,979      9,400,130 

Altair Engineering Inc., Class A (a)

   65,207      2,400,270 

Blackbaud Inc.

   135,877      10,833,473 

Blackline Inc. (a)

   209,942      9,724,513 

Cornerstone OnDemand Inc. (a)

   117,166      6,418,353 

Envestnet Inc. (a)

   60,500      3,956,095 

Fair Isaac Corp. (a)

   5,120      1,390,746 

LogMeIn Inc.

   61,000      4,886,100 

New Relic Inc. (a)

   79,500      7,846,650 

Paylocity Holding Corp. (a)

   28,668      2,556,899 

Q2 Holdings Inc. (a)

   102,500      7,099,150 

RealPage Inc. (a)

   111,665      6,776,949 

Yext Inc. (a)

   293,840      6,423,342 

Zix Corp. (a)

   188,176      1,294,651 
      

 

 

 
     81,007,321 
      

 

 

 

Asset Management & Custody Banks - 0.2%

 

BrightSphere Investment Group PLC

   50,679      687,207 

Cohen & Steers Inc.

   35,363      1,494,794 
      

 

 

 
     2,182,001 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Auto Parts & Equipment - 0.6%

 

Dorman Products Inc. (a)

   5,287      465,732 

Gentherm Inc. (a)

   9,411      346,889 

LCI Industries

   22,653      1,740,204 

Modine Manufacturing Co. (a)

   55,348      767,677 

Standard Motor Products Inc.

   60,052      2,948,553 

Stoneridge Inc. (a)

   38,069      1,098,671 

Tenneco Inc., Class A

   13,184      292,157 

Tower International Inc.

   28,755      604,718 
      

 

 

 
     8,264,601 
      

 

 

 

Automobile Manufacturers - 0.8%

 

Thor Industries Inc.

   153,896      9,598,493 

Winnebago Industries Inc.

   16,993      529,332 
      

 

 

 
     10,127,825 
      

 

 

 

Automotive Retail - 1.5%

 

America’sCar-Mart Inc. (a)

   17,366      1,586,210 

Group 1 Automotive Inc.

   91,936      5,948,259 

Monro Inc.

   40,824      3,532,093 

Murphy USA Inc. (a)

   96,249      8,240,839 
      

 

 

 
     19,307,401 
      

 

 

 

Biotechnology - 0.9%

 

Genomic Health Inc. (a)

   11,453      802,283 

Heron Therapeutics Inc. (a)

   99,135      2,422,859 

Ligand Pharmaceuticals Inc. (a)

   7,196      904,609 

Repligen Corp. (a)

   129,000      7,621,320 
      

 

 

 
     11,751,071 
      

 

 

 

Brewers - 0.2%

 

The Boston Beer Company Inc., Class A (a)

   11,000      3,242,030 
      

 

 

 

Building Products - 0.5%

 

American Woodmark Corp. (a)

   12,030      994,039 

Apogee Enterprises Inc.

   34,053      1,276,647 

Builders FirstSource Inc. (a)

   42,616      568,498 

Continental Building Products Inc. (a)

   22,075      547,239 

Masonite International Corp. (a)

   7,116      355,017 

NCI Building Systems Inc. (a)

   50,320      309,971 

Patrick Industries Inc. (a)

   15,041      681,658 

Universal Forest Products Inc.

   73,830      2,206,779 
      

 

 

 
     6,939,848 
      

 

 

 

Commercial Printing - 0.0%*

 

Deluxe Corp.

   9,362      409,307 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

14 State Street InstitutionalSmall-Cap Equity Fund


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      

Commodity Chemicals - 1.3%

 

AdvanSix Inc. (a)

   31,206      891,555 

Koppers Holdings Inc. (a)

   564,838      14,674,491 

Trinseo S.A.

   17,505      792,977 
      

 

 

 
     16,359,023 
      

 

 

 

Communications Equipment - 0.5%

 

ADTRAN Inc.

   61,557      843,331 

Ciena Corp. (a)

   25,273      943,694 

Extreme Networks Inc. (a)

   85,455      640,058 

Lumentum Holdings Inc. (a)

   53,143      3,004,705 

NETGEAR Inc. (a)

   11,399      377,535 

Plantronics Inc.

   28,280      1,303,991 
      

 

 

 
     7,113,314 
      

 

 

 

Construction & Engineering - 1.7%

 

Aegion Corp. (a)

   513,965      9,030,365 

Dycom Industries Inc. (a)

   268,033      12,313,436 

EMCOR Group Inc.

   11,132      813,527 
      

 

 

 
     22,157,328 
      

 

 

 

Construction Machinery & Heavy Trucks - 1.5%

 

Alamo Group Inc.

   20,131      2,011,892 

Federal Signal Corp.

   281,922      7,327,153 

The Greenbrier Companies Inc.

   18,530      597,222 

Trinity Industries Inc.

   396,153      8,608,404 

Wabash National Corp.

   99,200      1,344,160 
      

 

 

 
     19,888,831 
      

 

 

 

Construction Materials - 0.2%

 

Eagle Materials Inc.

   12,176      1,026,437 

Summit Materials Inc., Class A (a)

   60,781      964,594 
      

 

 

 
     1,991,031 
      

 

 

 

Consumer Electronics - 0.1%

 

Turtle Beach Corp. (a)

   37,760      428,954 

ZAGG Inc. (a)

   35,991      326,438 
      

 

 

 
     755,392 
      

 

 

 

Consumer Finance - 0.2%

 

Enova International Inc. (a)

   73,034      1,666,636 

Green Dot Corp., Class A (a)

   9,945      603,164 
      

 

 

 
     2,269,800 
      

 

 

 

Data Processing & Outsourced Services - 1.5%

 

Broadridge Financial Solutions Inc.

   63,372      6,571,043 

Cass Information Systems Inc.

   7,276      344,155 

CoreLogic Inc. (a)

   136,180      5,074,067 

CSG Systems International Inc.

   69,285      2,930,756 
   Number
of Shares
     Fair
Value
$
 

EVERTEC Inc.

   45,140      1,255,343 

MAXIMUS Inc.

   13,339      946,802 

NIC Inc.

   181,114      3,095,238 
      

 

 

 
     20,217,404 
      

 

 

 

Distillers & Vintners - 0.4%

 

MGP Ingredients Inc.

   72,500      5,593,375 
      

 

 

 

Distributors - 0.5%

 

LKQ Corp. (a)

   222,981      6,328,201 
      

 

 

 

Diversified Metals & Mining - 0.4%

 

Compass Minerals International Inc.

   72,147      3,922,633 

Materion Corp.

   22,120      1,262,167 
      

 

 

 
     5,184,800 
      

 

 

 

Diversified Real Estate Activities - 0.1%

 

The RMR Group Inc., Class A

   10,863      662,426 
      

 

 

 

Diversified REITs - 0.2%

 

American Assets Trust Inc.

   39,292      1,801,931 

Global Net Lease Inc.

   53,796      1,016,745 
      

 

 

 
     2,818,676 
      

 

 

 

Diversified Support Services - 1.5%

 

Healthcare Services Group Inc.

   146,963      4,848,309 

Ritchie Bros Auctioneers Inc.

   382,553      13,006,802 

UniFirst Corp.

   10,672      1,638,152 
      

 

 

 
     19,493,263 
      

 

 

 

Education Services - 0.5%

 

K12 Inc. (a)

   208,300      7,109,279 
      

 

 

 

Electric Utilities - 1.0%

 

ALLETE Inc.

   17,609      1,447,988 

IDACORP Inc.

   115,528      11,499,657 
      

 

 

 
     12,947,645 
      

 

 

 

Electrical Components & Equipment - 0.3%

 

Atkore International Group Inc. (a)

   31,190      671,521 

EnerSys

   12,688      826,750 

Generac Holdings Inc. (a)

   15,961      817,682 

Regal Beloit Corp.

   25,855      2,116,749 
      

 

 

 
     4,432,702 
      

 

 

 

Electronic Components - 1.4%

 

Belden Inc.

   213,345      11,456,627 

Littelfuse Inc.

   36,578      6,674,753 
      

 

 

 
     18,131,380 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street InstitutionalSmall-Cap Equity Fund  15 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      

Electronic Equipment & Instruments - 0.8%

 

Control4 Corp. (a)

   22,000      372,460 

National Instruments Corp.

   62,302      2,763,717 

Novanta Inc. (a)

   10,500      889,665 

Zebra Technologies Corp., Class A (a)

   31,265      6,550,955 
      

 

 

 
     10,576,797 
      

 

 

 

Electronic Manufacturing Services - 0.4%

 

KEMET Corp.

   41,745      708,413 

Methode Electronics Inc.

   48,363      1,391,887 

Plexus Corp. (a)

   23,430      1,428,058 

Sanmina Corp. (a)

   34,829      1,004,817 

TTM Technologies Inc. (a)

   104,487      1,225,632 
      

 

 

 
     5,758,807 
      

 

 

 

Environmental & Facilities Services - 1.0%

 

Clean Harbors Inc. (a)

   178,202      12,746,789 
      

 

 

 

Food Distributors - 0.7%

 

Performance Food Group Co. (a)

   171,186      6,785,813 

SpartanNash Co.

   172,290      2,734,242 
      

 

 

 
     9,520,055 
      

 

 

 

Food Retail - 0.1%

 

Casey’s General Stores Inc.

   7,470      961,912 

Sprouts Farmers Market Inc. (a)

   41,709      898,412 
      

 

 

 
     1,860,324 
      

 

 

 

Footwear - 0.8%

 

Deckers Outdoor Corp. (a)

   28,808      4,234,488 

Skechers U.S.A. Inc., Class A (a)

   31,530      1,059,723 

Wolverine World Wide Inc.

   151,000      5,395,230 
      

 

 

 
     10,689,441 
      

 

 

 

Forest Products - 0.1%

 

Boise Cascade Co.

   27,187      727,524 
      

 

 

 

Gas Utilities - 0.3%

 

Chesapeake Utilities Corp.

   8,407      766,803 

South Jersey Industries Inc.

   59,714      1,915,028 

Spire Inc.

   21,877      1,800,258 
      

 

 

 
     4,482,089 
      

 

 

 

Health Care REITs - 0.3%

 

CareTrust REIT Inc.

   63,594      1,491,915 

Physicians Realty Trust

   96,823      1,821,241 
      

 

 

 
     3,313,156 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Healthcare Equipment - 4.7%

 

Cantel Medical Corp.

   52,500      3,511,725 

Cardiovascular Systems Inc. (a)

   168,500      6,514,210 

CONMED Corp.

   112,000      9,316,160 

Hill-Rom Holdings Inc.

   109,104      11,549,749 

Insulet Corp. (a)

   49,000      4,659,410 

Integer Holdings Corp. (a)

   9,690      730,820 

Integra LifeSciences Holdings Corp. (a)

   181,500      10,113,180 

IntriCon Corp. (a)

   77,063      1,932,740 

LeMaitre Vascular Inc.

   30,448      943,888 

LivaNova PLC (a)

   12,903      1,254,817 

Masimo Corp. (a)

   24,000      3,318,720 

NuVasive Inc. (a)

   91,000      5,167,890 

Orthofix Medical Inc. (a)

   5,870      331,127 

Penumbra Inc. (a)

   15,000      2,205,150 
      

 

 

 
     61,549,586 
      

 

 

 

Healthcare Facilities - 0.4%

 

Acadia Healthcare Company Inc. (a)

   125,562      3,680,222 

Select Medical Holdings Corp. (a)

   52,430      738,739 

Tenet Healthcare Corp. (a)

   17,090      492,875 

The Ensign Group Inc.

   14,947      765,137 
      

 

 

 
     5,676,973 
      

 

 

 

Healthcare Services - 0.9%

 

AMN Healthcare Services Inc. (a)

   44,083      2,075,868 

BioTelemetry Inc. (a)

   71,228      4,460,297 

Chemed Corp.

   3,414      1,092,719 

MEDNAX Inc. (a)

   171,350      4,655,580 
      

 

 

 
     12,284,464 
      

 

 

 

Healthcare Supplies - 1.1%

 

Avanos Medical Inc. (a)

   193,000      8,237,240 

Endologix Inc. (a)

   54,078      357,456 

ICU Medical Inc. (a)

   4,119      985,800 

Lantheus Holdings Inc. (a)

   53,446      1,308,358 

Merit Medical Systems Inc. (a)

   33,519      2,072,480 

Quidel Corp. (a)

   18,167      1,189,393 
      

 

 

 
     14,150,727 
      

 

 

 

Healthcare Technology - 1.6%

 

Computer Programs & Systems Inc.

   24,355      723,100 

HMS Holdings Corp. (a)

   274,037      8,114,236 

Medidata Solutions Inc. (a)

   88,000      6,445,120 

NextGen Healthcare Inc. (a)

   49,381      831,082 

Omnicell Inc. (a)

   20,000      1,616,800 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

16 State Street InstitutionalSmall-Cap Equity Fund


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      

Teladoc Health Inc. (a)

   64,500      3,586,200 
      

 

 

 
     21,316,538 
      

 

 

 

Home Building - 0.4%

 

KB Home

   31,374      758,310 

LGI Homes Inc. (a)

   23,187      1,396,785 

Skyline Champion Corp.

   22,033      418,627 

TopBuild Corp. (a)

   36,225      2,348,104 
      

 

 

 
     4,921,826 
      

 

 

 

Home Furnishing Retail - 0.7%

 

Aaron’s Inc.

   160,560      8,445,456 

RH (a)

   10,700      1,101,565 
      

 

 

 
     9,547,021 
      

 

 

 

Hotel & Resort REITs - 0.5%

 

Ashford Hospitality Trust Inc.

   80,718      383,411 

Chatham Lodging Trust

   57,870      1,113,419 

RLJ Lodging Trust

   292,013      5,130,668 
      

 

 

 
     6,627,498 
      

 

 

 

Hotels, Resorts & Cruise Lines - 1.1%

 

Extended Stay America Inc.

   726,877      13,047,442 

Hilton Grand Vacations Inc. (a)

   26,340      812,589 
      

 

 

 
     13,860,031 
      

 

 

 

Household Appliances - 0.3%

 

Helen of Troy Ltd. (a)

   38,423      4,455,531 
      

 

 

 

Housewares & Specialties - 0.0%*

 

Tupperware Brands Corp.

   11,399      291,586 
      

 

 

 

Human Resource & Employment Services - 0.6%

 

ASGN Inc. (a)

   17,322      1,099,774 

Barrett Business Services Inc.

   8,439      652,588 

Heidrick & Struggles International Inc.

   18,818      721,294 

Insperity Inc.

   23,190      2,867,675 

Kforce Inc.

   37,402      1,313,558 

Korn Ferry

   19,102      855,388 
      

 

 

 
     7,510,277 
      

 

 

 

Hypermarkets & Super Centers - 0.1%

 

BJ’s Wholesale Club Holdings Inc. (a)

   37,715      1,033,391 
      

 

 

 

Industrial Machinery - 7.5%

 

Actuant Corp., Class A

   440,536      10,735,862 

Altra Industrial Motion Corp.

   235,677      7,317,771 

Barnes Group Inc.

   205,170      10,547,790 

Crane Co.

   93,477      7,910,024 
   Number
of Shares
     Fair
Value
$
 

Evoqua Water Technologies Corp. (a)

   96,500      1,213,970 

Franklin Electric Company Inc.

   31,094      1,588,592 

Harsco Corp. (a)

   22,669      457,007 

Hillenbrand Inc.

   19,645      815,857 

John Bean Technologies Corp.

   78,000      7,167,420 

Kennametal Inc.

   39,049      1,435,051 

LB Foster Co., Class A (a)

   46,157      868,675 

Lydall Inc. (a)

   81,500      1,911,990 

Mueller Industries Inc.

   182,116      5,707,515 

Standex International Corp.

   56,000      4,110,400 

The Timken Co.

   319,899      13,953,994 

TriMas Corp. (a)

   83,000      2,509,090 

Watts Water Technologies Inc., Class A

   58,407      4,720,454 

Welbilt Inc. (a)

   497,500      8,149,050 

Woodward Inc.

   80,974      7,683,623 
      

 

 

 
     98,804,135 
      

 

 

 

Industrial REITs - 0.7%

 

EastGroup Properties Inc.

   54,943      6,133,836 

Rexford Industrial Realty Inc.

   28,086      1,005,760 

STAG Industrial Inc.

   60,538      1,794,952 
      

 

 

 
     8,934,548 
      

 

 

 

Interactive Home Entertainment - 0.1%

 

Glu Mobile Inc. (a)

   116,167      1,270,867 
      

 

 

 

Internet & Direct Marketing Retail - 0.1%

 

1-800-Flowers.com Inc., Class A (a)

   49,101      895,111 
      

 

 

 

Internet Services & Infrastructure - 0.4%

 

Carbonite Inc. (a)

   44,080      1,093,625 

Okta Inc. (a)

   43,500      3,598,755 
      

 

 

 
     4,692,380 
      

 

 

 

Investment Banking & Brokerage - 1.0%

 

Evercore Inc., Class A

   9,609      874,419 

Greenhill & Company Inc.

   34,295      737,685 

Houlihan Lokey Inc.

   31,217      1,431,300 

Piper Jaffray Cos.

   24,982      1,819,439 

Raymond James Financial Inc.

   70,364      5,657,969 

Stifel Financial Corp.

   37,885      1,998,813 
      

 

 

 
     12,519,625 
      

 

 

 

IT Consulting & Other Services - 0.2%

 

Perficient Inc. (a)

   40,116      1,098,777 

Science Applications International Corp.

   10,442      803,512 

Unisys Corp. (a)

   66,261      773,266 
      

 

 

 
     2,675,555 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street InstitutionalSmall-Cap Equity Fund  17 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      

Leisure Products - 0.8%

 

Malibu Boats Inc., Class A (a)

   24,055      952,097 

MasterCraft Boat Holdings Inc. (a)

   38,903      878,041 

Polaris Industries Inc.

   95,505      8,063,487 
      

 

 

 
     9,893,625 
      

 

 

 

Life & Health Insurance - 0.1%

 

Trupanion Inc. (a)

   55,299      1,810,489 
      

 

 

 

Life Sciences Tools & Services - 1.8%

 

Bruker Corp.

   163,779      6,295,665 

Cambrex Corp. (a)

   9,896      384,460 

ICON PLC (a)

   54,306      7,417,113 

Medpace Holdings Inc. (a)

   17,363      1,023,896 

PRA Health Sciences Inc. (a)

   13,871      1,529,833 

Syneos Health Inc. (a)

   145,491      7,530,614 
      

 

 

 
     24,181,581 
      

 

 

 

Managed Healthcare - 0.0%*

 

Magellan Health Inc. (a)

   8,542      563,089 
      

 

 

 

Marine - 0.1%

 

Kirby Corp. (a)

   10,235      768,751 

Matson Inc.

   25,141      907,339 
      

 

 

 
     1,676,090 
      

 

 

 

Multi-Line Insurance - 0.4%

 

Horace Mann Educators Corp.

   110,841      3,902,712 

National General Holdings Corp.

   34,632      821,817 
      

 

 

 
     4,724,529 
      

 

 

 

Multi-Utilities - 0.2%

 

Black Hills Corp.

   31,045      2,299,503 
      

 

 

 

Office REITs - 0.9%

 

Brandywine Realty Trust

   96,968      1,537,912 

Corporate Office Properties Trust

   46,859      1,279,251 

Cousins Properties Inc.

   881,644      8,516,681 

Franklin Street Properties Corp.

   99,588      716,038 
      

 

 

 
     12,049,882 
      

 

 

 

Office Services & Supplies - 1.0%

 

Herman Miller Inc.

   23,764      836,018 

HNI Corp.

   23,284      844,976 

Knoll Inc.

   31,122      588,517 

MSA Safety Inc.

   94,178      9,738,005 

Steelcase Inc., Class A

   82,498      1,200,346 
      

 

 

 
     13,207,862 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Oil & Gas Drilling - 0.1%

 

Nabors Industries Ltd.

   183,507      631,264 
      

 

 

 

Oil & Gas Equipment & Services - 0.8%

 

Cactus Inc., Class A (a)

   28,258      1,005,985 

Forum Energy Technologies Inc. (a)

   409,497      2,092,530 

Keane Group Inc. (a)

   23,595      256,949 

Mammoth Energy Services Inc.

   28,550      475,357 

Natural Gas Services Group Inc. (a)

   48,993      848,069 

Oil States International Inc. (a)

   226,632      3,843,679 

ProPetro Holding Corp. (a)

   75,359      1,698,592 
      

 

 

 
     10,221,161 
      

 

 

 

Oil & Gas Exploration & Production - 1.7%

 

Callon Petroleum Co. (a)

   231,870      1,750,618 

Carrizo Oil & Gas Inc. (a)

   276,657      3,449,913 

Encana Corp.

   1,302,463      9,429,832 

Gulfport Energy Corp. (a)

   94,670      759,253 

Oasis Petroleum Inc. (a)

   71,986      434,795 

PDC Energy Inc. (a)

   19,864      808,068 

Range Resources Corp.

   83,774      941,620 

Ring Energy Inc. (a)

   37,588      220,642 

SM Energy Co.

   277,588      4,855,014 
      

 

 

 
     22,649,755 
      

 

 

 

Packaged Foods & Meats - 3.5%

 

B&G Foods Inc.

   227,500      5,555,550 

Calavo Growers Inc.

   12,180      1,021,293 

Freshpet Inc. (a)

   40,005      1,691,812 

Hostess Brands Inc. (a)

   627,000      7,837,500 

J&J Snack Foods Corp.

   13,000      2,064,920 

John B Sanfilippo & Son Inc.

   9,168      658,904 

Sanderson Farms Inc.

   113,819      15,005,897 

The Simply Good Foods Co. (a)

   202,000      4,159,180 

TreeHouse Foods Inc. (a)

   117,000      7,552,350 
      

 

 

 
     45,547,406 
      

 

 

 

Paper Products - 0.1%

 

Neenah Inc.

   12,806      824,194 

Verso Corp., Class A (a)

   30,596      655,366 
      

 

 

 
     1,479,560 
      

 

 

 

Personal Products - 0.4%

 

elf Beauty Inc. (a)

   276,000      2,925,600 

Medifast Inc.

   6,845      873,080 

USANA Health Sciences Inc. (a)

   11,599      972,808 
      

 

 

 
     4,771,488 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

18 State Street InstitutionalSmall-Cap Equity Fund


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      

Pharmaceuticals - 1.8%

 

ANI Pharmaceuticals Inc. (a)

   15,638      1,103,105 

Assertio Therapeutics Inc. (a)

   85,500      433,485 

Catalent Inc. (a)

   149,575      6,071,249 

Endo International PLC (a)

   46,616      374,326 

Horizon Pharma PLC (a)

   59,654      1,576,655 

Phibro Animal Health Corp., Class A

   24,604      811,932 

Prestige Consumer Healthcare Inc. (a)

   266,739      7,978,164 

Supernus Pharmaceuticals Inc. (a)

   143,762      5,037,420 
      

 

 

 
     23,386,336 
      

 

 

 

Property & Casualty Insurance - 2.1%

 

AMERISAFE Inc.

   77,022      4,575,107 

Argo Group International Holdings Ltd.

   146,682      10,364,550 

James River Group Holdings Ltd.

   77,000      3,086,160 

RLI Corp.

   65,637      4,709,455 

Selective Insurance Group Inc.

   6,952      439,922 

The Navigators Group Inc.

   64,500      4,506,615 
      

 

 

 
     27,681,809 
      

 

 

 

Publishing - 1.0%

 

John Wiley & Sons Inc., Class A

   285,082      12,606,326 
      

 

 

 

Railroads - 0.8%

 

Genesee & Wyoming Inc., Class A (a)

   112,899      9,838,019 
      

 

 

 

Regional Banks - 8.3%

 

1st Source Corp.

   27,922      1,253,977 

Bank OZK

   26,097      756,291 

BankUnited Inc.

   12,855      429,357 

Banner Corp.

   23,495      1,272,724 

Bryn Mawr Bank Corp.

   73,500      2,655,555 

Cadence BanCorp

   86,248      1,599,900 

Camden National Corp.

   26,049      1,086,764 

Chemical Financial Corp.

   36,090      1,485,464 

Columbia Banking System Inc.

   43,755      1,430,351 

Community Bank System Inc.

   63,500      3,795,395 

Cullen/Frost Bankers Inc.

   58,660      5,694,126 

CVB Financial Corp.

   174,500      3,673,225 

Enterprise Financial Services Corp.

   42,098      1,716,336 

Equity Bancshares Inc., Class A (a)

   21,053      606,326 

First Interstate BancSystem Inc., Class A

   45,452      1,809,899 
   Number
of Shares
     Fair
Value
$
 

Franklin Financial Network Inc.

   28,387      823,507 

Fulton Financial Corp.

   330,932      5,122,827 

German American Bancorp Inc.

   85,500      2,513,700 

Hancock Whitney Corp.

   31,918      1,289,487 

Home BancShares Inc.

   66,359      1,165,928 

IBERIABANK Corp.

   90,993      6,525,108 

Independent Bank Corp.

   75,000      6,075,750 

Lakeland Financial Corp.

   18,773      848,915 

LegacyTexas Financial Group Inc.

   52,680      1,969,705 

Origin Bancorp Inc.

   31,530      1,073,597 

Pinnacle Financial Partners Inc.

   33,325      1,822,878 

Prosperity Bancshares Inc.

   150,537      10,396,085 

Renasant Corp.

   217,554      7,364,203 

Sandy Spring Bancorp Inc.

   40,928      1,280,228 

Simmons First National Corp., Class A

   45,210      1,106,741 

Stock Yards Bancorp Inc.

   69,000      2,332,890 

UMB Financial Corp.

   117,500      7,524,700 

Union Bankshares Corp.

   39,583      1,279,718 

United Community Banks Inc.

   55,785      1,390,720 

Valley National Bancorp

   41,717      399,649 

Washington Trust Bancorp Inc.

   58,500      2,816,775 

Westamerica Bancorporation

   100,292      6,198,046 

Western Alliance Bancorp (a)

   149,276      6,126,287 

Wintrust Financial Corp.

   23,041      1,551,351 
      

 

 

 
     108,264,485 
      

 

 

 

Research & Consulting Services - 0.3%

 

Resources Connection Inc.

   270,781      4,478,718 
      

 

 

 

Restaurants - 1.1%

 

BJ’s Restaurants Inc.

   19,497      921,818 

Bloomin’ Brands Inc.

   18,400      376,280 

Brinker International Inc.

   21,567      957,144 

Cracker Barrel Old Country Store Inc.

   17,663      2,854,518 

Dave & Buster’s Entertainment Inc.

   12,707      633,698 

Ruth’s Hospitality Group Inc.

   44,451      1,137,501 

Texas Roadhouse Inc.

   67,084      4,171,954 

The Cheesecake Factory Inc.

   57,970      2,835,892 
      

 

 

 
     13,888,805 
      

 

 

 

Retail REITs - 0.1%

 

Retail Opportunity Investments Corp.

   99,442      1,724,324 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street InstitutionalSmall-Cap Equity Fund  19 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      

Security & Alarm Services - 1.1%

 

The Brink’s Co.

   187,233      14,119,241 
      

 

 

 

Semiconductor Equipment - 0.7%

 

Advanced Energy Industries Inc. (a)

   25,855      1,284,476 

Amkor Technology Inc. (a)

   77,620      662,875 

Ichor Holdings Ltd. (a)

   114,182      2,578,230 

MKS Instruments Inc.

   12,070      1,123,113 

Nanometrics Inc. (a)

   23,490      725,371 

Rudolph Technologies Inc. (a)

   109,927      2,506,336 
      

 

 

 
     8,880,401 
      

 

 

 

Semiconductors - 0.6%

 

Cirrus Logic Inc. (a)

   10,817      455,071 

Diodes Inc. (a)

   21,838      757,779 

Semtech Corp. (a)

   112,381      5,721,317 

SMART Global Holdings Inc. (a)

   55,773      1,070,841 
      

 

 

 
     8,005,008 
      

 

 

 

Soft Drinks - 0.2%

 

Cott Corp.

   206,736      3,020,413 
      

 

 

 

Specialized Consumer Services - 0.0%*

 

Weight Watchers International Inc. (a)

   14,744      297,092 
      

 

 

 

Specialized REITs - 0.4%

 

CoreSite Realty Corp.

   31,009      3,318,583 

PotlatchDeltic Corp.

   58,841      2,223,602 
      

 

 

 
     5,542,185 
      

 

 

 

Specialty Chemicals - 4.3%

 

Chase Corp.

   15,500      1,434,370 

Ferro Corp. (a)

   59,956      1,134,967 

HB Fuller Co.

   156,046      7,590,078 

Ingevity Corp. (a)

   83,572      8,826,039 

Innospec Inc.

   73,000      6,084,550 

Minerals Technologies Inc.

   22,362      1,314,662 

PolyOne Corp.

   192,797      5,650,880 

PQ Group Holdings Inc. (a)

   28,620      434,165 

Quaker Chemical Corp.

   29,851      5,980,051 

Sensient Technologies Corp.

   184,547      12,510,441 

Stepan Co.

   67,946      5,946,634 
      

 

 

 
     56,906,837 
      

 

 

 

Specialty Stores - 0.6%

 

Hudson Ltd., Class A (a)

   38,994      536,168 

MarineMax Inc. (a)

   35,403      678,321 

Sally Beauty Holdings Inc. (a)

   370,695      6,824,495 
      

 

 

 
     8,038,984 
      

 

 

 
   Number
of Shares
     Fair
Value
$
 

Steel - 0.4%

 

Carpenter Technology Corp.

   43,027      1,972,788 

Commercial Metals Co.

   189,791      3,241,630 
      

 

 

 
     5,214,418 
      

 

 

 

Systems Software - 0.8%

 

Progress Software Corp.

   26,817      1,189,870 

Qualys Inc. (a)

   71,500      5,915,910 

Talend S.A. ADR (a)(j)

   58,500      2,958,345 
      

 

 

 
     10,064,125 
      

 

 

 

Technology Distributors - 0.3%

 

Insight Enterprises Inc. (a)

   15,970      879,308 

SYNNEX Corp.

   7,731      737,460 

Tech Data Corp. (a)

   18,188      1,862,633 
      

 

 

 
     3,479,401 
      

 

 

 

Technology Hardware, Storage & Peripherals - 0.7%

 

Pure Storage Inc., Class A (a)

   412,000      8,977,480 
      

 

 

 

Thrifts & Mortgage Finance - 0.7%

 

Axos Financial Inc. (a)

   42,493      1,230,597 

Essent Group Ltd. (a)

   23,750      1,031,938 

HomeStreet Inc. (a)

   65,049      1,714,041 

Kearny Financial Corp.

   31,336      403,294 

NMI Holdings Inc., Class A (a)

   43,164      1,116,653 

WSFS Financial Corp.

   104,070      4,017,102 
      

 

 

 
     9,513,625 
      

 

 

 

Tires & Rubber - 0.1%

 

Cooper Tire & Rubber Co.

   63,594      1,900,825 
      

 

 

 

Trading Companies & Distributors - 0.7%

 

Applied Industrial Technologies Inc.

   122,565      7,288,941 

BMC Stock Holdings Inc. (a)

   38,160      674,287 

GMS Inc. (a)

   24,961      377,410 

Herc Holdings Inc. (a)

   25,828      1,006,776 
      

 

 

 
     9,347,414 
      

 

 

 

Trucking - 0.7%

 

ArcBest Corp.

   17,654      543,567 

Avis Budget Group Inc. (a)

   22,600      787,836 

Marten Transport Ltd.

   58,210      1,037,884 

Old Dominion Freight Line Inc.

   38,969      5,626,734 

Saia Inc. (a)

   17,681      1,080,309 
      

 

 

 
     9,076,330 
      

 

 

 
Total Common Stock
(Cost $1,007,806,402)

 

     1,239,548,979 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

20 State Street InstitutionalSmall-Cap Equity Fund


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Number
of Shares
     Fair
Value
$
 
      
Short-Term Investments - 5.3%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 2.43%
(Cost $68,800,971) (d)(e)(j)

   68,800,971      68,800,971 
      

 

 

 
Total Investments
(Cost $1,076,607,373)

 

     1,308,349,950 
Other Assets and Liabilities, net - 0.1%

 

     1,814,790 
      

 

 

 
NET ASSETS - 100.0%

 

     1,310,164,740 
    

 

 

 
 

 

Other Information:

The Fund had the following long futures contracts open at March 31, 2019:

 

Description Expiration
date
 Number of
Contracts
  Notional
Amount
  Value  Unrealized
Depreciation
 

E-mini Russell 2000 Index Futures

 June 2019  255  $19,933,664  $19,683,450  $(250,214
     

 

 

 

During the period ended March 31, 2019, average notional value related to long futures contracts was $ 17,136,339 or 1.3% of net assets.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2019.

 

Fund  Investments  Level 1  Level 2   Level 3   Total 
State Street InstitutionalSmall-Cap Equity Fund  

Investments in Securities

       
  

Common Stock

  $1,239,548,979  $   $   $1,239,548,979 
  

Short-Term Investments

   68,800,971           68,800,971 
    

 

 

  

 

 

   

 

 

   

 

 

 
  

Total Investments in Securities

  $1,308,349,950  $   $   $1,308,349,950 
    

 

 

  

 

 

   

 

 

   

 

 

 
  

Other Financial Instruments

       
  

Long Futures Contracts — Unrealized Depreciation

  $(250,214 $   $   $(250,214
    

 

 

  

 

 

   

 

 

   

 

 

 

 

Affiliate Table

 

   Number
of Shares
Held at
9/30/18
  Value At
9/30/18
  Cost of
Purchases
  Proceeds
from
Shares
Sold
  Realized
Gain
(Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  Number
of Shares
Held at
3/31/19
  Value at
3/31/19
  Dividend
Income
 

State Street Institutional U.S. Government Money MarketFund - Class G Shares

  96,806,112  $96,806,112  $218,268,195  $246,273,336  $  $   68,800,971  $68,800,971  $678,994 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street InstitutionalSmall-Cap Equity Fund  21 


Table of Contents

State Street Institutional International Equity Fund

Understanding Your Fund’s Expenses — March 31, 2019 (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 entiresix-month period ended March 31, 2019.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

Investment Class

  Actual
Fund Return
   Hypothetical
5% Return
(2.5% for
the period)
 

Actual Fund Return

    

Account value at the Beginning of the period

October 1, 2018

  $1,000.00   $1,000.00 

Account value at the End of the period

March 31, 2019

  $974.20   $1,022.10 

Expenses paid during the period*

  $2.76   $2.82 

Service Class

        

Actual Fund Return

    

Account value at the Beginning of the period

October 1, 2018

  $1,000.00   $1,000.00 

Account value at the End of the period

March 31, 2019

  $973.40   $1,020.90 

Expenses paid during the period*

  $3.99   $4.08 

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.56% for Investment Class shares and 0.81% for Service Class shares (for the period October 1, 2018-March 31, 2019), multiplied by the average account value over the period, multiplied by 182/365 (to reflect theone-half year period).

 

 

22 State Street Institutional International Equity Fund


Table of Contents

State Street Institutional International Equity Fund

Fund Information — March 31, 2019 (Unaudited)

 

 

Sector Allocation as of March 31, 2019

Portfolio composition as a % of Fair Value of $83,349 (in thousands) as of March, 2019 (a)(b)

 

LOGO

Top Ten Largest Holdings

as of March 31, 2019 (as a % of Fair Value) (a)(b)

 

Nestle S.A.

  4.33

Novartis AG

  3.60

AIA Group Ltd.

  3.01

Roche Holding AG

  2.93

SAP SE

  2.68

AstraZeneca PLC

  2.60

Hoya Corp.

  2.48

Keyence Corp.

  2.39

Air Liquide S.A.

  2.38

Schneider Electric SE

  2.30
 

 

 

 

(a)

Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares

 

(b)

The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security.

 

State Street Institutional International Equity Fund  23 


Table of Contents

State Street Institutional International Equity Fund

Schedule of Investments — March 31, 2019 (Unaudited)

 

   Number
of Shares
     

Fair
Value

$

 
      
Common Stock - 96.3%†

 

Australia - 2.7%

 

BHP Group PLC

   71,961      1,733,411 

Suncorp Group Ltd.

   58,969      577,225 
      

 

 

 
     2,310,636 
      

 

 

 

Belgium - 1.4%

 

Anheuser-Busch InBev S.A.

   14,429      1,211,232 
      

 

 

 

Canada - 0.9%

 

Brookfield Asset Management Inc., Class A (j)

   10,950      510,309 

Seven Generations Energy Ltd., Class A (a)

   36,484      263,536 
      

 

 

 
     773,845 
      

 

 

 

China - 0.7%

 

New Oriental Education & Technology Group Inc. ADR (a)(j)

   6,474      583,243 
      

 

 

 

France - 15.3%

 

Air Liquide S.A.

   15,564      1,980,909 

Airbus SE

   13,033      1,725,361 

AXA S.A.

   65,202      1,642,146 

BNP Paribas S.A.

   32,444      1,552,271 

Safran S.A.

   11,145      1,529,856 

Schneider Electric SE

   24,411      1,917,047 

Valeo S.A.

   26,904      780,907 

Vivendi S.A.

   61,586      1,786,192 
      

 

 

 
     12,914,689 
      

 

 

 

Germany - 6.2%

 

Fresenius SE & Company KGaA (j)

   8,105      452,851 

HeidelbergCement AG

   19,404      1,397,904 

Infineon Technologies AG

   33,467      664,574 

KION Group AG

   9,311      487,092 

SAP SE

   19,298      2,231,882 
      

 

 

 
     5,234,303 
      

 

 

 

Hong Kong - 3.0%

 

AIA Group Ltd.

   252,402      2,512,782 
      

 

 

 

India - 1.8%

 

ICICI Bank Ltd.

   254,809      1,473,129 
      

 

 

 

Ireland - 2.2%

 

Kerry Group PLC, Class A

   16,550      1,849,025 
      

 

 

 
   Number
of Shares
     

Fair
Value

$

 

Japan - 29.1%

 

Daikin Industries Ltd.

   13,400      1,570,204 

Disco Corp.

   8,200      1,168,306 

FANUC Corp.

   6,249      1,065,918 

Hoya Corp.

   31,300      2,066,872 

Kao Corp.

   20,700      1,630,416 

Keyence Corp.

   3,200      1,993,983 

Komatsu Ltd.

   47,600      1,105,441 

Mitsubishi UFJ Financial Group Inc.

   337,400      1,676,560 

Mitsui Fudosan Company Ltd.

   63,325      1,591,921 

Murata Manufacturing Company Ltd.

   26,037      1,296,616 

Nidec Corp.

   13,074      1,656,619 

Secom Company Ltd.

   14,700      1,259,298 

Sekisui House Ltd.

   56,500      935,158 

Shiseido Company Ltd.

   25,600      1,847,289 

SoftBank Group Corp.

   13,101      1,271,810 

Subaru Corp.

   20,700      471,751 

Suzuki Motor Corp.

   20,600      911,585 

Tokio Marine Holdings Inc.

   21,549      1,043,915 
      

 

 

 
     24,563,662 
      

 

 

 

Netherlands - 3.9%

 

ASML Holding N.V.

   8,486      1,593,166 

ING Groep N.V.

   141,884      1,718,047 
      

 

 

 
     3,311,213 
      

 

 

 

Norway - 1.9%

 

Equinor ASA

   74,546      1,634,773 
      

 

 

 

Portugal - 1.5%

 

Galp Energia SGPS S.A.

   80,060      1,283,706 
      

 

 

 

Sweden - 3.3%

 

Assa Abloy AB, Class B

   86,452      1,870,658 

Hexagon AB, Class B

   17,677      924,320 
      

 

 

 
     2,794,978 
      

 

 

 

Switzerland - 12.4%

 

Givaudan S.A.

   573      1,463,713 

Nestle S.A.

   37,925      3,613,899 

Novartis AG

   31,214      3,001,985 

Roche Holding AG

   8,855      2,439,371 
      

 

 

 
     10,518,968 
      

 

 

 

Taiwan - 1.3%

 

Taiwan Semiconductor Manufacturing Company Ltd.

   138,548      1,103,601 
      

 

 

 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

24 State Street Institutional International Equity Fund


Table of Contents

State Street Institutional International Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Number
of Shares
     

Fair
Value

$

 
      

United Kingdom - 8.7%

 

AstraZeneca PLC

   27,096      2,166,112 

Prudential PLC

   84,210      1,687,097 

Smith & Nephew PLC

   59,509      1,180,983 

Smiths Group PLC

   69,575      1,300,967 

Vodafone Group PLC

   538,572      981,098 
      

 

 

 
     7,316,257 
      

 

 

 
Total Common Stock
(Cost $73,537,843)

 

     81,390,042 
      

 

 

 
   Number
of Shares
     

Fair
Value

$

 
Short-Term Investments - 2.3%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 2.43%
(Cost $1,958,464) (d)(j)(e)

   1,958,464      1,958,464 
      

 

 

 
Total Investments
(Cost $75,496,307)

 

     83,348,506 
Other Assets and Liabilities, net - 1.4%

 

     1,225,293 
      

 

 

 
NET ASSETS - 100.0%

 

     84,573,799 
      

 

 

 
 

 

Other Information:

The Fund had the following long futures contracts open at March 31, 2019:

 

Description  Expiration
date
   Number of
Contracts
   Notional
Amount
   Value   Unrealized
Appreciation
 

MSCI EAFE Mini Index Futures

   June 2019    14   $1,283,553   $1,306,480   $22,927 
          

 

 

 

During the period ended March 31, 2019, average notional value related to long futures contracts was $5,252,653 or 6.2% of net assets, respectively.

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2019.

 

Fund  Investments  Level 1   Level 2   Level 3   Total 
State Street Institutional International Equity Fund  

Investments in Securities

        
  

Common Stock

  $81,390,042   $   $   $81,390,042 
  

Short-Term Investments

   1,958,464            1,958,464 
    

 

 

   

 

 

   

 

 

   

 

 

 
  

Total Investments in Securities

  $83,348,506   $   $   $83,348,506 
    

 

 

   

 

 

   

 

 

   

 

 

 
  

Other Financial Instruments

        
  

Long Futures Contracts — Unrealized Appreciation

  $22,927   $   $   $22,927 
    

 

 

   

 

 

   

 

 

   

 

 

 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Institutional International Equity Fund  25 


Table of Contents

State Street Institutional International Equity Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

The Fund was invested in the following sectors at March 31, 2019 (unaudited):

 

Sector  Percentage
(based on
Fair Value)
 

Pharmaceuticals

   9.13% 

Diversified Banks

   7.70% 

Packaged Foods & Meats

   6.55% 

Life & Health Insurance

   5.04% 

Electrical Components & Equipment

   4.29% 

Personal Products

   4.17% 

Building Products

   4.13% 

Aerospace & Defense

   3.91% 

Integrated Oil & Gas

   3.50% 

Electronic Equipment & Instruments

   3.50% 

Semiconductor Equipment

   3.31% 

Wireless Telecommunication Services

   2.70% 

Application Software

   2.68% 

Healthcare Supplies

   2.48% 

Industrial Gases

   2.38% 

Movies & Entertainment

   2.14% 

Semiconductors

   2.12% 

Diversified Metals & Mining

   2.08% 

Multi-Line Insurance

   1.97% 

Property & Casualty Insurance

   1.94% 

Construction Machinery & Heavy Trucks

   1.91% 

Diversified Real Estate Activities

   1.91% 
Sector  Percentage
(based on
Fair Value)
 

Specialty Chemicals

   1.76% 

Construction Materials

   1.68% 

Automobile Manufacturers

   1.66% 

Industrial Conglomerates

   1.56% 

Electronic Components

   1.56% 

Security & Alarm Services

   1.51% 

Brewers

   1.45% 

Healthcare Equipment

   1.42% 

Industrial Machinery

   1.28% 

Home Building

   1.12% 

Auto Parts & Equipment

   0.94% 

Education Services

   0.70% 

Asset Management & Custody Banks

   0.61% 

Healthcare Services

   0.54% 

Oil & Gas Exploration & Production

   0.32% 
  

 

 

 
   97.65% 
  

 

 

 

Short-Term Investments

  

Short-Term Investments

   2.35% 
  

 

 

 
   2.35% 
  

 

 

 
   100.00% 
  

 

 

 
 

 

Affiliate Table

 

   Number
of Shares
Held at
9/30/18
  Value At
9/30/18
  Cost of
Purchases
  Proceeds
from
Shares
Sold
  Realized
Gain
(Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  

Number
of Shares
Held at

3/31/19

  Value at
3/31/19
  Dividend
Income
 

State Street Institutional U.S. Government Money Market Fund - Class G Shares

  54,039,876  $54,039,876  $26,813,920  $78,895,332  $  $   1,958,464  $1,958,464  $93,960 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

26 State Street Institutional International Equity Fund


Table of Contents

State Street Active Core Bond Fund

Understanding Your Fund’s Expenses — March 31, 2019 (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 entiresix-month period ended March 31, 2019.

Actual Expenses

The first section of the table provides information about actual account values and actual expenses. You may use the information in this section, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your class under the heading “Expenses paid during the period” to estimate the expenses you paid on your account during the period.

Hypothetical Example for Comparison Purposes

The second section of the table provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing costs of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholders reports of other funds.

Please note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs, such as sales charges or redemption fees, if any. Therefore, the second section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds.

 

Investment Class

  Actual
Fund Return
   Hypothetical
5% Return
(2.5% for
the period)
 

Actual Fund Return

    

Account value at the beginning of the period

October 1, 2018

  $1,000.00   $1,000.00 

Account value at the end of the period

March 31, 2019

  $1,045.90   $1,023.70 

Expenses paid during the period*

  $1.28   $1.26 

Service Class

        

Actual Fund Return

    

Account value at the beginning of the period

October 1, 2018

  $1,000.00   $1,000.00 

Account value at the end of the period

March 31, 2019

  $1,043.90   $1,022.40 

Expenses paid during the period*

  $2.55   $2.52 

 

*

Expenses are equal to the Fund’s annualized expense ratio of 0.25% for Investment Class shares and 0.50% for Service Class shares (for the period October 1, 2018-March 31, 2019), multiplied by the average account value over the period, multiplied by 182/365 (to reflect theone-half year period).

 

 

State Street Active Core Bond Fund  27 


Table of Contents

State Street Active Core Bond Fund

Fund Information — March 31, 2019 (Unaudited)

 

 

Sector Allocation

Portfolio composition as a % of Fair Value of $277,123 (in thousands) as of March, 2019(a)(b)

 

LOGO

Quality Ratings

as of March 31, 2019 as a % of Fair Value(a)(b)

 

Moody’s / S&P /Rating*

  Percentage of
Fair Value
 

Aaa / AAA

   23.13

Aa / AA

   51.02

A / A

   6.56

Baa / BBB

   16.31

Ba / BB and lower

   2.47

NR / Other

   0.50
 

 

 

 

(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.

 

28 State Street Active Core Bond Fund


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    
Bonds and Notes - 98.9%†

 

U.S. Treasuries - 30.6%

 

U.S. Treasury Bonds
2.25%, 08/15/46 (j)

   1,605,000    1,431,578 

2.75%, 11/15/42

   80,000    79,575 

3.00%, 08/15/48 (j)

   7,579,600    7,849,126 

3.75%, 11/15/43

   133,300    156,247 

4.50%, 02/15/36

   597,100    756,083 

5.00%, 05/15/37

   553,000    747,483 

U.S. Treasury Notes
1.38%, 12/15/19 (j)

   8,530,700    8,468,778 

1.50%, 11/30/19 (j)

   6,388,900    6,349,734 

2.25%, 03/31/20 (j)

   2,200,000    2,196,727 

2.50%, 12/31/20

   2,073,000    2,079,281 

2.63%, 12/15/21

   1,828,300    1,846,565 

2.75%, 11/15/23

   12,630,100    12,905,647 

2.88%, 11/30/25 - 08/15/28 (j)

   23,867,500    24,708,058 
    

 

 

 
   69,574,882 
    

 

 

 

Agency Mortgage Backed - 29.6%

 

Federal Home Loan Mortgage Corp.
4.05%, 09/25/28 (h)(j)

   989,000    1,074,706 

4.50%, 06/01/33 - 02/01/35 (j)

   9,605    10,148 

5.00%, 07/01/35 (j)

   80,228    86,309 

5.50%, 05/01/20 - 04/01/39 (j)

   187,690    204,620 

6.00%, 07/01/19 - 11/01/37 (j)

   330,881    367,668 

6.50%, 08/01/29 - 10/01/33 (j)

   1,028    1,147 

7.00%, 06/01/29 - 08/01/36 (j)

   49,739    56,118 

7.50%, 01/01/30 - 09/01/33 (j)

   1,856    1,989 

8.00%, 11/01/30 (j)

   11,189    12,613 

8.50%, 04/01/30 (j)

   13,004    16,167 

9.50%, 04/01/21 (j)

   7    7 

Federal National Mortgage Assoc.
3.50%, 08/01/45 (j)

   116,244    118,191 

3.50%, 07/01/47

   3,254,879    3,323,271 

4.00%, 05/01/19 - 10/01/47 (j)

   6,933,893    7,176,197 

4.50%, 05/01/19 (j)

   185    185 

4.50%, 10/01/19 - 02/01/40 (j)

   1,144,372    1,210,150 

5.00%, 07/01/20 - 05/01/39 (j)

   266,249    286,379 

5.50%, 06/01/20 - 04/01/38 (j)

   888,441    962,249 

6.00%, 09/01/19 - 07/01/35 (j)

   631,632    698,635 

6.50%, 05/01/21 - 08/01/36 (j)

   50,336    54,344 

7.00%, 10/01/32 - 02/01/34 (j)

   6,642    7,087 

7.50%, 12/01/23 - 12/01/33 (j)

   36,565    40,581 

8.00%, 07/01/25 - 10/01/31 (j)

   8,708    9,586 

9.00%, 12/01/22 (j)

   390    411 

Federal National Mortgage Assoc.
1.25% + USD COF11
5.50%, 10/01/24 (h)(j)

   5,103    5,228 
   Principal
Amount ($)
   Fair
Value
$
 

Federal National Mortgage Assoc.
1.60% + 12 month USD LIBOR
3.97%, 04/01/37 (h)(j)

   2,289    2,364 

Federal National Mortgage Assoc.
TBA 3.00%, TBA (c)

   17,390,725    17,394,538 

3.50%, TBA (c)

   6,211,000    6,289,880 

4.00%, TBA (c)

   5,359,000    5,517,880 

4.50%, TBA (c)

   2,202,000    2,294,110 

Government National Mortgage Assoc.
4.00%, 01/20/41 - 04/20/43 (j)

   1,847,272    1,925,513 

4.50%, 08/15/33 - 05/20/40 (j)

   331,580    349,752 

5.00%, 08/15/33 (j)

   24,925    26,477 

6.00%, 04/15/27 - 09/15/36 (j)

   163,586    182,955 

6.50%, 02/15/24 - 09/15/36 (j)

   68,273    74,490 

7.00%, 10/15/27 - 10/15/36 (j)

   32,808    37,197 

7.50%, 01/15/23 - 11/15/31 (j)

   3,183    3,281 

8.00%, 05/15/30 - 09/15/30 (j)

   245    261 

9.00%, 12/15/21 (j)

   211    221 

3.00%, TBA (c)

   2,156,000    2,163,179 

4.00%, TBA (c)(j)

   10,540,000    10,872,537 

4.50%, TBA (c)

   4,294,000    4,458,589 
    

 

 

 
   67,317,210 
    

 

 

 

Agency Collateralized Mortgage Obligations - 1.0%

 

Federal Home Loan Mortgage Corp.
0.08%, 09/25/43 (g)(h)(j)

   644,843    1,721 

3.77%, 12/25/28 (j)

   476,000    506,632 

3.86%, 11/25/28 (h)(j)

   431,000    461,820 

4.06%, 10/25/28 (h)(j)

   732,000    796,265 

Federal Home Loan Mortgage Corp. REMIC
3.50%, 09/15/29 - 11/15/30 (g)(j)

   322,031    20,259 

5.50%, 06/15/33 (g)(j)

   26,546    5,029 

7.50%, 07/15/27 (g)(j)

   2,857    516 

Federal Home Loan Mortgage Corp. REMIC
6.60% - 1 month USD LIBOR
4.12%, 08/15/25 (g)(h)(j)

   119,179    6,212 

Federal Home Loan Mortgage Corp. STRIPS
1.21%, 08/01/27 (d)(f)(j)

   621    564 

8.00%, 02/01/23 - 07/01/24 (g)(j)

   1,899    252 

Federal National Mortgage Assoc. REMIC
1.09%, 12/25/42 (g)(h)

   117,030    4,598 

1.27%, 12/25/22 (d)(f)(j)

   22    21 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Active Core Bond Fund  29 


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

5.00%, 02/25/40 - 09/25/40 (g)(j)

   142,180    16,110 

8.00%, 05/25/22 (g)(j)

   1    14 

Federal National Mortgage Assoc. REMIC
6.00% - 1 month USD LIBOR
3.51%, 07/25/38 (g)(h)(j)

   50,621    6,989 

Federal National Mortgage Assoc. REMIC
6.20% - 1 month USD LIBOR
3.71%, 06/25/48 (g)(h)(j)

   1,690,294    254,687 

Federal National Mortgage Assoc. STRIPS
1.18%, 12/25/34 (d)(f)(j)

   11,779    9,928 

4.50%, 08/25/35 - 01/25/36 (g)(j)

   82,403    14,263 

5.00%, 03/25/38 - 05/25/38 (g)(j)

   45,551    8,718 

5.50%, 12/25/33 (g)(j)

   11,616    2,427 

6.00%, 01/25/35 (g)(j)

   49,261    10,982 

7.50%, 11/25/23 (g)(j)

   7,785    898 

8.00%, 08/25/23 - 07/25/24 (g)(j)

   3,749    507 

8.50%, 07/25/22 (g)(j)

   55    4 

8.50%, 07/25/22 (g)(j)**

   2     

9.00%, 05/25/22 (g)(j)

   47    3 

Government National Mortgage Assoc. REMIC
4.50%, 05/20/38 - 08/16/39 (g)(j)

   101,982    6,103 

5.00%, 09/20/38 (g)(j)

   23,269    528 

Government National Mortgage Assoc. REMIC
6.80% - 1 month USD LIBOR
4.32%, 01/16/40 (g)(h)(j)

   226,873    44,566 
    

 

 

 
   2,180,616 
    

 

 

 

Asset Backed - 2.8%

 

American Express Credit Account Master Trust2017-6
2.04%, 05/15/23 (j)

   1,198,658    1,190,162 

American Express Credit Account Master Trust2018-1
2.67%, 10/17/22 (j)

   495,000    495,317 

American Express Credit Account Master Trust2018-8
3.18%, 04/15/24 (j)

   1,270,000    1,289,374 

BA Credit Card Trust2018-A1
2.70%, 07/17/23 (j)

   432,000    433,052 

BMW Floorplan Master Owner Trust2018-1
3.15%, 05/15/23 (b)(j)

   298,000    300,742 
   Principal
Amount ($)
   Fair
Value
$
 

Chase Funding Trust2004-1
4.99%, 11/25/33 (i)(j)

   164,151    164,151 

Chase Issuance Trust2015-A4
1.84%, 04/15/22 (j)

   650,000    645,024 

Citibank Credit Card Issuance Trust2016-A1
1.75%, 11/19/21 (j)

   1,190,000    1,183,297 

Enterprise Fleet Financing2019-1 LLC
3.07%, 10/22/24 (b)(j)

   473,000    476,836 

Securitized Term Auto Receivables Trust2018-1A
3.30%, 11/25/22 (b)(j)

   118,000    118,645 
    

 

 

 
   6,296,600 
    

 

 

 

Corporate Notes - 30.9%

 

3M Co.
4.00%, 09/14/48 (j)

   79,000    82,606 

Abbott Laboratories
2.90%, 11/30/21 (j)

   265,000    266,102 

3.75%, 11/30/26 (j)

   86,000    89,423 

4.90%, 11/30/46 (j)

   122,000    141,109 

AbbVie Inc.

    

3.20%, 05/14/26 (j)

   80,000    77,663 

4.45%, 05/14/46 (j)

   92,000    85,319 

4.70%, 05/14/45 (j)

   34,000    32,634 

4.88%, 11/14/48 (j)

   27,000    26,522 

Activision Blizzard Inc.
2.30%, 09/15/21 (j)

   189,000    186,405 

Aetna Inc.
3.50%, 11/15/24 (j)

   102,000    102,019 

Aflac Inc.
4.00%, 10/15/46 (j)

   39,000    38,461 

Alexandria Real Estate Equities Inc.
4.70%, 07/01/30 (j)

   56,000    59,893 

Alibaba Group Holding Ltd.
4.00%, 12/06/37 (j)

   200,000    194,954 

Alimentation Couche-Tard Inc.

    

2.70%, 07/26/22 (b)(j)

   54,000    53,294 

4.50%, 07/26/47 (b)(j)

   55,000    52,071 

Allergan Finance LLC

    

3.25%, 10/01/22 (j)

   101,000    100,973 

4.63%, 10/01/42 (j)

   12,000    11,378 

Allergan Funding SCS

    

3.00%, 03/12/20 (j)

   168,000    167,884 

3.45%, 03/15/22 (j)

   70,000    70,632 

Allergan Sales LLC
5.00%, 12/15/21 (b)(j)

   186,000    193,544 

Altria Group Inc.

    

2.95%, 05/02/23 (j)

   76,000    75,522 

3.80%, 02/14/24 (j)

   51,000    51,903 

4.25%, 08/09/42 (j)

   11,000    9,572 

4.40%, 02/14/26 (j)

   115,000    118,404 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

30 State Street Active Core Bond Fund


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

4.50%, 05/02/43 (j)

   43,000    38,587 

4.80%, 02/14/29 (j)

   115,000    118,497 

5.95%, 02/14/49 (j)

   70,000    75,113 

Amazon.com Inc.

    

2.80%, 08/22/24 (j)

   51,000    51,098 

3.15%, 08/22/27 (j)

   24,000    24,149 

3.88%, 08/22/37 (j)

   30,000    31,216 

4.05%, 08/22/47 (j)

   42,000    44,407 

4.25%, 08/22/57 (j)

   54,000    57,953 

Ameren Corp.
3.65%, 02/15/26 (j)

   47,000    47,503 

American Campus Communities Operating Partnership LP
3.35%, 10/01/20 (j)

   108,000    108,376 

4.13%, 07/01/24 (j)

   51,000    52,148 

American Express Co.
3.00%, 10/30/24 (j)

   131,000    130,353 

American International Group Inc.

    

4.25%, 03/15/29 (j)

   181,000    183,713 

4.50%, 07/16/44 (j)

   88,000    84,243 

6.40%, 12/15/20 (j)

   48,000    50,753 

American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR thereafter)
5.75%, 04/01/48 (h)(j)

   83,000    80,679 

American Tower Corp.
4.40%, 02/15/26 (j)

   100,000    104,549 

American Tower Corp. (REIT)
3.38%, 10/15/26 (j)

   42,000    41,102 

American Water Capital Corp.
2.95%, 09/01/27 (j)

   85,000    83,150 

Amgen Inc.

    

2.20%, 05/22/19 (j)

   177,000    176,855 

2.65%, 05/11/22 (j)

   125,000    124,306 

3.20%, 11/02/27 (j)

   88,000    86,256 

4.56%, 06/15/48 (j)

   79,000    78,860 

4.66%, 06/15/51 (j)

   28,000    28,162 

Anadarko Petroleum Corp.

    

4.85%, 03/15/21 (j)

   42,000    43,515 

6.20%, 03/15/40 (j)

   47,000    52,950 

Andeavor Logistics LP/Tesoro Logistics Finance Corp.

    

5.20%, 12/01/47 (j)

   32,000    31,977 

5.25%, 01/15/25 (j)

   502,000    520,524 

5.50%, 10/15/19 (j)

   312,000    315,011 

6.25%, 10/15/22 (j)

   161,000    165,706 

Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc.

    

4.70%, 02/01/36 (b)(j)

   50,000    49,912 

4.90%, 02/01/46 (b)(j)

   92,000    92,501 
   Principal
Amount ($)
   Fair
Value
$
 

Anheuser-Busch InBev Worldwide Inc.

    

4.00%, 04/13/28 (j)

   57,000    57,823 

4.38%, 04/15/38 (j)

   166,000    159,348 

4.60%, 04/15/48 (j)

   77,000    73,950 

4.75%, 04/15/58 (j)

   43,000    40,877 

5.55%, 01/23/49 (j)

   199,000    218,399 

Anthem Inc.
3.30%, 01/15/23 (j)

   90,000    90,960 

ANZ New Zealand International Ltd.
3.45%, 01/21/28 (b)(j)

   200,000    198,464 

Apache Corp.

    

4.38%, 10/15/28 (j)

   34,000    34,275 

5.10%, 09/01/40 (j)

   55,000    54,307 

Apple Inc.

    

2.50%, 02/09/22 (j)

   41,000    41,005 

2.85%, 05/11/24 (j)

   94,000    94,462 

3.35%, 02/09/27 (j)

   52,000    53,051 

3.45%, 02/09/45 (j)

   130,000    123,757 

3.85%, 08/04/46 (j)

   96,000    97,182 

4.25%, 02/09/47 (j)

   58,000    62,149 

Applied Materials Inc.
4.35%, 04/01/47 (j)

   76,000    79,809 

Aptiv PLC
4.40%, 10/01/46 (j)

   77,000    69,005 

ArcelorMittal
4.55%, 03/11/26

   108,000    110,739 

Archer-Daniels-Midland Co.
2.50%, 08/11/26 (j)

   43,000    41,265 

Ascension Health
4.85%, 11/15/53 (j)

   52,000    60,559 

AstraZeneca PLC

    

2.38%, 11/16/20 (j)

   35,000    34,788 

3.50%, 08/17/23 (j)

   71,000    72,451 

4.00%, 01/17/29 (j)

   46,000    47,946 

4.38%, 08/17/48 (j)

   22,000    22,759 

AT&T Inc.

    

3.00%, 06/30/22 (j)

   76,000    76,141 

3.80%, 03/15/22 (j)

   145,000    148,706 

4.35%, 03/01/29 (j)

   186,000    189,977 

4.45%, 04/01/24 (j)

   82,000    86,028 

4.50%, 05/15/35 (j)

   127,000    124,878 

4.55%, 03/09/49 (j)

   55,000    51,927 

4.75%, 05/15/46 (j)

   66,000    64,481 

4.80%, 06/15/44 (j)

   81,000    79,111 

4.85%, 03/01/39 (j)

   225,000    226,325 

5.15%, 11/15/46 (j)

   17,000    17,385 

5.25%, 03/01/37 (j)

   97,000    102,048 

5.45%, 03/01/47 (j)

   110,000    117,453 

Athene Holding Ltd.
4.13%, 01/12/28 (j)

   78,000    74,872 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Active Core Bond Fund  31 


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Avangrid Inc.
3.15%, 12/01/24 (j)

   157,000    155,074 

Bank of America Corp.
3.25%, 10/21/27 (j)

   4,000    3,916 

3.95%, 04/21/25 (j)

   94,000    95,776 

4.18%, 11/25/27 (j)

   136,000    138,059 

4.25%, 10/22/26 (j)

   137,000    140,355 

Bank of America Corp. (2.37% fixed rate until 07/21/20; 0.66% + 3 month USD LIBOR thereafter)
2.37%, 07/21/21 (h)(j)

   119,000    118,232 

Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter)
3.12%, 01/20/23 (h)(j)

   106,000    106,270 

Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR thereafter)
3.37%, 01/23/26 (h)(j)

   159,000    158,948 

Bank of America Corp. (3.42% fixed rate until 12/20/27; 1.04% + 3 month USD LIBOR thereafter)
3.42%, 12/20/28 (h)(j)

   134,000    131,151 

Bank of America Corp. (3.46% fixed rate until 03/15/24; 0.97% + 3 month USD LIBOR thereafter)
3.46%, 03/15/25 (h)(j)

   220,000    222,570 

Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter)
3.95%, 01/23/49 (h)(j)

   75,000    73,123 

Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter)
4.24%, 04/24/38 (h)(j)

   133,000    136,221 

Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.31% + 3 month USD LIBOR thereafter)
4.27%, 07/23/29 (h)(j)

   51,000    53,069 

Bank of America Corp. (4.33% fixed rate until 03/15/49; 1.52% + 3 month USD LIBOR thereafter)
4.33%, 03/15/50 (h)(j)

   58,000    60,172 
   Principal
Amount ($)
   Fair
Value
$
 

Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR thereafter)
4.44%, 01/20/48 (h)(j)

   66,000    68,631 

Bank of Montreal (4.34% fixed rate until 10/05/23; 1.28% + USD 5 year Swap Rate thereafter)
4.34%, 10/05/28 (h)(j)

   155,000    158,092 

Barclays PLC
4.84%, 05/09/28 (j)

   200,000    198,072 

Barclays PLC (4.97% fixed rate until 05/16/28; 1.90% + 3 month USD LIBOR thereafter)
4.97%, 05/16/29 (h)(j)

   200,000    206,482 

Barrick North America Finance LLC
5.70%, 05/30/41 (j)

   18,000    20,536 

BAT Capital Corp.
2.30%, 08/14/20 (j)

   301,000    297,945 

2.76%, 08/15/22 (j)

   94,000    92,413 

3.56%, 08/15/27 (j)

   67,000    63,437 

4.39%, 08/15/37 (j)

   40,000    35,837 

4.54%, 08/15/47 (j)

   64,000    55,978 

Baxalta Inc.
2.88%, 06/23/20 (j)

   32,000    31,964 

Bayer US Finance II LLC
3.50%, 06/25/21 (b)(j)

   405,000    406,976 

Becton Dickinson and Co.
2.89%, 06/06/22 (j)

   90,000    89,456 

3.70%, 06/06/27 (j)

   135,000    134,478 

3.73%, 12/15/24 (j)

   4,000    4,061 

4.67%, 06/06/47 (j)

   12,000    12,548 

4.69%, 12/15/44 (j)

   12,000    12,356 

Berkshire Hathaway Energy Co.
2.40%, 02/01/20 (j)

   253,000    252,471 

3.25%, 04/15/28 (j)

   62,000    61,642 

3.80%, 07/15/48 (j)

   75,000    71,633 

6.13%, 04/01/36 (j)

   89,000    111,796 

Berkshire Hathaway Finance Corp.
4.25%, 01/15/49 (j)

   59,000    61,826 

Biogen Inc.
2.90%, 09/15/20 (j)

   37,000    37,017 

BNP Paribas S.A.
5.00%, 01/15/21 (j)

   47,000    48,839 

BNP Paribas S.A. (5.13% fixed rate until 11/15/27; 2.84% + USD 5 year Swap Rate thereafter)
5.13%, 12/31/99 (b)(h)(j)

   200,000    175,978 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

32 State Street Active Core Bond Fund


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Boston Scientific Corp.
4.00%, 03/01/28 (j)

   108,000    111,160 

4.70%, 03/01/49 (j)

   39,000    41,393 

BP Capital Markets America Inc.
3.02%, 01/16/27 (j)

   229,000    224,777 

3.22%, 11/28/23 (j)

   106,000    107,342 

Brighthouse Financial Inc.
3.70%, 06/22/27 (j)

   10,000    9,050 

4.70%, 06/22/47 (j)

   7,000    5,598 

Brixmor Operating Partnership LP
3.90%, 03/15/27 (j)

   116,000    113,971 

Broadcom Corp./Broadcom Cayman Finance Ltd.
2.65%, 01/15/23 (j)

   25,000    24,298 

3.00%, 01/15/22 (j)

   70,000    69,723 

3.13%, 01/15/25 (j)

   29,000    27,720 

3.88%, 01/15/27 (j)

   23,000    21,974 

Brown-Forman Corp.
4.00%, 04/15/38 (j)

   23,000    23,742 

Buckeye Partners LP
5.60%, 10/15/44 (j)

   25,000    23,994 

Bunge Limited Finance Corp.
3.75%, 09/25/27 (j)

   41,000    37,218 

Burlington Northern Santa Fe LLC
4.15%, 12/15/48 (j)

   84,000    88,237 

4.55%, 09/01/44 (j)

   132,000    144,709 

Campbell Soup Co.
3.30%, 03/15/21 (j)

   138,000    138,758 

Canadian Natural Resources Ltd.
3.85%, 06/01/27 (j)

   23,000    23,046 

4.95%, 06/01/47 (j)

   19,000    20,628 

Canadian Pacific Railway Co.
2.90%, 02/01/25 (j)

   43,000    42,291 

Capital One Financial Corp.
3.75%, 07/28/26 (j)

   134,000    130,614 

4.75%, 07/15/21 (j)

   186,000    194,839 

Cardinal Health Inc.
2.62%, 06/15/22 (j)

   45,000    44,414 

3.08%, 06/15/24 (j)

   41,000    40,064 

Caterpillar Financial Services Corp.
2.55%, 11/29/22 (j)

   122,000    121,410 

Caterpillar Inc.
3.80%, 08/15/42 (j)

   31,000    31,482 

CBS Corp.
2.90%, 01/15/27 (j)

   53,000    49,460 

3.70%, 06/01/28 (j)

   45,000    43,870 

Celgene Corp.
3.45%, 11/15/27 (j)

   5,000    4,940 

4.35%, 11/15/47 (j)

   4,000    3,922 

4.55%, 02/20/48 (j)

   72,000    73,067 

5.00%, 08/15/45 (j)

   35,000    37,096 
   Principal
Amount ($)
   Fair
Value
$
 

Cenovus Energy Inc.
4.25%, 04/15/27 (j)

   41,000    40,386 

4.45%, 09/15/42 (j)

   25,000    22,095 

5.40%, 06/15/47 (j)

   12,000    11,952 

CenterPoint Energy Inc.
2.50%, 09/01/22 (j)

   183,000    179,053 

3.60%, 11/01/21 (j)

   88,000    89,355 

Charter Communications Operating LLC/Charter Communications Operating Capital
3.58%, 07/23/20 (j)

   346,000    348,526 

4.91%, 07/23/25 (j)

   43,000    45,381 

5.05%, 03/30/29 (j)

   165,000    173,884 

5.75%, 04/01/48 (j)

   107,000    111,815 

6.38%, 10/23/35 (j)

   15,000    16,703 

6.48%, 10/23/45 (j)

   35,000    39,262 

Chevron Corp.
2.42%, 11/17/20 (j)

   48,000    47,901 

3.19%, 06/24/23 (j)

   74,000    75,701 

Chubb INA Holdings Inc.
4.35%, 11/03/45 (j)

   64,000    69,583 

Church & Dwight Company Inc.
2.45%, 08/01/22 (j)

   44,000    43,320 

Cigna Corp.
3.20%, 09/17/20 (b)(j)

   143,000    143,759 

3.40%, 09/17/21 (b)(j)

   69,000    69,719 

3.75%, 07/15/23 (b)(j)

   72,000    73,754 

4.13%, 11/15/25 (b)(j)

   121,000    125,239 

4.38%, 10/15/28 (b)(j)

   46,000    47,702 

4.80%, 08/15/38 (b)(j)

   42,000    43,207 

4.90%, 12/15/48 (b)(j)

   42,000    43,361 

Cigna Holding Co.

 

3.25%, 04/15/25 (j)

   82,000    81,241 

3.88%, 10/15/47 (j)

   54,000    47,994 

Cimarex Energy Co.

    

3.90%, 05/15/27

   8,000    7,968 

4.38%, 03/15/29

   176,000    181,282 

Cisco Systems Inc.
5.90%, 02/15/39 (j)

   54,000    70,768 

Citibank NA
2.85%, 02/12/21 (j)

   254,000    254,653 

Citigroup Inc.

    

2.70%, 10/27/22 (j)

   93,000    92,109 

2.90%, 12/08/21 (j)

   383,000    382,824 

4.40%, 06/10/25 (j)

   36,000    37,273 

4.45%, 09/29/27 (j)

   54,000    55,472 

4.65%, 07/23/48 (j)

   135,000    144,922 

4.75%, 05/18/46 (j)

   54,000    55,767 

Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter)
2.88%, 07/24/23 (h)(j)

   68,000    67,520 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Active Core Bond Fund  33 


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter)
3.88%, 01/24/39 (h)(j)

   41,000    39,864 

Citigroup Inc. (4.28% fixed rate until 04/24/47; 1.84% + 3 month USD LIBOR thereafter)
4.28%, 04/24/48 (h)(j)

   107,000    109,295 

Citigroup Inc. (5.88% fixed rate until 03/27/20; 4.06% + 3 month USD LIBOR thereafter) 4.06% - 3 mo. USD LIBOR
5.88%, 12/29/49 (h)(j)

   289,000    291,878 

CME Group Inc.
3.75%, 06/15/28 (j)

   53,000    55,755 

CMS Energy Corp.
4.88%, 03/01/44 (j)

   181,000    199,393 

CNA Financial Corp.

    

3.45%, 08/15/27 (j)

   43,000    41,838 

5.88%, 08/15/20 (j)

   200,000    207,992 

CNH Industrial Capital LLC

    

3.38%, 07/15/19 (j)

   85,000    85,067 

4.38%, 11/06/20 (j)

   59,000    60,031 

4.88%, 04/01/21 (j)

   74,000    76,113 

CNH Industrial N.V.
3.85%, 11/15/27 (j)

   132,000    126,373 

CNOOC Nexen Finance 2014 ULC
4.25%, 04/30/24 (j)

   233,000    243,434 

Columbia Pipeline Group Inc.
3.30%, 06/01/20 (j)

   66,000    66,263 

Comcast Corp.

    

3.20%, 07/15/36 (j)

   90,000    81,617 

3.97%, 11/01/47 (j)

   228,000    220,481 

4.15%, 10/15/28 (j)

   187,000    196,879 

4.25%, 10/15/30 (j)

   81,000    86,002 

4.60%, 08/15/45 (j)

   32,000    34,000 

4.70%, 10/15/48 (j)

   48,000    52,108 

CommonSpirit Health
4.35%, 11/01/42 (j)

   129,000    122,421 

Commonwealth Bank of Australia
4.32%, 01/10/48 (b)(j)

   202,000    193,534 

Conagra Brands Inc.

    

3.80%, 10/22/21 (j)

   159,000    161,911 

4.30%, 05/01/24

   83,000    85,927 

5.30%, 11/01/38 (j)

   46,000    46,437 

5.40%, 11/01/48 (j)

   40,000    40,162 

Conagra Brands Inc. 0.75% + 3 month USD LIBOR
3.51%, 10/22/20 (h)(j)

   117,000    116,849 
   Principal
Amount ($)
   Fair
Value
$
 

Concho Resources Inc.

    

3.75%, 10/01/27 (j)

   36,000    35,720 

4.30%, 08/15/28 (j)

   134,000    138,285 

4.88%, 10/01/47 (j)

   35,000    36,879 

ConocoPhillips Co.
4.30%, 11/15/44 (j)

   90,000    95,926 

Consolidated Edison Company of New York Inc.

    

2.90%, 12/01/26 (j)

   100,000    96,455 

3.88%, 06/15/47 (j)

   51,000    49,845 

Constellation Brands Inc.

    

3.70%, 12/06/26 (j)

   79,000    78,651 

4.50%, 05/09/47 (j)

   76,000    73,713 

Continental Resources Inc.
4.50%, 04/15/23 (j)

   185,000    191,647 

Corning Inc.
4.38%, 11/15/57 (j)

   82,000    75,989 

Corporation Andina de Fomento
2.20%, 07/18/20 (j)

   157,000    155,469 

Credit Suisse Group Funding Guernsey Ltd.
3.80%, 06/09/23 (j)

   275,000    279,191 

Crown Castle International Corp.
5.20%, 02/15/49 (j)

   64,000    67,348 

CSX Corp.
4.50%, 03/15/49 - 08/01/54 (j)

   149,000    154,422 

CubeSmart LP
4.38%, 02/15/29 (j)

   103,000    105,443 

CVS Health Corp.

    

2.25%, 08/12/19 (j)

   143,000    142,703 

3.13%, 03/09/20 (j)

   396,000    397,073 

3.35%, 03/09/21 (j)

   60,000    60,485 

3.70%, 03/09/23 (j)

   278,000    282,526 

3.88%, 07/20/25 (j)

   44,000    44,547 

4.10%, 03/25/25 (j)

   108,000    110,857 

4.30%, 03/25/28 (j)

   64,000    64,899 

4.78%, 03/25/38 (j)

   106,000    104,939 

5.00%, 12/01/24 (j)

   100,000    106,487 

5.05%, 03/25/48 (j)

   102,000    102,723 

5.13%, 07/20/45 (j)

   39,000    39,598 

D.R. Horton Inc.
2.55%, 12/01/20 (j)

   125,000    124,086 

Dell International LLC/EMC Corp.
4.00%, 07/15/24 (b)(j)

   119,000    119,923 

5.30%, 10/01/29 (b)(j)

   88,000    88,975 

5.45%, 06/15/23 (b)(j)

   65,000    69,258 

6.02%, 06/15/26 (b)(j)

   43,000    46,284 

8.10%, 07/15/36 (b)(j)

   11,000    12,911 

8.35%, 07/15/46 (b)(j)

   61,000    73,623 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

34 State Street Active Core Bond Fund


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Deutsche Bank AG
2.70%, 07/13/20 (j)

   105,000    103,868 

3.30%, 11/16/22 (j)

   155,000    150,042 

Devon Energy Corp.
4.00%, 07/15/21 (j)

   245,000    250,071 

5.00%, 06/15/45 (j)

   48,000    50,164 

Diageo Investment Corp.
2.88%, 05/11/22 (j)

   92,000    92,513 

Discover Bank
3.10%, 06/04/20 (j)

   298,000    298,662 

Discovery Communications LLC
2.20%, 09/20/19 (j)

   127,000    126,505 

3.95%, 03/20/28 (j)

   106,000    103,067 

4.95%, 05/15/42 (j)

   21,000    19,708 

5.00%, 09/20/37 (j)

   35,000    33,980 

Dollar Tree Inc.
4.00%, 05/15/25 (j)

   88,000    89,033 

Dominion Energy Inc.
2.58%, 07/01/20 (j)

   98,000    97,514 

DowDuPont Inc.
3.77%, 11/15/20 (j)

   288,000    293,230 

5.32%, 11/15/38 (j)

   35,000    38,891 

5.42%, 11/15/48 (j)

   35,000    39,478 

DTE Energy Co.
2.85%, 10/01/26 (j)

   100,000    95,152 

3.85%, 12/01/23 (j)

   50,000    51,548 

Duke Energy Carolinas LLC
3.95%, 03/15/48 (j)

   57,000    58,256 

Duke Energy Corp.
1.80%, 09/01/21 (j)

   121,000    118,153 

3.55%, 09/15/21 (j)

   73,000    74,087 

3.75%, 09/01/46 (j)

   39,000    36,494 

Duke Energy Progress LLC
4.15%, 12/01/44 (j)

   75,000    78,023 

Duke Realty LP
3.25%, 06/30/26 (j)

   58,000    57,128 

3.38%, 12/15/27 (j)

   39,000    38,418 

Duquesne Light Holdings Inc.
3.62%, 08/01/27 (b)(j)

   70,000    68,835 

Eastman Chemical Co.
3.50%, 12/01/21 (j)

   92,000    93,248 

3.60%, 08/15/22 (j)

   35,000    35,653 

4.50%, 01/15/21 (j)

   183,000    186,773 

Eaton Corp.
3.10%, 09/15/27 (j)

   93,000    91,455 

Ecolab Inc.
3.25%, 12/01/27 (j)

   37,000    37,167 

3.95%, 12/01/47 (j)

   56,000    57,103 

Edison International
4.13%, 03/15/28

   37,000    34,931 

EI du Pont de Nemours & Co. 0.53% + 3 month USD LIBOR
3.27%, 05/01/20 (h)(j)

   141,000    141,369 
   Principal
Amount ($)
   Fair
Value
$
 

Electricite de France S.A.
4.50%, 09/21/28 (b)(j)

   200,000    206,396 

Eli Lilly & Co.
3.38%, 03/15/29 (j)

   101,000    103,642 

3.70%, 03/01/45 (j)

   12,000    11,883 

3.95%, 03/15/49 (j)

   89,000    91,066 

Emera US Finance LP
4.75%, 06/15/46 (j)

   11,000    11,408 

Enbridge Energy Partners LP
5.50%, 09/15/40 (j)

   14,000    15,672 

Encana Corp.
3.90%, 11/15/21 (j)

   112,000    114,268 

Energy Transfer Operating LP
4.25%, 03/15/23 (j)

   90,000    91,996 

4.50%, 04/15/24 (j)

   164,000    171,485 

4.95%, 06/15/28 (j)

   33,000    34,603 

5.88%, 01/15/24 (j)

   316,000    345,514 

6.13%, 12/15/45 (j)

   24,000    25,871 

6.50%, 02/01/42 (j)

   87,000    97,545 

7.50%, 10/15/20 (j)

   157,000    166,885 

Energy Transfer Partners LP/Regency Energy Finance Corp.
4.50%, 11/01/23 (j)

   59,000    61,447 

Entergy Louisiana LLC
3.05%, 06/01/31 (j)

   54,000    51,497 

4.00%, 03/15/33 (j)

   57,000    59,790 

Enterprise Products Operating LLC
4.25%, 02/15/48 (j)

   145,000    141,436 

Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter)
5.25%, 08/16/77 (h)(j)

   43,000    39,712 

EOG Resources Inc.
4.10%, 02/01/21 (j)

   138,000    141,300 

4.15%, 01/15/26 (j)

   25,000    26,475 

5.10%, 01/15/36 (j)

   39,000    43,957 

EPR Properties
4.95%, 04/15/28 (j)

   58,000    60,275 

EQM Midstream Partners LP
4.75%, 07/15/23 (j)

   21,000    21,412 

5.50%, 07/15/28 (j)

   21,000    21,217 

ERP Operating LP
4.50%, 07/01/44 (j)

   39,000    42,003 

Exelon Corp.
3.50%, 06/01/22 (j)

   103,000    104,058 

4.45%, 04/15/46 (j)

   77,000    79,077 

Express Scripts Holding Co.
3.40%, 03/01/27 (j)

   43,000    41,881 

Exxon Mobil Corp.
2.22%, 03/01/21 (j)

   91,000    90,553 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Active Core Bond Fund  35 


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

FedEx Corp.
4.10%, 02/01/45 (j)

   151,000    136,336 

Fifth Third Bancorp
3.65%, 01/25/24 (j)

   164,000    167,902 

FirstEnergy Corp.
3.90%, 07/15/27 (j)

   12,000    12,170 

FirstEnergy Transmission LLC
4.55%, 04/01/49 (b)(j)

   90,000    91,996 

Florida Power & Light Co.
4.13%, 02/01/42 (j)

   81,000    85,837 

Ford Motor Co.
4.35%, 12/08/26 (j)

   52,000    48,185 

Ford Motor Credit Company LLC
3.10%, 05/04/23 (j)

   211,000    197,369 

3.22%, 01/09/22 (j)

   248,000    240,820 

3.34%, 03/28/22 (j)

   200,000    193,946 

8.13%, 01/15/20 (j)

   225,000    233,062 

General Dynamics Corp.
2.13%, 08/15/26 (j)

   106,000    100,087 

2.88%, 05/11/20

   138,000    138,486 

3.00%, 05/11/21 (j)

   189,000    190,692 

3.50%, 05/15/25 (j)

   98,000    101,507 

General Mills Inc.
3.20%, 04/16/21 (j)

   126,000    127,092 

3.70%, 10/17/23 (j)

   88,000    90,185 

4.55%, 04/17/38 (j)

   47,000    46,545 

4.70%, 04/17/48 (j)

   16,000    15,971 

General Motors Co.
5.20%, 04/01/45 (j)

   13,000    11,580 

5.40%, 04/01/48 (j)

   35,000    32,039 

General Motors Financial Company Inc.
2.35%, 10/04/19 (j)

   151,000    150,612 

3.20%, 07/13/20 (j)

   62,000    62,150 

3.45%, 01/14/22 - 04/10/22 (j)

   316,000    316,453 

3.55%, 04/09/21 (j)

   180,000    180,968 

5.25%, 03/01/26 (j)

   80,000    82,514 

Georgia-Pacific LLC
3.60%, 03/01/25 (b)(j)

   440,000    449,539 

Gilead Sciences Inc.
2.55%, 09/01/20 (j)

   45,000    44,940 

2.95%, 03/01/27 (j)

   25,000    24,283 

3.50%, 02/01/25 (j)

   44,000    44,822 

3.65%, 03/01/26 (j)

   80,000    81,589 

4.15%, 03/01/47 (j)

   105,000    101,172 

4.80%, 04/01/44 (j)

   39,000    40,864 

GlaxoSmithKline Capital Inc.
3.38%, 05/15/23 (j)

   101,000    103,395 

3.63%, 05/15/25 (j)

   98,000    101,338 

GlaxoSmithKline Capital PLC
3.13%, 05/14/21 (j)

   94,000    94,995 

3.38%, 06/01/29 (j)

   225,000    227,441 
   Principal
Amount ($)
   Fair
Value
$
 

Glencore Finance Canada Ltd.
4.95%, 11/15/21 (b)(j)

   64,000    66,495 

Glencore Funding LLC
4.13%, 03/12/24 (b)(j)

   230,000    232,553 

4.88%, 03/12/29 (b)(j)

   92,000    93,005 

Grupo Televisa SAB
5.00%, 05/13/45 (j)

   209,000    204,381 

Halliburton Co.
3.80%, 11/15/25 (j)

   64,000    65,404 

5.00%, 11/15/45 (j)

   53,000    56,390 

Hess Corp.
5.60%, 02/15/41 (j)

   30,000    30,376 

5.80%, 04/01/47 (j)

   17,000    17,689 

Hewlett Packard Enterprise Co.
6.35%, 10/15/45 (j)

   28,000    29,287 

Highwoods Realty LP
4.13%, 03/15/28 (j)

   48,000    48,516 

4.20%, 04/15/29 (j)

   138,000    139,828 

HSBC Holdings PLC
4.25%, 03/14/24 (j)

   248,000    253,409 

HSBC Holdings PLC (3.80% fixed rate until 03/11/24; 1.21% + 3 month USD LIBOR thereafter)
3.80%, 03/11/25 (h)(j)

   238,000    241,653 

HSBC Holdings PLC (4.29% fixed rate until 09/12/25; 1.35% + 3 month USD LIBOR thereafter)
4.29%, 09/12/26 (h)(j)

   205,000    211,129 

HSBC Holdings PLC (6.00% fixed rate until 05/22/27; 3.75% + USD 5 yearMid-Market Swap Rate thereafter)
6.00%, 12/31/99 (h)(j)

   220,000    216,275 

HSBC Holdings PLC (6.50% fixed rate until 03/23/28; 3.61% + USD 5 yearMid-Market Swap Rate thereafter)
6.50%, 12/31/99 (h)(j)

   160,000    158,570 

Hyundai Capital America
3.10%, 04/05/22 (b)(j)

   56,000    55,508 

Ingersoll-Rand Luxembourg Finance S.A.
3.50%, 03/21/26 (j)

   136,000    137,344 

3.55%, 11/01/24 (j)

   88,000    89,711 

3.80%, 03/21/29 (j)

   136,000    138,036 

Intel Corp.
2.60%, 05/19/26 (j)

   114,000    111,549 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

36 State Street Active Core Bond Fund


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

International Business Machines Corp.
3.30%, 01/27/27

   109,000    110,061 

International Paper Co.
4.40%, 08/15/47 (j)

   67,000    62,669 

Interstate Power & Light Co.
3.40%, 08/15/25 (j)

   82,000    81,653 

Jabil Inc.
3.95%, 01/12/28 (j)

   80,000    74,455 

Jefferies Group LLC
5.13%, 01/20/23 (j)

   58,000    61,416 

6.50%, 01/20/43 (j)

   70,000    72,969 

Johnson & Johnson
3.63%, 03/03/37 (j)

   43,000    43,550 

Johnson Controls International PLC
4.50%, 02/15/47 (j)

   31,000    29,619 

JPMorgan Chase & Co.
2.55%, 10/29/20 (j)

   196,000    195,485 

3.30%, 04/01/26 (j)

   202,000    202,360 

3.63%, 12/01/27 (j)

   51,000    50,680 

JPMorgan Chase & Co. (3.51% fixed rate until 01/23/28; 0.95% + 3 month USD LIBOR thereafter)
3.51%, 01/23/29 (h)(j)

   103,000    102,012 

JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter)
3.88%, 07/24/38 (h)(j)

   144,000    140,986 

JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter)
3.90%, 01/23/49 (h)(j)

   95,000    91,943 

JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter)
3.96%, 01/29/27 (h)(j)

   164,000    169,274 

JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter)
4.01%, 04/23/29 (h)(j)

   82,000    84,097 

JPMorgan Chase & Co. (4.03% fixed rate until 07/24/47; 1.46% + 3 month USD LIBOR thereafter)
4.03%, 07/24/48 (h)(j)

   102,000    100,463 
   Principal
Amount ($)
   Fair
Value
$
 

JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter)
6.10%, 10/29/49 (h)(j)

   183,000    192,071 

JPMorgan Chase & Co.
3.47% + 3 month USD LIBOR
6.22%, 12/29/49 (h)(j)

   83,000    83,340 

Keurig Dr Pepper Inc.
3.55%, 05/25/21 (b)(j)

   249,000    251,709 

4.06%, 05/25/23 (b)(j)

   102,000    104,942 

4.50%, 11/15/45 (j)

   42,000    38,663 

4.60%, 05/25/28 (b)(j)

   32,000    33,358 

Kinder Morgan Energy Partners LP
3.50%, 03/01/21 (j)

   284,000    286,610 

4.70%, 11/01/42 (j)

   17,000    16,510 

5.30%, 09/15/20 (j)

   66,000    68,184 

6.38%, 03/01/41 (j)

   41,000    47,436 

Kinder Morgan Inc.
3.05%, 12/01/19 (j)

   54,000    54,024 

4.30%, 03/01/28 (j)

   52,000    53,745 

5.05%, 02/15/46 (j)

   41,000    41,979 

5.55%, 06/01/45 (j)

   35,000    38,217 

Kraft Heinz Foods Co.
2.80%, 07/02/20 (j)

   115,000    114,750 

4.38%, 06/01/46 (j)

   48,000    41,532 

L3 Technologies Inc.
3.85%, 12/15/26 (j)

   76,000    77,243 

Lam Research Corp.
4.00%, 03/15/29 (j)

   134,000    136,700 

Liberty Property LP
4.38%, 02/01/29 (j)

   78,000    81,280 

Lincoln National Corp.
3.63%, 12/12/26 (j)

   38,000    38,155 

4.35%, 03/01/48 (j)

   89,000    88,171 

Lloyds Banking Group PLC (2.91% fixed rate until 11/07/22; 0.81% + 3 month USD LIBOR thereafter)
2.91%, 11/07/23 (h)(j)

   203,000    197,992 

Lockheed Martin Corp.
3.55%, 01/15/26 (j)

   34,000    35,119 

3.80%, 03/01/45 (j)

   33,000    32,402 

4.50%, 05/15/36 (j)

   90,000    97,660 

Lowe’s Companies Inc.
3.70%, 04/15/46 (j)

   46,000    40,762 

4.05%, 05/03/47 (j)

   42,000    39,488 

LYB International Finance BV
4.88%, 03/15/44 (j)

   29,000    28,469 

LYB International Finance II BV
3.50%, 03/02/27 (j)

   34,000    32,691 
 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Active Core Bond Fund  37 


Table of Contents

State Street Active Core Bond Fund

Schedule of Investments, continued — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Marathon Oil Corp.
2.70%, 06/01/20 (j)

   143,000    142,444 

3.85%, 06/01/25 (j)

   44,000    44,559 

Mars Inc.
2.70%, 04/01/25 (b)

   227,000    226,044 

3.20%, 04/01/30 (b)

   82,000    82,112 

3.60%, 04/01/34 (b)

   55,000    55,352 

Marsh & McLennan Companies Inc.
3.50%, 03/10/25 (j)

   78,000    79,970 

4.90%, 03/15/49 (j)

   121,000    132,494 

Masco Corp.
3.50%, 11/15/27 (j)

   29,000    27,524 

McDonald’s Corp.
3.70%, 01/30/26 (j)

   32,000    33,040 

3.80%, 04/01/28 (j)

   84,000    86,671 

4.88%, 12/09/45 (j)

   56,000    60,508 

McKesson Corp.
3.65%, 11/30/20 (j)

   354,000    358,025 

Medtronic Inc.
4.63%, 03/15/45 (j)

   16,000    18,269 

Memorial Sloan-Kettering Cancer Center
4.13%, 07/01/52 (j)

   102,000    105,624 

Merck & Company Inc.
2.75%, 02/10/25 (j)

   77,000    77,109 

3.40%, 03/07/29 (j)

   141,000    144,931 

4.00%, 03/07/49 (j)

   67,000    69,726 

MetLife Inc.
4.05%, 03/01/45 (j)

   15,000    14,949 

4.72%, 12/15/44 (j)

   68,000    74,421 

Microsoft Corp.
2.40%, 08/08/26 (j)

   45,000    43,666 

3.45%, 08/08/36 (j)

   60,000    60,389 

3.50%, 02/12/35 (j)

   60,000    60,875 

3.70%, 08/08/46 (j)

   204,000    208,839 

4.00%, 02/12/55 (j)

   81,000    84,785 

4.10%, 02/06/37 (j)

   18,000    19,575 

4.50%, 02/06/57 (j)

   21,000    24,062 

Mitsubishi UFJ Financial Group Inc.
3.54%, 07/26/21

   226,000    229,119 

Mizuho Financial Group Inc.
2.63%, 04/12/21 (b)(j)

   442,000    439,264 

Mizuho Financial Group Inc. (3.92% fixed rate until 09/11/23; 1.00% + 3 month USD LIBOR thereafter)
3.92%, 09/11/24 (h)(j)

   205,000    210,939 

Molson Coors Brewing Co.
2.10%, 07/15/21 (j)

   161,000    157,815 

4.20%, 07/15/46 (j)

   42,000    37,288 
   Principal
Amount ($)
   Fair
Value
$
 

Morgan Stanley
2.63%, 11/17/21 (j)

   299,000    297,221 

2.65%, 01/27/20 (j)

   66,000    65,949 

2.75%, 05/19/22 (j)

   275,000    273,317 

3.70%, 10/23/24 (j)

   33,000    33,632 

3.95%, 04/23/27 (j)

   242,000    241,806 

4.10%, 05/22/23 (j)

   87,000    89,563 

Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter)
3.97%, 07/22/38 (h)(j)

   71,000    69,455 

Morgan Stanley (4.43% fixed rate until 01/23/29; 1.63% + 3 month USD LIBOR thereafter)
4.43%, 01/23/30 (h)(j)

   85,000    89,599 

MPLX LP
3.38%, 03/15/23 (j)

   47,000    47,352 

4.50%, 04/15/38 (j)

   54,000    51,296 

4.70%, 04/15/48 (j)

   48,000    45,841 

Mylan Inc.
5.20%, 04/15/48 (j)

   46,000    41,537 

National Retail Properties Inc.
4.00%, 11/15/25 (j)

   87,000    89,002 

Newfield Exploration Co.
5.75%, 01/30/22 (j)

   401,000    427,931 

Newmont Mining Corp.
4.88%, 03/15/42 (j)

   72,000    75,412 

Nexen Inc.
6.40%, 05/15/37 (j)

   69,000    88,848 

NextEra Energy Capital Holdings Inc.
3.25%, 04/01/26

   136,000    136,035 

Noble Energy Inc.
3.90%, 11/15/24 (j)

   55,000    55,578 

5.05%, 11/15/44 (j)

   15,000    14,897 

Nordstrom Inc.
5.00%, 01/15/44 (j)

   4,000    3,614 

Norfolk Southern Corp.
3.95%, 10/01/42 (j)

   62,000    60,361 

Northern States Power Co.
2.20%, 08/15/20 (j)

   283,000    281,460 

Northrop Grumman Corp.
2.55%, 10/15/22 (j)

   46,000    45,531 

3.85%, 04/15/45 (j)

   16,000    15,326 

4.03%, 10/15/47 (j)

   27,000    26,636 

Nucor Corp.
3.95%, 05/01/28 (j)

   94,000    97,803 

4.13%, 09/15/22 (j)

   54,000    56,266 

Nutrien Ltd.
4.00%, 12/15/26 (j)

   55,000    55,640 

4.90%, 06/01/43 (j)

   52,000    53,059 

NXP BV/NXP Funding LLC
4.13%, 06/01/21 (b)(j)

   530,000    539,625 
 

 

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 — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Occidental Petroleum Corp.
4.10%, 02/15/47 (j)

   29,000    29,659 

4.20%, 03/15/48 (j)

   58,000    60,768 

Omnicom Group Inc./Omnicom Capital Inc.
3.63%, 05/01/22 (j)

   87,000    88,540 

Oncor Electric Delivery Company LLC
3.80%, 09/30/47 (j)

   20,000    20,105 

Oracle Corp.
2.40%, 09/15/23 (j)

   59,000    57,963 

2.65%, 07/15/26 (j)

   100,000    96,744 

3.80%, 11/15/37 (j)

   32,000    32,052 

4.00%, 07/15/46 - 11/15/47 (j)

   158,000    158,934 

4.13%, 05/15/45 (j)

   20,000    20,410 

Oshkosh Corp.
5.38%, 03/01/25 (j)

   74,000    76,276 

Owens Corning
4.40%, 01/30/48 (j)

   61,000    50,188 

PacifiCorp
6.25%, 10/15/37 (j)

   157,000    202,202 

Packaging Corporation of America
3.40%, 12/15/27 (j)

   43,000    41,784 

PepsiCo Inc.
3.45%, 10/06/46 (j)

   59,000    56,906 

Perrigo Finance Unlimited Co.
3.50%, 03/15/21 (j)

   210,000    207,841 

3.90%, 12/15/24 (j)

   250,000    242,350 

Petroleos Mexicanos
5.35%, 02/12/28 (j)

   45,000    41,744 

5.38%, 03/13/22 (j)

   89,000    90,816 

5.63%, 01/23/46 (j)

   72,000    59,199 

6.35%, 02/12/48 (j)

   45,000    39,668 

6.50%, 03/13/27 (j)

   114,000    114,480 

6.75%, 09/21/47 (j)

   156,000    143,097 

Pfizer Inc.
3.00%, 12/15/26 (j)

   52,000    52,093 

3.20%, 09/15/23 (j)

   71,000    72,681 

3.45%, 03/15/29 (j)

   121,000    124,343 

3.60%, 09/15/28 (j)

   120,000    124,924 

3.90%, 03/15/39 (j)

   56,000    57,526 

4.00%, 03/15/49 (j)

   89,000    92,196 

4.13%, 12/15/46 (j)

   36,000    37,907 

4.40%, 05/15/44 (j)

   22,000    23,850 

Philip Morris International Inc.
4.13%, 03/04/43 (j)

   76,000    71,753 

Phillips 66
3.90%, 03/15/28 (j)

   113,000    115,150 

Phillips 66 Partners LP
3.75%, 03/01/28 (j)

   52,000    51,217 

4.68%, 02/15/45 (j)

   53,000    52,139 

Pioneer Natural Resources Co.
3.95%, 07/15/22

   116,000    119,314 
   Principal
Amount ($)
   Fair
Value
$
 

Plains All American Pipeline LP/PAA Finance Corp.
4.70%, 06/15/44 (j)

   40,000    37,146 

5.75%, 01/15/20 (j)

   103,000    105,054 

PPL Capital Funding Inc.
3.10%, 05/15/26 (j)

   80,000    76,804 

Precision Castparts Corp.
4.38%, 06/15/45 (j)

   81,000    87,672 

Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter)
5.70%, 09/15/48 (h)(j)

   114,000    114,930 

Public Service Company of Colorado
3.70%, 06/15/28 (j)

   106,000    110,424 

QUALCOMM Inc.
2.90%, 05/20/24 (j)

   41,000    40,360 

3.00%, 05/20/22 (j)

   30,000    30,230 

3.25%, 05/20/27 (j)

   4,000    3,907 

4.30%, 05/20/47 (j)

   5,000    4,763 

Realty Income Corp.
3.00%, 01/15/27 (j)

   57,000    55,394 

Regions Financial Corp.
3.80%, 08/14/23 (j)

   100,000    102,766 

Rio Tinto Finance USA PLC
4.13%, 08/21/42 (j)

   51,000    53,432 

Rockwell Automation Inc.
4.20%, 03/01/49 (j)

   69,000    72,821 

Rockwell Automation Inc.
3.50%, 03/01/29

   67,000    68,901 

Rockwell Collins Inc.
3.50%, 03/15/27 (j)

   64,000    63,204 

Rogers Communications Inc.
5.00%, 03/15/44 (j)

   34,000    37,848 

Royal Bank of Scotland Group PLC (4.52% fixed rate until 06/25/23; 1.55% + 3 month USD LIBOR thereafter)
4.52%, 06/25/24 (h)(j)

   201,000    205,543 

RPM International Inc.
3.75%, 03/15/27 (j)

   69,000    66,668 

Ryder System Inc.
2.45%, 09/03/19 (j)

   207,000    206,526 

3.65%, 03/18/24 (j)

   185,000    188,955 

Sabine Pass Liquefaction LLC

 

4.20%, 03/15/28 (j)

   47,000    47,367 

5.00%, 03/15/27 (j)

   32,000    33,939 

Santander Holdings USA Inc.
2.65%, 04/17/20 (j)

   206,000    205,267 

4.40%, 07/13/27 (j)

   52,000    51,752 
 

 

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 — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Santander UK Group Holdings PLC
4.75%, 09/15/25 (b)(j)

   200,000    199,344 

Schlumberger Holdings Corp.
3.63%, 12/21/22 (b)(j)

   380,000    389,937 

Selective Insurance Group Inc.
5.38%, 03/01/49 (j)

   89,000    91,277 

Sempra Energy
3.80%, 02/01/38 (j)

   37,000    33,866 

4.00%, 02/01/48 (j)

   37,000    33,909 

Shell International Finance BV
2.38%, 08/21/22 (j)

   123,000    122,155 

3.75%, 09/12/46 (j)

   33,000    32,960 

4.13%, 05/11/35 (j)

   48,000    51,062 

Shire Acquisitions Investments Ireland DAC
2.88%, 09/23/23 (j)

   6,000    5,921 

3.20%, 09/23/26 (j)

   40,000    38,680 

Siemens Financieringsmaatschappij N.V.
2.00%, 09/15/23 (b)

   257,000    247,887 

Simon Property Group LP
3.38%, 06/15/27 (j)

   74,000    74,471 

Smithfield Foods Inc.
2.70%, 01/31/20 (b)(j)

   66,000    65,600 

Southern California Edison Co.
2.40%, 02/01/22 (j)

   127,000    123,265 

2.90%, 03/01/21 (j)

   152,000    150,492 

4.20%, 03/01/29 (j)

   135,000    137,281 

Southern Company Gas Capital Corp.
4.40%, 05/30/47 (j)

   13,000    13,034 

Southern Copper Corp.
5.88%, 04/23/45 (j)

   76,000    85,382 

Southwestern Electric Power Co.
2.75%, 10/01/26 (j)

   77,000    73,203 

Spectra Energy Partners LP
3.38%, 10/15/26 (j)

   31,000    30,441 

4.50%, 03/15/45 (j)

   16,000    16,133 

Starbucks Corp.
4.00%, 11/15/28 (j)

   64,000    66,854 

Sumitomo Mitsui Financial Group Inc.
2.78%, 07/12/22 (j)

   158,000    157,242 

Suncor Energy Inc.
4.00%, 11/15/47 (j)

   18,000    17,717 

Sunoco Logistics Partners Operations LP
5.30%, 04/01/44 (j)

   62,000    60,436 

Suzano Austria GmbH
6.00%, 01/15/29 (b)(j)

   219,000    232,985 
   Principal
Amount ($)
   Fair
Value
$
 

Syngenta Finance N.V.
3.70%, 04/24/20 (b)(j)

   225,000    225,911 

3.93%, 04/23/21 (b)(j)

   275,000    276,705 

4.44%, 04/24/23 (b)(j)

   200,000    204,206 

5.18%, 04/24/28 (b)(j)

   200,000    203,342 

Sysco Corp.
3.25%, 07/15/27 (j)

   65,000    63,818 

Takeda Pharmaceutical Company Ltd.
3.80%, 11/26/20 (b)(j)

   209,000    211,995 

4.00%, 11/26/21 (b)(j)

   200,000    205,050 

Tampa Electric Co.
4.35%, 05/15/44 (j)

   148,000    150,251 

Target Corp.
2.50%, 04/15/26 (j)

   80,000    77,849 

3.38%, 04/15/29 (j)

   189,000    191,943 

Teck Resources Ltd.
5.40%, 02/01/43 (j)

   160,000    158,222 

Telefonica Emisiones S.A.
4.10%, 03/08/27 (j)

   189,000    191,841 

Teva Pharmaceutical Finance Netherlands III BV
1.70%, 07/19/19 (j)

   409,000    406,341 

2.20%, 07/21/21 (j)

   64,000    60,929 

Texas Instruments Inc.
3.88%, 03/15/39 (j)

   77,000    80,098 

4.15%, 05/15/48

   47,000    50,534 

The Allstate Corp.
4.20%, 12/15/46 (j)

   81,000    83,645 

The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter)
5.75%, 08/15/53 (h)(j)

   133,000    135,060 

The Bank of New York Mellon Corp. (2.66% fixed rate until 05/16/22; 0.63% + 3 month USD LIBOR thereafter)
2.66%, 05/16/23 (h)(j)

   233,000    231,714 

The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter)
4.63%, 12/29/49 (h)(j)

   93,000    88,038 

The Bank of Nova Scotia (4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR thereafter)
4.65%, 12/31/99 (h)(j)

   118,000    108,613 

The Boeing Co.
3.25%, 03/01/28 (j)

   61,000    61,188 

3.55%, 03/01/38 (j)

   62,000    59,624 
 

 

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 — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

The Cleveland Electric Illuminating Co.
4.55%, 11/15/30 (b)(j)

   226,000    237,759 

The Dow Chemical Co.
4.25%, 10/01/34 (j)

   89,000    87,014 

5.55%, 11/30/48 (b)(j)

   54,000    60,245 

The George Washington University
4.13%, 09/15/48 (j)

   84,000    87,591 

The Goldman Sachs Group Inc.
3.50%, 11/16/26 (j)

   185,000    182,116 

3.85%, 01/26/27 (j)

   123,000    123,482 

4.25%, 10/21/25 (j)

   4,000    4,093 

5.15%, 05/22/45 (j)

   52,000    54,680 

The Goldman Sachs Group Inc. (2.88% fixed rate until 10/31/21; 0.82% + 3 month USD LIBOR thereafter)
2.88%, 10/31/22 (h)(j)

   123,000    122,062 

The Goldman Sachs Group Inc. (2.91% fixed rate until 06/05/22; 1.05% + 3 month USD LIBOR thereafter)
2.91%, 06/05/23 (h)(j)

   147,000    145,326 

The Goldman Sachs Group Inc. (3.81% fixed rate until 04/23/28; 1.16% + 3 month USD LIBOR thereafter)
3.81%, 04/23/29 (h)(j)

   125,000    123,830 

The Goldman Sachs Group Inc. (4.02% fixed rate until 10/31/37; 1.37% + 3 month USD LIBOR thereafter)
4.02%, 10/31/38 (h)(j)

   56,000    53,331 

The Goldman Sachs Group Inc. (4.22% fixed rate until 05/01/28; 1.30% + 3 month USD LIBOR thereafter)
4.22%, 05/01/29 (h)(j)

   173,000    176,496 

The Hartford Financial Services Group Inc. 2.13% + 3 month USD LIBOR
4.81%, 02/12/47 (b)(h)(j)

   95,000    82,299 

The Home Depot Inc.
3.35%, 09/15/25

   37,000    38,117 

3.50%, 09/15/56 (j)

   72,000    66,100 

3.90%, 12/06/28 - 06/15/47 (j)

   116,000    119,964 

4.50%, 12/06/48 (j)

   45,000    49,789 

The Interpublic Group of Companies Inc.
3.75%, 10/01/21 (j)

   139,000    141,175 
   Principal
Amount ($)
   Fair
Value
$
 

The Kroger Co.
2.95%, 11/01/21 (j)

   150,000    150,105 

4.65%, 01/15/48 (j)

   40,000    37,234 

The Mosaic Co.
5.63%, 11/15/43 (j)

   16,000    16,970 

The Sherwin-Williams Co.
2.25%, 05/15/20 (j)

   97,000    96,428 

2.75%, 06/01/22 (j)

   36,000    35,777 

3.45%, 06/01/27 (j)

   29,000    28,510 

4.50%, 06/01/47 (j)

   24,000    23,609 

The Southern Co.
3.25%, 07/01/26 (j)

   8,000    7,841 

4.40%, 07/01/46 (j)

   5,000    5,028 

The Toronto-Dominion Bank (3.63% fixed rate until 09/15/26; 2.21% + USD 5 year Swap Rate thereafter)
3.63%, 09/15/31 (h)(j)

   72,000    71,231 

The Walt Disney Co.
3.38%, 11/15/26 (b)

   29,000    29,602 

4.50%, 02/15/21 (b)

   61,000    63,134 

4.75%, 11/15/46 (b)

   17,000    19,682 

6.65%, 11/15/37 (b)

   110,000    151,600 

The Williams Companies Inc.
3.75%, 06/15/27 (j)

   26,000    25,817 

3.90%, 01/15/25 (j)

   31,000    31,643 

4.85%, 03/01/48 (j)

   50,000    49,931 

4.90%, 01/15/45 (j)

   30,000    29,923 

5.40%, 03/04/44 (j)

   15,000    15,884 

Time Warner Cable LLC
4.50%, 09/15/42 (j)

   13,000    11,400 

6.55%, 05/01/37 (j)

   58,000    64,008 

Total Capital International S.A.
3.46%, 02/19/29 (j)

   185,000    189,170 

TransCanada PipeLines Ltd.
4.25%, 05/15/28 (j)

   134,000    139,880 

4.88%, 01/15/26 (j)

   26,000    28,097 

Transcontinental Gas Pipe Line Company LLC
4.00%, 03/15/28 (j)

   52,000    52,999 

TWDC Enterprises 18 Corp.
4.13%, 06/01/44 (j)

   18,000    19,155 

Tyco Electronics Group S.A.
2.35%, 08/01/19 (j)

   266,000    265,279 

3.13%, 08/15/27 (j)

   100,000    96,695 

Tyson Foods Inc.
2.65%, 08/15/19 (j)

   38,000    37,956 

4.00%, 03/01/26 (j)

   186,000    190,187 

4.55%, 06/02/47 (j)

   16,000    15,114 

U.S. Bancorp
3.15%, 04/27/27 (j)

   93,000    93,371 
 

 

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 — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

U.S. Bancorp (5.13% fixed rate until 01/15/21; 3.49% + 3 month USD LIBOR thereafter)
5.13%, 12/29/49 (h)(j)

   206,000    209,716 

UBS Group Funding Switzerland AG (2.86% fixed rate until 08/15/22; 0.95% + 3 month USD LIBOR thereafter)
2.86%, 08/15/23 (b)(h)(j)

   253,000    249,101 

Union Pacific Corp.
3.20%, 06/08/21 (j)

   134,000    135,542 

3.50%, 06/08/23 (j)

   105,000    107,484 

3.60%, 09/15/37 (j)

   22,000    20,904 

3.70%, 03/01/29 (j)

   185,000    189,986 

4.10%, 09/15/67 (j)

   36,000    33,303 

4.30%, 03/01/49 (j)

   53,000    54,669 

United Technologies Corp.
3.65%, 08/16/23 (j)

   119,000    122,119 

3.95%, 08/16/25 (j)

   46,000    47,799 

4.13%, 11/16/28 (j)

   22,000    22,876 

4.15%, 05/15/45 (j)

   60,000    58,852 

4.45%, 11/16/38 (j)

   47,000    48,749 

4.50%, 06/01/42 (j)

   42,000    43,353 

UnitedHealth Group Inc.
4.45%, 12/15/48 (j)

   202,000    219,021 

4.75%, 07/15/45 (j)

   32,000    36,040 

Vale Overseas Ltd.
4.38%, 01/11/22 (j)

   60,000    61,097 

6.25%, 08/10/26 (j)

   92,000    100,448 

Vale S.A.
5.63%, 09/11/42 (j)

   19,000    18,985 

Valero Energy Corp.
4.00%, 04/01/29

   226,000    228,332 

Valero Energy Partners LP
4.38%, 12/15/26 (j)

   122,000    126,365 

Ventas Realty LP
3.25%, 10/15/26 (j)

   96,000    93,056 

Verizon Communications Inc.
3.38%, 02/15/25 (j)

   80,000    81,088 

3.88%, 02/08/29 (j)

   34,000    34,885 

4.33%, 09/21/28 (j)

   88,000    93,107 

4.40%, 11/01/34 (j)

   46,000    47,920 

4.52%, 09/15/48 (j)

   59,000    60,509 

4.67%, 03/15/55 (j)

   60,000    61,174 

4.86%, 08/21/46 (j)

   347,000    369,385 

5.01%, 04/15/49 (j)

   33,000    35,947 

5.25%, 03/16/37 (j)

   55,000    61,954 

Viacom Inc.
3.45%, 10/04/26 (j)

   62,000    59,362 

4.38%, 03/15/43 (j)

   54,000    48,564 

5.25%, 04/01/44 (j)

   13,000    13,021 

Virginia Electric & Power Co.
4.00%, 11/15/46 (j)

   56,000    56,181 
   Principal
Amount ($)
   Fair
Value
$
 

Visa Inc.
3.15%, 12/14/25 (j)

   23,000    23,347 

4.30%, 12/14/45 (j)

   79,000    87,052 

Vodafone Group PLC
4.38%, 05/30/28 (j)

   77,000    78,254 

5.25%, 05/30/48 (j)

   37,000    36,928 

Volkswagen Group of America Finance LLC
4.00%, 11/12/21 (b)(j)

   400,000    407,752 

Vornado Realty LP
3.50%, 01/15/25 (j)

   44,000    43,574 

Vulcan Materials Co.
3.90%, 04/01/27 (j)

   47,000    46,618 

Wabtec Corp.
3.45%, 11/15/26

   85,000    78,809 

Walgreen Co.
4.40%, 09/15/42 (j)

   39,000    35,587 

Walmart Inc.
3.63%, 12/15/47 (j)

   46,000    45,457 

3.70%, 06/26/28 (j)

   102,000    107,338 

3.95%, 06/28/38 (j)

   49,000    51,450 

4.05%, 06/29/48 (j)

   61,000    64,990 

Warner Media LLC
5.35%, 12/15/43 (j)

   55,000    58,110 

WEC Energy Group Inc.
3.55%, 06/15/25 (j)

   101,000    103,005 

Wells Fargo & Co.
3.90%, 05/01/45 (j)

   5,000    4,957 

4.15%, 01/24/29 (j)

   167,000    174,535 

4.75%, 12/07/46 (j)

   270,000    282,242 

Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter)
5.88%, 12/29/49 (h)(j)

   110,000    117,201 

Wells Fargo & Co. (5.90% fixed rate until 06/15/24; 3.11% + 3 month USD LIBOR thereafter)
5.90%, 12/29/49 (h)(j)

   94,000    96,577 

Wells Fargo & Co. 3.77% + 3 month USD LIBOR
6.38%, 03/29/49 (h)(j)

   156,000    157,326 

Wells Fargo Bank NA
2.60%, 01/15/21 (j)

   514,000    512,237 

Western Midstream Operating LP
4.00%, 07/01/22 (j)

   152,000    154,204 

5.38%, 06/01/21 (j)

   24,000    24,885 

Willis North America Inc.
3.60%, 05/15/24 (j)

   82,000    82,455 

WPP Finance 2010
3.75%, 09/19/24 (j)

   64,000    63,044 

WRKCo Inc.
3.00%, 09/15/24 (j)

   64,000    62,221 
 

 

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 — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
   Fair
Value
$
 
    

Xilinx Inc.
2.95%, 06/01/24 (j)

   52,000    51,576 

Zoetis Inc.
3.00%, 09/12/27 (j)

   29,000    27,861 

3.90%, 08/20/28 (j)

   71,000    72,731 
    

 

 

 
   70,245,831 
    

 

 

 

Non-Agency Collateralized Mortgage Obligations - 2.6%

 

BANK 2017-BNK4
4.52%, 04/15/52 (c)(h)

   119,000    123,636 

BANK 2018-BNK11
4.36%, 03/15/61 (h)(j)

   123,000    128,524 

BX Commercial Mortgage Trust2018-IND 0.75% + 1 month USD LIBOR
3.23%, 11/15/35 (b)(h)(j)

   450,590    449,945 

BXP Trust2017-GM
3.38%, 06/13/39 (b)(j)

   489,000    495,933 

Citigroup Commercial Mortgage Trust2016-P6
3.72%, 12/10/49 (h)(j)

   268,803    279,628 

4.03%, 12/10/49 (h)(j)

   345,016    360,646 

Citigroup Commercial Mortgage Trust2018-C5
4.51%, 06/10/51 (j)

   224,000    236,391 

COMM 2013-LC13 Mortgage Trust
4.56%, 08/10/46 (b)(h)(j)

   175,000    185,038 

COMM 2014-CR14 Mortgage Trust
4.53%, 02/10/47 (h)(j)

   245,000    257,977 

GS Mortgage Securities Trust 2012-GCJ9
1.96%, 11/10/45 (g)(h)(j)

   723,075    42,863 

GS Mortgage Securities Trust2016-GS3
2.85%, 10/10/49 (j)

   379,000    372,397 

GS Mortgage Securities Trust2017-GS5
3.67%, 03/10/50 (j)

   716,046    740,575 

GS Mortgage Securities Trust2018-GS9
4.14%, 03/10/51 (h)(j)

   237,000    249,068 

JP Morgan Chase Commercial Mortgage Securities Corp.2012-LC9
1.52%, 12/15/47 (g)(h)(j)

   783,238    31,691 

JPMBB Commercial Mortgage Securities Trust2013-C12
4.04%, 07/15/45 (h)(j)

   125,000    129,825 

LB-UBS Commercial Mortgage Trust2004-C8
0.32%, 12/15/39 (b)(g)(h)(j)

   36,957    23 
   Principal
Amount ($)
   Fair
Value
$
 

LB-UBS Commercial Mortgage Trust2007-C6
6.11%, 07/15/40 (b)(j)

   7,582    7,611 

6.11%, 07/15/40 (h)(j)

   3,860    3,874 

MASTR Alternative Loan Trust2003-5
5.00%, 08/25/18 (g)**

   1,117     

Morgan Stanley Bank of America Merrill Lynch Trust2015-C21
0.93%, 03/15/48 (g)(h)(j)

   3,768,487    158,300 

Morgan Stanley Capital I Trust 2006-IQ11
6.24%, 10/15/42 (h)(j)

   270,000    275,024 

Morgan Stanley Capital I Trust2006-T21
5.27%, 10/12/52 (h)

   10,484    10,523 

UBS Commercial Mortgage Trust2018-C12
4.79%, 08/15/51 (h)(j)

   189,000    203,467 

Wells Fargo Commercial Mortgage Trust2015-C26
1.23%, 02/15/48 (g)(h)(j)

   3,013,991    164,506 

Wells Fargo Commercial Mortgage Trust2018-AUS
4.06%, 07/17/36 (b)(h)(j)

   234,000    245,296 

WFRBS Commercial Mortgage Trust2013-C17
4.26%, 12/15/46 (j)

   240,000    250,940 

WFRBS Commercial Mortgage Trust 2014-LC14
4.35%, 03/15/47 (h)(j)

   544,000    571,377 
    

 

 

 
   5,975,078 
    

 

 

 

Sovereign Bonds - 0.8%

 

Government of Chile
3.86%, 06/21/47 (j)

   200,000    203,896 

Government of Colombia
5.00%, 06/15/45 (j)

   200,000    210,044 

Government of Mexico
4.60%, 02/10/48 (j)

   202,000    195,180 

4.75%, 03/08/44 (j)

   240,000    235,836 

Government of Peru
5.63%, 11/18/50 (j)

   113,000    145,511 

Government of Philippines
3.95%, 01/20/40 (j)

   200,000    210,350 

Government of Qatar
3.38%, 03/14/24 (b)(j)

   200,000    202,320 

4.82%, 03/14/49 (b)(j)

   235,000    247,657 

Government of Uruguay
5.10%, 06/18/50 (j)

   117,568    125,636 
    

 

 

 
   1,776,430 
    

 

 

 
 

 

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 — March 31, 2019 (Unaudited)

 

   Principal
Amount ($)
or Shares
   Fair
Value
$
 
    

Municipal Bonds and Notes - 0.6%

 

American Municipal Power Inc.
6.27%, 02/15/50 (j)

   105,000    136,817 

Metropolitan St. Louis Sewer District
5.00%, 05/01/47 (j)

   325,000    378,960 

Port Authority of New York & New Jersey
4.46%, 10/01/62 (j)

   250,000    280,082 

State of California
4.60%, 04/01/38 (j)

   165,000    175,784 

5.70%, 11/01/21 (j)

   290,000    314,192 

State of Illinois 5.10%, 06/01/33 (j)

   100,000    98,262 

The University of Texas System
3.35%, 08/15/47 (j)

   95,000    90,449 
    

 

 

 
   1,474,546 
    

 

 

 
Total Bonds and Notes
(Cost $221,177,615)

 

   224,841,193 
    

 

 

 
Domestic Equity - 0.1%

 

Preferred Stock - 0.1%

 

Wells Fargo & Co. 3.09% + 3 month USD LIBOR
(Cost $214,450) (h)(j)

   8,578    223,457 
    

 

 

 
   Principal
Amount ($)
   Fair
Value
$
 
Purchased Options - 0.0%*

 

10 Yr. U.S. Treasury Note Futures Options (Strike price 123.75 USD, expiration date 04/26/2019)
(Cost $33,730)

   143,000    44,688 
    

 

 

 
Total Investments in Securities
(Cost $221,425,795)

 

   225,109,338 
    

 

 

 
Short-Term Investments - 22.9%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 2.43%
(Cost $52,013,635) (d)(e)(j)

   52,013,635    52,013,635 
    

 

 

 
Total Investments
(Cost $273,439,430)

 

   277,122,973 
Liabilities in Excess of Other Assets,net - (21.9)%

 

   (49,871,504
    

 

 

 
NET ASSETS - 100.0%

 

   227,251,469 
    

 

 

 
 

Other Information:

Centrally Cleared Credit Default Swaps - Sell Protection

 

Reference
Entity
 Counterparty Notional
Amount
(000s omitted)
  Contract
Annual
Fixed Rate/
Payment
Frequency
  Termination
Date
  Market
Value
  Unamortized
Upfront
Payments
Received
  Unrealized
Appreciation
 

Markit CDX North America High Yield Index

 Intercontinental Exchange $7,938   5.00%/Quarterly   06/20/24  $527,617  $496,914  $30,703 
       

 

 

 

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
Depreciation
 

CME Group, Inc.

 $9,486   Pays/Quarterly  

3 Month U.S. Dollar LIBOR

  3.05%   11/19/21  $(172,202 $  $(172,202

CME Group, Inc.

  9,488   Pays/Quarterly  

3 Month U.S. Dollar LIBOR

  3.06%   11/19/21   (173,333     (173,333
        

 

 

 
 $(345,535
        

 

 

 

 

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 — March 31, 2019 (Unaudited)

 

The Fund had the following long futures contracts open at March 31, 2019:

 

Description  Expiration
date
   Number
of
Contracts
   Notional
Amount
   Value   Unrealized
Appreciation
 

Ultra Long-Term U.S. Treasury Bond Futures

   June 2019    2   $322,253   $336,000   $13,747 

2 Yr. U.S. Treasury Notes Futures

   June 2019    200    42,446,370    42,618,750    172,380 

5 Yr. U.S. Treasury Notes Futures

   June 2019    56    6,426,107    6,486,375    60,268 

10 Yr. U.S. Treasury Notes Futures

   June 2019    114    13,920,148    14,160,937    240,789 
          

 

 

 
  $487,184 
          

 

 

 

The Fund had the following short futures contracts open at March 31, 2019:

 

Description  Expiration
date
   Number
of
Contracts
   Notional
Amount
   Value   Unrealized
Depreciation
 

U.S. Long Bond Futures

   June 2019    27   $(3,931,756  $(4,040,719  $(108,963

10 Yr. U.S. Treasury Ultra Futures

   June 2019    52    (6,753,400   (6,904,624   (151,224
          

 

 

 
  $(260,187
          

 

 

 

The Fund had the following Purchased Options contracts at March 31, 2019:

 

Description Counterparty  Strike
Price
  Expiration
Date
  Number of
Contracts
  Notional
Amount
  Market
Value
  Premiums
Paid
(Received)
by Fund
  Unrealized
Appreciation/
Depreciation
 

PUTS

        

10 Yr. U.S. Treasury Note Futures - May 2019

  Goldman Sachs & Co.  $123.75   04/26/2019   143  $143,000  $44,688  $33,730  $10,958 

The Fund had the following Written Options contracts at March 31, 2019:

 

Description Counterparty  Strike
Price
  Expiration
Date
  Number of
Contracts
  Notional
Amount
  Market
Value
  Premiums
Paid
(Received)
by Fund
  Unrealized
Appreciation/
Depreciation
 

PUTS

        

10 Yr. U.S. Treasury Note Futures - May 2019

  Goldman Sachs & Co.  $122.00   04/26/2019   (143 $(143,000 $(4,469 $(4,255 $(214

During the period ended March 31, 2019 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

 $7,448  $5,589  $745  $695  $78,693,960  $15,603,672  $4,569,278  $18,974,576 

 

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 — March 31, 2019 (Unaudited)

 

The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of March 31, 2019.

 

Fund  Investments  Level 1  Level 2  Level 3   Total 
State Street Active Core Bond Fund  

Investments in Securities

      
  

U.S. Treasuries

  $  $69,574,882  $   $69,574,882 
  

Agency Mortgage Backed

      67,317,210       67,317,210 
  

Agency Collateralized Mortgage Obligations

      2,180,616       2,180,616 
  

Asset Backed

      6,296,600       6,296,600 
  

Corporate Notes

      70,245,831       70,245,831 
  

Non-Agency Collateralized Mortgage Obligations

      5,975,078       5,975,078 
  

Sovereign Bonds

      1,776,430       1,776,430 
  

Municipal Bonds and Notes

      1,474,546       1,474,546 
  

Preferred Stock

   223,457          223,457 
  

Purchased Options

   44,688          44,688 
  

Short-Term Investments

   52,013,635          52,013,635 
    

 

 

  

 

 

  

 

 

   

 

 

 
  

Total Investments in Securities

  $52,281,780  $224,841,193  $   $277,122,973 
    

 

 

  

 

 

  

 

 

   

 

 

 
  

Other Financial Instruments

      
  

Credit Default Swap Contracts - Unrealized Appreciation

  $  $30,703  $   $30,703 
  

Interest Rate Swap Contracts - Unrealized Depreciation

      (345,535      (345,535
  

Long Futures Contracts - Unrealized Appreciation

   487,184          487,184 
  

Short Futures Contracts - Unrealized Depreciation

   (260,187         (260,187
  

Written Options - Unrealized Depreciation

   (214     (214
    

 

 

  

 

 

  

 

 

   

 

 

 
  

Total Other Financial Instruments

  $226,783  $(314,832 $   $(88,049
    

 

 

  

 

 

  

 

 

   

 

 

 

 

Affiliate Table

 

   Number
of Shares
Held at
9/30/18
  Value At
9/30/18
  Cost of
Purchases
  Proceeds
from
Shares
Sold
  Realized
Gain
(Loss)
  Change in
Unrealized
Appreciation/
Depreciation
  Number
of Shares
Held at
3/31/19
  Value at
3/31/19
  Dividend
Income
 

State Street Institutional U.S. Government Money Market Fund - Class G Shares

  13,336,330  $13,336,330  $96,739,180  $58,061,875  $  $   52,013,635  $52,013,635  $413,849 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

46 State Street Active Core Bond Fund


Table of Contents

State Street Institutional Funds

Notes to Schedule of Investments — March 31, 2019 (Unaudited)

 

The views expressed in this document reflect our judgment as of the publication date and are subject to change at any time without notice. The securities cited may not be representative of the Funds’ future investments and should not be construed as a recommendation to purchase or sell a particular security. See each Fund’s summary prospectus and the Funds’ statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.

 

(a)

Non-income producing security.

(b)

Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At March 31, 2019, these securities amounted to $11,864,904 or 5.22% of the net assets of the State Street Active Core Bond Fund. These securities have been determined to be liquid using procedures established by the State Street Institutional Fund’s 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 Rate Security - Interest rate shown is rate in effect at March 31, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above.

(i)

Step coupon bond.

(j)

At March 31, 2019, all or a portion of this security was pledged to cover collateral requirements for futures, options, swaps and/or TBAs.

Percentages are based on net assets as of March 31, 2019.

*

Less than 0.05%.

**

Less than $0.50.

Abbreviations:

ADR - American Depositary Receipt

LIBOR - London Interbank Offered 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

 

 

See Notes to Schedules of Investments and Notes to Financial Statements.

 

State Street Institutional Funds  47 


Table of Contents

State Street Institutional U.S. Equity Fund

Financial Highlights

Selected data based on a share outstanding throughout the periods indicated

 

  Investment Class 
   3/31/19†  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

 $13.74  $14.95  $13.50  $14.46  $17.32  $15.59 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Income/(loss) from investment operations:

 

    

Net investment income

  0.08  0.16  0.18  0.21  0.21  0.22

Net realized and unrealized gains/(losses) on investments

  (0.58)*   1.95  2.16  1.52  (0.65)*   2.60
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total income/(loss) from investment operations

  (0.50  2.11   2.34   1.73   (0.44  2.82 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Less distributions from:

 

Net investment income

  0.18   0.21   0.21   0.24   0.25   0.22 

Net realized gains

  1.46   3.11   0.68   2.45   2.17   0.87 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total distributions

  1.64   3.32   0.89   2.69   2.42   1.09 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of period

 $11.60  $13.74  $14.95  $13.50  $14.46  $17.32 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Return(a)

  (1.59)%   16.72  18.29  13.29  (3.57)%   18.88

Ratios/Supplemental Data:

 

Net assets, end of period (in thousands)

 $413,780  $522,658  $461,828  $603,060  $615,024  $836,752 

Ratios to average net assets:

 

Net expenses

  0.38%***   0.37  0.37  0.37  0.37  0.36%(b) 

Gross expenses

  0.38%***   0.37  0.37  0.37  0.37  0.36

Net investment income

  1.35%***   1.21  1.29  1.61  1.32  1.36

Portfolio turnover rate

  20  48  80  43  41  38
  Service Class 
   3/31/19†  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

 $14.70  $15.77  $14.18  $15.06  $17.95  $15.96 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Income/(loss) from investment operations:

 

    

Net investment income

  0.07  0.14  0.15  0.19  0.18  0.19

Net realized and unrealized gains/(losses) on investments

  (0.59)*   2.08  2.29  1.58  (0.69)*   2.67
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total income/(loss) from investment operations

  (0.52  2.22   2.44   1.77   (0.51  2.86 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Less distributions from:

 

Net investment income

  0.15   0.18   0.17   0.20   0.21    

Net realized gains

  1.46   3.11   0.68   2.45   2.17   0.87 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total distributions

  1.61   3.29   0.85   2.65   2.38   0.87 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of period

 $12.57  $14.70  $15.77  $14.18  $15.06  $17.95 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Return(a)

  (1.64)%   16.35  18.07  12.96  (3.83)%   18.55

Ratios/Supplemental Data:

 

Net assets, end of period (in thousands)

 $83  $104  $95  $95  $104  $117 

Ratios to average net assets:

 

Net expenses

  0.63%***   0.62  0.62  0.62  0.62  0.61%(b) 

Gross expenses

  0.63%***   0.62  0.62  0.62  0.62  0.61

Net investment income

  1.11%***   0.95  1.04  1.35  1.07  1.11

Portfolio turnover rate

  20  48  80  43  41  38

 

The accompanying Notes are an integral part of these financial statements.

 

48 Financial Highlights


Table of Contents

State Street Institutional Premier Growth Equity Fund

Financial Highlights

Selected data based on a share outstanding throughout the periods indicated

 

  Investment Class 
   3/31/19†  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

 $17.49  $15.69  $14.23  $13.61  $14.96  $12.92 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Income/(loss) from investment operations:

 

Net investment income

  0.05  0.11  0.13  0.13  0.13  0.13

Net realized and unrealized gains/(losses) on investments

  (0.83)*   2.82  2.60  1.88  (0.11)*   2.38
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total income/(loss) from investment operations

  (0.78  2.93   2.73   2.01   0.02   2.51 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Less distributions from:

 

Net investment income

  0.11   0.13   0.12   0.14   0.13   0.11 

Net realized gains

  1.93   1.00   1.15   1.25   1.24   0.36 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total distributions

  2.04   1.13   1.27   1.39   1.37   0.47 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of period

 $14.67  $17.49  $15.69  $14.23  $13.61  $14.96 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Return(a)

  (2.04)%   19.64  21.18  15.25  (0.47)%   19.80

Ratios/Supplemental Data:

 

Net assets, end of period (in thousands)

 $350,564  $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  0.38  0.37%(b) 

Gross expenses

  0.38%***   0.38  0.38  0.38  0.38  0.37

Net investment income

  0.62%***   0.68  0.88  0.95  0.89  0.94

Portfolio turnover rate

  15  21  24  21  21  21
  Service Class 
   3/31/19†  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

 $17.24  $15.48  $14.06  $13.46  $14.82  $12.80 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Income/(loss) from investment operations:

 

Net investment income

  0.03  0.07  0.09  0.09  0.09  0.10

Net realized and unrealized gains/(losses) on investments

  (0.82)*   2.78  2.57  1.87  (0.12)*   2.36
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total income/(loss) from investment operations

  (0.79  2.85   2.66   1.96   (0.03  2.46 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Less distributions from:

 

Net investment income

  0.07   0.09   0.09   0.11   0.09   0.08 

Net realized gains

  1.93   1.00   1.15   1.25   1.24   0.36 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total distributions

  2.00   1.09   1.24   1.36   1.33   0.44 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of period

 $14.45  $17.24  $15.48  $14.06  $13.46  $14.82 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Return(a)

  (2.23)%   19.37  20.84  14.99  (0.77)%   19.56

Ratios/Supplemental Data:

 

Net assets, end of period (in thousands)

 $9,501  $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  0.63  0.62%(b) 

Gross expenses

  0.63%***   0.63  0.63  0.63  0.63  0.62

Net investment income

  0.37%***   0.43  0.62  0.67  0.61  0.69

Portfolio turnover rate

  15  21  24  21  21  21

 

The accompanying Notes are an integral part of these financial statements.

 

Financial Highlights  49 


Table of Contents

State Street InstitutionalSmall-Cap Equity Fund

Financial Highlights

Selected data based on a share outstanding throughout the periods indicated

 

  Investment Class 
   3/31/19†  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

 $21.94  $20.79  $17.96  $17.18  $19.32  $20.19 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Income/(loss) from investment operations:

 

Net investment income

  0.04  0.03  0.05  0.04  0.03  0.01

Net realized and unrealized gains/(losses) on investments

  (2.38)*   2.95  3.42  2.79  (0.08)*   1.12
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total income/(loss) from investment operations

  (2.34  2.98   3.47   2.83   (0.05  1.13 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Less distributions from:

 

Net investment income

  0.04   0.04   0.04   0.03   0.02   0.02 

Net realized gains

  2.86   1.79   0.60   2.02   2.07   1.98 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total distributions

  2.90   1.83   0.64   2.05   2.09   2.00 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of period

 $16.70  $21.94  $20.79  $17.96  $17.18  $19.32 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Return(a)

  (8.09)%   15.47  19.65  18.24  (0.90)%   5.61

Ratios/Supplemental Data:

 

Net assets, end of period (in thousands)

 $1,307,755  $1,528,575  $1,464,018  $1,298,789  $1,171,984  $1,264,304 

Ratios to average net assets:

 

Net expenses

  0.89%***   0.88  0.88  0.89  0.89  0.88%(b) 

Gross expenses

  0.89%***   0.88  0.88  0.89  0.89  0.88

Net investment income

  0.41%***   0.14  0.27  0.25  0.17  0.07

Portfolio turnover rate

  15  38  34  33  40  37
  Service Class 
   3/31/19†  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

 $21.93  $20.79  $17.98  $17.21  $19.37  $20.27 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Income/(loss) from investment operations:

 

Net investment income (loss)

  0.01  (0.02)*   0.01  (0.00)*(c)   (0.01)*   (0.04)* 

Net realized and unrealized gains/(losses) on investments

  (2.36)*   2.95  3.41  2.80  (0.08)*   1.12
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total income/(loss) from investment operations

  (2.35  2.93   3.42   2.80   (0.09  1.08 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Less distributions from:

 

Net investment income

  0.02      0.01   0.01       

Net realized gains

  2.86   1.79   0.60   2.02   2.07   1.98 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total distributions

  2.88   1.79   0.61   2.03   2.07   1.98 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Net asset value, end of period

 $16.70  $21.93  $20.79  $17.98  $17.21  $19.37 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total Return(a)

  (8.20)%   15.14  19.38  17.96  (1.12)%   5.32

Ratios/Supplemental Data:

 

Net assets, end of period (in thousands)

 $2,410  $2,671  $2,373  $2,579  $1,741  $71 

Ratios to average net assets:

 

Net expenses

  1.14%***   1.13  1.13  1.14  1.14  1.13%(b) 

Gross expenses

  1.14%***   1.13  1.13  1.14  1.14  1.13

Net investment income (loss)

  0.16%***   (0.11)%   0.03  (0.00)%(d)   (0.07)%   (0.19)% 

Portfolio turnover rate

  15  38  34  33  40  37

 

The accompanying Notes are an integral part of these financial statements.

 

50 Financial Highlights


Table of Contents

State Street Institutional International Equity Fund

Financial Highlights

Selected data based on a share outstanding throughout the periods indicated

 

  Investment Class 
   3/31/19†  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

 $13.37  $13.42  $11.83  $11.41  $12.72  $12.71 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Income/(loss) from investment operations:

 

Net investment income

  0.05  0.23  0.17  0.20  0.18  0.30

Net realized and unrealized gains/(losses) on investments

  (0.43)*   (0.09)*   1.63  0.40  (1.15)*   (0.08)* 
 

 

 

  

 

 

  

 

 

  

 

 

  

 

 

  

 

 

 

Total income/(loss) from investment operations

  (0.38  0.14   1.80   0.60   (0.97  0.22