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: | |
Sean O’Malley, Esq. Senior Vice President and Deputy General 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: September 30, 2019
Table of Contents
Item 1. | Shareholder Report. |
Table of Contents
Annual Report
September 30, 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.
Table of Contents
State Street Institutional Funds
Annual Report
September 30, 2019
Page | ||||
Notes to Performance | 1 | |||
Manager Reviews and Schedules of Investments | ||||
2 | ||||
11 | ||||
17 | ||||
29 | ||||
36 | ||||
Financial Statements | ||||
56 | ||||
62 | ||||
64 | ||||
66 | ||||
Notes to Financial Statements | 68 | |||
Report of Independent Registered Public Accounting Firm | 79 | |||
Other Information | 80 |
This report has been prepared for shareholders and may be distributed to others only if accompanied with a current prospectus and/or summary prospectus.
Table of Contents
State Street Institutional Funds
Notes to Performance — September 30, 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.
The S&P 500® Index of stocks (“S&P 500 Index”) is an unmanaged market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure oflarge-cap U.S. stock market performance.
The Russell 1000® Growth Index measures the performance of thelarge-cap growth segment of the U.S. equity universe. It includes companies in the Russell 1000® Index with higherprice-to-book ratios and higher forecasted growth values. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership.
The Russell 2000® Index is a market capitalization-weighted index consisting of 2,000 of the smallest U.S.-domiciled publicly traded common stocks that are included in the Russell 3000® Index. The Russell 3000® Index is comprised of the 3,000 largest U.S.-domiciled companies.
The Morgan Stanley Capital International Europe, Australasia, and Far East Index (“MSCI® EAFE® Index”) is a market capitalization-weighted index of equity securities of companies domiciled in various countries. The MSCI® EAFE® Index is designed to represent the performance of developed stock markets outside the U.S. and Canada and excludes certain market segments unavailable to U.S. based investors.
The Morgan Stanley Capital International All Country World IndexEx-U.S. (“MSCI® ACWIEx-U.S. Index”) is a market capitalization-weighted index designed to provide a broad measure of stock performance throughout the world, with the exception of U.S.-based companies. The MSCI® ACWIEx-U.S. Index includes both developed and emerging markets.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged market value-weighted index of taxable investment grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more. The Bloomberg Barclays U.S. Aggregate Bond Index is designed to represent performance of the U.S. investment-grade fixed rate bond market.
The results shown for the foregoing indices assume the reinvestment of net dividends or interest and do not reflect fees, expenses, or taxes. As such, index returns do not reflect the actual cost of investing in the instruments that comprise an index.
State Street Global Advisors Funds Distributors, LLC, member of FINRA & SIPC is the principal underwriter and distributor of the State Street Institutional Funds and an indirect wholly-owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The Funds pay State Street Bank and Trust Company for its services as custodian and Fund Accounting agent, and pay SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”) for investment advisory and administrative services.
Notes to Performance | 1 |
Table of Contents
State Street Institutional U.S. Equity Fund
Management Discussion of Fund Performance — September 30, 2019 (Unaudited)
The State Street Institutional U.S. Equity Fund (the “Fund”) seeks to provide long-term capital growth. The Fund’s benchmark is the S&P 500 Index (the “Index”).
For the12-month period ended September 30, 2019 (the “Reporting Period”), the total return for the Fund’s Investment Class was 4.43% and for the Fund’s Service Class was 4.23%, and the Index was 4.25%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Strong stock selection especially in consumer staples and financial stocks, and on the negative side underperformance in healthcare names, were the primary drivers of Fund performance during the Reporting Period relative to the Index. In consumer staples, Mondelez International and Pepsico both had strong returns during the Reporting Period. Mondelez, the snack producer and owner of brands such as Kraft, Nabisco, and Belvita among many others, has produced strong organic sales growth globally and especially in emerging markets. Likewise, Pepsico has delivered solid growth on strong execution globally. In financials, two capital market companies were the biggest drivers of outperformance: S&P Global and CME Group. S&P Global is a financial information services and ratings company that has beat earnings estimations and raised guidance on global growth and margin expansion. CME Group operates a derivatives exchange which benefits from market volatility providing a countercyclical hedge to the Fund. In healthcare, a number of the Fund’s holdings underperformed, including UnitedHealth Group and Gilead Sciences. UnitedHealth Group has lagged as U.S. political rhetoric has highlighted ideas such as Medicare for All, which would be expected to be a negative for UnitedHealth’s business. Gilead’s issues have been more stock-specific as the new management team builds credibility around their growth plan. We believe that Gilead may benefit going forward from stabilization in its hepatitis drug as well a pipeline of new drugs.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Microsoft, Applied Materials, and Visa. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Schlumberger, Amazon.com, and UnitedHealth Group.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
2 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Performance Summary — September 30, 2019 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of U.S. companies, such as common and preferred stocks.
Top Ten Largest Holdings
as of September 30, 2019 (as a % of Fair Value)(a)(b)
Microsoft Corp. | 4.90 | % | ||
Apple Inc. | 3.91 | % | ||
Amazon.com Inc. | 3.54 | % | ||
JPMorgan Chase & Co. | 3.01 | % | ||
Alphabet Inc., Class A | 2.62 | % | ||
Visa Inc., Class A | 2.61 | % | ||
Merck & Company Inc. | 2.37 | % | ||
Allergan PLC | 1.94 | % | ||
PepsiCo Inc. | 1.90 | % | ||
Applied Materials Inc. | 1.80 | % |
Sector Allocation as of September 30, 2019
Portfolio Composition as a % of Fair Value of $425,987 (in thousands) as of September 30, 2019(a)(b)
Average Annual Total Return for the periods ended September 30, 2019
Investment Class Shares (Inception date: 11/25/97)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional U.S. Equity Fund | 4.43 | % | 9.51 | % | 11.69 | % | $ | 30,210 | ||||||||
S&P 500 Index | 4.25 | % | 10.84 | % | 13.24 | % | $ | 34,674 |
Service Class Shares (Inception date: 1/3/01)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional U.S. Equity Fund | 4.23 | % | 9.24 | % | 11.49 | % | $ | 29,682 | ||||||||
S&P 500 Index | 4.25 | % | 10.84 | % | 13.24 | % | $ | 34,674 |
(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
Performance Summary, continued — September 30, 2019 (Unaudited)
4 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 | ||||||||
Beginning Account Value April 1, 2019 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2019 | $ | 1,061.20 | $ | 1,023.20 | ||||
Expenses Paid During Period* | $ | 1.91 | $ | 1.88 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Beginning Account Value April 1, 2019 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2019 | $ | 1,059.70 | $ | 1,022.00 | ||||
Expenses Paid During Period* | $ | 3.20 | $ | 3.14 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.37%** for Investment Class shares and 0.62% for Service Class shares (for the period April 1, 2019-September 30, 2019), multiplied by the average account value over the period, multiplied by 183/365 (to reflect theone-half year period). |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
State Street Institutional U.S. Equity Fund | 5 |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Common Stock - 96.5%† |
| |||||||
Aerospace & Defense - 1.2% |
| |||||||
Hexcel Corp. | 15,783 | 1,296,258 | ||||||
Raytheon Co. | 11,036 | 2,165,153 | ||||||
The Boeing Co. | 4,013 | 1,526,826 | ||||||
|
| |||||||
4,988,237 | ||||||||
|
| |||||||
Air Freight & Logistics - 0.4% |
| |||||||
FedEx Corp. | 2,895 | 421,425 | ||||||
United Parcel Service Inc., Class B | 10,576 | 1,267,216 | ||||||
|
| |||||||
1,688,641 | ||||||||
|
| |||||||
Airlines - 0.2% |
| |||||||
Alaska Air Group Inc. | 10,127 | 657,343 | ||||||
JetBlue Airways Corp. (a) | 15,049 | 252,071 | ||||||
|
| |||||||
909,414 | ||||||||
|
| |||||||
Application Software - 1.9% |
| |||||||
Adobe Inc. (a)(b) | 5,659 | 1,563,299 | ||||||
Intuit Inc. | 3,991 | 1,061,366 | ||||||
salesforce.com Inc. (a) | 36,525 | 5,421,771 | ||||||
|
| |||||||
8,046,436 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 0.3% |
| |||||||
The Blackstone Group Inc., Class A | 29,266 | 1,429,351 | ||||||
|
| |||||||
Auto Parts & Equipment - 0.3% |
| |||||||
Aptiv PLC | 15,625 | 1,365,938 | ||||||
|
| |||||||
Automotive Retail - 0.5% |
| |||||||
O’Reilly Automotive Inc. (a) | 5,243 | 2,089,388 | ||||||
|
| |||||||
Biotechnology - 3.1% |
| |||||||
Alexion Pharmaceuticals Inc. (a)(b) | 16,124 | 1,579,184 | ||||||
BioMarin Pharmaceutical Inc. (a) | 18,719 | 1,261,661 | ||||||
Gilead Sciences Inc. | 120,846 | 7,659,219 | ||||||
Vertex Pharmaceuticals Inc. (a) | 13,678 | 2,317,327 | ||||||
|
| |||||||
12,817,391 | ||||||||
|
| |||||||
Building Products - 0.2% |
| |||||||
Allegion PLC | 7,276 | 754,157 | ||||||
|
| |||||||
Cable & Satellite - 1.9% |
| |||||||
Charter Communications Inc., Class A (a) | 11,051 | 4,554,338 | ||||||
Comcast Corp., Class A | 72,124 | 3,251,350 | ||||||
|
| |||||||
7,805,688 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Commodity Chemicals - 0.1% |
| |||||||
Dow Inc. (a) | 9,718 | 463,063 | ||||||
|
| |||||||
Communications Equipment - 0.7% |
| |||||||
Cisco Systems Inc. | 57,167 | 2,824,621 | ||||||
|
| |||||||
Construction Materials - 0.1% |
| |||||||
Vulcan Materials Co. | 2,764 | 418,027 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 3.8% |
| |||||||
Fidelity National Information Services Inc. | 6,659 | 884,049 | ||||||
Mastercard Inc., Class A | 14,638 | 3,975,242 | ||||||
Visa Inc., Class A | 64,708 | 11,130,423 | ||||||
|
| |||||||
15,989,714 | ||||||||
|
| |||||||
Diversified Banks - 3.1% |
| |||||||
JPMorgan Chase & Co. | 109,044 | 12,833,388 | ||||||
|
| |||||||
Electric Utilities - 1.5% |
| |||||||
American Electric Power Company Inc. (b) | 13,139 | 1,230,993 | ||||||
Duke Energy Corp. | 5,420 | 519,561 | ||||||
Edison International | 6,874 | 518,437 | ||||||
Exelon Corp. | 28,760 | 1,389,396 | ||||||
NextEra Energy Inc. | 11,642 | 2,712,469 | ||||||
|
| |||||||
6,370,856 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.4% |
| |||||||
Emerson Electric Co. | 26,994 | 1,804,819 | ||||||
|
| |||||||
Electronic Components - 2.5% |
| |||||||
Amphenol Corp., Class A | 49,752 | 4,801,068 | ||||||
Corning Inc. | 197,097 | 5,621,206 | ||||||
|
| |||||||
10,422,274 | ||||||||
|
| |||||||
Environmental & Facilities Services - 0.6% |
| |||||||
Republic Services Inc. | 9,313 | 806,040 | ||||||
Waste Management Inc. | 13,914 | 1,600,110 | ||||||
|
| |||||||
2,406,150 | ||||||||
|
| |||||||
Fertilizers & Agricultural Chemicals - 0.2% |
| |||||||
Corteva Inc. (a) | 24,367 | 682,276 | ||||||
|
| |||||||
Financial Exchanges & Data - 3.5% |
| |||||||
CME Group Inc. | 30,367 | 6,417,762 | ||||||
MSCI Inc. | 5,610 | 1,221,578 | ||||||
S&P Global Inc. | 24,139 | 5,913,572 | ||||||
Tradeweb Markets Inc., Class A | 25,299 | 935,557 | ||||||
|
| |||||||
14,488,469 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
6 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Footwear - 0.7% |
| |||||||
NIKE Inc., Class B | 32,943 | 3,094,007 | ||||||
|
| |||||||
General Merchandise Stores - 0.4% |
| |||||||
Dollar Tree Inc. (a) | 14,145 | 1,614,793 | ||||||
|
| |||||||
Gold - 0.1% |
| |||||||
Newmont Goldcorp Corp. | 12,152 | 460,804 | ||||||
|
| |||||||
Healthcare Equipment - 2.4% |
| |||||||
ABIOMED Inc. (a) | 6,091 | 1,083,528 | ||||||
Becton Dickinson and Co. | 7,266 | 1,838,007 | ||||||
Boston Scientific Corp. (a) | 112,018 | 4,558,013 | ||||||
Medtronic PLC | 23,208 | 2,520,853 | ||||||
|
| |||||||
10,000,401 | ||||||||
|
| |||||||
Healthcare Services - 1.0% |
| |||||||
Cigna Corp. (a) | 15,786 | 2,396,157 | ||||||
DaVita Inc. (a) | 7,646 | 436,357 | ||||||
Quest Diagnostics Inc. | 12,242 | 1,310,261 | ||||||
|
| |||||||
4,142,775 | ||||||||
|
| |||||||
Home Improvement Retail - 0.6% |
| |||||||
The Home Depot Inc. | 10,814 | 2,509,064 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 0.3% |
| |||||||
Marriott International Inc., Class A | 8,777 | 1,091,596 | ||||||
|
| |||||||
Household Products - 1.1% |
| |||||||
The Procter & Gamble Co. | 37,464 | 4,659,772 | ||||||
|
| |||||||
Hypermarkets & Super Centers - 0.3% |
| |||||||
Walmart Inc. | 12,241 | 1,452,762 | ||||||
|
| |||||||
Industrial Conglomerates - 1.2% |
| |||||||
Honeywell International Inc. | 18,569 | 3,141,875 | ||||||
Roper Technologies Inc. | 5,643 | 2,012,294 | ||||||
|
| |||||||
5,154,169 | ||||||||
|
| |||||||
Industrial Gases - 0.5% |
| |||||||
Air Products & Chemicals Inc. | 7,851 | 1,741,823 | ||||||
Linde PLC | 2,646 | 512,583 | ||||||
|
| |||||||
2,254,406 | ||||||||
|
| |||||||
Industrial Machinery - 2.3% |
| |||||||
Ingersoll-Rand PLC | 44,531 | 5,486,665 | ||||||
Xylem Inc. | 54,576 | 4,345,341 | ||||||
|
| |||||||
9,832,006 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Insurance Brokers - 0.3% |
| |||||||
Marsh & McLennan Companies Inc. | 13,485 | 1,349,174 | ||||||
|
| |||||||
Integrated Oil & Gas - 2.5% |
| |||||||
Chevron Corp. | 59,541 | 7,061,562 | ||||||
Exxon Mobil Corp. | 48,634 | 3,434,047 | ||||||
|
| |||||||
10,495,609 | ||||||||
|
| |||||||
Integrated Telecommunication Services - 0.7% |
| |||||||
AT&T Inc. | 25,645 | 970,407 | ||||||
Verizon Communications Inc. | 32,969 | 1,990,009 | ||||||
|
| |||||||
2,960,416 | ||||||||
|
| |||||||
Interactive Home Entertainment - 0.3% |
| |||||||
Activision Blizzard Inc. | 10,716 | 567,091 | ||||||
Electronic Arts Inc. (a) | 5,404 | 528,619 | ||||||
|
| |||||||
1,095,710 | ||||||||
|
| |||||||
Interactive Media & Services - 5.8% |
| |||||||
Alphabet Inc., Class A (a) | 9,151 | 11,174,652 | ||||||
Alphabet Inc., Class C (a) | 4,743 | 5,781,717 | ||||||
Facebook Inc., Class A (a) | 41,931 | 7,467,073 | ||||||
|
| |||||||
24,423,442 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 4.3% |
| |||||||
Amazon.com Inc. (a) | 8,694 | 15,092,001 | ||||||
Booking Holdings Inc. (a) | 1,396 | 2,739,804 | ||||||
|
| |||||||
17,831,805 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 0.1% |
| |||||||
The Charles Schwab Corp. | 14,404 | 602,519 | ||||||
|
| |||||||
IT Consulting & Other Services - 0.7% |
| |||||||
Accenture PLC, Class A | 6,942 | 1,335,294 | ||||||
International Business Machines Corp. | 10,470 | 1,522,547 | ||||||
|
| |||||||
2,857,841 | ||||||||
|
| |||||||
Life & Health Insurance - 0.3% |
| |||||||
Prudential Financial Inc. | 12,711 | 1,143,354 | ||||||
|
| |||||||
Life Sciences Tools & Services - 0.8% |
| |||||||
Illumina Inc. (a) | 6,635 | 2,018,500 | ||||||
IQVIA Holdings Inc. (a) | 5,872 | 877,159 | ||||||
Thermo Fisher Scientific Inc. | 1,824 | 531,277 | ||||||
|
| |||||||
3,426,936 | ||||||||
|
| |||||||
Managed Healthcare - 1.9% |
| |||||||
Humana Inc. | 4,828 | 1,234,375 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional U.S. Equity Fund | 7 |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — September 30, 2019
Number of Shares | Fair Value $ | |||||||
UnitedHealth Group Inc. | 31,726 | 6,894,694 | ||||||
|
| |||||||
8,129,069 | ||||||||
|
| |||||||
Movies & Entertainment - 2.1% |
| |||||||
Netflix Inc. (a) | 6,505 | 1,740,868 | ||||||
The Walt Disney Co. | 53,942 | 7,029,722 | ||||||
|
| |||||||
8,770,590 | ||||||||
|
| |||||||
Multi-Line Insurance - 0.5% |
| |||||||
American International Group Inc. (b) | 20,748 | 1,155,664 | ||||||
The Hartford Financial Services Group Inc. | 16,219 | 983,033 | ||||||
|
| |||||||
2,138,697 | ||||||||
|
| |||||||
Multi-Sector Holdings - 1.1% |
| |||||||
Berkshire Hathaway Inc., Class B (a) | 22,584 | 4,697,924 | ||||||
|
| |||||||
Multi-Utilities - 1.9% |
| |||||||
CMS Energy Corp. | 10,133 | 648,005 | ||||||
Dominion Energy Inc. | 11,345 | 919,399 | ||||||
Sempra Energy | 41,991 | 6,198,292 | ||||||
|
| |||||||
7,765,696 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services - 0.9% |
| |||||||
Schlumberger Ltd. | 104,344 | 3,565,435 | ||||||
|
| |||||||
Oil & Gas Exploration & Production - 0.8% |
| |||||||
Concho Resources Inc. | 1,968 | 133,627 | ||||||
ConocoPhillips | 21,850 | 1,245,013 | ||||||
Diamondback Energy Inc. | 14,082 | 1,266,113 | ||||||
EOG Resources Inc. | 7,715 | 572,607 | ||||||
|
| |||||||
3,217,360 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing - 0.3% |
| |||||||
Marathon Petroleum Corp. | 21,414 | 1,300,901 | ||||||
|
| |||||||
Packaged Foods & Meats - 1.6% |
| |||||||
Mondelez International Inc., Class A | 121,064 | 6,697,261 | ||||||
|
| |||||||
Personal Products - 0.7% |
| |||||||
The Estee Lauder Companies Inc., Class A | 15,777 | 3,138,834 | ||||||
|
| |||||||
Pharmaceuticals - 5.7% |
| |||||||
Allergan PLC | 48,989 | 8,244,359 | ||||||
Bristol-Myers Squibb Co. | 46,446 | 2,355,277 | ||||||
Elanco Animal Health Inc. (a) | 54,953 | 1,461,200 | ||||||
Merck & Company Inc. | 119,835 | 10,087,710 |
Number of Shares | Fair Value $ | |||||||
Mylan N.V. (a) | 80,919 | 1,600,578 | ||||||
|
| |||||||
23,749,124 | ||||||||
|
| |||||||
Property & Casualty Insurance - 0.6% |
| |||||||
Chubb Ltd. | 10,867 | 1,754,368 | ||||||
The Progressive Corp. | 8,251 | 637,390 | ||||||
|
| |||||||
2,391,758 | ||||||||
|
| |||||||
Railroads - 0.5% |
| |||||||
Union Pacific Corp. | 12,659 | 2,050,505 | ||||||
|
| |||||||
Regional Banks - 2.3% |
| |||||||
First Republic Bank (b) | 64,453 | 6,232,605 | ||||||
Regions Financial Corp. | 101,999 | 1,613,624 | ||||||
SVB Financial Group (a) | 8,859 | 1,851,088 | ||||||
|
| |||||||
9,697,317 | ||||||||
|
| |||||||
Restaurants - 1.1% |
| |||||||
McDonald’s Corp. | 20,887 | 4,484,648 | ||||||
|
| |||||||
Semiconductor Equipment - 2.6% |
| |||||||
Applied Materials Inc. | 153,573 | 7,663,293 | ||||||
ASML Holding N.V. (b) | 11,200 | 2,782,304 | ||||||
Lam Research Corp. | 2,706 | 625,383 | ||||||
|
| |||||||
11,070,980 | ||||||||
|
| |||||||
Semiconductors - 1.7% |
| |||||||
Broadcom Inc. | 5,936 | 1,638,752 | ||||||
Intel Corp. | 37,170 | 1,915,370 | ||||||
NVIDIA Corp. | 14,719 | 2,562,136 | ||||||
QUALCOMM Inc. | 12,316 | 939,464 | ||||||
|
| |||||||
7,055,722 | ||||||||
|
| |||||||
Soft Drinks - 1.9% |
| |||||||
PepsiCo Inc. | 59,024 | 8,092,190 | ||||||
|
| |||||||
Specialized REITs - 2.1% |
| |||||||
American Tower Corp. | 9,908 | 2,190,956 | ||||||
Equinix Inc. | 4,891 | 2,821,129 | ||||||
Extra Space Storage Inc. | 33,402 | 3,902,022 | ||||||
|
| |||||||
8,914,107 | ||||||||
|
| |||||||
Specialty Chemicals - 0.6% |
| |||||||
Albemarle Corp. (b) | 6,031 | 419,275 | ||||||
DuPont de Nemours Inc. | 16,573 | 1,181,820 | ||||||
PPG Industries Inc. | 9,068 | 1,074,649 | ||||||
|
| |||||||
2,675,744 | ||||||||
|
| |||||||
Specialty Stores - 0.3% |
| |||||||
Ulta Salon Cosmetics & Fragrance Inc. (a) | 4,664 | 1,169,032 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
8 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Systems Software - 5.9% |
| |||||||
Microsoft Corp. | 150,118 | 20,870,905 | ||||||
Oracle Corp. | 47,960 | 2,639,239 | ||||||
ServiceNow Inc. (a) | 5,000 | 1,269,250 | ||||||
|
| |||||||
24,779,394 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 4.0% |
| |||||||
Apple Inc. | 74,268 | 16,633,804 | ||||||
|
| |||||||
Tobacco - 0.5% |
| |||||||
Philip Morris International Inc. | 26,147 | 1,985,342 | ||||||
|
| |||||||
Trading Companies & Distributors - 1.2% |
| |||||||
United Rentals Inc. (a) | 41,101 | 5,122,829 | ||||||
|
| |||||||
Trucking - 0.3% |
| |||||||
Lyft Inc., Class A (a) | 35,394 | 1,445,491 | ||||||
|
|
Number of Shares | Fair Value $ | |||||||
Wireless Telecommunication Services - 0.2% |
| |||||||
T-Mobile US Inc. (a) | 11,236 | 885,060 | ||||||
|
| |||||||
Total Common Stock (Cost $317,516,335) |
| 404,676,473 | ||||||
|
| |||||||
Short-Term Investments - 5.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.92% | 21,310,507 | 21,310,507 | ||||||
|
| |||||||
Total Investments (Cost $338,826,842) |
| 425,986,980 | ||||||
Liabilities in Excess of Other Assets,net - (1.6)% |
| (6,642,975 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% |
| 419,344,005 | ||||||
|
|
Other Information:
The Fund had the following long futures contracts open at September 30, 2019:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
S&P 500 Emini Index Futures | December 2019 | 42 | $ | 6,308,712 | $ | 6,254,850 | $ | (53,862 | ) | |||||||||||
|
|
During the period ended September 30, 2019, average notional value related to long and short futures contracts was $3,145,230 or 0.8% of net assets and $601,255 or 0.1% of net assets, respectively.
The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2019:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional U.S. Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 404,676,473 | $ | — | $ | — | $ | 404,676,473 | ||||||||||
Short-Term Investments | 21,310,507 | — | — | 21,310,507 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 425,986,980 | $ | — | $ | — | $ | 425,986,980 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts - Unrealized Depreciation | $ | (53,862 | ) | $ | — | $ | — | $ | (53,862 | ) | ||||||||
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional U.S. Equity Fund | 9 |
Table of Contents
State Street Institutional U.S. Equity Fund
Schedule of Investments, continued — September 30, 2019
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 9/30/19 | Value at 9/30/19 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 21,393,075 | $ | 21,393,075 | $ | 78,662,033 | $ | 78,744,601 | $ | — | $ | — | 21,310,507 | $ | 21,310,507 | $ | 210,932 |
See Notes to Schedules of Investments and Notes to Financial Statements.
10 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Management Discussion of Fund Performance — September 30, 2019 (Unaudited)
The State Street Institutional Premier Growth Equity Fund (the “Fund”) seeks to provide long-term capital growth and future income. The Fund’s benchmarks are the S&P 500 Index and the Russell 1000 Growth Index (the “Indices”).
For the12-month period ended September 30, 2019 (the “Reporting Period”), the total return for the Fund’s Investment Class was 3.57% and for the Fund’s Service Class was 3.32%, and the S&P 500 Index and the Russell 1000 Growth Index returned 4.25% and 3.71%, respectively. The Fund and Indices returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Indices are unmanaged and do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Underperformance in healthcare stocks, weakness in equipment rental company United Rentals, and on the positive side, outperformance in technology stocks were the primary drivers of Fund performance during the Reporting Period relative to the Indices. In healthcare, Fund holdings in biotech (e.g. Alexion), healthcare providers (UnitedHealth Group), and pharmaceuticals (e.g Allergan) lagged the market. Alexion is a company that has executed well on earnings and drug approvals, but the market has been worried about potential future competition and patent expirations, as well as political rhetoric around drug pricing. Likewise, UnitedHealth Group has been adversely impacted by policy debates including proposals for Medicare for All, which would be expected to hurt its business. While Allergan lagged late last year, it has been an outperformer this year, benefitting from a proposed acquisition by AbbVie. United Rentals, an equipment rental company, is a more cyclical stock that has suffered from fears of a slowing economy. The company’s fundamentals have remained relatively healthy with continued solidend-market demand and an attractive valuation, but a slowdown in construction would be expected to have a negative impact. On the positive side, the Fund outperformed in the technology sector, which is by far the biggest sector in the Russell 1000 Growth Index. Here, the Fund was helped by a diverse set of holdings including semiconductor equipment suppliers Applied Materials and Nvidia, software companies ServiceNow and Microsoft, and the credit card and payment networks company Visa. As a group, we believe these companies may offer strong long-term sustainable growth potential based on innovative technology and strong business models.
The Fund used index futures in order to efficiently manage cash flows due to subscriptions and redemptions during the Reporting Period. The Fund’s use of index futures slightly contributed to Fund performance relative to the Indices.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Microsoft, American Tower, and Applied Materials. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Alexion Pharmaceuticals, Amazon.com, and United Rentals.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
State Street Institutional Premier Growth Equity Fund | 11 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Performance Summary — September 30, 2019 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital and future income. The Fund seeks to achieve its investment objectives by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks. The Fund invests primarily in a limited number of large and medium-sized companies (meaning companies with market capitalizations of $2 billion or more) that the portfolio manager believes have above-average growth histories and/or growth potential.
Top Ten Largest Holdings
as of September 30, 2019 (as a % of Fair Value) (a)(b)
Microsoft Corp. | 9.06 | % | ||
Apple Inc. | 6.59 | % | ||
Alphabet Inc., Class C | 5.16 | % | ||
Visa Inc., Class A | 4.90 | % | ||
Amazon.com Inc. | 4.82 | % | ||
Facebook Inc., Class A | 3.80 | % | ||
salesforce.com Inc. | 3.75 | % | ||
Applied Materials Inc. | 3.49 | % | ||
PepsiCo Inc. | 3.25 | % | ||
Allergan PLC | 3.25 | % |
Sector Allocation as of September 30, 2019
Portfolio Composition as a % of Fair Value of $201,848 (in thousands) as of September 30, 2019(a)(b)
Average Annual Total Return for the periods ended September 30, 2019
Investment Class Shares (Inception date: 10/29/99)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Premier Growth Equity | 3.57 | % | 11.49 | % | 13.76 | % | $ | 36,297 | ||||||||
S&P 500 Index | 4.25 | % | 10.84 | % | 13.24 | % | $ | 34,674 | ||||||||
Russell 1000 Growth Index | 3.71 | % | 13.39 | % | 14.94 | % | $ | 40,235 |
Service Class Shares (Inception date: 1/3/01)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Premier Growth Equity | 3.32 | % | 11.21 | % | 13.48 | % | $ | 35,424 | ||||||||
S&P 500 Index | 4.25 | % | 10.84 | % | 13.24 | % | $ | 34,674 | ||||||||
Russell 1000 Growth Index | 3.71 | % | 13.39 | % | 14.94 | % | $ | 40,235 |
(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. |
12 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Performance Summary, continued — September 30, 2019 (Unaudited)
See Notes to Performance beginning on page 1 for further information. Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
State Street Institutional Premier Growth Equity Fund | 13 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 | ||||||||
Beginning Account Value April 1, 2019 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2019 | $ | 1,057.30 | $ | 1,023.10 | ||||
Expenses Paid During Period* | $ | 2.01 | $ | 1.98 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Beginning Account Value April 1, 2019 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2019 | $ | 1,056.70 | $ | 1,021.80 | ||||
Expenses Paid During Period* | $ | 3.35 | $ | 3.29 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.39%** for Investment Class shares and 0.65%** for Service Class shares (for the period April 1, 2019-September 30, 2019), multiplied by the average account value over the period, multiplied by 183/365 (to reflect theone-half year period). |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
14 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Schedule of Investments — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Common Stock - 97.9%† |
| |||||||
Application Software - 3.8% |
| |||||||
salesforce.com Inc. (a) | 51,009 | 7,571,776 | ||||||
|
| |||||||
Biotechnology - 4.5% |
| |||||||
Alexion Pharmaceuticals Inc. (a) | 48,423 | 4,742,549 | ||||||
Vertex Pharmaceuticals Inc. (a) | 25,186 | 4,267,012 | ||||||
|
| |||||||
9,009,561 | ||||||||
|
| |||||||
Cable & Satellite - 2.7% |
| |||||||
Charter Communications Inc., Class A (a) | 13,010 | 5,361,681 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 8.0% |
| |||||||
Fidelity National Information Services Inc. | 22,131 | 2,938,112 | ||||||
Mastercard Inc., Class A (b) | 12,075 | 3,279,208 | ||||||
Visa Inc., Class A | 57,542 | 9,897,799 | ||||||
|
| |||||||
16,115,119 | ||||||||
|
| |||||||
Electronic Components - 2.0% |
| |||||||
Corning Inc. | 141,618 | 4,038,945 | ||||||
|
| |||||||
Financial Exchanges & Data - 5.3% |
| |||||||
CME Group Inc. | 25,069 | 5,298,082 | ||||||
S&P Global Inc. | 22,408 | 5,489,512 | ||||||
|
| |||||||
10,787,594 | ||||||||
|
| |||||||
Healthcare Equipment - 5.6% |
| |||||||
Abbott Laboratories | 26,107 | 2,184,372 | ||||||
Boston Scientific Corp. (a) | 131,023 | 5,331,326 | ||||||
Intuitive Surgical Inc. (a) | 6,902 | 3,726,597 | ||||||
|
| |||||||
11,242,295 | ||||||||
|
| |||||||
Interactive Media & Services - 10.8% |
| |||||||
Alphabet Inc., Class A (a) | 3,052 | 3,726,919 | ||||||
Alphabet Inc., Class C (a) | 8,546 | 10,417,574 | ||||||
Facebook Inc., Class A (a) | 43,084 | 7,672,399 | ||||||
|
| |||||||
21,816,892 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 8.5% |
| |||||||
Alibaba Group Holding Ltd. ADR (a) | 20,733 | 3,467,180 | ||||||
Amazon.com Inc. (a) | 5,600 | 9,721,096 | ||||||
Booking Holdings Inc. (a) | 2,009 | 3,942,883 | ||||||
|
| |||||||
17,131,159 | ||||||||
|
| |||||||
Investment Banking & Brokerage - 0.8% |
| |||||||
The Charles Schwab Corp. | 39,578 | 1,655,548 | ||||||
|
|
Number of Shares | Fair Value $ | |||||||
Managed Healthcare - 2.9% |
| |||||||
UnitedHealth Group Inc. | 27,073 | 5,883,504 | ||||||
|
| |||||||
Movies & Entertainment - 2.6% |
| |||||||
The Walt Disney Co. | 41,018 | 5,345,466 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 0.8% |
| |||||||
Schlumberger Ltd. | 45,192 | 1,544,211 | ||||||
|
| |||||||
Pharmaceuticals - 4.4% |
| |||||||
Allergan PLC | 38,916 | 6,549,174 | ||||||
Elanco Animal Health Inc. (a) | 91,239 | 2,426,045 | ||||||
|
| |||||||
8,975,219 | ||||||||
|
| |||||||
Regional Banks - 1.7% |
| |||||||
First Republic Bank | 36,100 | 3,490,870 | ||||||
|
| |||||||
Semiconductor Equipment - 5.0% |
| |||||||
Applied Materials Inc. | 141,070 | 7,039,393 | ||||||
ASML Holding N.V. | 12,195 | 3,029,482 | ||||||
|
| |||||||
10,068,875 | ||||||||
|
| |||||||
Semiconductors - 0.6% |
| |||||||
NVIDIA Corp. | 7,270 | 1,265,489 | ||||||
|
| |||||||
Soft Drinks - 3.3% |
| |||||||
PepsiCo Inc. | 47,893 | 6,566,130 | ||||||
|
| |||||||
Specialized REITs - 1.9% |
| |||||||
American Tower Corp. | 17,759 | 3,927,048 | ||||||
|
| |||||||
Specialty Chemicals - 1.0% |
| |||||||
Albemarle Corp. | 29,124 | 2,024,700 | ||||||
|
| |||||||
Systems Software - 11.3% |
| |||||||
Microsoft Corp. | 131,556 | 18,290,231 | ||||||
ServiceNow Inc. (a) | 17,377 | 4,411,151 | ||||||
|
| |||||||
22,701,382 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 6.6% |
| |||||||
Apple Inc. | 59,355 | 13,293,739 | ||||||
|
| |||||||
Trading Companies & Distributors - 3.0% |
| |||||||
United Rentals Inc. (a) | 49,303 | 6,145,126 | ||||||
|
| |||||||
Trucking - 0.8% |
| |||||||
Lyft Inc., Class A (a) | 41,719 | 1,703,804 | ||||||
|
| |||||||
Total Common Stock (Cost $127,374,799) |
| 197,666,133 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Premier Growth Equity Fund | 15 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Schedule of Investments, continued — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Exchange Traded & Mutual Funds - 1.1% |
| |||||||
Consumer Discretionary Select Sector SPDR Fund | 18,198 | 2,196,499 | ||||||
|
| |||||||
Total Investments in Securities (Cost $129,552,802) |
| 199,862,632 | ||||||
|
|
Number of Shares | Fair Value $ | |||||||
Short-Term Investments - 1.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.92% | 1,985,510 | 1,985,510 | ||||||
|
| |||||||
Total Investments (Cost $131,538,312) |
| 201,848,142 | ||||||
Liabilities in Excess of Other Assets,net - (0.0)%* |
| (95,865 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% |
| 201,752,277 | ||||||
|
|
Other Information:
The Fund had the following short futures contracts open at September 30, 2019:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
S&P 500 Emini Index Futures | December 2019 | 22 | $ | (3,307,731) | $ | (3,276,350) | $ | 31,381 | ||||||||||||
|
|
During the period ended September 30, 2019, average notional value related to long and short futures contracts was $2,627,140 or 1.3% of net assets and $980,478 or 0.5% of net assets, respectively.
The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2019:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Premier Growth Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 197,666,133 | $ | — | $ | — | $ | 197,666,133 | ||||||||||
Exchange Traded & Mutual Funds | 2,196,499 | — | — | 2,196,499 | ||||||||||||||
Short-Term Investments | 1,985,510 | — | — | 1,985,510 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 201,848,142 | $ | — | $ | — | $ | 201,848,142 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Short Futures Contracts - Unrealized Appreciation | $ | 31,381 | $ | — | $ | — | $ | 31,381 | ||||||||||
|
|
|
|
|
|
|
|
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 9/30/19 | Value at 9/30/19 | Dividend Income | ||||||||||||||||||||||||||||
Consumer Discretionary Select Sector SPDR Fund | — | $ | — | $ | 2,178,003 | $ | — | $ | — | $ | 18,496 | 18,198 | $ | 2,196,499 | $ | 5,326 | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 16,568,746 | 16,568,746 | 46,885,313 | 61,468,549 | — | — | 1,985,510 | 1,985,510 | 189,881 | |||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 16,568,746 | $ | 49,063,316 | $ | 61,468,549 | $ | — | $ | 18,496 | $ | 4,182,009 | $ | 195,207 | ||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
16 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Management Discussion of Fund Performance — September 30, 2019 (Unaudited)
The State Street InstitutionalSmall-Cap Equity Fund (the “Fund”) seeks to provide long-term growth of capital. The Fund’s benchmark is the Russell 2000 Index (the “Index”).
For the12-month period ended September 30, 2019 (the “Reporting Period”), the total return for the Fund’s Investment Class was-6.21% and for the Fund’s Service Class was -6.44%, and the Index was -8.89%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Stock selection by Champlain Investment Partners, SouthernSun Asset Management and Palisade Capital were the primary drivers of Fund performance during the Reporting Period relative to the Index. Champlain, which uses themes across the portfolio to drive investment decisions has invested in personalized healthcare and cloud services, primarily authentication and enterprise software. These themes drove substantial performance over the last 12 months as money has flowed in to those spaces. SouthernSun on the other hand has invested inold-line agribusiness companies including poultry farms. Due to the African Swine Flu’s impact on the global food chain, this has been a positive contributing position for SouthernSun and the Fund overall. Lastly, Palisade has had an overweight to the healthcare sector with a bias to companies serving the elderly rather than general medicines (which has been under pressure). Stock selection here has driven positive excess returns versus the sector and contributed to the overall success of the Fund.
The Fund used Russell 2000 futures in order to hedge the cash in the fund to accommodate inflows and outflows. The cash in the liquidity sleeve is fully hedged providing no positive or negative return relative to the Index.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
State Street InstitutionalSmall-Cap Equity Fund | 17 |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Performance Summary — September 30, 2019 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities of small-cap companies, such as common and preferred stocks. The Fund uses a multi sub-adviser investment strategy that combines growth, value and core investment management styles, which allows the Fund the potential to benefit from both value and growth cycles in the marketplace.
Top Ten Largest Holdings
as of September 30, 2019 (as a % of Fair Value)(a)(b)
Dycom Industries Inc. | 1.19 | % | ||
Darling Ingredients Inc. | 1.12 | % | ||
The Brink’s Co. | 1.06 | % | ||
The Timken Co. | 1.04 | % | ||
IDACORP Inc. | 0.98 | % | ||
Ritchie Bros Auctioneers Inc. | 0.98 | % | ||
Koppers Holdings Inc. | 0.96 | % | ||
Extended Stay America Inc. | 0.95 | % | ||
Belden Inc. | 0.95 | % | ||
Clean Harbors Inc. | 0.93 | % |
Sector Allocation as of September 30, 2019
Portfolio Composition as a % of Fair Value of $1,258,884 (in thousands) as of September 30, 2019(a)(b)
Average Annual Total Return for the periods ended September 30, 2019
Investment Class Shares (Inception date: 8/3/98)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street InstitutionalSmall-Cap Equity Fund | -6.21 | % | 8.71 | % | 12.37 | % | $ | 32,107 | ||||||||
Russell 2000 Index | -8.89 | % | 8.19 | % | 11.19 | % | $ | 28,894 |
Service Class Shares (Inception date: 9/30/05)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street InstitutionalSmall-Cap Equity Fund | -6.44 | % | 8.45 | % | 12.09 | % | $ | 31,307 | ||||||||
Russell 2000 Index | -8.89 | % | 8.19 | % | 11.19 | % | $ | 28,894 |
(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. |
18 | State Street InstitutionalSmall-Cap Equity Fund |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Performance Summary, continued — September 30, 2019 (Unaudited)
See Notes to Performance beginning on page 1 for further information. Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
State Street InstitutionalSmall-Cap Equity Fund | 19 |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 | ||||||||
Beginning Account Value April 1, 2019 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2019 | $ | 1,020.40 | $ | 1,020.70 | ||||
Expenses Paid During Period* | $ | 4.46 | $ | 4.46 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Beginning Account Value April 1, 2019 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2019 | $ | 1,019.20 | $ | 1,019.40 | ||||
Expenses Paid During Period* | $ | 5.72 | $ | 5.72 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.88% for Investment Class shares and 1.13% for Service Class shares (for the period April 1, 2019-September 30, 2019), multiplied by the average account value over the period, multiplied by 183/365 (to reflect theone-half year period). |
20 | State Street InstitutionalSmall-Cap Equity Fund |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Schedule of Investments — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Common Stock - 94.8%† |
| |||||||
Aerospace & Defense - 0.7% |
| |||||||
Teledyne Technologies Inc. (a) | 25,313 | 8,150,533 | ||||||
|
| |||||||
Agricultural & Farm Machinery - 0.8% |
| |||||||
AGCO Corp. | 138,469 | 10,482,103 | ||||||
|
| |||||||
Agricultural Products - 1.1% |
| |||||||
Darling Ingredients Inc. (a) | 733,148 | 14,025,121 | ||||||
|
| |||||||
Air Freight & Logistics - 0.2% |
| |||||||
Echo Global Logistics Inc. (a) | 35,300 | 799,545 | ||||||
Forward Air Corp. | 16,296 | 1,038,381 | ||||||
Hub Group Inc., Class A (a) | 15,492 | 720,378 | ||||||
|
| |||||||
2,558,304 | ||||||||
|
| |||||||
Airlines - 0.0%* |
| |||||||
Hawaiian Holdings Inc. | 15,300 | 401,778 | ||||||
|
| |||||||
Apparel Retail - 0.8% |
| |||||||
American Eagle Outfitters Inc. | 134,865 | 2,187,510 | ||||||
Burlington Stores Inc. (a) | 19,045 | 3,805,572 | ||||||
Chico’s FAS Inc. | 198,548 | 800,149 | ||||||
The Buckle Inc. | 147,052 | 3,029,271 | ||||||
|
| |||||||
9,822,502 | ||||||||
|
| |||||||
Apparel, Accessories & Luxury Goods - 0.3% |
| |||||||
G-III Apparel Group Ltd. (a) | 142,143 | 3,663,025 | ||||||
|
| |||||||
Application Software - 5.7% |
| |||||||
ACI Worldwide Inc. (a) | 240,554 | 7,535,354 | ||||||
Altair Engineering Inc., Class A (a) | 55,373 | 1,917,013 | ||||||
Blackbaud Inc. | 120,884 | 10,920,660 | ||||||
Blackline Inc. (a) | 199,347 | 9,530,780 | ||||||
Cloudera Inc. (a) | 68,046 | 602,888 | ||||||
Cornerstone OnDemand Inc. (a) | 95,769 | 5,250,057 | ||||||
Digital Turbine Inc. (a) | 81,922 | 527,987 | ||||||
Envestnet Inc. (a) | 68,500 | 3,883,950 | ||||||
LogMeIn Inc. | 52,860 | 3,750,946 | ||||||
New Relic Inc. (a) | 83,110 | 5,107,109 | ||||||
Paylocity Holding Corp. (a) | 12,301 | 1,200,332 | ||||||
Q2 Holdings Inc. (a) | 90,500 | 7,137,735 | ||||||
RealPage Inc. (a) | 70,110 | 4,407,115 | ||||||
Upland Software Inc. (a) | 20,923 | 729,376 | ||||||
Verint Systems Inc. (a) | 32,003 | 1,369,088 | ||||||
Yext Inc. (a) | 397,000 | 6,308,330 | ||||||
Zix Corp. (a) | 188,176 | 1,362,394 | ||||||
|
| |||||||
71,541,114 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Asset Management & Custody Banks - 0.2% |
| |||||||
Brightsphere Investment Group Inc. | 50,679 | 502,229 | ||||||
Cohen & Steers Inc. | 24,718 | 1,357,760 | ||||||
|
| |||||||
1,859,989 | ||||||||
|
| |||||||
Auto Parts & Equipment - 0.5% |
| |||||||
Dana Inc. | 29,304 | 423,150 | ||||||
Gentherm Inc. (a) | 9,411 | 386,651 | ||||||
LCI Industries | 19,571 | 1,797,596 | ||||||
Modine Manufacturing Co. (a) | 81,064 | 921,698 | ||||||
Standard Motor Products Inc. | 56,185 | 2,727,782 | ||||||
|
| |||||||
6,256,877 | ||||||||
|
| |||||||
Automobile Manufacturers - 0.9% |
| |||||||
Thor Industries Inc. | 184,685 | 10,460,558 | ||||||
Winnebago Industries Inc. | 16,993 | 651,682 | ||||||
|
| |||||||
11,112,240 | ||||||||
|
| |||||||
Automotive Retail - 1.7% |
| |||||||
America’sCar-Mart Inc. (a) | 25,356 | 2,325,145 | ||||||
Group 1 Automotive Inc. | 86,748 | 8,007,708 | ||||||
Lithia Motors Inc., Class A | 4,123 | 545,803 | ||||||
Monro Inc. | 33,328 | 2,633,245 | ||||||
Murphy USA Inc. (a) | 86,395 | 7,369,494 | ||||||
|
| |||||||
20,881,395 | ||||||||
|
| |||||||
Biotechnology - 0.7% |
| |||||||
Heron Therapeutics Inc. (a) | 116,184 | 2,149,404 | ||||||
Repligen Corp. (a) | 89,156 | 6,837,374 | ||||||
|
| |||||||
8,986,778 | ||||||||
|
| |||||||
Brewers - 0.2% |
| |||||||
The Boston Beer Company Inc., Class A (a) | 6,000 | 2,184,480 | ||||||
|
| |||||||
Building Products - 0.7% |
| |||||||
American Woodmark Corp. (a) | 16,008 | 1,423,271 | ||||||
Apogee Enterprises Inc. | 24,622 | 960,012 | ||||||
Builders FirstSource Inc. (a) | 42,616 | 876,824 | ||||||
Continental Building Products Inc. (a) | 22,075 | 602,427 | ||||||
CSW Industrials Inc. | 19,500 | 1,346,085 | ||||||
Masonite International Corp. (a) | 7,116 | 412,728 | ||||||
Patrick Industries Inc. (a) | 15,041 | 644,958 | ||||||
Universal Forest Products Inc. | 61,669 | 2,459,360 | ||||||
|
| |||||||
8,725,665 | ||||||||
|
| |||||||
Coal & Consumable Fuels - 0.0%* |
| |||||||
CONSOL Energy Inc. (a) | 18,585 | 290,484 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street InstitutionalSmall-Cap Equity Fund | 21 |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Schedule of Investments, continued — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Commodity Chemicals - 1.0% |
| |||||||
AdvanSix Inc. (a) | 31,206 | 802,619 | ||||||
Koppers Holdings Inc. (a) | 414,901 | 12,119,258 | ||||||
|
| |||||||
12,921,877 | ||||||||
|
| |||||||
Communications Equipment - 0.7% |
| |||||||
Extreme Networks Inc. (a) | 356,575 | 2,594,083 | ||||||
Infinera Corp. (a) | 80,093 | 436,507 | ||||||
Lumentum Holdings Inc. (a) | 36,776 | 1,969,723 | ||||||
NETGEAR Inc. (a) | 33,604 | 1,082,721 | ||||||
NetScout Systems Inc. (a) | 31,686 | 730,679 | ||||||
Plantronics Inc. | 56,073 | 2,092,644 | ||||||
|
| |||||||
8,906,357 | ||||||||
|
| |||||||
Computer & Electronics Retail - 0.0%* |
| |||||||
Rent-A-Center Inc. | 21,636 | 557,992 | ||||||
|
| |||||||
Construction & Engineering - 2.1% |
| |||||||
Aegion Corp. (a) | 413,281 | 8,835,948 | ||||||
Dycom Industries Inc. (a) | 294,251 | 15,021,513 | ||||||
EMCOR Group Inc. | 11,132 | 958,688 | ||||||
Great Lakes Dredge & Dock Corp. (a) | 91,144 | 952,455 | ||||||
MasTec Inc. (a) | 13,695 | 889,216 | ||||||
|
| |||||||
26,657,820 | ||||||||
|
| |||||||
Construction Machinery & Heavy Trucks - 1.3% |
| |||||||
Alamo Group Inc. | 20,131 | 2,369,822 | ||||||
Astec Industries Inc. | 47,632 | 1,481,355 | ||||||
The Greenbrier Companies Inc. | 40,549 | 1,221,336 | ||||||
Trinity Industries Inc. | 494,396 | 9,729,713 | ||||||
Wabash National Corp. | 80,237 | 1,164,239 | ||||||
|
| |||||||
15,966,465 | ||||||||
|
| |||||||
Construction Materials - 0.2% |
| |||||||
Eagle Materials Inc. | 14,731 | 1,325,938 | ||||||
Summit Materials Inc., Class A (a) | 60,781 | 1,349,338 | ||||||
|
| |||||||
2,675,276 | ||||||||
|
| |||||||
Consumer Electronics - 0.0%* |
| |||||||
Turtle Beach Corp. (a) | 37,760 | 440,659 | ||||||
|
| |||||||
Consumer Finance - 0.2% |
| |||||||
Curo Group Holdings Corp. (a) | 37,132 | 493,113 | ||||||
Enova International Inc. (a) | 73,034 | 1,515,456 | ||||||
Green Dot Corp., Class A (a) | 9,945 | 251,111 | ||||||
|
| |||||||
2,259,680 | ||||||||
|
| |||||||
Data Processing & Outsourced Services - 2.0% |
| |||||||
Broadridge Financial Solutions Inc. | 63,372 | 7,885,378 |
Number of Shares | Fair Value $ | |||||||
Cass Information Systems Inc. | 7,276 | 392,831 | ||||||
CoreLogic Inc. (a) | 152,085 | 7,036,973 | ||||||
CSG Systems International Inc. | 64,822 | 3,350,001 | ||||||
EVERTEC Inc. | 45,140 | 1,409,271 | ||||||
I3 Verticals Inc. Class A (a) | 30,896 | 621,627 | ||||||
MAXIMUS Inc. | 13,339 | 1,030,571 | ||||||
NIC Inc. | 179,169 | 3,699,840 | ||||||
|
| |||||||
25,426,492 | ||||||||
|
| |||||||
Distillers & Vintners - 0.4% |
| |||||||
MGP Ingredients Inc. | 89,740 | 4,458,283 | ||||||
|
| |||||||
Distributors - 0.6% |
| |||||||
Core-Mark Holding Company Inc. | 23,689 | 760,772 | ||||||
LKQ Corp. (a) | 208,618 | 6,561,036 | ||||||
|
| |||||||
7,321,808 | ||||||||
|
| |||||||
Diversified Metals & Mining - 0.5% |
| |||||||
Compass Minerals International Inc. | 76,808 | 4,338,884 | ||||||
Materion Corp. | 22,120 | 1,357,283 | ||||||
|
| |||||||
5,696,167 | ||||||||
|
| |||||||
Diversified REITs - 0.2% |
| |||||||
American Assets Trust Inc. | 39,292 | 1,836,508 | ||||||
Essential Properties Realty Trust Inc. | 49,520 | 1,134,503 | ||||||
|
| |||||||
2,971,011 | ||||||||
|
| |||||||
Diversified Support Services - 1.4% |
| |||||||
Healthcare Services Group Inc. | 171,800 | 4,173,022 | ||||||
Ritchie Bros Auctioneers Inc. | 308,217 | 12,297,858 | ||||||
UniFirst Corp. | 8,506 | 1,659,691 | ||||||
|
| |||||||
18,130,571 | ||||||||
|
| |||||||
Education Services - 0.3% |
| |||||||
K12 Inc. (a) | 152,087 | 4,015,097 | ||||||
|
| |||||||
Electric Utilities - 1.1% |
| |||||||
ALLETE Inc. | 17,609 | 1,539,203 | ||||||
IDACORP Inc. | 109,252 | 12,309,423 | ||||||
|
| |||||||
13,848,626 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.5% |
| |||||||
Atkore International Group Inc. (a) | 31,190 | 946,616 | ||||||
EnerSys | 6,959 | 458,876 | ||||||
Generac Holdings Inc. (a) | 26,826 | 2,101,549 | ||||||
GrafTech International Ltd. | 64,066 | 820,045 | ||||||
Regal Beloit Corp. | 25,855 | 1,883,537 | ||||||
|
| |||||||
6,210,623 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
22 | State Street InstitutionalSmall-Cap Equity Fund |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Schedule of Investments, continued — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Electronic Components - 1.4% |
| |||||||
Belden Inc. | 224,417 | 11,970,403 | ||||||
Littelfuse Inc. | 34,714 | 6,155,139 | ||||||
|
| |||||||
18,125,542 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.9% |
| |||||||
Itron Inc. (a) | 11,878 | 878,497 | ||||||
National Instruments Corp. | 67,827 | 2,848,056 | ||||||
Novanta Inc. (a) | 11,230 | 917,715 | ||||||
Zebra Technologies Corp., Class A (a) | 29,219 | 6,029,925 | ||||||
|
| |||||||
10,674,193 | ||||||||
|
| |||||||
Electronic Manufacturing Services - 0.6% |
| |||||||
Fabrinet (a) | 16,330 | 854,059 | ||||||
KEMET Corp. | 41,745 | 758,924 | ||||||
Methode Electronics Inc. | 58,198 | 1,957,781 | ||||||
Plexus Corp. (a) | 29,863 | 1,866,736 | ||||||
Sanmina Corp. (a) | 26,060 | 836,786 | ||||||
TTM Technologies Inc. (a) | 135,071 | 1,647,191 | ||||||
|
| |||||||
7,921,477 | ||||||||
|
| |||||||
Environmental & Facilities Services - 0.9% |
| |||||||
Clean Harbors Inc. (a) | 151,259 | 11,677,195 | ||||||
|
| |||||||
Food Distributors - 0.6% |
| |||||||
Performance Food Group Co. (a) | 162,725 | 7,486,977 | ||||||
|
| |||||||
Food Retail - 0.1% |
| |||||||
Casey’s General Stores Inc. | 5,287 | 852,053 | ||||||
Sprouts Farmers Market Inc. (a) | 41,709 | 806,652 | ||||||
|
| |||||||
1,658,705 | ||||||||
|
| |||||||
Footwear - 0.7% |
| |||||||
Deckers Outdoor Corp. (a) | 26,952 | 3,971,647 | ||||||
Wolverine World Wide Inc. | 169,500 | 4,790,070 | ||||||
|
| |||||||
8,761,717 | ||||||||
|
| |||||||
Gas Utilities - 0.4% |
| |||||||
Chesapeake Utilities Corp. | 8,407 | 801,355 | ||||||
South Jersey Industries Inc. | 59,714 | 1,965,188 | ||||||
Spire Inc. | 21,877 | 1,908,549 | ||||||
|
| |||||||
4,675,092 | ||||||||
|
| |||||||
Health Care REITs - 0.3% |
| |||||||
CareTrust REIT Inc. | 63,594 | 1,494,777 | ||||||
National Health Investors Inc. | 10,298 | 848,452 | ||||||
Physicians Realty Trust | 96,823 | 1,718,608 | ||||||
|
| |||||||
4,061,837 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Healthcare Distributors - 0.1% |
| |||||||
Covetrus Inc. (a) | 130,543 | 1,552,156 | ||||||
|
| |||||||
Healthcare Equipment - 4.6% |
| |||||||
AtriCure Inc. (a) | 47,280 | 1,179,163 | ||||||
Cantel Medical Corp. | 63,640 | 4,760,272 | ||||||
Cardiovascular Systems Inc. (a) | 132,535 | 6,298,063 | ||||||
CONMED Corp. | 88,500 | 8,509,275 | ||||||
Hill-Rom Holdings Inc. | 106,724 | 11,230,567 | ||||||
Integer Holdings Corp. (a) | 9,690 | 732,177 | ||||||
Integra LifeSciences Holdings Corp. (a) | 164,500 | 9,881,515 | ||||||
IntriCon Corp. (a) | 93,630 | 1,820,167 | ||||||
LeMaitre Vascular Inc. | 36,852 | 1,259,601 | ||||||
LivaNova PLC (a) | 12,903 | 952,112 | ||||||
Masimo Corp. (a) | 22,000 | 3,273,380 | ||||||
NuVasive Inc. (a) | 67,500 | 4,278,150 | ||||||
Orthofix Medical Inc. (a) | 32,945 | 1,746,744 | ||||||
Penumbra Inc. (a) | 17,500 | 2,353,575 | ||||||
|
| |||||||
58,274,761 | ||||||||
|
| |||||||
Healthcare Facilities - 0.6% |
| |||||||
Acadia Healthcare Company Inc. (a) | 170,110 | 5,287,019 | ||||||
Hanger Inc. (a) | 28,307 | 576,897 | ||||||
Select Medical Holdings Corp. (a) | 52,430 | 868,765 | ||||||
Tenet Healthcare Corp. (a) | 17,090 | 378,031 | ||||||
The Ensign Group Inc. | 14,947 | 708,936 | ||||||
|
| |||||||
7,819,648 | ||||||||
|
| |||||||
Healthcare Services - 1.1% |
| |||||||
Amedisys Inc. (a) | 6,995 | 916,415 | ||||||
AMN Healthcare Services Inc. (a) | 55,115 | 3,172,419 | ||||||
BioTelemetry Inc. (a) | 83,545 | 3,402,788 | ||||||
Chemed Corp. | 3,414 | 1,425,584 | ||||||
MEDNAX Inc. (a) | 177,860 | 4,023,193 | ||||||
R1 RCM Inc. (a) | 66,358 | 592,577 | ||||||
|
| |||||||
13,532,976 | ||||||||
|
| |||||||
Healthcare Supplies - 0.8% |
| |||||||
Avanos Medical Inc. (a) | 185,500 | 6,948,830 | ||||||
Endologix Inc. (a) | 140,007 | 555,828 | ||||||
Lantheus Holdings Inc. (a) | 53,446 | 1,339,624 | ||||||
Quidel Corp. (a) | 18,167 | 1,114,545 | ||||||
|
| |||||||
9,958,827 | ||||||||
|
| |||||||
Healthcare Technology - 1.9% |
| |||||||
Computer Programs & Systems Inc. | 24,355 | 550,667 | ||||||
HMS Holdings Corp. (a) | 223,728 | 7,710,785 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street InstitutionalSmall-Cap Equity Fund | 23 |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Schedule of Investments, continued — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Inspire Medical Systems Inc. (a) | 20,300 | 1,238,706 | ||||||
Medidata Solutions Inc. (a) | 72,000 | 6,588,000 | ||||||
NextGen Healthcare Inc. (a) | 38,603 | 604,909 | ||||||
Omnicell Inc. (a) | 22,708 | 1,641,107 | ||||||
Teladoc Health Inc. (a) | 79,500 | 5,383,740 | ||||||
|
| |||||||
23,717,914 | ||||||||
|
| |||||||
Home Building - 0.7% |
| |||||||
Cavco Industries Inc. (a) | 5,551 | 1,066,292 | ||||||
LGI Homes Inc. (a) | 23,187 | 1,931,941 | ||||||
Meritage Homes Corp. (a) | 8,437 | 593,543 | ||||||
Skyline Champion Corp. (a) | 70,306 | 2,115,507 | ||||||
TopBuild Corp. (a) | 27,869 | 2,687,408 | ||||||
|
| |||||||
8,394,691 | ||||||||
|
| |||||||
Home Furnishing Retail - 0.9% |
| |||||||
Aaron’s Inc. | 146,279 | 9,399,888 | ||||||
RH (a) | 10,700 | 1,827,881 | ||||||
Sleep Number Corp. (a) | 14,434 | 596,413 | ||||||
|
| |||||||
11,824,182 | ||||||||
|
| |||||||
Hotel & Resort REITs - 0.5% |
| |||||||
Pebblebrook Hotel Trust | 54,737 | 1,522,783 | ||||||
RLJ Lodging Trust | 273,204 | 4,641,736 | ||||||
|
| |||||||
6,164,519 | ||||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 1.0% |
| |||||||
Extended Stay America Inc. | 820,176 | 12,007,377 | ||||||
Hilton Grand Vacations Inc. (a) | 13,385 | 428,320 | ||||||
|
| |||||||
12,435,697 | ||||||||
|
| |||||||
Household Appliances - 0.3% |
| |||||||
Helen of Troy Ltd. (a) | 23,330 | 3,678,208 | ||||||
|
| |||||||
Human Resource & Employment Services - 0.5% |
| |||||||
ASGN Inc. (a) | 17,322 | 1,088,861 | ||||||
Barrett Business Services Inc. | 8,439 | 749,552 | ||||||
Heidrick & Struggles International Inc. | 18,818 | 513,731 | ||||||
Insperity Inc. | 23,190 | 2,286,998 | ||||||
Kforce Inc. | 37,402 | 1,415,105 | ||||||
Korn Ferry | 19,102 | 738,101 | ||||||
|
| |||||||
6,792,348 | ||||||||
|
| |||||||
Hypermarkets & Super Centers - 0.1% |
| |||||||
BJ’s Wholesale Club Holdings Inc. (a) | 37,715 | 975,687 | ||||||
|
| |||||||
Industrial Machinery - 7.5% |
| |||||||
Actuant Corp., Class A | 401,518 | 8,809,305 |
Number of Shares | Fair Value $ | |||||||
Altra Industrial Motion Corp. | 238,308 | 6,599,940 | ||||||
Barnes Group Inc. | 207,556 | 10,697,436 | ||||||
Crane Co. | 125,461 | 10,115,920 | ||||||
Evoqua Water Technologies Corp. (a) | 107,730 | 1,833,565 | ||||||
Franklin Electric Company Inc. | 17,100 | 817,551 | ||||||
Harsco Corp. (a) | 22,669 | 429,804 | ||||||
Hillenbrand Inc. | 19,645 | 606,638 | ||||||
John Bean Technologies Corp. | 85,500 | 8,501,265 | ||||||
Kennametal Inc. | 24,884 | 764,934 | ||||||
LB Foster Co., Class A (a) | 47,544 | 1,030,279 | ||||||
Lydall Inc. (a) | 45,000 | 1,120,950 | ||||||
Mueller Industries Inc. | 175,101 | 5,021,897 | ||||||
Standex International Corp. | 51,000 | 3,719,940 | ||||||
The Timken Co. | 300,785 | 13,087,155 | ||||||
TriMas Corp. (a) | 76,000 | 2,329,400 | ||||||
Watts Water Technologies Inc., Class A | 54,646 | 5,121,970 | ||||||
Welbilt Inc. (a) | 501,500 | 8,455,290 | ||||||
Woodward Inc. | 45,352 | 4,890,306 | ||||||
|
| |||||||
93,953,545 | ||||||||
|
| |||||||
Industrial REITs - 0.8% |
| |||||||
EastGroup Properties Inc. | 51,404 | 6,426,528 | ||||||
Innovative Industrial Properties Inc. | 9,913 | 915,664 | ||||||
Monmouth Real Estate Investment Corp. | 119,114 | 1,716,432 | ||||||
Rexford Industrial Realty Inc. | 20,138 | 886,475 | ||||||
|
| |||||||
9,945,099 | ||||||||
|
| |||||||
Interactive Home Entertainment - 0.1% |
| |||||||
Glu Mobile Inc. (a) | 116,167 | 579,673 | ||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.1% |
| |||||||
1-800-Flowers.com Inc., Class A (a) | 49,101 | 726,449 | ||||||
|
| |||||||
Investment Banking & Brokerage - 0.9% |
| |||||||
Evercore Inc., Class A | 9,609 | 769,681 | ||||||
Greenhill & Company Inc. | 43,935 | 576,427 | ||||||
Houlihan Lokey Inc. | 31,217 | 1,407,887 | ||||||
Piper Jaffray Cos. | 24,982 | 1,885,641 | ||||||
Raymond James Financial Inc. | 65,758 | 5,422,405 | ||||||
Stifel Financial Corp. | 30,262 | 1,736,433 | ||||||
|
| |||||||
11,798,474 | ||||||||
|
| |||||||
IT Consulting & Other Services - 0.1% |
| |||||||
Perficient Inc. (a) | 23,471 | 905,511 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
24 | State Street InstitutionalSmall-Cap Equity Fund |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Schedule of Investments, continued — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Leisure Facilities - 0.1% |
| |||||||
SeaWorld Entertainment Inc. (a) | 22,670 | 596,674 | ||||||
|
| |||||||
Leisure Products - 0.9% |
| |||||||
Callaway Golf Co. | 46,871 | 909,766 | ||||||
Malibu Boats Inc., Class A (a) | 24,055 | 738,008 | ||||||
MasterCraft Boat Holdings Inc. (a) | 38,903 | 580,627 | ||||||
Polaris Inc. | 102,716 | 9,040,035 | ||||||
|
| |||||||
11,268,436 | ||||||||
|
| |||||||
Life & Health Insurance - 0.1% |
| |||||||
Trupanion Inc. (a) | 51,737 | 1,315,155 | ||||||
|
| |||||||
Life Sciences Tools & Services - 2.0% |
| |||||||
Bruker Corp. | 131,128 | 5,760,453 | ||||||
ICON PLC (a) | 55,017 | 8,106,205 | ||||||
Medpace Holdings Inc. (a) | 17,363 | 1,459,187 | ||||||
PRA Health Sciences Inc. (a) | 13,871 | 1,376,419 | ||||||
Syneos Health Inc. (a) | 145,754 | 7,755,570 | ||||||
|
| |||||||
24,457,834 | ||||||||
|
| |||||||
Managed Healthcare - 0.0%* |
| |||||||
Magellan Health Inc. (a) | 8,542 | 530,458 | ||||||
|
| |||||||
Mortgage REITs - 0.1% |
| |||||||
Blackstone Mortgage Trust Inc., Class A | 24,371 | 873,700 | ||||||
|
| |||||||
Multi-Line Insurance - 0.5% |
| |||||||
Horace Mann Educators Corp. | 105,094 | 4,869,005 | ||||||
National General Holdings Corp. | 34,632 | 797,229 | ||||||
|
| |||||||
5,666,234 | ||||||||
|
| |||||||
Multi-Utilities - 0.2% |
| |||||||
Black Hills Corp. | 24,041 | 1,844,666 | ||||||
|
| |||||||
Office REITs - 1.1% |
| |||||||
Brandywine Realty Trust | 59,347 | 899,107 | ||||||
Corporate Office Properties Trust | 64,619 | 1,924,354 | ||||||
Cousins Properties Inc. | 233,475 | 8,776,325 | ||||||
Easterly Government Properties Inc. | 110,864 | 2,361,403 | ||||||
|
| |||||||
13,961,189 | ||||||||
|
| |||||||
Office Services & Supplies - 1.2% |
| |||||||
Herman Miller Inc. | 23,764 | 1,095,283 | ||||||
HNI Corp. | 38,417 | 1,363,804 | ||||||
Knoll Inc. | 31,122 | 788,943 |
Number of Shares | Fair Value $ | |||||||
MSA Safety Inc. | 97,430 | 10,630,587 | ||||||
Steelcase Inc., Class A | 82,498 | 1,517,963 | ||||||
|
| |||||||
15,396,580 | ||||||||
|
| |||||||
Oil & Gas Drilling - 0.0%* |
| |||||||
Nabors Industries Ltd. | 278,943 | 521,623 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 0.5% |
| |||||||
Apergy Corp. (a) | 6,162 | 166,682 | ||||||
Natural Gas Services Group Inc. (a) | 47,463 | 608,001 | ||||||
Oil States International Inc. (a) | 344,848 | 4,586,478 | ||||||
ProPetro Holding Corp. (a) | 114,606 | 1,041,769 | ||||||
|
| |||||||
6,402,930 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production - 1.2% |
| |||||||
Callon Petroleum Co. (a) | 294,314 | 1,277,323 | ||||||
Carrizo Oil & Gas Inc. (a) | 296,871 | 2,548,638 | ||||||
Encana Corp. | 1,268,894 | 5,836,912 | ||||||
Gulfport Energy Corp. (a) | 94,670 | 256,556 | ||||||
PDC Energy Inc. (a) | 51,950 | 1,441,613 | ||||||
Range Resources Corp. | 233,698 | 892,726 | ||||||
SM Energy Co. | 315,347 | 3,055,712 | ||||||
|
| |||||||
15,309,480 | ||||||||
|
| |||||||
Oil & Gas Refining & Marketing - 0.1% |
| |||||||
Delek US Holdings Inc. | 31,480 | 1,142,724 | ||||||
|
| |||||||
Packaged Foods & Meats - 3.7% |
| |||||||
B&G Foods Inc. | 208,000 | 3,933,280 | ||||||
Freshpet Inc. (a) | 85,500 | 4,255,335 | ||||||
Hostess Brands Inc. (a) | 600,000 | 8,391,000 | ||||||
J&J Snack Foods Corp. | 8,500 | 1,632,000 | ||||||
John B Sanfilippo & Son Inc. | 9,168 | 885,629 | ||||||
Lancaster Colony Corp. | 35,000 | 4,852,750 | ||||||
Sanderson Farms Inc. | 76,278 | 11,543,150 | ||||||
The Simply Good Foods Co. (a) | 185,000 | 5,363,150 | ||||||
TreeHouse Foods Inc. (a) | 111,500 | 6,182,675 | ||||||
|
| |||||||
47,038,969 | ||||||||
|
| |||||||
Paper Products - 0.1% |
| |||||||
Neenah Inc. | 19,973 | 1,300,642 | ||||||
|
| |||||||
Personal Products - 0.4% |
| |||||||
elf Beauty Inc. (a) | 232,000 | 4,062,320 | ||||||
Medifast Inc. | 6,845 | 709,347 | ||||||
|
| |||||||
4,771,667 | ||||||||
|
| |||||||
Pharmaceuticals - 1.6% |
| |||||||
ANI Pharmaceuticals Inc. (a) | 15,638 | 1,139,698 | ||||||
Assertio Therapeutics Inc. (a) | 85,500 | 109,440 | ||||||
Catalent Inc. (a) | 139,075 | 6,628,315 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street InstitutionalSmall-Cap Equity Fund | 25 |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Schedule of Investments, continued — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Collegium Pharmaceutical Inc. (a) | 42,265 | 485,202 | ||||||
Endo International PLC (a) | 46,616 | 149,637 | ||||||
Horizon Therapeutics PLC (a) | 59,654 | 1,624,378 | ||||||
Prestige Consumer Healthcare Inc. (a) | 241,381 | 8,373,507 | ||||||
Supernus Pharmaceuticals Inc. (a) | 64,387 | 1,769,355 | ||||||
|
| |||||||
20,279,532 | ||||||||
|
| |||||||
Property & Casualty Insurance - 1.9% |
| |||||||
AMERISAFE Inc. | 72,061 | 4,763,953 | ||||||
Argo Group International Holdings Ltd. | 125,202 | 8,794,188 | ||||||
James River Group Holdings Ltd. | 68,000 | 3,484,320 | ||||||
Palomar Holdings Inc. (a) | 20,225 | 797,270 | ||||||
RLI Corp. | 61,408 | 5,705,417 | ||||||
Selective Insurance Group Inc. | 7,911 | 594,828 | ||||||
|
| |||||||
24,139,976 | ||||||||
|
| |||||||
Publishing - 0.9% |
| |||||||
John Wiley & Sons Inc., Class A | 263,431 | 11,575,158 | ||||||
|
| |||||||
Regional Banks - 8.5% |
| |||||||
1st Source Corp. | 37,889 | 1,732,664 | ||||||
Atlantic Union Bankshares Corp. | 50,093 | 1,865,714 | ||||||
BankUnited Inc. | 25,962 | 872,842 | ||||||
Banner Corp. | 40,262 | 2,261,517 | ||||||
Bryn Mawr Bank Corp. | 67,000 | 2,446,170 | ||||||
Camden National Corp. | 26,049 | 1,128,443 | ||||||
Columbia Banking System Inc. | 43,755 | 1,614,559 | ||||||
Community Bank System Inc. | 65,000 | 4,009,850 | ||||||
Cullen/Frost Bankers Inc. | 54,882 | 4,859,801 | ||||||
CVB Financial Corp. | 159,500 | 3,328,765 | ||||||
Enterprise Financial Services Corp. | 45,716 | 1,862,927 | ||||||
Equity Bancshares Inc., Class A (a) | 62,890 | 1,686,081 | ||||||
First Interstate BancSystem Inc., Class A | 45,452 | 1,828,988 | ||||||
Franklin Financial Network Inc. | 31,346 | 946,963 | ||||||
Fulton Financial Corp. | 309,618 | 5,009,619 | ||||||
German American Bancorp Inc. | 76,000 | 2,435,800 | ||||||
Hancock Whitney Corp. | 31,918 | 1,222,300 | ||||||
Home BancShares Inc. | 66,359 | 1,247,217 | ||||||
IBERIABANK Corp. | 86,311 | 6,519,933 | ||||||
Independent Bank Corp. | 78,000 | 5,822,700 |
Number of Shares | Fair Value $ | |||||||
Investors Bancorp Inc. | 79,469 | 902,768 | ||||||
Lakeland Financial Corp. | 18,773 | 825,637 | ||||||
Origin Bancorp Inc. | 50,600 | 1,707,244 | ||||||
Pinnacle Financial Partners Inc. | 15,443 | 876,390 | ||||||
Prosperity Bancshares Inc. | 146,687 | 10,360,503 | ||||||
Renasant Corp. | 216,026 | 7,563,070 | ||||||
Sandy Spring Bancorp Inc. | 40,928 | 1,379,683 | ||||||
Simmons First National Corp., Class A | 45,210 | 1,125,729 | ||||||
Stock Yards Bancorp Inc. | 63,500 | 2,329,815 | ||||||
TCF Financial Corp. | 32,764 | 1,247,325 | ||||||
UMB Financial Corp. | 107,500 | 6,942,350 | ||||||
United Community Banks Inc. | 61,961 | 1,756,594 | ||||||
Valley National Bancorp | 41,717 | 453,464 | ||||||
Washington Trust Bancorp Inc. | 53,500 | 2,584,585 | ||||||
Westamerica Bancorporation | 93,831 | 5,834,412 | ||||||
Western Alliance Bancorp | 139,661 | 6,435,579 | ||||||
Wintrust Financial Corp. | 33,431 | 2,160,646 | ||||||
|
| |||||||
107,188,647 | ||||||||
|
| |||||||
Research & Consulting Services - 0.4% |
| |||||||
Resources Connection Inc. | 280,998 | 4,774,156 | ||||||
|
| |||||||
Residential REITs - 0.1% |
| |||||||
NexPoint Residential Trust Inc. | 26,264 | 1,228,105 | ||||||
|
| |||||||
Restaurants - 0.9% |
| |||||||
Bloomin’ Brands Inc. | 18,400 | 348,312 | ||||||
Brinker International Inc. | 21,567 | 920,264 | ||||||
Cracker Barrel Old Country Store Inc. | 16,527 | 2,688,117 | ||||||
Dave & Buster’s Entertainment Inc. | 12,707 | 494,938 | ||||||
Ruth’s Hospitality Group Inc. | 63,420 | 1,294,719 | ||||||
Texas Roadhouse Inc. | 62,764 | 3,296,365 | ||||||
The Cheesecake Factory Inc. | 64,746 | 2,698,613 | ||||||
|
| |||||||
11,741,328 | ||||||||
|
| |||||||
Retail REITs - 0.1% |
| |||||||
Retail Opportunity Investments Corp. | 99,442 | 1,812,828 | ||||||
|
| |||||||
Security & Alarm Services - 1.1% |
| |||||||
The Brink’s Co. | 161,276 | 13,377,844 | ||||||
|
| |||||||
Semiconductor Equipment - 0.4% |
| |||||||
Brooks Automation Inc. | 21,360 | 790,961 | ||||||
Ichor Holdings Ltd. (a) | 77,202 | 1,866,744 | ||||||
Rudolph Technologies Inc. (a) | 105,277 | 2,775,102 | ||||||
|
| |||||||
5,432,807 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
26 | State Street InstitutionalSmall-Cap Equity Fund |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Schedule of Investments, continued — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Semiconductors - 0.6% |
| |||||||
Diodes Inc. (a) | 21,838 | 876,795 | ||||||
Semtech Corp. (a) | 121,608 | 5,911,365 | ||||||
SMART Global Holdings Inc. (a) | 26,183 | 667,143 | ||||||
|
| |||||||
7,455,303 | ||||||||
|
| |||||||
Soft Drinks - 0.3% |
| |||||||
Cott Corp. | 279,809 | 3,489,218 | ||||||
|
| |||||||
Specialized Consumer Services - 0.0%* |
| |||||||
WW International Inc. (a) | 14,744 | 557,618 | ||||||
|
| |||||||
Specialized REITs - 0.7% |
| |||||||
CoreSite Realty Corp. | 31,792 | 3,873,855 | ||||||
National Storage Affiliates Trust | 37,703 | 1,258,149 | ||||||
PotlatchDeltic Corp. | 47,787 | 1,963,329 | ||||||
QTS Realty Trust Inc., Class A | 18,931 | 973,243 | ||||||
The GEO Group Inc. | 45,261 | 784,826 | ||||||
|
| |||||||
8,853,402 | ||||||||
|
| |||||||
Specialty Chemicals - 4.1% |
| |||||||
Chase Corp. | 15,500 | 1,695,545 | ||||||
Ferro Corp. (a) | 84,586 | 1,003,190 | ||||||
HB Fuller Co. | 131,381 | 6,117,099 | ||||||
Ingevity Corp. (a) | 86,069 | 7,302,094 | ||||||
Innospec Inc. | 45,500 | 4,055,870 | ||||||
Minerals Technologies Inc. | 22,362 | 1,187,199 | ||||||
PolyOne Corp. | 195,123 | 6,370,766 | ||||||
Quaker Chemical Corp. | 30,920 | 4,889,689 | ||||||
Sensient Technologies Corp. | 169,807 | 11,657,250 | ||||||
Stepan Co. | 76,118 | 7,388,013 | ||||||
|
| |||||||
51,666,715 | ||||||||
|
| |||||||
Specialty Stores - 0.7% |
| |||||||
Hudson Ltd., Class A (a) | 38,994 | 478,456 | ||||||
MarineMax Inc. (a) | 35,403 | 548,038 | ||||||
National Vision Holdings Inc. (a) | 102,000 | 2,455,140 | ||||||
Sally Beauty Holdings Inc. (a) | 356,695 | 5,311,189 | ||||||
|
| |||||||
8,792,823 | ||||||||
|
| |||||||
Steel - 0.4% |
| |||||||
Carpenter Technology Corp. | 32,914 | 1,700,337 | ||||||
Commercial Metals Co. | 177,567 | 3,086,115 | ||||||
|
| |||||||
4,786,452 | ||||||||
|
| |||||||
Systems Software - 0.9% |
| |||||||
Progress Software Corp. | 26,817 | 1,020,655 | ||||||
Qualys Inc. (a) | 40,000 | 3,022,800 |
Number of Shares | Fair Value $ | |||||||
SailPoint Technologies Holding Inc. (a) | 139,000 | 2,597,910 | ||||||
Talend S.A. ADR (a) | 47,500 | 1,614,050 | ||||||
Tenable Holdings Inc. (a) | 160,500 | 3,591,990 | ||||||
|
| |||||||
11,847,405 | ||||||||
|
| |||||||
Technology Distributors - 0.3% |
| |||||||
Insight Enterprises Inc. (a) | 15,970 | 889,369 | ||||||
SYNNEX Corp. | 7,731 | 872,830 | ||||||
Tech Data Corp. (a) | 12,998 | 1,354,912 | ||||||
|
| |||||||
3,117,111 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.7% |
| |||||||
Pure Storage Inc., Class A (a) | 489,000 | 8,283,660 | ||||||
|
| |||||||
Thrifts & Mortgage Finance - 0.8% |
| |||||||
Axos Financial Inc. (a) | 42,493 | 1,174,931 | ||||||
Essent Group Ltd. | 23,750 | 1,132,163 | ||||||
Flagstar Bancorp Inc. | 10,286 | 384,182 | ||||||
HomeStreet Inc. (a) | 47,559 | 1,299,312 | ||||||
Kearny Financial Corp. | 31,336 | 408,621 | ||||||
NMI Holdings Inc., Class A (a) | 43,164 | 1,133,487 | ||||||
WSFS Financial Corp. | 108,247 | 4,773,693 | ||||||
|
| |||||||
10,306,389 | ||||||||
|
| |||||||
Tires & Rubber - 0.1% |
| |||||||
Cooper Tire & Rubber Co. | 63,991 | 1,671,445 | ||||||
|
| |||||||
Trading Companies & Distributors - 0.9% |
| |||||||
Applied Industrial Technologies Inc. | 133,980 | 7,610,064 | ||||||
BMC Stock Holdings Inc. (a) | 38,160 | 999,029 | ||||||
Foundation Building Materials Inc. (a) | 31,898 | 494,100 | ||||||
GMS Inc. (a) | 24,961 | 716,880 | ||||||
Herc Holdings Inc. (a) | 25,828 | 1,201,260 | ||||||
|
| |||||||
11,021,333 | ||||||||
|
| |||||||
Trucking - 0.7% |
| |||||||
ArcBest Corp. | 17,654 | 537,564 | ||||||
Avis Budget Group Inc. (a) | 22,600 | 638,676 | ||||||
Marten Transport Ltd. | 63,839 | 1,326,575 | ||||||
Old Dominion Freight Line Inc. | 26,814 | 4,557,576 | ||||||
Saia Inc. (a) | 23,399 | 2,192,486 | ||||||
|
| |||||||
9,252,877 | ||||||||
|
| |||||||
Total Common Stock (Cost $975,457,558) |
| 1,192,531,385 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street InstitutionalSmall-Cap Equity Fund | 27 |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Schedule of Investments, continued — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Short-Term Investments - 5.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.92% | 66,352,770 | 66,352,770 | ||||||
|
| |||||||
Total Investments (Cost $1,041,810,328) |
| 1,258,884,155 | ||||||
Liabilities in Excess of Other Assets, net - (0.1)% |
| (1,049,039 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% |
| 1,257,835,116 | ||||||
|
|
Other Information:
The Fund had the following long futures contracts open at September 30, 2019:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
E-mini Russell 2000 Index Futures | December 2019 | 205 | $ | 16,214,240 | $ | 15,631,250 | $ | (582,990 | ) | |||||||||||
|
|
During the period ended September 30, 2019, average notional value related to long futures contracts was $18,483,021 or 1.5% of net assets.
The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2019:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street InstitutionalSmall-Cap Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 1,192,531,385 | $ | — | $ | — | $ | 1,192,531,385 | ||||||||||
Short-Term Investments | 66,352,770 | — | — | 66,352,770 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 1,258,884,155 | $ | — | $ | — | $ | 1,258,884,155 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts - Unrealized Depreciation | $ | (582,990 | ) | $ | — | $ | — | $ | (582,990 | ) | ||||||||
|
|
|
|
|
|
|
|
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 9/30/19 | Value at 9/30/19 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 96,806,112 | $ | 96,806,112 | $ | 391,610,787 | $ | 422,064,129 | $ | — | $ | — | 66,352,770 | $ | 66,352,770 | $ | 1,507,813 |
See Notes to Schedules of Investments and Notes to Financial Statements.
28 | State Street InstitutionalSmall-Cap Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Management Discussion of Fund Performance — September 30, 2019 (Unaudited)
The State Street Institutional International Equity Fund (the “Fund”) seeks to provide long-term capital growth. The Fund’s benchmark is the MSCI EAFE Index (the “Index”).
For the12-month period ended September 30, 2019 (the “Reporting Period”), the total return for the Fund’s Investment Class was 3.18% and for the Fund’s Service Class was 3.03%, and the Index was -1.34%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Strong stock selection especially in healthcare and financial stocks, and on the negative side, underperformance in energy names were the primary drivers of Fund performance during the Reporting Period relative to the Index. In healthcare, a number of holdings in both the healthcare equipment and pharmaceutical segments outperformed. The most prominent of these was Japanese equipment supplier Hoya Corp. Hoya has had a stable and profitable eyeglass business, but its recent strength has been driven by its sales to the semiconductor manufacturing industry where it supplies a key component inhigh-end chip manufacturing. In financials, the Fund was helped by a diverse group of companies including an Indian bank (ICICI), a UK based exchange (London Stock Exchange), a Canadian asset manager (Brookfield Asset Manager), and insurance companies in both Hong Kong and Japan (AIA and Tokio Marine). The Fund was helped by an underweight relative to the Index in the lagging energy sector, but the Fund’s holdings in the sector lagged hurting performance. Norwegian oil and gas producer Equinor was particularly weak during the Reporting Period, as it was negatively impacted by weak natural gas prices and higher than expected tax payments.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Nestle, Hoya Corp, and ICICI Bank. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Equinor, Seven Generations Energy, and Mitsubishi UFJ Financial Group.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
State Street Institutional International Equity Fund | 29 |
Table of Contents
State Street Institutional International Equity Fund
Performance Summary — September 30, 2019 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek long-term growth of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in equity securities, such as common and preferred stocks. The Fund invests primarily (meaning at least 65% of its total assets) in companies located in both developed and emerging market countries outside the United States.
Top Ten Largest Holdings
as of September 30, 2019 (as a % of Fair Value)(a)(b)
Nestle S.A. | 4.52 | % | ||
Novartis AG | 3.60 | % | ||
Roche Holding AG | 3.41 | % | ||
AstraZeneca PLC | 3.32 | % | ||
Hoya Corp. | 3.01 | % | ||
AIA Group Ltd. | 2.94 | % | ||
Safran S.A. | 2.84 | % | ||
SAP SE | 2.72 | % | ||
Air Liquide S.A. | 2.65 | % | ||
Shiseido Company Ltd. | 2.55 | % |
Regional Allocation as of September 30, 2019
Portfolio Composition as a % of Fair Value of $84,929 (in thousands) as of September 30, 2019(a)(b)
Average Annual Total Return for the periods ended September 30, 2019
Investment Class Shares (Inception date: 11/25/97)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional International Equity Fund | 3.18 | % | 3.19 | % | 4.17 | % | $ | 15,041 | ||||||||
MSCI EAFE Index | -1.34 | % | 3.27 | % | 4.90 | % | $ | 16,140 |
Service Class Shares (Inception date: 1/3/01)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional International Equity Fund | 3.03 | % | 2.96 | % | 3.91 | % | $ | 14,671 | ||||||||
MSCI EAFE Index | -1.34 | % | 3.27 | % | 4.90 | % | $ | 16,140 |
(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. |
30 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Performance Summary, continued — September 30, 2019 (Unaudited)
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
State Street Institutional International Equity Fund | 31 |
Table of Contents
State Street Institutional International Equity Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 | ||||||||
Beginning Account Value April 1, 2019 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2019 | $ | 1,059.20 | $ | 1,022.30 | ||||
Expenses Paid During Period* | $ | 2.84 | $ | 2.79 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Beginning Account Value April 1, 2019 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2019 | $ | 1,058.50 | $ | 1,021.10 | ||||
Expenses Paid During Period* | $ | 4.13 | $ | 4.05 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.55%** for Investment Class shares and 0.80% for Service Class shares (for the period April 1, 2019-September 30, 2019), multiplied by the average account value over the period, multiplied by 183/365 (to reflect theone-half year period). |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
32 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Common Stock - 97.6% † |
| |||||||
Australia - 1.8% |
| |||||||
BHP Group PLC | 73,761 | 1,574,676 | ||||||
|
| |||||||
Belgium - 1.6% |
| |||||||
Anheuser-Busch InBev S.A. | 14,829 | 1,413,282 | ||||||
|
| |||||||
Brazil - 1.1% |
| |||||||
Itau Unibanco Holding S.A. ADR (b) | 110,092 | 925,874 | ||||||
|
| |||||||
Canada - 1.1% |
| |||||||
Brookfield Asset Management Inc., Class A | 17,758 | 943,561 | ||||||
|
| |||||||
China - 0.5% |
| |||||||
New Oriental Education & Technology Group Inc. ADR (a)(b) | 3,942 | 436,616 | ||||||
|
| |||||||
France - 15.7% |
| |||||||
Air Liquide S.A. | 15,834 | 2,254,447 | ||||||
Airbus SE | 13,253 | 1,722,251 | ||||||
AXA S.A. | 66,102 | 1,688,469 | ||||||
BNP Paribas S.A. | 32,944 | 1,604,347 | ||||||
Safran S.A. | 15,316 | 2,411,954 | ||||||
Schneider Electric SE | 24,411 | 2,142,336 | ||||||
Vivendi S.A. | 62,586 | 1,718,063 | ||||||
|
| |||||||
13,541,867 | ||||||||
|
| |||||||
Germany - 4.7% |
| |||||||
Fresenius SE & Company KGaA | 8,105 | 379,023 | ||||||
HeidelbergCement AG | 19,404 | 1,402,949 | ||||||
SAP SE | 19,623 | 2,307,876 | ||||||
|
| |||||||
4,089,848 | ||||||||
|
| |||||||
Hong Kong - 2.9% |
| |||||||
AIA Group Ltd. | 264,802 | 2,501,287 | ||||||
|
| |||||||
India - 1.1% |
| |||||||
ICICI Bank Ltd. | 150,271 | 919,622 | ||||||
|
| |||||||
Ireland - 2.1% |
| |||||||
Kerry Group PLC, Class A | 15,236 | 1,782,284 | ||||||
|
| |||||||
Japan - 29.7% |
| |||||||
Daikin Industries Ltd. | 13,600 | 1,784,390 | ||||||
Disco Corp. | 6,900 | 1,306,260 | ||||||
FANUC Corp. | 6,249 | 1,176,078 | ||||||
Hoya Corp. | 31,300 | 2,554,103 | ||||||
Kao Corp. | 20,700 | 1,529,205 | ||||||
Keyence Corp. | 3,200 | 1,980,847 | ||||||
Komatsu Ltd. | 59,400 | 1,360,305 |
Number of Shares | Fair Value $ | |||||||
Mitsubishi UFJ Financial Group Inc. | 337,400 | 1,712,053 | ||||||
Mitsui Fudosan Company Ltd. | 63,325 | 1,569,722 | ||||||
Murata Manufacturing Company Ltd. | 31,937 | 1,532,208 | ||||||
Nidec Corp. | 11,474 | 1,541,545 | ||||||
Secom Company Ltd. | 15,000 | 1,368,217 | ||||||
Shiseido Company Ltd. | 27,100 | 2,163,737 | ||||||
SoftBank Group Corp. | 26,802 | 1,051,496 | ||||||
Subaru Corp. | 20,700 | 582,262 | ||||||
Suzuki Motor Corp. | 24,400 | 1,035,603 | ||||||
Tokio Marine Holdings Inc. | 25,349 | 1,355,465 | ||||||
|
| |||||||
25,603,496 | ||||||||
|
| |||||||
Netherlands - 4.2% |
| |||||||
ASML Holding N.V. | 8,656 | 2,144,506 | ||||||
ING Groep N.V. | 141,884 | 1,485,565 | ||||||
|
| |||||||
3,630,071 | ||||||||
|
| |||||||
Norway - 1.8% |
| |||||||
Equinor ASA | 82,570 | 1,572,619 | ||||||
|
| |||||||
Portugal - 1.7% |
| |||||||
Galp Energia SGPS S.A. | 94,503 | 1,424,350 | ||||||
|
| |||||||
Sweden - 3.1% |
| |||||||
Assa Abloy AB, Class B | 87,740 | 1,955,202 | ||||||
Hexagon AB, Class B | 14,396 | 694,898 | ||||||
|
| |||||||
2,650,100 | ||||||||
|
| |||||||
Switzerland - 13.0% |
| |||||||
Givaudan S.A. | 512 | 1,429,482 | ||||||
Nestle S.A. | 35,332 | 3,836,684 | ||||||
Novartis AG | 35,231 | 3,057,605 | ||||||
Roche Holding AG | 9,939 | 2,895,033 | ||||||
|
| |||||||
11,218,804 | ||||||||
|
| |||||||
Taiwan - 1.1% |
| |||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 112,548 | 986,738 | ||||||
|
| |||||||
United Kingdom - 10.4% |
| |||||||
AstraZeneca PLC | 31,498 | 2,818,355 | ||||||
London Stock Exchange Group PLC | 17,396 | 1,566,622 | ||||||
Prudential PLC | 84,210 | 1,530,636 | ||||||
Smith & Nephew PLC | 41,483 | 1,001,431 | ||||||
Smiths Group PLC | 51,590 | 998,117 | ||||||
Vodafone Group PLC | 538,572 | 1,075,166 | ||||||
|
| |||||||
8,990,327 | ||||||||
|
| |||||||
Total Common Stock (Cost $72,193,431) |
| 84,205,422 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional International Equity Fund | 33 |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments, continued — September 30, 2019
Number of Shares | Fair Value $ | |||||||
Short-Term Investments - 0.8% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.92% | 723,844 | 723,844 | ||||||
|
| |||||||
Total Investments (Cost $72,917,275) |
| 84,929,266 | ||||||
Other Assets and Liabilities, net - 1.6% |
| 1,358,623 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| 86,287,889 | ||||||
|
|
Other Information:
The Fund had the following short futures contracts open at September 30, 2019:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
MSCI EAFE Mini Futures | December 2019 | 2 | $ | (190,911 | ) | $ | (189,840 | ) | $ | 1,071 | ||||||||||
|
|
During the period ended September 30, 2019, average notional value related to long and short futures contracts was $4,331,817 or 5.0% of net assets and $14,603 or less than 0.05% of net assets, respectively.
The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2019:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional International Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 84,205,422 | $ | — | $ | — | $ | 84,205,422 | ||||||||||
Short-Term Investments | 723,844 | — | — | 723,844 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 84,929,266 | $ | — | $ | — | $ | 84,929,266 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Short Futures Contracts - Unrealized Appreciation | $ | 1,071 | $ | — | $ | — | $ | 1,071 | ||||||||||
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
34 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments, continued — September 30, 2019
The Fund was invested in the following sectors at September 30, 2019 (unaudited):
Sector | Percentage (based on Fair Value) | |||
Pharmaceuticals | 10.33% | |||
Diversified Banks | 7.83% | |||
Packaged Foods & Meats | 6.62% | |||
Aerospace & Defense | 4.87% | |||
Life & Health Insurance | 4.75% | |||
Building Products | 4.40% | |||
Personal Products | 4.35% | |||
Electrical Components & Equipment | 4.34% | |||
Semiconductor Equipment | 4.06% | |||
Integrated Oil & Gas | 3.53% | |||
Electronic Equipment & Instruments | 3.15% | |||
Healthcare Supplies | 3.01% | |||
Application Software | 2.72% | |||
Industrial Gases | 2.65% | |||
Wireless Telecommunication Services | 2.50% | |||
Movies & Entertainment | 2.02% | |||
Multi-Line Insurance | 1.99% | |||
Automobile Manufacturers | 1.91% | |||
Diversified Metals & Mining | 1.85% | |||
Diversified Real Estate Activities | 1.85% | |||
Financial Exchanges & Data | 1.84% |
Sector | Percentage (based on Fair Value) | |||
Electronic Components | 1.80% | |||
Specialty Chemicals | 1.68% | |||
Brewers | 1.66% | |||
Construction Materials | 1.65% | |||
Security & Alarm Services | 1.61% | |||
Construction Machinery & Heavy Trucks | 1.60% | |||
Property & Casualty Insurance | 1.60% | |||
Industrial Machinery | 1.39% | |||
Healthcare Equipment | 1.18% | |||
Industrial Conglomerates | 1.18% | |||
Semiconductors | 1.16% | |||
Asset Management & Custody Banks | 1.11% | |||
Education Services | 0.51% | |||
Healthcare Services | 0.45% | |||
|
| |||
99.15% | ||||
|
| |||
Short-Term Investments | ||||
Short-Term Investments | 0.85% | |||
|
| |||
0.85% | ||||
|
| |||
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 9/30/19 | Value at 9/30/19 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 54,039,876 | $ | 54,039,876 | $ | 32,190,356 | $ | 85,506,388 | $ | — | $ | — | 723,844 | $ | 723,844 | $ | 112,631 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional International Equity Fund | 35 |
Table of Contents
State Street Active Core Bond Fund
Management Discussion of Fund Performance — September 30, 2019 (Unaudited)
The State Street Active Core Bond Fund (the “Fund”) seeks to provide maximum income consistent with prudent investment management and the preservation of capital. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Bond Index (the “Index”).
For the12-month period ended September 30, 2019 (the “Reporting Period”), the total return for the Fund’s Investment Class was 9.76% and for the Fund’s Service Class was 9.56%, and the Index was 10.30%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Duration and asset allocation, which each had a negative impact, and security selection, which had a positive impact, were the primary drivers of Fund performance during the Reporting Period relative to the Index.
Our view in the fourth quarter of 2018 was that long-term rates were nearing a cyclical peak. Over the course of the Reporting Period, theten-year government interest rate decreased from 3.06% to 1.66%. By the third quarter of 2019, we felt that long-term rates were nearing a cyclical low. As such, we established a short duration position relative to the Index during this period, negatively impacting the Fund’s performance relative to the Index.
Reflecting our view that the credit and economic cycle would persist, the Fund maintained an over-weight asset allocation to credit sectors during the Reporting Period. Credit spreads fluctuated significantly during the Reporting Period, especially during the fourth quarter of 2018 and the first quarter of 2019. Credit performance versus duration-equivalent treasuries was mixed over the Reporting Period, with investment-grade creditout-performing risk-free assets, while high-yield under-performed. As such, the Fund’s asset allocation to high yield generated negative excess returns relative to the Index.
Security selection in the investment-grade credit allocation generated positive excess returns as ourbottom-up fundamental underwriting assisted our portfolio construction process to select higher value securities.
The Fund used treasury futures, interest swaps and index credit default swaps in order to actively manage duration and credit spread duration during the Reporting Period. The Fund’s use of treasury futures and interest rate swaps detracted from Fund performance relative to the Index, while its use of index credit default swaps contributed to Fund performance relative to the Index.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
36 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Performance Summary — September 30, 2019 (Unaudited)
Investment Profile
A mutual fund designed for investors who seek maximum income consistent with prudent investment management and the preservation of capital. The Fund seeks to achieve its investment objective by investing at least 80% of its net assets under normal circumstances in bonds and other debt securities. The Fund invests primarily in a variety of investment-grade debt securities, such as mortgage-backed securities, corporate bonds, U.S. Government securities and money market instruments.
Quality Ratings
as of September 30, 2019 as a % of Fair Value(a)(b)
Moody’s / S&P / Rating* | Percentage of Fair Value | |||
Aaa / AAA | 51.32 | % | ||
Aa / AA | 29.13 | % | ||
A / A | 7.49 | % | ||
Baa / BBB | 11.00 | % | ||
Ba / BB and lower | 0.50 | % | ||
NR / Other | 0.56 | % |
Sector Allocation
Portfolio Composition as a % of Fair Value of $160,692 (in thousands) as of September 30, 2019(a)(b)
Average Annual Total Return for the periods ended September 30, 2019
Investment Class Shares (Inception date: 11/21/97)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Active Core Bond Fund | 9.76 | % | 3.45 | % | 4.29 | % | $ | 15,225 | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 10.30 | % | 3.38 | % | 3.75 | % | $ | 14,448 |
Service Class Shares (Inception date: 9/30/05)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Active Core Bond Fund | 9.56 | % | 3.22 | % | 4.05 | % | $ | 14,870 | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 10.30 | % | 3.38 | % | 3.75 | % | $ | 14,448 |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
* | Moody’s Investors Services, Inc. (“Moody’s”) and S&P Global Ratings (“S&P”) are nationally recognized statistical rating organizations. The quality ratings represent the lower of Moody’s or S&P credit ratings. When a rating from only one of the rating agencies is available, that rating is used. Securities not rated by Moody’s or S&P are categorized as not rated. Credit quality measures a bond issuer’s ability to repay interest and principal in a timely manner. Credit quality ratings assigned by a rating agency are subject to change periodically and are not absolute standard of quality. In formulating investment decisions for the Fund, SSGA Funds Management, Inc. (“SSGA FM”) develops its own analysis of the credit quality and risks associated with individual debt instruments, rather than relying exclusively on rating agency ratings. |
State Street Active Core Bond Fund | 37 |
Table of Contents
State Street Active Core Bond Fund
Performance Summary, continued — September 30, 2019 (Unaudited)
See Notes to Performance beginning on page 1 for further information.
Past performance does not predict future performance. The performance shown in the graphs and tables does not reflect the deduction of taxes that a shareholder would pay on Fund distributions or the redemption of Fund shares.
38 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Understanding Your Fund’s Expenses — September 30, 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 September 30, 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 | ||||||||
Beginning Account Value April 1, 2019 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2019 | $ | 1,049.50 | $ | 1,023.70 | ||||
Expenses Paid During Period* | $ | 1.39 | $ | 1.37 | ||||
Service Class | ||||||||
Actual Fund Return | ||||||||
Beginning Account Value April 1, 2019 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2019 | $ | 1,049.50 | $ | 1,022.40 | ||||
Expenses Paid During Period* | $ | 2.77 | $ | 2.74 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.27%** for Investment Class shares and 0.54%** for Service Class shares (for the period April 1, 2019-September 30, 2019), multiplied by the average account value over the period, multiplied by 183/365 (to reflect theone-half year period). |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
State Street Active Core Bond Fund | 39 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
Bonds and Notes - 97.8%† |
| |||||||
U.S. Treasuries - 24.1% | ||||||||
U.S. Treasury Bonds | ||||||||
2.25%, 08/15/46 (e) | 739,600 | 758,437 | ||||||
3.00%, 08/15/48 (e) | 3,844,200 | 4,571,595 | ||||||
U.S. Treasury Notes | ||||||||
1.38%, 12/15/19 (e) | 3,278,100 | 3,274,643 | ||||||
1.50%, 11/30/19 (e) | 2,941,500 | 2,939,202 | ||||||
1.63%, 06/30/21 - 02/15/26 (e) | 8,433,300 | 8,435,716 | ||||||
2.25%, 03/31/20 (e) | 1,012,900 | 1,014,720 | ||||||
2.50%, 01/31/24 (e) | 3,144,900 | 3,266,765 | ||||||
2.63%, 02/15/29 (e) | 3,249,400 | 3,517,475 | ||||||
|
| |||||||
27,778,553 | ||||||||
|
| |||||||
Agency Mortgage Backed - 38.7% |
| |||||||
Federal Home Loan Mortgage Corp. | ||||||||
3.00%, 03/01/43 (e) | 2,683,727 | 2,759,830 | ||||||
4.50%, 06/01/33 - 02/01/35 (e) | 9,348 | 9,939 | ||||||
5.00%, 07/01/35 (e) | 74,656 | 82,181 | ||||||
5.50%, 05/01/20 - 04/01/39 (e) | 170,125 | 191,935 | ||||||
6.00%, 02/01/29 - 11/01/37 (e) | 203,977 | 232,678 | ||||||
6.50%, 08/01/29 - 10/01/33 (e) | 999 | 1,152 | ||||||
7.00%, 06/01/29 - 08/01/36 (e) | 47,307 | 55,152 | ||||||
7.50%, 01/01/30 - 09/01/33 (e) | 1,815 | 1,980 | ||||||
8.00%, 11/01/30 (e) | 10,660 | 12,127 | ||||||
8.50%, 04/01/30 (e) | 11,157 | 14,368 | ||||||
9.50%, 04/01/21 (e) | 4 | 4 | ||||||
Federal National Mortgage Assoc. | ||||||||
3.50%, 08/01/45 (e) | 109,059 | 113,315 | ||||||
4.00%, 01/01/41 - 12/01/41 (e) | 1,637,678 | 1,750,786 | ||||||
4.50%, 10/01/19 - 02/01/40 (e) | 1,049,539 | 1,137,337 | ||||||
5.00%, 07/01/20 - 05/01/39 (e) | 235,638 | 259,588 | ||||||
5.50%, 06/01/20 - 04/01/38 (e) | 350,599 | 394,183 | ||||||
6.00%, 02/01/20 - 07/01/35 (e) | 419,349 | 478,411 | ||||||
6.50%, 05/01/21 - 08/01/36 (e) | 48,239 | 52,948 | ||||||
7.00%, 10/01/32 - 02/01/34 (e) | 6,467 | 7,019 | ||||||
7.50%, 12/01/23 - 03/01/33 (e) | 32,622 | 37,187 | ||||||
8.00%, 07/01/25 - 10/01/31 (e) | 7,996 | 8,840 | ||||||
9.00%, 12/01/22 (e) | 302 | 313 | ||||||
Federal National Mortgage Assoc. 1.25% + USD COF11 | 4,720 | 4,860 | ||||||
Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | 2,245 | 2,309 | ||||||
Federal National Mortgage Assoc. TBA | ||||||||
2.50%, TBA (g) | 6,000,000 | 6,051,660 | ||||||
3.00%, TBA (g) | 2,479,725 | 2,534,105 | ||||||
3.50%, TBA (g)(e) | 7,028,000 | 7,207,425 | ||||||
4.00%, TBA (g) | 10,807,711 | 11,247,153 | ||||||
4.00%, TBA (g)(e) | 4,288,000 | 4,448,800 |
Principal Amount ($) | Fair Value $ | |||||||
Government National Mortgage Assoc. | ||||||||
3.00%, 12/20/42 (e) | 1,681,163 | 1,737,993 | ||||||
4.00%, 01/20/41 - 04/20/43 (e) | 1,694,984 | 1,803,295 | ||||||
4.50%, 08/15/33 - 05/20/40 (e) | 302,442 | 325,080 | ||||||
5.00%, 08/15/33 (e) | 23,181 | 25,528 | ||||||
6.00%, 04/15/27 - 09/15/36 (e) | 146,709 | 167,506 | ||||||
6.50%, 02/15/24 - 09/15/36 (e) | 63,299 | 69,914 | ||||||
7.00%, 10/15/27 - 10/15/36 (e) | 30,005 | 34,037 | ||||||
7.50%, 01/15/23 - 11/15/31 (e) | 2,750 | 2,814 | ||||||
8.00%, 05/15/30 - 09/15/30 (e) | 233 | 247 | ||||||
9.00%, 12/15/21 (e) | 144 | 149 | ||||||
4.50%, TBA (g) | 1,277,000 | 1,334,388 | ||||||
|
| |||||||
44,598,536 | ||||||||
|
| |||||||
Agency Collateralized Mortgage Obligations - 1.2% |
| |||||||
Federal Home Loan Mortgage Corp. | ||||||||
0.08%, 09/25/43 (e)(f)(h) | 605,954 | 1,593 | ||||||
2.51%, 07/25/29 (e) | 290,000 | 298,474 | ||||||
4.06%, 10/25/28 (e)(f) | 874,000 | 999,412 | ||||||
Federal Home Loan Mortgage Corp. REMIC | ||||||||
3.50%, 09/15/29 - 11/15/30 (e)(h) | 248,398 | 11,438 | ||||||
5.50%, 06/15/33 (e)(h) | 24,253 | 4,606 | ||||||
7.50%, 07/15/27 (e)(h) | 2,692 | 414 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR | 86,313 | 3,792 | ||||||
Federal Home Loan Mortgage Corp. STRIPS | ||||||||
1.47%, 08/01/27 (c)(e)(i) | 561 | 519 | ||||||
8.00%, 02/01/23 - 07/01/24 (e)(h) | 1,595 | 197 | ||||||
Federal National Mortgage Assoc. REMIC | ||||||||
0.51%, 12/25/22 (c)(e)(i) | 4 | 4 | ||||||
1.09%, 12/25/42 (f)(h) | 111,287 | 4,051 | ||||||
5.00%, 02/25/40 - 09/25/40 (e)(h) | 118,944 | 13,408 | ||||||
8.00%, 05/25/22 (e)(h) | 1 | 5 | ||||||
Federal National Mortgage Assoc. REMIC 6.00% - 1 month USD LIBOR | 44,817 | 6,466 | ||||||
Federal National Mortgage Assoc. STRIPS | ||||||||
1.87%, 12/25/34 (c)(e)(i) | 10,744 | 9,316 | ||||||
4.50%, 08/25/35 - 01/25/36 (e)(h) | 74,905 | 11,941 |
See Notes to Schedules of Investments and Notes to Financial Statements.
40 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
5.00%, 03/25/38 - 05/25/38 (e)(h) | 41,021 | 6,994 | ||||||
5.50%, 12/25/33 (e)(h) | 10,751 | 2,177 | ||||||
6.00%, 01/25/35 (e)(h) | 46,089 | 9,250 | ||||||
7.50%, 11/25/23 (e)(h) | 6,335 | 658 | ||||||
8.00%, 08/25/23 - 07/25/24 (e)(h) | 3,232 | 412 | ||||||
8.50%, 07/25/22 (e)(h) | 41 | 3 | ||||||
8.50%, 07/25/22 (e)(h)** | 1 | — | ||||||
9.00%, 05/25/22 (e)(h) | 33 | 2 | ||||||
Government National Mortgage Assoc. REMIC | ||||||||
4.50%, 05/20/38 - 08/16/39 (e)(h) | 74,702 | 2,148 | ||||||
5.00%, 09/20/38 (e)(h) | 11,850 | 114 | ||||||
|
| |||||||
1,387,394 | ||||||||
|
| |||||||
Asset Backed - 2.6% | ||||||||
American Express Credit Account Master Trust 0.24% + 1 month USD LIBOR | 490,000 | 490,074 | ||||||
American Express Credit Account Master Trust2017-6 | 838,658 | 839,467 | ||||||
American Express Credit Account Master Trust2018-1 | 495,000 | 496,206 | ||||||
BA Credit Card Trust2018-A1 | 432,000 | 436,667 | ||||||
Chase Funding Trust2004-1 | ||||||||
4.99%, 11/25/33 (e)(j) | 149,097 | 149,097 | ||||||
Enterprise Fleet Financing2019-1 LLC | ||||||||
3.07%, 10/22/24 (e)(k) | 473,000 | 485,287 | ||||||
Securitized Term Auto Receivables Trust2018-1A | ||||||||
3.30%, 11/25/22 (e)(k) | 118,000 | 120,163 | ||||||
|
| |||||||
3,016,961 | ||||||||
|
| |||||||
Corporate Notes - 27.2% | ||||||||
3M Co. | 62,000 | 60,175 | ||||||
Abbott Laboratories | ||||||||
3.75%, 11/30/26 (e) | 123,000 | 133,873 | ||||||
4.90%, 11/30/46 (e) | 46,000 | 59,276 | ||||||
AbbVie Inc. | ||||||||
3.20%, 05/14/26 (e) | 24,000 | 24,417 | ||||||
4.45%, 05/14/46 (e) | 27,000 | 27,932 | ||||||
4.70%, 05/14/45 (e) | 9,000 | 9,621 | ||||||
4.88%, 11/14/48 (e) | 7,000 | 7,722 |
Principal Amount ($) | Fair Value $ | |||||||
Aetna Inc. | 29,000 | 30,221 | ||||||
Aircastle Ltd. | 78,000 | 80,040 | ||||||
Alcon Finance Corp. | 202,000 | 203,828 | ||||||
Alexandria Real Estate Equities Inc. | 50,000 | 57,962 | ||||||
Allegion PLC | 35,000 | 35,398 | ||||||
Allergan Finance LLC | ||||||||
3.25%, 10/01/22 (e) | 29,000 | 29,619 | ||||||
4.63%, 10/01/42 (e) | 4,000 | 4,171 | ||||||
Allergan Funding SCS | 21,000 | 21,525 | ||||||
Allergan Sales LLC | 55,000 | 57,758 | ||||||
Altria Group Inc. | ||||||||
2.95%, 05/02/23 (e) | 23,000 | 23,332 | ||||||
3.80%, 02/14/24 (e) | 15,000 | 15,683 | ||||||
4.25%, 08/09/42 (e) | 3,000 | 2,906 | ||||||
4.50%, 05/02/43 (e) | 13,000 | 12,966 | ||||||
4.80%, 02/14/29 (e) | 33,000 | 36,065 | ||||||
5.95%, 02/14/49 (e) | 21,000 | 24,677 | ||||||
Amazon.com Inc. | ||||||||
2.80%, 08/22/24 (e) | 40,000 | 41,591 | ||||||
3.15%, 08/22/27 (e) | 31,000 | 32,957 | ||||||
3.88%, 08/22/37 (e) | 8,000 | 9,192 | ||||||
4.05%, 08/22/47 (e) | 12,000 | 14,434 | ||||||
4.25%, 08/22/57 (e) | 16,000 | 19,892 | ||||||
Ameren Corp. | 75,000 | 75,430 | ||||||
American Express Co. | 117,000 | 120,821 | ||||||
American International Group Inc. | ||||||||
4.25%, 03/15/29 (e) | 51,000 | 55,879 | ||||||
4.50%, 07/16/44 (e) | 80,000 | 88,998 | ||||||
American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR thereafter) | 49,000 | 52,289 | ||||||
American Tower Corp. | ||||||||
3.38%, 10/15/26 (e) | 12,000 | 12,484 | ||||||
3.70%, 10/15/49 | 67,000 | 66,806 | ||||||
3.80%, 08/15/29 (e) | 31,000 | 33,073 | ||||||
4.40%, 02/15/26 (e) | 28,000 | 30,685 | ||||||
4.70%, 03/15/22 | 100,000 | 105,820 | ||||||
American Water Capital Corp. | 25,000 | 25,615 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 41 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
Amgen Inc. | ||||||||
2.65%, 05/11/22 (e) | 86,000 | 87,079 | ||||||
3.20%, 11/02/27 (e) | 26,000 | 27,165 | ||||||
4.56%, 06/15/48 (e) | 24,000 | 27,701 | ||||||
4.66%, 06/15/51 (e) | 7,000 | 8,153 | ||||||
Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc. | ||||||||
3.65%, 02/01/26 (e) | 66,000 | 70,743 | ||||||
4.70%, 02/01/36 (e) | 16,000 | 18,448 | ||||||
4.90%, 02/01/46 (e) | 27,000 | 32,214 | ||||||
Anheuser-Busch InBev Finance Inc. | 500,000 | 504,555 | ||||||
Anheuser-Busch InBev Worldwide Inc. | ||||||||
4.00%, 04/13/28 (e) | 42,000 | 46,312 | ||||||
4.38%, 04/15/38 (e) | 49,000 | 55,100 | ||||||
4.60%, 04/15/48 (e) | 23,000 | 26,463 | ||||||
4.75%, 04/15/58 (e) | 13,000 | 15,220 | ||||||
5.55%, 01/23/49 (e) | 44,000 | 57,537 | ||||||
Anthem Inc. | 27,000 | 27,870 | ||||||
Apache Corp. | ||||||||
4.38%, 10/15/28 (e) | 9,000 | 9,254 | ||||||
5.10%, 09/01/40 (e) | 41,000 | 41,075 | ||||||
Apple Inc. | ||||||||
2.15%, 02/09/22 | 150,000 | 151,161 | ||||||
2.20%, 09/11/29 (e) | 92,000 | 90,514 | ||||||
2.85%, 05/11/24 (e) | 126,000 | 130,690 | ||||||
2.95%, 09/11/49 (e) | 20,000 | 19,624 | ||||||
3.35%, 02/09/27 (e) | 15,000 | 16,048 | ||||||
3.45%, 02/09/45 (e) | 37,000 | 39,261 | ||||||
3.85%, 08/04/46 (e) | 53,000 | 59,812 | ||||||
Applied Materials Inc. | 33,000 | 40,245 | ||||||
Aptiv PLC | 23,000 | 22,960 | ||||||
ArcelorMittal | ||||||||
3.60%, 07/16/24 (e) | 40,000 | 40,437 | ||||||
4.25%, 07/16/29 (e) | 14,000 | 14,237 | ||||||
6.75%, 03/01/41 (e) | 8,000 | 9,438 | ||||||
Archer-Daniels-Midland Co. | 13,000 | 13,140 | ||||||
Ascension Health | 17,000 | 23,007 | ||||||
AstraZeneca PLC | ||||||||
3.50%, 08/17/23 (e) | 21,000 | 21,955 | ||||||
4.00%, 01/17/29 (e) | 14,000 | 15,581 | ||||||
4.38%, 08/17/48 (e) | 6,000 | 7,119 | ||||||
AT&T Inc. | ||||||||
2.63%, 12/01/22 | 500,000 | 505,850 |
Principal Amount ($) | Fair Value $ | |||||||
4.35%, 03/01/29 (e) | 54,000 | 59,716 | ||||||
4.45%, 04/01/24 (e) | 24,000 | 25,973 | ||||||
4.50%, 05/15/35 (e) | 36,000 | 39,441 | ||||||
4.55%, 03/09/49 (e) | 31,000 | 33,503 | ||||||
4.75%, 05/15/46 (e) | 45,000 | 50,005 | ||||||
4.80%, 06/15/44 (e) | 24,000 | 26,597 | ||||||
4.85%, 03/01/39 (e) | 38,000 | 43,077 | ||||||
5.15%, 11/15/46 (e) | 5,000 | 5,795 | ||||||
5.25%, 03/01/37 (e) | 28,000 | 32,923 | ||||||
5.35%, 12/15/43 (e) | 18,000 | 21,212 | ||||||
5.45%, 03/01/47 (e) | 31,000 | 37,416 | ||||||
Avangrid Inc. | 45,000 | 46,447 | ||||||
Bank of America Corp. | ||||||||
3.25%, 10/21/27 (e) | 4,000 | 4,161 | ||||||
3.95%, 04/21/25 (e) | 89,000 | 94,286 | ||||||
4.18%, 11/25/27 (e) | 130,000 | 139,805 | ||||||
Bank of America Corp. (2.74% fixed rate until 01/23/21; 0.37% + 3 month USD LIBOR thereafter) | 100,000 | 100,581 | ||||||
Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter) | 31,000 | 31,611 | ||||||
Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR thereafter) | 19,000 | 19,762 | ||||||
Bank of America Corp. (3.46% fixed rate until 03/15/24; 0.97% + 3 month USD LIBOR thereafter) | 76,000 | 79,222 | ||||||
Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter) | 71,000 | 79,393 | ||||||
Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) | 124,000 | 141,832 | ||||||
Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.31% + 3 month USD LIBOR thereafter) | 97,000 | 107,879 |
See Notes to Schedules of Investments and Notes to Financial Statements.
42 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
Bank of America Corp. (4.33% fixed rate until 03/15/49; 1.52% + 3 month USD LIBOR thereafter) | 31,000 | 36,502 | ||||||
Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR thereafter) | 62,000 | 73,704 | ||||||
Bank of Montreal (4.34% fixed rate until 10/05/23; 1.28% + USD 5 year Swap Rate thereafter) | 45,000 | 47,448 | ||||||
Barclays PLC | 200,000 | 208,604 | ||||||
Barrick North America Finance LLC | 5,000 | 6,306 | ||||||
BAT Capital Corp. | ||||||||
2.76%, 08/15/22 (e) | 26,000 | 26,227 | ||||||
3.56%, 08/15/27 (e) | 20,000 | 20,139 | ||||||
4.39%, 08/15/37 (e) | 37,000 | 35,855 | ||||||
4.54%, 08/15/47 (e) | 19,000 | 18,228 | ||||||
BB&T Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter) | 83,000 | 83,015 | ||||||
Becton Dickinson and Co. | ||||||||
2.89%, 06/06/22 (e) | 27,000 | 27,410 | ||||||
3.70%, 06/06/27 (e) | 26,000 | 27,524 | ||||||
3.73%, 12/15/24 (e) | 4,000 | 4,232 | ||||||
4.67%, 06/06/47 (e) | 4,000 | 4,740 | ||||||
4.69%, 12/15/44 (e) | 3,000 | 3,490 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
3.25%, 04/15/28 (e) | 19,000 | 19,992 | ||||||
3.80%, 07/15/48 (e) | 47,000 | 50,726 | ||||||
6.13%, 04/01/36 (e) | 79,000 | 109,339 | ||||||
Boardwalk Pipelines LP | 28,000 | 29,794 | ||||||
Boston Scientific Corp. | ||||||||
4.00%, 03/01/28 (e) | 31,000 | 33,977 | ||||||
4.70%, 03/01/49 (e) | 11,000 | 13,399 | ||||||
BP Capital Markets America Inc. | ||||||||
3.02%, 01/16/27 (e) | 119,000 | 123,038 | ||||||
3.22%, 11/28/23 (e) | 31,000 | 32,194 | ||||||
Bristol-Myers Squibb Co. | ||||||||
3.20%, 06/15/26 (e)(k) | 64,000 | 67,106 | ||||||
3.40%, 07/26/29 (e)(k) | 52,000 | 55,533 | ||||||
4.13%, 06/15/39 (e)(k) | 23,000 | 26,101 | ||||||
4.25%, 10/26/49 (e)(k) | 23,000 | 26,700 |
Principal Amount ($) | Fair Value $ | |||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | ||||||||
2.65%, 01/15/23 (e) | 6,000 | 5,998 | ||||||
3.00%, 01/15/22 (e) | 46,000 | 46,458 | ||||||
3.13%, 01/15/25 (e) | 7,000 | 6,948 | ||||||
3.88%, 01/15/27 (e) | 6,000 | 6,028 | ||||||
Brown-Forman Corp. | 6,000 | 6,822 | ||||||
Buckeye Partners LP | 7,000 | 5,646 | ||||||
Bunge Limited Finance Corp. | 12,000 | 12,345 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
4.15%, 12/15/48 (e) | 50,000 | 58,433 | ||||||
4.55%, 09/01/44 (e) | 38,000 | 45,475 | ||||||
Canadian Natural Resources Ltd. | ||||||||
3.85%, 06/01/27 (e) | 52,000 | 54,804 | ||||||
4.95%, 06/01/47 (e) | 5,000 | 5,926 | ||||||
Canadian Pacific Railway Co. | 13,000 | 13,354 | ||||||
Capital One Financial Corp. | 175,000 | 181,781 | ||||||
Cardinal Health Inc. | ||||||||
2.62%, 06/15/22 (e) | 13,000 | 13,078 | ||||||
3.08%, 06/15/24 (e) | 12,000 | 12,146 | ||||||
Caterpillar Inc. | ||||||||
2.60%, 09/19/29 (e) | 83,000 | 84,104 | ||||||
3.25%, 09/19/49 (e) | 60,000 | 62,518 | ||||||
3.80%, 08/15/42 (e) | 8,000 | 8,985 | ||||||
CBS Corp. | ||||||||
2.90%, 01/15/27 (e) | 16,000 | 15,871 | ||||||
3.70%, 06/01/28 (e) | 38,000 | 39,636 | ||||||
Celgene Corp. | ||||||||
3.45%, 11/15/27 (e) | 15,000 | 15,912 | ||||||
4.35%, 11/15/47 (e) | 4,000 | 4,679 | ||||||
4.55%, 02/20/48 (e) | 79,000 | 95,059 | ||||||
5.00%, 08/15/45 (e) | 33,000 | 41,248 | ||||||
Cenovus Energy Inc. | ||||||||
4.25%, 04/15/27 (e) | 12,000 | 12,494 | ||||||
5.25%, 06/15/37 (e) | 15,000 | 16,340 | ||||||
5.40%, 06/15/47 (e) | 4,000 | 4,500 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
3.58%, 07/23/20 (e) | 209,000 | 210,791 | ||||||
4.46%, 07/23/22 (e) | 90,000 | 94,738 | ||||||
4.91%, 07/23/25 (e) | 13,000 | 14,269 | ||||||
5.05%, 03/30/29 (e) | 48,000 | 53,642 | ||||||
5.75%, 04/01/48 (e) | 45,000 | 51,297 | ||||||
6.38%, 10/23/35 (e) | 4,000 | 4,865 | ||||||
6.48%, 10/23/45 (e) | 19,000 | 23,114 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 43 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
Chevron Corp. | ||||||||
3.19%, 06/24/23 (e) | 47,000 | 49,024 | ||||||
Chubb INA Holdings Inc. | 58,000 | 71,154 | ||||||
Cigna Corp. | ||||||||
3.40%, 09/17/21 (e) | 21,000 | 21,464 | ||||||
3.75%, 07/15/23 (e) | 71,000 | 74,301 | ||||||
4.13%, 11/15/25 (e) | 34,000 | 36,563 | ||||||
4.38%, 10/15/28 (e) | 14,000 | 15,340 | ||||||
4.80%, 08/15/38 (e) | 12,000 | 13,485 | ||||||
4.90%, 12/15/48 (e) | 12,000 | 13,773 | ||||||
Cigna Holding Co. | ||||||||
3.25%, 04/15/25 (e) | 24,000 | 24,685 | ||||||
3.88%, 10/15/47 (e) | 16,000 | 15,780 | ||||||
Cisco Systems Inc. | 16,000 | 22,803 | ||||||
Citigroup Inc. | ||||||||
2.70%, 10/27/22 (e) | 188,000 | 190,613 | ||||||
4.40%, 06/10/25 (e) | 84,000 | 90,523 | ||||||
4.65%, 07/23/48 (e) | 122,000 | 149,297 | ||||||
4.75%, 05/18/46 (e) | 51,000 | 59,514 | ||||||
5.50%, 09/13/25 (e) | 81,000 | 91,924 | ||||||
Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) | 65,000 | 65,858 | ||||||
Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter) | 39,000 | 42,529 | ||||||
Citigroup Inc. (5.88% fixed rate until 03/27/20; 4.06% + 3 month USD LIBOR thereafter) | 289,000 | 291,780 | ||||||
CMS Energy Corp. | 53,000 | 64,066 | ||||||
CNA Financial Corp. | ||||||||
3.45%, 08/15/27 (e) | 37,000 | 38,388 | ||||||
3.90%, 05/01/29 (e) | 85,000 | 91,164 | ||||||
CNOOC Nexen Finance 2014 ULC | 233,000 | 249,508 | ||||||
Comcast Corp. | ||||||||
3.20%, 07/15/36 (e) | 27,000 | 27,527 | ||||||
3.97%, 11/01/47 (e) | 93,000 | 102,391 | ||||||
4.15%, 10/15/28 (e) | 54,000 | 60,525 | ||||||
4.25%, 10/15/30 (e) | 49,000 | 55,716 | ||||||
4.60%, 08/15/45 (e) | 8,000 | 9,564 | ||||||
4.70%, 10/15/48 (e) | 24,000 | 29,380 |
Principal Amount ($) | Fair Value $ | |||||||
CommonSpirit Health | 129,000 | 135,762 | ||||||
Conagra Brands Inc. | ||||||||
5.30%, 11/01/38 (e) | 14,000 | 16,222 | ||||||
5.40%, 11/01/48 (e) | 12,000 | 14,199 | ||||||
Concho Resources Inc. | ||||||||
3.75%, 10/01/27 (e) | 10,000 | 10,393 | ||||||
4.30%, 08/15/28 (e) | 47,000 | 50,645 | ||||||
4.88%, 10/01/47 (e) | 9,000 | 10,259 | ||||||
ConocoPhillips Co. | 27,000 | 31,271 | ||||||
Consolidated Edison Company of New York Inc. | ||||||||
2.90%, 12/01/26 (e) | 29,000 | 29,695 | ||||||
3.88%, 06/15/47 (e) | 40,000 | 43,648 | ||||||
Constellation Brands Inc. | ||||||||
3.15%, 08/01/29 (e) | 88,000 | 89,945 | ||||||
3.70%, 12/06/26 (e) | 49,000 | 51,912 | ||||||
4.50%, 05/09/47 (e) | 23,000 | 25,963 | ||||||
Continental Resources Inc. | 122,000 | 126,701 | ||||||
Corning Inc. | 24,000 | 24,763 | ||||||
Crown Castle International Corp. | 44,000 | 54,800 | ||||||
CSX Corp. | 84,000 | 96,918 | ||||||
CubeSmart LP | 94,000 | 103,113 | ||||||
CVS Health Corp. | ||||||||
2.63%, 08/15/24 (e) | 100,000 | 100,432 | ||||||
3.00%, 08/15/26 (e) | 50,000 | 50,284 | ||||||
3.25%, 08/15/29 (e) | 25,000 | 25,119 | ||||||
3.35%, 03/09/21 (e) | 11,000 | 11,178 | ||||||
3.70%, 03/09/23 (e) | 83,000 | 86,427 | ||||||
3.88%, 07/20/25 (e) | 13,000 | 13,755 | ||||||
4.10%, 03/25/25 (e) | 31,000 | 33,112 | ||||||
4.30%, 03/25/28 (e) | 19,000 | 20,534 | ||||||
4.78%, 03/25/38 (e) | 30,000 | 33,049 | ||||||
5.00%, 12/01/24 (e) | 28,000 | 30,873 | ||||||
5.05%, 03/25/48 (e) | 29,000 | 32,983 | ||||||
5.13%, 07/20/45 (e) | 11,000 | 12,480 | ||||||
Dell International LLC/EMC Corp. | ||||||||
4.00%, 07/15/24 (e)(k) | 34,000 | 35,573 | ||||||
4.42%, 06/15/21 (e)(k) | 140,000 | 144,414 | ||||||
5.30%, 10/01/29 (e)(k) | 26,000 | 28,348 | ||||||
5.45%, 06/15/23 (e)(k) | 119,000 | 129,521 | ||||||
6.02%, 06/15/26 (e)(k) | 13,000 | 14,628 | ||||||
8.10%, 07/15/36 (e)(k) | 3,000 | 3,824 | ||||||
8.35%, 07/15/46 (e)(k) | 33,000 | 43,566 |
See Notes to Schedules of Investments and Notes to Financial Statements.
44 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
Devon Energy Corp. | 14,000 | 16,219 | ||||||
Diamondback Energy Inc. | 175,000 | 179,378 | ||||||
Digital Realty Trust LP | 45,000 | 46,763 | ||||||
Discovery Communications LLC | ||||||||
2.95%, 03/20/23 (e) | 123,000 | 125,015 | ||||||
3.95%, 03/20/28 (e) | 55,000 | 57,315 | ||||||
4.95%, 05/15/42 (e) | 5,000 | 5,241 | ||||||
5.00%, 09/20/37 (e) | 9,000 | 9,656 | ||||||
Dollar Tree Inc. | ||||||||
4.00%, 05/15/25 (e) | 51,000 | 54,015 | ||||||
4.20%, 05/15/28 (e) | 2,000 | 2,150 | ||||||
Dominion Energy Inc. | 26,000 | 26,644 | ||||||
DPL Inc. | 33,000 | 32,501 | ||||||
DTE Energy Co. | ||||||||
2.85%, 10/01/26 (e) | 29,000 | 29,532 | ||||||
3.85%, 12/01/23 (e) | 15,000 | 15,793 | ||||||
Duke Energy Carolinas LLC | 17,000 | 19,102 | ||||||
Duke Energy Corp. | ||||||||
1.80%, 09/01/21 (e) | 34,000 | 33,839 | ||||||
3.75%, 09/01/46 (e) | 11,000 | 11,384 | ||||||
Duke Energy Corp. (4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter) | 75,000 | 77,024 | ||||||
Duke Energy Progress LLC | 22,000 | 25,086 | ||||||
Duke Realty LP | 37,000 | 38,577 | ||||||
DuPont de Nemours Inc. | ||||||||
5.32%, 11/15/38 (e) | 9,000 | 11,003 | ||||||
5.42%, 11/15/48 (e) | 9,000 | 11,395 | ||||||
Duquesne Light Holdings Inc. | 22,000 | 22,426 | ||||||
Eastman Chemical Co. | ||||||||
3.50%, 12/01/21 (e) | 27,000 | 27,598 | ||||||
3.60%, 08/15/22 (e) | 9,000 | 9,297 | ||||||
4.50%, 01/15/21 - 12/01/28 (e) | 75,000 | 77,961 | ||||||
Eaton Corp. | 51,000 | 53,057 | ||||||
Ecolab Inc. | ||||||||
3.25%, 12/01/27 (e) | 11,000 | 11,704 | ||||||
3.95%, 12/01/47 (e) | 17,000 | 19,455 | ||||||
Edison International | 8,000 | 8,982 | ||||||
Eli Lilly & Co. | ||||||||
3.70%, 03/01/45 (e) | 4,000 | 4,411 | ||||||
3.95%, 03/15/49 (e) | 36,000 | 41,741 |
Principal Amount ($) | Fair Value $ | |||||||
Emera US Finance LP | 3,000 | 3,471 | ||||||
Enbridge Energy Partners LP | 4,000 | 4,685 | ||||||
Energy Transfer Operating LP | ||||||||
4.25%, 03/15/23 (e) | 52,000 | 54,359 | ||||||
4.50%, 04/15/24 (e) | 49,000 | 52,258 | ||||||
4.95%, 06/15/28 (e) | 11,000 | 12,093 | ||||||
5.88%, 01/15/24 (e) | 62,000 | 68,945 | ||||||
6.13%, 12/15/45 (e) | 6,000 | 7,049 | ||||||
6.50%, 02/01/42 (e) | 26,000 | 31,235 | ||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 18,000 | 19,060 | ||||||
Entergy Louisiana LLC | ||||||||
3.05%, 06/01/31 (e) | 16,000 | 16,572 | ||||||
4.00%, 03/15/33 (e) | 17,000 | 19,341 | ||||||
Enterprise Products Operating LLC | ||||||||
4.20%, 01/31/50 (e) | 152,000 | 163,221 | ||||||
4.25%, 02/15/48 (e) | 43,000 | 46,412 | ||||||
Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter) | 13,000 | 12,859 | ||||||
EOG Resources Inc. | ||||||||
4.15%, 01/15/26 (e) | 6,000 | 6,635 | ||||||
5.10%, 01/15/36 (e) | 11,000 | 13,392 | ||||||
EPR Properties | 18,000 | 19,582 | ||||||
EQM Midstream Partners LP | ||||||||
4.75%, 07/15/23 (e) | 5,000 | 5,016 | ||||||
5.50%, 07/15/28 (e) | 5,000 | 4,964 | ||||||
ERP Operating LP | 36,000 | 43,116 | ||||||
Exelon Corp. | ||||||||
3.50%, 06/01/22 (e) | 30,000 | 30,781 | ||||||
4.45%, 04/15/46 (e) | 48,000 | 54,333 | ||||||
Express Scripts Holding Co. | 13,000 | 13,434 | ||||||
FedEx Corp. | ||||||||
3.10%, 08/05/29 (e) | 81,000 | 80,508 | ||||||
4.10%, 02/01/45 (e) | 53,000 | 52,596 | ||||||
FirstEnergy Corp. | 12,000 | 12,797 | ||||||
FirstEnergy Transmission LLC | 80,000 | 93,685 | ||||||
Fiserv Inc. | ||||||||
3.50%, 07/01/29 (e) | 45,000 | 47,314 | ||||||
4.40%, 07/01/49 (e) | 12,000 | 13,457 | ||||||
Florida Power & Light Co. | 73,000 | 84,678 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 45 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
General Dynamics Corp. | ||||||||
2.13%, 08/15/26 (e) | 55,000 | 54,859 | ||||||
3.50%, 05/15/25 (e) | 28,000 | 29,954 | ||||||
General Mills Inc. | ||||||||
3.70%, 10/17/23 (e) | 51,000 | 53,708 | ||||||
4.55%, 04/17/38 (e) | 14,000 | 15,865 | ||||||
4.70%, 04/17/48 (e) | 4,000 | 4,677 | ||||||
General Motors Co. | ||||||||
5.20%, 04/01/45 (e) | 4,000 | 3,946 | ||||||
5.40%, 04/01/48 (e) | 9,000 | 9,052 | ||||||
General Motors Financial Company Inc. | ||||||||
3.45%, 01/14/22 - 04/10/22 (e) | 341,000 | 346,924 | ||||||
3.55%, 04/09/21 (e) | 204,000 | 207,038 | ||||||
5.25%, 03/01/26 (e) | 24,000 | 25,906 | ||||||
Georgia-Pacific LLC | 91,000 | 96,486 | ||||||
Gilead Sciences Inc. | ||||||||
2.95%, 03/01/27 (e) | 6,000 | 6,189 | ||||||
3.50%, 02/01/25 (e) | 13,000 | 13,740 | ||||||
3.65%, 03/01/26 (e) | 49,000 | 52,480 | ||||||
4.15%, 03/01/47 (e) | 30,000 | 33,359 | ||||||
4.80%, 04/01/44 (e) | 11,000 | 13,168 | ||||||
GlaxoSmithKline Capital Inc. | ||||||||
3.38%, 05/15/23 (e) | 29,000 | 30,283 | ||||||
3.63%, 05/15/25 (e) | 28,000 | 30,057 | ||||||
GlaxoSmithKline Capital PLC | 32,000 | 34,280 | ||||||
Glencore Funding LLC | 27,000 | 29,146 | ||||||
Grupo Televisa SAB | 209,000 | 222,050 | ||||||
Halliburton Co. | ||||||||
3.80%, 11/15/25 (e) | 19,000 | 20,138 | ||||||
5.00%, 11/15/45 (e) | 16,000 | 17,910 | ||||||
HCA Inc. | 50,000 | 52,517 | ||||||
Hess Corp. | ||||||||
5.60%, 02/15/41 (e) | 8,000 | 8,860 | ||||||
5.80%, 04/01/47 (e) | 5,000 | 5,738 | ||||||
Hewlett Packard Enterprise Co. | 7,000 | 8,175 | ||||||
Highwoods Realty LP | ||||||||
4.13%, 03/15/28 (e) | 42,000 | 44,775 | ||||||
4.20%, 04/15/29 (e) | 127,000 | 136,577 | ||||||
Honeywell International Inc. | 93,000 | 96,126 | ||||||
HSBC Holdings PLC | 248,000 | 260,732 |
Principal Amount ($) | Fair Value $ | |||||||
HSBC Holdings PLC (6.50% fixed rate until 03/23/28; 3.61% + USD 5 yearMid-Market Swap Rate thereafter) | 160,000 | 167,250 | ||||||
Hyundai Capital America | 17,000 | 17,142 | ||||||
Ingersoll-Rand Luxembourg Finance S.A. | ||||||||
3.50%, 03/21/26 (e) | 39,000 | 40,576 | ||||||
3.55%, 11/01/24 (e) | 26,000 | 27,072 | ||||||
3.80%, 03/21/29 (e) | 64,000 | 68,161 | ||||||
Intel Corp. | 33,000 | 33,935 | ||||||
International Business Machines Corp. | ||||||||
4.15%, 05/15/39 (e) | 141,000 | 161,036 | ||||||
4.25%, 05/15/49 (e) | 141,000 | 162,639 | ||||||
International Paper Co. | 20,000 | 20,838 | ||||||
Interstate Power & Light Co. | 24,000 | 24,811 | ||||||
Jabil Inc. | 24,000 | 24,214 | ||||||
John Deere Capital Corp. | 49,000 | 48,933 | ||||||
Johnson & Johnson | 13,000 | 14,517 | ||||||
Johnson Controls International PLC | 8,000 | 8,790 | ||||||
JPMorgan Chase & Co. | ||||||||
3.30%, 04/01/26 (e) | 238,000 | 248,922 | ||||||
3.63%, 12/01/27 (e) | 45,000 | 47,355 | ||||||
JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) | 110,000 | 120,633 | ||||||
JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) | 120,000 | 133,033 | ||||||
JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter) | 152,000 | 164,268 |
See Notes to Schedules of Investments and Notes to Financial Statements.
46 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter) | 76,000 | 83,047 | ||||||
JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) | 170,000 | 184,302 | ||||||
Keurig Dr Pepper Inc. | ||||||||
3.55%, 05/25/21 | 250,000 | 255,367 | ||||||
4.06%, 05/25/23 (e) | 55,000 | 58,170 | ||||||
4.50%, 11/15/45 (e) | 12,000 | 12,957 | ||||||
4.60%, 05/25/28 (e) | 19,000 | 21,293 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
3.50%, 03/01/21 (e) | 238,000 | 241,741 | ||||||
4.70%, 11/01/42 (e) | 5,000 | 5,291 | ||||||
5.30%, 09/15/20 (e) | 20,000 | 20,578 | ||||||
6.38%, 03/01/41 (e) | 13,000 | 16,214 | ||||||
Kinder Morgan Inc. | ||||||||
4.30%, 03/01/28 (e) | 15,000 | 16,279 | ||||||
5.05%, 02/15/46 (e) | 13,000 | 14,426 | ||||||
5.55%, 06/01/45 (e) | 11,000 | 12,955 | ||||||
Kraft Heinz Foods Co. | 26,000 | 24,663 | ||||||
L3Harris Technologies Inc. | 94,000 | 100,981 | ||||||
Lam Research Corp. | 38,000 | 41,936 | ||||||
Lear Corp. | ||||||||
4.25%, 05/15/29 (e) | 34,000 | 34,998 | ||||||
5.25%, 05/15/49 (e) | 15,000 | 15,380 | ||||||
Liberty Property LP | 24,000 | 26,791 | ||||||
Lincoln National Corp. | ||||||||
3.63%, 12/12/26 (e) | 32,000 | 33,668 | ||||||
4.35%, 03/01/48 (e) | 104,000 | 113,082 | ||||||
Lockheed Martin Corp. | ||||||||
3.55%, 01/15/26 (e) | 9,000 | 9,655 | ||||||
3.80%, 03/01/45 (e) | 18,000 | 20,060 | ||||||
4.50%, 05/15/36 (e) | 27,000 | 32,183 | ||||||
Lowe’s Companies Inc. | ||||||||
3.65%, 04/05/29 (e) | 54,000 | 57,725 | ||||||
3.70%, 04/15/46 (e) | 14,000 | 14,093 | ||||||
4.05%, 05/03/47 (e) | 12,000 | 12,777 | ||||||
4.55%, 04/05/49 (e) | 31,000 | 35,753 | ||||||
LYB International Finance BV | 7,000 | 7,644 | ||||||
LYB International Finance II BV | 9,000 | 9,271 |
Principal Amount ($) | Fair Value $ | |||||||
Marathon Oil Corp. | ||||||||
2.70%, 06/01/20 (e) | 43,000 | 43,165 | ||||||
3.85%, 06/01/25 (e) | 14,000 | 14,558 | ||||||
Marsh & McLennan Companies Inc. | ||||||||
3.50%, 03/10/25 (e) | 71,000 | 75,015 | ||||||
4.90%, 03/15/49 (e) | 156,000 | 195,025 | ||||||
Masco Corp. | 7,000 | 7,146 | ||||||
McDonald’s Corp. | ||||||||
3.63%, 09/01/49 (e) | 35,000 | 35,595 | ||||||
3.70%, 01/30/26 (e) | 9,000 | 9,658 | ||||||
3.80%, 04/01/28 (e) | 25,000 | 27,370 | ||||||
4.88%, 12/09/45 (e) | 17,000 | 20,544 | ||||||
McKesson Corp. | 213,000 | 216,308 | ||||||
Medtronic Inc. | 4,000 | 5,137 | ||||||
Memorial Sloan-Kettering Cancer Center | 34,000 | 40,492 | ||||||
Merck & Company Inc. | ||||||||
2.75%, 02/10/25 (e) | 23,000 | 23,814 | ||||||
3.40%, 03/07/29 (e) | 53,000 | 57,459 | ||||||
4.00%, 03/07/49 (e) | 20,000 | 23,821 | ||||||
MetLife Inc. | ||||||||
4.05%, 03/01/45 (e) | 13,000 | 14,491 | ||||||
4.72%, 12/15/44 (e) | 63,000 | 75,495 | ||||||
Micron Technology Inc. | 38,000 | 39,048 | ||||||
Microsoft Corp. | ||||||||
2.40%, 08/08/26 (e) | 63,000 | 64,179 | ||||||
2.88%, 02/06/24 | 150,000 | 156,318 | ||||||
3.45%, 08/08/36 (e) | 18,000 | 19,839 | ||||||
3.50%, 02/12/35 (e) | 18,000 | 19,884 | ||||||
3.70%, 08/08/46 (e) | 59,000 | 67,550 | ||||||
3.95%, 08/08/56 (e) | 37,000 | 43,772 | ||||||
4.10%, 02/06/37 (e) | 5,000 | 5,940 | ||||||
4.50%, 02/06/57 (e) | 5,000 | 6,497 | ||||||
Morgan Stanley | ||||||||
2.75%, 05/19/22 (e) | 322,000 | 326,762 | ||||||
3.70%, 10/23/24 (e) | 30,000 | 31,747 | ||||||
3.95%, 04/23/27 (e) | 183,000 | 193,477 | ||||||
4.35%, 09/08/26 | 67,000 | 72,562 | ||||||
Morgan Stanley (2.72% fixed rate until 07/22/24; 1.15% + SOFR thereafter) | 97,000 | 98,131 | ||||||
Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | 66,000 | 72,225 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 47 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
Morgan Stanley (4.43% fixed rate until 01/23/29; 1.63% + 3 month USD LIBOR thereafter) | 129,000 | 144,908 | ||||||
MPLX LP | ||||||||
3.38%, 03/15/23 (e) | 164,000 | 168,610 | ||||||
4.50%, 04/15/38 (e) | 16,000 | 16,589 | ||||||
5.20%, 12/01/47 (k) | 8,000 | 8,731 | ||||||
5.25%, 01/15/25 (k) | 162,000 | 170,798 | ||||||
6.25%, 10/15/22 (k) | 48,000 | 48,826 | ||||||
MPLX LP 1.10% + 3 month USD LIBOR | 65,000 | 65,252 | ||||||
Mylan Inc. | 14,000 | 14,866 | ||||||
National Retail Properties Inc. | 82,000 | 87,847 | ||||||
Newfield Exploration Co. | 217,000 | 239,440 | ||||||
Newmont Goldcorp Corp. | ||||||||
2.80%, 10/01/29 (e) | 38,000 | 37,624 | ||||||
4.88%, 03/15/42 (e) | 21,000 | 24,688 | ||||||
Nexen Inc. | 69,000 | 97,862 | ||||||
NextEra Energy Capital Holdings Inc. | 39,000 | 40,469 | ||||||
NextEra Energy Capital Holdings Inc. (5.65% fixed rate until 05/01/29; 3.16% + 3 month USD LIBOR thereafter) | 80,000 | 86,843 | ||||||
Noble Energy Inc. | ||||||||
3.85%, 01/15/28 (e) | 53,000 | 54,980 | ||||||
3.90%, 11/15/24 (e) | 16,000 | 16,762 | ||||||
4.20%, 10/15/49 | 67,000 | 66,370 | ||||||
5.05%, 11/15/44 (e) | 4,000 | 4,352 | ||||||
Nordstrom Inc. | 4,000 | 3,723 | ||||||
Norfolk Southern Corp. | 19,000 | 20,655 | ||||||
Northrop Grumman Corp. | ||||||||
2.55%, 10/15/22 (e) | 64,000 | 64,834 | ||||||
3.85%, 04/15/45 (e) | 4,000 | 4,374 | ||||||
4.03%, 10/15/47 (e) | 7,000 | 7,929 | ||||||
Nucor Corp. | 26,000 | 28,387 | ||||||
Nutrien Ltd. | ||||||||
4.00%, 12/15/26 (e) | 16,000 | 17,112 | ||||||
4.90%, 06/01/43 (e) | 15,000 | 16,673 | ||||||
Occidental Petroleum Corp. | ||||||||
2.70%, 08/15/22 (e) | 65,000 | 65,596 |
Principal Amount ($) | Fair Value $ | |||||||
2.90%, 08/15/24 (e) | 17,000 | 17,116 | ||||||
3.50%, 08/15/29 (e) | 60,000 | 60,824 | ||||||
4.10%, 02/15/47 (e) | 7,000 | 6,834 | ||||||
6.20%, 03/15/40 | 14,000 | 17,000 | ||||||
Omnicom Group Inc./Omnicom Capital Inc. | 26,000 | 26,946 | ||||||
Oncor Electric Delivery Company LLC | 16,000 | 17,900 | ||||||
Oracle Corp. | ||||||||
2.40%, 09/15/23 (e) | 18,000 | 18,225 | ||||||
2.65%, 07/15/26 (e) | 28,000 | 28,552 | ||||||
3.80%, 11/15/37 (e) | 8,000 | 8,776 | ||||||
4.00%, 07/15/46 - 11/15/47 (e) | 47,000 | 52,575 | ||||||
4.13%, 05/15/45 (e) | 5,000 | 5,642 | ||||||
Oshkosh Corp. | 22,000 | 22,852 | ||||||
Owens Corning | 18,000 | 16,579 | ||||||
PacifiCorp | 140,000 | 197,387 | ||||||
Packaging Corporation of America | 13,000 | 13,490 | ||||||
Parker-Hannifin Corp. | 26,000 | 27,094 | ||||||
PayPal Holdings Inc. | ||||||||
2.65%, 10/01/26 | 45,000 | 45,341 | ||||||
2.85%, 10/01/29 | 20,000 | 20,149 | ||||||
PepsiCo Inc. | ||||||||
2.63%, 07/29/29 (e) | 63,000 | 64,605 | ||||||
3.38%, 07/29/49 (e) | 20,000 | 21,308 | ||||||
3.45%, 10/06/46 (e) | 18,000 | 19,342 | ||||||
Petroleos Mexicanos | ||||||||
5.35%, 02/12/28 (e) | 45,000 | 43,116 | ||||||
5.63%, 01/23/46 (e) | 72,000 | 61,479 | ||||||
6.49%, 01/23/27 (e)(k) | 20,000 | 20,863 | ||||||
6.50%, 03/13/27 (e) | 114,000 | 118,595 | ||||||
Pfizer Inc. | ||||||||
3.45%, 03/15/29 (e) | 35,000 | 37,921 | ||||||
3.60%, 09/15/28 (e) | 34,000 | 37,171 | ||||||
3.90%, 03/15/39 (e) | 17,000 | 19,230 | ||||||
4.13%, 12/15/46 (e) | 10,000 | 11,659 | ||||||
4.40%, 05/15/44 (e) | 6,000 | 7,190 | ||||||
Philip Morris International Inc. | ||||||||
3.38%, 08/15/29 (e) | 69,000 | 72,332 | ||||||
4.13%, 03/04/43 (e) | 23,000 | 24,592 | ||||||
Phillips 66 | 32,000 | 34,495 | ||||||
Phillips 66 Partners LP | ||||||||
3.75%, 03/01/28 (e) | 15,000 | 15,597 | ||||||
4.68%, 02/15/45 (e) | 16,000 | 17,179 |
See Notes to Schedules of Investments and Notes to Financial Statements.
48 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
Plains All American Pipeline LP/PAA Finance Corp. | ||||||||
3.55%, 12/15/29 (e) | 83,000 | 81,335 | ||||||
3.65%, 06/01/22 (e) | 40,000 | 41,014 | ||||||
4.70%, 06/15/44 (e) | 12,000 | 11,693 | ||||||
PPL Capital Funding Inc. | 71,000 | 72,310 | ||||||
Precision Castparts Corp. | 17,000 | 20,173 | ||||||
Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter) | 102,000 | 112,827 | ||||||
QUALCOMM Inc. | ||||||||
2.90%, 05/20/24 (e) | 12,000 | 12,337 | ||||||
3.00%, 05/20/22 (e) | 8,000 | 8,205 | ||||||
3.25%, 05/20/27 (e) | 4,000 | 4,178 | ||||||
4.30%, 05/20/47 (e) | 2,000 | 2,230 | ||||||
Realty Income Corp. | 51,000 | 52,393 | ||||||
Rio Tinto Finance USA PLC | 15,000 | 17,355 | ||||||
Rockwell Automation Inc. | 36,000 | 42,985 | ||||||
Rockwell Collins Inc. | 19,000 | 20,287 | ||||||
Rogers Communications Inc. | 9,000 | 11,067 | ||||||
Roper Technologies Inc. | 95,000 | 95,477 | ||||||
RPM International Inc. | 21,000 | 21,808 | ||||||
Ryder System Inc. | ||||||||
2.50%, 09/01/24 (e) | 65,000 | 65,235 | ||||||
3.65%, 03/18/24 (e) | 26,000 | 27,332 | ||||||
Sabine Pass Liquefaction LLC | ||||||||
4.20%, 03/15/28 (e) | 14,000 | 14,827 | ||||||
5.00%, 03/15/27 (e) | 8,000 | 8,822 | ||||||
Schlumberger Holdings Corp. | 36,000 | 38,141 | ||||||
Sempra Energy | ||||||||
3.80%, 02/01/38 (e) | 11,000 | 11,315 | ||||||
4.00%, 02/01/48 (e) | 26,000 | 27,506 | ||||||
Shell International Finance BV | ||||||||
2.38%, 08/21/22 (e) | 61,000 | 61,869 | ||||||
3.75%, 09/12/46 (e) | 10,000 | 11,130 | ||||||
4.13%, 05/11/35 (e) | 15,000 | 17,296 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.88%, 09/23/23 (e) | 2,000 | 2,040 | ||||||
3.20%, 09/23/26 (e) | 12,000 | 12,380 |
Principal Amount ($) | Fair Value $ | |||||||
Simon Property Group LP | 67,000 | 70,748 | ||||||
Smithfield Foods Inc. | 22,000 | 21,977 | ||||||
Southern California Edison Co. | ||||||||
2.40%, 02/01/22 (e) | 37,000 | 37,107 | ||||||
2.90%, 03/01/21 (e) | 46,000 | 46,457 | ||||||
4.00%, 04/01/47 (e) | 57,000 | 61,098 | ||||||
4.20%, 03/01/29 (e) | 39,000 | 43,450 | ||||||
Southern Company Gas Capital Corp. | 13,000 | 14,621 | ||||||
Southwestern Electric Power Co. | 23,000 | 23,108 | ||||||
Spectra Energy Partners LP | ||||||||
3.38%, 10/15/26 (e) | 8,000 | 8,285 | ||||||
4.50%, 03/15/45 (e) | 4,000 | 4,341 | ||||||
Starbucks Corp. | 19,000 | 21,161 | ||||||
Steel Dynamics Inc. | 125,000 | 126,267 | ||||||
Suncor Energy Inc. | 5,000 | 5,348 | ||||||
Sunoco Logistics Partners Operations LP | 19,000 | 20,091 | ||||||
Syngenta Finance N.V. | ||||||||
3.93%, 04/23/21 (e)(k) | 275,000 | 279,958 | ||||||
4.44%, 04/24/23 (e)(k) | 200,000 | 208,908 | ||||||
Sysco Corp. | 19,000 | 19,919 | ||||||
Tampa Electric Co. | 44,000 | 51,139 | ||||||
Target Corp. | ||||||||
2.50%, 04/15/26 (e) | 24,000 | 24,385 | ||||||
3.38%, 04/15/29 (e) | 80,000 | 86,166 | ||||||
Teck Resources Ltd. | 45,000 | 45,858 | ||||||
Texas Instruments Inc. | 23,000 | 26,578 | ||||||
The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | 40,000 | 42,682 | ||||||
The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter) | 86,000 | 87,386 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 49 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
The Bank of Nova Scotia (4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR thereafter) | 109,000 | 108,503 | ||||||
The Boeing Co. | ||||||||
2.70%, 02/01/27 (e) | 58,000 | 59,115 | ||||||
2.95%, 02/01/30 (e) | 33,000 | 34,007 | ||||||
3.25%, 03/01/28 (e) | 18,000 | 18,935 | ||||||
3.55%, 03/01/38 (e) | 19,000 | 20,103 | ||||||
3.75%, 02/01/50 (e) | 39,000 | 42,192 | ||||||
The Cleveland Electric Illuminating Co. | 71,000 | 80,225 | ||||||
The Dow Chemical Co. | ||||||||
4.25%, 10/01/34 (e) | 26,000 | 27,551 | ||||||
5.55%, 11/30/48 (e)(k) | 16,000 | 19,428 | ||||||
The George Washington University | 84,000 | 99,725 | ||||||
The Goldman Sachs Group Inc. | ||||||||
3.50%, 11/16/26 (e) | 171,000 | 177,818 | ||||||
3.85%, 01/26/27 (e) | 114,000 | 120,811 | ||||||
4.25%, 10/21/25 (e) | 4,000 | 4,286 | ||||||
5.15%, 05/22/45 (e) | 71,000 | 84,284 | ||||||
The Goldman Sachs Group Inc. (3.81% fixed rate until | 116,000 | 122,988 | ||||||
The Goldman Sachs Group Inc. (4.02% fixed rate until | 50,000 | 53,773 | ||||||
The Hartford Financial Services Group Inc. | 65,000 | 64,952 | ||||||
The Hartford Financial Services Group Inc. 2.13% + 3 month USD LIBOR | 95,000 | 80,778 | ||||||
The Home Depot Inc. | ||||||||
3.50%, 09/15/56 (e) | 21,000 | 22,344 | ||||||
3.90%, 12/06/28 - 06/15/47 (e) | 74,000 | 83,800 | ||||||
4.50%, 12/06/48 (e) | 38,000 | 47,422 | ||||||
The Interpublic Group of Companies Inc. | 139,000 | 142,647 | ||||||
The Kroger Co. | ||||||||
2.95%, 11/01/21 (e) | 43,000 | 43,665 | ||||||
4.65%, 01/15/48 (e) | 12,000 | 12,750 |
Principal Amount ($) | Fair Value $ | |||||||
The Mosaic Co. | 4,000 | 4,411 | ||||||
The Sherwin-Williams Co. | ||||||||
2.75%, 06/01/22 (e) | 5,000 | 5,069 | ||||||
3.45%, 06/01/27 (e) | 7,000 | 7,313 | ||||||
4.50%, 06/01/47 (e) | 6,000 | 6,727 | ||||||
The Southern Co. | ||||||||
3.25%, 07/01/26 (e) | 8,000 | 8,245 | ||||||
4.40%, 07/01/46 (e) | 5,000 | 5,559 | ||||||
The Walt Disney Co. | ||||||||
3.38%, 11/15/26 (e)(k) | 7,000 | 7,522 | ||||||
4.00%, 10/01/23 (e)(k) | 358,000 | 383,604 | ||||||
4.75%, 11/15/46 (e)(k) | 5,000 | 6,528 | ||||||
6.65%, 11/15/37 (e)(k) | 31,000 | 46,655 | ||||||
The Williams Companies Inc. | ||||||||
3.75%, 06/15/27 (e) | 6,000 | 6,197 | ||||||
3.90%, 01/15/25 (e) | 8,000 | 8,391 | ||||||
4.85%, 03/01/48 (e) | 15,000 | 16,087 | ||||||
4.90%, 01/15/45 (e) | 8,000 | 8,514 | ||||||
5.40%, 03/04/44 (e) | 4,000 | 4,471 | ||||||
Time Warner Cable LLC | ||||||||
4.50%, 09/15/42 (e) | 4,000 | 3,922 | ||||||
6.55%, 05/01/37 (e) | 17,000 | 20,331 | ||||||
Total Capital International S.A. | 54,000 | 58,404 | ||||||
TransCanada PipeLines Ltd. | ||||||||
4.25%, 05/15/28 (e) | 39,000 | 43,104 | ||||||
4.88%, 01/15/26 (e) | 7,000 | 7,852 | ||||||
Transcontinental Gas Pipe Line Company LLC | 16,000 | 16,999 | ||||||
TWDC Enterprises 18 Corp. | 5,000 | 6,015 | ||||||
Tyco Electronics Group S.A. | 28,000 | 28,718 | ||||||
Tyson Foods Inc. | ||||||||
4.00%, 03/01/26 (e) | 79,000 | 85,528 | ||||||
4.55%, 06/02/47 (e) | 4,000 | 4,488 | ||||||
UDR Inc. | 25,000 | 25,066 | ||||||
Union Pacific Corp. | ||||||||
3.50%, 06/08/23 (e) | 31,000 | 32,434 | ||||||
3.60%, 09/15/37 (e) | 6,000 | 6,331 | ||||||
3.70%, 03/01/29 (e) | 80,000 | 87,136 | ||||||
4.10%, 09/15/67 (e) | 21,000 | 22,203 | ||||||
4.30%, 03/01/49 (e) | 26,000 | 30,217 | ||||||
United Technologies Corp. | ||||||||
3.13%, 05/04/27 (e) | 43,000 | 45,152 | ||||||
3.65%, 08/16/23 (e) | 34,000 | 35,975 | ||||||
3.95%, 08/16/25 (e) | 14,000 | 15,330 | ||||||
4.13%, 11/16/28 (e) | 6,000 | 6,787 | ||||||
4.15%, 05/15/45 (e) | 18,000 | 20,694 |
See Notes to Schedules of Investments and Notes to Financial Statements.
50 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
4.45%, 11/16/38 (e) | 14,000 | 16,708 | ||||||
4.50%, 06/01/42 (e) | 12,000 | 14,366 | ||||||
UnitedHealth Group Inc. | ||||||||
4.45%, 12/15/48 (e) | 58,000 | 68,734 | ||||||
4.75%, 07/15/45 (e) | 9,000 | 10,946 | ||||||
Unum Group | 30,000 | 29,067 | ||||||
Vale S.A. | 19,000 | 21,375 | ||||||
Valero Energy Corp. | 67,000 | 71,278 | ||||||
Valero Energy Partners LP | 35,000 | 38,091 | ||||||
Ventas Realty LP | 88,000 | 90,112 | ||||||
Verizon Communications Inc. | ||||||||
2.45%, 11/01/22 | 350,000 | 354,491 | ||||||
3.38%, 02/15/25 (e) | 24,000 | 25,321 | ||||||
3.88%, 02/08/29 (e) | 19,000 | 20,864 | ||||||
4.33%, 09/21/28 (e) | 26,000 | 29,461 | ||||||
4.40%, 11/01/34 (e) | 64,000 | 73,059 | ||||||
4.52%, 09/15/48 (e) | 18,000 | 21,181 | ||||||
4.67%, 03/15/55 (e) | 33,000 | 39,551 | ||||||
5.01%, 04/15/49 (e) | 23,000 | 28,836 | ||||||
5.25%, 03/16/37 (e) | 16,000 | 19,885 | ||||||
Viacom Inc. | ||||||||
3.45%, 10/04/26 (e) | 19,000 | 19,398 | ||||||
4.38%, 03/15/43 (e) | 41,000 | 42,324 | ||||||
5.25%, 04/01/44 (e) | 4,000 | 4,562 | ||||||
Virginia Electric & Power Co. | 42,000 | 46,884 | ||||||
Visa Inc. | ||||||||
3.15%, 12/14/25 (e) | �� | 6,000 | 6,396 | |||||
4.30%, 12/14/45 (e) | 24,000 | 29,718 | ||||||
Vodafone Group PLC | ||||||||
4.38%, 05/30/28 (e) | 48,000 | 53,037 | ||||||
5.25%, 05/30/48 (e) | 22,000 | 25,462 | ||||||
Vornado Realty LP | 14,000 | 14,424 | ||||||
Vulcan Materials Co. | 14,000 | 14,670 | ||||||
Walgreen Co. | 11,000 | 11,013 | ||||||
Walmart Inc. | ||||||||
3.63%, 12/15/47 (e) | 14,000 | 15,667 | ||||||
3.70%, 06/26/28 (e) | 29,000 | 32,167 | ||||||
3.95%, 06/28/38 (e) | 29,000 | 33,904 | ||||||
4.05%, 06/29/48 (e) | 43,000 | 51,659 | ||||||
WEC Energy Group Inc. | 30,000 | 31,915 | ||||||
Wells Fargo & Co. | ||||||||
3.90%, 05/01/45 (e) | 5,000 | 5,628 |
Principal Amount ($) | Fair Value $ | |||||||
4.15%, 01/24/29 (e) | 57,000 | 63,226 | ||||||
4.75%, 12/07/46 (e) | 71,000 | 83,662 | ||||||
Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter) | 217,000 | 224,135 | ||||||
Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) | 127,000 | 139,866 | ||||||
Wells Fargo & Co. 3.77% + 3 month USD LIBOR | 84,000 | 84,961 | ||||||
Western Midstream Operating LP | ||||||||
4.00%, 07/01/22 (e) | 43,000 | 43,510 | ||||||
5.38%, 06/01/21 (e) | 49,000 | 50,507 | ||||||
Westpac Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + USD 5 yearMid-Market Swap Rate thereafter) | 32,000 | 33,396 | ||||||
Willis North America Inc. | 75,000 | 78,110 | ||||||
WPP Finance 2010 | 19,000 | 19,727 | ||||||
WRKCo Inc. | 19,000 | 19,361 | ||||||
Xilinx Inc. | 15,000 | 15,409 | ||||||
Zoetis Inc. | ||||||||
3.00%, 09/12/27 | 7,000 | 7,181 | ||||||
3.90%, 08/20/28 | 21,000 | 23,094 | ||||||
|
| |||||||
31,100,610 | ||||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations - 3.0% |
| |||||||
CD2019-CD8 Mortgage Trust | 827,000 | 853,262 | ||||||
Citigroup Commercial Mortgage Trust2016-P6 | 268,803 | 293,266 | ||||||
GS Mortgage Securities Trust 2012-GCJ9 | 709,990 | 35,778 | ||||||
GS Mortgage Securities Trust2016-GS3 | 379,000 | 391,657 | ||||||
JP Morgan Chase Commercial Mortgage Securities Corp.2012-LC9 | 714,220 | 27,661 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 51 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Principal Amount ($) | Fair Value $ | |||||||
JPMBB Commercial Mortgage Securities Trust2015-C32 | 494,000 | 528,072 | ||||||
LB-UBS Commercial Mortgage Trust2004-C8 | 36,403 | 1 | ||||||
MASTR Alternative Loan Trust2003-5 | 1,114 | 29 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust2015-C21 | 3,691,531 | 139,270 | ||||||
Morgan Stanley Capital I Trust 2006-IQ11 | 270,000 | 272,461 | ||||||
UBS Commercial Mortgage Trust2018-C12 | 189,000 | 216,362 | ||||||
Wells Fargo Commercial Mortgage Trust2015-C26 | 2,949,770 | 148,523 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | 544,000 | 585,527 | ||||||
|
| |||||||
3,491,869 | ||||||||
|
| |||||||
Sovereign Bonds - 0.5% | ||||||||
Government of Mexico | 202,000 | 216,409 | ||||||
Government of Peru | 113,000 | 165,685 | ||||||
Government of Uruguay | 117,568 | 139,988 | ||||||
|
| |||||||
522,082 | ||||||||
|
| |||||||
Municipal Bonds and Notes - 0.5% |
| |||||||
American Municipal Power Inc. | 105,000 | 144,714 | ||||||
Commonwealth of Massachusetts | 25,000 | 24,363 | ||||||
State of California | 165,000 | 183,850 | ||||||
State of Illinois | 100,000 | 108,314 | ||||||
The University of Texas System | 95,000 | 103,221 | ||||||
|
| |||||||
564,462 | ||||||||
|
| |||||||
Total Bonds and Notes (Cost $108,668,089) | 112,460,467 | |||||||
|
|
Principal or Shares | Fair Value $ | |||||||
Domestic Equity - 0.2% | ||||||||
Preferred Stock - 0.2% | ||||||||
Wells Fargo & Co. | 8,578 | 226,631 | ||||||
|
| |||||||
Total Investments in Securities (Cost $108,882,539) |
| 112,687,098 | ||||||
|
| |||||||
Short-Term Investments - 41.5% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 1.92% | 47,836,549 | 47,836,549 | ||||||
|
| |||||||
Total Investments (Cost $156,719,088) | 160,523,647 | |||||||
Liabilities in Excess of Other Assets,net - (39.5)% |
| (45,348,530 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% |
| 115,175,117 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
52 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
Other Information:
Centrally Cleared Credit Default Swaps
Reference Entity | Counterparty | Notional Amount (000s omitted) | Contract Annual Fixed Rate/ Payment Frequency | Termination Date | Market Value | Unamortized Upfront Payments Received | Unrealized Appreciation/ Depreciation | |||||||||||||||||||
Buy Protection |
| |||||||||||||||||||||||||
Markit CDX North America Investment Grade Index | Intercontinental Exchange | $ | 2,355 | 1.00%/Quarterly | 06/20/24 | $ | (49,627 | ) | $ | (41,169 | ) | $ | (8,458 | ) | ||||||||||||
Sell Protection |
| |||||||||||||||||||||||||
Markit CDX North America | Intercontinental Exchange | $ | 3,130 | 5.00%/Quarterly | 06/20/24 | $ | 220,838 | $ | 187,844 | $ | 32,994 | |||||||||||||||
|
| |||||||||||||||||||||||||
$ | 24,536 | |||||||||||||||||||||||||
|
|
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. | $ | 9,488 | Pays/ Quarterly | 3 Month U.S. Dollar LIBOR | 3.06% | 11/19/21 | $ | (285,729 | ) | $ | — | $ | (285,729 | ) | ||||||||||||||
|
|
The Fund had the following long futures contracts open at September 30, 2019:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
Ultra Long-Term U.S. Treasury Bond Futures | December 2019 | 2 | $ | 387,270 | $ | 383,813 | $ | (3,457 | ) | |||||||||||
2 Yr. U.S. Treasury Notes Futures | December 2019 | 79 | 17,072,742 | 17,024,500 | (48,242 | ) | ||||||||||||||
5 Yr. U.S. Treasury Notes Futures | December 2019 | 23 | 2,757,708 | 2,740,414 | (17,294 | ) | ||||||||||||||
10 Yr. U.S. Treasury Notes Futures | December 2019 | 7 | 917,308 | 912,187 | (5,121 | ) | ||||||||||||||
|
| |||||||||||||||||||
$ | (74,114 | ) | ||||||||||||||||||
|
|
The Fund had the following short futures contracts open at September 30, 2019:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
U.S. Long Bond Futures | December 2019 | 4 | $ | (657,242 | ) | $ | (649,250 | ) | $ | 7,992 | ||||||||||
10 Yr. U.S. Treasury Ultra Futures | December 2019 | 36 | (5,182,754 | ) | (5,126,625 | ) | 56,129 | |||||||||||||
|
| |||||||||||||||||||
$ | 64,121 | |||||||||||||||||||
|
| |||||||||||||||||||
$ | (9,993 | ) | ||||||||||||||||||
|
|
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 | $ | 3,438 | $ | 8,380 | $ | 344 | $ | 963 | $ | 61,686,603 | $ | 12,434,204 | $ | 5,000,581 | $ | 16,785,468 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 53 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2019
The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2019:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Active Core Bond Fund | Investments in Securities | |||||||||||||||||
U.S. Treasuries | $ | — | $ | 27,778,553 | $ | — | $ | 27,778,553 | ||||||||||
Agency Mortgage Backed | — | 44,598,536 | — | 44,598,536 | ||||||||||||||
Agency Collateralized Mortgage Obligations | — | 1,387,394 | — | 1,387,394 | ||||||||||||||
Asset Backed | — | 3,016,961 | — | 3,016,961 | ||||||||||||||
Corporate Notes | — | 31,100,610 | — | 31,100,610 | ||||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 3,491,869 | — | 3,491,869 | ||||||||||||||
Sovereign Bonds | — | 522,082 | — | 522,082 | ||||||||||||||
Municipal Bonds and Notes | — | 564,462 | — | 564,462 | ||||||||||||||
Preferred Stock | 226,631 | — | — | 226,631 | ||||||||||||||
Short-Term Investments | 47,836,549 | — | — | 47,836,549 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 48,063,180 | $ | 112,460,467 | $ | — | $ | 160,523,647 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Credit Default Swap Contracts - Unrealized Appreciation | $ | — | $ | 32,994 | $ | — | $ | 32,994 | ||||||||||
Credit Default Swap Contracts - Unrealized Depreciation | — | (8,458 | ) | — | (8,458 | ) | ||||||||||||
Interest Rate Swaps - Unrealized Appreciation | — | (285,729 | ) | — | (285,729 | ) | ||||||||||||
Long Futures Contracts - Unrealized Depreciation | (74,114 | ) | — | — | (74,114 | ) | ||||||||||||
Short Futures Contracts - Unrealized Appreciation | 64,121 | — | — | 64,121 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Other Financial Instruments | $ | (9,993 | ) | $ | (261,193 | ) | $ | — | $ | (271,186 | ) | |||||||
|
|
|
|
|
|
|
|
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 9/30/19 | Value at 9/30/19 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares | 13,336,330 | $ | 13,336,330 | $ | 242,137,764 | $ | 207,637,545 | $ | — | $ | — | 47,836,549 | $ | 47,836,549 | $ | 884,729 |
See Notes to Schedules of Investments and Notes to Financial Statements.
54 | State Street Active Core Bond Fund |
Table of Contents
State Street Institutional Funds
Notes to Schedule of Investments, continued — September 30, 2019
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) | At September 30, 2019, all or a portion of this security was pledged to cover collateral requirements for futures. |
(c) | Coupon amount represents effective yield. |
(d) | 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. |
(e) | At September 30, 2019, all or a portion of this security was pledged to cover collateral requirements for futures, options, swaps and/or TBAs. |
(f) | Variable Rate Security - Interest rate shown is rate in effect at September 30, 2019. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(g) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future. |
(h) | 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. |
(i) | 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. |
(j) | Step coupon bond. |
(k) | Pursuant to Rule 144A of the Securities Act of 1933, as amended, these securities may be resold in transactions exempt from registration, normally to qualified institutional buyers. At September 30, 2019, these securities amounted to $3,257,660 or 2.83% 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 Fund’s Board of Trustees. |
† | Percentages are based on net assets as of September 30, 2019. |
* | Less than 0.05%. |
** | Less than $0.50. |
Abbreviations:
ADR - American Depositary Receipt
CMT - Constant Maturity Treasury
LIBOR - London Interbank Offered Rate
REIT - Real Estate Investment Trust
REMIC - Real Estate Mortgage Investment Conduit
SOFR - Secured Overnight Financing Rate
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 | 55 |
Table of Contents
State Street Institutional U.S. Equity Fund
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | ||||||||||||||||
Inception date | 11/25/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 13.74 | $ | 14.95 | $ | 13.50 | $ | 14.46 | $ | 17.32 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.15 | * | 0.16 | * | 0.18 | * | 0.21 | * | 0.21 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 0.05 | * | 1.95 | * | 2.16 | * | 1.52 | * | (0.65 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.20 | 2.11 | 2.34 | 1.73 | (0.44 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.18 | 0.21 | 0.21 | 0.24 | 0.25 | |||||||||||||||
Net realized gains | 1.46 | 3.11 | 0.68 | 2.45 | 2.17 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 1.64 | 3.32 | 0.89 | 2.69 | 2.42 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 12.30 | $ | 13.74 | $ | 14.95 | $ | 13.50 | $ | 14.46 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 4.43 | % | 16.72 | % | 18.29 | % | 13.29 | % | (3.57 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 419,296 | $ | 522,658 | $ | 461,828 | $ | 603,060 | $ | 615,024 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.38 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | ||||||||||
Gross expenses | 0.38 | % | 0.37 | % | 0.37 | % | 0.37 | % | 0.37 | % | ||||||||||
Net investment income | 1.29 | % | 1.21 | % | 1.29 | % | 1.61 | % | 1.32 | % | ||||||||||
Portfolio turnover rate | 35 | % | 48 | % | 80 | % | 43 | % | 41 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | ||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||
Net asset value, beginning of period | $ | 14.70 | $ | 15.77 | $ | 14.18 | $ | 15.06 | $ | 17.95 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.14 | * | 0.14 | * | 0.15 | * | 0.19 | * | 0.18 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 0.09 | * | 2.08 | * | 2.29 | * | 1.58 | * | (0.69 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.23 | 2.22 | 2.44 | 1.77 | (0.51 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
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 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 1.61 | 3.29 | 0.85 | 2.65 | 2.38 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 13.32 | $ | 14.70 | $ | 15.77 | $ | 14.18 | $ | 15.06 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 4.23 | % | 16.35 | % | 18.07 | % | 12.96 | % | (3.83 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 48 | $ | 104 | $ | 95 | $ | 95 | $ | 104 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.63 | % | 0.62 | % | 0.62 | % | 0.62 | % | 0.62 | % | ||||||||||
Gross expenses | 0.63 | % | 0.62 | % | 0.62 | % | 0.62 | % | 0.62 | % | ||||||||||
Net investment income | 1.06 | % | 0.95 | % | 1.04 | % | 1.35 | % | 1.07 | % | ||||||||||
Portfolio turnover rate | 35 | % | 48 | % | 80 | % | 43 | % | 41 | % |
See Notes to Financial Highlights and Notes to Financial Statements
56 | Financial Highlights |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | ||||||||||||||||
Inception date | 10/29/99 | |||||||||||||||||||
Net asset value, beginning of period | $ | 17.49 | $ | 15.69 | $ | 14.23 | $ | 13.61 | $ | 14.96 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.09 | * | 0.11 | * | 0.13 | * | 0.13 | * | 0.13 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | (0.03 | )* | 2.82 | * | 2.60 | * | 1.88 | * | (0.11 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income from investment operations | 0.06 | 2.93 | 2.73 | 2.01 | 0.02 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.11 | 0.13 | 0.12 | 0.14 | 0.13 | |||||||||||||||
Net realized gains | 1.93 | 1.00 | 1.15 | 1.25 | 1.24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 2.04 | 1.13 | 1.27 | 1.39 | 1.37 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 15.51 | $ | 17.49 | $ | 15.69 | $ | 14.23 | $ | 13.61 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 3.57 | % | 19.64 | % | 21.18 | % | 15.25 | % | (0.47 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 192,144 | $ | 365,078 | $ | 360,416 | $ | 325,700 | $ | 334,227 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.39 | % | 0.38 | % | 0.38 | % | 0.38 | % | 0.38 | % | ||||||||||
Gross expenses | 0.39 | % | 0.38 | % | 0.38 | % | 0.38 | % | 0.38 | % | ||||||||||
Net investment income | 0.59 | % | 0.68 | % | 0.88 | % | 0.95 | % | 0.89 | % | ||||||||||
Portfolio turnover rate | 27 | % | 21 | % | 24 | % | 21 | % | 21 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | ||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||
Net asset value, beginning of period | $ | 17.24 | $ | 15.48 | $ | 14.06 | $ | 13.46 | $ | 14.82 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.05 | * | 0.07 | * | 0.09 | * | 0.09 | * | 0.09 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | (0.02 | )* | 2.78 | * | 2.57 | * | 1.87 | * | (0.12 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.03 | 2.85 | 2.66 | 1.96 | (0.03 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.07 | 0.09 | 0.09 | 0.11 | 0.09 | |||||||||||||||
Net realized gains | 1.93 | 1.00 | 1.15 | 1.25 | 1.24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 2.00 | 1.09 | 1.24 | 1.36 | 1.33 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 15.27 | $ | 17.24 | $ | 15.48 | $ | 14.06 | $ | 13.46 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 3.32 | % | 19.37 | % | 20.84 | % | 14.99 | % | (0.77 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 9,609 | $ | 17,298 | $ | 16,136 | $ | 11,547 | $ | 5,820 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.64 | % | 0.63 | % | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||
Gross expenses | 0.64 | % | 0.63 | % | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||
Net investment income | 0.34 | % | 0.43 | % | 0.62 | % | 0.67 | % | 0.61 | % | ||||||||||
Portfolio turnover rate | 27 | % | 21 | % | 24 | % | 21 | % | 21 | % |
See Notes to Financial Highlights and Notes to Financial Statements
Financial Highlights | 57 |
Table of Contents
State Street InstitutionalSmall-Cap Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | ||||||||||||||||
Inception date | 8/3/98 | |||||||||||||||||||
Net asset value, beginning of period | $ | 21.94 | $ | 20.79 | $ | 17.96 | $ | 17.18 | $ | 19.32 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.06 | * | 0.03 | * | 0.05 | * | 0.04 | * | 0.03 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | (2.06 | )* | 2.95 | * | 3.42 | * | 2.79 | * | (0.08 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | (2.00 | ) | 2.98 | 3.47 | 2.83 | (0.05 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.04 | 0.04 | 0.04 | 0.03 | 0.02 | |||||||||||||||
Net realized gains | 2.86 | 1.79 | 0.60 | 2.02 | 2.07 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 2.90 | 1.83 | 0.64 | 2.05 | 2.09 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 17.04 | $ | 21.94 | $ | 20.79 | $ | 17.96 | $ | 17.18 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | (6.21 | )% | 15.47 | % | 19.65 | % | 18.24 | % | (0.90 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,255,899 | $ | 1,528,575 | $ | 1,464,018 | $ | 1,298,789 | $ | 1,171,984 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.88 | % | 0.88 | % | 0.88 | % | 0.89 | % | 0.89 | % | ||||||||||
Gross expenses | 0.88 | % | 0.88 | % | 0.88 | % | 0.89 | % | 0.89 | % | ||||||||||
Net investment income | 0.37 | % | 0.14 | % | 0.27 | % | 0.25 | % | 0.17 | % | ||||||||||
Portfolio turnover rate | 29 | % | 38 | % | 34 | % | 33 | % | 40 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | ||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||
Net asset value, beginning of period | $ | 21.93 | $ | 20.79 | $ | 17.98 | $ | 17.21 | $ | 19.37 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income (loss) | 0.02 | * | (0.02 | )* | 0.01 | * | (0.00 | )*(b) | (0.01 | )* | ||||||||||
Net realized and unrealized gains/(losses) on investments | (2.05 | )* | 2.95 | * | 3.41 | * | 2.80 | * | (0.08 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | (2.03 | ) | 2.93 | 3.42 | 2.80 | (0.09 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
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 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 2.88 | 1.79 | 0.61 | 2.03 | 2.07 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 17.02 | $ | 21.93 | $ | 20.79 | $ | 17.98 | $ | 17.21 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | (6.44 | )% | 15.14 | % | 19.38 | % | 17.96 | % | (1.12 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,937 | $ | 2,671 | $ | 2,373 | $ | 2,579 | $ | 1,741 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 1.13 | % | 1.13 | % | 1.13 | % | 1.14 | % | 1.14 | % | ||||||||||
Gross expenses | 1.13 | % | 1.13 | % | 1.13 | % | 1.14 | % | 1.14 | % | ||||||||||
Net investment income (loss) | 0.12 | % | (0.11 | )% | 0.03 | % | (0.00 | )%(c) | (0.07 | )% | ||||||||||
Portfolio turnover rate | 29 | % | 38 | % | 34 | % | 33 | % | 40 | % |
See Notes to Financial Highlights and Notes to Financial Statements
58 | Financial Highlights |
Table of Contents
State Street Institutional International Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | ||||||||||||||||
Inception date | 11/25/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 13.37 | $ | 13.42 | $ | 11.83 | $ | 11.41 | $ | 12.72 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.15 | * | 0.23 | * | 0.17 | * | 0.20 | * | 0.18 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 0.22 | * | (0.09 | )* | 1.63 | * | 0.40 | * | (1.15 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.37 | 0.14 | 1.80 | 0.60 | (0.97 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.32 | 0.19 | 0.21 | 0.18 | 0.34 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.32 | 0.19 | 0.21 | 0.18 | 0.34 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 13.42 | $ | 13.37 | $ | 13.42 | $ | 11.83 | $ | 11.41 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 3.18 | % | 1.01 | % | 15.58 | % | 5.32 | % | (7.80 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 73,060 | $ | 1,095,253 | $ | 1,213,757 | $ | 1,238,011 | $ | 1,284,412 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.56 | % | 0.57 | % | 0.57 | % | 0.57 | % | 0.56 | % | ||||||||||
Gross expenses | 0.63 | % | 0.57 | % | 0.57 | % | 0.57 | % | 0.56 | % | ||||||||||
Net investment income | 1.15 | % | 1.68 | % | 1.40 | % | 1.73 | % | 1.38 | % | ||||||||||
Portfolio turnover rate | 20 | % | 24 | % | 30 | % | 33 | % | 26 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | ||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||
Net asset value, beginning of period | $ | 13.28 | $ | 13.34 | $ | 11.76 | $ | 11.33 | $ | 12.62 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.22 | * | 0.20 | * | 0.14 | * | 0.17 | * | 0.08 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 0.13 | * | (0.10 | )* | 1.63 | * | 0.40 | * | (1.06 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.35 | 0.10 | 1.77 | 0.57 | (0.98 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.26 | 0.16 | 0.19 | 0.14 | 0.31 | |||||||||||||||
�� |
|
|
|
|
|
|
|
|
|
| ||||||||||
Total distributions | 0.26 | 0.16 | 0.19 | 0.14 | 0.31 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 13.37 | $ | 13.28 | $ | 13.34 | $ | 11.76 | $ | 11.33 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 3.03 | % | 0.75 | % | 15.33 | % | 5.01 | % | (7.95 | )% | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 13,228 | $ | 17,820 | $ | 18,687 | $ | 17,796 | $ | 19,562 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.81 | % | 0.82 | % | 0.82 | % | 0.82 | % | 0.81 | % | ||||||||||
Gross expenses | 0.94 | % | 0.82 | % | 0.82 | % | 0.82 | % | 0.81 | % | ||||||||||
Net investment income | 1.80 | % | 1.44 | % | 1.14 | % | 1.45 | % | 0.63 | % | ||||||||||
Portfolio turnover rate | 20 | % | 24 | % | 30 | % | 33 | % | 26 | % |
See Notes to Financial Highlights and Notes to Financial Statements
Financial Highlights | 59 |
Table of Contents
State Street Active Core Bond Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | ||||||||||||||||
Inception date | 11/21/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.07 | $ | 9.52 | $ | 9.67 | $ | 9.45 | $ | 9.51 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.27 | * | 0.26 | * | 0.24 | * | 0.26 | * | 0.25 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 0.60 | * | (0.38 | )* | (0.15 | )* | 0.31 | * | (0.05 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.87 | (0.12 | ) | 0.09 | 0.57 | 0.20 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.28 | 0.27 | 0.23 | 0.26 | 0.26 | |||||||||||||||
Net realized gains | — | 0.06 | 0.01 | 0.09 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.28 | 0.33 | 0.24 | 0.35 | 0.26 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 9.66 | $ | 9.07 | $ | 9.52 | $ | 9.67 | $ | 9.45 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 9.76 | % | (1.35 | )% | 0.98 | % | 6.18 | % | 2.05 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 115,089 | $ | 221,201 | $ | 220,157 | $ | 298,908 | $ | 291,252 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.26 | % | 0.25 | % | 0.24 | % | 0.24 | % | 0.23 | % | ||||||||||
Gross expenses | 0.26 | % | 0.25 | % | 0.24 | % | 0.24 | % | 0.23 | % | ||||||||||
Net investment income | 2.92 | % | 2.83 | % | 2.56 | % | 2.79 | % | 2.65 | % | ||||||||||
Portfolio turnover rate | 438 | % | 181 | % | 326 | % | 219 | % | 297 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | 9/30/15** | ||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.28 | $ | 9.73 | $ | 9.89 | $ | 9.66 | $ | 9.72 | ||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.25 | * | 0.24 | * | 0.22 | * | 0.25 | * | 0.23 | * | ||||||||||
Net realized and unrealized gains/(losses) on investments | 0.62 | * | (0.38 | )* | (0.16 | )* | 0.31 | * | (0.05 | )* | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.87 | (0.14 | ) | 0.06 | 0.56 | 0.18 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.26 | 0.25 | 0.21 | 0.24 | 0.24 | |||||||||||||||
Net realized gains | — | 0.06 | 0.01 | 0.09 | — | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.26 | 0.31 | 0.22 | 0.33 | 0.24 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 9.89 | $ | 9.28 | $ | 9.73 | $ | 9.89 | $ | 9.66 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(a) | 9.56 | % | (1.51 | )% | 0.65 | % | 5.95 | % | 1.81 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 86 | $ | 80 | $ | 90 | $ | 181 | $ | 248 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.51 | % | 0.50 | % | 0.49 | % | 0.49 | % | 0.48 | % | ||||||||||
Gross expenses | 0.51 | % | 0.50 | % | 0.49 | % | 0.49 | % | 0.48 | % | ||||||||||
Net investment income | 2.65 | % | 2.57 | % | 2.28 | % | 2.58 | % | 2.40 | % | ||||||||||
Portfolio turnover rate | 438 | % | 181 | % | 326 | % | 219 | % | 297 | % |
See Notes to Financial Highlights and Notes to Financial Statements
60 | Financial Highlights |
Table of Contents
State Street Institutional Funds
Notes to Financial Highlights
(a) | Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. |
(b) | Less than $0.005. |
(c) | Less than 0.005%. |
* | Per share values have been calculated using the average share method. |
** | Beginning with the year ended September 30, 2016, the Funds were audited by Ernst & Young LLP. The previous years were audited by another independent registered public accounting firm. |
The accompanying Notes are an integral part of these financial statements.
Financial Highlights | 61 |
Table of Contents
State Street Institutional Funds
Statements of Assets and Liabilities — September 30, 2019
State Street Institutional U.S. Equity Fund | State Street Institutional Premier Growth Equity Fund | State Street Institutional Small-Cap Equity Fund | ||||||||||
Assets | ||||||||||||
Investments in securities, at fair value (cost $317,516,335; $127,374,799; $975,457,558; $72,193,431; and $108,882,539, respectively) | $ | 404,676,473 | $ | 197,666,133 | $ | 1,192,531,385 | ||||||
Investments in affiliated securities, at fair value (cost $0; $2,178,003; $0; $0; and $0, respectively) | — | 2,196,499 | — | |||||||||
Short-term affiliated investments, at fair value | 21,310,507 | 1,985,510 | 66,352,770 | |||||||||
Cash | 25,112 | — | 27,445 | |||||||||
Cash collateral on deposit with broker for future contracts | 310,444 | 104,815 | 1,822,234 | |||||||||
Cash collateral on deposit with broker for swap contracts | — | — | — | |||||||||
Receivable for investments sold | 633,722 | — | 2,171,201 | |||||||||
Income receivables | 328,064 | 52,776 | 984,036 | |||||||||
Receivable for fund shares sold | 55,102 | 23,426 | 5,821 | |||||||||
Income receivable from affiliated investments | 20,457 | 3,703 | 112,641 | |||||||||
Receivable for accumulated variation margin on swaps | — | — | — | |||||||||
Receivable for accumulated variation margin on futures contracts | — | 31,430 | — | |||||||||
|
|
|
|
|
| |||||||
Total assets | 427,359,881 | 202,064,292 | 1,264,007,533 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Distribution payable to shareholders | — | — | — | |||||||||
Foreign currency overdraft payable, at value (cost $0; $0; $0; $26,552; and $0, respectively) | — | — | — | |||||||||
Net cash collateral on futures contracts due to broker | — | — | — | |||||||||
Payable for investments purchased | 7,837,124 | 240,036 | 4,186,405 | |||||||||
Payable for fund shares redeemed | 21 | 4,753 | 488,927 | |||||||||
Payable for accumulated variation margin on swaps | — | — | — | |||||||||
Payable for accumulated variation margin on futures contracts | 53,768 | — | 582,555 | |||||||||
Payable to the Adviser | 124,954 | 65,217 | 914,117 | |||||||||
Distribution and service fees | 9 | 2,009 | 413 | |||||||||
Accrued foreign capital gains tax | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 8,015,876 | 312,015 | 6,172,417 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 419,344,005 | $ | 201,752,277 | $ | 1,257,835,116 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in | $ | 313,448,091 | $ | 64,767,859 | $ | 992,521,561 | ||||||
Total distributable earnings (loss) | 105,895,914 | 136,984,418 | 265,313,555 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 419,344,005 | $ | 201,752,277 | $ | 1,257,835,116 | ||||||
|
|
|
|
|
| |||||||
Investment Class: | ||||||||||||
Net Assets | $ | 419,296,318 | $ | 192,143,696 | $ | 1,255,898,552 | ||||||
Shares outstanding ($0.001 par value, unlimited shares authorized) | 34,075,460 | 12,384,676 | 73,693,590 | |||||||||
Net asset value, offering and redemption price per share | $ | 12.30 | $ | 15.51 | $ | 17.04 | ||||||
Service Class: | ||||||||||||
Net Assets | $ | 47,687 | $ | 9,608,581 | $ | 1,936,564 | ||||||
Shares outstanding ($0.001 par value, unlimited shares authorized) | 3,581 | 629,259 | 113,780 | |||||||||
Net asset value, offering and redemption price per share | $ | 13.32 | $ | 15.27 | $ | 17.02 |
The accompanying Notes are an integral part of these financial statements.
62 | Statements of Assets and Liabilities |
Table of Contents
State Street Institutional International Equity Fund | State Street Active Core Bond Fund | |||||
$ | 84,205,422 |
| $ | 112,687,098 | ||
| — |
| — | |||
723,844 | 47,836,549 | |||||
— | 161,732 | |||||
8,132 | — | |||||
— | 196,944 | |||||
— | 5,329,297 | |||||
1,465,367 | 500,083 | |||||
214 | 4,720 | |||||
1,665 | 42,702 | |||||
— | 175,273 | |||||
984 | — | |||||
|
|
|
| |||
86,405,628 | 166,934,398 | |||||
|
|
|
| |||
— | 31 | |||||
26,557 | — | |||||
— | 3,359 | |||||
— | 51,358,373 | |||||
8,998 | 135 | |||||
— | 367,141 | |||||
— | 9,707 | |||||
40,239 | 20,518 | |||||
2,717 | 17 | |||||
39,228 | — | |||||
|
|
|
| |||
117,739 | 51,759,281 | |||||
|
|
|
| |||
$ | 86,287,889 | $ | 115,175,117 | |||
|
|
|
| |||
$ | 76,460,607 | $ | 110,908,462 | |||
9,827,282 | 4,266,655 | |||||
|
|
|
| |||
$ | 86,287,889 | $ | 115,175,117 | |||
|
|
|
| |||
$ | 73,059,520 | $ | 115,088,883 | |||
5,444,450 | 11,910,832 | |||||
$ | 13.42 | $ | 9.66 | |||
$ | 13,228,369 | $ | 86,234 | |||
989,356 | 8,720 | |||||
$ | 13.37 | $ | 9.89 |
The accompanying Notes are an integral part of these financial statements.
Statements of Assets and Liabilities | 63 |
Table of Contents
State Street Institutional Funds
Statements of Operations — For the year ended September 30, 2019
State Street Institutional U.S. Equity Fund | State Street Institutional Premier Growth Equity Fund | State Street Institutional Small-Cap Equity Fund | ||||||||||
Investment Income |
| |||||||||||
Income |
| |||||||||||
Dividend | $ | 6,668,464 | $ | 2,588,142 | $ | 14,876,580 | ||||||
Interest | — | — | — | |||||||||
Income from affiliated investments | 210,932 | 195,207 | 1,507,813 | |||||||||
Less: Foreign taxes withheld | (3,354 | ) | (3,406 | ) | (59,640 | ) | ||||||
|
|
|
|
|
| |||||||
Total income | 6,876,042 | 2,779,943 | 16,324,753 | |||||||||
|
|
|
|
|
| |||||||
Expenses |
| |||||||||||
Advisory and administration fees | 1,520,713 | 1,069,979 | 11,437,053 | |||||||||
Distribution and service fees | ||||||||||||
Service Class | 198 | 26,870 | 5,788 | |||||||||
Trustees’ fees | 29,147 | 24,585 | 61,201 | |||||||||
Other expenses | 37 | 23 | 13 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before waivers | 1,550,095 | 1,121,457 | 11,504,055 | |||||||||
|
|
|
|
|
| |||||||
Less: Expenses waived or borne by the adviser | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,550,095 | 1,121,457 | �� | 11,504,055 | ||||||||
|
|
|
|
|
| |||||||
Net investment income | $ | 5,325,947 | $ | 1,658,486 | $ | 4,820,698 | ||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments |
| |||||||||||
Realized gain (loss) on: |
| |||||||||||
Unaffiliated investments | $ | 35,232,170 | $ | 69,567,248 | $ | 65,416,067 | ||||||
Futures | (28,496 | ) | (224,662 | ) | (2,320,389 | ) | ||||||
Written options | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency transactions | (598 | ) | — | — | ||||||||
Increase (decrease) in unrealized appreciation/depreciation on: |
| |||||||||||
Unaffiliated investments | (28,106,422 | ) | (66,455,686 | ) | (168,342,864 | ) | ||||||
Affiliated investments | — | 18,496 | — | |||||||||
Futures | (77,154 | ) | 71,002 | (468,070 | ) | |||||||
Written options | — | — | — | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency translations | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | 7,019,500 | 2,976,398 | (105,715,256 | ) | ||||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 12,345,447 | $ | 4,634,884 | $ | (100,894,558 | ) | |||||
|
|
|
|
|
|
(a) | Includes $55,802,499 of net realized gains from redemption in-kind. (See Note 7) |
(b) | Includes foreign capital gain taxes of $(56,620). |
(c) | Includes foreign deferred taxes of $(39,228). |
The accompanying Notes are an integral part of these financial statements.
64 | Statements of Operations |
Table of Contents
State Street Institutional International Equity Fund | State Street Active Core Bond Fund | |||||
$ | 3,167,121 | $ | 5,712 | |||
— | 5,137,397 | |||||
112,631 | 884,729 | |||||
(285,800 | ) | — | ||||
|
|
|
| |||
2,993,952 | 6,027,838 | |||||
|
|
|
| |||
1,018,780 | 465,851 | |||||
36,663 | 205 | |||||
41,769 | 20,258 | |||||
2,069 | — | |||||
|
|
|
| |||
1,099,281 | 486,314 | |||||
|
|
|
| |||
(125,957 | ) | — | ||||
|
|
|
| |||
973,324 | 486,314 | |||||
|
|
|
| |||
$ | 2,020,628 | $ | 5,541,524 | |||
|
|
|
| |||
$ | 60,432,225 | (a)(b) | $ | 6,411,150 | ||
(410,586 | ) | 715,937 | ||||
— | (185,499 | ) | ||||
— | (129,667 | ) | ||||
213,071 | — | |||||
(147,275,686 | )(c) | 6,093,167 | ||||
— | — | |||||
(136,709 | ) | 325,236 | ||||
— | (11,908 | ) | ||||
— | (269,448 | ) | ||||
(33,204 | ) | — | ||||
|
|
|
| |||
(87,210,889 | ) | 12,948,968 | ||||
|
|
|
| |||
$ | (85,190,261 | ) | $ | 18,490,492 | ||
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Operations | 65 |
Table of Contents
State Street Institutional Funds
Statements of Changes in Net Assets
State Street Institutional U.S. Equity Fund | State Street Institutional Premier Growth Equity Fund | |||||||||||||||||||
Year Ended September 30, | Year Ended September 30, 2018 | Year Ended September 30, 2019 | Year Ended September 30, | |||||||||||||||||
Increase (Decrease) in Net Assets |
| |||||||||||||||||||
Operations: |
| |||||||||||||||||||
Net investment income |
| $ | 5,325,947 | $ | 5,795,349 | $ | 1,658,486 | $ | 2,580,431 | |||||||||||
Net realized gain (loss) on investments, futures, written options, swap contracts and foreign currency transactions |
| 35,203,076 | 29,590,900 | 69,342,586 | 42,497,091 | |||||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, written options, swap contracts and foreign currency translations |
| (28,183,576 | ) | 38,467,473 | (66,366,188 | ) | 24,254,794 | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) from operations |
| 12,345,447 | 73,853,722 | 4,634,884 | 69,332,316 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Distributions to shareholders: |
| |||||||||||||||||||
Total distributions | ||||||||||||||||||||
Investment Class |
| (51,146,504 | ) | (101,975,515 | ) | (42,353,247 | ) | (25,180,960 | ) | |||||||||||
Service Class |
| (11,658 | ) | (22,854 | ) | (1,739,540 | ) | (1,123,407 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Increase (decrease) in assets from operations and distributions |
| (38,812,715 | ) | (28,144,647 | ) | (39,457,903 | ) | 43,027,949 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Share transactions: |
| |||||||||||||||||||
Proceeds from sale of shares | ||||||||||||||||||||
Investment Class |
| 19,779,530 | 53,698,946 | 25,674,167 | 42,754,466 | |||||||||||||||
Service Class |
| 10,736 | 16,622 | 1,436,396 | 1,779,379 | |||||||||||||||
Value of distributions reinvested | ||||||||||||||||||||
Investment Class |
| 50,829,580 | 101,485,174 | 42,353,031 | 23,561,689 | |||||||||||||||
Service Class |
| 11,658 | 22,854 | 1,739,540 | 1,123,407 | |||||||||||||||
Cost of shares redeemed | ||||||||||||||||||||
Investment Class |
| (135,167,778 | ) | (66,216,987 | ) | (203,786,330 | ) | (102,892,357 | ) | |||||||||||
Service Class |
| (69,590 | ) | (22,607 | ) | (8,582,328 | ) | (3,530,884 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) from share transactions |
| (64,605,864 | ) | 88,984,002 | (141,165,524 | ) | (37,204,300 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total increase (decrease) in net assets |
| (103,418,579 | ) | 60,839,355 | (180,623,427 | ) | 5,823,649 | |||||||||||||
Net Assets |
| |||||||||||||||||||
Beginning of year |
| 522,762,584 | 461,923,229 | 382,375,704 | 376,552,055 | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
End of year |
| $ | 419,344,005 | $ | 522,762,584 | $ | 201,752,277 | $ | 382,375,704 | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Changes in Fund Shares |
| |||||||||||||||||||
Investment Class |
| |||||||||||||||||||
Shares sold |
| 1,634,786 | 4,011,006 | 1,816,182 | 2,655,077 | |||||||||||||||
Issued for distributions reinvested |
| 5,160,363 | 8,224,082 | 3,480,118 | 1,535,964 | |||||||||||||||
Shares redeemed |
| (10,745,205 | ) | (5,098,707 | ) | (13,784,432 | ) | (6,288,782 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in fund shares |
| (3,950,056 | ) | 7,136,381 | (8,488,132 | ) | (2,097,741 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Service Class |
| |||||||||||||||||||
Shares sold |
| 814 | 1,035 | 97,423 | 111,196 | |||||||||||||||
Issued for distributions reinvested |
| 1,092 | 1,727 | 144,962 | 74,152 | |||||||||||||||
Shares redeemed |
| (5,413 | ) | (1,715 | ) | (616,726 | ) | (224,132 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in fund shares |
| (3,507 | ) | 1,047 | (374,341 | ) | (38,784 | ) | ||||||||||||
|
|
|
|
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
66 | Statements of Changes in Net Assets |
Table of Contents
State Street Institutional Small-Cap Equity Fund | State Street Institutional International Equity Fund | State Street Institutional Active Core Bond Fund | ||||||||||||||||||||
Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | |||||||||||||||||
$ | 4,820,698 | $ | 2,074,516 | $ | 2,020,628 | $ | 20,212,010 | $ | 5,541,524 | $ | 6,025,662 | |||||||||||
| 63,095,678 |
| 196,431,830 | 60,234,710 | 47,842,455 | 6,811,921 | (3,133,938 | ) | ||||||||||||||
| (168,810,934 | ) | 14,229,926 | (147,445,599 | ) | (53,805,558 | ) | 6,137,047 | (5,512,915 | ) | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(100,894,558 | ) | 212,736,272 | (85,190,261 | ) | 14,248,907 | 18,490,492 | (2,621,191 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(193,897,894 | ) | (126,974,052 | ) | (19,402,183 | ) | (16,515,359 | ) | (5,762,735 | ) | (7,405,287 | ) | |||||||||||
(335,145 | ) | (203,189 | ) | (344,397 | ) | (224,900 | ) | (2,279 | ) | (2,735 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(295,127,597 | ) | 85,559,031 | (104,936,841 | ) | (2,491,352 | ) | 12,725,478 | (10,029,213 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
33,843,372 | 70,899,448 | 2,385,163 | 45,266,177 | 62,779,155 | 82,798,232 | |||||||||||||||||
272,639 | 239,934 | 155,994 | 468,698 | — | 140 | |||||||||||||||||
193,897,894 | 126,017,253 | 19,401,437 | 16,514,923 | 5,460,386 | 7,405,233 | |||||||||||||||||
335,145 | 203,189 | 343,612 | 224,900 | 2,279 | 2,735 | |||||||||||||||||
(205,807,797 | ) | (217,765,972 | ) | (939,204,381 | ) | (177,858,832 | ) | (187,071,527 | ) | (79,134,378 | ) | |||||||||||
(824,015 | ) | (298,248 | ) | (4,930,445 | ) | (1,494,939 | ) | (1,340 | ) | (8,782 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
21,717,238 | (20,704,396 | ) | (921,848,620 | ) | (116,879,073 | ) | (118,831,047 | ) | 11,063,180 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(273,410,359 | ) | 64,854,635 | (1,026,785,461 | ) | (119,370,425 | ) | (106,105,569 | ) | 1,033,967 | |||||||||||||
1,531,245,475 | 1,466,390,840 | 1,113,073,350 | 1,232,443,775 | 221,280,686 | 220,246,719 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
$ | 1,257,835,116 | $ | 1,531,245,475 | $ | 86,287,889 | $ | 1,113,073,350 | $ | 115,175,117 | $ | 221,280,686 | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
1,949,822 | 3,446,837 | 195,795 | 3,314,879 | 6,707,445 | 8,988,122 | |||||||||||||||||
13,849,850 | 6,509,156 | 1,670,182 | 1,223,328 | 589,748 | 799,321 | |||||||||||||||||
(11,776,123 | ) | (10,693,711 | ) | (78,354,272 | ) | (13,035,153 | ) | (19,766,822 | ) | (8,541,774 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
4,023,549 | (737,718 | ) | (76,488,295 | ) | (8,496,946 | ) | (12,469,629 | ) | 1,245,669 | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
15,822 | 11,853 | 12,551 | 34,628 | — | 14 | |||||||||||||||||
23,922 | 10,479 | 29,931 | 16,734 | 239 | 288 | |||||||||||||||||
(47,743 | ) | (14,674 | ) | (394,952 | ) | (109,917 | ) | (144 | ) | (931 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||
(7,999 | ) | 7,658 | (352,470 | ) | (58,555 | ) | 95 | (629 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Changes in Net Assets | 67 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements — September 30, 2019
1. | Organization of the Funds |
State Street Institutional Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as anopen-end management investment company. The Trust was organized as a Delaware business trust on May 23, 1997, and is authorized to issue an unlimited number of shares. It is currently comprised of the following five series (each, a “Fund” and collectively, the “Funds”): State Street Institutional U.S. Equity Fund, State Street Institutional Premier Growth Equity Fund, State Street InstitutionalSmall-Cap Equity Fund, State Street Institutional International Equity Fund and State Street Active Core Bond Fund. Each Fund presently offers two classes of shares — the Investment Class and the Service Class. The Trust expects that most of the time, each Fund will have relatively few shareholders (as compared with most mutual funds), but that these shareholders will invest substantial amounts in a Fund (minimum initial investment requirements are described in the current summary prospectus for each Fund and in the Funds’ statutory prospectus). Each Fund is a diversified investment company within the meaning of the 1940 Act.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation Each Fund’s investments are valued at fair value each day that the New York Stock Exchange (“NYSE”) is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the NYSE is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for overseeing the determination of the fair value of investments.
Valuation techniques used to value each Fund’s investments by major category are as follows:
• | Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value (“NAV”) per share or unit. |
• | Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value pursuant to the valuation policy and procedures approved by the Board. |
• | Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income. |
68 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2019
• | Debt obligations (including short term investments and convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated prices. |
• | Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
• | Options on futures are priced at their last sale price on the principal market on which they are traded on the valuation date. If there were no sales on that day, options on futures are valued at either the last reported sale or official closing price on their primary exchange determined in accordance with the valuation policy and procedures approved by the Board. |
• | Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) is unable to obtain an independent, third-party valuation the agreements will be fair valued. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
A “significant event” is an event that the Board believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund’s portfolio securities to no longer reflect their value at the time of the Fund’s NAV calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Board. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy.
The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for an identical asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of each Fund’s investments according to the fair value hierarchy as of September 30, 2019 is disclosed in each Fund’s respective Schedule of Investments.
Investment Transactions and Income Recognition Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized on theex-dividend date, net of any foreign taxes withheld at source, if any.
Notes to Financial Statements | 69 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2019
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Expenses Each Fund pays a “unitary fee” to SSGA FM equivalent to the Fund’s advisory and administration fee. This fee includes all operating expenses payable by each Fund, except for fees and expenses associated with the Trust’s independent Trustees, shareholder servicing and distribution(12b-1) fees, brokerage fees and commissions, and expenses that are not normal operating expenses of the Fund (such as extraordinary expenses, interest and taxes).
Foreign Currency Translation The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of September 30, 2019, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
Distributions Distributions from net investment income, if any, are declared and paid annually for all Funds except the State Street Active Core Bond Fund. The State Street Active Core Bond Fund declares them daily and pays them monthly.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Securities and Other Investments |
Delayed Delivery Transactions and When-Issued Securities During the period, certain Funds transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable Fund’s Schedule of Investments. A Fund may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to such purchase commitments, a Fund identifies securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.
To-Be-Announced Transactions Certain Funds may seek to obtain exposure to U.S. agency mortgage pass-through securities through the use of“to-be-announced” or “TBA transactions.” “TBA” refers to a commonly used mechanism for the forward settlement of U.S. agency mortgage pass-through securities. In a TBA transaction, the buyer and seller decide on general trade parameters, such as agency, settlement date, coupon, and price.
A Fund may use TBA transactions to “roll over” such agreements prior to the settlement date. This type of TBA transaction is sometimes known as a “TBA roll.” In a TBA roll, a Fund generally will sell the obligation to purchase the pools stipulated in the TBA agreement prior to the settlement date and will enter into a new TBA agreement for future delivery of pools of mortgage pass-through securities. A Fund may also enter into TBA agreements and settle such transactions on the stipulated settlement date by accepting actual receipt or delivery of the pools of mortgage pass-through securities.
70 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2019
Default by or bankruptcy of a counterparty to a TBA transaction would expose a Fund to possible loss because of adverse market action, expenses or delays in connection with the purchase or sale of the pools of mortgage pass-through securities specified in the TBA transaction. To minimize this risk, a Fund will enter into TBA transactions only with established counterparties. A Fund’s use of “TBA rolls” may impact portfolio turnover, transaction costs and capital gain distributions to shareholders.
4. | Derivative Financial Instruments |
Futures Contracts Each Fund may enter into futures contracts to meet the Fund’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by a Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. A Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the year ended September 30, 2019, the following Funds entered into futures contracts for strategies listed below:
Fund | Strategies | |
State Street Institutional U.S. Equity Fund | Equitization of Cash | |
State Street Institutional Premier Growth Equity Fund | Equitization of Cash | |
State Street InstitutionalSmall-Cap Equity Fund | Equitization of Cash | |
State Street Institutional International Equity Fund | Equitization of Cash | |
State Street Active Core Bond Fund | Management of Interest Rate Risk |
Options on Futures Contracts Each Fund may purchase and write options, including options on futures contracts, subject to certain limitations. Writing puts and buying calls tend to increase a Fund’s exposure to the underlying instrument while buying puts and writing calls tend to decrease the Fund’s exposure to the underlying instrument. A Fund will not enter into a transaction involving options for speculative purposes. A Fund’s risks in using these contracts include changes in the value of the underlying instruments,non-performance of the counterparties under the contracts’ terms and changes in the liquidity of the secondary market for the contracts.
When a Fund writes an option, the amount of the premium received is recorded as a liability and is subsequently adjusted to the current fair value of the option written. Premiums received from writing options that expire unexercised are treated by a Fund on the expiration date as realized gains from investments. The difference between the premium and the amount paid on effecting a closing purchase transaction, including brokerage commissions, is also treated as a realized gain, or if the premium is less than the amount paid for the closing purchase, as a realized loss. When an option is exercised, the proceeds from the sale of the underlying instrument or the cost basis of the securities purchased is adjusted by the original premium received or paid. In return for a premium paid, call and put options on futures contracts give the holder the right, but not the obligation, to purchase or sell, respectively, a position in a particular futures contract at a specified exercise price.
For the year ended September 30, 2019, the State Street Active Core Bond Fund purchased and wrote options in order to manage interest rate risk.
Credit Default Swaps During the year ended September 30, 2019, the State Street Active Core Bond Fund engaged in credit default swaps to manage credit risk. When the Fund is the buyer in a credit default swap contract, the Fund is entitled to receive the par (or other agreed upon) value (full notional value) of a referenced debt obligation (or basket of debt obligations) from the counterparty (or central clearing party (“CCP”) in the case of a centrally cleared swap) to the contract if a credit event by a third party, such as a U.S. or foreign corporate issuer or sovereign issuer, on the debt obligation occurs. In return, the Fund pays the counterparty a periodic stream of payments over the term of the contract provided that no credit event has occurred. If no credit event occurs, the Fund loses its investment and recovers nothing. However, if a credit event occurs, the
Notes to Financial Statements | 71 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2019
Fund receives full notional value for a referenced debt obligation that may have little or no value. When the Fund is the seller of a credit default swap, it receives a fixed rate of income throughout the term of the contract, provided there is no credit event. If a credit event occurs, the Fund is obligated to pay the notional amount of the swap and in certain instances take delivery of securities of the reference entity upon the occurrence of a credit event, as defined under the terms of that particular swap agreement. Credit events are contract specific but may include bankruptcy, failure to pay, restructuring, obligation acceleration and repudiation/moratorium. If the Fund is a seller of protection and a credit event occurs, the maximum potential amount of future payments that the Fund could be required to make would be an amount equal to the notional amount of the agreement. This potential amount would be partially offset by any recovery value of the respective referenced obligation, or net amount received from the settlement of a buy protection credit default swap agreement entered into by the Fund for the same referenced obligation. As the seller, the Fund may create economic leverage to its portfolio because, in addition to its total net assets, the Fund is subject to investment exposure on the notional amount of the swap. The interest fee paid or received on the swap, which is based on a specified interest rate on a fixed notional amount, is accrued daily as a component of unrealized appreciation (depreciation) and is recorded as realized gain upon receipt or realized loss upon payment. The Fund also records an increase or decrease to unrealized appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap as realized gains or losses. Those upfront payments that are paid or received, typically fornon-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. The Fund segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. Credit default swaps involve greater risks than if the Fund had invested in the referenced debt obligation directly. If the Fund is a buyer of a credit default swap and no credit event occurs, the Fund will not earn any return on its investment. If the Fund is a seller of a credit default swap, the Fund’s risk of loss may be the entire notional amount of the swap. Swaps may also subject the Fund to the risk that the counterparty to the transaction may not fulfill its obligation. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
Interest Rate Swaps Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest, such as an exchange of fixed rate payments for floating rate payments.
During the year ended September 30, 2019, the State Street Active Core Bond Fund entered into interest rate swaps in order to manage interest rate risk.
The following tables summarize the value of the Funds’ derivative instruments as of September 30, 2019 and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 31,430 | $ | — | $ | 31,430 | ||||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 984 | $ | — | $ | 984 | ||||||||||||
State Street Active Core Bond Fund | ||||||||||||||||||||||||
Swap Contracts | $ | — | $ | — | $ | 175,273 | $ | — | $ | — | $ | 175,273 |
72 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2019
Liability Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Institutional U.S. Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (53,768 | ) | $ | — | $ | (53,768 | ) | ||||||||||
State Street InstitutionalSmall-Cap Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (582,555 | ) | $ | — | $ | (582,555 | ) | ||||||||||
State Street Active Core Bond Fund | ||||||||||||||||||||||||
Futures Contracts | $ | (9,707 | ) | $ | — | $ | — | $ | — | $ | — | $ | (9,707 | ) | ||||||||||
Swap Contracts | (367,141 | ) | — | — | — | — | (367,141 | ) |
Realized Gain/Loss
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Institutional U.S. Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (28,496 | ) | $ | — | $ | (28,496 | ) | ||||||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (224,662 | ) | $ | — | $ | (224,662 | ) | ||||||||||
State Street InstitutionalSmall-Cap Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (2,320,389 | ) | $ | — | $ | (2,320,389 | ) | ||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (410,586 | ) | $ | — | $ | (410,586 | ) | ||||||||||
State Street Active Core Bond Fund | ||||||||||||||||||||||||
Futures Contracts | $ | 715,937 | $ | — | $ | — | $ | — | $ | — | $ | 715,937 | ||||||||||||
Swap Contracts | (350,326 | ) | — | 220,659 | — | — | (129,667 | ) | ||||||||||||||||
Purchased Option Contracts(a) | 23,210 | — | — | — | — | | 23,210 | | ||||||||||||||||
Written Option Contracts | (185,499 | ) | — | — | — | — | (185,499 | ) |
(a) | Purchased Options are included in net realized gain (loss) from investments. |
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Institutional U.S. Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (77,154 | ) | $ | — | $ | (77,154 | ) | ||||||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 71,002 | $ | — | $ | 71,002 | ||||||||||||
State Street InstitutionalSmall-Cap Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (468,070 | ) | $ | — | $ | (468,070 | ) |
Notes to Financial Statements | 73 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2019
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (136,709 | ) | $ | — | $ | (136,709 | ) | ||||||||||
State Street Active Core Bond Fund | ||||||||||||||||||||||||
Futures Contracts | $ | 325,236 | $ | — | $ | — | $ | — | $ | — | $ | 325,236 | ||||||||||||
Swap Contracts | (296,622 | ) | — | 27,174 | — | — | (269,448 | ) | ||||||||||||||||
Purchased Option Contracts(a) | 85,077 | — | — | — | — | 85,077 | ||||||||||||||||||
Written Option Contracts | (11,908 | ) | — | — | — | — | (11,908 | ) |
(a) | Purchased options are included in net unrealized appreciation (depreciation) from investments. |
5. | Fees and Transactions with Affiliates |
Advisory Fee SSGA FM, a registered investment adviser, was retained by the Board to act as investment adviser and administrator of each Fund. SSGA FM’s compensation for investment advisory and administrative services (“Management Fee”) is paid monthly based on the average daily net assets of each Fund. The Management Fee is stated in the following schedule:
Fund | Average Daily Net Assets of Fund | Management Fee | ||||
State Street Institutional U.S. Equity Fund | First $25 million | 0.55 | % | |||
State Street Institutional Premier Growth Equity Fund | Next $25 million | 0.45 | % | |||
Over $50 million | 0.35 | % | ||||
State Street InstitutionalSmall-Cap Equity Fund | First $250 million | 0.95 | % | |||
Next $250 million | 0.90 | % | ||||
Over $500 million | 0.85 | % | ||||
State Street Institutional International Equity Fund | First $25 million | 0.75 | % | |||
Next $50 million | 0.65 | % | ||||
Over $75 million | 0.55 | % | ||||
State Street Active Core Bond Fund | First $25 million | 0.35 | % | |||
Next $25 million | 0.30 | % | ||||
Next $50 million | 0.25 | % | ||||
Over $100 million | 0.20 | % |
Each Fund’s Management Fee is a “unitary” fee that includes all operating expenses payable by the Fund, except for fees and expenses associated with the Trust’s independent Trustees, shareholder servicing and distribution(12b-1) fees, brokerage fees and commissions, and expenses that are not normal operating expenses of the Fund (such as extraordinary expenses, interest and taxes).
Effective October 30, 2018, SSGA FM is contractually obligated, until April 30, 2020 (i) to waive up to the full amount of the advisory fee payable by the State Street Institutional International Equity Fund and/or (ii) to reimburse the Fund for expenses to the extent that the Total Annual Fund Operating Expenses (exclusive ofnon-recurring account fees, extraordinary expenses, distribution and shareholder servicing fees) exceed 0.55% of average daily net assets on an annual basis (the “Fee Reduction Arrangement”). This Fee Reduction Arrangement may not be terminated prior to April 30, 2020, except with approval of the Board.
74 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2019
Effective April 30, 2019, SSGA FM is contractually obligated until April 30, 2020 to waive its management fee and/or reimburse certain expenses for the State Street Active Core Bond Fund, in an amount equal to any acquired fund fees and expenses (“AFFEs”), excluding AFFEs derived from the Fund’s holdings in acquired funds for cash management purposes, if any. This fee waiver and/or expense reimbursement arrangement may not be terminated prior to April 30, 2020 except with approval of the Board.
Amounts waived or reimbursed are included in the respective Statements of Operations.
Distribution and Shareholder Servicing Fees The Funds have adopted a Shareholder Servicing and Distribution Plan (the “Plan”) pursuant to Rule12b-1 under the 1940 Act with respect to the Service Class shares of each Fund. Each Fund pays State Street Global Advisors Funds Distributors, LLC (“SSGA FD”), the Funds’ principal underwriter, a monthly fee for distribution and/or shareholder services provided, at an annual rate of 0.25% of the average daily net assets of such Fund attributable to the Service Class shares. Currently, Investment Class shares are not subject to a12b-1 fee.
Other Transactions with Affiliates The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the year ended September 30, 2019 are disclosed in the Schedules of Investments.
Due to Custodian In certain circumstances, the Funds may have cash overdrafts with the custodian. The Due to Custodian amount, if any, reflects cash overdrawn with State Street Bank and Trust Company as custodian who is an affiliate of the Funds.
6. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and otherout-of-pocket expenses in connection with meeting attendance and industry seminars.
7. | Investment Transactions |
Purchases and sales of investments (excludingin-kind transactions, short term investments and derivative contracts) for the year ended September 30, 2019 were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | — | $ | — | $ | 140,171,235 | $ | 243,432,486 | ||||||||
State Street Institutional Premier Growth Equity Fund | — | — | 77,195,302 | 245,521,403 | ||||||||||||
State Street InstitutionalSmall-Cap Equity Fund | — | — | 363,821,347 | 498,522,194 | ||||||||||||
State Street Institutional International Equity Fund | — | — | 31,433,303 | 71,872,669 | ||||||||||||
State Street Active Core Bond Fund | 728,112,089 | 779,051,458 | 57,050,074 | 124,987,003 |
RedemptionIn-Kind In accordance with guidelines described in a Fund’s prospectus, a Fund may distribute portfolio securities rather than cash as payment for a redemption of Fund shares(in-kind redemption). For financial reporting purposes, a Fund recognizes a gain onin-kind redemptions to the extent the value of the distributed securities on the date of redemption exceeds the cost of those securities. Gains and losses realized onin-kind redemptions are not recognized for tax purposes and are reclassified from undistributed realized gain (loss) topaid-in capital. These reclassifications have no effect on net assets or NAV per share. The net realizedin-kind gains or losses are disclosed in the Statements of Operations.
During the year ended September 30, 2019, the State Street Institutional International Equity Fund had a redemptionin-kind that resulted in a redemption from the Fund of $919,887,389. The redemption was paid in securities and cash in the amounts of $845,305,430 and $74,581,959, respectively.
Notes to Financial Statements | 75 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2019
8. Income Tax Information
The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Funds’ tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded onex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the financial statements have been adjusted for permanentbook-tax differences. These adjustments have no impact on net asset values or results of operations. Temporarybook-tax differences will reverse in the future. Thesebook-tax differences are primarily due to differing treatments for investments in swap contracts, paydown gains and losses, straddle loss deferrals, and expiration of capital loss carryforwards.
The tax character of distributions paid during the year ended September 30, 2019 was as follows:
Fund | Ordinary Income | Long Term Capital Gains | Total | |||||||||
State Street Institutional U.S. Equity Fund | $ | 6,077,282 | $ | 45,080,880 | $ | 51,158,162 | ||||||
State Street Institutional Premier Growth Equity Fund | 2,961,736 | 41,131,051 | 44,092,787 | |||||||||
State Street InstitutionalSmall-Cap Equity Fund | 13,869,602 | 180,363,437 | 194,233,039 | |||||||||
State Street Institutional International Equity Fund | 19,746,580 | — | 19,746,580 | |||||||||
State Street Active Core Bond Fund | 5,765,014 | — | 5,765,014 |
The tax character of distributions paid during the year ended September 30, 2018 was as follows:
Fund | Ordinary Income | Long Term Capital Gains | Total | |||||||||
State Street Institutional U.S. Equity Fund | $ | 23,650,688 | $ | 78,347,681 | $ | 101,998,369 | ||||||
State Street Institutional Premier Growth Equity Fund | 3,331,860 | 22,972,507 | 26,304,367 | |||||||||
State Street InstitutionalSmall-Cap Equity Fund | 18,749,413 | 108,427,828 | 127,177,241 | |||||||||
State Street Institutional International Equity Fund | 16,740,259 | — | 16,740,259 | |||||||||
State Street Active Core Bond Fund | 7,408,022 | — | 7,408,022 |
At September 30, 2019, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed long term gain | Net Unrealized Gains (Losses) | Total | ||||||||||||||||
State Street Institutional U.S. Equity Fund | $ | 3,795,461 | $ | — | $ | 19,215,280 | $ | 82,885,173 | $ | 105,895,914 | ||||||||||
State Street Institutional Premier Growth Equity Fund | 3,406,256 | — | 65,729,025 | 67,849,137 | 136,984,418 | |||||||||||||||
State Street InstitutionalSmall-Cap Equity Fund | 3,021,366 | — | 64,748,139 | 197,544,050 | 265,313,555 | |||||||||||||||
State Street Institutional International Equity Fund | 1,641,686 | (3,308,605 | ) | — | 11,494,201 | 9,827,282 | ||||||||||||||
State Street Active Core Bond Fund | 2,039,713 | — | — | 2,226,973 | 4,266,686 |
76 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2019
As of September 30, 2019, the Funds had capital loss carryforwards available to offset future realized capital gains as follows:
Fund | Non-Expiring Short Term | |||
State Street Institutional International Equity Fund | $ | 3,308,605 |
As of September 30, 2019, gross unrealized appreciation and gross unrealized depreciation of investments and other financial instruments based on cost for federal income tax purposes were as follows:
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | 343,047,945 | $ | 95,645,595 | $ | 12,760,422 | $ | 82,885,173 | ||||||||
State Street Institutional Premier Growth Equity Fund | 134,030,386 | 75,289,847 | 7,440,710 | 67,849,137 | ||||||||||||
State Street InstitutionalSmall-Cap Equity Fund | 1,060,757,115 | 269,469,595 | 71,925,545 | 197,544,050 | ||||||||||||
State Street Institutional International Equity Fund | 73,339,494 | 15,407,174 | 3,855,559 | 11,551,615 | ||||||||||||
State Street Active Core Bond Fund | 158,025,488 | 2,694,271 | 467,298 | 2,226,973 |
9. | Line of Credit |
The Funds and other affiliated funds (each, a “Participant” and collectively, the “Participants”) participate in a $500 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. This agreement expires in October 2020 unless extended or renewed.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and1-month LIBOR rate.
The Funds had no outstanding loans as of September 30, 2019.
10. | Risks |
Concentration Risk As a result of a Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of a Fund’s investments more than if a Fund was more broadly diversified.
Interest Rate Risk Is the risk that fixed income securities will decline in value because of changes in interest rates. Bond prices generally rise when interest rates decline and generally decline when interest rates rise. Changes in governmental policy, including changes in central bank monetary policy, could cause interest rates to rise rapidly, or cause investors to expect a rapid rise in interest rates. This could lead to heightened levels of interest rate, volatility and liquidity risks for the fixed income markets generally and could have a substantial and immediate effect on the values of a Fund’s investments.
Foreign and Emerging Markets Risk Investing in foreign markets involves risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which a Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk In the normal course of business, a Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which a Fund has unsettled or open transactions defaults.
Notes to Financial Statements | 77 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2019
11. | Change in Accounting Principle |
In March 2017, the Financial Accounting Standards Board issued Accounting Standards Update (“ASU”)No. 2017-08, receivables — Nonrefundable Fees and Other Costs (Subtopic310-20): Premium Amortization on Purchased Callable Debt securities. The amendments in the ASU shorten the amortization period for certain callable debt securities, held at a premium, to be amortized to the earliest call date. The ASU does not require an accounting change for securities held at a discount; which continues to be amortized to maturity. The ASU is effective for fiscal years and interim periods within those fiscal years beginning after December 15, 2018. Management is currently evaluating the impact, if any, of applying this provision.
12. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
78 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Report of Independent Registered Public Accounting Firm
To the Shareholders of State Street Institutional U.S. Equity Fund, State Street Institutional Premier Growth Equity Fund, State Street InstitutionalSmall-Cap Equity Fund, State Street Institutional International Equity Fund and State Street Active Core Bond Fund
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of State Street Institutional U.S. Equity Fund, State Street Institutional Premier Growth Equity Fund, State Street InstitutionalSmall-Cap Equity Fund, State Street Institutional International Equity Fund and State Street Active Core Bond Fund (collectively referred to as the “Trust”), including the schedules of investments, as of September 30, 2019, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, the financial highlights for each of the four years in the period then ended and the related notes (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of each of the Funds at September 30, 2019, and the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended and their financial highlights for each of the four years in the period then ended, in conformity with U.S. generally accepted accounting principles. The financial highlights for the period ended prior to October 1, 2015 were audited by another independent registered public accounting firm whose report, dated November 20, 2015, expressed an unqualified opinion on those financial highlights.
Basis for Opinion
These financial statements are the responsibility of the Trust’s management. Our responsibility is to express an opinion on the Funds’ financial statements based on our audits. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (“PCAOB”) and are required to be independent with respect to the Trust in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.
We conducted our audits in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud. The Trust is not required to have, nor were we engaged to perform, an audit of the Trust’s internal control over financial reporting. As part of our audits we are required to obtain an understanding of internal control over financial reporting but not for the purpose of expressing an opinion on the effectiveness of the Trust’s internal control over financial reporting. Accordingly, we express no such opinion.
Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our procedures included confirmation of securities owned as of September 30, 2019, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and others were not received. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. We believe that our audits provide a reasonable basis for our opinion.
We have served as the auditor of one or more State Street Global Advisors investment companies since 2000.
Boston, Massachusetts
November 25, 2019
Report of Independent Registered Public Accounting Firm | 79 |
Table of Contents
State Street Institutional Funds
Other Information — September 30, 2019 (Unaudited)
Tax Information
For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended September 30, 2019.
Dividends Received Deduction
Each Fund reports the maximum amount allowable of its net taxable income as eligible for the corporate dividends received deduction.
Qualified Business Income Deduction
Each Fund reports the maximum amount allowable of qualified REIT dividends eligible for the 20% qualified business income deduction under Section 199A.
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended September 30, 2019 are considered qualified dividend income and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. Each Fund reports the maximum amount allowable of its net taxable income as qualified dividend income as provided in the Jobs and Growth Tax Relief Reconciliation Act of 2003.
Capital Gain Dividend
Long term capital gain dividends were paid from the Funds during the year ended September 30, 2019:
Amount | ||||
State Street Institutional U.S. Equity Fund | $ | 45,080,880 | ||
State Street Premier Growth Equity Fund | 41,131,051 | |||
State Street InstitutionalSmall-Cap Equity Fund | 180,363,437 |
Foreign Tax Credit
The Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by each Fund to its shareholders. For the year ended September 30, 2019, the total amount of foreign taxes that will be passed through are:
Amount | ||||
State Street Institutional International Equity Fund | $ | 342,421 |
The amount of foreign source income earned on the following Fund during the year ended September 30, 2019 were as follows:
Amount | ||||
State Street Institutional International Equity Fund | $ | 3,279,752 |
Proxy Voting Policies and Procedures and Record
A description of the policies and procedures that the Funds have adopted to determine how to vote proxies relating to portfolio securities is available (i) without charge, upon request, by calling 1-800-242-0134, (ii) on the Funds’ website at http://www.ssga.com/geam, and (iii) on the SEC’s website at www.sec.gov. Information regarding how the Funds voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling1-800-242-0134 (toll free), and (2) on the website of the SEC at www.sec.gov.
Quarterly Portfolio Schedule
Following the Funds’ first and third fiscal quarter-ends, a complete schedule of investments is filed with the SEC as an exhibit to their reports on Form N-PORT, which can be found on the SEC’s website at www.sec.gov. The Funds’ schedules of investments are available upon request, without charge, by calling 1-800-242-0134 and on the Funds’ website at http://www.ssga.com/geam.
80 | Other Information |
Table of Contents
State Street Institutional Funds
Other Information, continued — September 30, 2019 (Unaudited)
TRUSTEE CONSIDERATIONS IN APPROVING CONTINUATION OF
INVESTMENT ADVISORY ANDSUB-ADVISORY AGREEMENTS1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, as amended (the “1940 Act”), an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees or its shareholders, and by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Funds (the “Trust”) met in person on April 10, 2019 and May 15, 2019, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to each portfolio series of the Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”), and thesub-advisory agreements (each, a“Sub-Advisory Agreement” and, together with the Advisory Agreement, the “Agreements”) by and among SSGA FM, the Trust on behalf of the State Street InstitutionalSmall-Cap Equity Fund (the “InstitutionalSmall-Cap Equity Fund”), and each of Champlain Investment Partners, LLC, GlobeFlex Capital, L.P., Kennedy Capital Management, Inc., Palisade Capital Management, LLC and SouthernSun Asset Management, LLC (collectively, the“Sub-Advisers”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser andSub-Advisers and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by counsel who are independent of the Adviser andSub-Advisers in connection with their consideration of approval of the Agreements. Following the April 10, 2019 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 15, 2019 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
¡ | Comparisons of the Fund’s performance over the pastone-, three-, five- andten-year periods ended December 31, 2018, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc. (“Broadridge”) for the Fund (the “Lipper Index”) and a universe of other mutual funds with similar investment objectives and policies (the “Performance Group” and/or the “Performance Universe”); |
¡ | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider (the “Expense Group” and/or “Expense Universe”); |
¡ | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, andnon-management expenses over the past five calendar years; and |
¡ | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
1 | The Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory andsub-advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separatein-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
Other Information | 81 |
Table of Contents
State Street Institutional Funds
Other Information, continued — September 30, 2019 (Unaudited)
• | Comparative information concerning fees charged by the Adviser andSub-Advisers for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
• | Profitability analyses for (a) the Adviser andSub-Advisers with respect to each applicable Fund and (b) affiliates of SSGA FM that provide services to the Funds (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser andSub-Advisers, including their investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
Information about the Adviser andSub-Advisers
• | Reports detailing the financial results and condition of SSGA FM and its affiliates, as well as of theSub-Advisers; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals responsible for managing the portfolios of the Funds and for Fund operations; |
• | Information relating to compliance with and the administration of the Codes of Ethics adopted by the Adviser andSub-Advisers; |
• | Information about the Adviser’s and eachSub-Adviser’s proxy voting policies and procedures and information regarding the Adviser’s and eachSub-Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser andSub-Advisers to overseeing compliance by the Funds and their service providers, including information concerning compliance with investment policies and restrictions and other operating policies of the Funds; |
• | A description of the adequacy and sophistication of the Adviser’s andSub-Advisers’ technology and systems with respect to investment and administrative matters and a description of any material improvements or changes in technology or systems in the past year; |
• | A description of the business continuity and disaster recovery plans of the Adviser andSub-Advisers; and |
• | Information regarding the Adviser’s andSub-Advisers’ risk management processes. |
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services provided to the Funds by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, extent, quality and cost of variousnon-investment management services provided to the Funds by affiliates of the Adviser, including the custodian,sub-administrator and fund accountant of the Funds, as applicable, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreement andSub-Advisory Agreements and agreements with other service providers of the Funds; |
• | Draft responses to a letter from independent legal counsel to the Independent Trustees (“Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information from each of: |
¡ | SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to the Funds and its approximate profit margins from such operations for the calendar year ended December 31, 2018; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the calendar year ended December 31, 2018; |
¡ | TheSub-Advisers, with respect to their operations relating to the International Small Cap Equity Fund and their approximate profitability from such operations for the calendar year ended December 31, 2018; |
82 | Other Information |
Table of Contents
State Street Institutional Funds
Other Information, continued — September 30, 2019 (Unaudited)
¡ | State Street Bank and Trust Company (“State Street”), thesub-administrator, custodian, and fund accountant for the Funds, with respect to its operations relating to the Funds; and |
¡ | State Street Global Advisors Funds Distributors, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under Rule12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street, the Distributor and theSub-Advisers with respect to the Funds, as applicable, providing any material changes to the previous information supplied in response to the letter from Independent Counsel prior to the executive session of the Board on May 15, 2019; |
• | Materials provided by Broadridge, circulated to the Independent Trustees and to Independent Counsel; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser andSub-Advisers, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser andSub-Advisers relating to the performance of the Funds, as applicable, and the investment strategies used in pursuing each Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Agreements, and the weight to be given to each such factor. The conclusions reached with respect to the Agreements were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to each Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 15, 2019 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Agreement effective June 1, 2019, for an additional year with respect to all Funds.
Nature, Extent and Quality of Services
In considering whether to approve the Agreements, the Board evaluated the nature, extent and quality of services provided to each applicable Fund by the Adviser andSub-Advisers.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various Funds that invest primarily in equity securities. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of a portfolio’s quality distribution and sector and interest rate exposure. For the InstitutionalSmall-Cap Equity Fund, the Board considered the Adviser’s process used for overseeing multiplesub-advisers. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. The Trustees also considered the significant risks assumed by the Adviser in connection with the services provided to the Funds, including reputational and entrepreneurial risks. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board had previously reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies.
Other Information | 83 |
Table of Contents
State Street Institutional Funds
Other Information, continued — September 30, 2019 (Unaudited)
In connection with their consideration of the services provided by each of theSub-Advisers, the Board considered eachSub-Adviser’s attributes relating to its investment philosophy oriented toward long-term performance, its process for selecting investments, its experienced professionals, access to significant technological resources and a favorable history and reputation. The Board also considered the review process undertaken by SSGA FM and SSGA FM’s favorable assessment of the nature and quality of the investmentsub-advisory services provided by eachSub-Adviser to the InstitutionalSmall-Cap Equity Fund. The Board also considered the InstitutionalSmall-Cap Equity Fund’s multi-manager structure and how eachSub-Adviser’s approach tosmall-cap investing fits within the InstitutionalSmall-Cap Equity Fund’s overall strategy.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser and eachSub-Adviser can be expected to continue to provide high quality investment management and related services for the Funds.
Fund Performance
The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2018. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of each Fund:
State Street Active Core Bond Fund. The Board considered that the Fund’s performance was below the median of its Performance Group for the1-year period and the median of its Performance Universe for the1- and10-year periods and below its Lipper Index for the1-,5- and10-year periods. The Board also considered that the Fund’s performance was above the median of the Performance Group for the3-,5- and10-year periods and the median of its Performance Universe for the3- and5-year periods and above its Lipper Index for the3-year period. The Board took into account management’s discussion of the Fund’s performance.
State Street Institutional Premier Growth Equity Fund. The Board considered that the Fund’s performance was below the medians of its Performance Group and Performance Universe for the1-,3- and5-year periods and below its Lipper Index for the1- and3-year periods. The Board also considered that the Fund’s performance was above the medians of the Performance Group and Performance Universe for the10-year period and above its Lipper Index for the5- and10-year periods. The Board took into account management’s discussion of the Fund’s performance.
State Street Institutional International Equity Fund.The Board considered that the Fund’s performance was below the medians of its Performance Group and Performance Universe for the1-,3-,5- and10-year periods and below its Lipper Index for the1-,3-,5- and10-year periods. The Board took into account management’s discussion of the Fund’s performance.
State Street Institutional U.S. Equity Fund. The Board considered that the Fund’s performance was below the median of its Performance Group for the3-,5- and10-year periods and below its Lipper Index for the3- and5-year periods. The Board also considered that the Fund’s performance was above the median of the Performance Group for the1-year period and above the median of the Performance Universe for the1-,3-,5- and10-year periods and above its Lipper Index for the1- and10-year periods. The Board took into account management’s discussion of the Fund’s performance.
State Street InstitutionalSmall-Cap Equity Fund.The Board considered that the Fund’s performance was above the medians of its Performance Group and Performance Universe for the1-,3-,5- and10-year periods and above its Lipper Index for the1-,3-,5- and10-year periods.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each Fund is satisfactory (a) by comparison to the performance of its Performance Group, Performance Universe or Lipper Index or (b) after considering steps taken by management to improve the performance of certain Funds.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers, if any, as well as the fees paid to each of theSub-Advisers by the Adviser, which reduced the net management fees retained by the Adviser. For the InstitutionalSmall-Cap Equity Fund, the Board also reviewed (i) the allocation of the total advisory fees between SSGA FM and theSub-Advisers, and (ii) the services required of SSGA FM to oversee theSub-Advisers for those services. As part of its review, the Board considered each Fund’s management fee and total expense ratio, including the portion
84 | Other Information |
Table of Contents
State Street Institutional Funds
Other Information, continued — September 30, 2019 (Unaudited)
attributable to administrative services provided by SSGA FM (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe, as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser andSub-Advisers to the fees charged and services provided to other clients of the Adviser andSub-Advisers, including institutional accounts, as applicable. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of certain Funds to limit the total expenses borne by shareholders of such Funds. SSGA FM reviewed with the Board the Funds’ unitary fee structure where SSGA FM (and not the Funds) bears most of the Funds’ operating expenses, therefore affecting SSGA FM’s profitability. The Board also considered that thesub-advisory fees are paid by the Adviser out of its advisory fees it receives from the Funds and are not paid by the Funds. Among other information, the Board considered the following expense information in its evaluation of each Fund:
State Street Active Core Bond Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Institutional Premier Growth Equity Fund.The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Institutional International Equity Fund.The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Institutional U.S. Equity Fund.The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street InstitutionalSmall-Cap Equity Fund.The Board considered that the Fund’s actual management fee was above the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe. The Board considered management’s discussion of the Fund’s expenses.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser andSub-Advisers, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of the Expense Group and Expense Universe and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates and theSub-Advisers in providing investment advisory and other services to each applicable Fund and to all funds within the fund complex. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers and theSub-Advisers in connection with their relationships with the applicable Funds, including, where applicable, soft dollar commission benefits generated through Fund portfolio transactions. The Board further considered the profitability of each of the Affiliated Service Providers with respect to their services to the Funds and/or fund complex. The Board also considered the various risks borne by SSGA FM and State Street in connection with their various roles in servicing the Funds, including reputational and entrepreneurial risks.
The Board concluded that the profitability of the Adviser and theSub-Advisers with respect to each of the applicable Funds, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and all Funds as a group, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific Fund or the Funds taken as a whole. The Board concluded that, in light of the current size of each Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with
Other Information | 85 |
Table of Contents
State Street Institutional Funds
Other Information, continued — September 30, 2019 (Unaudited)
respect to each Fund and all Funds as a group over various time periods, and the comparative management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time. The Board noted that the fees under theSub-Advisory Agreements are paid by the Adviser out of the advisory fees that the Adviser receives under the Advisory Agreement. Therefore, the Board concluded that the potential for economies of scale in eachSub-Adviser’s management of the InstitutionalSmall-Cap Equity Fund is not a material factor to the approval of theSub-Advisory Agreements.
Conclusions
In reaching its decision to approve the Agreements, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Trustees, concluded that the Adviser andSub-Advisers possess the capability and resources to perform the duties required of them under the Agreements.
Further, based upon its review of the Agreements, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement andSub-Advisory Agreements are reasonable, fair, and in the best interests of each Fund and its respective shareholders, and (2) the rates payable under the Advisory Agreement andSub-Advisory Agreements are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
86 | Other Information |
Table of Contents
State Street Institutional Funds
Other Information, continued — September 30, 2019 (Unaudited)
TRUSTEES AND OFFICERS
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||||
INDEPENDENT TRUSTEES | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1944 | Trustee andCo-Chairperson of the Board | Term: Indefinite Elected: 1/14 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 68 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc. (2007 – 2017); Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Trustee andCo-Chairperson of the Board | Term: Indefinite Elected: 1988 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 –2019, Independent Director, SSGA Qualified Funds PLC. | 68 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||||
John R. Costantino c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Trustee andCo-Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 12/18 | Managing General Partner, NGN Capital LLC (2006 – present); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 68 | Director of Kleinfeld Bridal Corp. (March 2016 – present); Trustee of Neuroscience Research Institute (1986 – present); Trustee of Fordham University (1989 – 1995 and 2001 – 2007) and Trustee Emeritus (2007 – present); Trustee of GE Funds (1993 – February 2011); Director of Artes Medical (2006 – 2008); and Trustee of Gregorian University Foundation (1992 – 2007). | |||||||
Donna M. Rapaccioli c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1962 | Trustee andCo-Chairperson of the Audit Committee | Term: Indefinite Elected: 12/18 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 68 | Trustee of Emmanuel College (2010 – present); Director- Graduate Management Admissions Council (2015 – present) |
Other Information | 87 |
Table of Contents
State Street Institutional Funds
Other Information, continued — September 30, 2019 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||||
INDEPENDENT TRUSTEES (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1945 | Trustee andCo-Chairperson of the Qualified Legal Compliance Committee | Term: Indefinite Elected: 1988 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare). | 68 | 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, Aerocare Holdings, Regenesis Biomedical Inc. | |||||||
Rina K. Spence c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1948 | Trustee andCo-Chairperson of the Audit Committee, Chairperson of the Nominating Committee and Chairperson of the Governance Committee | Term: Indefinite Elected: 1/14 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 68 | None. | |||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1946 | Trustee and Chairperson of the Valuation Committee | Term: Indefinite Appointed: 7/16 Elected: 12/18 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 68 | None |
88 | Other Information |
Table of Contents
State Street Institutional Funds
Other Information, continued — September 30, 2019 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||||
INTERESTED TRUSTEES(1) | ||||||||||||
Ellen M. Needham(2) SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | Trustee | Term: Indefinite Elected: 12/18 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present)*; Director, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | 68 | None | |||||||
Jeanne M. La Porta(3) SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1965 | Trustee and President | Time Indefinite Elected: 3/14 | Senior Managing Director at State Street Global Advisors (July 2016 – present); Director of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); President of GE Retirement Savings Plan Funds (July 2016 – present); Senior Vice President and Commercial Operations Leader at GE Asset Management Incorporated (“GEAM”) (March 2014 – July 2016); President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. (April 2014 – present); President and Trustee of GEAM’s UCITs Funds (March 2014 – November 2014); Senior Vice President and Commercial Administrative Officer at GEAM (April 2010 – March 2014); Vice President of State Street Institutional Funds (July 2003 – April 2014); Vice President of Elfun Funds and GE Retirement Savings Plan Funds (October 2003 – July 2016); Secretary of GE Funds (July 2007 – September 2010) and Vice President (July 2007 – February 2011); Senior Vice President and Deputy General Counsel of GEAM (October 2007 – April 2010); Vice President and Assistant Secretary of Elfun Funds and GE Retirement Savings Plan Funds (July 2003 – June 2010); and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM (May 1997 – October 2007). | 18 | None |
(1) | The individuals listed below are Trustees who are “interested persons,” as defined in the 1940 Act, of the Trust (“Interested Trustees”). |
(2) | Ms. Needham is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. |
(3) | Ms. La Porta is an Interested Trustee because of her employment by SSGA FM, an affiliate of the Trust. |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA FM serves as investment adviser. |
Other Information | 89 |
Table of Contents
State Street Institutional Funds
Other Information, continued — September 30, 2019 (Unaudited)
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: | ||||||
Jeanne M. La Porta SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1965 | President and Trustee | Term: Indefinite Elected: 3/14 | Senior Managing Director at State Street Global Advisors (July 2016 – present); Director of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); President of GE Retirement Savings Plan Funds (July 2016 – present); Senior Vice President and Commercial Operations Leader at GEAM (March 2014 – July 2016); President of State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. (April 2014 – present); President and Trustee of GEAM’s UCITs Funds (March 2014 – November 2014); Senior Vice President and Commercial Administrative Officer at GEAM (April 2010 – March 2014); Vice President of State Street Institutional Funds (July 2003 – April 2014); Vice President of Elfun Funds and GE Retirement Savings Plan Funds (October 2003 – July 2016); Secretary of GE Funds (July 2007 – September 2010) and Vice President (July 2007 – February 2011); Senior Vice President and Deputy General Counsel of GEAM (October 2007 – April 2010); Vice President and Assistant Secretary of Elfun Funds and GE Retirement Savings Plan Funds (July 2003 – June 2010); and Vice President and Associate General Counsel – Marketing and Client Services (formerly Asset Management Services) at GEAM (May 1997 – October 2007). | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (April 2005 – present)*; Managing Director, State Street Global Advisors. (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* |
90 | Other Information |
Table of Contents
State Street Institutional Funds
Other Information, continued — September 30, 2019 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: (continued) | ||||||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Arthur A. Jensen SSGA Funds Management, Inc. 1600 Summer Street Stamford, CT 06905
YOB: 1966 | Deputy Treasurer | Term: Indefinite Elected: 9/17 | Vice President State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); Deputy Treasurer of Elfun Funds (July 2016 – present); Treasurer of State Street Institutional Funds, State Street Variable Insurance Series Funds, Inc. and GE Retirement Savings Plan Funds (June 2011 – present); Treasurer of Elfun Funds (June 2011 – July 2016); Mutual Funds Controller of GE Asset Management Incorporated (April 2011 – July 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Assistant Director, Cambridge Associates, LLC (July 2014 – January 2015); Vice President, Bank of New York Mellon (July 2012 – August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* | |||
Daniel G. Plourde SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1980 | Assistant Treasurer | Term: Indefinite Elected: 5/17 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present); Officer, State Street Bank and Trust Company (March 2009 – May 2015). | |||
Brian Harris SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1973 | Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – Present); Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 – May 2013). | |||
Sean O’Malley SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1969 | Chief Legal Officer | Term: Indefinite Elected: 8/19 | Senior Vice President and Deputy General Counsel, State Street Global Advisors (November 2013 – present). |
Other Information | 91 |
Table of Contents
State Street Institutional Funds
Other Information, continued — September 30, 2019 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
OFFICERS: (continued) | ||||||
Andrew DeLorme SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1975 | Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
Kevin Morris SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1982 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (January 2016 –April 2019); Director, Asset Management Compliance, Fidelity Investments (June 2015 – January 2016); Senior Compliance Advisor, Asset Management Compliance, Fidelity Investments (June 2012 – June 2015). | |||
David Urman SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1985 | Assistant Secretary | Term: Indefinite Elected: 8/19 | Vice President and Senior Counsel, State Street Global Advisors (April 2019 – present); Vice President and Counsel, State Street Global Advisors (August 2015 – April 2019); Associate, Ropes & Gray LLP (November 2012 – August 2015). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
92 | Other Information |
Table of Contents
State Street Institutional Funds
Trustees:
Michael F. Holland,Co-Chairperson
Patrick J. Riley,Co-Chairperson
John R. Costantino
Donna M. Rapaccioli
Michael A. Jessee
Richard D. Shirk
Rina K. Spence
Jeanne M. La Porta
Ellen M. Needham
Officers:
Jeanne M. La Porta,President
Brian Harris,Chief Compliance Officer, Anti-Money Laundering Officer and Code of Ethics Compliance Officer
Bruce S. Rosenberg,Treasurer
Ann M. Carpenter,Vice President and Deputy Treasurer
Chad C. Hallett,Deputy Treasurer
Arthur A. Jensen,Deputy Treasurer
Darlene Anderson-Vasquez,Deputy Treasurer
Sujata Upreti,Assistant Treasurer
Daniel Foley,Assistant Treasurer
Daniel G. Plourde,Assistant Treasurer
Sean O’Malley,Chief Legal Officer
Andrew DeLorme,Secretary
Kevin Morris,Assistant Secretary
David Urman,Assistant Secretary
Investment Adviser and Administrator
SSGA Funds Management, Inc.
One Iron Street
Boston, Massachusetts 02210
Custodian and Sub-Administrator
State Street Bank and Trust Company
One Lincoln Street
Boston, Massachusetts 02111
Distributor
State Street Global Advisors Funds Distributors, LLC
One Iron Street
Boston, Massachusetts 02210
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, Massachusetts 02116
Table of Contents
Item 2. | Code of Ethics. |
As of the end of the period covered by this report, State Street Institutional Funds (the “Trust,” “Fund Entity” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of FormN-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. For the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of FormN-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this FormN-CSR.
Item 3. | Audit Committee Financial Expert. |
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of FormN-CSR serving on its audit committee (the “Audit Committee”): Messrs. Michael F. Holland, Richard D. Shirk and John R. Costantino and Ms. Donna M. Rapaccioli. Each of the “audit committee financial experts” is “independent” as that term is defined in Item 3(a)(2) of FormN-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Table of Contents
Item 4. | Principal Accountant Fees and Services. |
(a) | Audit Fees | |
For the fiscal years ended September 30, 2019 and September 30, 2018, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $132,280 and $132,280, respectively. | ||
(b) | Audit-Related Fees | |
For the fiscal years ended September 30, 2019 and September 30, 2018, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item. | ||
(c) | Tax Fees | |
For the fiscal years ended September 30, 2019 and September 30, 2018, the aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns were $41,800 and $51,318, respectively. | ||
(d) | All Other Fees | |
For the fiscal years ended September 30, 2019 and September 30, 2018, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c). | ||
For the fiscal years ended September 30, 2019 and September 30, 2018, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) werepre-approved by the Audit Committee were approximately $6,939,666 and $6,581,832, respectively. | ||
(e)(1) | Audit CommitteePre-Approval Policies and Procedures | |
The Trust’s Audit Committee Charter states the following with respect topre-approval procedures: | ||
The Audit Committee shall have the following duties and powers: | ||
• To pre-approve engagements by a Fund Entity’s independent auditor fornon-audit services to be rendered to the Fund’s investment adviser (not including any subadviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund; |
Table of Contents
• To establish, if deemed necessary or appropriate as an alternative to Audit Committeepre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to bepre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated topre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; | ||
AlternatePre-Approval Procedure: | ||
• The Chairperson, or aCo-Chairperson, of the Audit Committee is authorized topre-approve any engagement involving the Fund Entity’s independent auditors to the same extent as the Audit Committee. Anypre-approval decision by the Chairperson, or aCo-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. | ||
(e)(2) | Percentages of Services | |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule2-01 of RegulationS-X during the period of time for which such rule was effective. | ||
(f) | Not applicable. | |
(g) | Total Fees Paid By Adviser and Certain Affiliates | |
For the fiscal years ended September 30, 2019 and September 30, 2018, the aggregatenon-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $35,545,000 and $36,297,000, respectively. | ||
(h) | E&Y notified the Trust’s Audit Committee of allnon-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to bepre-approved pursuant to paragraph (c)(7)(ii) of Rule2-01 of RegulationS-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
Table of Contents
Item 5. | Audit Committee of Listed Registrants. |
Not applicable to the Registrant.
Item 6. | Investments. |
(a) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this FormN-CSR. |
(b) | Not applicable to the Registrant. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures forClosed-End Management Investment Companies. |
Not applicable to the Registrant.
Item 8. | Portfolio Managers ofClosed-End Management Investment Companies. |
Not applicable to the Registrant.
Item 9. | Purchases of Equity Securities byClosed-End Management Investment Company and Affiliated Purchasers. |
Not applicable to the Registrant.
Item 10. | Submission of Matters to a Vote of Security Holders. |
The Board approved an Amended and Restated Nominating Committee Charter (the “Charter”) by unanimous written consent. The Charter contains procedures related to how shareholders are to submit recommendations for Trustee candidates to the Registrant. Those procedures are as follows:
Procedures for Shareholders to Submit Nominee Candidates
(As of January 10, 20191)
A shareholder of the Fund Entity, or of any series thereof, if applicable, must follow the following procedures in order to submit properly a nominee recommendation for the Nominating Committee’s consideration.
1. | The shareholder must submit any such recommendation (a “Shareholder Recommendation”) in writing to the Fund Entity, to the attention of the Fund Entity’s Secretary, at the address of the principal executive offices of the Fund Entity. |
2. | The Shareholder Recommendation must be delivered to, or mailed and received at, the principal executive offices of the Fund Entity not less than sixty (60) calendar days nor more than ninety (90) calendar days prior to the date of the Board or shareholder meeting at which the nominee |
1 | Amended solely with respect to the adoption of this charter by State Street Institutional Funds and State Street Variable Insurance Series Funds, Inc. |
Table of Contents
candidate would be considered for election. Shareholder Recommendations will be kept on file for two years after receipt of the Shareholder Recommendation. A Shareholder Recommendation considered by the Nominating Committee in connection with the Nominating Committee’s nomination of any candidate(s) for appointment or election as an independent Trustee/Directors need not be considered again by the Nominating Committee in connection with any subsequent nomination(s). |
3. | The Shareholder Recommendation must include: (i) a statement in writing setting forth (A) the name, age, date of birth, business address, residence address and nationality of the person recommended by the shareholder (the “candidate”), and the names and addresses of at least three professional references; (B) the number of all shares of the Fund Entity (including the series and class, if applicable) owned of record or beneficially by the candidate, the date such shares were acquired and the investment intent of such acquisition(s), as reported to such shareholder by the candidate; (C) any other information regarding the candidate called for with respect to director nominees by paragraphs (a), (d), (e) and (f) of Item 401 of RegulationS-K or paragraph (b) of Item 22 of Rule14a-101 (Schedule 14A) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), adopted by the Securities and Exchange Commission (or the corresponding provisions of any applicable regulation or rule subsequently adopted by the Securities and Exchange Commission or any successor agency with jurisdiction related to the Fund Entity); (D) any other information regarding the candidate that would be required to be disclosed if the candidate were a nominee in a proxy statement or other filing required to be made in connection with solicitation of proxies for election of directors pursuant to Section 14 of the Exchange Act and the rules and regulations promulgated thereunder or any other applicable law or regulation; and (E) whether the recommending shareholder believes that the candidate is or will be an “interested person” of the Fund Entity (as defined in the Investment Company Act of 1940, as amended) and, if not an “interested person,” information regarding the candidate that will be sufficient, in the discretion of the Board or the Nominating Committee, for the Fund Entity to make such determination; (ii) the written and signed consent of the candidate to be named as a nominee and to serve as a Trustee/Director if elected; (iii) the recommending shareholder’s name as it appears on the Fund Entity’s books; (iv) the number of all shares of the Fund Entity (including the series and class, if applicable) owned beneficially and of record by the recommending shareholder; (v) a complete description of all arrangements or understandings between the recommending shareholder and the candidate and any other person or persons (including their names) pursuant to which the recommendation is being made by the recommending shareholder including, without limitation, all direct and indirect compensation and other material monetary agreements, arrangements and understandings between the candidate and recommending shareholder during the past three years, and (vi) a brief description of the candidate’s relevant background and experience for membership on the Board, such as qualification as an audit committee financial expert. |
4. | The Nominating Committee may require the recommending shareholder to furnish such other information as it may reasonably require or deem necessary to verify any information furnished pursuant to paragraph 3 above or to determine the eligibility of the candidate to serve as a Trustee/Director of the Fund Entity or to satisfy applicable law. If the recommending shareholder fails to provide such other information in writing within seven days of receipt of a written request from the Nominating Committee, the recommendation of such candidate as a nominee will be deemed not properly submitted for consideration, and the Nominating Committee will not be required to consider such candidate. |
Table of Contents
Item 11. | Controls and Procedures. |
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on FormN-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule30a-3(b) under the 1940 Act and Rules13a-15(b) or15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule30a-3(d) under the 1940 Act) that occurred during the period covered by this report that have materially affected, or are reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12. | Disclosure of Securities Lending Activities forClosed-End Management Investment Companies. |
(a) Not applicable to the Registrant.
(b) Not applicable to the Registrant.
Item 13. | Exhibits. |
(a)(1) | Code of Ethics pursuant to Item 2 of FormN-CSR is attached hereto. |
(a)(2) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule30a-2(a) under the 1940 Act are attached hereto. |
(a)(3) | Not applicable to the Registrant. |
(a)(4) | Not applicable. |
(b) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
Table of Contents
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | STATE STREET INSTITUTIONAL FUNDS | |
By: | /s/ Jeanne M. La Porta | |
Jeanne M. La Porta | ||
President | ||
Date: | December 4, 2019 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Jeanne M. La Porta | |
Jeanne M. La Porta | ||
President (Principal Executive Officer) | ||
Date: | December 4, 2019 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial Officer) | ||
Date: | December 4, 2019 |