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State Street Institutional Funds

Filed: 4 Dec 20, 3:31pm
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.

 

 

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Table of Contents

State Street Institutional Funds

Annual Report

September 30, 2020

Table of Contents

 

     Page 
Notes to Performance     1 
Manager Reviews and Schedules of Investments    

State Street Institutional U.S. Equity Fund

     2 

State Street Institutional Premier Growth Equity Fund

     10 

State Street Institutional Small-Cap Equity Fund

     17 

State Street Institutional International Equity Fund

     31 

State Street Active Core Bond Fund

     38 
Financial Statements    

Financial Highlights

     63 

Statements of Assets and Liabilities

     68 

Statements of Operations

     70 

Statements of Changes in Net Assets

     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)

 

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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)

 

 

LOGO

 

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
Value

$

 
      
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
Value

$

 

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 
      

 

 

 

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 
      

 

 

 

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 
      

 

 

 

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
Value

$

 
      

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 
      

 

 

 

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 
      

 

 

 

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 
      

 

 

 

Interactive Home Entertainment - 0.3%

 

Activision Blizzard Inc.

   14,899      1,206,074 
      

 

 

 

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
Value

$

 

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 
      

 

 

 

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
Value

$

 
      

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
Value

$

 

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%
(Cost $5,363,497) (c)(d)

   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)

 

LOGO

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)

 

 

LOGO

 

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%
(Cost $1,019,025) (b)(c)(d)

   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
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

  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.

 

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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)

 

LOGO

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)

 

 

LOGO

 

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


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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%
(Cost $29,664,602) (b)(c)(d)

  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)

 

LOGO

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)

 

 

LOGO

 

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
Value

$

 
      
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
Value

$

 

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
Value

$

 
      
Short-Term Investments - 1.2%

 

State Street Institutional U.S. Government Money Market Fund - Class G Shares 0.07%
(Cost $1,143,904) (c)(d)

   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


Table of Contents

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)

 

LOGO

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)

 

 

LOGO

 

40 State Street Active Core Bond Fund


Table of Contents

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
5.50%, 10/01/24 (a)(b)

   3,915      4,080 

Federal National Mortgage Assoc. REMIC 6.00% -1 month USD LIBOR
5.85%, 09/25/46 (a)(b)(c)

   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
6.00%, 10/15/42 (a)(b)(c)

   988,256      162,753 

Federal Home Loan Mortgage Corp. REMIC 6.60% - 1 month USD LIBOR
6.45%, 08/15/25 (a)(b)(c)

   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
3.35%, 04/01/37 (a)(b)

   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
5.85%, 07/25/38 (a)(b)(c)

   34,607      6,575 

Federal National Mortgage Assoc. REMIC 6.55% -1 month USD LIBOR
6.40%, 11/25/41 (a)(b)(c)

   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.
2.00%, TBA (d)

   4,715,000      4,899,781 

Government National Mortgage Assoc. REMIC
4.50%, 08/16/39 (a)(c)

   20,318      220 
      

 

 

 
     6,544,107 
      

 

 

 

Asset Backed - 1.9%

 

Ally Auto Receivables Trust 2018-1
2.35%, 06/15/22 (a)

   32,110      32,261 

CarMax Auto Owner Trust
3.13%, 06/15/23 (a)

   82,406      83,896 

Chase Funding Trust 2004-1
4.99%, 11/25/33 (a)

   124,797      124,797 

Enterprise Fleet Financing 2019-1 LLC
3.07%, 10/20/24 (a)(g)

   473,000      498,274 

Ford Credit Auto Owner Trust 2020-B
0.56%, 10/15/24 (a)

   264,000      265,163 

Hyundai Auto Lease Securitization Trust 2018-A
2.89%, 03/15/22 (a)(g)

   181,664      181,861 

Nissan Auto Lease Trust 2019-A
2.76%, 03/15/22 (a)

   400,000      404,232 

Nissan Auto Lease Trust 2020-A
1.80%, 05/16/22 (a)

   154,367      155,506 

Santander Retail Auto Lease Trust 2019-B
2.30%, 01/20/23 (a)(g)

   455,000      465,019 

Securitized Term Auto Receivables Trust 2018-1A
3.30%, 11/25/22 (a)(g)

   118,000      120,662 

Trillium Credit Card Trust II
3.04%, 01/26/24 (a)(g)

   241,000      242,940 
      

 

 

 
     2,574,611 
      

 

 

 

Corporate Notes - 41.3%

 

3M Co.
3.13%, 09/19/46 (a)

   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.
3.50%, 11/15/24 (a)

   29,000      31,858 

Aircastle Ltd.
4.25%, 06/15/26 (a)

   58,000      53,655 

Albemarle Wodgina Pty Ltd.
3.45%, 11/15/29 (a)

   69,000      69,752 

Alcon Finance Corp.
2.60%, 05/27/30 (a)(g)

   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.
5.75%, 11/20/25 (a)

   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.
2.50%, 09/15/24 (a)

   75,000      79,655 

American Electric Power Company Inc.
3.25%, 03/01/50 (a)

   30,000      31,268 

American Electric Power Company Inc.
2.30%, 03/01/30 (a)

   30,000      30,946 

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

   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)
5.75%, 04/01/48 (a)(b)

   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.
2.95%, 09/01/27 (a)

   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
2.65%, 06/05/30 (a)(g)

   155,000      155,397 

Apollo Management Holdings LP (4.95% fixed rate until 12/17/24; 3.27% + 5 year CMT Rate thereafter)
4.95%, 01/14/50 (a)(b)(g)

   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.
4.35%, 04/01/47 (a)

   98,000      130,198 

Aptiv PLC
4.40%, 10/01/46 (a)

   23,000      21,894 

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

   13,000      14,090 

Ares Capital Corp.
3.25%, 07/15/25 (a)

   202,000      200,392 

Ascension Health
4.85%, 11/15/53 (a)

   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.
6.15%, 04/03/30 (a)

   67,000      80,083 

Avangrid Inc.
3.15%, 12/01/24 (a)

   45,000      49,106 

Avery Dennison Corp.
2.65%, 04/30/30 (a)

   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)
2.59%, 04/29/31 (a)(b)

   155,000      164,123 

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

   31,000      31,983 

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

   19,000      20,765 

Bank of America Corp. (3.56% fixed rate until 04/23/26; 1.06% + 3 month USD LIBOR thereafter)
3.56%, 04/23/27 (a)(b)

   102,000      113,932 

Bank of America Corp. (3.71% fixed rate until 04/24/27; 1.51% + 3 month USD LIBOR thereafter)
3.71%, 04/24/28 (a)(b)

   89,000      100,485 

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

   21,000      25,517 

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

   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)
4.27%, 07/23/29 (a)(b)

   97,000      113,761 

Bank of America Corp. (4.30% fixed rate until 01/28/25; 2.66% + 3 month USD LIBOR thereafter)
4.30%, 12/31/99 (a)(b)

   80,000      77,819 

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

   52,000      67,345 

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

   45,000      48,488 

Barclays PLC
4.84%, 05/09/28 (a)

   200,000      217,108 

Barclays PLC (2.65% fixed rate until 06/24/30; 1.90% + 1 year CMT Rate thereafter)
2.65%, 06/24/31 (a)(b)

   652,000      651,250 

Barclays PLC (2.85% fixed rate until 05/07/25; 2.45% + 3 month USD LIBOR therefter)
2.85%, 05/07/26 (a)(b)

   200,000      207,754 

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

   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
1.67%, 03/25/26

   35,000      35,152 
   Principal
Amount ($)
     Fair
Value
$
 

Baxter International Inc.
3.95%, 04/01/30 (a)(g)

   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
3.88%, 08/15/30 (a)

   20,000      20,192 

BNP Paribas S.A. (2.82% fixed rate until 11/19/24; 1.11% + 3 month USD LIBOR thereafter)
2.82%, 11/19/25 (a)(b)(g)

   204,000      215,193 

Boardwalk Pipelines LP
4.80%, 05/03/29 (a)

   28,000      30,546 

Boston Scientific Corp.
4.70%, 03/01/49 (a)

   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)
4.38%, 12/31/99 (a)(b)

   66,000      68,790 

BP Capital Markets PLC (4.88% Fixed rate until 03/22/30; 4.40% + 5 year CMT Rate thereafter)
4.88%, 12/31/99 (a)(b)

   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.
2.38%, 03/15/31

   40,000      40,442 

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

   6,000      7,189 

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

   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
3.30%, 01/15/35 (a)(g)

   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.
2.90%, 02/01/25 (a)

   13,000      14,074 

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

   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.
2.75%, 03/01/30 (a)

   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
5.88%, 03/31/25 (a)

   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.
3.70%, 01/15/31 (a)

   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.
5.90%, 02/15/39 (a)

   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)
1.68%, 05/15/24 (a)(b)

   220,000      225,328 

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

   65,000      67,464 

Citigroup Inc. (2.98% fixed rate until 11/05/29; 1.42% + SOFR thereafter)
2.98%, 11/05/30 (a)(b)

   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)
3.11%, 04/08/26 (a)(b)

   224,000      241,978 

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

   39,000      45,609 

Citigroup Inc. (4.70% fixed rate until 01/30/25; 3.23% + SOFR thereafter)
4.70%, 12/31/99 (a)(b)

   83,000      80,329 

CMS Energy Corp.
4.88%, 03/01/44 (a)

   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
1.95%, 07/02/23 (a)

   70,000      71,270 

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

   233,000      256,789 

CNOOC Petroleum North America ULC
6.40%, 05/15/37 (a)

   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
4.35%, 11/01/42 (a)

   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.
4.30%, 11/15/44 (a)

   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.
4.50%, 04/15/23 (a)

   122,000      116,222 

Corning Inc.
4.38%, 11/15/57 (a)

   24,000      28,955 

Corporate Office Properties LP
2.25%, 03/15/26

   55,000      55,709 

Costco Wholesale Corp.
1.75%, 04/20/32 (a)

   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.
4.50%, 03/15/49 - 08/01/54 (a)

   84,000      109,163 

CubeSmart LP
4.38%, 02/15/29 (a)

   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.
2.60%, 10/15/25 (a)

   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.
5.00%, 06/15/45 (a)

   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
3.60%, 07/01/29 (a)

   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.
4.00%, 05/15/25 (a)

   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.
2.95%, 11/04/29 (a)

   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
3.95%, 03/15/48 (a)

   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)
4.88%, 12/31/99 (a)(b)

   75,000      79,119 

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

   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.
3.62%, 08/01/27 (a)(g)

   22,000      23,487 

DXC Technology Co.
4.00%, 04/15/23 (a)

   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.
3.10%, 09/15/27 (a)

   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.
2.30%, 07/15/30 (a)

   32,000      33,973 

Eli Lilly & Co.
3.95%, 03/15/49 (a)

   36,000      45,158 

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

   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
5.50%, 09/15/40 (a)

   4,000      4,806 

Enbridge Inc. (5.75% fixed rate until 04/15/30; 5.31% + 5 year CMT Rate thereafter)
5.75%, 07/15/80 (a)(b)

   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)
6.75%, 12/31/99 (a)(b)

   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.
4.50%, 11/01/23 (a)

   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
4.25%, 02/15/48 (a)

   43,000      45,447 

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

   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
4.95%, 04/15/28 (a)

   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
3.25%, 11/18/49 (a)

   20,000      21,183 

ERP Operating LP
4.50%, 07/01/44 (a)

   36,000      46,207 

Essex Portfolio LP
2.65%, 03/15/32 (a)

   25,000      26,385 

Eversource Energy
3.45%, 01/15/50 (a)

   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.
3.90%, 07/15/27 (a)

   12,000      13,157 

FirstEnergy Transmission LLC
4.55%, 04/01/49 (a)(g)

   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
5.88%, 08/02/21 (a)

   205,000      208,877 

Fox Corp.
3.50%, 04/08/30 (a)

   44,000      49,703 

General Dynamics Corp.
4.25%, 04/01/50 (a)

   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
3.38%, 06/01/29 (a)

   32,000      36,927 

Glencore Finance Canada Ltd.
4.25%, 10/25/22 (a)(g)

   86,000      91,171 

Glencore Funding LLC
2.50%, 09/01/30 (g)

   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
2.00%, 03/15/31

   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.
6.35%, 10/15/45 (a)

   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.
2.70%, 08/15/29 (a)

   53,000      58,597 

Hormel Foods Corp.
1.80%, 06/11/30 (a)

   93,000      95,759 

HSBC Holdings PLC
4.25%, 03/14/24 (a)

   248,000      265,705 

HSBC Holdings PLC (2.13% fixed rate until 09/22/27; 1.73% + SOFR thereafter)
2.01%, 09/22/28 (b)

   200,000      198,662 

Huntington Bancshares Inc.
2.55%, 02/04/30 (a)

   84,000      88,060 

Hyundai Capital America
3.10%, 04/05/22 (a)(g)

   17,000      17,501 

Imperial Brands Finance PLC
3.50%, 02/11/23 (a)(g)

   203,000      212,048 

ING Groep N.V.
4.10%, 10/02/23 (a)

   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.
4.40%, 08/15/47 (a)

   45,000      55,178 

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

   24,000      26,448 

ITC Holdings Corp.
2.95%, 05/14/30 (a)(g)

   110,000      118,607 

Jabil Inc.
3.95%, 01/12/28 (a)

   24,000      26,390 

John Deere Capital Corp.
2.45%, 01/09/30 (a)

   150,000      163,245 

Johnson & Johnson
3.63%, 03/03/37 (a)

   38,000      46,312 

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

   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)
2.96%, 05/13/31 (a)(b)

   70,000      75,035 

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

   110,000      129,741 

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

   45,000      54,154 

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

   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)
4.01%, 04/23/29 (a)(b)

   76,000      88,123 

JPMorgan Chase & Co. (4.60% fixed rate until 02/01/25; 3.13% + SOFR thereafter)
4.60%, 12/31/99 (a)(b)

   81,000      78,763 

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

   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
2.25%, 04/06/27 (a)

   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.
5.05%, 02/15/46 (a)

   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.
9.50%, 05/15/25 (a)

   21,000      24,777 

L3Harris Technologies Inc.
3.85%, 12/15/26 (a)

   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.
3.95%, 05/15/60 (a)(g)

   21,000      23,195 

Life Storage LP
2.20%, 10/15/30

   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
3.75%, 01/11/27 (a)

   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.
3.20%, 05/15/30 (a)

   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
4.88%, 03/15/44 (a)

   7,000      8,341 

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

   9,000      9,996 

Marathon Oil Corp.
3.85%, 06/01/25 (a)

   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.
2.25%, 11/15/30 (a)

   44,000      46,152 

Masco Corp.
3.50%, 11/15/27 (a)

   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.
3.65%, 11/30/20 (a)

   113,000      113,585 

Medtronic Inc.
4.63%, 03/15/45 (a)

   4,000      5,506 

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

   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.
2.67%, 09/01/23 (a)(g)

   471,000      487,297 

Micron Technology Inc.
2.50%, 04/24/23 (a)

   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)
2.72%, 07/22/25 (a)(b)

   197,000      209,488 

Morgan Stanley (3.62% fixed rate until 04/01/30; 3.12% + SOFR thereafter)
3.62%, 04/01/31 (a)(b)

   55,000      63,112 

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

   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)
1.34%, 09/09/22 (a)(b)

   65,000      64,965 
   Principal
Amount ($)
     Fair
Value
$
 

Mylan Inc.
5.20%, 04/15/48 (a)

   14,000      17,467 

National Oilwell Varco Inc.
3.60%, 12/01/29 (a)

   61,000      59,463 

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

   82,000      91,002 

Newfield Exploration Co.
5.63%, 07/01/24 (a)

   217,000      210,635 

Newmont Corp.
4.88%, 03/15/42 (a)

   21,000      28,628 

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

   39,000      43,727 

NextEra Energy Capital Holdings Inc. (5.65% fixed rate until 05/01/29; 3.16% + 3 month USD LIBOR thereafter)
5.65%, 05/01/79 (a)(b)

   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.
3.95%, 10/01/42 (a)

   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.
2.20%, 08/14/30 (a)

   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.
2.70%, 05/01/25 (a)(g)

   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.
3.25%, 04/01/30 (a)

   35,000      39,124 

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

   26,000      27,237 

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

   16,000      19,546 

ONEOK Inc.
4.35%, 03/15/29 (a)

   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
4.40%, 01/30/48 (a)

   18,000      20,226 

Pacific Gas & Electric Co.
2.50%, 02/01/31 (a)

   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.
3.25%, 06/14/29 (a)

   26,000      29,135 

PartnerRe Finance B LLC (4.50% fixed rate until 04/01/30; 3.81% + 5 year CMT Rate thereafter)
4.50%, 10/01/50 (b)

   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
2.15%, 12/15/30 (a)

   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.
3.10%, 05/15/26 (a)

   71,000      78,496 

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

   17,000      21,160 

Prologis LP
4.38%, 02/01/29 (a)

   24,000      29,373 

Prudential Financial Inc.
3.94%, 12/07/49 (a)

   44,000      49,550 

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

   102,000      115,295 

PVH Corp.
4.63%, 07/10/25 (a)(g)

   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.
2.95%, 06/30/30 (a)

   15,000      16,389 

Ralph Lauren Corp.
1.70%, 06/15/22 (a)

   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
4.13%, 08/21/42 (a)

   15,000      19,224 

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

   36,000      47,174 

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

   9,000      11,693 

Roper Technologies Inc.
2.95%, 09/15/29 (a)

   104,000      114,333 

Ross Stores Inc.
4.70%, 04/15/27 (a)

   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.
3.75%, 03/15/27 (a)

   21,000      23,081 

Ryder System Inc.
2.90%, 12/01/26 (a)

   105,000      113,552 

Sabine Pass Liquefaction LLC
4.20%, 03/15/28 (a)

   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.
3.90%, 05/17/28 (a)(g)

   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
3.38%, 06/15/27 (a)

   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.
2.63%, 02/10/30 (a)

   67,000      63,156 

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

   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)
2.82%, 01/30/26 (a)(b)(g)

   203,000      210,235 

Starbucks Corp.
4.00%, 11/15/28 (a)

   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.
2.35%, 01/15/25 (a)

   400,000      421,124 

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

   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
5.30%, 04/01/44 (a)

   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.
4.35%, 05/15/44 (a)

   44,000      54,475 

Target Corp.
2.50%, 04/15/26 (a)

   24,000      26,248 

Teck Resources Ltd.
3.90%, 07/15/30 (a)(g)

   42,000      43,992 

TELUS Corp.
3.70%, 09/15/27 (a)

   150,000      169,495 

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

   23,000      28,436 

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

   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)
4.63%, 12/29/49 (a)(b)

   86,000      88,478 

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

   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.
4.55%, 11/15/30 (a)(g)

   71,000      83,492 
   Principal
Amount ($)
     Fair
Value
$
 

The Clorox Co.
1.80%, 05/15/30 (a)

   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
4.13%, 09/15/48 (a)

   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)
3.81%, 04/23/29 (a)(b)

   116,000      132,017 

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

   50,000      58,174 

The Hartford Financial Services Group Inc.
2.80%, 08/19/29 (a)

   65,000      70,374 

The Hartford Financial Services Group Inc. (2.41% fixed rate until 11/02/20; 2.13% + 3 month USD LIBOR)
2.41%, 02/12/67 (a)(b)(g)

   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.
3.75%, 10/01/21 (a)

   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.
5.63%, 11/15/43 (a)

   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.
2.55%, 04/27/50 (a)

   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.
4.50%, 04/15/50 (a)

   11,000      14,196 

Total Capital International S.A.
3.46%, 02/19/29 (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)
5.63%, 05/20/75 (a)(b)

   85,000      86,460 

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

   16,000      17,953 

Truist Financial Corp. (4.80% fixed rate until 09/01/24; 3.00% + 5 year CMT Rate thereafter)
4.80%, 12/31/99 (a)(b)

   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.
4.13%, 06/01/44 (a)

   5,000      6,014 

Tyco Electronics Group S.A.
3.13%, 08/15/27 (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
4.50%, 03/15/25 (a)

   22,000      24,418 

Vale S.A.
5.63%, 09/11/42 (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
3.25%, 10/15/26 (a)

   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.
4.00%, 11/15/46 (a)

   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
3.50%, 01/15/25 (a)

   14,000      14,563 

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

   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.
3.55%, 06/15/25 (a)

   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)
1.65%, 06/02/24 (a)(b)

   55,000      56,026 

Wells Fargo & Co. (2.39% fixed rate until 06/02/27; 2.10% + SOFR thereafter)
2.39%, 06/02/28 (a)(b)

   70,000      73,013 

Wells Fargo & Co. (2.88% fixed rate until 10/30/29; 1.17% + 3 month USD LIBOR thereafter)
2.88%, 10/30/30 (a)(b)

   20,000      21,432 

Wells Fargo & Co. (3.07% fixed rate until 04/30/40; 2.53% + SOFR thereafter)
3.07%, 04/30/41 (a)(b)

   95,000      99,046 

Wells Fargo & Co. (3.20% fixed rate until 06/17/26; 1.17% + 3 month USD LIBOR thereafter)
3.20%, 06/17/27 (a)(b)

   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)
5.88%, 12/29/49 (a)(b)

   117,000      125,767 

Western Midstream Operating LP
5.38%, 06/01/21 (a)

   49,000      49,365 

Westpac Banking Corp. (2.89% fixed rate until 02/04/25; 1.35% + 5 year CMT Rate thereafter)
2.89%, 02/04/30 (a)(b)

   82,000      84,700 

Westpac Banking Corp. (4.11% fixed rate until 07/24/29; 2.00% + 5 year CMT Rate thereafter)
4.11%, 07/24/34 (a)(b)

   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
3.75%, 09/19/24 (a)

   19,000      20,836 

WRKCo Inc.
3.00%, 09/15/24 (a)

   19,000      20,425 

Xcel Energy Inc.
3.40%, 06/01/30 (a)

   55,000      63,121 

Xilinx Inc.
2.95%, 06/01/24 (a)

   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
3.18%, 09/15/60 (a)

   1,168,000      1,307,395 

BANK 2018-BNK15
4.41%, 11/15/61 (a)(b)

   487,000      584,583 

Benchmark 2019-B12 Mortgage Trust
3.12%, 08/15/52 (a)

   140,000      157,632 

Benchmark 2019-B9 Mortgage Trust
4.02%, 03/15/52

   1,000,000      1,187,700 

Cantor Commercial Real Estate Lending 2019-CF3
3.01%, 01/15/53 (a)

   222,000      247,576 

CD 2019-CD8 Mortgage Trust
2.91%, 08/15/57 (a)

   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
4.64%, 11/10/48 (b)

   158,000      135,286 

Citigroup Commercial Mortgage Trust 2015-P1
3.72%, 09/15/48 (a)

   717,000      799,911 

Citigroup Commercial Mortgage Trust 2016-P6
3.72%, 12/10/49 (a)(b)

   126,803      144,238 

GS Mortgage Securities Trust 2012-GCJ9
2.09%, 11/10/45 (a)(b)(c)

   684,438      21,832 

GS Mortgage Securities Trust 2015-GS1
4.57%, 11/10/48 (b)

   213,000      181,317 

GS Mortgage Securities Trust 2016-GS3
2.85%, 10/10/49 (a)

   379,000      411,227 

GS Mortgage Securities Trust 2019-GC42
2.75%, 09/01/52 (a)

   773,000      848,584 

GS Mortgage Securities Trust 2019-GSA1
3.05%, 11/10/52 (a)

   376,000      422,436 

JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9
1.64%, 12/15/47 (a)(b)(c)

   578,001      14,743 

JPMBB Commercial Mortgage Securities Trust 2015-C32
4.80%, 11/15/48 (a)(b)

   494,000      427,880 

MASTR Alternative Loan Trust 2003-5
5.00%, 08/25/18 (c)

   1,098      12 

Morgan Stanley Bank of America Merrill Lynch Trust 2015-C21
1.02%, 03/15/48 (a)(b)(c)

   3,482,646      103,542 

Morgan Stanley Capital I Trust 2006-IQ11
6.05%, 10/15/42 (a)(b)

   138,884      137,084 

UBS Commercial Mortgage Trust 2018-C12
4.79%, 08/15/51 (a)(b)

   189,000      200,065 

Wells Fargo Commercial Mortgage Trust 2015-C26
1.35%, 02/15/48 (a)(b)(c)

   2,712,334      118,553 
   Principal
Amount ($)
or Shares
     Fair
Value
$
 

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

   544,000      593,403 
      

 

 

 
       8,962,264 
      

 

 

 

Sovereign Bonds - 0.6%

 

Government of Chile
2.55%, 01/27/32 (a)

   203,000      214,427 

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

   202,000      215,817 

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

   113,000      180,232 

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

��  117,568      157,804 
      

 

 

 
       768,280 
      

 

 

 

Municipal Bonds and Notes - 0.4%

 

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

   105,000      152,111 

Board of Regents of the University of Texas System
3.35%, 08/15/47 (a)

   95,000      113,462 

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

   165,000      196,518 

State of Illinois
5.10%, 06/01/33 (a)

   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
(Cost $214,450) (a)(b)

   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%
(Cost $9,155,711) (a)(f)(i)

   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