Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-08257
STATE STREET INSTITUTIONAL FUNDS
(Exact name of registrant as specified in charter)
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, 2020
Table of Contents
Item 1. Shareholder Report.
Table of Contents
Annual Report
September 30, 2020
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 calling 800-242-0134.
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, 2020
Page | ||||
Notes to Performance | 1 | |||
Manager Reviews and Schedules of Investments | ||||
2 | ||||
10 | ||||
17 | ||||
31 | ||||
38 | ||||
Financial Statements | ||||
63 | ||||
68 | ||||
70 | ||||
72 | ||||
Notes to Financial Statements | 74 | |||
Report of Independent Registered Public Accounting Firm | 86 | |||
Other Information | 87 |
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, 2020 (Unaudited)
Total return performance shown in this report for the State Street Institutional Funds (the “Trust”) and each of its series portfolios (each, a “Fund” and collectively, the “Funds”) takes into account changes in share price and assumes reinvestment of dividends and capital gains distributions, if any. Total returns shown are net of Fund expenses.
The performance data quoted represents past performance; past performance does not guarantee future results. Investment return and principal value will fluctuate, so your shares, when redeemed, may be worth more or less than their original cost. Current performance may be higher or lower than the performance data quoted. Periods of less than one year are not annualized. Please call toll-free (800) 242-0134 or visit the Funds’ website at http://www.ssga.com/geam for the most recent month-end performance data.
An investment in a Fund is not a deposit of any bank and is not insured or guaranteed by the Federal Deposit Insurance Corporation (“FDIC”) or any other government agency. An investment in a Fund is subject to risk, including possible loss of principal invested.
The S&P 500® Index of stocks (“S&P 500 Index”) is an unmanaged market capitalization-weighted index of stocks of 500 large U.S. companies, which is widely used as a measure of large-cap U.S. stock market performance.
The Russell 1000® Growth Index is an unmanaged index that measures the performance of the large-cap growth segment of the U.S. equity universe. It includes those Russell 1000 companies with higher price-to-book ratios and higher forecasted growth values. Russell Investment Group owns the Russell Index data, including all applicable trademarks and copyrights.
The Russell 2000® Index is an unmanaged index that measures the performance of the small-cap segment of the U.S. equity universe. The Russell 2000® Index is a subset of the Russell 3000® Index representing approximately 10% of the total market capitalization of that index. It includes approximately 2000 of the smallest securities based on a combination of their market cap and current index membership. Russell Investment Group owns the Russell Index data, including all applicable trademarks and copyrights.
The Morgan Stanley Capital International Europe, Australasia, and Far East Index (“MSCI® EAFE® Index”) is an unmanaged, free float-adjusted, market capitalization index that is designed to measure developed market equity performance, excluding the U.S. and Canada.
The Bloomberg Barclays U.S. Aggregate Bond Index is an unmanaged market value-weighted index of investment-grade debt issues, including government, corporate, asset-backed and mortgage-backed securities, with maturities of one year or more.
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, 2020 (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 the 12-month period ended September 30, 2020 (the “Reporting Period”), the total return for the Fund’s Investment Class was 20.77% and for the Fund’s Service Class was 20.52%, and the Index was 15.15%. 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.
Diverse strong stock-picking; avoidance of the worst bank underperformers; and underperformance in pharmaceuticals were the primary drivers of Fund performance during the Reporting Period relative to the Index. During a volatile market period, the Fund outperformed in nine of eleven sectors and had nine different industries represented in the top 10 stock contributors, a testament to strong stock-picks across the research and PM team. Bank stocks were particularly weak during the Reporting Period as they were impacted by falling rates and economic headwinds. The Fund is overweight in banks but has exposure to the specialty regional bank First Republic Bank which significantly outperformed the weak performing major banks. The positive Financials attribution was also helped by significant outperformance of holdings in S&P Global, MSCI and TradeWeb Markets. Pharmaceuticals had a small drag on performance given fund holdings in Merck, Mylan, and Johnson & Johnson underperformed the market. Merck and Johnson & Johnson were negatively impacted by COVID-19 as they experienced a pandemic related decline in drugs and medical device sales that we would expect to recover as pent-up demand for these products returns. Within Health Care, these negatives were offset by a positive contribution from Gilead, which benefited from the COVID-19 treatment Remdesivir and Vertex, and which continued to benefit from their market leading cystic fibrosis drug.
The Fund used futures in order to efficiently manage cash flows due to subscriptions and redemptions during the Reporting Period. The Fund’s use of futures had a slight negative impact on Fund performance.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Apple, Amazon.com, and Microsoft. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Schlumberger, JPMorgan Chase, and Chevron.
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, 2020 (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, 2020 (as a % of Fair Value) (a)(b)
Microsoft Corp. | 5.99 | % | ||
Apple Inc. | 5.48 | % | ||
Amazon.com Inc. | 5.39 | % | ||
Alphabet Inc., Class A | �� | 2.72 | % | |
Facebook Inc., Class A | 2.72 | % | ||
Visa Inc., Class A | 2.46 | % | ||
JPMorgan Chase & Co. | 2.34 | % | ||
Merck & Company Inc. | 2.18 | % | ||
Applied Materials Inc. | 1.89 | % | ||
Lowe’s Companies Inc. | 1.81 | % |
Sector Allocation as of September 30, 2020
Portfolio Composition as a % of Fair Value of $460,888 (in thousands) as of September 30, 2020 (a)(b)
Average Annual Total Return for the periods ended September 30, 2020
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 | 20.77 | % | 14.55 | % | 13.33 | % | $ | 34,947 | ||||||||
S&P 500® Index | 15.15 | % | 14.15 | % | 13.74 | % | $ | 36,244 |
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 | 20.52 | % | 14.28 | % | 13.13 | % | $ | 34,332 | ||||||||
S&P 500® Index | 15.15 | % | 14.15 | % | 13.74 | % | $ | 36,244 |
(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, 2020 (Unaudited)
4 | State Street Institutional U.S. Equity Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Understanding Your Fund’s Expenses (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended September 30, 2020.
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, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2020 | $ | 1,335.60 | $ | 1,023.20 | ||||
Expenses Paid During Period* | $ | 2.16 | $ | 1.87 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.37% for Investment Class shares and 0.63%** for Service Class shares (for the period April 1, 2020-September 30, 2020), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Beginning Account Value April 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2020 | $ | 1,334.20 | $ | 1,021.90 | ||||
Expenses Paid During Period* | $ | 3.68 | $ | 3.18 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.37% for Investment Class shares and 0.63%** for Service Class shares (for the period April 1, 2020-September 30, 2020), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-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, 2020
Number of Shares | Fair $ | |||||||
Common Stock - 98.7%† |
| |||||||
Aerospace & Defense - 0.5% |
| |||||||
Raytheon Technologies Corp. | 39,136 | 2,251,885 | ||||||
|
| |||||||
Air Freight & Logistics - 0.6% |
| |||||||
United Parcel Service Inc., Class B | 15,792 | 2,631,421 | ||||||
|
| |||||||
Application Software - 2.9% |
| |||||||
Adobe Inc. (a) | 7,484 | 3,670,378 | ||||||
Intuit Inc. | 2,598 | 847,494 | ||||||
salesforce.com Inc. (a) | 32,273 | 8,110,850 | ||||||
Splunk Inc. (a) | 3,742 | 703,982 | ||||||
|
| |||||||
13,332,704 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 0.3% |
| |||||||
The Blackstone Group Inc., Class A | 27,021 | 1,410,496 | ||||||
|
| |||||||
Automotive Retail - 0.6% |
| |||||||
O’Reilly Automotive Inc. (a) | 6,006 | 2,769,246 | ||||||
|
| |||||||
Biotechnology - 0.9% |
| |||||||
BioMarin Pharmaceutical Inc. (a) | 19,596 | 1,490,864 | ||||||
Vertex Pharmaceuticals Inc. (a) | 10,483 | 2,852,634 | ||||||
|
| |||||||
4,343,498 | ||||||||
|
| |||||||
Building Products - 1.6% |
| |||||||
Allegion PLC | 8,662 | 856,758 | ||||||
Trane Technologies PLC | 52,219 | 6,331,554 | ||||||
|
| |||||||
7,188,312 | ||||||||
|
| |||||||
Cable & Satellite - 1.9% |
| |||||||
Charter Communications Inc., Class A (a) | 8,954 | 5,590,340 | ||||||
Comcast Corp., Class A | 67,606 | 3,127,454 | ||||||
|
| |||||||
8,717,794 | ||||||||
|
| |||||||
Construction Materials - 1.0% |
| |||||||
Martin Marietta Materials Inc. | 18,675 | 4,395,348 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 4.0% |
| |||||||
Fidelity National Information Services Inc. | 11,439 | 1,683,935 | ||||||
Mastercard Inc., Class A | 16,367 | 5,534,829 | ||||||
Visa Inc., Class A | 56,662 | 11,330,700 | ||||||
|
| |||||||
18,549,464 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Diversified Banks - 2.3% |
| |||||||
JPMorgan Chase & Co. | 112,236 | 10,804,960 | ||||||
|
| |||||||
Diversified Support Services - 0.4% |
| |||||||
Cintas Corp. | 5,093 | 1,695,103 | ||||||
|
| |||||||
Electric Utilities - 1.3% |
| |||||||
American Electric Power Company Inc. | 17,910 | 1,463,784 | ||||||
NextEra Energy Inc. | 16,231 | 4,505,077 | ||||||
|
| |||||||
5,968,861 | ||||||||
|
| |||||||
Electronic Components - 2.5% |
| |||||||
Amphenol Corp., Class A | 42,658 | 4,618,582 | ||||||
Corning Inc. | 216,683 | 7,022,696 | ||||||
|
| |||||||
11,641,278 | ||||||||
|
| |||||||
Environmental & Facilities Services - 1.1% |
| |||||||
Waste Management Inc. | 45,822 | 5,185,676 | ||||||
|
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Financial Exchanges & Data - 2.3% |
| |||||||
CME Group Inc. | 23,919 | 4,001,888 | ||||||
MSCI Inc. | 2,210 | 788,484 | ||||||
S&P Global Inc. | 13,692 | 4,937,335 | ||||||
Tradeweb Markets Inc., Class A | 16,974 | 984,492 | ||||||
|
| |||||||
10,712,199 | ||||||||
|
| |||||||
Footwear - 0.9% |
| |||||||
NIKE Inc., Class B | 31,692 | 3,978,614 | ||||||
|
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Healthcare Equipment - 2.9% |
| |||||||
Becton Dickinson and Co. | 12,367 | 2,877,554 | ||||||
Boston Scientific Corp. (a) | 186,252 | 7,116,689 | ||||||
Medtronic PLC | 31,057 | 3,227,443 | ||||||
|
| |||||||
13,221,686 | ||||||||
|
| |||||||
Healthcare Facilities - 0.6% |
| |||||||
HCA Healthcare Inc. | 23,130 | 2,883,848 | ||||||
|
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Healthcare Services - 1.2% |
| |||||||
Cigna Corp. | 21,705 | 3,677,044 | ||||||
Quest Diagnostics Inc. | 16,040 | 1,836,420 | ||||||
|
| |||||||
5,513,464 | ||||||||
|
| |||||||
Home Improvement Retail - 2.2% |
| |||||||
Lowe’s Companies Inc. | 50,343 | 8,349,890 | ||||||
The Home Depot Inc. | 5,983 | 1,661,539 | ||||||
|
| |||||||
10,011,429 | ||||||||
|
|
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, 2020
Number of Shares | Fair $ | |||||||
Hotels, Resorts & Cruise Lines - 0.2% |
| |||||||
Marriott International Inc., Class A | 8,697 | 805,168 | ||||||
|
| |||||||
Household Products - 1.7% |
| |||||||
Colgate-Palmolive Co. | 27,397 | 2,113,678 | ||||||
The Procter & Gamble Co. | 42,925 | 5,966,146 | ||||||
|
| |||||||
8,079,824 | ||||||||
|
| |||||||
Hypermarkets & Super Centers - 0.6% |
| |||||||
Walmart Inc. | 20,213 | 2,828,001 | ||||||
|
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Industrial Conglomerates - 2.1% |
| |||||||
Honeywell International Inc. | 43,949 | 7,234,445 | ||||||
Roper Technologies Inc. | 6,259 | 2,472,993 | ||||||
|
| |||||||
9,707,438 | ||||||||
|
| |||||||
Industrial Gases - 0.9% |
| |||||||
Air Products & Chemicals Inc. (b) | 14,527 | 4,327,012 | ||||||
|
| |||||||
Industrial Machinery - 0.5% |
| |||||||
Xylem Inc. | 24,902 | 2,094,756 | ||||||
|
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Insurance Brokers - 0.3% |
| |||||||
Marsh & McLennan Companies Inc. | 13,014 | 1,492,706 | ||||||
|
| |||||||
Integrated Oil & Gas - 1.1% |
| |||||||
Chevron Corp. | 56,667 | 4,080,024 | ||||||
Exxon Mobil Corp. | 35,601 | 1,222,182 | ||||||
|
| |||||||
5,302,206 | ||||||||
|
| |||||||
Integrated Telecommunication Services - 0.4% |
| |||||||
AT&T Inc. | 65,514 | 1,867,804 | ||||||
|
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Interactive Home Entertainment - 0.3% |
| |||||||
Activision Blizzard Inc. | 14,899 | 1,206,074 | ||||||
|
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Interactive Media & Services - 6.8% |
| |||||||
Alphabet Inc., Class A (a) | 8,565 | 12,552,864 | ||||||
Alphabet Inc., Class C (a) | 4,379 | 6,435,378 | ||||||
Facebook Inc., Class A (a) | 47,854 | 12,532,963 | ||||||
|
| |||||||
31,521,205 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 5.4% |
| |||||||
Amazon.com Inc. (a)(b) | 7,882 | 24,818,290 | ||||||
|
| |||||||
IT Consulting & Other Services - 0.4% |
| |||||||
Accenture PLC, Class A | 7,395 | 1,671,196 | ||||||
|
|
Number of Shares | Fair $ | |||||||
Life Sciences Tools & Services - 1.1% |
| |||||||
IQVIA Holdings Inc. (a) | 32,012 | 5,046,052 | ||||||
|
| |||||||
Managed Healthcare - 2.1% |
| |||||||
Centene Corp. (a) | 79,671 | 4,647,209 | ||||||
UnitedHealth Group Inc. | 15,893 | 4,954,961 | ||||||
|
| |||||||
9,602,170 | ||||||||
|
| |||||||
Movies & Entertainment - 2.0% |
| |||||||
Netflix Inc. (a) | 3,416 | 1,708,102 | ||||||
The Walt Disney Co. | 59,084 | 7,331,143 | ||||||
|
| |||||||
9,039,245 | ||||||||
|
| |||||||
Multi-Line Insurance - 0.1% |
| |||||||
American International Group Inc. | 22,127 | 609,156 | ||||||
|
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Multi-Sector Holdings - 1.1% |
| |||||||
Berkshire Hathaway Inc., Class B (a) | 24,534 | 5,224,270 | ||||||
|
| |||||||
Multi-Utilities - 2.0% |
| |||||||
CMS Energy Corp. | 36,473 | 2,239,807 | ||||||
Sempra Energy | 59,006 | 6,983,950 | ||||||
|
| |||||||
9,223,757 | ||||||||
|
| |||||||
Oil & Gas Equipment & Services - 0.4% |
| |||||||
Schlumberger N.V. | 129,136 | 2,009,356 | ||||||
|
| |||||||
Oil & Gas Exploration & Production - 0.5% |
| |||||||
ConocoPhillips | 31,754 | 1,042,801 | ||||||
Pioneer Natural Resources Co. | 12,606 | 1,083,990 | ||||||
|
| |||||||
2,126,791 | ||||||||
|
| |||||||
Packaged Foods & Meats - 1.5% |
| |||||||
Mondelez International Inc., Class A | 119,911 | 6,888,887 | ||||||
|
| |||||||
Personal Products - 0.4% |
| |||||||
The Estee Lauder Companies Inc., Class A | 8,551 | 1,866,256 | ||||||
|
| |||||||
Pharmaceuticals - 5.8% |
| |||||||
Bristol-Myers Squibb Co. | 66,898 | 4,033,280 | ||||||
Elanco Animal Health Inc. (a) | 183,663 | 5,129,708 | ||||||
Johnson & Johnson | 41,728 | 6,212,465 | ||||||
Merck & Company Inc. | 121,239 | 10,056,775 | ||||||
Mylan N.V. (a) | 99,153 | 1,470,439 | ||||||
|
| |||||||
26,902,667 | ||||||||
|
|
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, 2020
Number of Shares | Fair $ | |||||||
Property & Casualty Insurance - 1.2% |
| |||||||
Chubb Ltd. | 32,528 | 3,777,151 | ||||||
The Progressive Corp. | 17,991 | 1,703,208 | ||||||
|
| |||||||
5,480,359 | ||||||||
|
| |||||||
Railroads - 0.7% |
| |||||||
Union Pacific Corp. | 16,352 | 3,219,218 | ||||||
|
| |||||||
Regional Banks - 2.8% |
| |||||||
First Republic Bank | 64,485 | 7,032,734 | ||||||
Regions Financial Corp. | 260,630 | 3,005,064 | ||||||
SVB Financial Group (a) | 11,287 | 2,715,878 | ||||||
|
| |||||||
12,753,676 | ||||||||
|
| |||||||
Restaurants - 0.9% |
| |||||||
Domino’s Pizza Inc. | 2,221 | 944,547 | ||||||
McDonald’s Corp. | 15,481 | 3,397,925 | ||||||
|
| |||||||
4,342,472 | ||||||||
|
| |||||||
Semiconductor Equipment - 1.9% |
| |||||||
Applied Materials Inc. | 146,317 | 8,698,546 | ||||||
|
| |||||||
Semiconductors - 3.8% |
| |||||||
Intel Corp. | 34,989 | 1,811,730 | ||||||
NVIDIA Corp. | 12,773 | 6,913,003 | ||||||
QUALCOMM Inc. | 27,554 | 3,242,555 | ||||||
Texas Instruments Inc. | 38,902 | 5,554,817 | ||||||
|
| |||||||
17,522,105 | ||||||||
|
| |||||||
Soft Drinks - 1.7% |
| |||||||
PepsiCo Inc. | 54,976 | 7,619,674 | ||||||
|
| |||||||
Specialized REITs - 0.6% |
| |||||||
American Tower Corp. | 12,011 | 2,903,419 | ||||||
|
| |||||||
Specialty Chemicals - 0.7% |
| |||||||
Albemarle Corp. | 14,386 | 1,284,382 | ||||||
DuPont de Nemours Inc. | 35,544 | 1,971,981 | ||||||
|
| |||||||
3,256,363 | ||||||||
|
|
Number of Shares | Fair $ | |||||||
Specialty Stores - 0.5% |
| |||||||
Tractor Supply Co. | 16,931 | 2,426,890 | ||||||
|
| |||||||
Systems Software - 7.2% |
| |||||||
Microsoft Corp. | 131,287 | 27,613,595 | ||||||
Oracle Corp. | 48,580 | 2,900,226 | ||||||
ServiceNow Inc. (a) | 5,773 | 2,799,905 | ||||||
|
| |||||||
33,313,726 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 5.5% |
| |||||||
Apple Inc. | 217,924 | 25,237,778 | ||||||
|
| |||||||
Trading Companies & Distributors - 1.2% |
| |||||||
United Rentals Inc. (a) | 32,259 | 5,629,195 | ||||||
|
| |||||||
Trucking - 0.0%* |
| |||||||
Lyft Inc., Class A (a) | 6,292 | 173,345 | ||||||
|
| |||||||
Wireless Telecommunication Services - 0.3% |
| |||||||
T-Mobile US Inc. (a) | 12,941 | 1,479,933 | ||||||
|
| |||||||
Total Common Stock (Cost $311,272,257) | 455,524,272 | |||||||
|
| |||||||
Short-Term Investments - 1.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.07% | 5,363,497 | 5,363,497 | ||||||
|
| |||||||
Total Investments (Cost $316,635,754) | 460,887,769 | |||||||
Liabilities in Excess of Other Assets, net - 0.2% |
| 794,604 | ||||||
|
| |||||||
NET ASSETS - 100.0% | 461,682,373 | |||||||
|
|
Other Information:
The Fund had the following short futures contracts open at September 30, 2020:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation | |||||||||||||||
S&P 500 E-mini Index Futures | December 2020 | 2 | $ | (335,796 | ) | $ | (335,200 | ) | $ | 596 | ||||||||||
|
|
During the period ended September 30, 2020, average notional value related to long and short futures contracts was $3,401,921 and $334,827, respectively.
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
Notes to Schedule of Investments — September 30, 2020
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 Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | At September 30, 2020, all or a portion of this security was pledged to cover collateral requirements for futures, options, swaps and/or TBAs. |
(c) | Coupon amount represents effective yield. |
(d) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
† | Percentages are based on net assets as of September 30, 2020. |
* | Less than 0.05%. |
Abbreviations:
REIT Real Estate Investment Trust
The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2020:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional U.S. Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 455,524,272 | $ | — | $ | — | $ | 455,524,272 | ||||||||||
Short-Term Investments | 5,363,497 | — | — | 5,363,497 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 460,887,769 | $ | — | $ | — | $ | 460,887,769 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Short Futures Contracts - Unrealized Appreciation | $ | 596 | $ | — | $ | — | $ | 596 | ||||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/19 | Value At 9/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/20 | Value at 9/30/20 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 21,310,507 | $ | 21,310,507 | $ | 60,781,630 | $ | 76,728,640 | $ | — | $ | — | 5,363,497 | $ | 5,363,497 | $ | 94,816 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional U.S. Equity Fund | 9 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Management Discussion of Fund Performance — September 30, 2020 (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 the 12-month period ended September 30, 2020 (the “Reporting Period”), the total return for the Fund’s Investment Class was 39.25% and for the Fund’s Service Class was 38.83%, and the S&P 500 Index was 15.15% and the Russell 1000 Growth Index was 37.53%. 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 Indices are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Strong stock selection in IT and consumer discretionary; an underweight to aerospace and defense; and underperformance in communication services were the primary drivers of Fund performance during the Reporting Period relative to the Indices. In IT, the Fund benefitted from software holdings Servicenow and Salesforce.com, which were up significantly on growth in their cloud businesses, and semiconductor company Nvidia whose chips power applications like online gaming and data centers, the use of which has grown during the COVID-19 pandemic. In consumer discretionary, the Fund also benefitted from pandemic related consumption shifts including an increase in online shopping, helping Fund holdings Alibaba and Amazon, and an increase in home improvement, helping Lowe’s. Aerospace and defense companies have been among the largest laggards over the past year as air travel came to a standstill early in 2020 and remains well below pre-pandemic levels. The Fund had no exposure to this industry helping relative returns. In communication services, however, the Fund was impacted by its position in Walt Disney and not owning Netflix. Disney’s parks, cruises, and movie business have all been hit by the pandemic, while Netflix is another beneficiary of more people staying home. We continue to like the long-term fundamentals in Disney driven by its strong portfolio of brands and platforms. We think it’s impacted businesses will recover and its new streaming business is doing well.
The Fund used futures in order to efficiently manage cash flows due to subscriptions and redemptions during the Reporting Period. The Fund’s use of futures 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 Apple, Microsoft, and Amazon.com. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were CME Group, Booking Holdings, and Lyft.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
10 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Performance Summary — September 30, 2020 (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, 2020 (as a % of Fair Value) (a)(b)
Apple Inc. | 9.46 | % | ||
Microsoft Corp. | 9.41 | % | ||
Amazon.com Inc. | 7.08 | % | ||
Facebook Inc., Class A | 4.71 | % | ||
Visa Inc., Class A | 4.44 | % | ||
Alphabet Inc., Class C | 4.38 | % | ||
salesforce.com Inc. | 3.41 | % | ||
Applied Materials Inc. | 3.30 | % | ||
NVIDIA Corp. | 3.00 | % | ||
Lowe’s Companies Inc. | 2.72 | % |
Sector Allocation as of September 30, 2020
Portfolio Composition as a % of Fair Value of $82,784 (in thousands) as of September 30, 2020 (a)(b)
Average Annual Total Return for the periods ended September 30, 2020
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 | 39.25 | % | 19.23 | % | 16.86 | % | $ | 47,507 | ||||||||
S&P 500® Index | 15.15 | % | 14.15 | % | 13.74 | % | $ | 36,244 | ||||||||
Russell 1000® Growth Index | 37.53 | % | 20.10 | % | 17.25 | % | $ | 49,122 |
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 | 38.83 | % | 18.93 | % | 16.56 | % | $ | 46,309 | ||||||||
S&P 500® Index | 15.15 | % | 14.15 | % | 13.74 | % | $ | 36,244 | ||||||||
Russell 1000® Growth Index | 37.53 | % | 20.10 | % | 17.25 | % | $ | 49,122 |
(a) | Fair Value basis is inclusive of short-term investment in State Street Institutional U.S. Government Money Market Fund – Class G Shares. |
(b) | The securities information regarding holdings, allocations and other characteristics is presented to illustrate examples of securities that the Fund has bought and the diversity of areas in which the Fund may invest as of a particular date. It may not be representative of the Fund’s current or future investments and should not be construed as a recommendation to purchase or sell a particular security. |
State Street Institutional Premier Growth Equity Fund | 11 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Performance Summary, continued — September 30, 2020 (Unaudited)
12 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Understanding Your Fund’s Expenses (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended September 30, 2020.
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, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2020 | $ | 1,414.20 | $ | 1,022.60 | ||||
Expenses Paid During Period* | $ | 2.90 | $ | 2.43 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.48%** for Investment Class shares and 0.73%** for Service Class shares (for the period April 1, 2020-September 30, 2020), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Beginning Account Value April 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2020 | $ | 1,413.00 | $ | 1,021.40 | ||||
Expenses Paid During Period* | $ | 4.40 | $ | 3.69 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.48%** for Investment Class shares and 0.73%** for Service Class shares (for the period April 1, 2020-September 30, 2020), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-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 Premier Growth Equity Fund | 13 |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Schedule of Investments — September 30, 2020
Number of Shares | Fair Value $ | |||||||
Common Stock - 97.5%† |
| |||||||
Application Software - 4.3% |
| |||||||
salesforce.com Inc. (a) | 11,231 | 2,822,575 | ||||||
Splunk Inc. (a) | 4,076 | 766,818 | ||||||
|
| |||||||
3,589,393 | ||||||||
|
| |||||||
Biotechnology - 4.6% |
| |||||||
Alexion Pharmaceuticals Inc. (a) | 13,423 | 1,535,994 | ||||||
BioMarin Pharmaceutical Inc. (a) | 9,190 | 699,175 | ||||||
Vertex Pharmaceuticals Inc. (a) | 5,833 | 1,587,276 | ||||||
|
| |||||||
3,822,445 | ||||||||
|
| |||||||
Building Products - 0.7% |
| |||||||
Trane Technologies PLC | 4,448 | 539,320 | ||||||
|
| |||||||
Cable & Satellite - 2.3% |
| |||||||
Charter Communications Inc., Class A (a) | 2,992 | 1,868,025 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 8.2% |
| |||||||
Fidelity National Information Services Inc. | 11,045 | 1,625,934 | ||||||
Mastercard Inc., Class A | 4,475 | 1,513,311 | ||||||
Visa Inc., Class A | 18,392 | 3,677,848 | ||||||
|
| |||||||
6,817,093 | ||||||||
|
| |||||||
Electronic Components - 1.7% |
| |||||||
Corning Inc. | 44,044 | 1,427,466 | ||||||
|
| |||||||
Financial Exchanges & Data - 3.3% |
| |||||||
CME Group Inc. | 6,781 | 1,134,529 | ||||||
S&P Global Inc. | 4,454 | 1,606,113 | ||||||
|
| |||||||
2,740,642 | ||||||||
|
| |||||||
Healthcare Equipment - 4.0% |
| |||||||
Boston Scientific Corp. (a) | 53,283 | �� | 2,035,943 | |||||
Intuitive Surgical Inc. (a) | 1,798 | 1,275,753 | ||||||
|
| |||||||
3,311,696 | ||||||||
|
| |||||||
Home Improvement Retail - 2.7% |
| |||||||
Lowe’s Companies Inc. | 13,565 | 2,249,891 | ||||||
|
| |||||||
Industrial Conglomerates - 1.7% |
| |||||||
Honeywell International Inc. | 8,475 | 1,395,070 | ||||||
|
| |||||||
Interactive Media & Services - 10.7% |
| |||||||
Alphabet Inc., Class A (a) | 882 | 1,292,659 | ||||||
Alphabet Inc., Class C (a) | 2,470 | 3,629,912 |
Number of Shares | Fair Value $ | |||||||
Facebook Inc., Class A (a) | 14,883 | 3,897,858 | ||||||
|
| |||||||
8,820,429 | ||||||||
|
| |||||||
Internet & Direct Marketing Retail - 8.9% |
| |||||||
Alibaba Group Holding Ltd. ADR (a)(b) | 5,134 | 1,509,293 | ||||||
Amazon.com Inc. (a) | 1,861 | 5,859,787 | ||||||
|
| |||||||
7,369,080 | ||||||||
|
| |||||||
Managed Healthcare - 2.5% |
| |||||||
UnitedHealth Group Inc. | 6,514 | 2,030,870 | ||||||
|
| |||||||
Movies & Entertainment - 1.7% |
| |||||||
The Walt Disney Co. | 11,661 | 1,446,897 | ||||||
|
| |||||||
Pharmaceuticals - 2.4% |
| |||||||
Elanco Animal Health Inc. (a) | 72,587 | 2,027,355 | ||||||
|
| |||||||
Regional Banks - 1.1% |
| |||||||
First Republic Bank | 8,719 | 950,894 | ||||||
|
| |||||||
Restaurants - 0.9% |
| |||||||
Domino’s Pizza Inc. | 1,778 | 756,148 | ||||||
|
| |||||||
Semiconductor Equipment - 3.3% |
| |||||||
Applied Materials Inc. | 45,904 | 2,728,993 | ||||||
|
| |||||||
Semiconductors - 4.1% |
| |||||||
NVIDIA Corp. | 4,589 | 2,483,658 | ||||||
QUALCOMM Inc. | 7,545 | 887,896 | ||||||
|
| |||||||
3,371,554 | ||||||||
|
| |||||||
Soft Drinks - 2.3% |
| |||||||
PepsiCo Inc. | 13,844 | 1,918,778 | ||||||
|
| |||||||
Specialized REITs - 1.4% |
| |||||||
American Tower Corp. | 4,863 | 1,175,533 | ||||||
|
| |||||||
Specialty Chemicals - 0.9% |
| |||||||
Albemarle Corp. | 8,419 | 751,648 | ||||||
|
| |||||||
Systems Software - 11.9% |
| |||||||
Microsoft Corp. | 37,039 | 7,790,413 | ||||||
ServiceNow Inc. (a) | 4,207 | 2,040,395 | ||||||
|
| |||||||
9,830,808 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 9.5% |
| |||||||
Apple Inc. | 67,632 | 7,832,462 | ||||||
|
| |||||||
Trading Companies & Distributors - 1.9% |
| |||||||
United Rentals Inc. (a) | 9,047 | 1,578,702 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
14 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Premier Growth Equity Fund
Schedule of Investments, continued — September 30, 2020
Number of Shares | Fair Value $ | |||||||
Trucking - 0.5% |
| |||||||
Lyft Inc., Class A (a) | 13,733 | 378,344 | ||||||
|
| |||||||
Total Common Stock (Cost $42,241,829) | 80,729,536 | |||||||
|
| |||||||
Exchange Traded & Mutual Funds - 1.3% |
| |||||||
Technology Select Sector SPDR Fund (c) | 1,111 | 129,653 | ||||||
The Consumer Discretionary Select Sector SPDR Fund (c) | 6,161 | 905,544 | ||||||
|
| |||||||
Total Exchange Traded & Mutual Funds (Cost $796,557) |
| 1,035,197 | ||||||
|
| |||||||
Total Investments in Securities (Cost $43,038,386) |
| 81,764,733 | ||||||
|
|
Number of Shares | Fair Value $ | |||||||
Short-Term Investments - 1.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.07% | 1,019,025 | 1,019,025 | ||||||
|
| |||||||
Total Investments (Cost $44,057,411) | 82,783,758 | |||||||
Liabilities in Excess of Other Assets, net - (0.0)% |
| (19,149 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% | 82,764,609 | |||||||
|
|
Other Information:
The Fund had the following short futures contracts open at September 30, 2020:
Description | Expiration date | Numberof Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
S&P 500 E-mini Index Futures | December 2020 | 2 | $ | (332,350 | ) | $ | (335,200 | ) | $ | (2,850 | ) | |||||||||
|
|
During the period ended September 30, 2020, average notional value related to long and short futures contracts was $1,163,977 and $328,908, respectively.
Notes to Schedule of Investments — September 30, 2020
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 Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | At September 30, 2020, all or a portion of this security was pledged to cover collateral requirements for futures. |
(c) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
(d) | Coupon amount represents effective yield. |
† | Percentages are based on net assets as of September 30, 2020. |
Abbreviations:
ADR American Depositary Receipt
REIT Real Estate Investment Trust
SPDR Standard and Poor’s Depositary Receipt
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, 2020
The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2020:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Premier Growth Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 80,729,536 | $ | — | $ | — | $ | 80,729,536 | ||||||||||
Exchange Traded & Mutual Funds | 1,035,197 | — | — | 1,035,197 | ||||||||||||||
Short-Term Investments | 1,019,025 | — | — | 1,019,025 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 82,783,758 | $ | — | $ | — | $ | 82,783,758 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Short Futures Contracts - Unrealized Depreciation | $ | (2,850 | ) | $ | — | $ | — | $ | (2,850 | ) | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/19 | Value At 9/30/19 | Cost of Purchases | Proceeds Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/20 | Value at 9/30/20 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 1,985,510 | $ | 1,985,510 | $ | 38,007,243 | $ | 38,973,728 | $ | — | $ | — | 1,019,025 | $ | 1,019,025 | $ | 47,567 | ||||||||||||||||||||
Technology Select Sector SPDR Fund | — | — | 117,799 | — | — | 11,854 | 1,111 | 129,653 | 274 | |||||||||||||||||||||||||||
The Consumer Discretionary Select Sector SPDR Fund | 18,198 | 2,196,499 | 654,079 | 2,110,704 | (42,620 | ) | 208,290 | 6,161 | 905,544 | 13,048 | ||||||||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 4,182,009 | $ | 38,779,121 | $ | 41,084,432 | $ | (42,620 | ) | $ | 220,144 | $ | 2,054,222 | $ | 60,889 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
|
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
16 | State Street Institutional Premier Growth Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Management Discussion of Fund Performance — September 30, 2020 (Unaudited)
The State Street Institutional Small-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 the 12-month period ended September 30, 2020 (the “Reporting Period”), the total return for the Fund’s Investment Class was -3.03% and for the Fund’s Service Class was -3.30%, and the Index was 0.39%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Champlain and GlobeFlex were the primary drivers of Fund performance during the Reporting Period relative to the Index. Champlain was the strongest contributor riding a strong growth market to substantial outperformance. Champlain’s growth-at-a-reasonable-price portfolio has a heavy technology bias which was additive to returns throughout the year particularly in cloud computing and software-as-a-service holdings. GlobeFlex has a quality-growth bias in their portfolio which was the weakest of the growth areas, but still strong enough to outpace the Index. All of the other investment managers in the portfolio lagged the broader benchmark due to quality and value characteristics in their portfolio.
Derivatives did not meaningfully add or detract from returns and are only used to neutralize the cash in the liquidity sleeve of the account to manage daily flows. The only derivative contracts used are the Russell 2000 e-Mini Futures to match the benchmark and not to speculate in either direction.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were Catalent, Inc., Ritchie Bros Auctioneers, and Thor Industries Inc. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Brinks, Argo Group International Holdings and Penn National Gaming.
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 Small-Cap Equity Fund | 17 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Performance Summary — September 30, 2020 (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, 2020 (as a % of Fair Value) (a)(b)
Darling Ingredients Inc. | 1.33 | % | ||
The Brink’s Co. | 1.17 | % | ||
Dycom Industries Inc. | 1.17 | % | ||
AGCO Corp. | 1.05 | % | ||
Extended Stay America Inc. | 1.04 | % | ||
Ingevity Corp. | 1.01 | % | ||
The Timken Co. | 0.97 | % | ||
MSA Safety Inc. | 0.94 | % | ||
Altra Industrial Motion Corp. | 0.92 | % | ||
Ritchie Bros Auctioneers Inc. | 0.90 | % |
Sector Allocation as of September 30, 2020
Portfolio Composition as a % of Fair Value of $960,569 (in thousands) as of September 30, 2020 (a)(b)
Average Annual Total Return for the periods ended September 30, 2020
Investment Class Shares (Inception date: 8/3/98)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Small-Cap Equity Fund | -3.03 | % | 8.24 | % | 10.58 | % | 27,332 | |||||||||
Russell 2000® Index | 0.39 | % | 8.01 | % | 9.85 | % | 25,591 |
Service Class Shares (Inception date: 9/30/05)
One Year | Five Year | Ten Year | Ending Value of a $10,000 Investment | |||||||||||||
State Street Institutional Small-Cap Equity Fund | -3.30 | % | 7.96 | % | 10.30 | % | $ | 26,647 | ||||||||
Russell 2000® Index | 0.39 | % | 8.01 | % | 9.85 | % | $ | 25,591 |
(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 Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Performance Summary, continued — September 30, 2020 (Unaudited)
State Street Institutional Small-Cap Equity Fund | 19 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Understanding Your Fund’s Expenses (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended September 30, 2020.
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, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2020 | $ | 1,300.20 | $ | 1,020.60 | ||||
Expenses Paid During Period* | $ | 5.12 | $ | 4.50 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.89% for Investment Class shares and 1.14% for Service Class shares (for the period April 1, 2020-September 30, 2020), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Beginning Account Value April 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2020 | $ | 1,297.40 | $ | 1,019.30 | ||||
Expenses Paid During Period* | $ | 6.55 | $ | 5.76 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.89% for Investment Class shares and 1.14% for Service Class shares (for the period April 1, 2020-September 30, 2020), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
20 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments — September 30, 2020
Number of Shares | Fair Value $ | |||||||
Common Stock - 95.5%† |
| |||||||
Aerospace & Defense - 0.6% |
| |||||||
Cubic Corp. | 12,021 | 699,262 | ||||||
Teledyne Technologies Inc. (a) | 15,983 | 4,958,086 | ||||||
|
| |||||||
5,657,348 | ||||||||
|
| |||||||
Agricultural & Farm Machinery - 1.0% |
| |||||||
AGCO Corp. (b) | 136,103 | 10,108,370 | ||||||
|
| |||||||
Agricultural Products - 1.3% |
| |||||||
Darling Ingredients Inc. (a) | 353,366 | 12,731,777 | ||||||
|
| |||||||
Air Freight & Logistics - 0.4% |
| |||||||
Air Transport Services Group Inc. (a) | 30,581 | 766,360 | ||||||
Atlas Air Worldwide Holdings Inc. (a) | 7,258 | 442,012 | ||||||
Echo Global Logistics Inc. (a) | 29,654 | 764,184 | ||||||
Forward Air Corp. | 13,690 | 785,532 | ||||||
Hub Group Inc., Class A (a) | 13,014 | 653,238 | ||||||
|
| |||||||
3,411,326 | ||||||||
|
| |||||||
Aluminum - 0.1% |
| |||||||
Alcoa Corp. (a) | 77,783 | 904,616 | ||||||
|
| |||||||
Apparel Retail - 0.8% |
| |||||||
American Eagle Outfitters Inc. | 153,389 | 2,271,691 | ||||||
Burlington Stores Inc. (a) | 14,792 | 3,048,483 | ||||||
Chico’s FAS Inc. | 203,237 | 197,648 | ||||||
The Buckle Inc. | 114,206 | 2,328,661 | ||||||
|
| |||||||
7,846,483 | ||||||||
|
| |||||||
Application Software - 6.3% |
| |||||||
ACI Worldwide Inc. (a)(b) | 173,020 | 4,521,013 | ||||||
Altair Engineering Inc., Class A (a) | 64,791 | 2,719,926 | ||||||
Avaya Holdings Corp. (a) | 27,397 | 416,434 | ||||||
Blackbaud Inc. | 87,290 | 4,873,401 | ||||||
Blackline Inc. (a) | 64,265 | 5,760,072 | ||||||
Box Inc., Class A (a) | 31,140 | 540,590 | ||||||
ChannelAdvisor Corp. (a) | 35,352 | 511,544 | ||||||
Cloudera Inc. (a) | 64,838 | 706,086 | ||||||
Cornerstone OnDemand Inc. (a) | 69,123 | 2,513,312 | ||||||
eGain Corp. (a) | 41,619 | 589,741 | ||||||
Envestnet Inc. (a) | 32,500 | 2,507,700 | ||||||
J2 Global Inc. (a) | 4,628 | 320,350 | ||||||
Medallia Inc. (a) | 187,500 | 5,141,250 |
Number of Shares | Fair Value $ | |||||||
MicroStrategy Inc., Class A (a) | 2,818 | 424,278 | ||||||
Mitek Systems Inc. (a) | 68,917 | 878,003 | ||||||
New Relic Inc. (a) | 101,500 | 5,720,540 | ||||||
Pluralsight Inc., Class A (a) | 87,000 | 1,490,310 | ||||||
Q2 Holdings Inc. (a) | 88,500 | 8,076,510 | ||||||
RealPage Inc. (a) | 48,871 | 2,816,925 | ||||||
SPS Commerce Inc. (a) | 4,965 | 386,625 | ||||||
Telenav Inc. (a) | 97,254 | 350,114 | ||||||
Upland Software Inc. (a) | 21,192 | 798,938 | ||||||
VirnetX Holding Corp. | 56,919 | 299,963 | ||||||
Workiva Inc. (a) | 49,000 | 2,732,240 | ||||||
Yext Inc. (a) | 395,000 | 5,996,100 | ||||||
|
| |||||||
61,091,965 | ||||||||
|
| |||||||
Asset Management & Custody Banks - 0.2% |
| |||||||
Artisan Partners Asset Management Inc., Class A | 14,219 | 554,399 | ||||||
Blucora Inc. (a) | 25,526 | 240,455 | ||||||
Cohen & Steers Inc. | 10,820 | 603,106 | ||||||
Diamond Hill Investment Group Inc. | 3,681 | 464,984 | ||||||
Federated Hermes Inc. | 18,086 | 389,030 | ||||||
|
| |||||||
2,251,974 | ||||||||
|
| |||||||
Auto Parts & Equipment - 0.8% |
| |||||||
Dana Inc. | 94,761 | 1,167,455 | ||||||
Dorman Products Inc. (a) | 29,434 | 2,660,245 | ||||||
LCI Industries | 15,851 | 1,684,803 | ||||||
Modine Manufacturing Co. (a) | 50,067 | 312,919 | ||||||
Standard Motor Products Inc. | 43,634 | 1,948,258 | ||||||
|
| |||||||
7,773,680 | ||||||||
|
| |||||||
Automobile Manufacturers - 0.7% |
| |||||||
Thor Industries Inc. | 72,430 | 6,899,682 | ||||||
|
| |||||||
Automotive Retail - 1.5% |
| |||||||
America’s Car-Mart Inc. (a) | 24,293 | 2,061,990 | ||||||
Camping World Holdings Inc., Class A | 14,643 | 435,629 | ||||||
Group 1 Automotive Inc. | 42,985 | 3,799,444 | ||||||
Lithia Motors Inc., Class A | 1,971 | 449,270 | ||||||
Monro Inc. | 25,884 | 1,050,114 | ||||||
Murphy USA Inc. (a) | 53,094 | 6,810,367 | ||||||
|
| |||||||
14,606,814 | ||||||||
|
| |||||||
Biotechnology - 1.0% |
| |||||||
Affimed N.V. (a)(b) | 150,638 | 510,663 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 21 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2020
Number of Shares | Fair Value $ | |||||||
Coherus Biosciences Inc. (a) | 20,875 | 382,847 | ||||||
Eagle Pharmaceuticals Inc. (a) | 7,041 | 299,102 | ||||||
Emergent BioSolutions Inc. (a) | 56,497 | 5,837,835 | ||||||
Heron Therapeutics Inc. (a) | 127,270 | 1,886,141 | ||||||
Ironwood Pharmaceuticals Inc. (a) | 42,651 | 383,646 | ||||||
Vanda Pharmaceuticals Inc. (a) | 32,400 | 312,984 | ||||||
|
| |||||||
9,613,218 | ||||||||
|
| |||||||
Brewers - 0.1% |
| |||||||
The Boston Beer Company Inc., Class A (a) | 1,500 | 1,325,040 | ||||||
|
| |||||||
Building Products - 0.9% |
| |||||||
American Woodmark Corp. (a) | 15,575 | 1,223,260 | ||||||
Builders FirstSource Inc. (a) | 31,393 | 1,024,040 | ||||||
CSW Industrials Inc. | 23,000 | 1,776,750 | ||||||
Gibraltar Industries Inc. (a) | 43,728 | 2,848,442 | ||||||
UFP Industries Inc. | 40,473 | 2,287,129 | ||||||
|
| |||||||
9,159,621 | ||||||||
|
| |||||||
Commodity Chemicals - 0.6% |
| |||||||
Koppers Holdings Inc. (a) | 280,246 | 5,859,944 | ||||||
|
| |||||||
Communications Equipment - 0.5% |
| |||||||
Casa Systems Inc. (a) | 86,488 | 348,547 | ||||||
Extreme Networks Inc. (a) | 361,305 | 1,452,446 | ||||||
Infinera Corp. (a) | 100,240 | 617,478 | ||||||
Lumentum Holdings Inc. (a) | 19,648 | 1,476,154 | ||||||
NETGEAR Inc. (a) | 14,433 | 444,825 | ||||||
Plantronics Inc. | 37,340 | 442,106 | ||||||
|
| |||||||
4,781,556 | ||||||||
|
| |||||||
Computer & Electronics Retail - 0.1% |
| |||||||
Rent-A-Center Inc. | 19,698 | 588,773 | ||||||
|
| |||||||
Construction & Engineering - 1.9% |
| |||||||
Aegion Corp. (a)(b) | 229,146 | 3,237,833 | ||||||
Comfort Systems USA Inc. | 9,827 | 506,189 | ||||||
Dycom Industries Inc. (a) | 212,020 | 11,198,896 | ||||||
EMCOR Group Inc. | 9,352 | 633,224 | ||||||
Great Lakes Dredge & Dock Corp. (a) | 76,566 | 728,143 | ||||||
MasTec Inc. (a) | 12,468 | 526,150 | ||||||
Valmont Industries Inc. | 13,990 | 1,737,278 | ||||||
|
| |||||||
18,567,713 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Construction Machinery & Heavy Trucks - 1.6% |
| |||||||
Alamo Group Inc. | 19,159 | 2,069,747 | ||||||
Astec Industries Inc. | 28,394 | 1,540,374 | ||||||
The Greenbrier Companies Inc. | 60,406 | 1,775,936 | ||||||
The Manitowoc Company Inc. (a) | 128,565 | 1,081,232 | ||||||
Trinity Industries Inc. | 378,120 | 7,373,340 | ||||||
Wabash National Corp. | 111,956 | 1,338,994 | ||||||
|
| |||||||
15,179,623 | ||||||||
|
| |||||||
Construction Materials - 0.1% |
| |||||||
Eagle Materials Inc. | 14,335 | 1,237,397 | ||||||
|
| |||||||
Consumer Electronics - 0.1% |
| |||||||
Turtle Beach Corp. (a) | 33,624 | 611,957 | ||||||
Universal Electronics Inc. (a) | 9,344 | 352,642 | ||||||
|
| |||||||
964,599 | ||||||||
|
| |||||||
Consumer Finance - 0.0%* |
| |||||||
Curo Group Holdings Corp. | 35,714 | 251,784 | ||||||
|
| |||||||
Data Processing & Outsourced Services - 1.7% |
| |||||||
Broadridge Financial Solutions Inc. | 54,314 | 7,169,448 | ||||||
Cass Information Systems Inc. | 7,064 | 284,255 | ||||||
CSG Systems International Inc. | 71,668 | 2,934,805 | ||||||
EVERTEC Inc. | 28,644 | 994,233 | ||||||
MAXIMUS Inc. | 10,267 | 702,366 | ||||||
NIC Inc. | 201,262 | 3,964,861 | ||||||
|
| |||||||
16,049,968 | ||||||||
|
| |||||||
Distillers & Vintners - 0.3% |
| |||||||
MGP Ingredients Inc. | 76,338 | 3,033,672 | ||||||
|
| |||||||
Distributors - 0.5% |
| |||||||
LKQ Corp. (a) | 162,020 | 4,492,815 | ||||||
|
| |||||||
Diversified Metals & Mining - 0.4% |
| |||||||
Compass Minerals International Inc. | 51,179 | 3,037,474 | ||||||
Materion Corp. | 12,405 | 645,432 | ||||||
|
| |||||||
3,682,906 | ||||||||
|
| |||||||
Diversified REITs - 0.2% |
| |||||||
American Assets Trust Inc. | 43,545 | 1,048,999 | ||||||
Essential Properties Realty Trust Inc. | 48,139 | 881,907 | ||||||
|
| |||||||
1,930,906 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
22 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2020
Number of Shares | Fair Value $ | |||||||
Diversified Support Services - 1.7% |
| |||||||
Healthcare Services Group Inc. | 136,268 | 2,933,850 | ||||||
IAA Inc. (a) | 47,898 | 2,494,049 | ||||||
Matthews International Corp., Class A | 73,619 | 1,646,121 | ||||||
Ritchie Bros Auctioneers Inc. | 146,213 | 8,663,120 | ||||||
UniFirst Corp. | 5,823 | 1,102,702 | ||||||
|
| |||||||
16,839,842 | ||||||||
|
| |||||||
Education Services - 0.2% |
| |||||||
American Public Education Inc. (a) | 13,539 | 381,664 | ||||||
K12 Inc. (a) | 63,871 | 1,682,362 | ||||||
Perdoceo Education Corp. (a) | 23,548 | 288,228 | ||||||
|
| |||||||
2,352,254 | ||||||||
|
| |||||||
Electric Utilities - 0.8% |
| |||||||
ALLETE Inc. | 18,642 | 964,537 | ||||||
IDACORP Inc. | 88,035 | 7,033,997 | ||||||
|
| |||||||
7,998,534 | ||||||||
|
| |||||||
Electrical Components & Equipment - 0.6% |
| |||||||
Acuity Brands Inc. (b) | 7,478 | 765,374 | ||||||
Atkore International Group Inc. (a) | 23,140 | 525,972 | ||||||
EnerSys | 6,719 | 450,979 | ||||||
Generac Holdings Inc. (a) | 13,500 | 2,614,140 | ||||||
Regal Beloit Corp. | 19,952 | 1,872,894 | ||||||
|
| |||||||
6,229,359 | ||||||||
|
| |||||||
Electronic Components - 1.5% |
| |||||||
Belden Inc. | 233,639 | 7,270,846 | ||||||
II-VI Inc. (a) | 17,934 | 727,403 | ||||||
Littelfuse Inc. | 31,479 | 5,582,486 | ||||||
Rogers Corp. (a) | 8,752 | 858,221 | ||||||
|
| |||||||
14,438,956 | ||||||||
|
| |||||||
Electronic Equipment & Instruments - 0.3% |
| |||||||
National Instruments Corp. | 88,522 | 3,160,236 | ||||||
OSI Systems Inc. (a) | 2,435 | 188,980 | ||||||
|
| |||||||
3,349,216 | ||||||||
|
| |||||||
Electronic Manufacturing Services - 0.5% |
| |||||||
Fabrinet (a) | 11,732 | 739,468 | ||||||
Methode Electronics Inc. | 44,176 | 1,259,016 | ||||||
Plexus Corp. (a) | 29,049 | 2,051,731 | ||||||
Sanmina Corp. (a) | 23,725 | 641,761 | ||||||
|
| |||||||
4,691,976 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Environmental & Facilities Services - 0.7% |
| |||||||
Clean Harbors Inc. (a) | 122,060 | 6,839,022 | ||||||
|
| |||||||
Food Distributors - 0.4% |
| |||||||
Performance Food Group Co. (a) | 100,370 | 3,474,809 | ||||||
|
| |||||||
Food Retail - 0.2% |
| |||||||
Casey’s General Stores Inc. | 4,354 | 773,488 | ||||||
Sprouts Farmers Market Inc. (a) | 32,709 | 684,599 | ||||||
|
| |||||||
1,458,087 | ||||||||
|
| |||||||
Footwear - 0.7% |
| |||||||
Deckers Outdoor Corp. (a) | 10,001 | 2,200,320 | ||||||
Wolverine World Wide Inc. | 163,500 | 4,224,840 | ||||||
|
| |||||||
6,425,160 | ||||||||
|
| |||||||
Forest Products - 0.0%* |
| |||||||
Boise Cascade Co. | 11,233 | 448,421 | ||||||
|
| |||||||
Gas Utilities - 0.1% |
| |||||||
Spire Inc. | 24,741 | 1,316,221 | ||||||
|
| |||||||
Health Care REITs - 0.4% |
| |||||||
LTC Properties Inc. | 10,510 | 366,379 | ||||||
National Health Investors Inc. | 26,483 | 1,596,130 | ||||||
Physicians Realty Trust | 94,106 | 1,685,438 | ||||||
|
| |||||||
3,647,947 | ||||||||
|
| |||||||
Healthcare Distributors - 0.4% |
| |||||||
Covetrus Inc. (a) | 162,790 | 3,972,076 | ||||||
|
| |||||||
Healthcare Equipment - 4.8% |
| |||||||
AtriCure Inc. (a) | 100,000 | 3,990,000 | ||||||
Cantel Medical Corp. | 91,500 | 4,020,510 | ||||||
Cardiovascular Systems Inc. (a) | 141,500 | 5,568,025 | ||||||
CONMED Corp. | 74,760 | 5,881,369 | ||||||
Envista Holdings Corp. | 36,700 | 905,756 | ||||||
FONAR Corp. (a) | 12,630 | 263,715 | ||||||
Globus Medical Inc., Class A (a) | 50,000 | 2,476,000 | ||||||
Hill-Rom Holdings Inc. | 72,578 | 6,060,989 | ||||||
Integra LifeSciences Holdings Corp. (a) | 131,500 | 6,209,430 | ||||||
IntriCon Corp. (a) | 72,716 | 885,681 | ||||||
LeMaitre Vascular Inc. | 30,427 | 989,790 | ||||||
LivaNova PLC (a) | 12,543 | 567,069 | ||||||
Masimo Corp. (a) | 9,500 | 2,242,570 | ||||||
Penumbra Inc. (a) | 19,000 | 3,693,220 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 23 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2020
Number of Shares | Fair Value $ | |||||||
Surmodics Inc. (a) | 8,477 | 329,840 | ||||||
Tactile Systems Technology Inc. (a) | 59,500 | 2,177,105 | ||||||
Vapotherm Inc. (a) | 23,500 | 681,500 | ||||||
|
| |||||||
46,942,569 | ||||||||
|
| |||||||
Healthcare Facilities - 0.7% |
| |||||||
Acadia Healthcare Company Inc. (a)(b) | 135,477 | 3,993,862 | ||||||
Hanger Inc. (a) | 78,829 | 1,247,075 | ||||||
Select Medical Holdings Corp. (a) | 38,898 | 809,856 | ||||||
The Ensign Group Inc. | 13,608 | 776,473 | ||||||
|
| |||||||
6,827,266 | ||||||||
|
| |||||||
Healthcare Services - 1.2% |
| |||||||
Addus HomeCare Corp. (a)(b) | 9,097 | 859,758 | ||||||
Amedisys Inc. (a) | 4,854 | 1,147,631 | ||||||
AMN Healthcare Services Inc. (a) | 41,564 | 2,429,831 | ||||||
BioTelemetry Inc. (a) | 88,482 | 4,033,010 | ||||||
LHC Group Inc. (a) | 3,647 | 775,206 | ||||||
MEDNAX Inc. (a) | 124,453 | 2,026,095 | ||||||
Tivity Health Inc. (a) | 27,872 | 390,765 | ||||||
|
| |||||||
11,662,296 | ||||||||
|
| |||||||
Healthcare Supplies - 0.7% |
| |||||||
Avanos Medical Inc. (a) | 162,000 | 5,381,640 | ||||||
Meridian Bioscience Inc. (a) | 25,066 | 425,621 | ||||||
Quidel Corp. (a) | 6,008 | 1,318,035 | ||||||
|
| |||||||
7,125,296 | ||||||||
|
| |||||||
Healthcare Technology - 1.8% |
| |||||||
Computer Programs and Systems Inc. | 20,460 | 564,901 | ||||||
HMS Holdings Corp. (a) | 154,750 | 3,706,262 | ||||||
Inspire Medical Systems Inc. (a) | 42,575 | 5,494,304 | ||||||
Livongo Health Inc. (a) | 13,335 | 1,867,567 | ||||||
NextGen Healthcare Inc. (a) | 104,317 | 1,328,998 | ||||||
Omnicell Inc. (a) | 49,756 | 3,714,783 | ||||||
Simulations Plus Inc. | 8,275 | 623,604 | ||||||
|
| |||||||
17,300,419 | ||||||||
|
| |||||||
Home Building - 1.3% |
| |||||||
Cavco Industries Inc. (a) | 9,097 | 1,640,280 | ||||||
Century Communities Inc. (a) | 12,801 | 541,866 | ||||||
Green Brick Partners Inc. (a) | 27,439 | 441,768 |
Number of Shares | Fair Value $ | |||||||
Installed Building Products Inc. (a) | 6,366 | 647,740 | ||||||
LGI Homes Inc. (a) | 22,264 | 2,586,409 | ||||||
M/I Homes Inc. (a) | 9,236 | 425,318 | ||||||
Meritage Homes Corp. (a) | 7,681 | 847,906 | ||||||
Skyline Champion Corp. (a) | 26,499 | 709,378 | ||||||
TopBuild Corp. (a) | 23,264 | 3,970,932 | ||||||
TRI Pointe Group Inc. (a) | 29,514 | 535,384 | ||||||
|
| |||||||
12,346,981 | ||||||||
|
| |||||||
Home Furnishing Retail - 0.4% |
| |||||||
Aaron’s Inc. (b) | 69,522 | 3,938,421 | ||||||
|
| |||||||
Home Furnishings - 0.3% |
| |||||||
La-Z-Boy Inc. | 61,519 | 1,945,846 | ||||||
Purple Innovation Inc. (a) | 22,411 | 557,137 | ||||||
|
| |||||||
2,502,983 | ||||||||
|
| |||||||
Home Improvement Retail - 0.0%* |
| |||||||
Lumber Liquidators Holdings Inc. (a) | 17,746 | 391,299 | ||||||
|
| |||||||
Hotel & Resort REITs - 0.2% |
| |||||||
RLJ Lodging Trust | 225,407 | 1,952,025 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines - 1.1% |
| |||||||
Extended Stay America Inc. | 834,105 | 9,967,555 | ||||||
Wyndham Hotels & Resorts Inc. | 8,442 | 426,321 | ||||||
|
| |||||||
10,393,876 | ||||||||
|
| |||||||
Household Appliances - 0.1% |
| |||||||
Helen of Troy Ltd. (a) | 6,134 | 1,187,052 | ||||||
|
| |||||||
Household Products - 0.1% |
| |||||||
Central Garden & Pet Co. (a) | 10,554 | 421,421 | ||||||
Central Garden & Pet Co., Class A (a) | 11,920 | 430,789 | ||||||
|
| |||||||
852,210 | ||||||||
|
| |||||||
Human Resource & Employment Services - 0.2% |
| |||||||
ASGN Inc. (a) | 12,445 | 791,004 | ||||||
Barrett Business Services Inc. | 8,117 | 425,656 | ||||||
Heidrick & Struggles International Inc. | 18,099 | 355,645 | ||||||
Kforce Inc. | 25,423 | 817,858 | ||||||
|
| |||||||
2,390,163 | ||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
24 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2020
Number of Shares | Fair Value $ | |||||||
Hypermarkets & Super Centers - 0.1% |
| |||||||
BJ’s Wholesale Club Holdings Inc. (a) | 27,099 | 1,125,963 | ||||||
|
| |||||||
Independent Power Producers & Energy Traders - 0.0%* |
| |||||||
Atlantic Power Corp. (a) | 199,074 | 390,185 | ||||||
|
| |||||||
Industrial Machinery - 7.0% |
| |||||||
Albany International Corp., Class A | 9,000 | 445,590 | ||||||
Altra Industrial Motion Corp. | 239,742 | 8,863,262 | ||||||
Barnes Group Inc. | 205,458 | 7,343,069 | ||||||
Crane Co. | 144,115 | 7,224,485 | ||||||
Enerpac Tool Group Corp. | 302,610 | 5,692,094 | ||||||
Evoqua Water Technologies Corp. (a) | 179,765 | 3,814,613 | ||||||
John Bean Technologies Corp. | 74,500 | 6,845,805 | ||||||
L B Foster Co., Class A (a) | 46,691 | 626,593 | ||||||
Lydall Inc. (a) | 38,042 | 629,215 | ||||||
Mueller Industries Inc. | 135,989 | 3,679,862 | ||||||
RBC Bearings Inc. (a) | 6,690 | 810,895 | ||||||
Standex International Corp. | 30,200 | 1,787,840 | ||||||
The Timken Co. | 171,653 | 9,307,026 | ||||||
TriMas Corp. (a) | 148,500 | 3,385,800 | ||||||
Watts Water Technologies Inc., Class A | 37,288 | 3,734,393 | ||||||
Welbilt Inc. (a) | 373,000 | 2,297,680 | ||||||
Woodward Inc. | 23,949 | 1,919,752 | ||||||
|
| |||||||
68,407,974 | ||||||||
|
| |||||||
Industrial REITs - 0.6% |
| |||||||
EastGroup Properties Inc. | 39,925 | 5,163,500 | ||||||
Rexford Industrial Realty Inc. | 22,570 | 1,032,803 | ||||||
|
| |||||||
6,196,303 | ||||||||
|
| |||||||
Interactive Media & Services - 0.0%* |
| |||||||
Cargurus Inc. (a) | 17,300 | 374,199 | ||||||
|
| |||||||
Internet & Direct Marketing Retail - 0.3% |
| |||||||
1-800-Flowers.com Inc., Class A (a) | 35,378 | 882,327 | ||||||
Etsy Inc. (a) | 5,731 | 697,062 | ||||||
Revolve Group Inc. (a) | 82,044 | 1,347,983 | ||||||
|
| |||||||
2,927,372 | ||||||||
|
| |||||||
Internet Services & Infrastructure - 0.1% |
| |||||||
Brightcove Inc. (a) | 40,957 | 419,400 | ||||||
Endurance International Group Holdings Inc. (a) | 78,112 | 448,363 | ||||||
|
| |||||||
867,763 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Investment Banking & Brokerage - 1.1% |
| |||||||
Houlihan Lokey Inc. | 19,808 | 1,169,662 | ||||||
Piper Sandler Cos. | 28,394 | 2,072,762 | ||||||
PJT Partners Inc., Class A | 7,137 | 432,574 | ||||||
Raymond James Financial Inc. | 51,069 | 3,715,780 | ||||||
Stifel Financial Corp. | 44,727 | 2,261,397 | ||||||
Stonex Group Inc. (a) | 7,672 | 392,500 | ||||||
Virtu Financial Inc., Class A | 14,019 | 322,577 | ||||||
|
| |||||||
10,367,252 | ||||||||
|
| |||||||
IT Consulting & Other Services - 0.4% |
| |||||||
Perficient Inc. (a) | 18,608 | 795,306 | ||||||
Perspecta Inc. | 17,101 | 332,614 | ||||||
Science Applications International Corp. | 6,314 | 495,144 | ||||||
Unisys Corp. (a) | 172,933 | 1,845,195 | ||||||
|
| |||||||
3,468,259 | ||||||||
|
| |||||||
Leisure Products - 1.0% |
| |||||||
Malibu Boats Inc., Class A (a) | 15,264 | 756,484 | ||||||
MasterCraft Boat Holdings Inc. (a) | 35,417 | 619,443 | ||||||
Polaris Inc. | 83,300 | 7,858,522 | ||||||
|
| |||||||
9,234,449 | ||||||||
|
| |||||||
Life & Health Insurance - 0.4% |
| |||||||
Trupanion Inc. (a) | 50,153 | 3,957,072 | ||||||
|
| |||||||
Life Sciences Tools & Services - 3.1% |
| |||||||
Bruker Corp. | 101,838 | 4,048,060 | ||||||
ICON PLC (a) | 42,498 | 8,120,943 | ||||||
Luminex Corp. | 11,294 | 296,468 | ||||||
Medpace Holdings Inc. (a) | 11,018 | 1,231,262 | ||||||
PRA Health Sciences Inc. (a) | 8,802 | 892,875 | ||||||
Repligen Corp. (a) | 58,169 | 8,582,254 | ||||||
Syneos Health Inc. (a) | 134,328 | 7,140,876 | ||||||
|
| |||||||
30,312,738 | ||||||||
|
| |||||||
Marine - 0.1% |
| |||||||
Kirby Corp. (a) | 28,050 | 1,014,569 | ||||||
|
| |||||||
Metal & Glass Containers - 0.0%* |
| |||||||
Silgan Holdings Inc. | 8,098 | 297,763 | ||||||
|
| |||||||
Multi-Line Insurance - 0.3% |
| |||||||
Horace Mann Educators Corp. | 85,841 | 2,867,089 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 25 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2020
Number of Shares | Fair Value $ | |||||||
Multi-Utilities - 0.1% |
| |||||||
Black Hills Corp. | 20,020 | 1,070,870 | ||||||
|
| |||||||
Office REITs - 0.9% |
| |||||||
Corporate Office Properties Trust | 62,818 | 1,490,043 | ||||||
Cousins Properties Inc. | 188,329 | 5,384,326 | ||||||
Easterly Government Properties Inc. | 86,100 | 1,929,501 | ||||||
|
| |||||||
8,803,870 | ||||||||
|
| |||||||
Office Services & Supplies - 1.2% |
| |||||||
Herman Miller Inc. | 21,634 | 652,481 | ||||||
HNI Corp. | 43,418 | 1,362,457 | ||||||
MSA Safety Inc. | 67,665 | 9,078,613 | ||||||
Steelcase Inc., Class A | 22,526 | 227,738 | ||||||
|
| |||||||
11,321,289 | ||||||||
|
| |||||||
Oil & Gas Drilling - 0.1% |
| |||||||
Helmerich & Payne Inc. | 93,214 | 1,365,585 | ||||||
|
| |||||||
Oil & Gas Equipment & Services - 0.1% |
| |||||||
Championx Corp. (a) | 36,285 | 289,917 | ||||||
Oil States International Inc. (a) | 232,439 | 634,559 | ||||||
|
| |||||||
924,476 | ||||||||
|
| |||||||
Oil & Gas Exploration & Production - 0.6% |
| |||||||
Cimarex Energy Co. | 53,721 | 1,307,032 | ||||||
Ovintiv Inc. | 140,406 | 1,145,713 | ||||||
Parsley Energy Inc., Class A | 75,613 | 707,738 | ||||||
PDC Energy Inc. (a) | 131,465 | 1,629,509 | ||||||
Southwestern Energy Co. (a) | 389,076 | 914,328 | ||||||
|
| |||||||
5,704,320 | ||||||||
|
| |||||||
Packaged Foods & Meats - 4.3% |
| |||||||
B&G Foods Inc. | 122,000 | 3,387,940 | ||||||
Freshpet Inc. (a) | 30,500 | 3,405,325 | ||||||
Hostess Brands Inc. (a) | 464,500 | 5,727,285 | ||||||
J&J Snack Foods Corp. | 17,045 | 2,222,498 | ||||||
John B Sanfilippo & Son Inc. | 15,078 | 1,136,580 | ||||||
Lancaster Colony Corp. | 45,000 | 8,046,000 | ||||||
Sanderson Farms Inc. | 73,118 | 8,625,730 | ||||||
The Simply Good Foods Co. (a) | 214,000 | 4,718,700 | ||||||
TreeHouse Foods Inc. (a) | 103,000 | 4,174,590 | ||||||
Utz Brands Inc. | 36,500 | 653,350 | ||||||
|
| |||||||
42,097,998 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Paper Products - 0.1% |
| |||||||
Neenah Inc. | 23,845 | 893,472 | ||||||
|
| |||||||
Personal Products - 0.5% |
| |||||||
elf Beauty Inc. (a) | 172,500 | 3,168,825 | ||||||
Lifevantage Corp. (a) | 26,601 | 321,074 | ||||||
Medifast Inc. | 5,330 | 876,518 | ||||||
Nu Skin Enterprises Inc., Class A | 8,668 | 434,180 | ||||||
USANA Health Sciences Inc. (a) | 4,690 | 345,419 | ||||||
|
| |||||||
5,146,016 | ||||||||
|
| |||||||
Pharmaceuticals - 1.4% |
| |||||||
Amphastar Pharmaceuticals Inc. (a) | 21,031 | 394,331 | ||||||
ANI Pharmaceuticals Inc. (a) | 15,041 | 424,307 | ||||||
Catalent Inc. (a) | 48,500 | 4,154,510 | ||||||
Collegium Pharmaceutical Inc. (a) | 35,505 | 739,214 | ||||||
Corcept Therapeutics Inc. (a) | 26,927 | 468,665 | ||||||
Innoviva Inc. (a) | 26,931 | 281,429 | ||||||
Phibro Animal Health Corp., Class A | 13,725 | 238,815 | ||||||
Prestige Consumer Healthcare Inc. (a) | 188,589 | 6,868,411 | ||||||
Supernus Pharmaceuticals Inc. (a) | 20,450 | 426,178 | ||||||
|
| |||||||
13,995,860 | ||||||||
|
| |||||||
Property & Casualty Insurance - 2.1% |
| |||||||
AMERISAFE Inc. | 49,355 | 2,831,003 | ||||||
Argo Group International Holdings Ltd. | 121,528 | 4,184,209 | ||||||
James River Group Holdings Ltd. | 61,000 | 2,716,330 | ||||||
Kemper Corp. | 6,172 | 412,475 | ||||||
Palomar Holdings Inc. (a) | 26,500 | 2,762,360 | ||||||
RLI Corp. | 42,496 | 3,558,190 | ||||||
Selective Insurance Group Inc. | 76,175 | 3,922,250 | ||||||
|
| |||||||
20,386,817 | ||||||||
|
| |||||||
Publishing - 0.7% |
| |||||||
John Wiley & Sons Inc., Class A | 219,180 | 6,950,198 | ||||||
|
| |||||||
Regional Banks - 6.7% |
| |||||||
1st Source Corp. (b) | 47,036 | 1,450,590 |
See Notes to Schedules of Investments and Notes to Financial Statements.
26 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2020
Number of Shares | Fair Value $ | |||||||
Atlantic Union Bankshares Corp. | 48,690 | 1,040,505 | ||||||
Bank OZK | 66,945 | 1,427,267 | ||||||
BankUnited Inc. | 49,862 | 1,092,476 | ||||||
Bryn Mawr Bank Corp. | 46,000 | 1,144,020 | ||||||
Cadence BanCorp | 175,190 | 1,504,882 | ||||||
Community Bank System Inc. | 48,500 | 2,641,310 | ||||||
Cullen/Frost Bankers Inc. | 35,529 | 2,272,080 | ||||||
CVB Financial Corp. | 120,500 | 2,003,915 | ||||||
Enterprise Financial Services Corp. | 51,550 | 1,405,769 | ||||||
Equity Bancshares Inc., Class A (a) | 53,376 | 827,328 | ||||||
FB Financial Corp. | 27,732 | 696,628 | ||||||
First Horizon National Corp. | 119,698 | 1,128,752 | ||||||
First Interstate BancSystem Inc., Class A | 36,781 | 1,171,475 | ||||||
Fulton Financial Corp. | 240,458 | 2,243,473 | ||||||
German American Bancorp Inc. | 57,500 | 1,560,550 | ||||||
Glacier Bancorp Inc. | 21,089 | 675,902 | ||||||
Home BancShares Inc. | 73,232 | 1,110,197 | ||||||
Independent Bank Corp. | 101,667 | 5,325,318 | ||||||
Investors Bancorp Inc. | 77,256 | 560,879 | ||||||
Lakeland Financial Corp. | 18,263 | 752,436 | ||||||
National Bank Holdings Corp., Class A | 39,317 | 1,032,071 | ||||||
Origin Bancorp Inc. | 57,374 | 1,225,509 | ||||||
PacWest Bancorp | 74,741 | 1,276,576 | ||||||
Pinnacle Financial Partners Inc. | 21,640 | 770,168 | ||||||
Prosperity Bancshares Inc. | 128,151 | 6,642,066 | ||||||
Renasant Corp. | 167,831 | 3,813,120 | ||||||
Sandy Spring Bancorp Inc. | 50,068 | 1,155,569 | ||||||
Stock Yards Bancorp Inc. | 37,500 | 1,276,500 | ||||||
UMB Financial Corp. | 78,500 | 3,847,285 | ||||||
United Community Banks Inc. | 60,234 | 1,019,762 | ||||||
Washington Trust Bancorp Inc. | 34,000 | 1,042,440 | ||||||
Westamerica BanCorp. | 72,876 | 3,960,811 | ||||||
Western Alliance Bancorp | 118,836 | 3,757,594 | ||||||
Wintrust Financial Corp. | 62,476 | 2,502,164 | ||||||
|
| |||||||
65,357,387 | ||||||||
|
| |||||||
Research & Consulting Services - 0.7% |
| |||||||
CoreLogic Inc. | 52,938 | 3,582,314 | ||||||
Exponent Inc. | 5,055 | 364,112 | ||||||
FTI Consulting Inc. (a) | 2,482 | 263,017 | ||||||
Resources Connection Inc. | 228,014 | 2,633,562 | ||||||
|
| |||||||
6,843,005 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Residential REITs - 0.3% |
| |||||||
NexPoint Residential Trust Inc. | 57,821 | 2,564,361 | ||||||
|
| |||||||
Restaurants - 0.8% |
| |||||||
Cracker Barrel Old Country Store Inc. | 12,834 | 1,471,546 | ||||||
Shake Shack Inc., Class A (a) | 18,000 | 1,160,640 | ||||||
Texas Roadhouse Inc. | 52,954 | 3,219,074 | ||||||
The Cheesecake Factory Inc. | 54,772 | 1,519,375 | ||||||
|
| |||||||
7,370,635 | ||||||||
|
| |||||||
Retail REITs - 0.1% |
| |||||||
Alexander’s Inc. | 949 | 232,714 | ||||||
Retail Opportunity Investments Corp. | 85,706 | 892,628 | ||||||
|
| |||||||
1,125,342 | ||||||||
|
| |||||||
Security & Alarm Services - 1.2% |
| |||||||
The Brink’s Co. | 272,829 | 11,210,544 | ||||||
|
| |||||||
Semiconductor Equipment - 0.8% |
| |||||||
Amkor Technology Inc. (a) | 35,419 | 396,693 | ||||||
Axcelis Technologies Inc. (a) | 15,622 | 343,684 | ||||||
Brooks Automation Inc. | 57,330 | 2,652,086 | ||||||
Cohu Inc. | 24,098 | 414,004 | ||||||
FormFactor Inc. (a) | 15,554 | 387,761 | ||||||
Ichor Holdings Ltd. (a) | 54,066 | 1,166,203 | ||||||
Onto Innovation Inc. (a) | 77,703 | 2,313,995 | ||||||
|
| |||||||
7,674,426 | ||||||||
|
| |||||||
Semiconductors - 0.7% |
| |||||||
Cirrus Logic Inc. (a) | 6,485 | 437,413 | ||||||
Diodes Inc. (a) | 12,853 | 725,552 | ||||||
Semtech Corp. (a) | 101,929 | 5,398,160 | ||||||
Synaptics Inc. (a) | 5,551 | 446,411 | ||||||
|
| |||||||
7,007,536 | ||||||||
|
| |||||||
Soft Drinks - 0.4% |
| |||||||
Coca-Cola Consolidated Inc. | 1,428 | 343,691 | ||||||
Primo Water Corp. | 252,637 | 3,587,445 | ||||||
|
| |||||||
3,931,136 | ||||||||
|
| |||||||
Specialized Consumer Services - 1.1% |
| |||||||
frontdoor Inc. (a) | 77,244 | 3,005,564 | ||||||
OneSpaWorld Holdings Ltd. | 181,461 | 1,179,497 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 27 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2020
Number of Shares | Fair Value $ | |||||||
Terminix Global Holdings Inc. (a) | 158,548 | 6,322,894 | ||||||
|
| |||||||
10,507,955 | ||||||||
|
| |||||||
Specialized REITs - 0.7% |
| |||||||
CoreSite Realty Corp. | 24,691 | 2,935,266 | ||||||
National Storage Affiliates Trust | 37,031 | 1,211,284 | ||||||
PotlatchDeltic Corp. | 45,034 | 1,895,932 | ||||||
QTS Realty Trust Inc., Class A | 18,401 | 1,159,631 | ||||||
|
| |||||||
7,202,113 | ||||||||
|
| |||||||
Specialty Chemicals - 4.1% |
| |||||||
Avient Corp. | 177,731 | 4,702,762 | ||||||
Chase Corp. | 12,500 | 1,192,500 | ||||||
HB Fuller Co. | 64,762 | 2,964,804 | ||||||
Ingevity Corp. (a) | 196,229 | 9,701,562 | ||||||
Innospec Inc. | 36,500 | 2,311,180 | ||||||
Minerals Technologies Inc. | 18,435 | 942,029 | ||||||
Quaker Chemical Corp. | 25,122 | 4,514,675 | ||||||
Sensient Technologies Corp. | 101,500 | 5,860,610 | ||||||
Stepan Co. | 67,710 | 7,380,390 | ||||||
|
| |||||||
39,570,512 | ||||||||
|
| |||||||
Specialty Stores - 0.6% |
| |||||||
Dick’s Sporting Goods Inc. | 9,442 | 546,503 | ||||||
National Vision Holdings Inc. (a) | 81,000 | 3,097,440 | ||||||
Sally Beauty Holdings Inc. (a) | 232,000 | 2,016,080 | ||||||
|
| |||||||
5,660,023 | ||||||||
|
| |||||||
Steel - 0.5% |
| |||||||
Carpenter Technology Corp. | 32,012 | 581,338 | ||||||
Commercial Metals Co. | 123,677 | 2,471,066 | ||||||
Steel Dynamics Inc. | 67,298 | 1,926,742 | ||||||
|
| |||||||
4,979,146 | ||||||||
|
| |||||||
Systems Software - 1.5% |
| |||||||
A10 Networks Inc. (a) | 59,970 | 382,009 | ||||||
CommVault Systems Inc. (a) | 9,879 | 403,063 | ||||||
Progress Software Corp. | 21,030 | 771,380 | ||||||
Qualys Inc. (a) | 3,252 | 318,729 | ||||||
Sailpoint Technologies Holdings Inc. (a) | 176,000 | 6,964,320 | ||||||
Tenable Holdings Inc. (a) | 160,000 | 6,040,000 | ||||||
|
| |||||||
14,879,501 | ||||||||
|
|
Number of Shares | Fair Value $ | |||||||
Technology Distributors - 0.1% |
| |||||||
Insight Enterprises Inc. (a) | 13,415 | 759,021 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals - 0.7% |
| |||||||
Pure Storage Inc., Class A (a) | 444,500 | 6,840,855 | ||||||
|
| |||||||
Thrifts & Mortgage Finance - 1.0% |
| |||||||
Axos Financial Inc. (a) | 32,288 | 752,633 | ||||||
Flagstar Bancorp Inc. | 48,518 | 1,437,588 | ||||||
FS Bancorp Inc. | 8,657 | 354,937 | ||||||
HomeStreet Inc. | 57,649 | 1,485,038 | ||||||
Kearny Financial Corp. | 135,767 | 978,880 | ||||||
NMI Holdings Inc., Class A (a) | 32,024 | 570,027 | ||||||
PennyMac Financial Services Inc. | 10,599 | 616,014 | ||||||
Washington Federal Inc. | 32,980 | 687,963 | ||||||
WSFS Financial Corp. | 117,516 | 3,169,407 | ||||||
|
| |||||||
10,052,487 | ||||||||
|
| |||||||
Tires & Rubber - 0.2% |
| |||||||
Cooper Tire & Rubber Co. | 65,850 | 2,087,445 | ||||||
|
| |||||||
Trading Companies & Distributors - 0.7% |
| |||||||
Applied Industrial Technologies Inc. | 108,107 | 5,956,696 | ||||||
GMS Inc. (a) | 28,191 | 679,403 | ||||||
|
| |||||||
6,636,099 | ||||||||
|
| |||||||
Trucking - 0.9% |
| |||||||
ArcBest Corp. | 16,072 | 499,196 | ||||||
Marten Transport Ltd. | 99,689 | 1,626,924 | ||||||
Saia Inc. (a) | 42,875 | 5,408,253 | ||||||
Universal Logistics Holdings Inc. | 24,965 | 520,770 | ||||||
USA Truck Inc. (a) | 45,916 | 433,906 | ||||||
Werner Enterprises Inc. | 9,226 | 387,400 | ||||||
|
| |||||||
8,876,449 | ||||||||
|
| |||||||
Total Common Stock (Cost $791,031,936) | 930,904,005 | |||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
28 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2020
Number of Shares | Fair Value $ | |||||||
Short-Term Investments - 3.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.07% | 29,664,602 | 29,664,602 | ||||||
|
| |||||||
Total Investments (Cost $820,696,538) |
| 960,568,607 | ||||||
Liabilities in Excess of Other Assets, net - 1.5% |
| 14,346,546 | ||||||
|
| |||||||
NET ASSETS - 100.0% |
| 974,915,153 | ||||||
|
|
Other Information:
The Fund had the following long futures contracts open at September 30, 2020:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
E-mini Russell 2000 Index Futures | December 2020 | 255 | $ | 19,240,785 | $ | 19,181,100 | $ | (59,685 | ) | |||||||||||
|
|
During the period ended September 30, 2020, average notional value related to long futures contracts was $18,420,860.
Notes to Schedule of Investments — September 30, 2020
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 Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | At September 30, 2020, 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 Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
† | Percentages are based on net assets as of September 30, 2020. |
* | Less than 0.05%. |
Abbreviations:
REIT Real Estate Investment Trust
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional Small-Cap Equity Fund | 29 |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Schedule of Investments, continued — September 30, 2020
The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2020:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional Small-Cap Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 930,904,005 | $ | — | $ | — | $ | 930,904,005 | ||||||||||
Short-Term Investments | 29,664,602 | — | — | 29,664,602 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 960,568,607 | $ | — | $ | — | $ | 960,568,607 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts - Unrealized Depreciation | $ | (59,685 | ) | $ | — | $ | — | $ | (59,685 | ) | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/19 | Value At 9/30/19 | �� | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/20 | Value at 9/30/20 | Dividend Income | |||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 66,352,770 | $ | 66,352,770 | $ | 481,325,725 | $ | 518,013,893 | $ | — | $ | — | 29,664,602 | $ | 29,664,602 | $ | 587,291 |
See Notes to Schedules of Investments and Notes to Financial Statements.
30 | State Street Institutional Small-Cap Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Management Discussion of Fund Performance — September 30, 2020 (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 the 12-month period ended September 30, 2020 (the “Reporting Period”), the total return for the Fund’s Investment Class was 8.28% and for the Fund’s Service Class was 7.96%, and the Index was 0.49%. 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.
The primary drivers of Fund performance during the Reporting Period relative to the Index included the positive impact of investment technology stock selection and allocation and outperformance in industrials outside of aerospace; while the Fund’s exposure to aerospace detracted from performance. In IT, the Fund benefitted both from a substantial overweight position, as IT was the top performing sector in the Index, and outperformance within the sector. The Fund had a diverse range of outperforming stocks in the sector including semiconductor companies like ASML (Netherlands), TSMC (Taiwan), and Disco (Japan); electronic equipment producers like Murata (Japan), Keyence (Japan), and Hexagon (Sweden); and software company SAP (Germany). On industrials, Schneider Electric (Germany) and Daikin Industries (Japan) were among the leading contributors to relative returns during the Reporting Period. Both companies have benefitted from optimism on a recovery from the COVID-19 recession, most notably in China. However, the aerospace segment of industrials detracted as the Fund’s holdings in Safran (France) and Airbus (Netherlands) lagged. Both companies have been impacted by the COVID-19 related slowdown in air travel. The Fund has reduced its exposure to the space, exiting Airbus and reducing its position in Safran.
The Fund used futures in order to efficiently manage cash flows due to subscriptions and redemptions during the Reporting Period. The Fund’s use of futures had a negligible impact on Fund performance.
On an individual security level, the top positive contributors to the Fund’s performance on an absolute basis during the Reporting Period were ASML, Schneider Electric, and Daikin Industries. The top negative contributors to the Fund’s performance on an absolute basis during the Reporting Period were Airbus, Safran, and BNP Paribas.
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 | 31 |
Table of Contents
State Street Institutional International Equity Fund
Performance Summary — September 30, 2020 (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, 2020 (as a % of Fair Value) (a)(b)
Nestle S.A. | 4.38 | % | ||
Novartis AG | 3.60 | % | ||
Roche Holding AG | 3.35 | % | ||
Schneider Electric SE | 3.31 | % | ||
AstraZeneca PLC | 3.26 | % | ||
Air Liquide S.A. | 3.15 | % | ||
Hoya Corp. | 3.14 | % | ||
SAP SE | 3.06 | % | ||
ASML Holding N.V. | 3.03 | % | ||
AIA Group Ltd. | 2.98 | % |
Regional Allocation as of September 30, 2020
Portfolio Composition as a % of Fair Value of $93,356 (in thousands) as of September 30, 2020 (a)(b)
Average Annual Total Return for the periods ended September 30, 2020
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 | 8.28 | % | 6.56 | % | 4.80 | % | $ | 15,979 | ||||||||
MSCI EAFE Index | 0.49 | % | 5.26 | % | 4.62 | % | 15,706 |
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 | 7.96 | % | 6.30 | % | 4.54 | % | $ | 15,595 | ||||||||
MSCI EAFE Index | 0.49 | % | 5.26 | % | 4.62 | % | $ | 15,706 |
(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. |
32 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Performance Summary, continued — September 30, 2020 (Unaudited)
State Street Institutional International Equity Fund | 33 |
Table of Contents
State Street Institutional International Equity Fund
Understanding Your Fund’s Expenses (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended September 30, 2020.
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, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2020 | $ | 1,263.10 | $ | 1,022.30 | ||||
Expenses Paid During Period* | $ | 3.11 | $ | 2.78 |
* | 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, 2020-September 30, 2020), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Beginning Account Value April 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2020 | $ | 1,260.90 | $ | 1,021.00 | ||||
Expenses Paid During Period* | $ | 4.52 | $ | 4.04 |
* | 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, 2020-September 30, 2020), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
34 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments — September 30, 2020
Number of Shares | Fair $ | |||||||
Common Stock - 97.2%† |
| |||||||
Australia - 1.7% |
| |||||||
BHP Group PLC | 74,540 | 1,593,267 | ||||||
|
| |||||||
Brazil - 0.8% |
| |||||||
Itau Unibanco Holding S.A. ADR | 198,749 | 791,021 | ||||||
|
| |||||||
Canada - 0.9% |
| |||||||
Brookfield Asset Management Inc., Class A | 26,935 | 888,457 | ||||||
|
| |||||||
China - 2.1% |
| |||||||
Alibaba Group Holding Ltd. ADR (a) | 6,734 | 1,979,661 | ||||||
|
| |||||||
France - 16.3% |
| |||||||
Air Liquide S.A. | 18,562 | 2,942,760 | ||||||
AXA S.A. | 66,786 | 1,236,284 | ||||||
BNP Paribas S.A. (a) | 39,133 | 1,415,860 | ||||||
Dassault Systemes SE | 5,314 | 991,667 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 4,721 | 2,209,336 | ||||||
Safran S.A. (a) | 18,514 | 1,821,850 | ||||||
Schneider Electric SE | 24,876 | 3,092,588 | ||||||
Vivendi S.A. (b) | 63,211 | 1,765,714 | ||||||
|
| |||||||
15,476,059 | ||||||||
|
| |||||||
Germany - 6.7% |
| |||||||
Adidas AG (a) | 4,658 | 1,504,521 | ||||||
Fresenius SE & Company KGaA | 16,733 | 761,051 | ||||||
HeidelbergCement AG | 19,856 | 1,213,526 | ||||||
SAP SE | 18,353 | 2,858,383 | ||||||
|
| |||||||
6,337,481 | ||||||||
|
| |||||||
Hong Kong - 2.9% |
| |||||||
AIA Group Ltd. | 280,002 | 2,783,264 | ||||||
|
| |||||||
Ireland - 1.7% |
| |||||||
Kerry Group PLC, Class A | 12,673 | 1,623,506 | ||||||
|
| |||||||
Japan - 29.5% |
| |||||||
Daikin Industries Ltd. | 13,800 | 2,548,313 | ||||||
Disco Corp. | 7,100 | 1,734,913 | ||||||
FANUC Corp. | 6,349 | 1,217,720 | ||||||
Fast Retailing Company Ltd. | 3,380 | 2,122,755 | ||||||
Hoya Corp. | 25,954 | 2,928,825 | ||||||
Kao Corp. | 21,100 | 1,583,017 | ||||||
Keyence Corp. | 2,400 | 1,121,259 | ||||||
Komatsu Ltd. | 60,200 | 1,321,360 | ||||||
Mitsubishi UFJ Financial Group Inc. | 194,974 | 777,638 | ||||||
Mitsui Fudosan Company Ltd. | 23,725 | 412,600 |
Number of Shares | Fair $ | |||||||
Murata Manufacturing Company Ltd. | 35,637 | 2,315,946 | ||||||
Nidec Corp. | 8,458 | 792,685 | ||||||
Recruit Holdings Company Ltd. | 46,000 | 1,825,781 | ||||||
Secom Company Ltd. | 15,100 | 1,381,032 | ||||||
Shimadzu Corp. | 58,443 | 1,777,696 | ||||||
Shiseido Company Ltd. | 32,638 | 1,888,248 | ||||||
SoftBank Group Corp. | 10,802 | 667,957 | ||||||
Tokio Marine Holdings Inc. | 36,149 | 1,580,709 | ||||||
|
| |||||||
27,998,454 | ||||||||
|
| |||||||
Netherlands - 4.3% |
| |||||||
ASML Holding N.V. | 7,644 | 2,823,970 | ||||||
ING Groep N.V. (a)(b) | 177,023 | 1,263,605 | ||||||
|
| |||||||
4,087,575 | ||||||||
|
| |||||||
Norway - 1.3% |
| |||||||
Equinor ASA | 83,460 | 1,178,756 | ||||||
|
| |||||||
Portugal - 1.1% |
| |||||||
Galp Energia SGPS S.A. | 107,853 | 1,000,560 | ||||||
|
| |||||||
Spain - 1.0% |
| |||||||
Industria de Diseno Textil S.A. | 34,054 | 942,244 | ||||||
|
| |||||||
Sweden - 3.1% |
| |||||||
Assa Abloy AB, Class B | 88,719 | 2,075,616 | ||||||
Hexagon AB, Class B (a) | 11,967 | 904,494 | ||||||
|
| |||||||
2,980,110 | ||||||||
|
| |||||||
Switzerland - 12.4% |
| |||||||
Givaudan S.A. | 280 | 1,212,012 | ||||||
Nestle S.A. | 34,297 | 4,091,972 | ||||||
Novartis AG | 38,545 | 3,355,021 | ||||||
Roche Holding AG | 9,113 | 3,129,387 | ||||||
|
| |||||||
11,788,392 | ||||||||
|
| |||||||
Taiwan - 1.4% |
| |||||||
Taiwan Semiconductor Manufacturing Company Ltd. | 87,548 | 1,317,078 | ||||||
|
| |||||||
United Kingdom - 10.0% |
| |||||||
Ashtead Group PLC (b) | 55,230 | 1,992,686 | ||||||
AstraZeneca PLC | 27,774 | 3,040,473 | ||||||
London Stock Exchange Group PLC | 17,590 | 2,021,701 | ||||||
Prudential PLC | 101,738 | 1,462,541 | ||||||
Vodafone Group PLC (b) | 699,266 | 928,587 | ||||||
|
| |||||||
9,445,988 | ||||||||
|
| |||||||
Total Common Stock (Cost $76,884,158) |
| 92,211,873 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional International Equity Fund | 35 |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments, continued — September 30, 2020
Number of Shares | Fair $ | |||||||
Short-Term Investments - 1.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.07% | 1,143,904 | 1,143,904 | ||||||
|
| |||||||
Total Investments (Cost $78,028,062) | 93,355,777 | |||||||
Liabilities in Excess of Other Assets, net - 1.6% |
| 1,516,939 | ||||||
|
| |||||||
NET ASSETS - 100.0% | 94,872,716 | |||||||
|
|
Other Information:
The Fund had the following long futures contracts open at September 30, 2020:
Description | Expiration date | Numberof Contracts | Notional Amount | Value | Unrealized Depreciation | |||||||||||||||
MSCI EAFE Mini Index Futures | December 2020 | 4 | $ | 379,352 | $ | 370,640 | $ | (8,712 | ) | |||||||||||
|
|
During the period ended September 30, 2020, average notional value related to long and short futures contracts was $608,039 and $44,714, respectively.
Notes to Schedule of Investments — September 30, 2020
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 Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | Non-income producing security. |
(b) | At September 30, 2020, 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 Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
† | Percentages are based on net assets as of September 30, 2020. |
Abbreviations:
ADR American Depositary Receipt
REIT Real Estate Investment Trust
See Notes to Schedules of Investments and Notes to Financial Statements.
36 | State Street Institutional International Equity Fund |
Table of Contents
State Street Institutional International Equity Fund
Schedule of Investments, continued — September 30, 2020
The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2020:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Institutional International Equity Fund | Investments in Securities | |||||||||||||||||
Common Stock | $ | 3,659,139 | $ | 88,552,734 | $ | — | $ | 92,211,873 | ||||||||||
Short-Term Investments | 1,143,904 | — | — | 1,143,904 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 4,803,043 | $ | 88,552,734 | $ | — | $ | 93,355,777 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Long Futures Contracts - Unrealized Depreciation | $ | (8,712 | ) | $ | — | $ | — | $ | (8,712 | ) | ||||||||
|
|
|
|
|
|
|
|
The Fund was invested in the following sectors at September 30, 2020 (unaudited):
Sector | Percentage (based on Fair Value) | |||
Pharmaceuticals | 10.20% | |||
Packaged Foods & Meats | 6.12% | |||
Building Products | 4.95% | |||
Semiconductor Equipment | 4.88% | |||
Diversified Banks | 4.55% | |||
Life & Health Insurance | 4.55% | |||
Electrical Components & Equipment | 4.16% | |||
Application Software | 4.12% | |||
Electronic Equipment & Instruments | 4.07% | |||
Apparel, Accessories & Luxury Goods | 3.98% | |||
Personal Products | 3.72% | |||
Apparel Retail | 3.28% | |||
Industrial Gases | 3.15% | |||
Healthcare Supplies | 3.14% | |||
Electronic Components | 2.48% | |||
Integrated Oil & Gas | 2.34% | |||
Financial Exchanges & Data | 2.17% | |||
Trading Companies & Distributors | 2.14% | |||
Internet & Direct Marketing Retail | 2.12% | |||
Human Resource & Employment Services | 1.96% | |||
Aerospace & Defense | 1.95% | |||
Movies & Entertainment | 1.89% |
Sector | Percentage (based on Fair Value) | |||
Wireless Telecommunication Services | 1.71% | |||
Diversified Metals & Mining | 1.71% | |||
Property & Casualty Insurance | 1.69% | |||
Security & Alarm Services | 1.48% | |||
Construction Machinery & Heavy Trucks | 1.42% | |||
Semiconductors | 1.41% | |||
Multi-Line Insurance | 1.32% | |||
Industrial Machinery | 1.30% | |||
Construction Materials | 1.30% | |||
Specialty Chemicals | 1.30% | |||
Asset Management & Custody Banks | 0.95% | |||
Healthcare Services | 0.82% | |||
Diversified Real Estate Activities | 0.44% | |||
|
| |||
98.77% | ||||
|
| |||
Short-Term Investments | ||||
Short-Term Investments | 1.23% | |||
|
| |||
1.23% | ||||
|
| |||
100.00% | ||||
|
|
Affiliate Table
Number of Shares Held at 9/30/19 | Value At 9/30/19 | Cost of Purchases | Proceeds from Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/20 | Value at 9/30/20 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 723,844 | $ | 723,844 | $ | 23,008,728 | $ | 22,588,668 | $ | — | $ | — | 1,143,904 | $ | 1,143,904 | $ | 14,347 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Institutional International Equity Fund | 37 |
Table of Contents
State Street Active Core Bond Fund
Management Discussion of Fund Performance — September 30, 2020 (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 the 12-month period ended September 30, 2020 (the “Reporting Period”), the total return for the Fund’s Investment Class was 6.92% and for the Fund’s Service Class was 6.63%, and the Index was 6.98%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
Duration, which had a negative impact, and asset allocation and security selection, which each had a positive impact, were the primary drivers of Fund performance during the Reporting Period relative to the Index. Our view in the fourth quarter of 2019 was that interest rates were on the rich side of fair value as we had expectations for above-trend growth in 2020 as a function of 1) the Phase One trade agreement between the U.S. and China, 2) pent-up private investment demand, and 3) an accommodative monetary policy stance. As such we established a short duration position relative to the Index during the Reporting Period. During the first quarter of 2020, the emergence of COVID-19 rapidly shifted expectations from above-trend growth to recession, leading to a decline in the ten-year government interest rate from 1.92% to 0.67%. The short duration position relative to the Index was covered in March of 2020, but the preceding decline in interest rates negatively impacted the Fund’s performance relative to the Index. Over the course of the Reporting Period, the ten-year government interest rate decreased from 1.66% to 0.69%.
Reflecting our view that the economic cycle would persist, but also that credit spreads had largely priced in this view, the Fund maintained a very modest over-weight allocation to credit sectors going into the first quarter of 2020. Credit spreads fluctuated significantly during the Reporting Period, especially during the first and second quarter of 2020 due to the emergence of COVID-19. As credit spreads widened during this period, the Fund significantly increased its over-weight allocation to credit sectors, particularly investment grade credit. Credit performance versus duration-equivalent treasuries was negative over the Reporting Period, with investment-grade credit and high-yield under-performing risk-free assets. The Fund’s asset allocation to investment grade credit, which included a substantial increase in its over-weight allocation at wider spreads, generated positive excess returns to the Index, while its over-weight allocation to high yield generated negative excess returns. Security selection in the investment-grade credit allocation generated positive excess returns as our bottom-up fundamental underwriting assisted our portfolio construction process to select higher value securities.
The Fund used treasury futures, interest rate swaps, options on treasury futures, 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, interest rate swaps, and index credit default swaps detracted from Fund performance relative to the Index, while its use of options on treasury futures 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.
38 | State Street Active Core Bond Fund |
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State Street Active Core Bond Fund
Performance Summary — September 30, 2020 (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, 2020 as a % of Fair Value (a)(b)
Moody’s / S&P / Rating* | Percentage of Fair Value | |||
Aaa / AAA | 15.59 | % | ||
Aa / AA | 45.72 | % | ||
A / A | 9.09 | % | ||
Baa / BBB | 26.89 | % | ||
Ba / BB and lower | 1.96 | % | ||
NR / Other | 0.75 | % | ||
|
| |||
100.00 | % | |||
|
|
Sector Allocation
Portfolio Composition as a % of Fair Value of $141,164 (in thousands) as of September 30, 2020 (a)(b)
Average Annual Total Return for the periods ended September 30, 2020
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 | 6.92 | % | 4.42 | % | 4.07 | % | $ | 14,902 | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.98 | % | 4.18 | % | 3.63 | % | 14,291 |
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 | 6.63 | % | 4.18 | % | 3.83 | % | $ | 14,565 | ||||||||
Bloomberg Barclays U.S. Aggregate Bond Index | 6.98 | % | 4.18 | % | 3.63 | % | $ | 14,291 |
(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 | 39 |
Table of Contents
State Street Active Core Bond Fund
Performance Summary, continued — September 30, 2020 (Unaudited)
40 | State Street Active Core Bond Fund |
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State Street Active Core Bond Fund
Understanding Your Fund’s Expenses (Unaudited)
As a shareholder of the Fund you incur ongoing costs. Ongoing costs include portfolio management fees, distribution and service fees (for Service Class shares) and trustees’ fees. The following example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and to compare these costs with the ongoing costs of investing in other mutual funds.
To illustrate these ongoing costs, we have provided an example and calculated the expenses paid by investors in each share class of the Fund during the period. The information in the following table is based on an investment of $1,000, which is invested at the beginning of the period and held for the entire six-month period ended September 30, 2020.
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, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2020 | $ | 1,054.70 | $ | 1,023.60 | ||||
Expenses Paid During Period* | $ | 1.49 | $ | 1.47 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.29%** for Investment Class shares and 0.55%** for Service Class shares (for the period April 1, 2020-September 30, 2020), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-half year period). |
** | May differ from expense ratio disclosed in the financial highlights, which is calculated based on the entire fiscal year’s data. |
Service Class | Actual Fund Return | Hypothetical 5% Return (2.5% for the period) | ||||||
Actual Fund Return | ||||||||
Beginning Account Value April 1, 2020 | $ | 1,000.00 | $ | 1,000.00 | ||||
Ending Account Value September 30, 2020 | $ | 1,053.40 | $ | 1,022.30 | ||||
Expenses Paid During Period* | $ | 2.82 | $ | 2.78 |
* | Expenses are equal to the Fund’s annualized expense ratio of 0.29%** for Investment Class shares and 0.55%** for Service Class shares (for the period April 1, 2020-September 30, 2020), multiplied by the average account value over the period, multiplied by 183/366 (to reflect the one-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 | 41 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments — September 30, 2020
Principal Amount ($) | Fair Value $ | |||||||
Bonds and Notes - 98.3%† |
| |||||||
U.S. Treasuries - 18.1% |
| |||||||
U.S. Treasury Bonds | ||||||||
1.25%, 05/15/50 (a) | 374,900 | 356,272 | ||||||
2.25%, 08/15/46 (a) | 803,600 | 950,885 | ||||||
3.00%, 08/15/48 (a) | 1,798,400 | 2,456,221 | ||||||
3.75%, 08/15/41 (a) | 450,400 | 662,159 | ||||||
U.S. Treasury Notes | ||||||||
0.13%, 07/15/23 (a) | 386,900 | 386,658 | ||||||
0.25%, 07/31/25 | 1,443,100 | 1,442,085 | ||||||
0.38%, 07/31/27 | 6,731,600 | 6,697,942 | ||||||
0.63%, 08/15/30 | 568,200 | 565,359 | ||||||
1.13%, 06/30/21 (a) | 523,000 | 526,902 | ||||||
1.38%, 10/31/20 - 01/31/22 (a) | 4,457,000 | 4,472,321 | ||||||
1.88%, 12/15/20 (a) | 4,621,500 | 4,638,289 | ||||||
2.50%, 01/31/24 (a) | 8,000 | 8,619 | ||||||
2.63%, 02/15/29 (a) | 934,300 | 1,091,963 | ||||||
|
| |||||||
24,255,675 | ||||||||
|
| |||||||
Agency Mortgage Backed - 24.4% |
| |||||||
Federal Home Loan Mortgage Corp. | ||||||||
3.00%, 03/01/43 - 04/01/43 (a) | 1,459,071 | 1,557,696 | ||||||
3.00%, 10/01/49 | 2,724,150 | 2,882,580 | ||||||
4.50%, 06/01/33 - 02/01/35 (a) | 8,227 | 9,206 | ||||||
5.00%, 07/01/35 (a) | 56,441 | 64,955 | ||||||
5.50%, 01/01/38 - 04/01/39 (a) | 134,797 | 156,865 | ||||||
6.00%, 02/01/29 - 11/01/37 (a) | 171,227 | 199,358 | ||||||
6.50%, 08/01/29 - 10/01/33 (a) | 790 | 930 | ||||||
7.00%, 06/01/29 - 08/01/36 (a) | 42,755 | 51,615 | ||||||
7.50%, 01/01/30 - 09/01/33 (a) | 1,732 | 1,964 | ||||||
8.00%, 11/01/30 (a) | 9,461 | 10,928 | ||||||
8.50%, 04/01/30 (a) | 10,473 | 13,522 | ||||||
Federal National Mortgage Assoc. | ||||||||
2.50%, 07/01/50 (a) | 1,443,729 | 1,544,633 | ||||||
3.00%, 03/01/20 | 1,007,851 | 1,057,447 | ||||||
3.50%, 08/01/45 - 01/01/48 (a) | 1,723,163 | 1,824,773 | ||||||
3.50%, 01/01/47 | 3,592,534 | 3,898,931 | ||||||
4.00%, 01/01/41 - 01/01/50 (a) | 2,687,609 | 2,944,048 | ||||||
4.00%, 10/01/48 | 989,069 | 1,060,790 | ||||||
4.50%, 07/01/33 - 12/01/48 (a) | 1,770,725 | 1,969,172 |
Principal Amount ($) | Fair Value $ | |||||||
5.00%, 03/01/34 - 05/01/39 (a) | 188,715 | 216,156 | ||||||
5.50%, 12/01/32 - 04/01/38 (a) | 278,540 | 325,190 | ||||||
6.00%, 03/01/21 - 07/01/35 (a) | 345,522 | 401,624 | ||||||
6.50%, 05/01/21 - 08/01/36 (a) | 34,348 | 38,858 | ||||||
7.00%, 10/01/32 - 02/01/34 (a) | 6,098 | 6,871 | ||||||
7.50%, 12/01/23 - 03/01/33 (a) | 28,119 | 32,832 | ||||||
8.00%, 07/01/25 - 10/01/31 (a) | 6,497 | 7,242 | ||||||
9.00%, 12/01/22 (a) | 154 | 157 | ||||||
Federal National Mortgage Assoc. 1.25% + USD COF11 | 3,915 | 4,080 | ||||||
Federal National Mortgage Assoc. REMIC 6.00% -1 month USD LIBOR | 1,302,558 | 302,697 | ||||||
Government National Mortgage Assoc. | ||||||||
3.00%, 12/20/42 - 05/20/45 (a) | 4,269,178 | 4,529,781 | ||||||
3.00%, 04/20/45 | 1,274,060 | 1,349,571 | ||||||
3.50%, 08/20/48 (a) | 1,081,369 | 1,143,406 | ||||||
4.00%, 01/20/41 - 04/20/43 (a) | 1,332,776 | 1,469,153 | ||||||
4.50%, 08/15/33 - 05/20/40 (a) | 223,019 | 249,413 | ||||||
5.00%, 08/15/33 (a) | 18,411 | 20,858 | ||||||
6.00%, 04/15/27 - 09/15/36 (a) | 134,226 | 154,559 | ||||||
6.50%, 02/15/24 - 09/15/36 (a) | 48,781 | 54,659 | ||||||
7.00%, 10/15/27 - 10/15/36 (a) | 25,674 | 29,649 | ||||||
7.50%, 01/15/23 - 11/15/31 (a) | 1,980 | 2,053 | ||||||
8.00%, 05/15/30 - 09/15/30 (a) | 119 | 125 | ||||||
9.00%, 12/15/21 (a) | 41 | 41 | ||||||
2.50%, TBA (d) | 3,013,000 | 3,162,505 | ||||||
|
| |||||||
32,750,893 | ||||||||
|
| |||||||
Agency Collateralized Mortgage Obligations - 4.9% |
| |||||||
Federal Home Loan Mortgage Corp. | ||||||||
0.08%, 09/25/43 (a)(b)(c) | 537,530 | 1,627 | ||||||
2.43%, 08/25/29 (a) | 673,000 | 741,690 | ||||||
2.51%, 07/25/29 (a) | 290,000 | 323,510 |
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, 2020
Principal Amount ($) | Fair Value $ | |||||||
Federal Home Loan Mortgage Corp. REMIC | ||||||||
3.50%, 11/15/30 (a)(c) | 129,679 | 4,669 | ||||||
5.50%, 06/15/33 (a)(c) | 19,832 | 3,585 | ||||||
7.50%, 07/15/27 (a)(c) | 1,977 | 328 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.15% - 1 month USD LIBOR | 988,256 | 162,753 | ||||||
Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR | 38,761 | 1,207 | ||||||
Federal Home Loan Mortgage Corp. STRIPS | ||||||||
1.47%, 08/01/27 (a)(e)(f) | 451 | 431 | ||||||
8.00%, 02/01/23 - 07/01/24 (a)(c) | 1,108 | 109 | ||||||
Federal National Mortgage Assoc. 1.60% + 12 month USD LIBOR | 2,136 | 2,202 | ||||||
Federal National Mortgage Assoc. REMIC | ||||||||
1.11%, 12/25/42 (b)(c) | 98,116 | 3,673 | ||||||
5.00%, 02/25/40 - 09/25/40 (a)(c) | 81,473 | 9,311 | ||||||
Federal National Mortgage Assoc. REMIC 6.00% -1 month USD LIBOR | 34,607 | 6,575 | ||||||
Federal National Mortgage Assoc. REMIC 6.55% -1 month USD LIBOR | 1,451,286 | 350,797 | ||||||
Federal National Mortgage Assoc. STRIPS | ||||||||
1.87%, 12/25/34 (e)(f) | 8,767 | 8,126 | ||||||
4.50%, 08/25/35 - 01/25/36 (a)(c) | 58,516 | 8,025 | ||||||
5.00%, 03/25/38 - 05/25/38 (a)(c) | 33,767 | 5,925 | ||||||
5.50%, 12/25/33 (a)(c) | 8,908 | 1,524 | ||||||
6.00%, 01/25/35 (a)(c) | 38,626 | 7,504 | ||||||
7.50%, 11/25/23 (a)(c) | 3,952 | 303 | ||||||
8.00%, 08/25/23 - 07/25/24 (a)(c) | 2,026 | 231 | ||||||
8.50%, 07/25/22 (a)(c) | 17 | 1 | ||||||
9.00%, 05/25/22 (a)(c)* | 11 | — |
Principal Amount ($) | Fair Value $ | |||||||
Federal National Mortgage Assoc. | 4,715,000 | 4,899,781 | ||||||
Government National Mortgage Assoc. REMIC | 20,318 | 220 | ||||||
|
| |||||||
6,544,107 | ||||||||
|
| |||||||
Asset Backed - 1.9% |
| |||||||
Ally Auto Receivables Trust 2018-1 | 32,110 | 32,261 | ||||||
CarMax Auto Owner Trust | 82,406 | 83,896 | ||||||
Chase Funding Trust 2004-1 | 124,797 | 124,797 | ||||||
Enterprise Fleet Financing 2019-1 LLC | 473,000 | 498,274 | ||||||
Ford Credit Auto Owner Trust 2020-B | 264,000 | 265,163 | ||||||
Hyundai Auto Lease Securitization Trust 2018-A | 181,664 | 181,861 | ||||||
Nissan Auto Lease Trust 2019-A | 400,000 | 404,232 | ||||||
Nissan Auto Lease Trust 2020-A | 154,367 | 155,506 | ||||||
Santander Retail Auto Lease Trust 2019-B | 455,000 | 465,019 | ||||||
Securitized Term Auto Receivables Trust 2018-1A | 118,000 | 120,662 | ||||||
Trillium Credit Card Trust II | 241,000 | 242,940 | ||||||
|
| |||||||
2,574,611 | ||||||||
|
| |||||||
Corporate Notes - 41.3% |
| |||||||
3M Co. | 52,000 | 56,633 | ||||||
Abbott Laboratories | ||||||||
3.75%, 11/30/26 (a) | 223,000 | 259,086 | ||||||
4.90%, 11/30/46 (a) | 34,000 | 48,092 | ||||||
AbbVie Inc. | ||||||||
2.60%, 11/21/24 (a)(g) | 65,000 | 68,898 |
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, 2020
Principal Amount ($) | Fair Value $ | |||||||
2.95%, 11/21/26 (a)(g) | 135,000 | 147,020 | ||||||
3.20%, 05/14/26 (a) | 24,000 | 26,401 | ||||||
3.20%, 11/21/29 (a)(g) | 80,000 | 88,101 | ||||||
3.25%, 10/01/22 (a)(g) | 29,000 | 30,310 | ||||||
3.45%, 03/15/22 (a)(g) | 87,000 | 90,164 | ||||||
4.05%, 11/21/39 (a)(g) | 35,000 | 40,169 | ||||||
4.25%, 11/21/49 (a)(g) | 75,000 | 88,711 | ||||||
4.63%, 10/01/42 (a)(g) | 4,000 | 4,842 | ||||||
4.70%, 05/14/45 (a) | 9,000 | 11,029 | ||||||
4.88%, 11/14/48 (a) | 7,000 | 8,863 | ||||||
5.00%, 12/15/21 (a)(g) | 55,000 | 57,344 | ||||||
Advance Auto Parts Inc. | ||||||||
1.75%, 10/01/27 | 65,000 | 64,994 | ||||||
3.90%, 04/15/30 (a) | 156,000 | 175,530 | ||||||
Aetna Inc. | 29,000 | 31,858 | ||||||
Aircastle Ltd. | 58,000 | 53,655 | ||||||
Albemarle Wodgina Pty Ltd. | 69,000 | 69,752 | ||||||
Alcon Finance Corp. | 201,000 | 213,171 | ||||||
Alexandria Real Estate Equities Inc. | ||||||||
1.88%, 02/01/33 (a) | 40,000 | 39,385 | ||||||
4.70%, 07/01/30 (a) | 50,000 | 61,759 | ||||||
Alimentation Couche-Tard Inc. | ||||||||
2.95%, 01/25/30 (a)(g) | 33,000 | 35,576 | ||||||
3.80%, 01/25/50 (a)(g) | 51,000 | 56,118 | ||||||
Ally Financial Inc. | 42,000 | 47,208 | ||||||
Alphabet Inc. | ||||||||
1.10%, 08/15/30 (a) | 240,000 | 237,811 | ||||||
1.90%, 08/15/40 (a) | 55,000 | 52,772 | ||||||
2.05%, 08/15/50 (a) | 145,000 | 135,555 | ||||||
Altria Group Inc. | ||||||||
2.95%, 05/02/23 (a) | 23,000 | 24,239 | ||||||
3.40%, 05/06/30 (a) | 15,000 | 16,338 | ||||||
3.80%, 02/14/24 (a) | 15,000 | 16,373 | ||||||
4.25%, 08/09/42 (a) | 3,000 | 3,221 | ||||||
4.45%, 05/06/50 (a) | 25,000 | 27,974 | ||||||
4.50%, 05/02/43 (a) | 13,000 | 14,321 | ||||||
4.80%, 02/14/29 (a) | 58,000 | 68,649 | ||||||
Amazon.com Inc. | ||||||||
1.50%, 06/03/30 (a) | 31,000 | 31,642 | ||||||
2.50%, 06/03/50 (a) | 35,000 | 35,727 | ||||||
2.70%, 06/03/60 (a) | 30,000 | 30,993 | ||||||
3.15%, 08/22/27 (a) | 31,000 | 35,251 | ||||||
4.05%, 08/22/47 (a) | 12,000 | 15,531 | ||||||
4.25%, 08/22/57 (a) | 6,000 | 8,179 |
Principal Amount ($) | Fair Value $ | |||||||
Ameren Corp. | 75,000 | 79,655 | ||||||
American Electric Power Company Inc. | 30,000 | 31,268 | ||||||
American Electric Power Company Inc. | 30,000 | 30,946 | ||||||
American Express Co. | 250,000 | 271,205 | ||||||
American International Group Inc. | ||||||||
4.25%, 03/15/29 (a) | 101,000 | 118,788 | ||||||
4.50%, 07/16/44 (a) | 80,000 | 93,507 | ||||||
American International Group Inc. (5.75% fixed rate until 04/01/28; 2.87% + 3 month USD LIBOR thereafter) | 49,000 | 53,358 | ||||||
American Tower Corp. | ||||||||
2.90%, 01/15/30 (a) | 40,000 | 43,230 | ||||||
3.70%, 10/15/49 (a) | 31,000 | 34,019 | ||||||
3.80%, 08/15/29 (a) | 31,000 | 35,504 | ||||||
4.70%, 03/15/22 (a) | 200,000 | 211,950 | ||||||
American Water Capital Corp. | 75,000 | 82,902 | ||||||
Amgen Inc. | ||||||||
2.45%, 02/21/30 (a) | 156,000 | 165,371 | ||||||
2.65%, 05/11/22 (a) | 86,000 | 88,905 | ||||||
3.15%, 02/21/40 (a) | 68,000 | 72,479 | ||||||
3.38%, 02/21/50 (a) | 19,000 | 20,506 | ||||||
4.56%, 06/15/48 (a) | 24,000 | 30,702 | ||||||
4.66%, 06/15/51 (a) | 7,000 | 9,146 | ||||||
Anglo American Capital PLC | ||||||||
2.63%, 09/10/30 (g) | 201,000 | 201,127 | ||||||
3.95%, 09/10/50 (g) | 200,000 | 206,142 | ||||||
Anheuser-Busch Companies LLC/Anheuser-Busch InBev Worldwide Inc. | ||||||||
3.65%, 02/01/26 (a) | 266,000 | 297,984 | ||||||
4.70%, 02/01/36 (a) | 16,000 | 19,259 | ||||||
4.90%, 02/01/46 (a) | 27,000 | 33,248 | ||||||
Anheuser-Busch InBev Worldwide Inc. | ||||||||
3.50%, 06/01/30 (a) | 95,000 | 108,407 | ||||||
4.00%, 04/13/28 (a) | 42,000 | 48,557 | ||||||
4.35%, 06/01/40 (a) | 79,000 | 91,931 | ||||||
4.38%, 04/15/38 (a) | 49,000 | 56,718 | ||||||
4.50%, 06/01/50 (a) | 83,000 | 99,549 |
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, 2020
Principal Amount ($) | Fair Value $ | |||||||
4.60%, 04/15/48 (a) | 23,000 | 27,501 | ||||||
4.75%, 04/15/58 (a) | 13,000 | 15,927 | ||||||
5.55%, 01/23/49 (a) | 44,000 | 59,213 | ||||||
Anthem Inc. | ||||||||
2.88%, 09/15/29 (a) | 21,000 | 22,704 | ||||||
3.30%, 01/15/23 (a) | 27,000 | 28,620 | ||||||
3.70%, 09/15/49 (a) | 21,000 | 23,443 | ||||||
Apollo Management Holdings LP | 155,000 | 155,397 | ||||||
Apollo Management Holdings LP (4.95% fixed rate until 12/17/24; 3.27% + 5 year CMT Rate thereafter) | 50,000 | 49,036 | ||||||
Apple Inc. | ||||||||
2.15%, 02/09/22 (a) | 300,000 | 307,665 | ||||||
2.20%, 09/11/29 (a) | 76,000 | 81,777 | ||||||
2.95%, 09/11/49 (a) | 20,000 | 21,883 | ||||||
3.35%, 02/09/27 (a) | 15,000 | 17,120 | ||||||
3.45%, 02/09/45 (a) | 37,000 | 43,724 | ||||||
3.85%, 08/04/46 (a) | 43,000 | 53,643 | ||||||
Applied Materials Inc. | 98,000 | 130,198 | ||||||
Aptiv PLC | 23,000 | 21,894 | ||||||
Archer-Daniels-Midland Co. | 13,000 | 14,090 | ||||||
Ares Capital Corp. | 202,000 | 200,392 | ||||||
Ascension Health | 17,000 | 24,690 | ||||||
AstraZeneca PLC | ||||||||
3.50%, 08/17/23 (a) | 21,000 | 22,714 | ||||||
4.00%, 01/17/29 (a) | 14,000 | 16,602 | ||||||
4.38%, 08/17/48 (a) | 6,000 | 7,963 | ||||||
AT&T Inc. | ||||||||
2.30%, 06/01/27 (a) | 65,000 | 68,277 | ||||||
2.63%, 12/01/22 (a) | 1,000,000 | 1,041,370 | ||||||
2.75%, 06/01/31 (a) | 132,000 | 138,963 | ||||||
3.30%, 02/01/52 (a) | 44,000 | 41,486 | ||||||
3.85%, 06/01/60 (a) | 85,000 | 86,606 | ||||||
4.35%, 03/01/29 (a) | 84,000 | 98,810 | ||||||
4.45%, 04/01/24 (a) | 24,000 | 26,790 | ||||||
4.50%, 05/15/35 (a) | 36,000 | 42,462 | ||||||
4.55%, 03/09/49 (a) | 31,000 | 35,664 | ||||||
4.75%, 05/15/46 (a) | 45,000 | 52,431 | ||||||
4.80%, 06/15/44 (a) | 24,000 | 28,602 | ||||||
4.85%, 03/01/39 (a) | 38,000 | 45,640 | ||||||
5.15%, 11/15/46 (a) | 5,000 | 6,215 | ||||||
5.25%, 03/01/37 (a) | 28,000 | 34,962 |
Principal Amount ($) | Fair Value $ | |||||||
5.35%, 12/15/43 (a) | 18,000 | 22,490 | ||||||
5.45%, 03/01/47 (a) | 31,000 | 39,815 | ||||||
Athene Holding Ltd. | 67,000 | 80,083 | ||||||
Avangrid Inc. | 45,000 | 49,106 | ||||||
Avery Dennison Corp. | 18,000 | 19,292 | ||||||
Bank of America Corp. |
| |||||||
3.25%, 10/21/27 (a) | 4,000 | 4,424 | ||||||
3.95%, 04/21/25 (a) | 89,000 | 98,891 | ||||||
4.18%, 11/25/27 (a) | 130,000 | 148,898 | ||||||
Bank of America Corp. (2.59% fixed rate until 04/29/30; 2.15% + SOFR thereafter) | 155,000 | 164,123 | ||||||
Bank of America Corp. (3.12% fixed rate until 01/20/22; 1.16% + 3 month USD LIBOR thereafter) | 31,000 | 31,983 | ||||||
Bank of America Corp. (3.37% fixed rate until 01/23/25; 0.81% + 3 month USD LIBOR thereafter) | 19,000 | 20,765 | ||||||
Bank of America Corp. (3.56% fixed rate until 04/23/26; 1.06% + 3 month USD LIBOR thereafter) | 102,000 | 113,932 | ||||||
Bank of America Corp. (3.71% fixed rate until 04/24/27; 1.51% + 3 month USD LIBOR thereafter) | 89,000 | 100,485 | ||||||
Bank of America Corp. (3.95% fixed rate until 01/23/48; 1.19% + 3 month USD LIBOR thereafter) | 21,000 | 25,517 | ||||||
Bank of America Corp. (4.24% fixed rate until 04/24/37; 1.81% + 3 month USD LIBOR thereafter) | 114,000 | 138,917 |
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, 2020
Principal Amount ($) | Fair Value $ | |||||||
Bank of America Corp. (4.27% fixed rate until 07/23/28; 1.31% + 3 month USD LIBOR thereafter) | 97,000 | 113,761 | ||||||
Bank of America Corp. (4.30% fixed rate until 01/28/25; 2.66% + 3 month USD LIBOR thereafter) | 80,000 | 77,819 | ||||||
Bank of America Corp. (4.44% fixed rate until 01/20/47; 1.99% + 3 month USD LIBOR thereafter) | 52,000 | 67,345 | ||||||
Bank of Montreal (4.34% fixed rate until 10/05/23; 1.28% + USD 5 year Swap Rate thereafter) | 45,000 | 48,488 | ||||||
Barclays PLC | 200,000 | 217,108 | ||||||
Barclays PLC (2.65% fixed rate until 06/24/30; 1.90% + 1 year CMT Rate thereafter) | 652,000 | 651,250 | ||||||
Barclays PLC (2.85% fixed rate until 05/07/25; 2.45% + 3 month USD LIBOR therefter) | 200,000 | 207,754 | ||||||
Barrick North America Finance LLC | 5,000 | 7,039 | ||||||
BAT Capital Corp. |
| |||||||
2.26%, 03/25/28 | 35,000 | 35,196 | ||||||
2.73%, 03/25/31 | 74,000 | 73,911 | ||||||
2.76%, 08/15/22 (a) | 26,000 | 26,923 | ||||||
3.56%, 08/15/27 (a) | 20,000 | 21,610 | ||||||
3.73%, 09/25/40 | 45,000 | 45,608 | ||||||
3.98%, 09/25/50 | 74,000 | 73,515 | ||||||
4.39%, 08/15/37 (a) | 37,000 | 40,014 | ||||||
4.54%, 08/15/47 (a) | 19,000 | 20,306 | ||||||
4.70%, 04/02/27 (a) | 34,000 | 39,044 | ||||||
4.91%, 04/02/30 (a) | 45,000 | 52,940 | ||||||
5.28%, 04/02/50 (a) | 45,000 | 52,958 | ||||||
BAT International Finance PLC | 35,000 | 35,152 |
Principal Amount ($) | Fair Value $ | |||||||
Baxter International Inc. | 20,000 | 23,937 | ||||||
Becton Dickinson and Co. |
| |||||||
2.89%, 06/06/22 (a) | 27,000 | 27,929 | ||||||
3.70%, 06/06/27 (a) | 26,000 | 29,471 | ||||||
3.73%, 12/15/24 (a) | 4,000 | 4,418 | ||||||
4.67%, 06/06/47 (a) | 4,000 | 4,947 | ||||||
4.69%, 12/15/44 (a) | 3,000 | 3,681 | ||||||
Berkshire Hathaway Energy Co. | ||||||||
3.25%, 04/15/28 (a) | 19,000 | 21,469 | ||||||
3.70%, 07/15/30 (a)(g) | 50,000 | 58,796 | ||||||
3.80%, 07/15/48 (a) | 47,000 | 54,624 | ||||||
4.25%, 10/15/50 (a)(g) | 33,000 | 41,468 | ||||||
6.13%, 04/01/36 (a) | 79,000 | 112,766 | ||||||
Biogen Inc. |
| |||||||
2.25%, 05/01/30 (a) | 24,000 | 24,542 | ||||||
3.15%, 05/01/50 (a) | 17,000 | 16,737 | ||||||
Block Financial LLC | 20,000 | 20,192 | ||||||
BNP Paribas S.A. (2.82% fixed rate until 11/19/24; 1.11% + 3 month USD LIBOR thereafter) | 204,000 | 215,193 | ||||||
Boardwalk Pipelines LP | 28,000 | 30,546 | ||||||
Boston Scientific Corp. | 11,000 | 14,531 | ||||||
BP Capital Markets America Inc. | ||||||||
3.00%, 02/24/50 (a) | 55,000 | 52,689 | ||||||
3.02%, 01/16/27 (a) | 69,000 | 75,672 | ||||||
3.22%, 11/28/23 (a) | 31,000 | 33,326 | ||||||
BP Capital Markets PLC (4.38% Fixed rate until 06/22/25; 4.04% + 5 year CMT Rate thereafter) | 66,000 | 68,790 | ||||||
BP Capital Markets PLC (4.88% Fixed rate until 03/22/30; 4.40% + 5 year CMT Rate thereafter) | 66,000 | 70,425 | ||||||
Bristol-Myers Squibb Co. |
| |||||||
3.20%, 06/15/26 (a) | 64,000 | 72,021 | ||||||
3.40%, 07/26/29 (a) | 52,000 | 60,435 | ||||||
3.45%, 11/15/27 (a) | 15,000 | 17,268 | ||||||
4.13%, 06/15/39 (a) | 23,000 | 29,116 | ||||||
4.25%, 10/26/49 (a) | 23,000 | 30,301 | ||||||
4.35%, 11/15/47 (a) | 4,000 | 5,241 | ||||||
4.55%, 02/20/48 (a) | 57,000 | 76,621 | ||||||
5.00%, 08/15/45 (a) | 33,000 | 46,166 |
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, 2020
Principal Amount ($) | Fair Value $ | |||||||
Broadcom Corp./Broadcom Cayman Finance Ltd. | ||||||||
2.65%, 01/15/23 (a) | 6,000 | 6,234 | ||||||
3.13%, 01/15/25 (a) | 7,000 | 7,474 | ||||||
3.88%, 01/15/27 (a) | 6,000 | 6,646 | ||||||
Broadcom Inc. |
| |||||||
3.15%, 11/15/25 (a) | 85,000 | 91,723 | ||||||
4.15%, 11/15/30 (a) | 66,000 | 74,038 | ||||||
4.30%, 11/15/32 (a) | 46,000 | 52,597 | ||||||
Brown & Brown Inc. | 40,000 | 40,442 | ||||||
Brown-Forman Corp. | 6,000 | 7,189 | ||||||
Bunge Limited Finance Corp. | 12,000 | 13,029 | ||||||
Burlington Northern Santa Fe LLC | ||||||||
4.15%, 12/15/48 (a) | 75,000 | 94,788 | ||||||
4.55%, 09/01/44 (a) | 38,000 | 49,800 | ||||||
Cameron LNG LLC | 21,000 | 23,727 | ||||||
Canadian Natural Resources Ltd. | ||||||||
3.85%, 06/01/27 (a) | 42,000 | 45,364 | ||||||
4.95%, 06/01/47 (a) | 5,000 | 5,600 | ||||||
Canadian Pacific Railway Co. | 13,000 | 14,074 | ||||||
Capital One Financial Corp. | 475,000 | 517,379 | ||||||
Cardinal Health Inc. |
| |||||||
2.62%, 06/15/22 (a) | 13,000 | 13,409 | ||||||
3.08%, 06/15/24 (a) | 12,000 | 12,913 | ||||||
Carlisle Companies Inc. | 60,000 | 63,950 | ||||||
Carrier Global Corp. |
| |||||||
2.72%, 02/15/30 (a)(g) | 45,000 | 47,045 | ||||||
3.38%, 04/05/40 (a)(g) | 30,000 | 31,417 | ||||||
3.58%, 04/05/50 (a)(g) | 45,000 | 47,648 | ||||||
Caterpillar Inc. |
| |||||||
3.25%, 09/19/49 - 04/09/50 (a) | 86,000 | 96,626 | ||||||
3.80%, 08/15/42 (a) | 8,000 | 9,771 | ||||||
Centene Corp. | ||||||||
3.38%, 02/15/30 (a) | 63,000 | 65,253 | ||||||
4.25%, 12/15/27 (a) | 164,000 | 171,578 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital | ||||||||
4.46%, 07/23/22 (a) | 90,000 | 95,302 | ||||||
4.80%, 03/01/50 (a) | 22,000 | 24,895 |
Principal Amount ($) | Fair Value $ | |||||||
4.91%, 07/23/25 (a) | 63,000 | 72,739 | ||||||
5.05%, 03/30/29 (a) | 48,000 | 57,443 | ||||||
5.75%, 04/01/48 (a) | 45,000 | 55,869 | ||||||
6.38%, 10/23/35 (a) | 4,000 | 5,526 | ||||||
6.48%, 10/23/45 (a) | 19,000 | 25,525 | ||||||
Cheniere Corpus Christi Holdings LLC | 81,000 | 92,322 | ||||||
Chevron Corp. | ||||||||
1.55%, 05/11/25 (a) | 23,000 | 23,832 | ||||||
2.24%, 05/11/30 (a) | 44,000 | 46,699 | ||||||
2.98%, 05/11/40 (a) | 30,000 | 32,394 | ||||||
3.08%, 05/11/50 (a) | 55,000 | 59,402 | ||||||
3.19%, 06/24/23 (a) | 47,000 | 50,267 | ||||||
Choice Hotels International Inc. | 45,000 | 47,388 | ||||||
Chubb INA Holdings Inc. | ||||||||
1.38%, 09/15/30 | 210,000 | 207,992 | ||||||
4.35%, 11/03/45 (a) | 58,000 | 76,081 | ||||||
Cigna Corp. | ||||||||
2.40%, 03/15/30 (a) | 40,000 | 41,481 | ||||||
3.25%, 04/15/25 (a) | 24,000 | 26,307 | ||||||
3.40%, 09/17/21 - 03/15/50 (a) | 49,000 | 51,878 | ||||||
3.75%, 07/15/23 (a) | 48,000 | 51,937 | ||||||
3.88%, 10/15/47 (a) | 4,000 | 4,460 | ||||||
4.13%, 11/15/25 (a) | 34,000 | 38,943 | ||||||
4.38%, 10/15/28 (a) | 14,000 | 16,644 | ||||||
4.80%, 08/15/38 (a) | 12,000 | 14,909 | ||||||
4.90%, 12/15/48 (a) | 2,000 | 2,600 | ||||||
Cisco Systems Inc. | 16,000 | 24,193 | ||||||
Citigroup Inc. | ||||||||
4.40%, 06/10/25 | 269,000 | 302,996 | ||||||
4.65%, 07/23/48 (a) | 62,000 | 81,363 | ||||||
4.75%, 05/18/46 (a) | 51,000 | 64,064 | ||||||
5.50%, 09/13/25 (a) | 81,000 | 95,834 | ||||||
Citigroup Inc. (1.68% fixed rate until 05/15/23; 1.67% + SOFR thereafter) | 220,000 | 225,328 | ||||||
Citigroup Inc. (2.88% fixed rate until 07/24/22; 0.95% + 3 month USD LIBOR thereafter) | 65,000 | 67,464 | ||||||
Citigroup Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter) | 292,000 | 315,170 |
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, 2020
Principal Amount ($) | Fair Value $ | |||||||
Citigroup Inc. (3.11% fixed rate until 04/08/25; 2.75% + SOFR thereafter) | 224,000 | 241,978 | ||||||
Citigroup Inc. (3.88% fixed rate until 01/24/38; 1.17% + 3 month USD LIBOR thereafter) | 39,000 | 45,609 | ||||||
Citigroup Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter) | 83,000 | 80,329 | ||||||
CMS Energy Corp. | 53,000 | 69,600 | ||||||
CNA Financial Corp. | ||||||||
3.45%, 08/15/27 (a) | 37,000 | 41,549 | ||||||
3.90%, 05/01/29 (a) | 85,000 | 97,495 | ||||||
CNH Industrial Capital LLC | 70,000 | 71,270 | ||||||
CNOOC Finance 2014 ULC | 233,000 | 256,789 | ||||||
CNOOC Petroleum North America ULC | 69,000 | 100,611 | ||||||
Comcast Corp. | ||||||||
2.65%, 08/15/62 (a) | 55,000 | 52,253 | ||||||
2.80%, 01/15/51 (a) | 35,000 | 35,286 | ||||||
3.10%, 04/01/25 (a) | 35,000 | 38,564 | ||||||
3.20%, 07/15/36 (a) | 27,000 | 29,941 | ||||||
3.25%, 11/01/39 (a) | 62,000 | 68,995 | ||||||
3.45%, 02/01/50 (a) | 55,000 | 61,768 | ||||||
3.97%, 11/01/47 (a) | 63,000 | 75,560 | ||||||
4.15%, 10/15/28 (a) | 15,000 | 18,064 | ||||||
4.60%, 08/15/45 (a) | 8,000 | 10,317 | ||||||
4.70%, 10/15/48 (a) | 54,000 | 71,800 | ||||||
CommonSpirit Health | 129,000 | 139,739 | ||||||
Conagra Brands Inc. | ||||||||
5.30%, 11/01/38 (a) | 14,000 | 18,085 | ||||||
5.40%, 11/01/48 (a) | 12,000 | 16,278 | ||||||
Concho Resources Inc. | ||||||||
3.75%, 10/01/27 (a) | 10,000 | 10,822 | ||||||
4.30%, 08/15/28 (a) | 47,000 | 51,877 | ||||||
4.88%, 10/01/47 (a) | 9,000 | 9,973 | ||||||
ConocoPhillips Co. | 27,000 | 32,475 | ||||||
Consolidated Edison Company of New York Inc. | ||||||||
2.90%, 12/01/26 (a) | 29,000 | 31,623 | ||||||
3.35%, 04/01/30 (a) | 20,000 | 23,020 |
Principal Amount ($) | Fair Value $ | |||||||
3.88%, 06/15/47 (a) | 65,000 | 76,285 | ||||||
3.95%, 04/01/50 (a) | 30,000 | 36,335 | ||||||
Constellation Brands Inc. | ||||||||
3.15%, 08/01/29 (a) | 288,000 | 315,043 | ||||||
3.70%, 12/06/26 (a) | 49,000 | 55,962 | ||||||
4.50%, 05/09/47 (a) | 23,000 | 27,838 | ||||||
Continental Resources Inc. | 122,000 | 116,222 | ||||||
Corning Inc. | 24,000 | 28,955 | ||||||
Corporate Office Properties LP | 55,000 | 55,709 | ||||||
Costco Wholesale Corp. | 43,000 | 43,994 | ||||||
Crown Castle International Corp. | ||||||||
3.30%, 07/01/30 (a) | 249,000 | 273,200 | ||||||
4.15%, 07/01/50 (a) | 45,000 | 51,684 | ||||||
5.20%, 02/15/49 (a) | 44,000 | 58,462 | ||||||
CSX Corp. | 84,000 | 109,163 | ||||||
CubeSmart LP | 94,000 | 110,580 | ||||||
Cummins Inc. | ||||||||
0.75%, 09/01/25 (a) | 20,000 | 20,057 | ||||||
1.50%, 09/01/30 (a) | 65,000 | 64,649 | ||||||
2.60%, 09/01/50 (a) | 65,000 | 63,816 | ||||||
CVS Health Corp. | ||||||||
3.00%, 08/15/26 (a) | 23,000 | 25,189 | ||||||
3.25%, 08/15/29 (a) | 25,000 | 27,535 | ||||||
3.35%, 03/09/21 (a) | 11,000 | 11,144 | ||||||
3.63%, 04/01/27 (a) | 40,000 | 44,916 | ||||||
3.75%, 04/01/30 (a) | 30,000 | 34,289 | ||||||
3.88%, 07/20/25 (a) | 13,000 | 14,658 | ||||||
4.10%, 03/25/25 (a) | 31,000 | 34,990 | ||||||
4.25%, 04/01/50 (a) | 25,000 | 29,358 | ||||||
4.30%, 03/25/28 (a) | 19,000 | 22,221 | ||||||
4.78%, 03/25/38 (a) | 13,000 | 15,785 | ||||||
5.00%, 12/01/24 (a) | 28,000 | 31,922 | ||||||
5.13%, 07/20/45 (a) | 27,000 | 34,081 | ||||||
5.30%, 12/05/43 (a) | 44,000 | 56,120 | ||||||
D.R. Horton Inc. | 110,000 | 117,815 | ||||||
Dell International LLC/EMC Corp. | ||||||||
4.00%, 07/15/24 (a)(g) | 34,000 | 36,786 | ||||||
4.42%, 06/15/21 (a)(g) | 10,000 | 10,218 | ||||||
5.45%, 06/15/23 (a)(g) | 269,000 | 294,878 | ||||||
6.02%, 06/15/26 (a)(g) | 13,000 | 15,288 | ||||||
8.10%, 07/15/36 (a)(g) | 3,000 | 3,934 | ||||||
8.35%, 07/15/46 (a)(g) | 33,000 | 43,553 |
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, 2020
Principal Amount ($) | Fair Value $ | |||||||
Devon Energy Corp. | 14,000 | 13,317 | ||||||
DH Europe Finance II Sarl | ||||||||
2.60%, 11/15/29 (a) | 35,000 | 38,056 | ||||||
3.25%, 11/15/39 (a) | 21,000 | 23,321 | ||||||
3.40%, 11/15/49 (a) | 11,000 | 12,572 | ||||||
Diamondback Energy Inc. | ||||||||
2.88%, 12/01/24 (a) | 50,000 | 50,617 | ||||||
3.25%, 12/01/26 (a) | 35,000 | 35,115 | ||||||
3.50%, 12/01/29 (a) | 31,000 | 29,894 | ||||||
5.38%, 05/31/25 (a) | 122,000 | 126,630 | ||||||
Digital Realty Trust LP | 45,000 | 51,578 | ||||||
Discovery Communications LLC | ||||||||
2.95%, 03/20/23 (a) | 65,000 | 68,500 | ||||||
3.95%, 03/20/28 (a) | 55,000 | 62,517 | ||||||
4.95%, 05/15/42 (a) | 5,000 | 5,830 | ||||||
5.00%, 09/20/37 (a) | 9,000 | 10,793 | ||||||
Dollar General Corp. | ||||||||
3.50%, 04/03/30 (a) | 56,000 | 63,874 | ||||||
4.13%, 04/03/50 (a) | 38,000 | 45,346 | ||||||
Dollar Tree Inc. | 51,000 | 57,512 | ||||||
Dominion Energy Inc. | ||||||||
3.07%, 08/15/24 (a)(h) | 26,000 | 27,978 | ||||||
3.38%, 04/01/30 (a) | 65,000 | 73,312 | ||||||
Dover Corp. | 40,000 | 43,386 | ||||||
DTE Energy Co. | ||||||||
2.85%, 10/01/26 (a) | 29,000 | 31,413 | ||||||
3.85%, 12/01/23 (a) | 15,000 | 16,318 | ||||||
Duke Energy Carolinas LLC | 17,000 | 21,195 | ||||||
Duke Energy Corp. | ||||||||
1.80%, 09/01/21 (a) | 34,000 | 34,410 | ||||||
3.75%, 09/01/46 (a) | 11,000 | 12,532 | ||||||
Duke Energy Corp. (4.88% fixed rate until 09/16/24; 3.39% + 5 year CMT Rate thereafter) | 75,000 | 79,119 | ||||||
Duke Energy Progress LLC | 22,000 | 27,285 | ||||||
Duke Realty LP | ||||||||
3.05%, 03/01/50 (a) | 20,000 | 21,319 | ||||||
3.38%, 12/15/27 (a) | 37,000 | 41,557 | ||||||
DuPont de Nemours Inc. | ||||||||
2.17%, 05/01/23 (a) | 65,000 | 65,614 | ||||||
5.32%, 11/15/38 (a) | 9,000 | 11,416 | ||||||
5.42%, 11/15/48 (a) | 9,000 | 12,020 |
Principal Amount ($) | Fair Value $ | |||||||
Duquesne Light Holdings Inc. | 22,000 | 23,487 | ||||||
DXC Technology Co. | 90,000 | 94,843 | ||||||
Eastman Chemical Co. | ||||||||
3.50%, 12/01/21 (a) | 27,000 | 27,853 | ||||||
4.50%, 01/15/21 (a) | 57,000 | 56,761 | ||||||
4.65%, 10/15/44 (a) | 44,000 | 51,702 | ||||||
Eaton Corp. | 51,000 | 56,872 | ||||||
Ecolab Inc. | ||||||||
1.30%, 01/30/31 (a) | 37,000 | 36,217 | ||||||
2.13%, 08/15/50 (a) | 84,000 | 76,803 | ||||||
Edison International | ||||||||
4.95%, 04/15/25 (a) | 75,000 | 82,086 | ||||||
5.75%, 06/15/27 (a) | 8,000 | 8,906 | ||||||
EI du Pont de Nemours & Co. | 32,000 | 33,973 | ||||||
Eli Lilly & Co. | 36,000 | 45,158 | ||||||
Emera US Finance LP | 3,000 | 3,621 | ||||||
Emerson Electric Co. | ||||||||
1.80%, 10/15/27 (a) | 32,000 | 33,427 | ||||||
2.75%, 10/15/50 (a) | 23,000 | 23,425 | ||||||
Empower Finance 2020 LP | ||||||||
1.36%, 09/17/27 (g) | 75,000 | 74,705 | ||||||
1.78%, 03/17/31 (g) | 124,000 | 124,275 | ||||||
3.08%, 09/17/51 (g) | 50,000 | 52,265 | ||||||
Enbridge Energy Partners LP | 4,000 | 4,806 | ||||||
Enbridge Inc. (5.75% fixed rate until 04/15/30; 5.31% + 5 year CMT Rate thereafter) | 109,000 | 112,544 | ||||||
Energy Transfer Operating LP | ||||||||
4.25%, 03/15/23 (a) | 52,000 | 54,127 | ||||||
4.50%, 04/15/24 (a) | 8,000 | 8,471 | ||||||
4.95%, 06/15/28 (a) | 11,000 | 11,694 | ||||||
5.30%, 04/15/47 (a) | 44,000 | 41,081 | ||||||
6.13%, 12/15/45 (a) | 6,000 | 6,072 | ||||||
6.50%, 02/01/42 (a) | 26,000 | 27,236 | ||||||
Energy Transfer Operating LP (6.75% fixed rate until 05/15/25; 5.13% + 5 year CMT Rate thereafter) | 123,000 | 94,764 |
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, 2020
Principal Amount ($) | Fair Value $ | |||||||
Energy Transfer Partners LP/Regency Energy Finance Corp. | 18,000 | 19,121 | ||||||
Entergy Louisiana LLC | ||||||||
3.05%, 06/01/31 (a) | 16,000 | 18,224 | ||||||
4.00%, 03/15/33 (a) | 17,000 | 21,272 | ||||||
Enterprise Products Operating LLC | 43,000 | 45,447 | ||||||
Enterprise Products Operating LLC (5.25% fixed rate until 08/16/27; 3.03% + 3 month USD LIBOR thereafter) | 13,000 | 12,379 | ||||||
EOG Resources Inc. | ||||||||
4.15%, 01/15/26 (a) | 6,000 | 6,881 | ||||||
4.38%, 04/15/30 (a) | 50,000 | 58,924 | ||||||
4.95%, 04/15/50 (a) | 46,000 | 56,327 | ||||||
5.10%, 01/15/36 (a) | 11,000 | 12,810 | ||||||
EPR Properties | 18,000 | 17,489 | ||||||
Equinix Inc. | ||||||||
1.25%, 07/15/25 (a) | 60,000 | 60,589 | ||||||
2.15%, 07/15/30 (a) | 65,000 | 65,915 | ||||||
Equinor ASA | 20,000 | 21,183 | ||||||
ERP Operating LP | 36,000 | 46,207 | ||||||
Essex Portfolio LP | 25,000 | 26,385 | ||||||
Eversource Energy | 38,000 | 42,223 | ||||||
Exelon Corp. | ||||||||
3.50%, 06/01/22 (a) | 30,000 | 31,359 | ||||||
4.05%, 04/15/30 (a) | 67,000 | 78,406 | ||||||
4.45%, 04/15/46 (a) | 48,000 | 58,647 | ||||||
4.70%, 04/15/50 (a) | 45,000 | 57,677 | ||||||
Exxon Mobil Corp. | ||||||||
2.61%, 10/15/30 (a) | 134,000 | 144,825 | ||||||
3.45%, 04/15/51 (a) | 70,000 | 76,703 | ||||||
FedEx Corp. | ||||||||
3.80%, 05/15/25 (a) | 179,000 | 202,295 | ||||||
4.10%, 02/01/45 (a) | 53,000 | 60,348 | ||||||
FirstEnergy Corp. | 12,000 | 13,157 | ||||||
FirstEnergy Transmission LLC | 80,000 | 93,799 | ||||||
Fiserv Inc. | ||||||||
3.50%, 07/01/29 (a) | 245,000 | 279,170 | ||||||
4.40%, 07/01/49 (a) | 12,000 | 14,928 |
Principal Amount ($) | Fair Value $ | |||||||
Florida Power & Light Co. | ||||||||
2.85%, 04/01/25 (a) | 80,000 | 87,746 | ||||||
4.13%, 02/01/42 (a) | 73,000 | 90,984 | ||||||
Ford Motor Credit Company LLC | 205,000 | 208,877 | ||||||
Fox Corp. | 44,000 | 49,703 | ||||||
General Dynamics Corp. | 110,000 | 143,260 | ||||||
General Mills Inc. | ||||||||
2.88%, 04/15/30 (a) | 25,000 | 27,432 | ||||||
3.70%, 10/17/23 (a) | 51,000 | 55,611 | ||||||
4.55%, 04/17/38 (a) | 14,000 | 17,880 | ||||||
4.70%, 04/17/48 (a) | 4,000 | 5,455 | ||||||
General Motors Co. | ||||||||
5.20%, 04/01/45 (a) | 4,000 | 4,307 | ||||||
5.40%, 10/02/23 - 04/01/48 (a) | 19,000 | 20,978 | ||||||
6.13%, 10/01/25 (a) | 66,000 | 76,672 | ||||||
6.80%, 10/01/27 (a) | 35,000 | 42,568 | ||||||
General Motors Financial Company Inc. | ||||||||
3.45%, 01/14/22 - 04/10/22 (a) | 441,000 | 452,521 | ||||||
3.55%, 04/09/21 (a) | 104,000 | 105,350 | ||||||
5.25%, 03/01/26 (a) | 24,000 | 27,075 | ||||||
Georgia-Pacific LLC | ||||||||
1.75%, 09/30/25 (a)(g) | 90,000 | 93,825 | ||||||
3.60%, 03/01/25 (a)(g) | 41,000 | 45,554 | ||||||
Gilead Sciences Inc. | ||||||||
1.20%, 10/01/27 | 35,000 | 35,190 | ||||||
1.65%, 10/01/30 | 30,000 | 30,016 | ||||||
2.60%, 10/01/40 | 74,000 | 73,699 | ||||||
2.80%, 10/01/50 | 74,000 | 73,471 | ||||||
2.95%, 03/01/27 (a) | 6,000 | 6,614 | ||||||
3.50%, 02/01/25 (a) | 13,000 | 14,375 | ||||||
3.65%, 03/01/26 (a) | 99,000 | 111,726 | ||||||
4.15%, 03/01/47 (a) | 10,000 | 12,162 | ||||||
4.80%, 04/01/44 (a) | 11,000 | 14,265 | ||||||
GlaxoSmithKline Capital Inc. | ||||||||
3.38%, 05/15/23 (a) | 29,000 | 31,213 | ||||||
3.63%, 05/15/25 (a) | 28,000 | 31,690 | ||||||
GlaxoSmithKline Capital PLC | 32,000 | 36,927 | ||||||
Glencore Finance Canada Ltd. | 86,000 | 91,171 | ||||||
Glencore Funding LLC | 50,000 | 48,614 |
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, 2020
Principal Amount ($) | Fair Value $ | |||||||
Gray Oak Pipeline LLC | ||||||||
2.00%, 09/15/23 (g) | 125,000 | 125,770 | ||||||
2.60%, 10/15/25 (g) | 90,000 | 90,406 | ||||||
Halliburton Co. | ||||||||
3.80%, 11/15/25 (a) | 2,000 | 2,173 | ||||||
5.00%, 11/15/45 (a) | 16,000 | 16,335 | ||||||
HCA Inc. | ||||||||
4.13%, 06/15/29 (a) | 100,000 | 113,119 | ||||||
4.50%, 02/15/27 (a) | 45,000 | 50,488 | ||||||
Health Care Service Corp. | ||||||||
2.20%, 06/01/30 (a)(g) | 110,000 | 112,722 | ||||||
3.20%, 06/01/50 (a)(g) | 23,000 | 23,845 | ||||||
Healthcare Trust of America Holdings LP | 40,000 | 39,404 | ||||||
Hess Corp. | ||||||||
5.60%, 02/15/41 (a) | 8,000 | 8,700 | ||||||
5.80%, 04/01/47 (a) | 5,000 | 5,522 | ||||||
Hewlett Packard Enterprise Co. | 7,000 | 8,882 | ||||||
Highwoods Realty LP | ||||||||
4.13%, 03/15/28 (a) | 42,000 | 46,369 | ||||||
4.20%, 04/15/29 (a) | 127,000 | 142,080 | ||||||
Honeywell International Inc. | 53,000 | 58,597 | ||||||
Hormel Foods Corp. | 93,000 | 95,759 | ||||||
HSBC Holdings PLC | 248,000 | 265,705 | ||||||
HSBC Holdings PLC (2.13% fixed rate until 09/22/27; 1.73% + SOFR thereafter) | 200,000 | 198,662 | ||||||
Huntington Bancshares Inc. | 84,000 | 88,060 | ||||||
Hyundai Capital America | 17,000 | 17,501 | ||||||
Imperial Brands Finance PLC | 203,000 | 212,048 | ||||||
ING Groep N.V. | 204,000 | 223,643 | ||||||
Ingredion Inc. | ||||||||
2.90%, 06/01/30 (a) | 110,000 | 119,500 | ||||||
3.90%, 06/01/50 (a) | 20,000 | 22,535 | ||||||
Intel Corp. | ||||||||
2.45%, 11/15/29 (a) | 72,000 | 78,312 | ||||||
2.60%, 05/19/26 (a) | 33,000 | 36,226 | ||||||
3.10%, 02/15/60 (a) | 43,000 | 46,390 |
Principal Amount ($) | Fair Value $ | |||||||
Intercontinental Exchange Inc. | ||||||||
1.85%, 09/15/32 (a) | 20,000 | 19,957 | ||||||
2.65%, 09/15/40 (a) | 20,000 | 20,030 | ||||||
3.00%, 09/15/60 (a) | 40,000 | 40,552 | ||||||
International Business Machines Corp. | ||||||||
4.15%, 05/15/39 (a) | 141,000 | 172,825 | ||||||
4.25%, 05/15/49 (a) | 141,000 | 176,735 | ||||||
International Paper Co. | 45,000 | 55,178 | ||||||
Interstate Power & Light Co. | 24,000 | 26,448 | ||||||
ITC Holdings Corp. | 110,000 | 118,607 | ||||||
Jabil Inc. | 24,000 | 26,390 | ||||||
John Deere Capital Corp. | 150,000 | 163,245 | ||||||
Johnson & Johnson | 38,000 | 46,312 | ||||||
Johnson Controls International PLC | 8,000 | 9,992 | ||||||
JPMorgan Chase & Co. | ||||||||
3.30%, 04/01/26 (a) | 238,000 | 264,428 | ||||||
3.63%, 12/01/27 (a) | 45,000 | 50,239 | ||||||
JPMorgan Chase & Co. (2.96% fixed rate until 05/13/30; 2.52% + SOFR thereafter) | 70,000 | 75,035 | ||||||
JPMorgan Chase & Co. (3.88% fixed rate until 07/24/37; 1.36% + 3 month USD LIBOR thereafter) | 110,000 | 129,741 | ||||||
JPMorgan Chase & Co. (3.90% fixed rate until 01/23/48; 1.22% + 3 month USD LIBOR thereafter) | 45,000 | 54,154 | ||||||
JPMorgan Chase & Co. (3.96% fixed rate until 01/29/26; 1.25% + 3 month USD LIBOR thereafter) | 152,000 | 173,231 |
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, 2020
Principal Amount ($) | Fair Value $ | |||||||
JPMorgan Chase & Co. (4.01% fixed rate until 04/23/28; 1.12% + 3 month USD LIBOR thereafter) | 76,000 | 88,123 | ||||||
JPMorgan Chase & Co. (4.60% fixed rate until 02/01/25; 3.13% + SOFR thereafter) | 81,000 | 78,763 | ||||||
JPMorgan Chase & Co. (6.10% fixed rate until 10/01/24; 3.33% + 3 month USD LIBOR thereafter) | 170,000 | 178,446 | ||||||
Keurig Dr Pepper Inc. | ||||||||
3.20%, 05/01/30 (a) | 49,000 | 54,971 | ||||||
3.55%, 05/25/21 (a) | 150,000 | 153,060 | ||||||
3.80%, 05/01/50 (a) | 73,000 | 83,795 | ||||||
4.50%, 11/15/45 (a) | 12,000 | 14,868 | ||||||
4.60%, 05/25/28 (a) | 19,000 | 22,860 | ||||||
KeyCorp | 133,000 | 140,898 | ||||||
Kinder Morgan Energy Partners LP | ||||||||
3.50%, 03/01/21 (a) | 88,000 | 88,632 | ||||||
4.70%, 11/01/42 (a) | 5,000 | 5,362 | ||||||
5.00%, 03/01/43 (a) | 16,000 | 17,755 | ||||||
6.38%, 03/01/41 (a) | 13,000 | 16,040 | ||||||
Kinder Morgan Inc. | 13,000 | 14,677 | ||||||
KLA Corp. | ||||||||
3.30%, 03/01/50 (a) | 95,000 | 99,892 | ||||||
4.10%, 03/15/29 (a) | 90,000 | 107,896 | ||||||
4.65%, 11/01/24 (a) | 66,000 | 75,350 | ||||||
Kohl’s Corp. | 21,000 | 24,777 | ||||||
L3Harris Technologies Inc. | 194,000 | 222,871 | ||||||
Lear Corp. | ||||||||
4.25%, 05/15/29 (a) | 34,000 | 36,748 | ||||||
5.25%, 05/15/49 (a) | 15,000 | 16,272 | ||||||
Leidos Inc. | ||||||||
2.95%, 05/15/23 (a)(g) | 88,000 | 92,586 | ||||||
3.63%, 05/15/25 (a)(g) | 25,000 | 27,686 | ||||||
4.38%, 05/15/30 (a)(g) | 86,000 | 100,699 | ||||||
Liberty Mutual Group Inc. | 21,000 | 23,195 | ||||||
Life Storage LP | 70,000 | 70,164 |
Principal Amount ($) | Fair Value $ | |||||||
Lincoln National Corp. | ||||||||
3.63%, 12/12/26 (a) | 32,000 | 36,052 | ||||||
4.35%, 03/01/48 (a) | 104,000 | 119,602 | ||||||
Lloyds Banking Group PLC | 200,000 | 221,868 | ||||||
Lockheed Martin Corp. | ||||||||
3.55%, 01/15/26 (a) | 9,000 | 10,245 | ||||||
3.80%, 03/01/45 (a) | 18,000 | 21,434 | ||||||
4.50%, 05/15/36 (a) | 27,000 | 34,529 | ||||||
Loews Corp. | 25,000 | 27,932 | ||||||
Lowe’s Companies Inc. | ||||||||
3.70%, 04/15/46 (a) | 14,000 | 16,041 | ||||||
4.05%, 05/03/47 (a) | 12,000 | 14,280 | ||||||
4.55%, 04/05/49 (a) | 31,000 | 39,770 | ||||||
LYB International Finance BV | 7,000 | 8,341 | ||||||
LYB International Finance II BV | 9,000 | 9,996 | ||||||
Marathon Oil Corp. | 14,000 | 14,373 | ||||||
Mars Inc. | ||||||||
0.88%, 07/16/26 (a)(g) | 40,000 | 39,741 | ||||||
1.63%, 07/16/32 (a)(g) | 65,000 | 64,441 | ||||||
2.38%, 07/16/40 (a)(g) | 65,000 | 64,541 | ||||||
2.45%, 07/16/50 (a)(g) | 41,000 | 38,687 | ||||||
Marsh & McLennan Companies Inc. | 44,000 | 46,152 | ||||||
Masco Corp. | 7,000 | 7,794 | ||||||
Mastercard Inc. | ||||||||
3.30%, 03/26/27 (a) | 40,000 | 45,752 | ||||||
3.85%, 03/26/50 (a) | 15,000 | 19,135 | ||||||
McCormick & Company Inc. | ||||||||
2.50%, 04/15/30 (a) | 39,000 | 41,724 | ||||||
3.25%, 11/15/25 (a) | 254,000 | 278,105 | ||||||
McDonald’s Corp. | ||||||||
3.60%, 07/01/30 (a) | 68,000 | 79,277 | ||||||
3.63%, 09/01/49 (a) | 12,000 | 13,435 | ||||||
3.70%, 01/30/26 (a) | 9,000 | 10,260 | ||||||
3.80%, 04/01/28 (a) | 25,000 | 29,152 | ||||||
4.20%, 04/01/50 (a) | 33,000 | 40,297 | ||||||
4.88%, 12/09/45 (a) | 17,000 | 22,035 | ||||||
McKesson Corp. | 113,000 | 113,585 | ||||||
Medtronic Inc. | 4,000 | 5,506 | ||||||
Memorial Sloan-Kettering Cancer Center | 34,000 | 43,998 |
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, 2020
Principal Amount ($) | Fair Value $ | |||||||
Merck & Company Inc. | ||||||||
1.45%, 06/24/30 (a) | 110,000 | 111,676 | ||||||
2.45%, 06/24/50 (a) | 105,000 | 104,563 | ||||||
2.75%, 02/10/25 (a) | 23,000 | 24,984 | ||||||
4.00%, 03/07/49 (a) | 6,000 | 7,608 | ||||||
MetLife Inc. | ||||||||
4.05%, 03/01/45 (a) | 13,000 | 15,893 | ||||||
4.72%, 12/15/44 (a) | 63,000 | 82,748 | ||||||
Microchip Technology Inc. | 471,000 | 487,297 | ||||||
Micron Technology Inc. | 65,000 | 67,469 | ||||||
Microsoft Corp. | ||||||||
2.40%, 08/08/26 (a) | 63,000 | 68,810 | ||||||
2.68%, 06/01/60 (a) | 11,000 | 11,600 | ||||||
2.88%, 02/06/24 (a) | 150,000 | 161,284 | ||||||
3.45%, 08/08/36 (a) | 18,000 | 21,791 | ||||||
3.50%, 02/12/35 (a) | 18,000 | 22,181 | ||||||
3.70%, 08/08/46 (a) | 74,000 | 93,213 | ||||||
3.95%, 08/08/56 (a) | 56,000 | 73,652 | ||||||
4.10%, 02/06/37 (a) | 5,000 | 6,464 | ||||||
Morgan Stanley | ||||||||
2.75%, 05/19/22 (a) | 200,000 | 207,250 | ||||||
3.70%, 10/23/24 (a) | 130,000 | 144,252 | ||||||
3.95%, 04/23/27 (a) | 183,000 | 207,054 | ||||||
4.35%, 09/08/26 (a) | 67,000 | 77,301 | ||||||
5.00%, 11/24/25 (a) | 397,000 | 466,217 | ||||||
Morgan Stanley (2.72% fixed rate until 07/22/24; 1.15% + SOFR thereafter) | 197,000 | 209,488 | ||||||
Morgan Stanley (3.62% fixed rate until 04/01/30; 3.12% + SOFR thereafter) | 55,000 | 63,112 | ||||||
Morgan Stanley (3.97% fixed rate until 07/22/37; 1.46% + 3 month USD LIBOR thereafter) | 91,000 | 107,667 | ||||||
MPLX LP | ||||||||
1.75%, 03/01/26 (a) | 40,000 | 40,019 | ||||||
2.65%, 08/15/30 (a) | 50,000 | 48,819 | ||||||
3.38%, 03/15/23 (a) | 164,000 | 172,720 | ||||||
5.20%, 12/01/47 (a) | 8,000 | 8,577 | ||||||
5.25%, 01/15/25 (a) | 162,000 | 167,988 | ||||||
6.25%, 10/15/22 (a) | 48,000 | 48,070 | ||||||
MPLX LP (1.41% fixed rate until 11/02/20; 1.10% + 3 month USD LIBOR) | 65,000 | 64,965 |
Principal Amount ($) | Fair Value $ | |||||||
Mylan Inc. | 14,000 | 17,467 | ||||||
National Oilwell Varco Inc. | 61,000 | 59,463 | ||||||
National Retail Properties Inc. | 82,000 | 91,002 | ||||||
Newfield Exploration Co. | 217,000 | 210,635 | ||||||
Newmont Corp. | 21,000 | 28,628 | ||||||
NextEra Energy Capital Holdings Inc. | 39,000 | 43,727 | ||||||
NextEra Energy Capital Holdings Inc. (5.65% fixed rate until 05/01/29; 3.16% + 3 month USD LIBOR thereafter) | 80,000 | 91,035 | ||||||
NIKE Inc. | ||||||||
2.40%, 03/27/25 (a) | 78,000 | 83,869 | ||||||
3.38%, 03/27/50 (a) | 23,000 | 26,848 | ||||||
NiSource Inc. | ||||||||
3.60%, 05/01/30 (a) | 47,000 | 53,572 | ||||||
3.95%, 03/30/48 (a) | 14,000 | 16,360 | ||||||
Noble Energy Inc. | ||||||||
3.85%, 01/15/28 (a) | 43,000 | 48,782 | ||||||
3.90%, 11/15/24 (a) | 16,000 | 17,521 | ||||||
4.20%, 10/15/49 (a) | 6,000 | 7,118 | ||||||
5.05%, 11/15/44 (a) | 4,000 | 5,231 | ||||||
Norfolk Southern Corp. | 19,000 | 22,585 | ||||||
Northrop Grumman Corp. | ||||||||
2.55%, 10/15/22 (a) | 64,000 | 66,682 | ||||||
3.85%, 04/15/45 (a) | 4,000 | 4,676 | ||||||
4.03%, 10/15/47 (a) | 7,000 | 8,562 | ||||||
Novartis Capital Corp. | 117,000 | 125,660 | ||||||
Nucor Corp. | ||||||||
3.95%, 05/01/28 (a) | 26,000 | 30,320 | ||||||
4.40%, 05/01/48 (a) | 25,000 | 32,442 | ||||||
Nutrien Ltd. | ||||||||
4.00%, 12/15/26 (a) | 16,000 | 18,462 | ||||||
4.90%, 06/01/43 (a) | 15,000 | 18,284 | ||||||
Nutrition & Biosciences Inc. | ||||||||
1.23%, 10/01/25 (g) | 48,000 | 48,015 | ||||||
3.47%, 12/01/50 (g) | 49,000 | 49,570 | ||||||
NVIDIA Corp. | ||||||||
2.85%, 04/01/30 (a) | 20,000 | 22,475 | ||||||
3.50%, 04/01/50 (a) | 105,000 | 122,606 |
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, 2020
Principal Amount ($) | Fair Value $ | |||||||
NXP BV/NXP Funding LLC/NXP USA Inc. | 95,000 | 100,538 | ||||||
Occidental Petroleum Corp. | ||||||||
2.70%, 08/15/22 (a) | 65,000 | 60,698 | ||||||
2.90%, 08/15/24 (a) | 17,000 | 14,427 | ||||||
Oklahoma Gas & Electric Co. | 35,000 | 39,124 | ||||||
Omnicom Group Inc./Omnicom Capital Inc. | 26,000 | 27,237 | ||||||
Oncor Electric Delivery Company LLC | 16,000 | 19,546 | ||||||
ONEOK Inc. | 38,000 | 39,629 | ||||||
Oracle Corp. | ||||||||
2.40%, 09/15/23 (a) | 18,000 | 18,936 | ||||||
2.65%, 07/15/26 (a) | 28,000 | 30,582 | ||||||
2.95%, 04/01/30 (a) | 117,000 | 130,822 | ||||||
3.60%, 04/01/50 (a) | 95,000 | 106,334 | ||||||
3.80%, 11/15/37 (a) | 8,000 | 9,366 | ||||||
4.00%, 07/15/46 - 11/15/47 (a) | 47,000 | 55,631 | ||||||
4.13%, 05/15/45 (a) | 5,000 | 5,988 | ||||||
Otis Worldwide Corp. | ||||||||
2.06%, 04/05/25 | 55,000 | 57,876 | ||||||
2.57%, 02/15/30 | 30,000 | 32,241 | ||||||
3.36%, 02/15/50 | 25,000 | 27,458 | ||||||
Owens Corning | 18,000 | 20,226 | ||||||
Pacific Gas & Electric Co. | 66,000 | 62,788 | ||||||
Pacific Gas & Electric Co. | ||||||||
2.10%, 08/01/27 (a) | 35,000 | 33,912 | ||||||
3.30%, 08/01/40 (a) | 66,000 | 60,567 | ||||||
3.50%, 08/01/50 (a) | 30,000 | 27,015 | ||||||
PacifiCorp | ||||||||
2.70%, 09/15/30 (a) | 40,000 | 44,062 | ||||||
6.25%, 10/15/37 (a) | 140,000 | 205,429 | ||||||
Parker-Hannifin Corp. | 26,000 | 29,135 | ||||||
PartnerRe Finance B LLC (4.50% fixed rate until 04/01/30; 3.81% + 5 year CMT Rate thereafter) | 175,000 | 175,899 | ||||||
PayPal Holdings Inc. | ||||||||
2.65%, 10/01/26 (a) | 45,000 | 49,082 | ||||||
3.25%, 06/01/50 (a) | 85,000 | 94,144 |
Principal Amount ($) | Fair Value $ | |||||||
PepsiCo Inc. | ||||||||
1.63%, 05/01/30 (a) | 90,000 | 92,355 | ||||||
2.63%, 07/29/29 (a) | 63,000 | 69,694 | ||||||
3.45%, 10/06/46 (a) | 18,000 | 20,840 | ||||||
Pfizer Inc. | ||||||||
2.63%, 04/01/30 (a) | 95,000 | 105,786 | ||||||
2.70%, 05/28/50 (a) | 150,000 | 156,439 | ||||||
3.45%, 03/15/29 (a) | 35,000 | 40,939 | ||||||
3.60%, 09/15/28 (a) | 34,000 | 40,212 | ||||||
3.90%, 03/15/39 (a) | 17,000 | 20,732 | ||||||
4.13%, 12/15/46 (a) | 10,000 | 12,762 | ||||||
4.40%, 05/15/44 (a) | 6,000 | 7,900 | ||||||
Philip Morris International Inc. | ||||||||
1.50%, 05/01/25 (a) | 75,000 | 77,362 | ||||||
2.10%, 05/01/30 (a) | 30,000 | 30,959 | ||||||
4.13%, 03/04/43 (a) | 3,000 | 3,519 | ||||||
Phillips 66 | 221,000 | 214,571 | ||||||
Phillips 66 Partners LP | ||||||||
3.15%, 12/15/29 | 133,000 | 132,338 | ||||||
3.75%, 03/01/28 (a) | 15,000 | 15,653 | ||||||
4.68%, 02/15/45 (a) | 16,000 | 16,145 | ||||||
Plains All American Pipeline LP/PAA Finance Corp. | ||||||||
3.55%, 12/15/29 (a) | 83,000 | 79,970 | ||||||
3.65%, 06/01/22 (a) | 40,000 | 40,961 | ||||||
PPL Capital Funding Inc. | 71,000 | 78,496 | ||||||
Precision Castparts Corp. | 17,000 | 21,160 | ||||||
Prologis LP | 24,000 | 29,373 | ||||||
Prudential Financial Inc. | 44,000 | 49,550 | ||||||
Prudential Financial Inc. (5.70% fixed rate until 09/15/28; 2.67% + 3 month USD LIBOR thereafter) | 102,000 | 115,295 | ||||||
PVH Corp. | 130,000 | 135,773 | ||||||
QUALCOMM Inc. | ||||||||
1.30%, 05/20/28 (a)(g) | 8,000 | 7,970 | ||||||
1.65%, 05/20/32 (a)(g) | 13,000 | 12,864 | ||||||
3.25%, 05/20/27 (a) | 4,000 | 4,488 | ||||||
4.30%, 05/20/47 (a) | 2,000 | 2,568 | ||||||
Quest Diagnostics Inc. | 15,000 | 16,389 | ||||||
Ralph Lauren Corp. | 15,000 | 15,284 |
See Notes to Schedules of Investments and Notes to Financial Statements.
54 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2020
Principal Amount ($) | Fair Value $ | |||||||
Raytheon Technologies Corp. | ||||||||
3.13%, 05/04/27 (a) | 243,000 | 269,954 | ||||||
3.50%, 03/15/27 (a)(g) | 19,000 | 21,391 | ||||||
3.65%, 08/16/23 (a) | 2,000 | 2,162 | ||||||
3.95%, 08/16/25 (a) | 14,000 | 15,926 | ||||||
4.13%, 11/16/28 (a) | 6,000 | 7,100 | ||||||
4.15%, 05/15/45 (a) | 18,000 | 21,759 | ||||||
4.45%, 11/16/38 (a) | 14,000 | 17,224 | ||||||
4.50%, 06/01/42 (a) | 12,000 | 15,116 | ||||||
Realty Income Corp. | ||||||||
3.00%, 01/15/27 (a) | 51,000 | 55,490 | ||||||
3.25%, 01/15/31 (a) | 40,000 | 44,246 | ||||||
Regeneron Pharmaceuticals Inc. | ||||||||
1.75%, 09/15/30 (a) | 75,000 | 73,418 | ||||||
2.80%, 09/15/50 (a) | 35,000 | 32,807 | ||||||
Reliance Steel & Aluminum Co. | ||||||||
1.30%, 08/15/25 (a) | 46,000 | 45,965 | ||||||
2.15%, 08/15/30 (a) | 80,000 | 78,460 | ||||||
Rio Tinto Finance USA PLC | 15,000 | 19,224 | ||||||
Rockwell Automation Inc. | 36,000 | 47,174 | ||||||
Rogers Communications Inc. | 9,000 | 11,693 | ||||||
Roper Technologies Inc. | 104,000 | 114,333 | ||||||
Ross Stores Inc. | 90,000 | 106,120 | ||||||
Royalty Pharma PLC | ||||||||
0.75%, 09/02/23 (a)(g) | 35,000 | 34,936 | ||||||
1.20%, 09/02/25 (a)(g) | 45,000 | 44,928 | ||||||
1.75%, 09/02/27 (a)(g) | 30,000 | 30,064 | ||||||
2.20%, 09/02/30 (a)(g) | 15,000 | 14,978 | ||||||
3.30%, 09/02/40 (a)(g) | 16,000 | 15,858 | ||||||
3.55%, 09/02/50 (a)(g) | 11,000 | 10,661 | ||||||
RPM International Inc. | 21,000 | 23,081 | ||||||
Ryder System Inc. | 105,000 | 113,552 | ||||||
Sabine Pass Liquefaction LLC | 14,000 | 15,181 | ||||||
4.50%, 05/15/30 (a)(g) | 25,000 | 28,164 | ||||||
5.00%, 03/15/27 (a) | 8,000 | 9,020 | ||||||
5.88%, 06/30/26 (a) | 67,000 | 79,237 | ||||||
Schlumberger Holdings Corp. | 16,000 | 17,223 |
Principal Amount ($) | Fair Value $ | |||||||
Sempra Energy | ||||||||
3.80%, 02/01/38 (a) | 11,000 | 12,310 | ||||||
4.00%, 02/01/48 (a) | 26,000 | 29,381 | ||||||
Shell International Finance BV | ||||||||
2.38%, 08/21/22 (a) | 61,000 | 63,296 | ||||||
3.13%, 11/07/49 (a) | 81,000 | 83,720 | ||||||
3.75%, 09/12/46 (a) | 10,000 | 11,258 | ||||||
4.13%, 05/11/35 (a) | 15,000 | 18,077 | ||||||
Shire Acquisitions Investments Ireland DAC | ||||||||
2.88%, 09/23/23 (a) | 2,000 | 2,121 | ||||||
3.20%, 09/23/26 (a) | 12,000 | 13,357 | ||||||
Simon Property Group LP | 67,000 | 71,442 | ||||||
Southern California Edison Co. | ||||||||
2.40%, 02/01/22 (a) | 37,000 | 37,780 | ||||||
2.90%, 03/01/21 (a) | 46,000 | 46,486 | ||||||
4.00%, 04/01/47 (a) | 57,000 | 61,212 | ||||||
4.20%, 03/01/29 (a) | 39,000 | 44,865 | ||||||
Southern Company Gas Capital Corp. | ||||||||
3.95%, 10/01/46 (a) | 41,000 | 45,704 | ||||||
4.40%, 05/30/47 (a) | 13,000 | 15,623 | ||||||
Southwest Airlines Co. | 67,000 | 63,156 | ||||||
Southwestern Electric Power Co. | 23,000 | 24,761 | ||||||
Spectra Energy Partners LP | ||||||||
3.38%, 10/15/26 (a) | 8,000 | 8,781 | ||||||
4.50%, 03/15/45 (a) | 4,000 | 4,518 | ||||||
Standard Chartered PLC (2.82% fixed rate until 01/30/25; 1.21% + 3 month USD LIBOR thereafter) | 203,000 | 210,235 | ||||||
Starbucks Corp. | 19,000 | 22,399 | ||||||
Steel Dynamics Inc. | ||||||||
3.45%, 04/15/30 (a) | 30,000 | 33,027 | ||||||
4.13%, 09/15/25 (a) | 240,000 | 245,261 | ||||||
Stryker Corp. | ||||||||
1.95%, 06/15/30 (a) | 88,000 | 89,781 | ||||||
2.90%, 06/15/50 (a) | 40,000 | 41,070 | ||||||
Sumitomo Mitsui Financial Group Inc. | 400,000 | 421,124 | ||||||
Suncor Energy Inc. | 5,000 | 5,111 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 55 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2020
Principal Amount ($) | Fair Value $ | |||||||
Sunoco Logistics Partners Operations LP | 19,000 | 17,714 | ||||||
Sysco Corp. | ||||||||
3.25%, 07/15/27 (a) | 19,000 | 20,640 | ||||||
5.95%, 04/01/30 (a) | 15,000 | 18,944 | ||||||
6.60%, 04/01/50 (a) | 10,000 | 14,038 | ||||||
T-Mobile USA Inc. | ||||||||
3.50%, 04/15/25 (a)(g) | 55,000 | 60,324 | ||||||
3.75%, 04/15/27 (a)(g) | 100,000 | 112,143 | ||||||
3.88%, 04/15/30 (a)(g) | 30,000 | 34,061 | ||||||
4.50%, 04/15/50 (a)(g) | 15,000 | 17,927 | ||||||
Tampa Electric Co. | 44,000 | 54,475 | ||||||
Target Corp. | 24,000 | 26,248 | ||||||
Teck Resources Ltd. | 42,000 | 43,992 | ||||||
TELUS Corp. | 150,000 | 169,495 | ||||||
Texas Instruments Inc. | 23,000 | 28,436 | ||||||
The Allstate Corp. (5.75% fixed rate until 08/15/23; 2.94% + 3 month USD LIBOR thereafter) | 40,000 | 42,000 | ||||||
The Bank of New York Mellon Corp. (4.63% fixed rate until 09/20/26; 3.13% + 3 month USD LIBOR thereafter) | 86,000 | 88,478 | ||||||
The Bank of Nova Scotia (4.65% fixed rate until 10/12/22; 2.65% + 3 month USD LIBOR thereafter) | 109,000 | 105,681 | ||||||
The Boeing Co. | ||||||||
2.70%, 02/01/27 (a) | 58,000 | 56,563 | ||||||
2.95%, 02/01/30 (a) | 13,000 | 12,580 | ||||||
3.25%, 03/01/28 (a) | 18,000 | 17,787 | ||||||
3.55%, 03/01/38 (a) | 19,000 | 17,241 | ||||||
3.75%, 02/01/50 (a) | 39,000 | 35,588 | ||||||
5.04%, 05/01/27 (a) | 261,000 | 288,230 | ||||||
5.15%, 05/01/30 (a) | 88,000 | 98,916 | ||||||
5.81%, 05/01/50 (a) | 76,000 | 92,364 | ||||||
The Cleveland Electric Illuminating Co. | 71,000 | 83,492 |
Principal Amount ($) | Fair Value $ | |||||||
The Clorox Co. | 110,000 | 112,997 | ||||||
The Coca-Cola Co. | ||||||||
2.60%, 06/01/50 (a) | 137,000 | 139,089 | ||||||
2.75%, 06/01/60 (a) | 45,000 | 45,770 | ||||||
The Dow Chemical Co. | ||||||||
2.10%, 11/15/30 (a) | 65,000 | 64,101 | ||||||
3.60%, 11/15/50 (a) | 65,000 | 65,687 | ||||||
4.25%, 10/01/34 (a) | 26,000 | 30,302 | ||||||
5.55%, 11/30/48 (a) | 16,000 | 20,949 | ||||||
The Estee Lauder Companies Inc. | ||||||||
2.38%, 12/01/29 (a) | 80,000 | 86,370 | ||||||
3.13%, 12/01/49 (a) | 25,000 | 27,585 | ||||||
The George Washington University | 84,000 | 103,169 | ||||||
The Goldman Sachs Group Inc. | ||||||||
2.60%, 02/07/30 (a) | 140,000 | 147,774 | ||||||
3.50%, 04/01/25 - 11/16/26 (a) | 186,000 | 205,572 | ||||||
3.85%, 01/26/27 (a) | 200,000 | 224,898 | ||||||
4.25%, 10/21/25 (a) | 4,000 | 4,540 | ||||||
5.15%, 05/22/45 (a) | 71,000 | 93,048 | ||||||
The Goldman Sachs Group Inc. (3.81% fixed rate until 04/23/28; 1.16% + 3 month USD LIBOR thereafter) | 116,000 | 132,017 | ||||||
The Goldman Sachs Group Inc. (4.02% fixed rate until 10/31/37; 1.37% + 3 month USD LIBOR thereafter) | 50,000 | 58,174 | ||||||
The Hartford Financial Services Group Inc. | 65,000 | 70,374 | ||||||
The Hartford Financial Services Group Inc. (2.41% fixed rate until 11/02/20; 2.13% + 3 month USD LIBOR) | 95,000 | 82,833 | ||||||
The Home Depot Inc. | ||||||||
2.70%, 04/15/30 (a) | 28,000 | 31,153 | ||||||
3.35%, 04/15/50 (a) | 46,000 | 53,098 | ||||||
3.50%, 09/15/56 (a) | 21,000 | 24,705 | ||||||
3.90%, 12/06/28 - 06/15/47 (a) | 64,000 | 77,596 | ||||||
4.50%, 12/06/48 (a) | 38,000 | 50,820 |
See Notes to Schedules of Investments and Notes to Financial Statements.
56 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2020
Principal Amount ($) | Fair Value $ | |||||||
The Interpublic Group of Companies Inc. | 139,000 | 143,367 | ||||||
The Kroger Co. | ||||||||
2.20%, 05/01/30 (a) | 41,000 | 43,002 | ||||||
2.95%, 11/01/21 (a) | 43,000 | 44,065 | ||||||
4.65%, 01/15/48 (a) | 12,000 | 15,201 | ||||||
The Mosaic Co. | 4,000 | 4,700 | ||||||
The Procter & Gamble Co. | ||||||||
2.45%, 03/25/25 (a) | 23,000 | 24,889 | ||||||
3.60%, 03/25/50 (a) | 45,000 | 57,010 | ||||||
The Sherwin-Williams Co. | ||||||||
3.45%, 06/01/27 (a) | 7,000 | 7,875 | ||||||
4.50%, 06/01/47 (a) | 6,000 | 7,480 | ||||||
The Southern Co. | ||||||||
3.25%, 07/01/26 (a) | 8,000 | 8,920 | ||||||
4.40%, 07/01/46 (a) | 5,000 | 5,898 | ||||||
The Travelers Companies Inc. | 39,000 | 38,251 | ||||||
The Walt Disney Co. | ||||||||
2.65%, 01/13/31 (a) | 65,000 | 70,163 | ||||||
3.38%, 11/15/26 (a) | 7,000 | 7,888 | ||||||
3.60%, 01/13/51 (a) | 66,000 | 74,650 | ||||||
4.00%, 10/01/23 (a) | 358,000 | 390,578 | ||||||
4.75%, 11/15/46 (a) | 5,000 | 6,442 | ||||||
6.65%, 11/15/37 (a) | 31,000 | 46,664 | ||||||
The Williams Companies Inc. | ||||||||
3.75%, 06/15/27 (a) | 6,000 | 6,584 | ||||||
4.85%, 03/01/48 (a) | 15,000 | 16,793 | ||||||
4.90%, 01/15/45 (a) | 52,000 | 56,051 | ||||||
5.40%, 03/04/44 (a) | 4,000 | 4,519 | ||||||
Thermo Fisher Scientific Inc. | ||||||||
4.13%, 03/25/25 (a) | 3,000 | 3,419 | ||||||
4.50%, 03/25/30 (a) | 15,000 | 18,554 | ||||||
Time Warner Cable LLC | ||||||||
4.50%, 09/15/42 (a) | 4,000 | 4,334 | ||||||
6.55%, 05/01/37 (a) | 17,000 | 22,598 | ||||||
TJX Companies Inc. | 11,000 | 14,196 | ||||||
Total Capital International S.A. | 54,000 | 62,031 | ||||||
Trane Technologies Luxembourg Finance S.A. | ||||||||
3.55%, 11/01/24 (a) | 26,000 | 28,617 | ||||||
3.80%, 03/21/29 (a) | 64,000 | 75,039 | ||||||
TransCanada PipeLines Ltd. | ||||||||
4.25%, 05/15/28 (a) | 39,000 | 45,024 | ||||||
4.88%, 01/15/26 (a) | 7,000 | 8,225 |
Principal Amount ($) | Fair Value $ | |||||||
Transcanada Trust (5.63% fixed rate until 05/20/25; 3.53% + 3 month USD LIBOR thereafter) | 85,000 | 86,460 | ||||||
Transcontinental Gas Pipe Line Company LLC | 16,000 | 17,953 | ||||||
Truist Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter) | 83,000 | 83,395 | ||||||
TSMC Global Ltd. | ||||||||
0.75%, 09/28/25 (g) | 247,000 | 244,945 | ||||||
1.00%, 09/28/27 (g) | 201,000 | 200,696 | ||||||
1.38%, 09/28/30 (g) | 201,000 | 197,368 | ||||||
TWDC Enterprises 18 Corp. | 5,000 | 6,014 | ||||||
Tyco Electronics Group S.A. | 28,000 | 30,662 | ||||||
Tyson Foods Inc. | ||||||||
4.00%, 03/01/26 (a) | 79,000 | 90,398 | ||||||
4.55%, 06/02/47 (a) | 4,000 | 5,050 | ||||||
UDR Inc. | ||||||||
2.10%, 08/01/32 (a) | 55,000 | 54,698 | ||||||
3.00%, 08/15/31 (a) | 25,000 | 27,104 | ||||||
Union Pacific Corp. | ||||||||
3.50%, 06/08/23 (a) | 31,000 | 33,394 | ||||||
3.60%, 09/15/37 (a) | 6,000 | 6,954 | ||||||
4.10%, 09/15/67 (a) | 21,000 | 24,958 | ||||||
4.30%, 03/01/49 (a) | 26,000 | 33,535 | ||||||
UnitedHealth Group Inc. | ||||||||
2.00%, 05/15/30 (a) | 70,000 | 73,171 | ||||||
4.45%, 12/15/48 (a) | 18,000 | 23,780 | ||||||
4.75%, 07/15/45 (a) | 9,000 | 12,223 | ||||||
Unum Group | 22,000 | 24,418 | ||||||
Vale S.A. | 19,000 | 22,550 | ||||||
Valero Energy Corp. | ||||||||
2.85%, 04/15/25 (a) | 43,000 | 45,109 | ||||||
4.00%, 04/01/29 (a) | 26,000 | 28,525 | ||||||
Ventas Realty LP | 88,000 | 93,621 | ||||||
Verizon Communications Inc. | ||||||||
2.45%, 11/01/22 (a) | 700,000 | 726,208 | ||||||
3.00%, 03/22/27 | 304,000 | 338,796 | ||||||
4.33%, 09/21/28 (a) | 51,000 | 61,914 | ||||||
4.40%, 11/01/34 (a) | 189,000 | 235,776 | ||||||
4.52%, 09/15/48 (a) | 18,000 | 23,669 |
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 57 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2020
Principal Amount ($) | Fair Value $ | |||||||
4.67%, 03/15/55 (a) | 58,000 | 80,385 | ||||||
5.25%, 03/16/37 (a) | 16,000 | 22,177 | ||||||
ViacomCBS Inc. | ||||||||
2.90%, 01/15/27 (a) | 16,000 | 17,252 | ||||||
3.45%, 10/04/26 (a) | 19,000 | 20,454 | ||||||
3.70%, 06/01/28 (a) | 38,000 | 42,128 | ||||||
5.25%, 04/01/44 (a) | 4,000 | 4,649 | ||||||
Virginia Electric & Power Co. | 42,000 | 52,094 | ||||||
Visa Inc. | ||||||||
2.00%, 08/15/50 (a) | 55,000 | 50,716 | ||||||
2.05%, 04/15/30 (a) | 45,000 | 48,213 | ||||||
2.70%, 04/15/40 (a) | 47,000 | 50,815 | ||||||
Vodafone Group PLC | ||||||||
4.38%, 05/30/28 (a) | 48,000 | 56,903 | ||||||
5.25%, 05/30/48 (a) | 22,000 | 28,385 | ||||||
Vornado Realty LP | 14,000 | 14,563 | ||||||
Vulcan Materials Co. | 14,000 | 15,855 | ||||||
Walmart Inc. | ||||||||
3.63%, 12/15/47 (a) | 14,000 | 17,133 | ||||||
3.70%, 06/26/28 (a) | 29,000 | 34,262 | ||||||
3.95%, 06/28/38 (a) | 29,000 | 36,293 | ||||||
4.05%, 06/29/48 (a) | 43,000 | 56,082 | ||||||
WEC Energy Group Inc. | 30,000 | 33,605 | ||||||
Wells Fargo & Co. | ||||||||
4.15%, 01/24/29 (a) | 82,000 | 96,364 | ||||||
4.75%, 12/07/46 (a) | 71,000 | 88,245 | ||||||
Wells Fargo & Co. (1.65% fixed rate until 06/02/23; 1.60% + SOFR thereafter) | 55,000 | 56,026 | ||||||
Wells Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% + SOFR thereafter) | 70,000 | 73,013 | ||||||
Wells Fargo & Co. (2.88% fixed rate until 10/30/29; 1.17% + 3 month USD LIBOR thereafter) | 20,000 | 21,432 | ||||||
Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter) | 95,000 | 99,046 | ||||||
Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter) | 251,000 | 273,909 |
Principal Amount ($) | Fair Value $ | |||||||
Wells Fargo & Co. (5.88% fixed rate until 06/15/25; 3.99% + 3 month USD LIBOR thereafter) | 117,000 | 125,767 | ||||||
Western Midstream Operating LP | 49,000 | 49,365 | ||||||
Westpac Banking Corp. (2.89% fixed rate until 02/04/25; 1.35% + 5 year CMT Rate thereafter) | 82,000 | 84,700 | ||||||
Westpac Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + 5 year CMT Rate thereafter) | 32,000 | 36,008 | ||||||
Willis North America Inc. | ||||||||
3.60%, 05/15/24 (a) | 75,000 | 81,890 | ||||||
3.88%, 09/15/49 (a) | 45,000 | 52,011 | ||||||
WPP Finance 2010 | 19,000 | 20,836 | ||||||
WRKCo Inc. | 19,000 | 20,425 | ||||||
Xcel Energy Inc. | 55,000 | 63,121 | ||||||
Xilinx Inc. | 15,000 | 16,126 | ||||||
Zoetis Inc. | ||||||||
3.00%, 09/12/27 (a) | 7,000 | 7,746 | ||||||
3.90%, 08/20/28 (a) | 21,000 | 24,828 | ||||||
|
| |||||||
55,365,426 | ||||||||
|
| |||||||
Non-Agency Collateralized Mortgage Obligations - 6.7% |
| |||||||
BANK 2017-BNK7 | 1,168,000 | 1,307,395 | ||||||
BANK 2018-BNK15 | 487,000 | 584,583 | ||||||
Benchmark 2019-B12 Mortgage Trust | 140,000 | 157,632 | ||||||
Benchmark 2019-B9 Mortgage Trust | 1,000,000 | 1,187,700 | ||||||
Cantor Commercial Real Estate Lending 2019-CF3 | 222,000 | 247,576 | ||||||
CD 2019-CD8 Mortgage Trust | 827,000 | 917,265 |
See Notes to Schedules of Investments and Notes to Financial Statements.
58 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2020
Principal Amount ($) | Fair Value $ | |||||||
Citigroup Commercial Mortgage Trust 2015-GC35 | 158,000 | 135,286 | ||||||
Citigroup Commercial Mortgage Trust 2015-P1 | 717,000 | 799,911 | ||||||
Citigroup Commercial Mortgage Trust 2016-P6 | 126,803 | 144,238 | ||||||
GS Mortgage Securities Trust 2012-GCJ9 | 684,438 | 21,832 | ||||||
GS Mortgage Securities Trust 2015-GS1 | 213,000 | 181,317 | ||||||
GS Mortgage Securities Trust 2016-GS3 | 379,000 | 411,227 | ||||||
GS Mortgage Securities Trust 2019-GC42 | 773,000 | 848,584 | ||||||
GS Mortgage Securities Trust 2019-GSA1 | 376,000 | 422,436 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9 | 578,001 | 14,743 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C32 | 494,000 | 427,880 | ||||||
MASTR Alternative Loan Trust 2003-5 | 1,098 | 12 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21 | 3,482,646 | 103,542 | ||||||
Morgan Stanley Capital I Trust 2006-IQ11 | 138,884 | 137,084 | ||||||
UBS Commercial Mortgage Trust 2018-C12 | 189,000 | 200,065 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C26 | 2,712,334 | 118,553 |
Principal Amount ($) or Shares | Fair Value $ | |||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | 544,000 | 593,403 | ||||||
|
| |||||||
8,962,264 | ||||||||
|
| |||||||
Sovereign Bonds - 0.6% |
| |||||||
Government of Chile | 203,000 | 214,427 | ||||||
Government of Mexico | 202,000 | 215,817 | ||||||
Government of Peru | 113,000 | 180,232 | ||||||
Government of Uruguay | �� | 117,568 | 157,804 | |||||
|
| |||||||
768,280 | ||||||||
|
| |||||||
Municipal Bonds and Notes - 0.4% |
| |||||||
American Municipal Power Inc. | 105,000 | 152,111 | ||||||
Board of Regents of the University of Texas System | 95,000 | 113,462 | ||||||
State of California | 165,000 | 196,518 | ||||||
State of Illinois | 100,000 | 101,059 | ||||||
|
| |||||||
563,150 | ||||||||
|
| |||||||
Total Bonds and Notes (Cost $126,597,064) | 131,784,406 | |||||||
|
| |||||||
Domestic Equity - 0.2% |
| |||||||
Preferred Stock - 0.2% |
| |||||||
Wells Fargo & Co. 5.85%, 3.09% + 3 month USD LIBOR | 8,578 | 223,543 | ||||||
|
| |||||||
Total Investments in Securities (Cost $126,811,514) |
| 132,007,949 | ||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
State Street Active Core Bond Fund | 59 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2020
Number of Shares | Fair Value $ | |||||||
Short-Term Investments - 6.8% |
| |||||||
State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.07% | 9,155,711 | 9,155,711 | ||||||
|
| |||||||
Total Investments (Cost $135,967,225) | 141,163,660 | |||||||
Liabilities in Excess of Other Assets, net - (5.2)% |
| (7,009,396 | ) | |||||
|
| |||||||
NET ASSETS - 100.0% | 134,154,264 | |||||||
|
|
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 (Paid) | Unrealized Appreciation/ Depreciation | |||||||||||||||||||
Sell Protection |
| |||||||||||||||||||||||||
Markit CDX North America High Yield Index | Intercontinental Exchange | $ | 4,867 | | 1.00%/ Quarterly | 12/20/24 | $ | 39,288 | $ | (67,968 | ) | $ | 107,256 | |||||||||||||
Markit CDX North America High Yield Index | Intercontinental Exchange | 2,695 | | 5.00%/ Quarterly | 06/20/25 | 131,520 | (158,823 | ) | 290,343 | |||||||||||||||||
|
| |||||||||||||||||||||||||
$ | 397,599 | |||||||||||||||||||||||||
|
|
The Fund had the following long futures contracts open at September 30, 2020:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
Ultra Long-Term U.S. Treasury Bond Futures | December 2020 | 19 | $ | 4,210,991 | $ | 4,214,438 | $ | 3,447 | ||||||||||||
U.S. Long Bond Futures | December 2020 | 8 | 1,411,930 | 1,410,250 | (1,680 | ) | ||||||||||||||
2 Yr. U.S. Treasury Notes Futures | December 2020 | 32 | 7,066,889 | 7,070,750 | 3,861 | |||||||||||||||
|
| |||||||||||||||||||
$ | 5,628 | |||||||||||||||||||
|
|
See Notes to Schedules of Investments and Notes to Financial Statements.
60 | State Street Active Core Bond Fund |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2020
The Fund had the following short futures contracts open at September 30, 2020:
Description | Expiration date | Number of Contracts | Notional Amount | Value | Unrealized Appreciation (Depreciation) | |||||||||||||||
5 Yr. U.S. Treasury Notes Futures | December 2020 | 19 | $ | (2,390,917 | ) | $ | (2,394,594 | ) | $ | (3,677 | ) | |||||||||
10 Yr. U.S. Treasury Notes Futures | December 2020 | 39 | (6,242,969 | ) | (6,233,999 | ) | 8,970 | |||||||||||||
10 Yr. U.S. Treasury Notes Futures | December 2020 | 30 | (4,186,108 | ) | (4,185,938 | ) | 170 | |||||||||||||
|
| |||||||||||||||||||
$ | 5,463 | |||||||||||||||||||
|
| |||||||||||||||||||
$ | 11,091 | |||||||||||||||||||
|
|
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 | $ | — | $ | 18,377 | $ | — | $ | — | $ | 20,573,333 | $ | 8,908,301 | $ | 8,170,547 | $ | 6,943,782 |
Notes to Schedule of Investments — September 30, 2020
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 Fund’s future investments and should not be construed as a recommendation to purchase or sell a particular security. See the Fund’s summary prospectus and statutory prospectus for complete descriptions of investment objectives, policies, risks and permissible investments.
(a) | At September 30, 2020, all or a portion of this security was pledged to cover collateral requirements for futures, swaps and/or TBAs. |
(b) | Variable Rate Security - Interest rate shown is rate in effect at September 30, 2020. For securities based on a published reference rate and spread, the reference rate and spread are indicated in the description above. |
(c) | 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. |
(d) | Settlement is on a delayed delivery or when-issued basis with final maturity to be announced (“TBA”) in the future. |
(e) | 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. |
(f) | Coupon amount represents effective yield. |
(g) | 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, 2020, these securities amounted to $8,083,186 or 6.03% 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. |
(h) | Step coupon bond. |
(i) | Sponsored by SSGA Funds Management, Inc., the Fund’s investment adviser and administrator, and an affiliate of State Street Bank & Trust Co., the Fund’s sub-administrator, custodian and accounting agent. |
† | Percentages are based on net assets as of September 30, 2020. |
* | Amount is less than $0.50. |
Abbreviations:
CMT Constant Maturity Treasury
LIBOR London Interbank Offered Rate
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 Active Core Bond Fund | 61 |
Table of Contents
State Street Active Core Bond Fund
Schedule of Investments, continued — September 30, 2020
The following table presents the Fund’s investments measured at fair value on a recurring basis at September 30, 2020:
Fund | Investments | Level 1 | Level 2 | Level 3 | Total | |||||||||||||
State Street Active Core Bond Fund | Investments in Securities | |||||||||||||||||
U.S. Treasuries | $ | — | $ | 24,255,675 | $ | — | $ | 24,255,675 | ||||||||||
Agency Mortgage Backed | — | 32,750,893 | — | 32,750,893 | ||||||||||||||
Agency Collateralized Mortgage Obligations | — | 6,544,107 | — | 6,544,107 | ||||||||||||||
Asset Backed | — | 2,574,611 | — | 2,574,611 | ||||||||||||||
Corporate Notes | — | 55,365,426 | — | 55,365,426 | ||||||||||||||
Non-Agency Collateralized Mortgage Obligations | — | 8,962,264 | — | 8,962,264 | ||||||||||||||
Sovereign Bonds | — | 768,280 | — | 768,280 | ||||||||||||||
Municipal Bonds and Notes | — | 563,150 | — | 563,150 | ||||||||||||||
Preferred Stock | 223,543 | — | — | 223,543 | ||||||||||||||
Short-Term Investments | 9,155,711 | — | — | 9,155,711 | ||||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Investments in Securities | $ | 9,379,254 | $ | 131,784,406 | $ | — | $ | 141,163,660 | ||||||||||
|
|
|
|
|
|
|
| |||||||||||
Other Financial Instruments | ||||||||||||||||||
Credit Default Swap Contracts - Unrealized Appreciation | $ | — | $ | 397,599 | $ | — | $ | 397,599 | ||||||||||
Long Futures Contracts - Unrealized Appreciation | 7,308 | — | — | 7,308 | ||||||||||||||
Long Futures Contracts - Unrealized Depreciation | (1,680 | ) | — | — | (1,680 | ) | ||||||||||||
Short Futures Contracts - Unrealized Appreciation | 9,140 | — | — | 9,140 | ||||||||||||||
Short Futures Contracts - Unrealized Depreciation | (3,677 | ) | — | — | (3,677 | ) | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||
Total Other Financial Instruments | $ | 11,091 | $ | 397,599 | $ | — | $ | 408,690 | ||||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 9/30/19 | Value At 9/30/19 | Cost of Purchases | Proceeds Shares Sold | Realized Gain (Loss) | Change in Unrealized Appreciation/ Depreciation | Number of Shares Held at 9/30/20 | Value at 9/30/20 | Dividend Income | ||||||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Class G Shares | 47,836,549 | $ | 47,836,549 | $ | 107,853,067 | $ | 146,533,905 | $ | — | $ | — | 9,155,711 | $ | 9,155,711 | $ | 184,582 |
See Notes to Schedules of Investments and Notes to Financial Statements.
62 | State Street Active Core Bond Fund |
Table of Contents
State Street Institutional U.S. Equity Fund
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | ||||||||||||||||
Inception date | 11/25/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 12.30 | $ | 13.74 | $ | 14.95 | $ | 13.50 | $ | 14.46 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.14 | (a) | 0.15 | (a) | 0.16 | (a) | 0.18 | (a) | 0.21 | (a) | ||||||||||
Net realized and unrealized gains/(losses) on investments | 2.35 | (a) | 0.05 | (a) | 1.95 | (a) | 2.16 | (a) | 1.52 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income from investment operations | 2.49 | 0.20 | 2.11 | 2.34 | 1.73 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.16 | 0.18 | 0.21 | 0.21 | 0.24 | |||||||||||||||
Net realized gains | 0.66 | 1.46 | 3.11 | 0.68 | 2.45 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.82 | 1.64 | 3.32 | 0.89 | 2.69 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 13.97 | $ | 12.30 | $ | 13.74 | $ | 14.95 | $ | 13.50 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 20.77 | % | 4.43 | % | 16.72 | % | 18.29 | % | 13.29 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 461,624 | $ | 419,296 | $ | 522,658 | $ | 461,828 | $ | 603,060 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 0.37 | % | 0.38 | % | 0.37 | % | 0.37 | % | 0.37 | % | ||||||||||
Gross expenses | 0.37 | % | 0.38 | % | 0.37 | % | 0.37 | % | 0.37 | % | ||||||||||
Net investment income | 1.12 | % | 1.29 | % | 1.21 | % | 1.29 | % | 1.61 | % | ||||||||||
Portfolio turnover rate | 38 | % | 35 | % | 48 | % | 80 | % | 43 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | ||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||
Net asset value, beginning of period | $ | 13.32 | $ | 14.70 | $ | 15.77 | $ | 14.18 | $ | 15.06 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.12 | (a) | 0.14 | (a) | 0.14 | (a) | 0.15 | (a) | 0.19 | (a) | ||||||||||
Net realized and unrealized gains/(losses) on investments | 2.54 | (a) | 0.09 | (a) | 2.08 | (a) | 2.29 | (a) | 1.58 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income from investment operations | 2.66 | 0.23 | 2.22 | 2.44 | 1.77 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.11 | 0.15 | 0.18 | 0.17 | 0.20 | |||||||||||||||
Net realized gains | 0.66 | 1.46 | 3.11 | 0.68 | 2.45 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.77 | 1.61 | 3.29 | 0.85 | 2.65 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 15.21 | $ | 13.32 | $ | 14.70 | $ | 15.77 | $ | 14.18 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 20.52 | % | 4.23 | % | 16.35 | % | 18.07 | % | 12.96 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 58 | $ | 48 | $ | 104 | $ | 95 | $ | 95 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 0.62 | % | 0.63 | % | 0.62 | % | 0.62 | % | 0.62 | % | ||||||||||
Gross expenses | 0.62 | % | 0.63 | % | 0.62 | % | 0.62 | % | 0.62 | % | ||||||||||
Net investment income | 0.87 | % | 1.06 | % | 0.95 | % | 1.04 | % | 1.35 | % | ||||||||||
Portfolio turnover rate | 38 | % | 35 | % | 48 | % | 80 | % | 43 | % |
(a) | Per share values have been calculated using the average share method. |
(b) | Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. |
See Notes to Financial Highlights and Notes to Financial Statements
Financial Highlights | 63 |
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 | ||||||||||||||||||||
9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | ||||||||||||||||
Inception date | 10/29/99 | |||||||||||||||||||
Net asset value, beginning of period | $ | 15.51 | $ | 17.49 | $ | 15.69 | $ | 14.23 | $ | 13.61 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.05 | (a) | 0.09 | (a) | 0.11 | (a) | 0.13 | (a) | 0.13 | (a) | ||||||||||
Net realized and unrealized gains/(losses) on investments | 3.89 | (a) | (0.03 | )(a) | 2.82 | (a) | 2.60 | (a) | 1.88 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income from investment operations | 3.94 | 0.06 | 2.93 | 2.73 | 2.01 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.09 | 0.11 | 0.13 | 0.12 | 0.14 | |||||||||||||||
Net realized gains | 8.64 | 1.93 | 1.00 | 1.15 | 1.25 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 8.73 | 2.04 | 1.13 | 1.27 | 1.39 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 10.72 | $ | 15.51 | $ | 17.49 | $ | 15.69 | $ | 14.23 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 39.25 | % | 3.57 | % | 19.64 | % | 21.18 | % | 15.25 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 73,933 | $ | 192,144 | $ | 365,078 | $ | 360,416 | $ | 325,700 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 0.42 | % | 0.39 | % | 0.38 | % | 0.38 | % | 0.38 | % | ||||||||||
Gross expenses | 0.42 | % | 0.39 | % | 0.38 | % | 0.38 | % | 0.38 | % | ||||||||||
Net investment income | 0.40 | % | 0.59 | % | 0.68 | % | 0.88 | % | 0.95 | % | ||||||||||
Portfolio turnover rate | 28 | % | 27 | % | 21 | % | 24 | % | 21 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | ||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||
Net asset value, beginning of period | $ | 15.27 | $ | 17.24 | $ | 15.48 | $ | 14.06 | $ | 13.46 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.01 | (a) | 0.05 | (a) | 0.07 | (a) | 0.09 | (a) | 0.09 | (a) | ||||||||||
Net realized and unrealized gains/(losses) on investments | 3.80 | (a) | (0.02 | )(a) | 2.78 | (a) | 2.57 | (a) | 1.87 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income from investment operations | 3.81 | 0.03 | 2.85 | 2.66 | 1.96 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.04 | 0.07 | 0.09 | 0.09 | 0.11 | |||||||||||||||
Net realized gains | 8.64 | 1.93 | 1.00 | 1.15 | 1.25 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 8.68 | 2.00 | 1.09 | 1.24 | 1.36 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 10.40 | $ | 15.27 | $ | 17.24 | $ | 15.48 | $ | 14.06 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 38.83 | % | 3.32 | % | 19.37 | % | 20.84 | % | 14.99 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 8,832 | $ | 9,609 | $ | 17,298 | $ | 16,136 | $ | 11,547 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 0.69 | % | 0.64 | % | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||
Gross expenses | 0.69 | % | 0.64 | % | 0.63 | % | 0.63 | % | 0.63 | % | ||||||||||
Net investment income | 0.08 | % | 0.34 | % | 0.43 | % | 0.62 | % | 0.67 | % | ||||||||||
Portfolio turnover rate | 28 | % | 27 | % | 21 | % | 24 | % | 21 | % |
(a) | Per share values have been calculated using the average share method. |
(b) | Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. |
See Notes to Financial Highlights and Notes to Financial Statements
64 | Financial Highlights |
Table of Contents
State Street Institutional Small-Cap Equity Fund
Financial Highlights
Selected data based on a share outstanding throughout the fiscal years indicated
Investment Class | ||||||||||||||||||||
9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | ||||||||||||||||
Inception date | 8/3/98 | |||||||||||||||||||
Net asset value, beginning of period | $ | 17.04 | $ | 21.94 | $ | 20.79 | $ | 17.96 | $ | 17.18 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.05 | (a) | 0.06 | (a) | 0.03 | (a) | 0.05 | (a) | 0.04 | (a) | ||||||||||
Net realized and unrealized gains/(losses) on investments | (0.45 | )(a) | (2.06 | )(a) | 2.95 | (a) | 3.42 | (a) | 2.79 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | (0.40 | ) | (2.00 | ) | 2.98 | 3.47 | 2.83 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.07 | 0.04 | 0.04 | 0.04 | 0.03 | |||||||||||||||
Net realized gains | 1.02 | 2.86 | 1.79 | 0.60 | 2.02 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 1.09 | 2.90 | 1.83 | 0.64 | 2.05 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 15.55 | $ | 17.04 | $ | 21.94 | $ | 20.79 | $ | 17.96 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(c) | (3.03 | )% | (6.21 | )% | 15.47 | % | 19.65 | % | 18.24 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 973,165 | $ | 1,255,899 | $ | 1,528,575 | $ | 1,464,018 | $ | 1,298,789 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 0.89 | % | 0.88 | % | 0.88 | % | 0.88 | % | 0.89 | % | ||||||||||
Gross expenses | 0.89 | % | 0.88 | % | 0.88 | % | 0.88 | % | 0.89 | % | ||||||||||
Net investment income | 0.33 | % | 0.37 | % | 0.14 | % | 0.27 | % | 0.25 | % | ||||||||||
Portfolio turnover rate | 31 | % | 29 | % | 38 | % | 34 | % | 33 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | ||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||
Net asset value, beginning of period | $ | 17.02 | $ | 21.93 | $ | 20.79 | $ | 17.98 | $ | 17.21 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income (loss) | 0.01 | (a) | 0.02 | (a) | (0.02 | )(a) | 0.01 | (a) | (0.00 | )(a)(b) | ||||||||||
Net realized and unrealized gains/(losses) on investments | (0.46 | )(a) | (2.05 | )(a) | 2.95 | (a) | 3.41 | (a) | 2.80 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | (0.45 | ) | (2.03 | ) | 2.93 | 3.42 | 2.80 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.02 | 0.02 | — | 0.01 | 0.01 | |||||||||||||||
Net realized gains | 1.02 | 2.86 | 1.79 | 0.60 | 2.02 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 1.04 | 2.88 | 1.79 | 0.61 | 2.03 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 15.53 | $ | 17.02 | $ | 21.93 | $ | 20.79 | $ | 17.98 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(c) | (3.30 | )% | (6.44 | )% | 15.14 | % | 19.38 | % | 17.96 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 1,750 | $ | 1,937 | $ | 2,671 | $ | 2,373 | $ | 2,579 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 1.14 | % | 1.13 | % | 1.13 | % | 1.13 | % | 1.14 | % | ||||||||||
Gross expenses | 1.14 | % | 1.13 | % | 1.13 | % | 1.13 | % | 1.14 | % | ||||||||||
Net investment income (loss) | 0.08 | % | 0.12 | % | (0.11 | )% | 0.03 | % | (0.00 | )%(d) | ||||||||||
Portfolio turnover rate | 31 | % | 29 | % | 38 | % | 34 | % | 33 | % |
(a) | Per share values have been calculated using the average share method. |
(b) | Rounds to less than $0.005. |
(c) | Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. |
(d) | Less than 0.005%. |
See Notes to Financial Highlights and Notes to Financial Statements
Financial Highlights | 65 |
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 | ||||||||||||||||||||
9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | ||||||||||||||||
Inception date | 11/25/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 13.42 | $ | 13.37 | $ | 13.42 | $ | 11.83 | $ | 11.41 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.32 | (a) | 0.15 | (a) | 0.23 | (a) | 0.17 | (a) | 0.20 | (a) | ||||||||||
Net realized and unrealized gains/(losses) on investments | 0.79 | (a) | 0.22 | (a) | (0.09 | )(a) | 1.63 | (a) | 0.40 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income from investment operations | 1.11 | 0.37 | 0.14 | 1.80 | 0.60 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.27 | 0.32 | 0.19 | 0.21 | 0.18 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.27 | 0.32 | 0.19 | 0.21 | 0.18 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 14.26 | $ | 13.42 | $ | 13.37 | $ | 13.42 | $ | 11.83 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 8.28 | % | 3.18 | % | 1.01 | % | 15.58 | % | 5.32 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 83,672 | $ | 73,060 | $ | 1,095,253 | $ | 1,213,757 | $ | 1,238,011 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 0.55 | % | 0.56 | % | 0.57 | % | 0.57 | % | 0.57 | % | ||||||||||
Gross expenses | 0.69 | % | 0.63 | % | 0.57 | % | 0.57 | % | 0.57 | % | ||||||||||
Net investment income | 2.39 | % | 1.15 | % | 1.68 | % | 1.40 | % | 1.73 | % | ||||||||||
Portfolio turnover rate | 25 | % | 20 | % | 24 | % | 30 | % | 33 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | ||||||||||||||||
Inception date | 1/3/01 | |||||||||||||||||||
Net asset value, beginning of period | $ | 13.37 | $ | 13.28 | $ | 13.34 | $ | 11.76 | $ | 11.33 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.29 | (a) | 0.22 | (a) | 0.20 | (a) | 0.14 | (a) | 0.17 | (a) | ||||||||||
Net realized and unrealized gains/(losses) on investments | 0.79 | (a) | 0.13 | (a) | (0.10 | )(a) | 1.63 | (a) | 0.40 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income from investment operations | 1.08 | 0.35 | 0.10 | 1.77 | 0.57 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: | ||||||||||||||||||||
Net investment income | 0.24 | 0.26 | 0.16 | 0.19 | 0.14 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.24 | 0.26 | 0.16 | 0.19 | 0.14 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 14.21 | $ | 13.37 | $ | 13.28 | $ | 13.34 | $ | 11.76 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 7.96 | % | 3.03 | % | 0.75 | % | 15.33 | % | 5.01 | % | ||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in thousands) | $ | 11,201 | $ | 13,228 | $ | 17,820 | $ | 18,687 | $ | 17,796 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Net expenses | 0.80 | % | 0.81 | % | 0.82 | % | 0.82 | % | 0.82 | % | ||||||||||
Gross expenses | 0.94 | % | 0.94 | % | 0.82 | % | 0.82 | % | 0.82 | % | ||||||||||
Net investment income | 2.19 | % | 1.80 | % | 1.44 | % | 1.14 | % | 1.45 | % | ||||||||||
Portfolio turnover rate | 25 | % | 20 | % | 24 | % | 30 | % | 33 | % |
(a) | Per share values have been calculated using the average share method. |
(b) | Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. |
See Notes to Financial Highlights and Notes to Financial Statements
66 | Financial Highlights |
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 | ||||||||||||||||||||
9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | ||||||||||||||||
Inception date | 11/21/97 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.66 | $ | 9.07 | $ | 9.52 | $ | 9.67 | $ | 9.45 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.21 | (a) | 0.27 | (a) | 0.26 | (a) | 0.24 | (a) | 0.26 | (a) | ||||||||||
Net realized and unrealized gains/(losses) on investments | 0.44 | (a) | 0.60 | (a) | (0.38 | )(a) | (0.15 | )(a) | 0.31 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.65 | 0.87 | (0.12 | ) | 0.09 | 0.57 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.29 | 0.28 | 0.27 | 0.23 | 0.26 | |||||||||||||||
Net realized gains | 0.14 | — | 0.06 | 0.01 | 0.09 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.43 | 0.28 | 0.33 | 0.24 | 0.35 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 9.88 | $ | 9.66 | $ | 9.07 | $ | 9.52 | $ | 9.67 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 6.92 | % | 9.76 | % | (1.35 | )% | 0.98 | % | 6.18 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 133,793 | $ | 115,089 | $ | 221,201 | $ | 220,157 | $ | 298,908 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.28 | % | 0.26 | % | 0.25 | % | 0.24 | % | 0.24 | % | ||||||||||
Gross expenses | 0.29 | % | 0.26 | % | 0.25 | % | 0.24 | % | 0.24 | % | ||||||||||
Net investment income | 2.20 | % | 2.92 | % | 2.83 | % | 2.56 | % | 2.79 | % | ||||||||||
Portfolio turnover rate | 120 | %(c) | 438 | % | 181 | % | 326 | % | 219 | % | ||||||||||
Service Class | ||||||||||||||||||||
9/30/20 | 9/30/19 | 9/30/18 | 9/30/17 | 9/30/16 | ||||||||||||||||
Inception date | 9/30/05 | |||||||||||||||||||
Net asset value, beginning of period | $ | 9.89 | $ | 9.28 | $ | 9.73 | $ | 9.89 | $ | 9.66 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income/(loss) from investment operations: |
| |||||||||||||||||||
Net investment income | 0.19 | (a) | 0.25 | (a) | 0.24 | (a) | 0.22 | (a) | 0.25 | (a) | ||||||||||
Net realized and unrealized gains/(losses) on investments | 0.45 | (a) | 0.62 | (a) | (0.38 | )(a) | (0.16 | )(a) | 0.31 | (a) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total income/(loss) from investment operations | 0.64 | 0.87 | (0.14 | ) | 0.06 | 0.56 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Less distributions from: |
| |||||||||||||||||||
Net investment income | 0.25 | 0.26 | 0.25 | 0.21 | 0.24 | |||||||||||||||
Net realized gains | 0.14 | — | 0.06 | 0.01 | 0.09 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | 0.39 | 0.26 | 0.31 | 0.22 | 0.33 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 10.14 | $ | 9.89 | $ | 9.28 | $ | 9.73 | $ | 9.89 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 6.63 | % | 9.56 | % | (1.51 | )% | 0.65 | % | 5.95 | % | ||||||||||
Ratios/Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in thousands) | $ | 362 | $ | 86 | $ | 80 | $ | 90 | $ | 181 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Net expenses | 0.54 | % | 0.51 | % | 0.50 | % | 0.49 | % | 0.49 | % | ||||||||||
Gross expenses | 0.54 | % | 0.51 | % | 0.50 | % | 0.49 | % | 0.49 | % | ||||||||||
Net investment income | 1.94 | % | 2.65 | % | 2.57 | % | 2.28 | % | 2.58 | % | ||||||||||
Portfolio turnover rate | 120 | %(c) | 438 | % | 181 | % | 326 | % | 219 | % |
(a) | Per share values have been calculated using the average share method. |
(b) | Total returns are historical and assume changes in share price and reinvestment of dividends and capital gains distributions. |
(c) | The portfolio turnover calculated for the period ended 9/30/20 did not include To-Be-Announced transactions and, if it had, the portfolio turnover would have been 405%. |
See Notes to Financial Highlights and Notes to Financial Statements
Financial Highlights | 67 |
Table of Contents
State Street Institutional Funds
Statements of Assets and Liabilities — September 30, 2020
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 $311,272,257; $42,241,829; $791,031,936; $76,884,158; and $126,811,514, respectively) | $ | 455,524,272 | $ | 80,729,536 | $ | 930,904,005 | ||||||
Investments in affiliated securities, at fair value (cost $796,557) | — | 1,035,197 | — | |||||||||
Short-term affiliated investments, at fair value | 5,363,497 | 1,019,025 | 29,664,602 | |||||||||
Cash | 30,448 | 2,357 | 19,497 | |||||||||
Net cash collateral on deposit with broker for future contracts | 35,937 | 27,405 | 6,061,888 | |||||||||
Foreign currency (cost $0; $0; $0; $7,667; and $0, respectively) | — | — | — | |||||||||
Receivable for investments sold | 512,194 | — | 11,244,548 | |||||||||
Income receivables | 338,160 | 11,143 | 631,012 | |||||||||
Receivable for fund shares sold | 35,132 | 1,380 | 32,660 | |||||||||
Income receivable from affiliated investments | 323 | 67 | 2,560 | |||||||||
Receivable for accumulated variation margin on swap contracts | — | — | — | |||||||||
Receivable for accumulated variation margin on futures contracts | 600 | — | — | |||||||||
|
|
|
|
|
| |||||||
Total assets | 461,840,563 | 82,826,110 | 978,560,772 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Net cash collateral on futures contracts due to broker | — | — | — | |||||||||
Net cash collateral on swap contracts due to broker | — | — | — | |||||||||
Payable for investments purchased | — | — | 1,891,480 | |||||||||
Payable for fund shares redeemed | 19,399 | 26,910 | 968,055 | |||||||||
Payable for accumulated variation margin on futures contracts | — | 2,845 | 59,120 | |||||||||
Payable to the Adviser | 138,689 | 29,830 | 726,237 | |||||||||
Accrued other expenses | 89 | 111 | 364 | |||||||||
Distribution and service fees | 13 | 1,805 | 363 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 158,190 | 61,501 | 3,645,619 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 461,682,373 | $ | 82,764,609 | $ | 974,915,153 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Capital paid in | $ | 300,109,447 | $ | 36,786,664 | $ | 828,143,673 | ||||||
Total distributable earnings (loss) | $ | 161,572,926 | $ | 45,977,945 | $ | 146,771,480 | ||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 461,682,373 | $ | 82,764,609 | $ | 974,915,153 | ||||||
|
|
|
|
|
| |||||||
Investment Class: | ||||||||||||
Net Assets | $ | 461,624,298 | $ | 73,932,861 | $ | 973,165,334 | ||||||
Shares outstanding ($0.001 par value, unlimited shares authorized) | 33,054,692 | 6,896,460 | 62,599,798 | |||||||||
Net asset value, offering and redemption price per share | $ | 13.97 | $ | 10.72 | $ | 15.55 | ||||||
Service Class: | ||||||||||||
Net Assets | $ | 58,075 | $ | 8,831,748 | $ | 1,749,819 | ||||||
Shares outstanding ($0.001 par value, unlimited shares authorized) | 3,819 | 849,302 | 112,681 | |||||||||
Net asset value, offering and redemption price per share | $ | 15.21 | $ | 10.40 | $ | 15.53 |
The accompanying Notes are an integral part of these financial statements.
68 | Statements of Assets and Liabilities |
Table of Contents
State Street Institutional International Equity Fund | State Street Active Core Bond Fund | |||||
$ | 92,211,873 |
| $ | 132,007,949 | ||
— | — | |||||
1,143,904 | 9,155,711 | |||||
— | 207,649 | |||||
45,287 | — | |||||
7,711 | — | |||||
— | 6,118,767 | |||||
1,505,592 | 681,407 | |||||
10,251 | 11,776 | |||||
98 | 661 | |||||
— | 175,453 | |||||
— | 8,403 | |||||
|
|
|
| |||
94,924,716 | 148,367,776 | |||||
|
|
|
| |||
— | 22,265 | |||||
— | 140,549 | |||||
— | 14,019,854 | |||||
2,401 | 1,435 | |||||
8,791 | — | |||||
38,460 | 29,313 | |||||
19 | 23 | |||||
2,329 | 73 | |||||
|
|
|
| |||
52,000 | 14,213,512 | |||||
|
|
|
| |||
$ | 94,872,716 | $ | 134,154,264 | |||
|
|
|
| |||
$ | 79,864,007 | $ | 127,282,108 | |||
$ | 15,008,709 | $ | 6,872,156 | |||
|
|
|
| |||
$ | 94,872,716 | $ | 134,154,264 | |||
|
|
|
| |||
$ | 83,671,697 | $ | 133,792,550 | |||
5,867,884 | 13,537,588 | |||||
$ | 14.26 | $ | 9.88 | |||
$ | 11,201,019 | $ | 361,714 | |||
788,465 | 35,659 | |||||
$ | 14.21 | $ | 10.14 |
The accompanying Notes are an integral part of these financial statements.
Statements of Assets and Liabilities | 69 |
Table of Contents
State Street Institutional Funds
Statements of Operations — For the year ended September 30, 2020
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 | $ | 6,242,137 | $ | 1,049,221 | $ | 12,774,742 | ||||||
Interest | — | — | — | |||||||||
Income from affiliated investments | 94,816 | 60,889 | 587,291 | |||||||||
Less: Foreign taxes withheld | (1,022 | ) | (2,331 | ) | (39,675 | ) | ||||||
|
|
|
|
|
| |||||||
Total income | 6,335,931 | 1,107,779 | 13,322,358 | |||||||||
|
|
|
|
|
| |||||||
Expenses |
| |||||||||||
Advisory and administration fees | 1,558,710 | 551,962 | 9,675,648 | |||||||||
Distribution and service fees | ||||||||||||
Service Class | 130 | 20,666 | 4,318 | |||||||||
Trustees’ fees | 23,627 | 21,669 | 30,308 | |||||||||
|
|
|
|
|
| |||||||
Total expenses before waivers | 1,582,467 | 594,297 | 9,710,274 | |||||||||
|
|
|
|
|
| |||||||
Less: Expenses waived or borne by the adviser | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 1,582,467 | 594,297 | 9,710,274 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | $ | 4,753,464 | $ | 513,482 | $ | 3,612,084 | ||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) on Investments |
| |||||||||||
Realized gain (loss) on: |
| |||||||||||
Unaffiliated investments | $ | 19,527,058 | $ | 67,682,161 | $ | 31,350,935 | ||||||
Affiliated investments | — | (42,620 | ) | — | ||||||||
Futures | 325,645 | 315,671 | 296,310 | |||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency transactions | (3 | ) | — | — | ||||||||
Increase (decrease) in unrealized appreciation/depreciation on: |
| |||||||||||
Unaffiliated investments | 57,091,877 | (31,803,627 | ) | (77,201,758 | ) | |||||||
Affiliated investments | — | 220,144 | — | |||||||||
Futures | 54,458 | (34,231 | ) | 523,305 | ||||||||
Swap contracts | — | — | — | |||||||||
Foreign currency translations | — | — | — | |||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) on investments | 76,999,035 | 36,337,498 | (45,031,208 | ) | ||||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 81,752,499 | $ | 36,850,980 | $ | (41,419,124 | ) | |||||
|
|
|
|
|
|
(a) | Includes foreign capital gain taxes of $(16,718). |
(b) | Includes foreign deferred taxes of $(39,228). |
The accompanying Notes are an integral part of these financial statements.
70 | Statements of Operations |
Table of Contents
State Street Institutional International Equity Fund | State Street Active Core Bond Fund | |||||
$ | 2,507,135 | $ | 12,545 | |||
— | 2,749,062 | |||||
14,347 | 184,582 | |||||
— | — | |||||
|
|
|
| |||
2,521,482 | 2,946,189 | |||||
|
|
|
| |||
570,543 | 324,781 | |||||
30,885 | 433 | |||||
20,795 | 21,015 | |||||
|
|
|
| |||
622,223 | 346,229 | |||||
|
|
|
| |||
(120,672 | ) | (11,140 | ) | |||
|
|
|
| |||
501,551 | 335,089 | |||||
|
|
|
| |||
$ | 2,019,931 | $ | 2,611,100 | |||
|
|
|
| |||
$ | 1,415,423 | (a) | $ | 4,676,842 | ||
— | — | |||||
(69,350 | ) | (338,788 | ) | |||
— | (1,224,123 | ) | ||||
17,056 | — | |||||
3,354,952 | (b) | 1,386,923 | ||||
— | — | |||||
(9,783 | ) | 21,084 | ||||
— | 658,792 | |||||
101,600 | — | |||||
|
|
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4,809,898 | 5,180,730 | |||||
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$ | 6,829,829 | $ | 7,791,830 | |||
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The accompanying Notes are an integral part of these financial statements.
Statements of Operations | 71 |
Table of Contents
State Street Institutional Funds
Statements of Changes in Net Assets
State Street Institutional U.S. Equity Fund | State Street Institutional Premier Growth Equity Fund | |||||||||||||||
Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, 2019 | |||||||||||||
Increase (Decrease) in Net Assets |
| |||||||||||||||
Operations: |
| |||||||||||||||
Net investment income | $ | 4,753,464 | $ | 5,325,947 | $ | 513,482 | $ | 1,658,486 | ||||||||
Net realized gain (loss) on investments, futures, swap contracts and foreign currency transactions | 19,852,700 | 35,203,076 | 67,955,212 | 69,342,586 | ||||||||||||
Net increase (decrease) in unrealized appreciation/depreciation on investments, futures, swap contracts and foreign currency translations | 57,146,335 | (28,183,576 | ) | (31,617,714 | ) | (66,366,188 | ) | |||||||||
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Net increase (decrease) from operations | 81,752,499 | 12,345,447 | 36,850,980 | 4,634,884 | ||||||||||||
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Distributions to shareholders: |
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Total distributions | ||||||||||||||||
Investment Class | (26,072,740 | ) | (51,146,504 | ) | (122,991,014 | ) | (42,353,247 | ) | ||||||||
Service Class | (2,748 | ) | (11,658 | ) | (4,866,436 | ) | (1,739,540 | ) | ||||||||
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Total distributions | (26,075,488 | ) | (51,158,162 | ) | (127,857,450 | ) | (44,092,787 | ) | ||||||||
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Increase (decrease) in assets from operations and distributions | 55,677,011 | (38,812,715 | ) | (91,006,470 | ) | (39,457,903 | ) | |||||||||
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Share transactions: |
| |||||||||||||||
Proceeds from sale of shares | ||||||||||||||||
Investment Class | 21,263,774 | 19,779,530 | 14,487,775 | 25,674,167 | ||||||||||||
Service Class | 20,082 | 10,736 | 1,885,268 | 1,436,396 | ||||||||||||
Value of distributions reinvested | ||||||||||||||||
Investment Class | 25,797,811 | 50,829,580 | 122,990,094 | 42,353,031 | ||||||||||||
Service Class | 2,748 | 11,658 | 4,866,436 | 1,739,540 | ||||||||||||
Cost of shares redeemed | ||||||||||||||||
Investment Class | (60,403,984 | ) | (135,167,778 | ) | (166,783,898 | ) | (203,786,330 | ) | ||||||||
Service Class | (19,074 | ) | (69,590 | ) | (5,426,873 | ) | (8,582,328 | ) | ||||||||
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| |||||||||
Net increase (decrease) from share transactions | (13,338,643 | ) | (64,605,864 | ) | (27,981,198 | ) | (141,165,524 | ) | ||||||||
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Total increase (decrease) in net assets | 42,338,368 | (103,418,579 | ) | (118,987,668 | ) | (180,623,427 | ) | |||||||||
Net Assets |
| |||||||||||||||
Beginning of year | 419,344,005 | 522,762,584 | 201,752,277 | 382,375,704 | ||||||||||||
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End of year | $ | 461,682,373 | $ | 419,344,005 | $ | 82,764,609 | $ | 201,752,277 | ||||||||
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Changes in Fund Shares |
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Investment Class |
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Shares sold | 1,658,150 | 1,634,786 | 1,177,997 | 1,816,182 | ||||||||||||
Issued for distributions reinvested | 2,034,528 | 5,160,363 | 12,292,292 | 3,480,118 | ||||||||||||
Shares redeemed | (4,713,446 | ) | (10,745,205 | ) | (18,958,505 | ) | (13,784,432 | ) | ||||||||
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Net increase (decrease) in fund shares | (1,020,768 | ) | (3,950,056 | ) | (5,488,216 | ) | (8,488,132 | ) | ||||||||
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Service Class |
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Shares sold | 1,303 | 814 | 183,138 | 97,423 | ||||||||||||
Issued for distributions reinvested | 199 | 1,092 | 494,189 | 144,962 | ||||||||||||
Shares redeemed | (1,264 | ) | (5,413 | ) | (457,284 | ) | (616,726 | ) | ||||||||
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Net increase (decrease) in fund shares | 238 | (3,507 | ) | 220,043 | (374,341 | ) | ||||||||||
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The accompanying Notes are an integral part of these financial statements.
72 | Statements of Changes in Net Assets |
Table of Contents
State Street Institutional Small-Cap Equity Fund | State Street Institutional International Equity Fund | State Street Active Core Bond Fund | ||||||||||||||||||||
Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | Year Ended September 30, | |||||||||||||||||
$ | 3,612,084 | $ | 4,820,698 | $ | 2,019,931 | $ | 2,020,628 | $ | 2,611,100 | $ | 5,541,524 | |||||||||||
| 31,647,245 |
| 63,095,678 | 1,363,129 | 60,234,710 | 3,113,931 | 6,811,921 | |||||||||||||||
| (76,678,453 | ) | (168,810,934 | ) | 3,446,769 | (147,445,599 | ) | 2,066,799 | 6,137,047 | |||||||||||||
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(41,419,124 | ) | (100,894,558 | ) | 6,829,829 | (85,190,261 | ) | 7,791,830 | 18,490,492 | ||||||||||||||
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(77,013,163 | ) | (193,897,894 | ) | (1,417,916 | ) | (19,402,183 | ) | (5,180,419 | ) | (5,762,735 | ) | |||||||||||
(109,788 | ) | (335,145 | ) | (230,486 | ) | (344,397 | ) | (5,910 | ) | (2,279 | ) | |||||||||||
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(77,122,951 | ) | (194,233,039 | ) | (1,648,402 | ) | (19,746,580 | ) | (5,186,329 | ) | (5,765,014 | ) | |||||||||||
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| (118,542,075 | ) | (295,127,597 | ) | 5,181,427 | (104,936,841 | ) | 2,605,501 | 12,725,478 | |||||||||||||
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55,256,413 | 33,843,372 | 8,611,083 | 2,385,163 | 30,031,206 | 62,779,155 | |||||||||||||||||
301,847 | 272,639 | 182,631 | 155,994 | 292,572 | — | |||||||||||||||||
77,013,163 | 193,897,894 | 1,417,425 | 19,401,437 | 5,170,345 | 5,460,386 | |||||||||||||||||
109,787 | 335,145 | 230,375 | 343,612 | 5,882 | 2,279 | |||||||||||||||||
(296,634,844 | ) | (205,807,797 | ) | (3,933,169 | ) | (939,204,381 | ) | (19,099,938 | ) | (187,071,527 | ) | |||||||||||
(424,254 | ) | (824,015 | ) | (3,104,945 | ) | (4,930,445 | ) | (26,421 | ) | (1,340 | ) | |||||||||||
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(164,377,888 | ) | 21,717,238 | 3,403,400 | (921,848,620 | ) | 16,373,646 | (118,831,047 | ) | ||||||||||||||
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(282,919,963 | ) | (273,410,359 | ) | 8,584,827 | (1,026,785,461 | ) | 18,979,147 | (106,105,569 | ) | |||||||||||||
1,257,835,116 | 1,531,245,475 | 86,287,889 | 1,113,073,350 | 115,175,117 | 221,280,686 | |||||||||||||||||
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$ | 974,915,153 | $ | 1,257,835,116 | $ | 94,872,716 | $ | 86,287,889 | $ | 134,154,264 | $ | 115,175,117 | |||||||||||
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3,511,521 | 1,949,822 | 604,371 | 195,795 | 3,070,585 | 6,707,445 | |||||||||||||||||
4,426,044 | 13,849,850 | 98,982 | 1,670,182 | 536,343 | 589,748 | |||||||||||||||||
(19,031,357 | ) | (11,776,123 | ) | (279,919 | ) | (78,354,272 | ) | (1,980,172 | ) | (19,766,822 | ) | |||||||||||
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(11,093,792 | ) | 4,023,549 | 423,434 | (76,488,295 | ) | 1,626,756 | (12,469,629 | ) | ||||||||||||||
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18,676 | 15,822 | 13,765 | 12,551 | 29,044 | — | |||||||||||||||||
6,306 | 23,922 | 16,121 | 29,931 | �� | 589 | 239 | ||||||||||||||||
(26,081 | ) | (47,743 | ) | (230,777 | ) | (394,952 | ) | (2,694 | ) | (144 | ) | |||||||||||
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(1,099 | ) | (7,999 | ) | (200,891 | ) | (352,470 | ) | 26,939 | 95 | |||||||||||||
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|
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|
|
The accompanying Notes are an integral part of these financial statements.
Statements of Changes in Net Assets | 73 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements — September 30, 2020
1. | Organization of the Funds |
State Street Institutional Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company. The Trust was organized as a Delaware business trust on May 23, 1997, and is authorized to issue an unlimited number of shares. It is currently comprised of the following five series (each, a “Fund” and collectively, the “Funds”): State Street Institutional U.S. Equity Fund, State Street Institutional Premier Growth Equity Fund, State Street Institutional Small-Cap Equity Fund, State Street Institutional International Equity Fund and State Street Active Core Bond Fund. 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. |
74 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2020
• | 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. |
• | 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 |
Notes to Financial Statements | 75 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2020
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, 2020 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 the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Distributions received by the Funds may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. Certain Funds invest in Real Estate Investment Trusts (“REITs”). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Funds’ policy is to record all REIT distributions initially as dividend income and re-designate a portion of the capital or capital gains distributions at year end based on information provided by the REIT and/or SSGA FM’s estimates of such re-designations for which actual information has not yet been reported.
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, 2020, 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.
76 | Notes to Financial Statements |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2020
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.
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, accumulated, exchange rates, and or other transactional fees. The accumulation of those payments 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
Notes to Financial Statements | 77 |
Table of Contents
State Street Institutional Funds
Notes to Financial Statements, continued — September 30, 2020
contracts do not correlate the movement of the assets underlying such contracts. For the fiscal year ended September 30, 2020, 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 Institutional Small-Cap Equity Fund | Equitization of Cash | |
State Street Institutional International Equity Fund | Equitization of Cash | |
State Street Active Core Bond Fund | Management of Interest Rate Risk |
Options on Futures Contracts 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, 2020, the State Street Active Core Bond Fund purchased and wrote options in order to manage interest rate risk.
Credit Default Swaps During the fiscal year ended September 30, 2020, 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 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
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appreciation (depreciation) in an amount equal to the daily valuation. For centrally cleared swaps, the daily change in valuation is recorded as a receivable or payable for variation margin and settled in cash with the CCP daily. All upfront payments, if any, are amortized over the life of the swap as realized gains or losses. Those upfront payments that are paid or received, typically for non-centrally cleared swaps, are recorded as other assets or other liabilities, respectively, net of amortization. For financial reporting purposes, unamortized upfront payments, if any, are netted with unrealized appreciation or depreciation on swaps to determine the market value of swaps. The Fund segregates assets in the form of cash or liquid securities in an amount equal to the notional amount of the credit default swaps of which it is the seller. The Fund segregates assets in the form of cash or liquid securities in an amount equal to any unrealized depreciation of the credit default swaps of which it is the buyer, marked to market on a daily basis. Credit default swaps involve greater risks than if the Fund had invested in the referenced debt obligation directly. If the Fund is a buyer of a credit default swap and no credit event occurs, the Fund will not earn any return on its investment. If the Fund is a seller of a credit default swap, the Fund’s risk of loss may be the entire notional amount of the swap. Swaps may also subject the Fund to the risk that the counterparty to the transaction may not fulfill its obligation. In the case of centrally cleared swaps, counterparty risk is minimal due to protections provided by the CCP.
Interest Rate Swaps Interest rate swaps involve the exchange by a Fund with another party of their respective commitments to pay or receive interest, such as an exchange of fixed rate payments for floating rate payments.
During the fiscal year ended September 30, 2020, 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, 2020 and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Institutional U.S. Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 600 | $ | — | $ | 600 | ||||||||||||
State Street Active Core Bond Fund | ||||||||||||||||||||||||
Futures Contracts | $ | 8,403 | $ | — | $ | — | $ | — | $ | — | $ | 8,403 | ||||||||||||
Swap Contracts | — | — | 175,453 | — | — | 175,453 |
Liability Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (2,845 | ) | $ | — | $ | (2,845 | ) | ||||||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (59,120 | ) | $ | — | $ | (59,120 | ) | ||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (8,791 | ) | $ | — | $ | (8,791 | ) |
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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 | $ | — | $ | — | $ | — | $ | 325,645 | $ | — | $ | 325,645 | ||||||||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 315,671 | $ | — | $ | 315,671 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | 296,310 | $ | — | $ | 296,310 | ||||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (69,350 | ) | $ | — | $ | (69,350 | ) | ||||||||||
State Street Active Core Bond Fund | ||||||||||||||||||||||||
Futures Contracts | $ | (338,788 | ) | — | $ | — | $ | — | $ | — | $ | (338,788 | ) | |||||||||||
Swap Contracts | (467,776 | ) | — | (756,347 | ) | — | — | (1,224,123 | ) | |||||||||||||||
Purchased Option Contracts(a) | 89,653 | — | — | — | — | 89,653 |
(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 | $ | — | $ | — | $ | — | $ | 54,458 | $ | — | $ | 54,458 | ||||||||||||
State Street Institutional Premier Growth Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (34,231 | ) | $ | — | $ | (34,231 | ) | ||||||||||
State Street Institutional Small-Cap Equity Fund | ||||||||||||||||||||||||
$ | — | $ | — | $ | — | $ | 523,305 | $ | — | $ | 523,305 | |||||||||||||
State Street Institutional International Equity Fund | ||||||||||||||||||||||||
Futures Contracts | $ | — | $ | — | $ | — | $ | (9,783 | ) | $ | — | $ | (9,783 | ) | ||||||||||
State Street Active Core Bond Fund | ||||||||||||||||||||||||
Futures Contracts | $ | 21,084 | $ | — | $ | — | $ | — | $ | — | $ | 21,084 | ||||||||||||
Swap Contracts | 285,729 | — | 373,063 | — | — | 658,792 |
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
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services (“Management Fee”) is paid monthly based on the average daily net assets of each Fund. The Management Fee is stated in the following schedule:
Fund | Average Daily Net Assets of Fund | Management Fee | ||||
State Street Institutional U.S. Equity Fund | First $25 million | 0.55 | % | |||
State Street Institutional Premier Growth Equity Fund | Next $25 million | 0.45 | % | |||
Over $50 million | 0.35 | % | ||||
State Street Institutional Small-Cap Equity Fund | First $250 million | 0.95 | % | |||
Next $250 million | 0.90 | % | ||||
Over $500 million | 0.85 | % | ||||
State Street Institutional International Equity Fund | First $25 million | 0.75 | % | |||
Next $50 million | 0.65 | % | ||||
Over $75 million | 0.55 | % | ||||
State Street Active Core Bond Fund | First $25 million | 0.35 | % | |||
Next $25 million | 0.30 | % | ||||
Next $50 million | 0.25 | % | ||||
Over $100 million | 0.20 | % |
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).
SSGA FM is contractually obligated, until January 31, 2021 (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 of non-recurring account fees, extraordinary expenses, and certain class specific expenses, such as distribution and shareholder servicing fees) exceed 0.55% of average daily net assets on an annual basis. This fee waiver and/or expense reimbursement arrangement may not be terminated prior to January 31, 2021, except with approval of the Board.
SSGA FM is contractually obligated until April 30, 2021 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, 2021 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 Rule 12b-1 under the 1940 Act with respect to the Service Class shares of each Fund. Each Fund pays State Street Global Advisors Funds Distributors, LLC (“SSGA FD”), the Funds’ principal underwriter, a monthly fee for distribution and/or shareholder services provided, at an annual rate of 0.25% of the average daily net assets of such Fund attributable to the Service Class shares. Currently, Investment Class shares are not subject to a 12b-1 fee.
Other Transactions with Affiliates The Funds may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the fiscal year ended September 30, 2020 are disclosed in the Schedules of Investments.
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Due to Custodian In certain circumstances, the Funds may have cash overdrafts with the custodian due to expense payments, capital transactions, trading of securities, investment operations or derivative transactions. The Due to Custodian amount, if any, reflects cash overdrawn with State Street Bank and Trust Company, as custodian, who is an affiliate of the Funds.
6. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
7. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the fiscal year ended September 30, 2020 were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
State Street Institutional U.S. Equity Fund | $ | — | $ | — | $ | 157,959,748 | $ | 183,792,419 | ||||||||
State Street Institutional Premier Growth Equity Fund | — | — | 35,194,658 | 189,347,349 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | — | — | 322,586,772 | 537,539,039 | ||||||||||||
State Street Institutional International Equity Fund | — | — | 24,110,319 | 20,851,733 | ||||||||||||
State Street Active Core Bond Fund | 402,161,110 | 419,242,279 | 54,235,098 | 27,377,218 |
Redemption In-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 on in-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 on in-kind redemptions are not recognized for tax purposes and are reclassified from undistributed realized gain (loss) to paid-in capital. These reclassifications have no effect on net assets or NAV per share. The net realized in-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 redemption in-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.
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 on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on NAVs or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of
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distributions, foreign currency gains and losses, paydown gains and losses, futures contracts, swap contracts, straddle loss deferrals, capital gain taxes, return of capital adjustments, wash sale loss deferrals and amortization and accretion of premium and discount for financial statement purposes.
The tax character of distributions paid during the year ended September 30, 2020 was as follows:
Fund | Ordinary Income | Long Term Capital Gains | Total | |||||||||
State Street Institutional U.S. Equity Fund | $ | 5,521,133 | $ | 20,554,355 | $ | 26,075,488 | ||||||
State Street Institutional Premier Growth Equity Fund | 4,048,192 | 123,809,258 | 127,857,450 | |||||||||
State Street Institutional Small-Cap Equity Fund | 4,644,123 | 72,478,828 | 77,122,951 | |||||||||
State Street Institutional International Equity Fund | 1,648,402 | — | 1,648,402 | |||||||||
State Street Active Core Bond Fund | 5,186,329 | — | 5,186,329 |
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 Institutional Small-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 |
At September 30, 2020, 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 | $ | 4,331,178 | $ | — | $ | 16,151,152 | $ | 141,090,596 | $ | 161,572,926 | ||||||||||
State Street Institutional Premier Growth Equity Fund | 268,831 | — | 7,727,059 | 37,982,055 | 45,977,945 | |||||||||||||||
State Street Institutional Small-Cap Equity Fund | 1,578,201 | — | 25,568,949 | 119,624,330 | 146,771,480 | |||||||||||||||
State Street Institutional International Equity Fund | 2,013,554 | (1,920,056 | ) | — | 14,951,211 | 15,008,709 | ||||||||||||||
State Street Active Core Bond Fund | 2,061,073 | — | — | 4,811,022 | 6,872,095 |
As of September 30, 2020, the Funds had capital loss carryforwards available to offset future realized capital gains as follows:
Fund | Non-Expiring Short Term | Non-Expiring Long Term | ||||||
State Street Institutional International Equity Fund | $ | 1,920,056 | $ | — |
As of September 30, 2020, 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 | $ | 319,797,769 | $ | 154,690,340 | $ | 13,599,744 | $ | 141,090,596 | ||||||||
State Street Institutional Premier Growth Equity Fund | 44,798,853 | 38,347,899 | 365,844 | 37,982,055 | ||||||||||||
State Street Institutional Small-Cap Equity Fund | 840,884,592 | 207,473,137 | 87,848,807 | 119,624,330 | ||||||||||||
State Street Institutional International Equity Fund | 78,476,040 | 22,146,532 | 7,275,507 | 14,871,025 | ||||||||||||
State Street Active Core Bond Fund | 136,761,328 | 5,760,841 | 949,819 | 4,811,022 |
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9. | Line of Credit |
The Funds and other affiliated funds (each, a “Participant” and collectively, the “Participants”) have access to $200 million of 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 2021 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 and 1-month LIBOR rate. Effective October 8, 2020, interest is calculated at a rate per annum equal to the sum of 1.25% plus the New York Fed Bank Rate.
The Funds had no outstanding loans as of September 30, 2020.
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.
Credit Risk A Fund may 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.
Market Risk The Fund’s investments are subject to changes in general economic conditions, and general market fluctuations and the risks inherent in investment in securities markets. Investment markets can be volatile and prices of investments can change substantially due to various factors including, but not limited to, economic growth or recession, changes in interest rates, changes in the actual or perceived creditworthiness of issuers, and general market liquidity. The Fund is subject to the risk that geopolitical events will disrupt securities markets and adversely affect global economies and markets. Local, regional or global events such as war, acts of terrorism, the spread of infectious illness or other public health issues, or other events could have a significant impact on the Fund and its investments.
An outbreak of a respiratory disease caused by a novel coronavirus (known as COVID-19) first detected in China in December 2019 has resulted in a global pandemic and major disruptions to economies and markets around the world, including the United States. Financial markets have experienced extreme volatility and severe losses, and trading in many instruments has been disrupted. Liquidity for many instruments has been greatly reduced for periods of time. Some interest rates are very low and in some cases yields are negative. Governments and central banks, including the Federal Reserve in the United States, have taken extraordinary and unprecedented actions to support local and global economies and the financial markets. The impact of these measures, and
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whether they will be effective to mitigate the economic and market disruption, will not be known for some time. In addition, the outbreak of COVID-19, and measures taken to mitigate its effects, could result in disruptions to the services provided to a Fund by its service providers.
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 (Subtopic 310-20)-Premium Amortization on Purchased Callable Debt Securities (“ASU 2017-08”). For callable debt securities held at a premium that have explicit, non-contingent call features and that are callable at fixed prices on preset dates, ASU 2017-08 requires the premium to be amortized to the earliest call date. The adoption resulted in a change in accounting principle, since the Funds had historically amortized such premiums to maturity for U.S. GAAP. Accordingly, the Funds have adopted ASU 2017-08 to amend the premium amortization period for certain purchased callable debt securities with non-contingent call features to the earliest call date. In accordance with the transition provisions of the standard, each Fund applied the amendments on a modified retrospective basis by recognizing a cumulative effect adjustment that decreased the beginning of period cost of investments and increased the unrealized appreciation on investments as follows:
Fund | Adjustment | |||
State Street Active Core Bond Fund | $ | 4,953 |
This change in accounting policy has been made to comply with the newly issued accounting standard and had no impact on total accumulated earnings (loss) or the NAV of each Fund. With respect to each Fund’s results of operations, amortization of premium to first call date accelerates amortization with the intent of more closely aligning the recognition of income on such bonds with the economics of the instrument.
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.
Notes to Financial Statements | 85 |
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State Street Institutional Funds
Report of Independent Registered Public Accounting Firm
To the Shareholders and Board of Trustees of State Street Institutional Funds
Opinion on the Financial Statements
We have audited the accompanying statements of assets and liabilities of State Street Institutional Funds (the “Trust”) (comprising, respectively, State Street Institutional U.S Equity Fund, State Street Institutional Premier Growth Equity Fund, State Street Institutional Small-Cap Equity, State Street Institutional International Equity Fund and State Street Active Core Bond Fund (collectively referred to as the “Funds”)), including the schedules of investments, as of September 30, 2020, 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 five 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 comprising State Street Institutional Funds at September 30, 2020, 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 five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
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, 2020, 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, 2020
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Other Information — September 30, 2020 (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, 2020.
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, 2020 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, 2020:
Amount | ||||
State Street Institutional U.S. Equity Fund | $ | 20,554,355 | ||
State Street Premier Growth Equity Fund | 123,809,258 | |||
State Street Institutional Small-Cap Equity Fund | 72,478,828 |
Foreign Tax Credit
The Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by each Fund to its shareholders. For the year ended September 30, 2020, the total amount of foreign taxes that will be passed through are:
Amount | ||||
State Street Institutional International Equity Fund | $ | 191,329 |
The amount of foreign source income earned on the following Fund during the year ended September 30, 2020 was as follows:
Amount | ||||
State Street Institutional International Equity Fund | $ | 1,630,097 |
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 calling 1-800-242-0134 (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.
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TRUSTEE CONSIDERATIONS IN APPROVING CONTINUATION OF INVESTMENT ADVISORY AND SUB-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.2
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Funds (the “Trust”) met telephonically on April 7, 2020 and May 13-14, 2020 (in reliance on the Order), 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 the sub-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 Institutional Small-Cap Equity Fund (the “Institutional Small-Cap Equity Fund”), and each of Champlain Investment Partners, LLC, GlobeFlex Capital, L.P., Kennedy Capital Management, Inc., Palisade Capital Management, LLC and SouthernSun Asset Management, LLC (collectively, the “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 and Sub-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 and Sub-Advisers in connection with their consideration of approval of the Agreements. Following the April 7, 2020 meeting, the
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 and sub-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 separate in-person meeting that is dedicated to the annual review process (the “special meeting”). Due to the ongoing Coronavirus Disease 2019 (also known as “COVID-19”) pandemic, the special meeting for calendar year 2020 was held telephonically. 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. |
2 | On March 25, 2020, as a result of health and safety measures put in place to combat the global COVID-19 pandemic, the Securities and Exchange Commission issued an exemptive order (the “Order”) pursuant to Sections 6(c) and 38(a) of the 1940 Act, that temporarily exempts registered investment management companies from the in-person voting requirements under the 1940 Act, subject to certain requirements, including that votes taken pursuant to the Order are ratified at the next in-person meeting. The Board of the Trust determined that reliance on the Order was necessary or appropriate due to the circumstances related to current or potential effects of COVID-19 and therefore, the May 13-14, 2020 meeting was held telephonically in reliance on the Order. |
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Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 13-14, 2020 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 past one-, three-, five- and ten-year periods ended December 31, 2019, to the performance of an appropriate benchmark constructed by Broadridge Financial Solutions, Inc., the successor to Lipper Inc. (“Broadridge”) for the Fund (the “Lipper Index”) and/or 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, and non-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. |
• | Comparative information concerning fees charged by the Adviser and Sub-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 and Sub-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 and Sub-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 and Sub-Advisers
• | Reports detailing the financial results and condition of SSGA FM and its affiliates, as well as of the Sub-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 and Sub-Advisers; |
• | Information about the Adviser’s and each Sub-Adviser’s proxy voting policies and procedures and information regarding the Adviser’s and each Sub-Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Adviser and Sub-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; |
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• | A description of the adequacy and sophistication of the Adviser’s and Sub-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 and Sub-Advisers; and |
• | Information regarding the Adviser’s and Sub-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 various non-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 and Sub-Advisory Agreements and agreements with other service providers of the Funds; |
• | 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, 2019; 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, 2019; |
¡ | The Sub-Advisers, with respect to their operations relating to the Institutional Small-Cap Equity Fund and their approximate profitability from such operations for the calendar year ended December 31, 2019; |
¡ | State Street Bank and Trust Company (“State Street”), the sub-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 Rule 12b-1 of the 1940 Act; |
• | Information from SSGA FM, State Street, the Distributor and the Sub-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 13, 2020; |
• | 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 and Sub-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 and Sub-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.
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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 14, 2020 the Board, including a majority of the Independent Trustees, voted to approve the continuation of the Agreements effective June 1, 2020, 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 and Sub-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 Institutional Small-Cap Equity Fund, the Board considered the Adviser’s process used for overseeing multiple sub-advisers. The Board considered the extensive experience and resources committed by the Adviser to risk management, including with respect to investment risk, liquidity risk, operational risk, counterparty risk and model risk. Further, the Board considered material enhancements made to the risk management processes and systems over the past year. 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, as well as the Adviser’s succession planning process.
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. The Board also considered the performance of certain portions of the business continuity plan which have been invoked in response to the COVID-19 pandemic.
In connection with their consideration of the services provided by each of the Sub-Advisers, the Board considered each Sub-Adviser’s attributes relating to its investment philosophy oriented toward long-term performance, its process for selecting investments, its experienced professionals, access to significant technological resources and a favorable history and reputation. The Board also considered the review process undertaken by SSGA FM and SSGA FM’s favorable assessment of the nature and quality of the investment sub-advisory services provided by each Sub-Adviser to the Institutional Small-Cap Equity Fund. The Board also considered the Institutional Small-Cap Equity Fund’s multi-manager structure and how each Sub-Adviser’s approach to small-cap investing fits within the Institutional Small-Cap Equity Fund’s overall strategy.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser and each Sub-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, 2019. For purposes of these comparisons the Independent Trustees relied extensively on the Performance Group, Performance Universe and
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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 above the medians of its Performance Group and Performance Universe for the 1-, 3-, 5- and 10-year periods. The Board also considered that the Fund’s performance was below its Lipper Index for the 1-, 3- and 5-year periods and above its Lipper Index for the 10-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 above the medians of its Performance Group and Performance Universe for the 1-, 3- and 10-year periods and below the medians of its Performance Group and Performance Universe for the 5-year period. The Board also considered that the Fund’s performance was above its Lipper Index for the 1- and 10-year periods and below its Lipper Index for the 3- and 5-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 above the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period and below the medians of its Performance Group and Performance Universe and its Lipper Index for the 3-, 5- and 10-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 above the median of its Performance Universe and its Lipper Index for the 1-, 3-, 5- and 10-year periods. The Board also considered that the Fund’s performance was above the median of its Performance Group for the 1- and 3-year periods and below the median of its Performance Group for the 5- and 10-year periods. The Board took into account management’s discussion of the Fund’s performance.
State Street Institutional Small-Cap Equity Fund. The Board considered that the Fund’s performance was above the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-, 3-, 5- and 10-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 the Sub-Advisers by the Adviser, which reduced the net management fees retained by the Adviser. For the Institutional Small-Cap Equity Fund, the Board also reviewed (i) the allocation of the total advisory fees between SSGA FM and the Sub-Advisers, and (ii) the services required of SSGA FM to oversee the Sub-Advisers for those services. As part of its review, the Board considered each Fund’s management fee and total expense ratio, including the portion attributable to administrative services provided by SSGA FM (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 and Sub-Advisers to the fees charged and services provided to other clients of the Adviser and Sub-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 the sub-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.
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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 Institutional Small-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 above the median of its Expense Group and below the median of its 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 and Sub-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 the Sub-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 the Sub-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 the Sub-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 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 the Sub-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 each Sub-Adviser’s management of the Institutional Small-Cap Equity Fund is not a material factor to the approval of the Sub-Advisory Agreements.
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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 and Sub-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 and Sub-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 and Sub-Advisory Agreements are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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State Street Institutional Small-Cap Equity Fund
BOARD CONSIDERATIONS RELATED TO APPROVAL OF NEW SUB-ADVISORY AGREEMENT
SouthernSun Asset Management, LLC (“SouthernSun” or the “Sub-Adviser”) currently serves as sub-adviser to State Street Institutional Small-Cap Equity Fund (the “Fund”), a series of State Street Institutional Funds (the “Trust”). At the meeting held on August 7, 2020, the Board of Trustees of the Trust (the “Board”), approved a new sub-advisory agreement (the “New Sub-Advisory Agreement”) between SSGA Funds Management, Inc. (the “Adviser”) and SouthernSun with respect to the Fund in connection with the anticipated termination of the prior sub-advisory agreement (the “Prior Sub-Advisory Agreement”) between the Adviser and SouthernSun in connection with SouthernSun’s acquisition of Affiliated Managers Group, Inc.’s ownership interest in SouthernSun (the “Transaction”). The Board considered the New Sub-Advisory Agreement as a result of the Transaction. The Board considered that the Transaction would result in the “assignment” of the Prior Sub-Advisory Agreement, which would automatically terminate as provided for in Section 15(a)(4) of the Investment Company Act of 1940, as amended (the “1940 Act”).
Overview of the Contract Review Process
The Board met telephonically1 on August 7, 2020 (in reliance on the Order), including in executive sessions attended by the members of the Board who are not “interested persons” (as defined in the 1940 Act) of the Fund (the “Independent Board Members”), to consider a proposal to approve the New Sub-Advisory Agreement. Prior to voting on the proposal, the Independent Board Members, as well as the Board Members who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and Sub-Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. In considering the New Sub-Advisory Agreement, the Board Members considered the information relating to the Fund and the Sub-Adviser provided to them in connection with the meeting on August 7, 2020, as well as information provided over the past year and information provided to them in connection with their meeting on May 13-14, 2020, which was the meeting in which the Board considered and approved the renewal of the Prior Sub-Advisory Agreement for the one-year period ending May 31, 2021 (the “Annual Renewal Meeting”). At the August 7, 2020 Meeting, the Sub-Adviser affirmed and updated prior information and representations provided to the Board, including information and representations provided in connection with the Annual Renewal Meeting. The Independent Board Members were separately represented by counsel who is independent of the Adviser and Sub-Adviser (“Independent Legal Counsel”) in connection with their consideration of approval of the New Sub-Advisory Agreement. The Independent Board Members also received a memorandum from their Independent Legal Counsel discussing the legal standards for their consideration of the New Sub-Advisory Agreement and discussed the New Sub-Advisory Agreement in a private session with their Independent Legal Counsel at which no representatives of the Adviser or Sub-Adviser were present.
The Independent Board Members considered, among other things, the following:
Information about Performance, Expenses and Fees
• | In connection with the Annual Renewal Meeting, a report prepared by an independent third-party provider of investment company data, which includes for the Fund: |
¡ | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2019, to the performance of an appropriate benchmark constructed by Broadridge Financial |
1 | As result of health and safety measures put in place to combat the global Coronavirus Disease 2019 (also known as “COVID-19”) pandemic, the Securities and Exchange Commission issued an exemptive order (the “Order”) pursuant to Sections 6(c) and 38(a) of the 1940 Act, that temporarily exempts registered investment management companies from the in-person voting requirements under the 1940 Act, subject to certain requirements, including that votes taken pursuant to the Order are ratified at the next in-person meeting. The Board determined that reliance on the Order was necessary or appropriate due to the circumstances related to current or potential effects of COVID-19 and therefore, the August 7, 2020 meeting was held telephonically in reliance on the Order. See Investment Company Release No. 33897 (June 19, 2020). This Order supersedes, in part, a similar, earlier exemptive order issued by the SEC (Investment Company Release No. 33824 (March 25, 2020)). |
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Solutions, Inc., the successor to Lipper, 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, and non-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. |
• | In connection with the August 7, 2020 meeting, a report prepared by the Sub-Adviser, which includes updated Fund performance information as of June 30, 2020. |
• | Comparative information concerning fees charged by the Sub-Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Fund; and |
• | Profitability analyses for the Sub-Adviser. |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Sub-Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
Information about the Sub-Adviser
• | Reports detailing the financial results and condition of the Sub-Adviser; |
• | Descriptions of the qualifications, education and experience of the individual investment and other professionals at the Sub-Adviser responsible for managing the portfolio of the Fund and for Fund operations; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Sub-Adviser; |
• | Information about the Sub-Adviser’s proxy voting policies and procedures and information regarding the Sub-Adviser’s practices for overseeing proxy vendors; |
• | Information concerning the resources devoted by the Sub-Adviser to overseeing compliance by the Fund and the service providers used by the Sub-Adviser in connecting with providing services to the Fund, including information concerning compliance with investment policies and restrictions and other operating policies of the Fund; |
• | A description of the adequacy and sophistication of the Sub-Adviser’s technology and systems with respect to investment and administrative matters; |
• | A description of the business continuity and disaster recovery plans of the Sub-Adviser; and |
• | Information regarding the Sub-Adviser’s risk management processes. |
Other Relevant Information
• | Copies of the New Sub-Advisory Agreement; |
• | Responses to an information request letter in connection with the Annual Renewal Meeting, as updated at the August 7, 2020 meeting, requesting specific information from the Sub-Adviser, with respect to its operations relating to the Fund and its approximate profitability from such operations for the calendar year ended December 31, 2019. |
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• | Materials provided by Broadridge, circulated to the Independent Board Members and to Independent Legal Counsel in connection with the Annual Renewal Meeting. |
In addition to the information identified above, the Board considered information provided from time to time by the Sub-Adviser throughout the year at meetings of the Board and its committees. At such meetings, the Board Members received, among other things, presentations by the portfolio managers and other investment professionals of the Sub-Adviser relating to the performance of the Fund, and the investment strategies used in pursuing the Fund’s investment objective. Representatives from the Sub-Adviser attended the August 7, 2020 meeting and informed the Board Members that there would not be any changes to the Fund’s portfolio management team or investment process as a result of the Transaction and also responded to questions from the Independent Board Members regarding SouthernSun and the Transaction.
The Independent Board Members were assisted throughout the contract review process by their Independent Legal Counsel. The Independent Board Members relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the New Sub-Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the New Sub-Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Board Member may have placed varying emphasis on particular factors in reaching conclusions with respect to the 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 August 7, 2020, the Board, including a majority of the Independent Board Members, voted to approve the New Sub-Advisory Agreement effective upon the close of the Transaction, for an initial two-year period.
Nature, Extent and Quality of Services
In considering whether to approve the New Sub-Advisory Agreement, the Board evaluated the nature, extent and quality of services provided to the Fund by the Sub-Adviser.
The Board considered the Sub-Adviser’s attributes relating to its investment philosophy oriented toward long-term performance, its process for selecting investments, its experienced professionals, access to significant technological resources and a favorable history and reputation. The Board also considered the review process undertaken by SSGA FM and SSGA FM’s favorable assessment of the nature and quality of the investment sub-advisory services provided by the Sub-Adviser. The Board also considered the Fund’s multi-manager structure and how the Sub-Adviser’s approach to small-cap investing fits within the Fund’s overall strategy.
On the basis of the foregoing and other relevant information, the Board concluded that the Sub-Adviser can be expected to continue to provide high quality investment management and related services for the Fund.
Fund Performance
The Board compared the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2019. For purposes of these comparisons the Independent Board Members relied extensively on the Performance Group, Performance Universe and Lipper Index and the analyses of the related data provided by Broadridge. The Board also considered updated performance information provided by SouthernSun for various time periods ended June 30, 2020. Among other information, the Board considered the following performance information in its evaluation of the Fund:
Institutional Small-Cap Equity Fund. The Board considered that the Fund’s performance was above the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-, 3-, 5- and 10-year periods ended December 31, 2019. The Board took into account management’s discussion of the Fund’s performance.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory.
Other Information | 97 |
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Other Information, continued — September 30, 2020 (Unaudited)
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the Fund and actual fees paid by the Fund, as well as the fees paid to the Sub-Adviser by the Adviser, which reduced the net management fees retained by the Adviser. The Board also reviewed allocation of the total advisory fees between SSGA FM and the Sub-Adviser. As part of its review, the Board considered the Fund’s management fee and total expense ratio, including the portion 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 the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the Sub-Adviser to the fees charged and services provided to other clients of the Sub-Adviser, including institutional accounts, as applicable. In addition, the Board considered the Fund’s unitary fee structure where the Adviser (and not the Fund) bears most of the Fund’s operating expenses. The Board also considered that the sub-advisory fees are paid by the Adviser out of its advisory fees it receives from the Fund and are not paid by the Fund. Among other information, the Board considered the following expense information in its evaluation of the Fund:
Institutional Small-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 above the median of its Expense Group and below the median of its 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 Sub-Adviser, the Board concluded that the fees and the expense ratio of the 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 Sub-Adviser in providing investment advisory and other services to the Fund. The Board considered other direct and indirect benefits received by the Sub-Adviser in connection with its relationship with the Fund.
The Board concluded that the profitability of the Sub-Adviser with respect to the Fund was reasonable in relation to the services provided.
Economies of Scale
The Board noted that the fees under the New Sub-Advisory Agreement 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 the Sub-Adviser’s management of the Fund is not a material factor to the approval of the New Sub-Advisory Agreement.
Conclusions
In reaching its decision to approve the New Sub-Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Board Member 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 Board Members, concluded that the Sub-Adviser possesses the capability and resources to perform the duties required of it under the New Sub-Advisory Agreement.
Further, based upon its review of the New Sub-Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Board Members, concluded that (1) the terms of the New Sub-Advisory Agreement are reasonable, fair, and in the best interests of the Fund and its shareholders, and (2) the rate payable under the New Sub-Advisory Agreement is fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
98 | Other Information |
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Other Information, continued — September 30, 2020 (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 and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 66 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc. (1992 – 2017); 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 and Co-Chairperson of the Board | Term: Until successor is elected and qualified Elected: 1/19 | 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. | 66 | 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 and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1997 | Senior Advisor to NGN Capital LLC (December 2019 – Present); Managing General Partner, NGN Capital LLC (2006 – December 2019); and Managing Director, Vice President of Walden Capital Management (1996 – present). | 66 | 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 and Co-Chairperson of the Audit Committee | Term: Until successor is elected and qualified Appointed: 1/12 Elected: 6/16 | Dean of the Gabelli School of Business (2007 – present) and Accounting Professor (1987 – present) at Fordham University. | 66 | Director- Graduate Management Admissions Council (2015 – present); Trustee of Emmanuel College (2010 – 2019). |
Other Information | 99 |
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Other Information, continued — September 30, 2020 (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 | |||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1945 | Trustee and Co-Chairperson of the Qualified Legal Compliance Committee | Term: Until successor is elected and qualified Elected: 1/19 | 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). | 66 | 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 and Co-Chairperson of the Audit Committee, Chairperson of the Nominating Committee and Chairperson of the Governance Committee | Term: Until successor is elected and qualified Elected: 1/19 | 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). | 66 | 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: Until successor is elected and qualified Elected: 1/19 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 66 | None |
100 | Other Information |
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State Street Institutional Funds
Other Information, continued — September 30, 2020 (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 and President | Term: Until successor is elected and qualified Elected: 1/19 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); 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).* | 66 | None | |||||||
Jeanne M. La Porta(2) SSGA Funds Management, Inc. 1600 Summer St. Stamford, CT 06905
YOB: 1965 | Trustee | Term: Until successor is elected and qualified Appointed: 3/14 Elected: 6/16 | Senior Managing Director at State Street Global Advisors (July 2016 – present); Manager of State Street Global Advisors Funds Distributors, LLC (May 2017 – present); Director of SSGA Funds Management, Inc. (March 2020 – present); President of GE Retirement Savings Plan Funds (July 2016 – September 2018); 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 – March 2020); 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). | 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 and Ms. La Porta are Interested Trustees because of their 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 | 101 |
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State Street Institutional Funds
Other Information, continued — September 30, 2020 (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: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1967 | President and Trustee | Term: Indefinite Elected: 4/20 | Chairman, SSGA Funds Management, Inc. (March 2020 – present); President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present); Manager, State Street Global Advisors Funds Distributors, LLC (May 2017 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1961 | Treasurer | Term: Indefinite Elected: 4/19 | 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: 4/19 | 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: 4/19 | 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).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 4/19 | 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: 4/19 | Vice President State Street Global Advisors and SSGA Funds Management, Inc. (July 2016 – present); 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: 4/19 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015 – present). | |||
102 | Other Information |
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State Street Institutional Funds
Other Information, continued — September 30, 2020 (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 | |||
Daniel Foley SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 4/19 | 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: 6/17 | 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). | |||
David K. Lancaster SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1971 | Assistant Treasurer | Term: Indefinite Elected: 11/20 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (July 2017 – present); Assistant Vice President, State Street Bank and Trust Company (November 2011 – July 2017). | |||
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: 6/16 Term: Indefinite Elected: 4/19 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013 – Present). | |||
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). | |||
David Barr SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1974 | Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (October 2019 – present); Vice President at Eaton Vance Corp. (October 2010 – October 2019). | |||
Andrew DeLorme SSGA Funds Management, Inc. One Iron Street Boston, MA 02210
YOB: 1975 | Assistant Secretary | Term: Indefinite Elected: 9/20 | Vice President and Senior Counsel, State Street Global Advisors (April 2016 – present); Vice President and Counsel, State Street Global Advisors (August 2014 – March 2016). | |||
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. |
Other Information | 103 |
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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:
Ellen M. Needham, 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
David K. Lancaster, Assistant Treasurer
Sean O’Malley, Chief Legal Officer
David Barr, Secretary
Andrew DeLorme, 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
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Item 2. Code of Ethics.
As of the end of the period covered by this report, State Street Institutional Funds (the “Trust,” “Fund Entity” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the Registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. 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 Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 13(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): 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 Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as amended, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
For the fiscal years ended September 30, 2020 and September 30, 2019, 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 $128,971 and $132,280, respectively.
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(b) | Audit-Related Fees |
For the fiscal years ended September 30, 2020 and September 30, 2019, 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, 2020 and September 30, 2019, 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 $40,754 and $41,800, respectively.
(d) | All Other Fees |
For the fiscal years ended September 30, 2020 and September 30, 2019, 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, 2020 and September 30, 2019, 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) were pre-approved by the Audit Committee were approximately $7,019,005 and $6,939,666, respectively.
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Trust’s Audit Committee Charter states the following with respect to pre-approval procedures:
The Audit Committee shall have the following duties and powers:
• | To pre-approve engagements by a Fund Entity’s independent auditor for non-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; |
• | To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to |
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permit such services to be pre-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 to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
Alternate Pre-Approval Procedure:
• | The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Fund Entity’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-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 Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
(f) | Not applicable. |
(g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended September 30, 2020 and September 30, 2019, the aggregate non-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $35,152,927 and $35,545,000, respectively.
(h) | E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
Item 5. Audit Committee of Listed Registrants.
Not applicable to the Registrant.
Item 6. Investments.
(a) | Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR. |
(b) | Not applicable to the Registrant. |
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Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There were no material changes to the procedures by which shareholders may recommend nominees to the Board.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the Registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934, as amended.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-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 for Closed-End Management Investment Companies.
(a) Not applicable to the Registrant.
(b) Not applicable to the Registrant.
Item 13. | Exhibits. |
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(a)(3) | Not applicable to the Registrant. | |
(a)(4) | Not applicable. | |
(b) | Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto. |
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | STATE STREET INSTITUTIONAL FUNDS | |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
Date: | December 4, 2020 |
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/ Ellen M. Needham | |
Ellen M. Needham | ||
President (Principal Executive Officer) | ||
Date: | December 4, 2020 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial Officer) | ||
Date: | December 4, 2020 |