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: 811-09819
Securities Act of 1933 file number: 333-30810
STATE STREET INSTITUTIONAL INVESTMENT TRUST
(Exact name of registrant as specified in charter)
P.O. Box 5049
Boston, Massachusetts 02206
(Address of principal executive offices)(Zip code)
Copy to:
David James, Vice President and Senior Managing Counsel State Street Bank and Trust Company 4 Copley Place, 5th Floor Boston, Massachusetts 02116 | Timothy W. Diggins, Esq. Ropes & Gray LLP Prudential Tower 800 Boylston Street Boston, MA 02199-3600 | |
(Name and Address of Agent for Service) |
Registrant’s telephone number, including area code: (617) 662-1742
Date of fiscal year end: December 31
Date of reporting period: June 30, 2013
Item 1. Shareholder Report
STATE STREET INSTITUTIONAL INVESTMENT TRUST
SEMI-ANNUAL REPORT
June 30, 2013
(Unaudited)
State Street Institutional Liquid Reserves Fund
State Street Institutional Tax Free Money Market Fund
State Street Institutional U.S. Government Money Market Fund
State Street Institutional Treasury Money Market Fund
State Street Institutional Treasury Plus Money Market Fund
State Street Institutional Investment Trust (Unaudited)
EXPENSE EXAMPLE
As a shareholder of the below listed funds (the “Funds”), you incur ongoing costs, which include costs for administrative services and to the extent applicable, distribution (12b-1) fees, among others, in addition to the Fund’s proportionate share of expenses of each series of the State Street Master Funds, in which each respective Fund invests substantially all of its assets (their respective “Portfolio”). This 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.
The example is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2013 to June 30, 2013.
The table below illustrates your Fund’s costs in two ways:
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Fund’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Fund. You may use the information here, 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 the Fund under the heading “Expenses Paid During Period”.
• | Based on hypothetical 5% return. This section is intended to help you compare your Fund’s costs with those of other mutual funds. It assumes that the Fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Fund’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended June 30, 2013
Institutional Class Shares | Beginning Account Value January 1, 2013 | Ending Account Value June 30, 2013 | Expenses Paid During Period * | |||||||||
Based on Actual Fund Return | ||||||||||||
State Street Institutional Liquid Reserves Fund | $ | 1,000.00 | $ | 1,000.62 | $ | 0.60 | ||||||
State Street Institutional Tax Free Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.40 | ||||||
State Street Institutional U.S. Government Money Market Fund | $ | 1,000.00 | $ | 1,000.10 | $ | 0.55 | ||||||
State Street Institutional Treasury Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.45 | ||||||
State Street Institutional Treasury Plus Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.50 |
2
State Street Institutional Investment Trust (Unaudited)
EXPENSE EXAMPLE — (continued)
Institutional Class Shares | Beginning Account Value January 1, 2013 | Ending Account Value June 30, 2013 | Expenses Paid During Period * | |||||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
State Street Institutional Liquid Reserves Fund | $ | 1,000.00 | $ | 1,024.20 | $ | 0.60 | ||||||
State Street Institutional Tax Free Money Market Fund | $ | 1,000.00 | $ | 1,024.20 | $ | 0.40 | ||||||
State Street Institutional U.S. Government Money Market Fund | $ | 1,000.00 | $ | 1,024.25 | $ | 0.55 | ||||||
State Street Institutional Treasury Money Market Fund | $ | 1,000.00 | $ | 1,024.35 | $ | 0.45 | ||||||
State Street Institutional Treasury Plus Money Market Fund | $ | 1,000.00 | $ | 1,024.30 | $ | 0.50 |
* | The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Institutional Class Shares’ annualized expense ratio as of June 30, 2013, which includes each Fund’s proportionate share of the expenses of its respective Portfolio, was as follows: |
State Street Institutional Liquid Reserves Fund | 0.12% | |||
State Street Institutional Tax Free Money Market Fund | 0.08% | |||
State Street Institutional U.S. Government Money Market Fund | 0.11% | |||
State Street Institutional Treasury Money Market Fund | 0.09% | |||
State Street Institutional Treasury Plus Money Market Fund | 0.10% |
The dollar amount show as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, mulltiplied by 181/365 (the most recent six month period). |
Six Months Ended June 30, 2013
Investment Class Shares | Beginning Account Value January 1, 2013 | Ending Account Value June 30, 2013 | Expenses Paid During Period * | |||||||||
Based on Actual Fund Return | ||||||||||||
State Street Institutional Liquid Reserves Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 1.19 | ||||||
State Street Institutional Tax Free Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.45 | ||||||
State Street Institutional U.S. Government Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.60 | ||||||
State Street Institutional Treasury Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.45 | ||||||
State Street Institutional Treasury Plus Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.50 |
3
State Street Institutional Investment Trust (Unaudited)
EXPENSE EXAMPLE — (continued)
Investment Class Shares | Beginning Account Value January 1, 2013 | Ending Account Value June 30, 2013 | Expenses Paid During Period * | |||||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
State Street Institutional Liquid Reserves Fund | $ | 1,000.00 | $ | 1,023.60 | $ | 1.20 | ||||||
State Street Institutional Tax Free Money Market Fund | $ | 1,000.00 | $ | 1,024.35 | $ | 0.45 | ||||||
State Street Institutional U.S. Government Money Market Fund | $ | 1,000.00 | $ | 1,024.20 | $ | 0.60 | ||||||
State Street Institutional Treasury Money Market Fund | $ | 1,000.00 | $ | 1,024.35 | $ | 0.45 | ||||||
State Street Institutional Treasury Plus Money Market Fund | $ | 1,000.00 | $ | 1,024.30 | $ | 0.50 |
* | The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Investment Class Shares’ annualized expense ratio as of June 30, 2013, which includes each Fund’s proportionate share of the expenses of its respective Portfolio, was as follows: |
State Street Institutional Liquid Reserves Fund | 0.24% | |||
State Street Institutional Tax Free Money Market Fund | 0.09% | |||
State Street Institutional U.S. Government Money Market Fund | 0.12% | |||
State Street Institutional Treasury Money Market Fund | 0.09% | |||
State Street Institutional Treasury Plus Money Market Fund | 0.10% |
The dollar amount show as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, mulltiplied by 181/365 (the most recent six month period). |
Six Months Ended June 30, 2013
State Street Institutional Liquid Reserves Fund Class M Shares | Beginning Account Value January 1, 2013 | Ending Account Value June 30, 2013 | Expenses Paid During Period * | |||||||||
Based on Actual Fund Return | $ | 1,000.00 | $ | 1,000.72 | $ | 0.50 | ||||||
Based on Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.30 | $ | 0.50 |
* | The calculation is based on expenses incurred in the most recent six month period of the Fund. The annualized expense ratio for the six month period ended June 30, 2013 was 0.10%. The dollar amount shown as “Expenses Paid” is equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by 181/365 (the most recent six month period). |
4
State Street Institutional Investment Trust
Statement of Assets and Liabilities
June 30, 2013 (Unaudited)
Liquid Reserves Fund | Tax Free Money Market Fund | U.S. Government Money Market Fund | Treasury Money Market Fund | Treasury Plus Money Market Fund | ||||||||||||||||
Assets | ||||||||||||||||||||
Investments in corresponding Portfolio, at market value and cost (Note 1) | $ | 32,073,990,099 | $ | 277,385,204 | $ | 8,718,753,611 | $ | 12,101,575,219 | $ | 1,819,103,383 | ||||||||||
Receivable from Adviser and Distributor (Note 3) | 177,781 | 96,293 | 386,132 | 793,642 | 116,240 | |||||||||||||||
Prepaid expenses | 57,708 | 84 | 14,745 | 36,242 | 2,412 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total assets | 32,074,225,588 | 277,481,581 | 8,719,154,488 | 12,102,405,103 | 1,819,222,035 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities | ||||||||||||||||||||
Administration and custody fees payable (Note 3) | 1,301,605 | 13,630 | 340,753 | 464,881 | 66,011 | |||||||||||||||
Shareholder servicing fee payable (Note 3) | 171,157 | 42,612 | 125,196 | 228,202 | 23,110 | |||||||||||||||
Registration and filing fees payable | 64,334 | 12,534 | 45,333 | 145,421 | – | |||||||||||||||
Distribution fees payable (Note 3) | 68,461 | 17,045 | 50,078 | 91,281 | 9,452 | |||||||||||||||
Dividends payable | 293,542 | – | – | 3 | – | |||||||||||||||
Professional fees payable | 14,465 | 14,486 | 14,486 | 14,486 | 13,165 | |||||||||||||||
Transfer agent fees payable | 8,112 | 3,449 | 4,969 | 3,808 | 3,149 | |||||||||||||||
Accrued expenses and other liabilities | 7,991 | 12,345 | 14,132 | 7,710 | 4,068 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total liabilities | 1,929,667 | 116,101 | 594,947 | 955,792 | 118,955 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 32,072,295,921 | $ | 277,365,480 | $ | 8,718,559,541 | $ | 12,101,449,311 | $ | 1,819,103,080 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets Consist of: | ||||||||||||||||||||
Paid-in capital | $ | 32,071,858,960 | $ | 277,365,480 | $ | 8,718,725,121 | $ | 12,101,413,338 | $ | 1,819,104,276 | ||||||||||
Undistributed net investment income | – | – | – | – | 225 | |||||||||||||||
Accumulated net realized gain (loss) | 436,961 | – | (165,580 | ) | 35,973 | (1,421 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 32,072,295,921 | $ | 277,365,480 | $ | 8,718,559,541 | $ | 12,101,449,311 | $ | 1,819,103,080 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Net Assets | ||||||||||||||||||||
Institutional Class | $ | 28,435,656,234 | $ | 76,228,480 | $ | 7,941,852,318 | $ | 11,045,349,208 | $ | 1,713,798,149 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Investment Class | $ | 665,508,571 | $ | 201,137,000 | $ | 776,707,223 | $ | 1,056,100,103 | $ | 105,304,931 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class M Shares | $ | 2,971,131,116 | $ | – | $ | – | $ | – | $ | – | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Shares of Beneficial Interest Outstanding | ||||||||||||||||||||
Institutional Class | 28,435,276,753 | 76,222,639 | 7,942,216,962 | 11,045,422,405 | 1,713,923,305 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Investment Class | 665,480,877 | 201,147,134 | 776,778,393 | 1,056,091,695 | 105,329,119 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Class M Shares | 2,971,098,949 | – | – | – | – | |||||||||||||||
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|
|
|
|
|
| |||||||||||
Offering, Net Asset Value and Redemption Price Per Share | ||||||||||||||||||||
Institutional Class | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
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| |||||||||||
Investment Class | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | $ | 1.00 | ||||||||||
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| |||||||||||
Class M Shares | $ | 1.00 | $ | – | $ | – | $ | – | $ | – | ||||||||||
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|
|
|
|
See Notes to Financial Statements and Financial Statements of the Master Funds.
5
State Street Institutional Investment Trust
Statements of Operations
Six Months Ended June 30, 2013 (Unaudited)
Liquid Reserves Fund | Tax Free Money Market Fund | U.S. Government Money Market Fund | Treasury Money Market Fund | Treasury Plus Money Market Fund | ||||||||||||||||
Income and Expenses Allocated from Portfolio | ||||||||||||||||||||
Interest income allocated from Portfolio (Note 2) | $ | 37,830,976 | $ | 146,869 | $ | 4,711,306 | $ | 4,924,032 | $ | 900,678 | ||||||||||
Expenses allocated from Portfolio (Note 2) | (10,200,421 | ) | (173,490 | ) | (2,611,534 | ) | (3,656,791 | ) | (655,501 | ) | ||||||||||
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| |||||||||||
27,630,555 | (26,621 | ) | 2,099,772 | 1,267,241 | 245,177 | |||||||||||||||
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| |||||||||||
Expenses | ||||||||||||||||||||
Administration and custody fees (Note 3) | 7,632,715 | 91,031 | 1,989,711 | 2,802,993 | 452,836 | |||||||||||||||
Shareholder servicing fee –Investment Class (Note 3) | 1,070,017 | 292,041 | 859,490 | 1,567,255 | 121,222 | |||||||||||||||
Distribution fees – Investment Class (Note 3) | 428,007 | 116,816 | 343,796 | 626,902 | 48,489 | |||||||||||||||
Registration and filing fees | 20,092 | 25,242 | 16,910 | 16,907 | 17,819 | |||||||||||||||
Professional fees | 12,859 | 12,881 | 12,881 | 12,881 | 14,153 | |||||||||||||||
Transfer agent fees (Note 3) | 30,464 | 10,917 | 18,453 | 12,331 | 10,517 | |||||||||||||||
Printing fees | 12,375 | 8,693 | 12,448 | 7,232 | 15,216 | |||||||||||||||
Other expenses | 61,171 | 9,439 | 29,448 | 33,256 | 21,197 | |||||||||||||||
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| |||||||||||
Total expenses | 9,267,700 | 567,060 | 3,283,137 | 5,079,757 | 701,449 | |||||||||||||||
Less: Expenses reimbursed by the Adviser (Note 3) | (212,122 | ) | (191,955 | ) | (619,532 | ) | (1,969,073 | ) | (322,442 | ) | ||||||||||
Shareholder servicing fees waived – Investment Class (Note 3) | (316,908 | ) | (284,910 | ) | (583,924 | ) | (1,216,541 | ) | (103,111 | ) | ||||||||||
Distribution fees waived – Investment Class (Note 3) | (428,007 | ) | (116,816 | ) | (343,796 | ) | (626,902 | ) | (48,489 | ) | ||||||||||
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| |||||||||||
Net Expenses | 8,310,663 | (26,621 | ) | 1,735,885 | 1,267,241 | 227,407 | ||||||||||||||
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| |||||||||||
Net Investment Income | $ | 19,319,892 | $ | – | $ | 363,887 | $ | – | $ | 17,770 | ||||||||||
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Net realized gain (loss) allocated from Portfolio on investments | $ | 155,078 | $ | – | $ | – | $ | 30,679 | $ | (1,608 | ) | |||||||||
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| |||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 19,474,970 | $ | – | $ | 363,887 | $ | 30,679 | $ | 16,162 | ||||||||||
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See Notes to Financial Statements and Financial Statements of the Master Funds.
6
State Street Institutional Investment Trust
Statements of Changes in Net Assets
Liquid Reserves Fund | Tax Free Money Market Fund | |||||||||||||||
Six Months Ended June 30, 2013 (Unaudited) | Year Ended December 31, 2012 | Six Months Ended June 30, 2013 (Unaudited) | Year Ended December 31, 2012 | |||||||||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 19,319,892 | $ | 53,366,661 | $ | – | $ | 31 | ||||||||
Net realized gain on investments | 155,078 | 281,883 | – | – | ||||||||||||
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| |||||||||
Net increase in net assets from operations | 19,474,970 | 53,648,544 | – | 31 | ||||||||||||
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| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Institutional Class | (17,610,888 | ) | (48,117,103 | ) | – | (31 | ) | |||||||||
Investment Class | – | (116 | ) | – | – | |||||||||||
Class M Shares | (1,709,004 | ) | (5,253,700 | ) | – | – | ||||||||||
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| |||||||||
Net realized gain on investments | ||||||||||||||||
Institutional Class | – | (31,156 | ) | – | – | |||||||||||
Investment Class | – | (912 | ) | – | – | |||||||||||
Class M Shares | – | (2,951 | ) | – | – | |||||||||||
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| |||||||||
Total distributions | (19,319,892 | ) | (53,405,938 | ) | – | (31 | ) | |||||||||
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| |||||||||
Net Increase (Decrease) from Capital Share Transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 168,937,881,266 | 271,275,561,211 | 589,469,818 | 946,447,344 | ||||||||||||
Reinvestment of distributions | 14,656,557 | 39,621,268 | – | 28 | ||||||||||||
Shares redeemed | (164,925,822,913 | ) | (266,503,858,906 | ) | (653,496,364 | ) | (893,327,800 | ) | ||||||||
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| |||||||||
Net increase (decrease) from capital share transactions | 4,026,714,910 | 4,811,323,573 | (64,026,546 | ) | 53,119,572 | |||||||||||
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| |||||||||
Investment Class | ||||||||||||||||
Shares sold | 2,423,259,624 | 3,940,516,723 | 147,806,181 | 740,404,764 | ||||||||||||
Reinvestment of distribution | – | 85 | – | – | ||||||||||||
Shares redeemed | (2,718,923,183 | ) | (3,972,092,363 | ) | (314,914,325 | ) | (616,246,578 | ) | ||||||||
|
|
|
|
|
|
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| |||||||||
Net increase (decrease) from capital share transactions | (295,663,559 | ) | (31,575,555 | ) | (167,108,144 | ) | 124,158,186 | |||||||||
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| |||||||||
Class M Shares | ||||||||||||||||
Shares sold | 7,920,543,857 | 10,282,939,412 | – | – | ||||||||||||
Reinvestment of distributions | 1,709,006 | 5,256,651 | – | – | ||||||||||||
Shares redeemed | (6,848,743,948 | ) | (10,402,722,875 | ) | – | – | ||||||||||
|
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|
|
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| |||||||||
Net increase (decrease) from capital share transactions | 1,073,508,915 | (114,526,812 | ) | – | – | |||||||||||
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|
|
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| |||||||||
Net Increase (Decrease) in Net Assets | 4,804,715,344 | 4,665,463,812 | (231,134,690 | ) | 177,277,758 | |||||||||||
Net Assets | ||||||||||||||||
Beginning of year | 27,267,580,577 | 22,602,116,765 | 508,500,170 | 331,222,412 | ||||||||||||
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| |||||||||
End of year | $ | 32,072,295,921 | $ | 27,267,580,577 | $ | 277,365,480 | $ | 508,500,170 | ||||||||
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| |||||||||
Undistributed net investment income | $ | – | $ | – | $ | – | $ | – | ||||||||
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| |||||||||
Changes in Shares: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 168,937,881,266 | 271,275,561,211 | 589,469,818 | 946,447,344 | ||||||||||||
Reinvestment of distributions | 14,656,557 | 39,621,268 | – | 28 | ||||||||||||
Shares redeemed | (164,925,822,913 | ) | (266,503,858,906 | ) | (653,496,364 | ) | (893,327,800 | ) | ||||||||
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|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 4,026,714,910 | 4,811,323,573 | (64,026,546 | ) | 53,119,572 | |||||||||||
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| |||||||||
Investment Class |
| |||||||||||||||
Shares sold | 2,423,259,624 | 3,940,516,723 | 147,806,181 | 740,404,764 | ||||||||||||
Reinvestment of distributions | – | 85 | – | – | ||||||||||||
Shares redeemed | (2,718,923,183 | ) | (3,972,092,363 | ) | (314,914,325 | ) | (616,246,578 | ) | ||||||||
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|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | (295,663,559 | ) | (31,575,555 | ) | (167,108,144 | ) | 124,158,186 | |||||||||
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|
|
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| |||||||||
Class M Shares | ||||||||||||||||
Shares sold | 7,920,543,857 | 10,282,939,407 | – | – | ||||||||||||
Reinvestment of distributions | 1,709,006 | 5,256,656 | – | – | ||||||||||||
Shares redeemed | (6,848,743,948 | ) | (10,402,722,875 | ) | – | – | ||||||||||
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|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 1,073,508,915 | (114,526,812 | ) | – | – | |||||||||||
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See Notes to Financial Statements and Financial Statements of the Master Funds.
7
State Street Institutional Investment Trust
Statements of Changes in Net Assets
U.S. Government Money Market Fund | Treasury Money Market Fund | |||||||||||||||
Six Months Ended June 30, 2013 (Unaudited) | Year Ended December 31, 2012 | Six Months Ended June 30, 2013 (Unaudited) | Year Ended December 31, 2012 | |||||||||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 363,887 | $ | 1,602,363 | $ | – | $ | – | ||||||||
Net realized gain on investments | – | 3,388 | 30,679 | 5,295 | ||||||||||||
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Net increase in net assets from operations | 363,887 | 1,605,751 | 30,679 | 5,295 | ||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Institutional Class | (363,887 | ) | (1,602,363 | ) | – | – | ||||||||||
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Net realized gain on investments | ||||||||||||||||
Institutional Class | – | – | – | (7,227 | ) | |||||||||||
Investment Class | – | – | – | (946 | ) | |||||||||||
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Total distributions | (363,887 | ) | (1,602,363 | ) | – | (8,173 | ) | |||||||||
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Net Increase (Decrease) from Capital Share Transactions: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 17,632,901,454 | 24,596,300,918 | 13,145,262,394 | 23,576,540,522 | ||||||||||||
Reinvestment of distributions | 297,379 | 1,284,032 | – | 6,524 | ||||||||||||
Shares redeemed | (16,805,559,606 | ) | (22,623,169,547 | ) | (12,251,018,793 | ) | (22,851,800,213 | ) | ||||||||
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Net increase from capital share transactions | 827,639,227 | 1,974,415,403 | 894,243,601 | 724,746,833 | ||||||||||||
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Investment Class | ||||||||||||||||
Shares sold | 1,794,835,104 | 2,162,031,327 | 1,252,373,104 | 2,930,499,195 | ||||||||||||
Reinvestment of distribution | – | – | – | – | ||||||||||||
Shares redeemed | (1,673,105,995 | ) | (2,145,154,371 | ) | (1,672,208,230 | ) | (2,835,871,544 | ) | ||||||||
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Net increase (decrease) from capital share transactions | 121,729,109 | 16,876,956 | (419,835,126 | ) | 94,627,651 | |||||||||||
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Net Increase (Decrease) in Net Assets | 949,368,336 | 1,991,295,747 | 474,439,154 | 819,371,606 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of year | 7,769,191,205 | 5,777,895,458 | 11,627,010,157 | 10,807,638,551 | ||||||||||||
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End of year | $ | 8,718,559,541 | $ | 7,769,191,205 | $ | 12,101,449,311 | $ | 11,627,010,157 | ||||||||
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Undistributed net investment income | $ | – | $ | – | $ | – | $ | – | ||||||||
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Changes in Shares: | ||||||||||||||||
Institutional Class | ||||||||||||||||
Shares sold | 17,632,901,454 | 24,596,300,918 | 13,145,262,394 | 23,576,540,522 | ||||||||||||
Reinvestment of distributions | 297,379 | 1,284,032 | – | 6,524 | ||||||||||||
Shares redeemed | (16,805,559,606 | ) | (22,623,169,547 | ) | (12,251,018,793 | ) | (22,851,800,213 | ) | ||||||||
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Net increase (decrease) in shares | 827,639,227 | 1,974,415,403 | 894,243,601 | 724,746,833 | ||||||||||||
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Investment Class | ||||||||||||||||
Shares sold | 1,794,835,104 | 2,162,031,327 | 1,252,373,104 | 2,930,499,195 | ||||||||||||
Reinvestment of distributions | – | – | – | – | ||||||||||||
Shares redeemed | (1,673,105,995 | ) | (2,145,154,371 | ) | (1,672,208,230 | ) | (2,835,871,544 | ) | ||||||||
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Net increase (decrease) in shares | 121,729,109 | 16,876,956 | (419,835,126 | ) | 94,627,651 | |||||||||||
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See Notes to Financial Statements and Financial Statements of the Master Funds.
8
State Street Institutional Investment Trust
Statements of Changes in Net Assets
Treasury Plus Money Market Fund | ||||||||
Six Months Ended June 30, 2013 (Unaudited) | Year Ended December 31, 2012 | |||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||
Operations: | ||||||||
Net investment income | $ | 17,770 | $ | 347,417 | ||||
Net realized gain (loss) on investments | (1,608 | ) | 187 | |||||
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Net increase in net assets from operations | 16,162 | 347,604 | ||||||
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Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Institutional Class | (17,770 | ) | (347,421 | ) | ||||
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Total distributions | (17,770 | ) | (347,421 | ) | ||||
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Net Increase (Decrease) from Capital Share Transactions: | ||||||||
Institutional Class | ||||||||
Shares sold | 3,823,771,563 | 7,423,095,713 | ||||||
Reinvestment of distributions | 16,503 | 342,909 | ||||||
Shares redeemed | (4,313,129,319 | ) | (6,440,456,759 | ) | ||||
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Net increase (decrease) from capital share transactions | (489,341,253 | ) | 982,981,863 | |||||
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Investment Class | ||||||||
Shares sold | 271,166,020 | 551,599,794 | ||||||
Shares redeemed | (261,083,220 | ) | (597,400,675 | ) | ||||
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Net increase (decrease) from capital share transactions | 10,082,800 | (45,800,881 | ) | |||||
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Net Increase (Decrease) in Net Assets | (479,260,061 | ) | 937,181,165 | |||||
Net Assets | ||||||||
Beginning of year | 2,298,363,141 | 1,361,181,976 | ||||||
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End of year | $ | 1,819,103,080 | $ | 2,298,363,141 | ||||
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Undistributed net investment income | $ | 225 | $ | 225 | ||||
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Changes in Shares: | ||||||||
Institutional Class | ||||||||
Shares sold | 3,823,771,563 | 7,423,095,713 | ||||||
Reinvestment of distributions | 16,503 | 342,909 | ||||||
Shares redeemed | (4,313,129,319 | ) | (6,440,456,759 | ) | ||||
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Net increase (decrease) in shares | (489,341,253 | ) | 982,981,863 | |||||
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Investment Class | ||||||||
Shares sold | 271,166,020 | 551,599,794 | ||||||
Shares redeemed | (261,083,220 | ) | (597,400,675 | ) | ||||
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Net increase (decrease) in shares | 10,082,800 | (45,800,881 | ) | |||||
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See Notes to Financial Statements and Financial Statements of the Master Funds.
9
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share of beneficial interest outstanding throughout each period is presented below(a):
Period Ended December 31, | Net Asset Value Beginning of Period | Net Investment Income/(Loss) | Gain (Loss) on Investments | Total from Investment Operations | Distributions from Net Investment Income | Distributions from Capital Gains | Total Distributions | |||||||||||||||||||||
Liquid Reserves Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | $ | 0.0006 | $ | 0.0000 | (d) | $ | 0.0006 | $ | (0.0006 | ) | $ | – | $ | (0.0006 | ) | |||||||||||
2012 | $ | 1.0000 | $ | 0.0020 | $ | 0.0000 | (d) | $ | 0.0020 | $ | (0.0020 | ) | $ | (0.0000 | )(d) | $ | (0.0020 | ) | ||||||||||
2011 | $ | 1.0000 | $ | 0.0015 | $ | 0.0000 | (d) | $ | 0.0015 | $ | (0.0015 | ) | $ | – | $ | (0.0015 | ) | |||||||||||
2010 | $ | 1.0000 | $ | 0.0019 | $ | 0.0000 | (d) | $ | 0.0019 | $ | (0.0019 | ) | $ | – | $ | (0.0019 | ) | |||||||||||
2009 | $ | 1.0000 | $ | 0.0049 | $ | 0.0000 | (d) | $ | 0.0049 | $ | (0.0049 | ) | $ | – | $ | (0.0049 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0278 | $ | 0.0000 | (d) | $ | 0.0278 | $ | (0.0278 | ) | $ | – | $ | (0.0278 | ) | |||||||||||
Investment Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2012 | $ | 1.0000 | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | (0.0000 | )(d) | $ | (0.0000 | )(d) | ||||||||
2011 | $ | 1.0000 | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2010 | $ | 1.0000 | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | ) | |||||||||
2009 | $ | 1.0000 | $ | 0.0019 | $ | 0.0000 | (d) | $ | 0.0019 | $ | (0.0019 | ) | $ | – | $ | (0.0019 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0243 | $ | 0.0000 | (d) | $ | 0.0243 | $ | (0.0243 | ) | $ | – | $ | (0.0243 | ) | |||||||||||
Class M Shares | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | $ | 0.0007 | $ | 0.0000 | (d) | $ | 0.0007 | $ | (0.0007 | ) | $ | – | $ | (0.0007 | ) | |||||||||||
2012 | $ | 1.0000 | $ | 0.0022 | $ | 0.0000 | (d) | $ | 0.0022 | $ | (0.0022 | ) | $ | (0.0000 | )(d) | $ | (0.0022 | ) | ||||||||||
2011(f) | $ | 1.0000 | $ | 0.0001 | $ | 0.0000 | (d) | $ | 0.0001 | $ | (0.0001 | ) | $ | – | $ | (0.0001 | ) | |||||||||||
Tax Free Money Market Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | $ | 0.0000 | (d) | $ | – | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2012 | $ | 1.0000 | $ | 0.0000 | (d) | $ | – | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | ) | ||||||||||
2011 | $ | 1.0000 | $ | 0.0002 | $ | (0.0000 | )(d) | $ | 0.0002 | $ | (0.0002 | ) | $ | – | $ | (0.0002 | ) | |||||||||||
2010 | $ | 1.0000 | $ | 0.0007 | $ | 0.0003 | $ | 0.0010 | $ | (0.0008 | ) | $ | (0.0002 | ) | $ | (0.0010 | ) | |||||||||||
2009 | $ | 1.0000 | $ | 0.0043 | $ | 0.0000 | (d) | $ | 0.0043 | $ | (0.0043 | ) | $ | – | $ | (0.0043 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0229 | $ | 0.0000 | (d) | $ | 0.0229 | $ | (0.0229 | ) | $ | – | $ | (0.0229 | ) | |||||||||||
Investment Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | )(d) | $ | – | $ | – | $ | – | ||||||||||||
2012 | $ | 1.0000 | $ | 0.0000 | (d) | $ | – | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2011 | $ | 1.0000 | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2010 | $ | 1.0000 | $ | 0.0001 | $ | 0.0002 | $ | 0.0003 | $ | (0.0001 | ) | $ | (0.0002 | ) | $ | (0.0003 | ) | |||||||||||
2009 | $ | 1.0000 | $ | 0.0022 | $ | 0.0000 | (d) | $ | 0.0022 | $ | (0.0022 | ) | $ | – | $ | (0.0022 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0194 | $ | 0.0000 | (d) | $ | 0.0194 | $ | (0.0194 | ) | $ | – | $ | (0.0194 | ) | |||||||||||
U.S. Government Money Market Fund |
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Institutional Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | $ | 0.0001 | $ | – | $ | 0.0001 | $ | (0.0001 | ) | $ | – | $ | (0.0001 | ) | ||||||||||||
2012 | $ | 1.0000 | $ | 0.0003 | $ | 0.0000 | $ | 0.0003 | $ | (0.0003 | ) | $ | – | $ | (0.0003 | ) | ||||||||||||
2011 | $ | 1.0000 | $ | 0.0002 | $ | (0.0000 | )(d) | $ | 0.0002 | $ | (0.0002 | ) | $ | – | $ | (0.0002 | ) | |||||||||||
2010 | $ | 1.0000 | $ | 0.0007 | $ | 0.0000 | $ | 0.0007 | $ | (0.0007 | ) | $ | – | $ | (0.0007 | ) | ||||||||||||
2009 | $ | 1.0000 | $ | 0.0025 | $ | 0.0001 | $ | 0.0026 | $ | (0.0026 | ) | $ | – | $ | (0.0026 | ) | ||||||||||||
2008 | $ | 1.0000 | $ | 0.0215 | $ | – | $ | 0.0215 | $ | (0.0215 | ) | $ | – | $ | (0.0215 | ) | ||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | $ | 0.0000 | (d) | $ | – | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2012 | $ | 1.0000 | $ | (0.0000 | )(d) | $ | 0.0000 | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2011 | $ | 1.0000 | $ | (0.0001 | ) | $ | 0.0001 | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2010 | $ | 1.0000 | $ | 0.0001 | $ | (0.0001 | ) | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | ) | ||||||||||
2009 | $ | 1.0000 | $ | 0.0006 | $ | (0.0001 | ) | $ | 0.0005 | $ | (0.0005 | ) | $ | – | $ | (0.0005 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0180 | $ | – | $ | 0.0180 | $ | (0.0180 | ) | $ | – | $ | (0.0180 | ) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their corresponding Portfolio. |
(b) | Total return is calculated assuming a purchase of shares at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at the net asset value per share on the respective payment dates. Total returns for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | This expense waiver is reflected in both the net expense and the net income ratios shown above. Without these waivers, net investment income would have been lower. |
(d) | Amount is less than $0.00005 per share. |
(e) | Amount is less than 0.005%. |
(f) | The Fund’s Class M Shares commenced operations on December 15, 2011. |
* | For the six months ended June 30, 2013 (Unaudited). |
** | Annualized |
See Notes to Financial Statements and Financial Statements of the Master Funds.
10
Net Asset Value End of Period | Ratios to Average Net Assets/Supplemental Data(a) | Net Assets End of Period (000s omitted) | ||||||||||||||||||||||||||
Period Ended December 31, | Total Return(b) | Gross Expenses | Net Expenses | Net Investment Income | Expense Waiver(c) | |||||||||||||||||||||||
Liquid Reserves Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | 0.06 | % | 0.12 | %** | 0.12 | %** | 0.12 | %** | – | $ | 28,435,656 | |||||||||||||||
2012 | $ | 1.0000 | 0.20 | % | 0.12 | % | 0.12 | % | 0.20 | % | – | $ | 24,408,802 | |||||||||||||||
2011 | $ | 1.0000 | 0.15 | % | 0.12 | % | 0.12 | % | 0.15 | % | – | $ | 19,597,264 | |||||||||||||||
2010 | $ | 1.0000 | 0.19 | % | 0.12 | % | 0.12 | % | 0.20 | % | 0.00 | %(e) | $ | 25,211,488 | ||||||||||||||
2009 | $ | 1.0000 | 0.49 | % | 0.14 | % | 0.14 | % | 0.43 | % | 0.00 | %(e) | $ | 14,508,409 | ||||||||||||||
2008 | $ | 1.0000 | 2.82 | % | 0.11 | % | 0.11 | % | 2.78 | % | – | $ | 7,774,494 | |||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | 0.00 | %(e) | 0.47 | %** | 0.24 | %** | (0.00 | )%(e)** | 0.23 | %** | $ | 665,509 | ||||||||||||||
2012 | $ | 1.0000 | 0.00 | %(e) | 0.47 | % | 0.32 | % | (0.00 | )%(e) | 0.15 | % | $ | 961,168 | ||||||||||||||
2011 | $ | 1.0000 | 0.00 | %(e) | 0.46 | % | 0.27 | % | (0.00 | )%(e) | 0.19 | % | $ | 992,736 | ||||||||||||||
2010 | $ | 1.0000 | 0.00 | %(e) | 0.47 | % | 0.31 | % | 0.00 | %(e) | 0.16 | % | $ | 905,604 | ||||||||||||||
2009 | $ | 1.0000 | 0.19 | % | 0.49 | % | 0.44 | % | 0.16 | % | 0.05 | % | $ | 886,988 | ||||||||||||||
2008 | $ | 1.0000 | 2.46 | % | 0.46 | % | 0.46 | % | 2.41 | % | – | $ | 769,284 | |||||||||||||||
Class M Shares | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | 0.07 | % | 0.10 | %** | 0.10 | %** | 0.14 | %** | – | $ | 2,971,131 | |||||||||||||||
2012 | $ | 1.0000 | 0.22 | % | 0.10 | % | 0.10 | % | 0.22 | % | – | $ | 1,897,611 | |||||||||||||||
2011(f) | $ | 1.0000 | 0.01 | % | 0.10 | %* | 0.10 | %* | 0.17 | %* | – | $ | 2,012,117 | |||||||||||||||
Tax Free Money Market Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | 0.00 | %(e) | 0.19 | %** | 0.08 | %** | 0.00 | %(e)** | 0.11 | %** | $ | 76,228 | ||||||||||||||
2012 | $ | 1.0000 | 0.00 | %(e) | 0.20 | % | 0.12 | % | 0.00 | %(e) | 0.08 | % | $ | 140,255 | ||||||||||||||
2011 | $ | 1.0000 | 0.02 | % | 0.19 | % | 0.12 | % | 0.02 | % | 0.07 | % | $ | 87,135 | ||||||||||||||
2010 | $ | 1.0000 | 0.10 | % | 0.17 | % | 0.17 | % | 0.07 | % | 0.00 | %(e) | $ | 114,404 | ||||||||||||||
2009 | $ | 1.0000 | 0.43 | % | 0.19 | % | 0.19 | % | 0.33 | % | – | $ | 99,976 | |||||||||||||||
2008 | $ | 1.0000 | 2.31 | % | 0.14 | % | 0.14 | % | 2.29 | % | – | $ | 65,171 | |||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | 0.00 | %(e) | 0.55 | %** | 0.09 | %** | (0.00 | )%(e)** | 0.46 | %** | $ | 201,137 | ||||||||||||||
2012 | $ | 1.0000 | 0.00 | %(e) | 0.56 | % | 0.12 | % | 0.00 | %(e) | 0.44 | % | $ | 368,245 | ||||||||||||||
2011 | $ | 1.0000 | 0.00 | %(e) | 0.54 | % | 0.15 | % | (0.00 | )%(e) | 0.39 | % | $ | 244,087 | ||||||||||||||
2010 | $ | 1.0000 | 0.02 | % | 0.52 | % | 0.24 | % | 0.00 | %(e) | 0.28 | % | $ | 290,874 | ||||||||||||||
2009 | $ | 1.0000 | 0.22 | % | 0.54 | % | 0.41 | % | 0.23 | % | 0.13 | % | $ | 276,146 | ||||||||||||||
2008 | $ | 1.0000 | 1.96 | % | 0.49 | % | 0.49 | % | 1.91 | % | – | $ | 322,981 | |||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | 0.01 | % | 0.12 | %** | 0.11 | %** | 0.01 | %** | 0.01 | %** | $ | 7,941,852 | ||||||||||||||
2012 | $ | 1.0000 | 0.03 | % | 0.13 | % | 0.12 | % | 0.03 | % | 0.01 | % | $ | 7,114,213 | ||||||||||||||
2011 | $ | 1.0000 | 0.02 | % | 0.12 | % | 0.10 | % | 0.02 | % | 0.02 | % | $ | 5,139,795 | ||||||||||||||
2010 | $ | 1.0000 | 0.07 | % | 0.13 | % | 0.12 | % | 0.07 | % | 0.01 | % | $ | 4,430,327 | ||||||||||||||
2009 | $ | 1.0000 | 0.26 | % | 0.13 | % | 0.12 | % | 0.21 | % | 0.01 | % | $ | 2,879,208 | ||||||||||||||
2008 | $ | 1.0000 | 2.17 | % | 0.14 | % | 0.14 | % | 1.70 | % | – | $ | 1,659,576 | |||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | 0.00 | %(e) | 0.47 | %** | 0.12 | %** | 0.00 | %(e)** | 0.35 | %** | $ | 776,707 | ||||||||||||||
2012 | $ | 1.0000 | 0.00 | %(e) | 0.47 | % | 0.14 | % | (0.00 | )%(e) | 0.33 | % | $ | 654,978 | ||||||||||||||
2011 | $ | 1.0000 | 0.00 | %(e) | 0.47 | % | 0.11 | % | 0.00 | %(e) | 0.36 | % | $ | 638,101 | ||||||||||||||
2010 | $ | 1.0000 | 0.00 | %(e) | 0.48 | % | 0.19 | % | 0.00 | %(e) | 0.29 | % | $ | 479,133 | ||||||||||||||
2009 | $ | 1.0000 | 0.05 | % | 0.48 | % | 0.37 | % | 0.05 | % | 0.11 | % | $ | 551,857 | ||||||||||||||
2008 | $ | 1.0000 | 1.81 | % | 0.49 | % | 0.49 | % | 1.75 | % | – | $ | 1,298,493 |
See Notes to Financial Statements and Financial Statements of the Master Funds.
11
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share of beneficial interest outstanding throughout each period is presented below(a):
Period Ended December 31, | Net Asset Value Beginning of Period | Net Investment Income/(Loss) | Gain (Loss) on Investments | Total from Investment Operations | Distributions from Net Investment Income | Distributions from Capital Gains | Total Distributions | |||||||||||||||||||||
Treasury Money Market Fund |
| |||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2012 | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | (0.0000 | )(d) | $ | (0.0000 | )(d) | |||||||||
2011 | $ | 1.0000 | $ | 0.0001 | $ | 0.0000 | (d) | $ | 0.0001 | $ | (0.0001 | ) | $ | – | $ | (0.0001 | ) | |||||||||||
2010 | $ | 1.0000 | $ | 0.0002 | $ | (0.0001 | ) | $ | 0.0001 | $ | (0.0001 | ) | $ | – | $ | (0.0001 | ) | |||||||||||
2009 | $ | 1.0000 | $ | 0.0003 | $ | 0.0001 | $ | 0.0004 | $ | (0.0004 | ) | $ | (0.0000 | )(d) | $ | (0.0004 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0123 | $ | 0.0000 | (d) | $ | 0.0123 | $ | (0.0123 | ) | $ | (0.0000 | )(d) | $ | (0.0123 | ) | ||||||||||
Investment Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2012 | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | (0.0000 | )(d) | $ | (0.0000 | ) | |||||||||
2011 | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | ) | |||||||||
2010 | $ | 1.0000 | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | ) | |||||||||
2009 | $ | 1.0000 | $ | 0.0001 | $ | 0.0000 | (d) | $ | 0.0001 | $ | (0.0001 | ) | $ | (0.0000 | )(d) | $ | (0.0001 | ) | ||||||||||
2008 | $ | 1.0000 | $ | 0.0092 | $ | 0.0000 | (d) | $ | 0.0092 | $ | (0.0092 | ) | $ | (0.0000 | )(d) | $ | (0.0092 | ) | ||||||||||
Treasury Plus Money Market Fund |
| |||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | $ | 0.0000 | (d) | $ | (0.0000 | ) | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | )(d) | |||||||||
2012 | $ | 1.0000 | $ | 0.0002 | $ | 0.0000 | (d) | $ | 0.0002 | $ | (0.0002 | ) | $ | – | $ | (0.0002 | ) | |||||||||||
2011 | $ | 1.0000 | $ | 0.0001 | $ | 0.0000 | (d) | $ | 0.0001 | $ | (0.0001 | ) | $ | – | $ | (0.0001 | ) | |||||||||||
2010 | $ | 1.0000 | $ | 0.0004 | $ | (0.0000 | )(d) | $ | 0.0004 | $ | (0.0004 | ) | $ | – | $ | (0.0004 | ) | |||||||||||
2009 | $ | 1.0000 | $ | 0.0004 | $ | 0.0002 | $ | 0.0006 | $ | (0.0006 | ) | $ | (0.0000 | )(d) | $ | (0.0006 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0154 | $ | 0.0000 | (d) | $ | 0.0154 | $ | (0.0154 | ) | $ | – | $ | (0.0154 | ) | |||||||||||
Investment Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | $ | 0.0000 | (d) | $ | (0.0000 | ) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2012 | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2011 | $ | 1.0000 | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2010 | $ | 1.0000 | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2009 | $ | 1.0000 | $ | 0.0001 | $ | 0.0001 | $ | 0.0002 | $ | (0.0002 | ) | $ | (0.0000 | )(d) | $ | (0.0002 | ) | |||||||||||
2008 | $ | 1.0000 | $ | 0.0126 | $ | 0.0000 | (d) | $ | 0.0126 | $ | (0.0126 | ) | $ | – | $ | (0.0126 | ) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of their corresponding Portfolio. |
(b) | Total return is calculated assuming a purchase of shares at the net asset value on the first day and a sale at the net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at the net asset value per share on the respective payment dates. Total returns for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | This expense waiver is reflected in both the net expense and the net income ratios shown above. Without these waivers, net investment income would have been lower. |
(d) | Amount is less than $0.00005 per share. |
(e) | Amount is less than 0.005%. |
* | For the six months ended June 30, 2013 (Unaudited). |
** | Annualized |
.
See Notes to Financial Statements and Financial Statements of the Master Funds.
12
Net Asset Value End of Period | Ratios to Average Net Assets/Supplemental Data(a) | Net Assets End of Period (000s omitted) | ||||||||||||||||||||||||||
Period Ended December 31, | Total Return(b) | Gross Expenses | Net Expenses | Net Investment Income | Expense Waiver(c) | |||||||||||||||||||||||
Treasury Money Market Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | 0.00 | %(e) | 0.12 | %** | 0.09 | %** | 0.00 | %(e)** | 0.03 | %** | $ | 11,045,349 | ||||||||||||||
2012 | $ | 1.0000 | 0.00 | %(e) | 0.10 | % | 0.07 | % | (0.00 | )%(e) | 0.03 | % | $ | 10,151,078 | ||||||||||||||
2011 | $ | 1.0000 | 0.01 | % | 0.13 | % | 0.03 | % | 0.00 | %(e) | 0.10 | % | $ | 9,426,334 | ||||||||||||||
2010 | $ | 1.0000 | 0.01 | % | 0.13 | % | 0.11 | % | 0.01 | % | 0.02 | % | $ | 2,790,267 | ||||||||||||||
2009 | $ | 1.0000 | 0.04 | % | 0.13 | % | 0.11 | % | 0.03 | % | 0.02 | % | $ | 1,581,525 | ||||||||||||||
2008 | $ | 1.0000 | 1.24 | % | 0.14 | % | 0.13 | % | 0.80 | % | 0.01 | % | $ | 1,036,263 | ||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | 0.00 | %(e) | 0.47 | %** | 0.09 | %** | (0.00 | )%(e)** | 0.38 | %** | $ | 1,056,100 | ||||||||||||||
2012 | $ | 1.0000 | 0.00 | %(e) | 0.47 | % | 0.08 | % | 0.00 | %(e) | 0.39 | % | $ | 1,475,932 | ||||||||||||||
2011 | $ | 1.0000 | 0.00 | %(e) | 0.48 | % | 0.05 | % | 0.00 | %(e) | 0.43 | % | $ | 1,381,305 | ||||||||||||||
2010 | $ | 1.0000 | 0.00 | %(e) | 0.48 | % | 0.13 | % | 0.00 | %(e) | 0.35 | % | $ | 866,341 | ||||||||||||||
2009 | $ | 1.0000 | 0.01 | % | 0.48 | % | 0.14 | % | 0.00 | %(e) | 0.34 | % | $ | 696,453 | ||||||||||||||
2008 | $ | 1.0000 | 0.93 | % | 0.49 | % | 0.42 | % | 0.76 | % | 0.08 | % | $ | 1,084,500 | ||||||||||||||
Treasury Plus Money Market Fund | ||||||||||||||||||||||||||||
Institutional Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | 0.00 | %(e) | 0.13 | %** | 0.10 | %** | 0.00 | %(e)** | 0.03 | %** | $ | 1,713,798 | ||||||||||||||
2012 | $ | 1.0000 | 0.02 | % | 0.14 | % | 0.11 | % | 0.02 | % | 0.03 | % | $ | 2,203,141 | ||||||||||||||
2011 | $ | 1.0000 | 0.01 | % | 0.14 | % | 0.06 | % | 0.01 | % | 0.08 | % | $ | 1,220,159 | ||||||||||||||
2010 | $ | 1.0000 | 0.04 | % | 0.15 | % | 0.11 | % | 0.04 | % | 0.04 | % | $ | 811,144 | ||||||||||||||
2009 | $ | 1.0000 | 0.06 | % | 0.15 | % | 0.13 | % | 0.04 | % | 0.02 | % | $ | 654,543 | ||||||||||||||
2008 | $ | 1.0000 | 1.55 | % | 0.16 | % | 0.13 | % | 0.92 | % | 0.03 | % | $ | 737,637 | ||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2013* | $ | 1.0000 | 0.00 | % | 0.48 | %** | 0.10 | %** | 0.00 | %(e)** | 0.38 | %** | $ | 105,305 | ||||||||||||||
2012 | $ | 1.0000 | 0.00 | % | 0.49 | % | 0.13 | % | 0.00 | %(e) | 0.36 | % | $ | 95,222 | ||||||||||||||
2011 | $ | 1.0000 | 0.00 | %(e) | 0.49 | % | 0.08 | % | 0.00 | %(e) | 0.41 | % | $ | 141,023 | ||||||||||||||
2010 | $ | 1.0000 | 0.00 | %(e) | 0.50 | % | 0.15 | % | 0.00 | %(e) | 0.35 | % | $ | 122,577 | ||||||||||||||
2009 | $ | 1.0000 | 0.02 | % | 0.50 | % | 0.17 | % | 0.00 | %(e) | 0.33 | % | $ | 146,099 | ||||||||||||||
2008 | $ | 1.0000 | 1.27 | % | 0.51 | % | 0.40 | % | 1.06 | % | 0.11 | % | $ | 215,585 |
See Notes to Financial Statements and Financial Statements of the Master Funds.
13
State Street Institutional Investment Trust
Notes to Financial Statements
June 30, 2013 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on February 16, 2000. The Trust consists of the following series: State Street Equity 500 Index Fund, State Street Equity 400 Index Fund, State Street Equity 2000 Index Fund, State Street Aggregate Bond Index Fund, State Street Institutional Liquid Reserves Fund, State Street Institutional Tax Free Money Market Fund, State Street Institutional Limited Duration Bond Fund, State Street Institutional U.S. Government Money Market Fund, State Street Institutional Treasury Money Market Fund and State Street Institutional Treasury Plus Money Market Fund, each of which is a separate diversified series of the Trust. Information presented in these financial statements pertains only to State Street Institutional Liquid Reserves Fund, State Street Institutional Tax Free Money Market Fund, State Street Institutional U.S. Government Money Market Fund, State Street Institutional Treasury Money Market Fund and State Street Institutional Treasury Plus Money Market Fund (the “Funds”). The Funds offer three classes of shares: Institutional Class, Investment Class and Service Class and the State Street Institutional Liquid Reserves Fund also offers Class M Shares, all of which have the same rights and privileges, including the same voting rights. The Funds are authorized to issue an unlimited number of shares, with no par value. Service Class Shares are not yet offered for sale.
The Funds’ Institutional Classes commenced operations as follows:
State Street Institutional Liquid Reserves Fund | August 12, 2004 | |
State Street Institutional Tax Free Money Market Fund | February 7, 2007 | |
State Street Institutional U.S. Government Money Market Fund | October 25, 2007 | |
State Street Institutional Treasury Money Market Fund | October 25, 2007 | |
State Street Institutional Treasury Plus Money Market Fund | October 24, 2007 |
The Funds’ Investment Classes commenced operations as follows:
State Street Institutional Liquid Reserves Fund | October 15, 2007 | |
State Street Institutional Tax Free Money Market Fund | October 12, 2007 | |
State Street Institutional U.S. Government Money Market Fund | October 17, 2007 | |
State Street Institutional Treasury Money Market Fund | October 25, 2007 | |
State Street Institutional Treasury Plus Money Market Fund | October 24, 2007 |
The Fund’s Class M Shares commenced operations as follows:
State Street Institutional Liquid Reserves Fund | December 15, 2011 |
As of June 30, 2013, the following series of the Trust were operational: State Street Equity 500 Index Fund, State Street Institutional Liquid Reserves Fund, State Street Institutional Tax Free Money Market Fund, State Street Institutional U.S. Government Money Market Fund, State Street Institutional Treasury Money Market Fund and State Street Institutional Treasury Plus Money Market Fund.
14
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
Each Fund invests all of its investable assets in interests of its respective Portfolio, each of which is a series of a separately registered investment company called State Street Master Funds. The investment objective and policies of each Portfolio are substantially similar to those of its respective Fund. The value of each Fund’s investment in its respective Portfolio reflects the Fund’s proportionate interest in the net assets of that Portfolio. The performance of each Fund is directly affected by the performance of its respective Portfolio. The financial statements of the Portfolios, including their Portfolios of Investments, are attached to this report and should be read in conjunction with the Funds’ financial statements.
Fund | % Investment in Master | Respective Portfolio | ||||
State Street Institutional Liquid Reserves Fund | 98.95 | % | State Street Money Market Portfolio | |||
State Street Institutional Tax Free Money Market Fund | 100.00 | % | State Street Tax Free Money Market Portfolio | |||
State Street Institutional U.S. Government Money Market Fund | 91.11 | % | State Street U.S. Government Money Market Portfolio | |||
State Street Institutional Treasury Money Market Fund | 92.24 | % | State Street Treasury Money Market Portfolio | |||
State Street Institutional Treasury Plus Money Market Fund | 100.00 | % | State Street Treasury Plus Money Market Portfolio |
It is the policy of the Funds to maintain a stable net asset value per share of $1.00. However, there is no assurance the Funds will be able to maintain a stable net asset value per share.
An investment in the Funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Funds seek to preserve the value of shareholders’ investment at $1.00 per share, it is possible to lose money by investing in the Funds.
2. | Significant Accounting Policies |
The following is a summary of the significant accounting policies consistently followed by the Funds in the preparation of their financial statements.
Security valuation – Each Fund records its investment in its respective Portfolio at value. The valuation policies of the Portfolios are discussed in Note 2 of the Portfolios’ Notes to Financial Statements, which are attached to this report.
The Portfolios adopted provisions surrounding fair value measurements and disclosures that defines fair value, establishes a framework for measuring fair value in generally accepted accounting principles and expands disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. The summary of the inputs used for each Portfolio, as of June 30, 2013, in valuing each Portfolio’s assets carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
15
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
Security transactions, investment income and expenses – Securities transactions are recorded on a trade date basis. Net investment income consists of a Fund’s pro-rata share of the net investment income of its respective Portfolio, less all expenses of the Fund. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its respective Portfolio’s realized gains and losses. Realized gains and losses from security transactions are recorded on the basis of identified cost. Class specific distribution and shareholder servicing fees are borne by each class. Income, non-class specific expenses, and realized gains and losses are allocated to the respective classes daily on the basis of relative net assets.
Dividends and distributions – Dividends from net investment income are declared daily and are payable as of the last business day of each month. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations.
Federal income taxes – Each Fund intends to continue to qualify for and elect treatment as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. By so qualifying and electing, the Funds will not be subject to federal income taxes to the extent they distribute their taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of their net taxable income and capital gains, if any, the Funds will not be subject to federal excise tax.
On December 22, 2010, the Regulated Investment Company Modernization Act of 2010 (the “Act”) was enacted. The Act modernizes several of the federal income and excise tax provisions related to RICs, and, with certain exceptions, is effective for taxable years beginning after December 22, 2010. Among the changes made are changes to the capital loss carryforward rules allowing for capital losses to be carried forward indefinitely. Rules in effect previously limit the carryforward period to eight years. Capital loss carryforwards generated in taxable years beginning after the effective date of the Act must be fully used before capital loss carryforwards generated in taxable years prior to the effective date of the Act; therefore, under certain circumstances, capital loss carryforwards available as of the report date, if any, may expire unused.
At December 31, 2012 State Street Institutional U.S. Government Money Market Fund used capital loss carryover in the amount of $3,388. State Street Institutional U.S. Government Money Market Fund had capital loss carryover in the amount of $165,580, all of which may be utilized to offset future net realized capital gains until the expiration date of December 31, 2015.
At June 30, 2013, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
The Funds have reviewed the tax positions for open years as of December 31, 2012, and determined they did not have a liability for any unrecognized tax expenses. The Funds recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations. As of June 30, 2013, tax years 2009 through 2012 remain subject to examination by the Funds’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
Expense allocation – Certain expenses are applicable to multiple Funds within the Trust. Expenses directly attributable to a Fund are charged to that Fund. Expenses of the Trust that are not directly attributed to a Fund are allocated among the Funds, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the Funds can otherwise be made.
16
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
Use of estimates – The Funds’ financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates. It is reasonably possible that these differences could be material.
Subsequent events – Management has determined that there are no subsequent events or transactions that would have materially impacted the Funds’ financial statements as presented.
3. | Related Party and Other Fees |
The Portfolios retained SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), as their investment adviser. Each Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolios in accordance with their investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, each Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
SSgA FM has contractually agreed to waive a portion of its management fee allocated from the Portfolio or to reimburse certain expenses to the extent necessary such that the total combined annual operating expenses of each class of the State Street Institutional Liquid Reserves Fund (“ILR”) (exclusive of interest, taxes and extraordinary expenses) do not exceed a rate of 0.12% of net assets attributable to the Fund’s Institutional Class Shares and 0.47% of net assets attributable to the Fund’s Investment Class Shares through April 30, 2014. For the six months ended June 30, 2013, SSgA FM did not reimburse or waive any fees of ILR under these agreements. Additionally, the Adviser may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the six months ended June 30, 2013, SSgA FM voluntarily waived fees of $212,122 on ILR.
The Adviser may reimburse expenses or waive fees of the State Street Institutional Tax Free Money Market Fund in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the six months ended June 30, 2013, SSgA FM voluntarily waived fees of $191,955 on the State Street Institutional Tax Free Money Market Fund.
SSgA FM has contractually agreed to waive a portion of its management fee allocated from the Portfolio or to reimburse certain expenses to the extent necessary such that the total combined annual operating expenses of each class of the State Street Institutional U.S. Government Money Market Fund (excluding taxes, interest and extraordinary expenses) do not exceed a rate of 0.12% of net assets attributable to the Fund’s Institutional Class Shares and 0.47% of net assets attributable to the Fund’s Investment Class Shares through April 30, 2014. For the six months ended June 30, 2013, SSgA FM did not reimburse any fees under these agreements. Additionally, the Adviser may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the six months ended June 30, 2013, SSgA FM voluntarily waived fees of $619,532 on the State Street Institutional U.S. Government Money Market Fund.
The Adviser may reimburse expenses or waive fees of the State Street Institutional Treasury Money Market Fund in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the six months ended June 30, 2013,
17
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
SSgA FM voluntarily waived fees of $1,969,073 on the State Street Institutional Treasury Money Market Fund.
SSgA FM has contractually agreed to waive a portion of its management fee allocated from the Portfolio or to reimburse certain expenses to the extent necessary such that the total combined annual operating expenses of each class of the State Street Institutional Treasury Plus Money Market Fund (excluding taxes, interest and extraordinary expenses) do not exceed a rate of 0.12% of net assets attributable to the Fund’s Institutional Class Shares and 0.47% of net assets attributable to the Fund’s Investment Class Shares through April 30, 2014. For the six months ended June 30, 2013, SSgA FM reimbursed the Fund $115,440 under these agreements. Additionally, the Adviser may reimburse expenses or waive fees in order to avoid a negative yield. Any such waiver or reimbursement would be voluntary and may be revised or cancelled at any time without notice. For the six months ended June 30, 2013, SSgA FM voluntarily waived fees of $207,002 on the State Street Institutional Treasury Plus Money Market Fund.
Effective October 1, 2012, the Trust implemented the terms of its Reimbursement Agreement with SSgA FM, dated September 20, 2012. Under the terms of the Reimbursement Agreement an applicable Fund agrees to repay SSgA FM up to the amount of fees waived or expenses reduced under the agreement provided that a Fund is not obligated to reimburse SSgA FM (1) more than three years after the end of the fiscal year of the Fund in which SSgA FM provided a voluntary reduction; (2) in respect of any business day for which the net annualized one-day yield of such Fund is less than 0.00%; (3) to the extent that the amount of the reimbursement to SSgA FM on any day exceeds fifty percent of the yield (net of all expenses, exclusive of the reimbursement) of the Fund on that day; (4) to the extent that the amount of the reimbursement would cause the Fund’s net yield to fall below a certain minimum net yield; or (5) in respect of any such fee waivers and/or expense reimbursements that are necessary to maintain a limit on a Fund’s expenses per contractual fee waivers and/or reimbursements by SSgA FM which are effective at the time of such fee waivers and/or expense reimbursements. As of June 30, 2013, SSgA FM has not recouped any expenses from the Funds. Waived/reduced fees subject to potential recovery by year of expiration are as follows:
Expiration | Liquid Reserves Fund | Tax Free Money Market Fund | U.S. Government Money Market Fund | Treasury Money Market Fund | Treasury Plus Money Market Fund | |||||||||||||||
12/31/2015 | $ | – | $ | 83,658 | $ | – | $ | 269,793 | $ | – | ||||||||||
12/31/2016 | $ | – | $ | 184,824 | $ | 343,966 | $ | 1,618,359 | $ | 188,891 |
Pursuant to the administration agreement, each Fund, except ILR Class M Shares, pays a fee at an annual rate of 0.05% of the respective Fund’s net assets accrued daily to SSgA FM and ILR Class M Shares pays at an annual rate of 0.03% of its net assets accrued daily to SSgA FM. During the six months ended June 30, 2013, ILR incurred the following administration fees:
Fund | Liquid Reserves Fund | |||
Institutional Class | $ | 7,058,123 | ||
Investment Class | $ | 214,003 | ||
Class M | $ | 354,340 |
18
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
The Funds pay an annual fee of $12,600 for custody and accounting services. Pursuant to the sub-administration agreement, SSgA FM pays an annual fee of $25,000 for each Fund serviced by State Street.
The Funds’ Investment Class has adopted a plan of distribution pursuant to Rule 12b-1 under the 1940 Act (the “Rule 12b-1 Plan”). Under the Rule 12b-1 Plan, the Funds compensate financial intermediaries in connection with the distribution of Fund shares and for services provided to the Funds’ shareholders. The Funds’ Investment Class Shares may make payments under the Rule 12b-1 Plan at an annual rate up to 0.10% of eligible average daily net assets of the Investment Class Shares. State Street Global Markets LLC (“SSGM” or the “Distributor”), a subsidiary of State Street Corporation, is the Funds’ Distributor.
During the six months ended June 30, 2013, the Funds did not make any payments to SSGM under the Rule 12b-1 Plan.
During the six months ended June 30, 2013, SSGM voluntarily agreed to waive Rule 12b-1 fees in the following amounts:
Fund | Amount Waived | |||
State Street Institutional Liquid Reserves Fund | $ | 428,007 | ||
State Street Institutional Tax Free Money Market Fund | 116,816 | |||
State Street Institutional U.S. Government Money Market Fund | 343,796 | |||
State Street Institutional Treasury Money Market Fund | 626,902 | |||
State Street Institutional Treasury Plus Money Market Fund | 48,489 |
Wealth Management Services (“WMS”), a division of State Street, is among the financial intermediaries who may receive fees under the Rule 12b-1 Plan. During the six months ended June 30, 2013, SSGM made the following payments to WMS under the Funds’ Rule 12b-1 Plan:
Fund | Amount | |||
State Street Institutional Liquid Reserves Fund | $ | – | ||
State Street Institutional Tax Free Money Market Fund | – | |||
State Street Institutional U.S. Government Money Market Fund | – | |||
State Street Institutional Treasury Money Market Fund | – | |||
State Street Institutional Treasury Plus Money Market Fund | – |
Under the Funds’ Shareholder Servicing Plan, the Funds compensate financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Funds’ Investment Class Shares made payments under the Shareholder Servicing Plan at an annual rate up to 0.25% of the eligible average daily net assets of the Investment Class Shares. During the six months
19
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
ended June 30, 2013, the Funds paid SSGM the following fees under the shareholder servicing agreement which SSGM subsequently paid to financial intermediaries:
Fund | Amount | |||
State Street Institutional Liquid Reserves Fund | $ | 753,109 | ||
State Street Institutional Tax Free Money Market Fund | 7,131 | |||
State Street Institutional U.S. Government Money Market Fund | 275,566 | |||
State Street Institutional Treasury Money Market Fund | 350,714 | |||
State Street Institutional Treasury Plus Money Market Fund | 18,111 |
During the six months ended June 30, 2013, SSGM voluntarily agreed to waive shareholder services fees in the following amounts:
Fund | Amount Waived | |||
State Street Institutional Liquid Reserves Fund | $ | 316,908 | ||
State Street Institutional Tax Free Money Market Fund | 284,910 | |||
State Street Institutional U.S. Government Money Market Fund | 583,924 | |||
State Street Institutional Treasury Money Market Fund | 1,216,541 | |||
State Street Institutional Treasury Plus Money Market Fund | 103,111 |
WMS is among the financial intermediaries who may receive fees under the shareholder serving agreement. For the six months ended June 30, 2013, WMS received the following payments:
Fund | Amount | |||
State Street Institutional Liquid Reserves Fund | $ | 705,061 | ||
State Street Institutional Tax Free Money Market Fund | 7,131 | |||
State Street Institutional U.S. Government Money Market Fund | 263,221 | |||
State Street Institutional Treasury Money Market Fund | 350,713 | |||
State Street Institutional Treasury Plus Money Market Fund | 12,953 |
Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer agent and dividend disbursing agent to the Funds. For these services, the Funds pay annual account services fees, activity-based fees, charges related to compliance and regulatory services, and a minimum fee of $200 for each Fund.
4. | Indemnifications |
The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.
20
State Street Institutional Investment Trust
General Information
June 30, 2013 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Trust has adopted proxy voting procedures relating to portfolio securities held by the Funds. A description of the policies and procedures is available without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the website of the Securities Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ending June 30 is available by August 31 without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.
21
Trustees
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross
Investment Adviser and Administrator
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian and Sub-Administrator
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
800 Boylston Street
Boston, MA 02199
Transfer Agent
Boston Financial Data Services
Two Heritage Drive
North Quincy, MA 02171
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Institutional Investment Trust
State Street Bank and Trust Company
P.O. Box 5049
Boston, MA 02206
STATE STREET MASTER FUNDS
SEMI-ANNUAL REPORT
June 30, 2013
(Unaudited)
State Street Money Market Portfolio
State Street Tax Free Money Market Portfolio
State Street U.S. Government Money Market Portfolio
State Street Treasury Money Market Portfolio
State Street Treasury Plus Money Market Portfolio
State Street Master Funds (Unaudited)
EXPENSE EXAMPLE
As an interestholder of the below listed (the “Portfolios”), you incur ongoing costs, which include costs for portfolio management and administrative services, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolios and to compare these costs with the ongoing costs of investing in other mutual funds.
The example is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from January 1, 2013 to June 30, 2013.
The table below illustrates your Portfolio’s costs in two ways:
• | Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The “Ending Account Value” shown is derived from the Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, 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 the Portfolio under the heading “Expenses Paid During Period”.
• | Based on hypothetical 5% return. This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Six Months Ended June 30, 2013
Beginning January 1, 2013 | Ending Account Value June 30, 2013 | Expenses Paid During Period * | ||||||||||
Based on Actual Portfolio Return | ||||||||||||
Money Market Portfolio | $ | 1,000.00 | $ | 1,000.90 | $ | 0.30 | ||||||
Tax Free Money Market Portfolio | $ | 1,000.00 | $ | 1,000.10 | $ | 0.50 | ||||||
U.S. Government Money Market Portfolio | $ | 1,000.00 | $ | 1,000.30 | $ | 0.35 | ||||||
Treasury Money Market Portfolio | $ | 1,000.00 | $ | 1,000.10 | $ | 0.35 | ||||||
Treasury Plus Money Market Portfolio | $ | 1,000.00 | $ | 1,000.10 | $ | 0.35 |
24
State Street Master Funds (Unaudited)
EXPENSE EXAMPLE — (continued)
Beginning January 1, 2013 | Ending Account Value June 30, 2013 | Expenses Paid During Period * | ||||||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
Money Market Portfolio | $ | 1,000.00 | $ | 1,024.50 | $ | 0.30 | ||||||
Tax Free Money Market Portfolio | $ | 1,000.00 | $ | 1,024.30 | $ | 0.50 | ||||||
U.S. Government Money Market Portfolio | $ | 1,000.00 | $ | 1,024.45 | $ | 0.35 | ||||||
Treasury Money Market Portfolio | $ | 1,000.00 | $ | 1,024.45 | $ | 0.35 | ||||||
Treasury Plus Money Market Portfolio | $ | 1,000.00 | $ | 1,024.45 | $ | 0.35 |
* | The calculations are based on expenses incurred in the most recent six month period of the Portfolios. Each Portfolio’s annualized average weighted expense ratio as of June 30, 2013 was as follows: |
Money Market Portfolio | 0.06% | |||
Tax Free Money Market Portfolio | 0.10% | |||
U.S. Government Money Market Portfolio | 0.07% | |||
Treasury Money Market Portfolio | 0.07% | |||
Treasury Plus Money Market Portfolio | 0.07% |
The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio multiplied by the average account value over the period, multiplied by 181/365 (the most recent six month period). |
25
State Street Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2013 | |||
Certificates of Deposit | 47.4 | % | ||
Financial Company Commercial Paper | 18.2 | |||
Government Agency Repurchase Agreements | 14.4 | |||
Treasury Repurchase Agreements | 8.5 | |||
Other Notes | 7.0 | |||
Asset Backed Commercial Paper | 4.5 | |||
Other Assets in Excess of Liabilities | 0.0 | |||
Total | 100.0 | % |
Maturity Ladder* | June 30, 2013 | |||
Overnight (1 Day) | 17.0 | % | ||
2-30 Days | 31.2 | |||
31-60 Days | 9.6 | |||
61-90 Days | 16.5 | |||
Over 90 Days | 25.7 | |||
Total | 100.0 | % | ||
Average days to maturity | 34 | |||
Weighted average life | 66 |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
26
State Street Money Market Portfolio
Portfolio of Investments
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
ASSET BACKED COMMERCIAL PAPER – 4.5% |
| |||||||||||||||||||
Aspen Funding Corp.(a)(b) | 0.243 | % | 07/23/2013 | 07/23/2013 | $ | 100,000,000 | $ | 99,985,333 | ||||||||||||
Cancara Asset Securitisation LLC(b)(c) | 0.203 | % | 09/06/2013 | 09/06/2013 | 60,000,000 | 59,977,667 | ||||||||||||||
Gemini Securitization Corp. LLC(a)(b) | 0.240 | % | 07/16/2013 | 07/16/2013 | 125,000,000 | 124,987,500 | ||||||||||||||
Gemini Securitization Corp. LLC(a)(b) | 0.243 | % | 07/23/2013 | 07/23/2013 | 100,000,000 | 99,985,333 | ||||||||||||||
Kells Funding LLC(b)(c) | 0.233 | % | 07/02/2013 | 07/02/2013 | 59,000,000 | 58,999,623 | ||||||||||||||
Kells Funding LLC(b)(c) | 0.233 | % | 07/02/2013 | 07/02/2013 | 50,000,000 | 49,999,681 | ||||||||||||||
Kells Funding LLC(b)(c) | 0.223 | % | 07/25/2013 | 07/25/2013 | 50,000,000 | 49,992,667 | ||||||||||||||
Kells Funding LLC(b)(c) | 0.233 | % | 08/02/2013 | 08/02/2013 | 100,000,000 | 99,979,555 | ||||||||||||||
Kells Funding LLC(b)(c) | 0.230 | % | 09/19/2013 | 09/19/2013 | 100,000,000 | 99,948,889 | ||||||||||||||
Kells Funding LLC(b)(c) | 0.223 | % | 09/20/2013 | 09/20/2013 | 150,000,000 | 149,925,750 | ||||||||||||||
Kells Funding LLC(b)(c) | 0.220 | % | 09/23/2013 | 09/23/2013 | 60,000,000 | 59,969,200 | ||||||||||||||
Kells Funding LLC(b)(c) | 0.223 | % | 09/25/2013 | 09/25/2013 | 65,000,000 | 64,965,839 | ||||||||||||||
Kells Funding LLC(b)(c) | 0.223 | % | 10/16/2013 | 10/16/2013 | 100,000,000 | 99,934,611 | ||||||||||||||
Newport Funding Corp.(a)(b) | 0.243 | % | 07/23/2013 | 07/23/2013 | 75,000,000 | 74,989,000 | ||||||||||||||
Northern Pines Funding LLC(b)(c) | 0.250 | % | 07/16/2013 | 07/16/2013 | 125,000,000 | 124,986,979 | ||||||||||||||
Northern Pines Funding LLC(b)(c) | 0.243 | % | 09/10/2013 | 09/10/2013 | 100,000,000 | 99,952,667 | ||||||||||||||
Versailles Commercial Paper LLC(a)(b) | 0.183 | % | 07/19/2013 | 07/19/2013 | 31,000,000 | 30,997,210 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL ASSET BACKED COMMERCIAL PAPER |
| 1,449,577,504 | ||||||||||||||||||
|
| |||||||||||||||||||
FINANCIAL COMPANY COMMERCIAL PAPER – 18.2% |
| |||||||||||||||||||
Australia & New Zealand and Banking Group(a)(b) | 0.213 | % | 07/01/2013 | 07/01/2013 | 180,000,000 | 180,000,000 | ||||||||||||||
BNP Paribas(b) | 0.366 | % | 07/11/2013 | 07/11/2013 | 197,000,000 | 196,980,300 | ||||||||||||||
Caisse des Depots et Consignations(b)(c) | 0.238 | % | 07/08/2013 | 07/08/2013 | 300,000,000 | 299,986,292 | ||||||||||||||
Caisse des Depots et Consignations(b)(c) | 0.238 | % | 07/12/2013 | 07/12/2013 | 125,000,000 | 124,991,024 | ||||||||||||||
Caisse des Depots et Consignations(b)(c) | 0.237 | % | 08/06/2013 | 08/06/2013 | 335,000,000 | 334,921,275 | ||||||||||||||
Caisse des Depots et Consignations(b)(c) | 0.213 | % | 08/23/2013 | 08/23/2013 | 280,000,000 | 279,913,433 | ||||||||||||||
Caisse des Depots et Consignations(b)(c) | 0.220 | % | 09/03/2013 | 09/03/2013 | 112,000,000 | 111,956,196 | ||||||||||||||
Caisse des Depots et Consignations(b)(c) | 0.218 | % | 09/11/2013 | 09/11/2013 | 255,000,000 | 254,890,350 | ||||||||||||||
Collateralized Commercial Paper Co. LLC(b)(c) | 0.345 | % | 07/08/2013 | 07/08/2013 | 50,000,000 | 49,996,694 | ||||||||||||||
Collateralized Commercial Paper Co. LLC(b) | 0.305 | % | 07/29/2013 | 07/29/2013 | 325,000,000 | 324,924,167 | ||||||||||||||
Collateralized Commercial Paper Co. LLC(b) | 0.270 | % | 11/14/2013 | 11/14/2013 | 241,000,000 | 240,754,180 | ||||||||||||||
Collateralized Commercial Paper Co. LLC(b)(c) | 0.270 | % | 11/14/2013 | 11/14/2013 | 99,000,000 | 98,899,020 | ||||||||||||||
Collateralized Commercial Paper Co. LLC(b) | 0.274 | % | 11/18/2013 | 11/18/2013 | 220,000,000 | 219,769,000 | ||||||||||||||
Commonwealth Bank of Australia(a)(b) | 0.172 | % | 08/29/2013 | 08/29/2013 | 47,000,000 | 46,986,905 | ||||||||||||||
DNB Bank ASA(a)(d) | 0.339 | % | 07/05/2013 | 07/05/2013 | 250,000,000 | 250,000,000 | ||||||||||||||
General Electric Capital Corp.(b) | 0.203 | % | 07/02/2013 | 07/02/2013 | 54,000,000 | 53,999,700 |
See Notes to Financial Statements.
27
State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
FINANCIAL COMPANY COMMERCIAL PAPER – (continued) |
| |||||||||||||||||||
General Electric Capital Corp.(b) | 0.203 | % | 07/03/2013 | 07/03/2013 | $ | 54,000,000 | $ | 53,999,400 | ||||||||||||
General Electric Capital Corp.(b) | 0.223 | % | 07/30/2013 | 07/30/2013 | 45,000,000 | 44,992,025 | ||||||||||||||
General Electric Capital Corp.(b) | 0.223 | % | 07/31/2013 | 07/31/2013 | 183,000,000 | 182,966,450 | ||||||||||||||
HSBC Bank PLC(a)(d) | 0.329 | % | 07/09/2013 | 07/09/2013 | 95,000,000 | 95,000,000 | ||||||||||||||
HSBC Bank PLC(a)(d) | 0.323 | % | 08/05/2013 | 02/05/2014 | 63,000,000 | 62,996,579 | ||||||||||||||
HSBC Bank PLC(a)(d) | 0.323 | % | 08/07/2013 | 02/07/2014 | 42,000,000 | 41,999,491 | ||||||||||||||
National Australia Funding(a)(b) | 0.172 | % | 08/30/2013 | 08/30/2013 | 340,000,000 | 339,903,667 | ||||||||||||||
Nationwide Building Society(a)(b) | 0.233 | % | 07/05/2013 | 07/05/2013 | 80,000,000 | 79,997,956 | ||||||||||||||
Nordea Bank AB(b) | 0.213 | % | 08/01/2013 | 08/01/2013 | 140,000,000 | 139,974,683 | ||||||||||||||
Nordea Bank AB(b) | 0.203 | % | 09/20/2013 | 09/20/2013 | 224,000,000 | 223,899,200 | ||||||||||||||
Nordea Bank AB(a)(b) | 0.199 | % | 10/04/2013 | 10/04/2013 | 150,000,000 | 149,922,813 | ||||||||||||||
Nordea Bank AB(a)(b) | 0.198 | % | 10/07/2013 | 10/07/2013 | 295,000,000 | 294,843,404 | ||||||||||||||
Skandinaviska Enskilda Banken AB(a)(b) | 0.250 | % | 08/23/2013 | 08/23/2013 | 269,000,000 | 268,900,993 | ||||||||||||||
Skandinaviska Enskilda Banken AB(a)(b) | 0.250 | % | 08/27/2013 | 08/27/2013 | 201,000,000 | 200,920,438 | ||||||||||||||
Sumitomo Mitsui Banking Corp.(a)(b) | 0.233 | % | 09/03/2013 | 09/03/2013 | 100,000,000 | 99,959,111 | ||||||||||||||
Westpac Banking Corp.(a)(d) | 0.330 | % | 07/08/2013 | 01/06/2014 | 250,000,000 | 249,995,432 | ||||||||||||||
Westpac Banking Corp.(a)(d) | 0.326 | % | 07/22/2013 | 01/21/2014 | 130,000,000 | 130,000,000 | ||||||||||||||
Westpac Banking Corp.(a)(d) | 0.325 | % | 07/24/2013 | 01/24/2014 | 175,000,000 | 175,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER |
| 5,904,240,178 | ||||||||||||||||||
|
| |||||||||||||||||||
CERTIFICATES OF DEPOSIT – 47.4% |
| |||||||||||||||||||
Bank of Montreal(b) | 0.180 | % | 09/05/2013 | 09/05/2013 | 280,000,000 | 280,000,000 | ||||||||||||||
Bank of Montreal(d) | 0.263 | % | 07/18/2013 | 12/13/2013 | 325,000,000 | 325,000,000 | ||||||||||||||
Bank of Nova Scotia(d) | 0.263 | % | 07/08/2013 | 12/03/2013 | 335,000,000 | 335,000,000 | ||||||||||||||
Bank of Tokyo - Mitsubishi(b) | 0.240 | % | 07/03/2013 | 07/03/2013 | 600,000,000 | 600,000,000 | ||||||||||||||
Bank of Tokyo - Mitsubishi(b) | 0.200 | % | 09/04/2013 | 09/04/2013 | 300,000,000 | 300,000,000 | ||||||||||||||
Bank of Tokyo - Mitsubishi(b) | 0.230 | % | 10/15/2013 | 10/15/2013 | 500,000,000 | 500,000,000 | ||||||||||||||
Barclays Bank(d) | 0.404 | % | 07/03/2013 | 09/03/2013 | 200,000,000 | 200,000,000 | ||||||||||||||
Barclays Bank(d) | 0.302 | % | 07/15/2013 | 12/13/2013 | 500,000,000 | 500,000,000 | ||||||||||||||
BNP Paribas(b) | 0.360 | % | 07/11/2013 | 07/11/2013 | 197,000,000 | 197,000,000 | ||||||||||||||
Branch Banking & Trust(b) | 0.190 | % | 09/23/2013 | 09/23/2013 | 163,000,000 | 163,000,000 | ||||||||||||||
Branch Banking & Trust(b) | 0.190 | % | 09/24/2013 | 09/24/2013 | 230,000,000 | 230,000,000 | ||||||||||||||
Canadian Imperial Bank of | 0.294 | % | 07/05/2013 | 12/03/2013 | 195,000,000 | 195,000,000 | ||||||||||||||
Credit Suisse(b) | 0.250 | % | 07/05/2013 | 07/05/2013 | 250,000,000 | 250,000,000 | ||||||||||||||
Credit Suisse(d) | 0.244 | % | 07/05/2013 | 08/05/2013 | 250,000,000 | 250,000,000 | ||||||||||||||
Credit Suisse(d) | 0.253 | % | 07/09/2013 | 09/09/2013 | 235,000,000 | 235,000,000 | ||||||||||||||
Deutsche Bank AG(b) | 0.255 | % | 09/27/2013 | 09/27/2013 | 175,000,000 | 175,000,000 | ||||||||||||||
Deutsche Bank AG(b) | 0.280 | % | 10/30/2013 | 10/30/2013 | 400,000,000 | 400,000,000 | ||||||||||||||
ING Bank NV(b) | 0.290 | % | 08/02/2013 | 08/02/2013 | 350,000,000 | 350,000,000 | ||||||||||||||
ING Bank NV(b) | 0.290 | % | 08/05/2013 | 08/05/2013 | 372,000,000 | 372,000,000 | ||||||||||||||
ING Bank NV(b) | 0.270 | % | 09/25/2013 | 09/25/2013 | 400,000,000 | 400,000,000 |
See Notes to Financial Statements.
28
State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
CERTIFICATES OF DEPOSIT – (continued) |
| |||||||||||||||||||
ING Bank NV(b) | 0.260 | % | 10/15/2013 | 10/15/2013 | $ | 400,000,000 | $ | 400,000,000 | ||||||||||||
Lloyds TSB Bank(b) | 0.210 | % | 07/05/2013 | 07/05/2013 | 600,000,000 | 600,000,000 | ||||||||||||||
National Australia Bank Ltd. | 0.291 | % | 09/30/2013 | 09/30/2013 | 300,000,000 | 300,000,000 | ||||||||||||||
National Australia Bank Ltd.(d) | 0.295 | % | 07/30/2013 | 09/30/2013 | 300,000,000 | 300,000,000 | ||||||||||||||
Nordea Bank AB(d) | 0.278 | % | 07/17/2013 | 01/17/2014 | 200,000,000 | 200,000,000 | ||||||||||||||
Norinchukin Bank(b) | 0.160 | % | 07/18/2013 | 07/18/2013 | 500,000,000 | 500,000,000 | ||||||||||||||
Norinchukin Bank(b) | 0.160 | % | 07/19/2013 | 07/19/2013 | 700,000,000 | 700,000,000 | ||||||||||||||
Norinchukin Bank(b) | 0.160 | % | 07/29/2013 | 07/29/2013 | 200,000,000 | 200,000,000 | ||||||||||||||
Rabobank Nederland NV | 0.346 | % | 07/25/2013 | 07/25/2013 | 65,000,000 | 65,000,000 | ||||||||||||||
Rabobank Nederland NV | 0.356 | % | 07/25/2013 | 07/25/2013 | 165,000,000 | 165,000,000 | ||||||||||||||
Rabobank Nederland NV(d) | 0.309 | % | 07/09/2013 | 10/09/2013 | 200,000,000 | 200,000,000 | ||||||||||||||
Rabobank Nederland NV(d) | 0.360 | % | 07/08/2013 | 01/06/2014 | 300,000,000 | 299,995,235 | ||||||||||||||
Rabobank Nederland NV(d) | 0.334 | % | 09/06/2013 | 03/06/2014 | 380,000,000 | 380,000,000 | ||||||||||||||
Royal Bank of Canada | 0.325 | % | 08/12/2013 | 08/12/2013 | 75,000,000 | 75,000,000 | ||||||||||||||
Royal Bank of Canada | 0.323 | % | 08/27/2013 | 08/27/2013 | 67,500,000 | 67,500,000 | ||||||||||||||
Royal Bank of Canada(d) | 0.313 | % | 07/09/2013 | 04/09/2014 | 185,000,000 | 185,000,000 | ||||||||||||||
Royal Bank of Canada(d) | 0.313 | % | 07/16/2013 | 04/16/2014 | 105,400,000 | 105,400,000 | ||||||||||||||
Skandinaviska Enskilda Banken AB(d) | 0.319 | % | 07/05/2013 | 12/27/2013 | 385,000,000 | 385,000,000 | ||||||||||||||
Sumitomo Mitsui Banking Corp.(b) | 0.230 | % | 09/05/2013 | 09/05/2013 | 400,000,000 | 400,000,000 | ||||||||||||||
Sumitomo Mitsui Banking Corp.(b) | 0.230 | % | 09/06/2013 | 09/06/2013 | 200,000,000 | 200,000,000 | ||||||||||||||
Sumitomo Mitsui Banking Corp.(b) | 0.240 | % | 09/13/2013 | 09/13/2013 | 250,000,000 | 250,000,000 | ||||||||||||||
Sumitomo Mitsui Banking Corp.(b) | 0.220 | % | 09/23/2013 | 09/23/2013 | 400,000,000 | 400,000,000 | ||||||||||||||
Svenska Handelsbanken AB(b) | 0.255 | % | 07/08/2013 | 07/08/2013 | 161,000,000 | 161,000,157 | ||||||||||||||
Svenska Handelsbanken AB(b) | 0.255 | % | 07/15/2013 | 07/15/2013 | 154,000,000 | 154,000,097 | ||||||||||||||
Svenska Handelsbanken AB(b) | 0.225 | % | 08/01/2013 | 08/01/2013 | 345,000,000 | 345,001,484 | ||||||||||||||
Svenska Handelsbanken AB(b) | 0.220 | % | 08/02/2013 | 08/02/2013 | 100,000,000 | 100,000,000 | ||||||||||||||
Swedbank AB(d) | 0.364 | % | 07/05/2013 | 11/05/2013 | 278,000,000 | 278,000,000 | ||||||||||||||
Toronto Dominion Bank(b) | 0.180 | % | 07/22/2013 | 07/22/2013 | 450,000,000 | 450,000,000 | ||||||||||||||
Toronto Dominion Bank(b) | 0.170 | % | 09/17/2013 | 09/17/2013 | 500,000,000 | 500,000,000 | ||||||||||||||
UBS AG(b) | 0.260 | % | 07/09/2013 | 07/09/2013 | 300,000,000 | 300,000,000 | ||||||||||||||
UBS AG(d) | 0.275 | % | 07/31/2013 | 10/28/2013 | 270,000,000 | 270,000,000 | ||||||||||||||
Westpac Banking Corp.(d) | 0.328 | % | 07/17/2013 | 01/17/2014 | 155,000,000 | 154,995,754 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL CERTIFICATES OF DEPOSIT |
| 15,347,892,727 | ||||||||||||||||||
|
| |||||||||||||||||||
OTHER NOTES – 7.0% |
| |||||||||||||||||||
Bank of America NA(b) | 0.280 | % | 07/01/2013 | 07/01/2013 | 315,000,000 | 315,000,000 | ||||||||||||||
Bank of America NA(b) | 0.270 | % | 07/11/2013 | 07/11/2013 | 300,000,000 | 300,000,000 | ||||||||||||||
Barclays Bank PLC/Cayman(b) | 0.030 | % | 07/01/2013 | 07/01/2013 | 200,000,000 | 200,000,000 | ||||||||||||||
JPMorgan Chase Bank NA(d) | 0.355 | % | 09/09/2013 | 07/07/2014 | 260,000,000 | 260,000,000 | ||||||||||||||
JPMorgan Chase Bank NA(d) | 0.356 | % | 07/22/2013 | 07/22/2014 | 175,000,000 | 175,000,000 | ||||||||||||||
Natixis(b) | 0.050 | % | 07/01/2013 | 07/01/2013 | 146,723,000 | 146,723,000 |
See Notes to Financial Statements.
29
State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
OTHER NOTES – (continued) |
| |||||||||||||||||||
Societe Generale(b) | 0.080 | % | 07/01/2013 | 07/01/2013 | $ | 433,952,000 | $ | 433,952,000 | ||||||||||||
Svenska Handelsbanken AB(c)(d) | 0.284 | % | 07/29/2013 | 12/27/2013 | 180,000,000 | 180,000,000 | ||||||||||||||
Toyota Motor Credit Corp. | 0.324 | % | 09/09/2013 | 09/09/2013 | 45,860,000 | 45,860,000 | ||||||||||||||
Wells Fargo Bank NA(d) | 0.332 | % | 07/22/2013 | 06/20/2014 | 227,000,000 | 227,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL OTHER NOTES | 2,283,535,000 | |||||||||||||||||||
|
| |||||||||||||||||||
Market Value | ||||||||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 14.4% |
| |||||||||||||||||||
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/26/2013 (collateralized by a Federal Farm Credit Bank, 0.500% due 06/23/2015, Federal Home Loan Banks, 1.000% – 4.750% due 10/28/2013 – 06/09/2017, Federal Home Loan Mortgage Corporations, 1.000% – 3.000% due 10/13/2015 – 05/23/2028, and Federal National Mortgage Associations, 0.500% – 4.625% due 10/15/2014 – 09/27/2032, valued at $102,000,154); expected proceeds $100,000,389 | 0.020 | % | 07/03/2013 | 07/03/2013 | 100,000,000 | 100,000,000 | ||||||||||||||
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 05/29/2013 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 6.000% due 11/01/2017 – 09/01/2042, Federal National Mortgage Associations, 2.000% – 6.000% due 02/01/2019 – 05/01/2043, and Government National Mortgage Associations, 3.000% – 5.000% due 05/15/2035 – 05/15/2043, valued at $306,000,001); expected proceeds $300,019,833 | 0.070 | % | 07/02/2013 | 07/02/2013 | 300,000,000 | 300,000,000 |
See Notes to Financial Statements.
30
State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/27/2013 (collateralized by Federal Home Loan Mortgage Corporations, 0.693% – 4.500% due 03/01/2026 – 10/15/2042, Federal National Mortgage Associations, 3.000% – 4.000% due 06/25/2038 – 05/01/2040, and Government National Mortgage Associations, 2.000% – 5.500% due 09/15/2024 – 06/15/2043, valued at $380,460,000); expected proceeds $373,004,973 | 0.060 | % | 07/05/2013 | 07/05/2013 | $ | 373,000,000 | $ | 373,000,000 | ||||||||||||
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by Federal Home Loan Mortgage Corporations, 0.000% – 3.500% due 04/15/2033 – 06/15/2043, Federal National Mortgage Associations, 1.500% – 4.000% due 12/25/2030 – 07/25/2043, and Government National Mortgage Associations, 2.500% – 4.500% due 02/15/2039 – 05/20/2043, valued at $311,100,000); expected proceeds $305,003,558 | 0.140 | % | 07/01/2013 | 07/01/2013 | 305,000,000 | 305,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a Federal Home Loan Mortgage Corporation, 4.000% due 09/01/2042, and Federal National Mortgage Associations, 2.500% due 08/01/2027 – 12/01/2027, valued at $490,620,000); expected proceeds $481,005,612 | 0.140 | % | 07/01/2013 | 07/01/2013 | 481,000,000 | 481,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a Federal Home Loan Mortgage Corporation, 4.000% due 10/01/2041, and Federal National Mortgage Associations, 5.000% due 04/01/2038 – 07/01/2040, valued at $420,240,000); expected proceeds $412,003,777 | 0.110 | % | 07/01/2013 | 07/01/2013 | 412,000,000 | 412,000,000 |
See Notes to Financial Statements.
31
State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 06/24/2013 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 5.000% due 04/01/2026 – 07/01/2043, and Federal National Mortgage Associations, 2.500% – 6.000% due 11/01/2027 – 02/01/2049, valued at $545,700,000); expected proceeds $535,007,282 | 0.070 | % | 07/01/2013 | 07/01/2013 | $ | 535,000,000 | $ | 535,000,000 | ||||||||||||
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 06/25/2013 (collateralized by Federal Home Loan Mortgage Corporations, 3.000% – 5.500% due 07/01/2022 – 06/01/2043, and Federal National Mortgage Associations, 2.500% – 8.000% due 12/01/2026 – 06/01/2043, valued at $255,000,001); expected proceeds $250,003,403 | 0.070 | % | 07/02/2013 | 07/02/2013 | 250,000,000 | 250,000,000 | ||||||||||||||
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 06/26/2013 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 6.500% due 04/01/2022 – 07/01/2043, and Federal National Mortgage Associations, 2.500% – 6.500% due 06/01/2022 – 01/01/2048, valued at $229,500,000); expected proceeds $225,003,063 | 0.070 | % | 07/03/2013 | 07/03/2013 | 225,000,000 | 225,000,000 | ||||||||||||||
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a Federal Home Loan Mortgage Corporation, 2.500% – 6.500% due 06/01/2026 – 06/01/2043, and Federal National Mortgage Associations, 2.500% – 6.000% due 03/01/2021 – 07/01/2043, valued at $408,000,000); expected proceeds $400,004,667 | 0.060 | % | 07/05/2013 | 07/05/2013 | 400,000,000 | 400,000,000 |
See Notes to Financial Statements.
32
State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/28/2013 (collateralized by Federal National Mortgage Associations, 2.500% – 7.500% due 03/01/2015 – 06/01/2043, valued at $34,683,647); expected proceeds $34,000,425 | 0.150 | % | 07/01/2013 | 07/01/2013 | $ | 34,000,000 | $ | 34,000,000 | ||||||||||||
Agreement with Morgan Stanley & Co., Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by Federal National Mortgage Associations, 2.500% – 5.500% due 12/01/2020 – 06/01/2043, valued at $382,500,001); expected proceeds $375,004,688 | 0.150 | % | 07/01/2013 | 07/01/2013 | 375,000,000 | 375,000,000 | ||||||||||||||
Agreement with RBC Capital Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/25/2013 (collateralized by a Federal Home Loan Mortgage Corporation, 2.500% due 03/01/2028, Federal National Mortgage Associations, 2.500% – 4.500% due 07/01/2027 – 05/01/2043, and a Government National Mortgage Association, 2.000% due 02/20/2040, valued at $153,239,765); expected proceeds $150,001,458 | 0.050 | % | 07/02/2013 | 07/02/2013 | 150,000,000 | 150,000,000 | ||||||||||||||
Agreement with RBC Capital Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/27/2013 (collateralized by a Federal Home Loan Bank, 0.000% due 05/15/2023, Federal Home Loan Mortgage Corporations, 2.000% – 9.300% due 04/15/2020 – 04/15/2043, Federal National Mortgage Associations, 2.000% – 10.090% due 06/25/2018 – 06/01/2043, and Government National Mortgage Associations, 2.000% – 6.500% due 09/16/2026 – 10/16/2042, valued at $291,923,710); expected proceeds $285,002,375 | 0.050 | % | 07/03/2013 | 07/03/2013 | 285,000,000 | 285,000,000 |
See Notes to Financial Statements.
33
State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with RBC Capital Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by Federal Home Loan Mortgage Corporations, 2.500% – 7.600% due 11/15/2020 – 04/01/2043, and Federal National Mortgage Associations, 2.500% – 5.000% due 09/01/2018 – 04/01/2043, valued at $56,408,925); expected proceeds $55,000,642 | 0.140 | % | 07/01/2013 | 07/01/2013 | $ | 55,000,000 | $ | 55,000,000 | ||||||||||||
Agreement with Societe Generale and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a Federal Farm Credit Bank, 1.125% due 02/27/2014, Federal Home Loan Mortgage Corporations, 0.000% – 5.500% due 07/09/2013 – 04/01/2043, and Federal National Mortgage Associations, 1.250% – 4.625% due 10/15/2014 – 02/01/2042, valued at $382,500,001); expected proceeds $375,003,438 | 0.110 | % | 07/01/2013 | 07/01/2013 | 375,000,000 | 375,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS |
| 4,655,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 8.5% |
| |||||||||||||||||||
Agreement with Barclays Capital, Inc., dated 06/28/2013 (collateralized by a U.S. Treasury Note, 0.625% due 11/30/2017, valued at $1,275,115,120); expected proceeds $1,250,010,417 | 0.100 | % | 07/01/2013 | 07/01/2013 | 1,250,000,000 | 1,250,000,000 | ||||||||||||||
Agreement with Credit Suisse Securities (USA) LLC and JP Morgan Chase & Co. (Tri-Party), dated 06/25/2013 (collateralized by U.S. Treasury Notes, 3.250% – 5.125% due 05/15/2016 – 06/30/2016, valued at $153,003,139); expected proceeds $150,000,875 | 0.030 | % | 07/02/2013 | 07/02/2013 | 150,000,000 | 150,000,000 | ||||||||||||||
Agreement with Deutsche Bank Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Strip, 1.625% due 08/15/2022, valued at $76,500,000); expected proceeds $75,001,563 | 0.250 | % | 07/01/2013 | 07/01/2013 | 75,000,000 | 75,000,000 |
See Notes to Financial Statements.
34
State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/25/2013 (collateralized by U.S. Treasury Strips, 0.000% due 02/15/2018 – 02/15/2019, valued at $127,501,026); expected proceeds $125,000,729 | 0.030 | % | 07/02/2013 | 07/02/2013 | $ | 125,000,000 | $ | 125,000,000 | ||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/26/2013 (collateralized by U.S. Treasury Strips, 0.000% due 11/15/2013 – 05/15/2023, valued at $204,004,342); expected proceeds $200,000,778 | 0.020 | % | 07/03/2013 | 07/03/2013 | 200,000,000 | 200,000,000 | ||||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/28/2013 (collateralized by U.S. Cash, a U.S. Treasury Bond, 4.250% due 11/15/2040, a U.S. Treasury Bill, 0.000% due 08/01/2013, and a U.S. Treasury Note, 3.625% due 08/15/2019, valued at $25,035,126); expected proceeds $25,000,313 | 0.150 | % | 07/01/2013 | 07/01/2013 | 25,000,000 | 25,000,000 | ||||||||||||||
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/25/2013 (collateralized by U.S. Treasury Strips, 0.000% – 1.250% due 08/31/2015 – 11/15/2021, valued at $229,500,042); expected proceeds $225,001,313 | 0.030 | % | 07/02/2013 | 07/02/2013 | 225,000,000 | 225,000,000 | ||||||||||||||
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Strips, 0.000% – 2.250% due 11/30/2017 – 11/15/2021, valued at $210,120,015); expected proceeds $206,004,807 | 0.120 | % | 07/05/2013 | 07/05/2013 | 206,000,000 | 206,000,000 | ||||||||||||||
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Strips, 0.750% – 3.250% due 07/31/2016 – 03/31/2018, valued at $102,000,070); expected proceeds $100,000,250 | 0.030 | % | 07/01/2013 | 07/01/2013 | 100,000,000 | 100,000,000 |
See Notes to Financial Statements.
35
State Street Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Strips, 2.250% – 5.375% due 12/31/2014 – 02/15/2031, valued at $204,000,111); expected proceeds $200,002,333 | 0.060 | % | 07/05/2013 | 07/05/2013 | $ | 200,000,000 | $ | 200,000,000 | ||||||||||||
Agreement with RBS Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Note, 1.500% due 12/31/2013, valued at $140,763,353); expected proceeds $138,001,150 | 0.100 | % | 07/01/2013 | 07/01/2013 | 138,000,000 | 138,000,000 | ||||||||||||||
Agreement with UBS Securities, LLC and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Strip, 1.750%, due 05/15/2023, valued at $76,500,052); expected proceeds $75,000,625 | 0.100 | % | 07/01/2013 | 07/01/2013 | 75,000,000 | 75,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS |
| 2,769,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS(e) – 100.0% |
| 32,409,245,409 | ||||||||||||||||||
Other Assets in Excess of Liabilities – 0.0% |
| 4,677,905 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% |
| $ | 32,413,923,314 | |||||||||||||||||
|
|
(a) | Rule 144A, Section 4(2) or other security which is restricted as to resale to institutional investors. The Portfolio’s investment manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $3,097,371,165 or 9.56% of net assets as of June 30, 2013. |
(b) | Rate represents annualized yield at date of purchase. |
(c) | Security subject to restrictions on resale under federal securities laws, which may only be resold upon registration under the Securities Act of 1933, as amended (“1933 Act”) or in transactions exempt from registration, including sales to qualified institutional buyers pursuant to Rule 144A of the 1933 Act. The Portfolio does not have the right to demand that this security be registered. The Portfolio’s investment manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $2,754,187,412 or 8.50 % of net assets as of June 30, 2013. |
(d) | Variable Rate Security – Interest rate shown is rate in effect as of June 30, 2013. |
(e) | Unless otherwise indicated, the values of these securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures. (Note 2) |
See Notes to Financial Statements.
36
State Street Tax Free Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2013 | |||
General Obligations | 19.1 | % | ||
Education | 19.0 | |||
Housing | 16.9 | |||
Transportation | 13.1 | |||
Cash/Money Market Fund | 9.6 | |||
Health | 7.1 | |||
Water | 5.6 | |||
Pollution | 4.2 | |||
Power | 2.7 | |||
Industrial Revenue/Pollution Control Revenue | 1.3 | |||
Development | 1.1 | |||
Stadium | 0.3 | |||
Other Assets in Excess of Liabilities | 0.0 | |||
Total | 100.0 | % |
Maturity Ladder* | June 30, 2013 | |||
Overnight (1 Day) | 20.7 | % | ||
2-30 Days | 79.3 | |||
31-60 Days | 0.0 | |||
61-90 Days | 0.0 | |||
Over 90 Days | 0.0 | |||
Total | 100.0 | % | ||
Average days to maturity | 6 | |||
Weighted average life | 6 |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
37
State Street Tax Free Money Market Portfolio
Portfolio of Investments
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES – 90.4% |
| |||||||||||||||||||
California – 6.4% | ||||||||||||||||||||
City of Hemet, Multi Family Housing Revenue Bonds, Sunwest Retirement, Series A, LIQ: FHLMC(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | $ | 1,500,000 | $ | 1,500,000 | ||||||||||||
East Bay Municipal Utility District, System Revenue Bonds, Series A-2, RMKT 01/12/11, SPA: Barclays Bank PLC(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 5,000,000 | 5,000,000 | ||||||||||||||
Lancaster Redevelopment Agency, Multi Family Housing Revenue Bonds, 20th Street Apartments Project, Series C, LIQ: FNMA(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 1,000,000 | 1,000,000 | ||||||||||||||
Los Angeles Department of Water & Power, Revenue Bonds, Subseries B-5, SPA: Royal Bank of Cananda(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 5,000,000 | 5,000,000 | ||||||||||||||
Metropolitan Water District of Southern California, Revenue Bonds, Series B-3, SPA: Wells Fargo Bank N.A.(a) | 0.030 | % | 07/01/2013 | 07/01/2013 | 2,725,000 | 2,725,000 | ||||||||||||||
State of California, GO Unlimited, Series A, LOC: Royal Bank of Canada(a) | 0.040 | % | 07/05/2013 | 07/05/2013 | 2,500,000 | 2,500,000 | ||||||||||||||
|
| |||||||||||||||||||
17,725,000 | ||||||||||||||||||||
|
| |||||||||||||||||||
Colorado – 8.6% | ||||||||||||||||||||
City of Aurora, Revenue Bonds, Children’s Hospital Association Project, Series B, LOC: U.S. Bank N.A.(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 2,580,000 | 2,580,000 | ||||||||||||||
City of Aurora, Revenue Bonds, Children’s Hospital Association Project, Series C, LOC:Wells Fargo Bank N.A.(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 2,900,000 | 2,900,000 | ||||||||||||||
Colorado Housing & Finance Authority, Revenue Bonds, Multi Family, Class I A-1, SPA: FHLB(a) | 0.070 | % | 07/05/2013 | 07/05/2013 | 3,890,000 | 3,890,000 | ||||||||||||||
Colorado Housing & Finance Authority, Revenue Bonds, Single Family, Class 1 B-2, RMKT 08/26/09, LIQ: Barclays Bank PLC(a) | 0.070 | % | 07/05/2013 | 07/05/2013 | 3,065,000 | 3,065,000 | ||||||||||||||
Colorado Housing & Finance Authority, Revenue Bonds, Single Family, Series B-3, SPA: Barclays Bank PLC, LIQ: FHA(a) | 0.070 | % | 07/05/2013 | 07/05/2013 | 7,750,000 | 7,750,000 | ||||||||||||||
Southern Ute Indian Tribe of Southern Ute Indian Reservation, Revenue Bonds(a) | 0.070 | % | 07/05/2013 | 07/05/2013 | 3,700,000 | 3,700,000 | ||||||||||||||
|
| |||||||||||||||||||
23,885,000 | ||||||||||||||||||||
|
| |||||||||||||||||||
Connecticut – 7.6% | ||||||||||||||||||||
Connecticut Housing Finance Authority, Revenue Bonds, Series C-1, RMKT 01/19/12, INS: Government Authority, SPA: Barclays Bank PLC(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 6,100,000 | 6,100,000 |
See Notes to Financial Statements.
38
State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES – (continued) |
| |||||||||||||||||||
Connecticut – (continued) | ||||||||||||||||||||
Connecticut Housing Finance Authority, Revenue Bonds, Subseries A-1, SPA: JP Morgan Chase Bank N.A.(a) | 0.070 | % | 07/01/2013 | 07/01/2013 | $ | 2,150,000 | $ | 2,150,000 | ||||||||||||
Connecticut Housing Finance Authority, Revenue Bonds, Subseries E-3, INS: Government Authority, SPA: Bank of Tokyo Mitsubishi UFJ(a) | 0.070 | % | 07/05/2013 | 07/05/2013 | 4,750,000 | 4,750,000 | ||||||||||||||
Connecticut State Health & Educational Facility Authority, Revenue Bonds, Yale University, Series U-2(a) | 0.040 | % | 07/05/2013 | 07/05/2013 | 8,000,000 | 8,000,000 | ||||||||||||||
|
| |||||||||||||||||||
21,000,000 | ||||||||||||||||||||
|
| |||||||||||||||||||
Delaware – 3.6% | ||||||||||||||||||||
Delaware River & Bay Authority, Revenue Bonds, LOC: TD Bank | 0.060 | % | 07/05/2013 | 07/05/2013 | 6,900,000 | 6,900,000 | ||||||||||||||
University of Delaware, Revenue Bonds, SPA: TD Bank N.A.(a) | 0.050 | % | 07/01/2013 | 07/01/2013 | 3,215,000 | 3,215,000 | ||||||||||||||
|
| |||||||||||||||||||
10,115,000 | ||||||||||||||||||||
|
| |||||||||||||||||||
Florida – 0.9% | ||||||||||||||||||||
JEA Electric System, Revenue Bonds, Series 3-A, SPA: Royal Bank of Canada(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 2,415,000 | 2,415,000 | ||||||||||||||
|
| |||||||||||||||||||
Georgia – 1.3% | ||||||||||||||||||||
Gwinnett County Housing Authority, Revenue Bonds, Greens Apartments Project, LIQ: FNMA(a) | 0.080 | % | 07/05/2013 | 07/05/2013 | 3,600,000 | 3,600,000 | ||||||||||||||
|
| |||||||||||||||||||
Indiana – 0.7% | ||||||||||||||||||||
City of Indianapolis, Revenue Bonds, Lakeside Pointe and Fox Club, LIQ: FNMA(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 2,000,000 | 2,000,000 | ||||||||||||||
|
| |||||||||||||||||||
Kansas – 4.7% | ||||||||||||||||||||
Kansas State Department of Transportation, Revenue Bonds, Series B-2, SPA: Barclays Bank | 0.050 | % | 07/05/2013 | 07/05/2013 | 6,000,000 | 6,000,000 | ||||||||||||||
Kansas State Department of Transportation, Revenue Bonds, Series C-2, SPA: JP Morgan Chase Bank N.A.(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 7,000,000 | 7,000,000 | ||||||||||||||
|
| |||||||||||||||||||
13,000,000 | ||||||||||||||||||||
|
| |||||||||||||||||||
Maryland – 1.6% | ||||||||||||||||||||
Maryland State Health & Higher Educational Facilities Authority, Revenue Bonds, University of Maryland Medical System, Class A, LOC: Wachovia Bank N.A.(a) | 0.070 | % | 07/05/2013 | 07/05/2013 | 3,670,000 | 3,670,000 |
See Notes to Financial Statements.
39
State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES – (continued) |
| |||||||||||||||||||
Maryland – (continued) | ||||||||||||||||||||
Maryland State Stadium Authority Lease, Revenue Bonds, Baltimore Convention, SPA: Sumitomo Mitsui Banking(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | $ | 800,000 | $ | 800,000 | ||||||||||||
|
| |||||||||||||||||||
4,470,000 | ||||||||||||||||||||
|
| |||||||||||||||||||
Massachusetts – 5.9% | ||||||||||||||||||||
Massachusetts Bay Transportation Authority, Revenue Bonds, Senior Series A-1, SPA: JP Morgan Chase Bank(a) | 0.070 | % | 07/05/2013 | 07/05/2013 | 8,000,000 | 8,000,000 | ||||||||||||||
Massachusetts Bay Transportation Authority, Revenue Bonds, Series A1, RMKT 09/30/11, INS:Goverment Authority, SPA: Barclays Bank PLC(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 5,000,000 | 5,000,000 | ||||||||||||||
Massachusetts State Water Resources Authority, Revenue Bonds, Series A-2, INS: Government Authority, RMKT 05/09/11, SPA: TD Bank N.A.(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 3,455,000 | 3,455,000 | ||||||||||||||
|
| |||||||||||||||||||
16,455,000 | ||||||||||||||||||||
|
| |||||||||||||||||||
Michigan – 2.4% | ||||||||||||||||||||
University of Michigan, Revenue Bonds, GO, Series B, SPA: Northern Trust Company(a) | 0.020 | % | 07/01/2013 | 07/01/2013 | 6,600,000 | 6,600,000 | ||||||||||||||
|
| |||||||||||||||||||
Minnesota – 1.7% | ||||||||||||||||||||
City of Minneapolis, Revenue Bonds, University Gateway Project, SPA: Wells Fargo Bank N.A.(a) | 0.070 | % | 07/05/2013 | 07/05/2013 | 4,635,000 | 4,635,000 | ||||||||||||||
|
| |||||||||||||||||||
Missouri – 3.8% | ||||||||||||||||||||
Missouri State Health & Educational Facilities Authority, Revenue Bonds, SSM Health, Series C5, RMKT 05/15/08(a) | 0.080 | % | 07/05/2013 | 07/05/2013 | 6,385,000 | 6,385,000 | ||||||||||||||
Missouri State Health & Educational Facilities Authority, Revenue Bonds, Washington University, Series B, SPA: JP Morgan Chase Bank(a) | 0.050 | % | 07/01/2013 | 07/01/2013 | 4,100,000 | 4,100,000 | ||||||||||||||
|
| |||||||||||||||||||
10,485,000 | ||||||||||||||||||||
|
| |||||||||||||||||||
New Hampshire – 3.8% | ||||||||||||||||||||
New Hampshire Health & Education Facilities Authority, Revenue Bonds, Dartmouth College, SPA: JP Morgan Chase Bank(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 5,375,000 | 5,375,000 | ||||||||||||||
New Hampshire Health & Education Facilities Authority, Revenue Bonds, Dartmouth College, SPA: JP Morgan Chase Bank(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 5,155,000 | 5,155,000 | ||||||||||||||
|
| |||||||||||||||||||
10,530,000 | ||||||||||||||||||||
|
|
See Notes to Financial Statements.
40
State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES – (continued) |
| |||||||||||||||||||
New Jersey – 0.7% | ||||||||||||||||||||
Rutgers State University of New Jersey, Revenue Bonds, Series A, INS: Government of University, SPA: TD Bank N.A.(a) | 0.050 | % | 07/01/2013 | 07/01/2013 | $ | 2,045,000 | $ | 2,045,000 | ||||||||||||
|
| |||||||||||||||||||
New York – 10.6% | ||||||||||||||||||||
City of New York, GO Unlimited, Fiscal 2008, Subseries J-9, SPA: Bank of Nova Scotia(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 7,530,000 | 7,530,000 | ||||||||||||||
City of New York, GO Unlimited, Subseries C-3A, RMKT 10/28/10, LIQ: Bank of Nova Scotia(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 3,000,000 | 3,000,000 | ||||||||||||||
City of New York, GO Unlimited, Subseries C4, RMKT 10/28/10, LOC: Bank of Tokyo Mitsubishi UFJ(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 4,000,000 | 4,000,000 | ||||||||||||||
City of New York, Housing Development Corp., Revenue Bonds, Related-Carnegie Park, Series A, INS: FNMA, LIQ: FNMA(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 1,500,000 | 1,500,000 | ||||||||||||||
Metropolitan Transportation Authority, Revenue Bonds, Subseries B-1, LOC: Bank of Nova Scotia(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 3,560,000 | 3,560,000 | ||||||||||||||
New York State Dormitory Authority Revenue Bonds, Cornell University, Series A, SPA: JP Morgan Chase Bank(a) | 0.070 | % | 07/05/2013 | 07/05/2013 | 2,085,000 | 2,085,000 | ||||||||||||||
New York State Dormitory Authority, Revenue Bonds, Rockefeller University, Series A, SPA: JP Morgan Chase Bank(a) | 0.070 | % | 07/05/2013 | 07/05/2013 | 3,550,000 | 3,550,000 | ||||||||||||||
New York State Dormitory Authority, Revenue Bonds, Rockefeller University, Series B, SPA: U.S. Bank N.A.(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 1,300,000 | 1,300,000 | ||||||||||||||
New York State Urban Development Corp., Revenue Bonds, Service Contract, Series A-5, LOC: TD Bank N.A.(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 3,000,000 | 3,000,000 | ||||||||||||||
|
| |||||||||||||||||||
29,525,000 | ||||||||||||||||||||
|
| |||||||||||||||||||
North Carolina – 8.9% | ||||||||||||||||||||
Charlotte COPs, Convention Facility Project, Series B, SPA: Wachovia Bank N.A.(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 5,250,000 | 5,250,000 | ||||||||||||||
City of Raleigh, Revenue Bonds, Combined Enterprise, Series B, SPA: Wells Fargo Bank N.A.(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 2,905,000 | 2,905,000 | ||||||||||||||
City of Wilmington, GO Unlimited, SPA: Wells Fargo Bank N.A.(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 2,000,000 | 2,000,000 | ||||||||||||||
County of Guilford, GO Unlimited, Series B, SPA: Wells Fargo Bank N.A.(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 6,650,000 | 6,650,000 | ||||||||||||||
County of Wake, GO Unlimited, Series A, SPA: Bank of America N.A.(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 3,000,000 | 3,000,000 |
See Notes to Financial Statements.
41
State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES – (continued) |
| |||||||||||||||||||
North Carolina – (continued) | ||||||||||||||||||||
County of Wake, GO Unlimited, Series B, SPA: Wells Fargo Bank N.A.(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | $ | 3,100,000 | $ | 3,100,000 | ||||||||||||
County of Wake, GO Unlimited, Series B, SPA: Wells Fargo Bank N.A.(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 1,800,000 | 1,800,000 | ||||||||||||||
|
| |||||||||||||||||||
24,705,000 | ||||||||||||||||||||
|
| |||||||||||||||||||
Ohio – 3.1% | ||||||||||||||||||||
Ohio Air Quality Development Authority, Revenue Bonds, Ohio Valley Electric Corp., Series B, LOC: Bank of Nova Scotia(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 8,600,000 | 8,600,000 | ||||||||||||||
|
| |||||||||||||||||||
Oregon – 5.1% | ||||||||||||||||||||
State of Oregon, GO Unlimited, Veterans Welfare Bonds, Series 84, SPA: Bank of Tokyo-Mitsubishi(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 6,100,000 | 6,100,000 | ||||||||||||||
State of Oregon, GO Unlimited, Veterans Welfare Bonds, Series 85, SPA:U.S. Bank N.A.(a) | 0.060 | % | 07/01/2013 | 07/01/2013 | 7,990,000 | 7,990,000 | ||||||||||||||
|
| |||||||||||||||||||
14,090,000 | ||||||||||||||||||||
|
| |||||||||||||||||||
Pennsylvania – 1.2% | ||||||||||||||||||||
City of Philadelphia Water & Wastewater, Revenue Bonds, Series B, RMKT 09/10/08, LOC: TD Bank N.A.(a) | 0.050 | % | 07/05/2013 | 07/05/2013 | 1,325,000 | 1,325,000 | ||||||||||||||
Geisinger Authority, Geisinger Health System, Revenue Bonds, Series C, SPA: TD Bank N.A.(a) | 0.030 | % | 07/01/2013 | 07/01/2013 | 2,000,000 | 2,000,000 | ||||||||||||||
|
| |||||||||||||||||||
�� | 3,325,000 | |||||||||||||||||||
|
| |||||||||||||||||||
Rhode Island – 2.4% | ||||||||||||||||||||
Rhode Island Health & Educational Building Corp., Revenue Bonds, Bryant University, LOC: TD Bank N.A.(a) | 0.070 | % | 07/05/2013 | 07/05/2013 | 6,645,000 | 6,645,000 | ||||||||||||||
|
| |||||||||||||||||||
Texas – 0.8% | ||||||||||||||||||||
Harris County Health Facilities Development Corps., Revenue Bonds, Texas Children’s, Series B-1, RMKT 02/02/09, SPA: JP Morgan Chase Bank(a) | 0.070 | % | 07/05/2013 | 07/05/2013 | 2,245,000 | 2,245,000 | ||||||||||||||
|
| |||||||||||||||||||
Washington – 3.5% | ||||||||||||||||||||
Washington State Housing Finance Commission, Revenue Bonds, INS: FHLMC, LOC: Bank of America N.A.(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 1,700,000 | 1,700,000 | ||||||||||||||
|
|
See Notes to Financial Statements.
42
State Street Tax Free Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
VARIABLE RATE DEMAND NOTES – (continued) |
| |||||||||||||||||||
Washington – (continued) | ||||||||||||||||||||
Washington State Housing Finance Commission, Revenue Bonds, New Haven Apartments, INS: FNMA, LIQ: FNMA(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | $ | 8,000,000 | $ | 8,000,000 | ||||||||||||
|
| |||||||||||||||||||
9,700,000 | ||||||||||||||||||||
|
| |||||||||||||||||||
West Virginia – 1.1% | ||||||||||||||||||||
West Virginia Economic Development Authority, Solid Waste Disposal Facilities, Appalachian Power Corp., Series B, LOC: Sumitomo Mitsui Banking(a) | 0.060 | % | 07/05/2013 | 07/05/2013 | 3,000,000 | 3,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL VARIABLE RATE DEMAND NOTES |
| 250,795,000 | ||||||||||||||||||
|
| |||||||||||||||||||
Shares | ||||||||||||||||||||
INVESTMENT COMPANY – 9.6% | ||||||||||||||||||||
Dreyfus Tax Exempt Cash Management | 26,579,267 | 26,579,267 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS(c) – 100.0% | 277,374,267 | |||||||||||||||||||
Other Assets in Excess of Liabilities – 0.0% |
| 11,982 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% | $ | 277,386,249 | ||||||||||||||||||
|
|
(a) | Variable Rate Security – Interest rate shown is rate in effect as of June 30, 2013. |
(b) | Value determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures. (Note 2) |
(c) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures. (Note 2) |
Acronym | Name | |
COP | Certificates of Participation | |
FHLB | Federal Home Loan Bank | |
FHLMC | Federal Home Loan Mortgage Corp. | |
FNMA | Federal National Mortgage Association | |
GO | General Obligation | |
INS | Insured | |
LIQ | Liquidity Agreement | |
LOC | Letter of Credit | |
PLC | Public Limited Company | |
RMKT | Remarketable | |
SPA | Standby Purchase Agreement | |
UFJ | United Financial of Japan |
See Notes to Financial Statements.
43
State Street U.S. Government Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2013 | |||
Government Agency Debt | 57.0 | % | ||
Treasury Repurchase Agreements | 21.7 | |||
Government Agency Repurchase Agreements | 18.1 | |||
Treasury Debt | 1.0 | |||
Other Assets in Excess of Liabilities | 2.2 | |||
Total | 100.0 | % |
Maturity Ladder* | June 30, 2013 | |||
Overnight (1 Day) | 34.0 | % | ||
2-30 Days | 15.5 | |||
31-60 Days | 10.8 | |||
61-90 Days | 15.8 | |||
Over 90 Days | 21.8 | |||
Total | 97.9 | % | ||
Average days to maturity | 48 | |||
Weighted average life | 56 |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
44
State Street U.S. Government Money Market Portfolio
Portfolio of Investments
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
GOVERNMENT AGENCY DEBT – 57.0% |
| |||||||||||||||||||
Federal Home Loan Bank(a) | 0.133 | % | 07/17/2013 | 07/17/2013 | $ | 148,000,000 | $ | 147,991,284 | ||||||||||||
Federal Home Loan Bank(a) | 0.070 | % | 07/26/2013 | 07/26/2013 | 107,000,000 | 106,994,799 | ||||||||||||||
Federal Home Loan Bank(a) | 0.070 | % | 08/16/2013 | 08/16/2013 | 103,000,000 | 102,990,787 | ||||||||||||||
Federal Home Loan Bank(a) | 0.145 | % | 08/23/2013 | 08/23/2013 | 26,000,000 | 25,994,450 | ||||||||||||||
Federal Home Loan Bank(a) | 0.140 | % | 09/06/2013 | 09/06/2013 | 74,000,000 | 73,980,719 | ||||||||||||||
Federal Home Loan Bank(a) | 0.140 | % | 09/11/2013 | 09/11/2013 | 42,000,000 | 41,988,240 | ||||||||||||||
Federal Home Loan Bank(a) | 0.090 | % | 09/18/2013 | 09/18/2013 | 133,000,000 | 132,973,732 | ||||||||||||||
Federal Home Loan Bank(a) | 0.100 | % | 09/18/2013 | 09/18/2013 | 151,500,000 | 151,466,754 | ||||||||||||||
Federal Home Loan Bank(a) | 0.133 | % | 09/18/2013 | 09/18/2013 | 53,000,000 | 52,984,590 | ||||||||||||||
Federal Home Loan Bank(a) | 0.120 | % | 09/25/2013 | 09/25/2013 | 90,000,000 | 89,974,200 | ||||||||||||||
Federal Home Loan Bank(a) | 0.129 | % | 09/25/2013 | 09/25/2013 | 101,000,000 | 100,968,875 | ||||||||||||||
Federal Home Loan Bank(a) | 0.135 | % | 09/25/2013 | 09/25/2013 | 48,000,000 | 47,984,520 | ||||||||||||||
Federal Home Loan Bank(a) | 0.115 | % | 10/09/2013 | 10/09/2013 | 88,000,000 | 87,971,889 | ||||||||||||||
Federal Home Loan Bank(a) | 0.116 | % | 10/09/2013 | 10/09/2013 | 78,791,000 | 78,765,612 | ||||||||||||||
Federal Home Loan Bank(a) | 0.110 | % | 10/16/2013 | 10/16/2013 | 37,000,000 | 36,987,903 | ||||||||||||||
Federal Home Loan Bank(a) | 0.110 | % | 10/18/2013 | 10/18/2013 | 62,000,000 | 61,979,351 | ||||||||||||||
Federal Home Loan Bank(a) | 0.100 | % | 10/30/2013 | 10/30/2013 | 38,000,000 | 37,998,433 | ||||||||||||||
Federal Home Loan Bank(a) | 0.100 | % | 11/01/2013 | 11/01/2013 | 27,000,000 | 26,998,871 | ||||||||||||||
Federal Home Loan Bank(a) | 0.110 | % | 11/01/2013 | 11/01/2013 | 17,000,000 | 16,999,846 | ||||||||||||||
Federal Home Loan Bank(a) | 0.100 | % | 11/08/2013 | 11/08/2013 | 58,000,000 | 57,979,056 | ||||||||||||||
Federal Home Loan Bank(a) | 0.100 | % | 11/12/2013 | 11/12/2013 | 19,000,000 | 18,998,964 | ||||||||||||||
Federal Home Loan Bank(a) | 0.100 | % | 11/15/2013 | 11/15/2013 | 37,000,000 | 36,985,919 | ||||||||||||||
Federal Home Loan Bank(b) | 0.123 | % | 07/18/2013 | 02/18/2014 | 133,000,000 | 132,998,639 | ||||||||||||||
Federal Home Loan Bank(b) | 0.144 | % | 07/01/2013 | 04/01/2014 | 180,000,000 | 180,000,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.130 | % | 07/08/2013 | 07/08/2013 | 161,000,000 | 160,995,930 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.126 | % | 07/15/2013 | 07/15/2013 | 74,000,000 | 74,125,071 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.070 | % | 08/05/2013 | 08/05/2013 | 100,000,000 | 99,993,194 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.150 | % | 08/05/2013 | 08/05/2013 | 31,000,000 | 30,995,479 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.149 | % | 08/19/2013 | 08/19/2013 | 22,000,000 | 21,995,538 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.120 | % | 08/26/2013 | 08/26/2013 | 91,725,000 | 91,707,878 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.149 | % | 08/26/2013 | 08/26/2013 | 65,000,000 | 64,984,934 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.143 | % | 09/03/2013 | 09/03/2013 | 39,000,000 | 38,990,120 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.140 | % | 09/09/2013 | 09/09/2013 | 148,844,000 | 148,803,481 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.080 | % | 09/16/2013 | 09/16/2013 | 35,000,000 | 34,994,011 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.100 | % | 09/16/2013 | 09/16/2013 | 24,375,000 | 24,369,786 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.130 | % | 09/16/2013 | 09/16/2013 | 97,000,000 | 96,973,029 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.070 | % | 09/17/2013 | 09/17/2013 | 40,000,000 | 39,993,933 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.110 | % | 09/23/2013 | 09/23/2013 | 45,000,000 | 44,988,450 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.130 | % | 09/23/2013 | 09/23/2013 | 28,000,000 | 27,991,507 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.114 | % | 10/07/2013 | 10/07/2013 | 153,846,000 | 153,798,256 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.100 | % | 10/21/2013 | 10/21/2013 | 100,000,000 | 99,968,889 |
See Notes to Financial Statements.
45
State Street U.S. Government Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
GOVERNMENT AGENCY DEBT – (continued) |
| |||||||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.100 | % | 10/28/2013 | 10/28/2013 | $ | 19,000,000 | $ | 18,993,719 | ||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.095 | % | 11/04/2013 | 11/04/2013 | 48,563,000 | 48,546,853 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.100 | % | 11/04/2013 | 11/04/2013 | 11,000,000 | 10,996,150 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.100 | % | 11/04/2013 | 11/04/2013 | 39,226,000 | 39,212,271 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.105 | % | 11/05/2013 | 11/05/2013 | 80,000,000 | 79,970,367 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.100 | % | 11/26/2013 | 11/26/2013 | 29,000,000 | 28,988,078 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.120 | % | 01/07/2014 | 01/07/2014 | 90,000,000 | 89,943,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.120 | % | 01/14/2014 | 01/14/2014 | 45,875,000 | 45,844,875 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.130 | % | 01/14/2014 | 01/14/2014 | 60,000,000 | 59,957,317 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.110 | % | 01/21/2014 | 01/21/2014 | 45,000,000 | 44,971,950 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.150 | % | 01/23/2014 | 01/23/2014 | 19,556,000 | 19,539,214 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.130 | % | 07/03/2013 | 07/03/2013 | 10,000,000 | 9,999,928 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.110 | % | 07/10/2013 | 07/10/2013 | 60,000,000 | 59,998,350 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.110 | % | 07/22/2013 | 07/22/2013 | 111,000,000 | 110,992,878 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.110 | % | 07/22/2013 | 07/22/2013 | 41,000,000 | 40,997,369 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.110 | % | 07/23/2013 | 07/23/2013 | 214,119,000 | 214,104,606 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.120 | % | 08/01/2013 | 08/01/2013 | 25,000,000 | 24,997,417 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.070 | % | 08/07/2013 | 08/07/2013 | 13,000,000 | 12,999,065 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.130 | % | 08/07/2013 | 08/07/2013 | 99,637,000 | 99,623,687 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.070 | % | 08/08/2013 | 08/08/2013 | 180,000,000 | 179,986,700 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.070 | % | 08/15/2013 | 08/15/2013 | 16,000,000 | 15,998,600 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.120 | % | 08/15/2013 | 08/15/2013 | 80,000,000 | 79,988,000 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.070 | % | 08/22/2013 | 08/22/2013 | 94,000,000 | 93,990,496 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.125 | % | 08/28/2013 | 08/28/2013 | 55,861,000 | 55,849,750 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.143 | % | 08/28/2013 | 08/28/2013 | 30,000,000 | 29,993,113 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.150 | % | 09/03/2013 | 09/03/2013 | 212,000,000 | 211,943,467 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.140 | % | 09/04/2013 | 09/04/2013 | 13,000,000 | 12,996,714 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.140 | % | 09/11/2013 | 09/11/2013 | 99,000,000 | 98,972,280 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.120 | % | 09/25/2013 | 09/25/2013 | 35,000,000 | 34,989,967 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.115 | % | 10/02/2013 | 10/02/2013 | 13,000,000 | 12,996,138 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.100 | % | 10/30/2013 | 10/30/2013 | 48,000,000 | 47,983,867 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.095 | % | 11/06/2013 | 11/06/2013 | 10,900,000 | 10,896,318 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.100 | % | 11/06/2013 | 11/06/2013 | 28,000,000 | 27,990,044 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.100 | % | 11/06/2013 | 11/06/2013 | 13,000,000 | 12,995,378 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.095 | % | 11/13/2013 | 11/13/2013 | 42,000,000 | 41,985,037 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.100 | % | 11/13/2013 | 11/13/2013 | 24,000,000 | 23,991,000 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.100 | % | 11/20/2013 | 11/20/2013 | 59,000,000 | 58,976,728 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.100 | % | 11/27/2013 | 11/27/2013 | 60,000,000 | 59,975,167 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.100 | % | 01/13/2014 | 01/13/2014 | 176,875,000 | 176,778,701 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY DEBT |
| 5,456,581,478 | ||||||||||||||||||
|
|
See Notes to Financial Statements.
46
State Street U.S. Government Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
TREASURY DEBT – 1.0% | ||||||||||||||||||||
U.S. Treasury Note(a) | 0.102 | % | 01/15/2014 | 01/15/2014 | $ | 29,000,000 | $ | 29,140,438 | ||||||||||||
U.S. Treasury Note(a) | 0.107 | % | 01/31/2014 | 01/31/2014 | 39,000,000 | 39,032,549 | ||||||||||||||
U.S. Treasury Note(a) | 0.107 | % | 01/31/2014 | 01/31/2014 | 25,000,000 | 25,239,612 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY DEBT | 93,412,599 | |||||||||||||||||||
|
| |||||||||||||||||||
Market Value | ||||||||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 18.1% |
| |||||||||||||||||||
Agreement with Bank of Nova Scotia and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a Federal Farm Credit Bank, 0.000% due 06/03/2014, and Federal National Mortgage Associations, 0.000% – 3.000% due 12/02/2013 – 12/27/2027, valued at $122,402,504); expected proceeds $120,001,500 | 0.150 | % | 07/01/2013 | 07/01/2013 | 120,000,000 | 120,000,000 | ||||||||||||||
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/26/2013 (collateralized by a Federal Farm Credit Bank, 1.320% due 12/07/2016, Federal Home Loan Banks, 2.600% – 4.805% due 04/20/2015 – 08/20/2015, a Federal Home Loan Mortgage Corporation, 8.250% due 06/01/2016, and Federal National Mortgage Associations, 0.875% – 6.625% due 08/28/2017 – 11/15/2030, valued at $51,000,624); expected proceeds $50,000,194 | 0.020 | % | 07/03/2013 | 07/03/2013 | 50,000,000 | 50,000,000 | ||||||||||||||
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by Federal Home Loan Mortgage Corporations, 0.875% – 5.625% due 01/15/2014 – 11/23/2035, valued at $98,940,941); expected proceeds $97,000,970 | 0.120 | % | 07/01/2013 | 07/01/2013 | 97,000,000 | 97,000,000 |
See Notes to Financial Statements.
47
State Street U.S. Government Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with Citigroup Global Markets, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by Federal Farm Credit Banks, 0.000% – 7.010% due 07/22/2013 – 06/03/2033, Federal Home Loan Banks, 0.000% – 7.375% due 07/03/2013 – 07/15/2036, Federal Home Loan Mortgage Corporations, 0.000% – 5.625% due 07/01/2013 – 11/23/2035, Federal National Mortgage Associations, 0.000% – 7.125% due 07/12/2013 – 07/15/2037, a Financing Corporation Strip, 8.600% due 09/26/2019, and Resolution Funding Strips, 0.000% – 8.625% due 10/15/2019 – 01/15/2030, valued at $299,880,822); expected proceeds $294,002,940 | 0.120 | % | 07/01/2013 | 07/01/2013 | $ | 294,000,000 | $ | 294,000,000 | ||||||||||||
Agreement with Credit Suisse Securities (USA) LLC and JP Morgan Chase & Co. (Tri-Party), dated 06/28/2013 (collateralized by Federal Farm Credit Banks, 0.105% – 0.156% due 09/16/2013 – 03/05/2015, and Federal National Mortgage Associations, 0.000% – 6.625% due 01/02/2014 – 11/15/2030, valued at $76,502,994); expected proceeds $75,000,688 | 0.110 | % | 07/01/2013 | 07/01/2013 | 75,000,000 | 75,000,000 | ||||||||||||||
Agreement with Deutsche Bank Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a Federal Farm Credit Bank, 0.000% due 10/24/2014, a Federal National Mortgage Association, 1.000% due 04/30/2018, and Tennessee Valley Authorities, 4.625% – 5.375% due 07/15/2033 – 09/15/2060, valued at $6,120,483); expected proceeds $6,000,090 | 0.180 | % | 07/01/2013 | 07/01/2013 | 6,000,000 | 6,000,000 | ||||||||||||||
Agreement with Deutsche Bank Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a Federal National Mortgage Association, 4.375% due 10/15/2015, valued at $187,680,881); expected proceeds $184,001,840 | 0.120 | % | 07/01/2013 | 07/01/2013 | 184,000,000 | 184,000,000 |
See Notes to Financial Statements.
48
State Street U.S. Government Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with Goldman Sachs & Co. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by Federal Home Loan Mortgage Corporations, 1.250% – 3.750% due 05/12/2017 – 08/01/2019, and Federal National Mortgage Associations, 0.875% – 1.050% due 08/28/2017 – 11/15/2017, valued at $298,860,399); expected proceeds $293,003,174 | 0.130 | % | 07/01/2013 | 07/01/2013 | $ | 293,000,000 | $ | 293,000,000 | ||||||||||||
Agreement with RBS Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/28/2013 (collateralized by Federal Home Loan Banks, 1.125% – 3.180% due 06/26/2017 – 11/26/2032, Federal Home Loan Mortgage Corporations, 0.000% – 0.420% due 08/12/2013 – 09/18/2015, and a U.S. Treasury Note, 1.000% due 03/31/2017, valued at $365,163,995); expected proceeds $358,003,282 | 0.110 | % | 07/01/2013 | 07/01/2013 | 358,000,000 | 358,000,000 | ||||||||||||||
Agreement with Societe Generale, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a Federal Farm Credit Bank, 0.940% due 11/13/2017, Federal Home Loan Banks, 0.000% – 5.500% due 07/19/2013 – 05/18/2016, Federal Home Loan Mortgage Corporations, 0.000% – 6.750% due 07/09/2013 – 07/15/2032, Federal National Mortgage Associations, 0.000% – 5.000% due 08/20/2013 – 01/30/2019, and Tennessee Valley Authorities, 0.000% due 01/15/2014 – 11/01/2025, valued at $265,200,689); expected proceeds $260,002,383 | 0.110 | % | 07/01/2013 | 07/01/2013 | 260,000,000 | 260,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS |
| 1,737,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 21.7% |
| |||||||||||||||||||
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/27/2013 (collateralized by U.S. Treasury Strips, 0.875% – 2.875% due 12/31/2016 – 05/31/2018, valued at $76,544,949); expected proceeds $75,000,500 | 0.030 | % | 07/05/2013 | 07/05/2013 | 75,000,000 | 75,000,000 |
See Notes to Financial Statements.
49
State Street U.S. Government Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 05/29/2013 (collateralized by U.S. Treasury Strips, 0.000% due 08/15/2013 – 02/15/2021, valued at $102,000,000); expected proceeds $100,004,722 | 0.050 | % | 07/02/2013 | 07/02/2013 | $ | 100,000,000 | $ | 100,000,000 | ||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Strip, 0.000% due 03/06/2014, valued at $216,240,067); expected proceeds $212,001,943 | 0.110 | % | 07/01/2013 | 07/01/2013 | 212,000,000 | 212,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Strip, 1.875% due 07/15/2013, valued at $58,140,087); expected proceeds $57,000,475 | 0.100 | % | 07/01/2013 | 07/01/2013 | 57,000,000 | 57,000,000 | ||||||||||||||
Agreement with Credit Suisse Securities (USA) LLC and JP Morgan Chase & Co. (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Notes, 1.125% – 5.125% due 05/15/2016 – 05/31/2019, valued at $155,041,645); expected proceeds $152,001,267 | 0.100 | % | 07/01/2013 | 07/01/2013 | 152,000,000 | 152,000,000 | ||||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/25/2013 (collateralized by U.S. Treasury Bonds, 4.375% – 10.625% due 08/15/2015 – 02/15/2038, U.S. Treasury Notes, 0.125% – 3.125% due 08/31/2013 – 02/15/2022, and a U.S. Treasury Strip, 7.875% due 02/15/2021, valued at $76,500,048); expected proceeds $75,000,438 | 0.030 | % | 07/02/2013 | 07/02/2013 | 75,000,000 | 75,000,000 | ||||||||||||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Notes, 0.250% – 2.250% due 01/31/2014 – 05/31/2014, valued at $28,562,668); expected proceeds $28,000,233 | 0.100 | % | 07/01/2013 | 07/01/2013 | 28,000,000 | 28,000,000 | ||||||||||||||
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/25/2013 (collateralized by a U.S. Treasury Strip, 0.000% due 11/21/2013, valued at $51,000,018); expected proceeds $50,000,292 | 0.030 | % | 07/02/2013 | 07/02/2013 | 50,000,000 | 50,000,000 |
See Notes to Financial Statements.
50
State Street U.S. Government Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/25/2013 (collateralized by a U.S. Treasury Strip, 0.000% due 11/21/2013, valued at $61,200,081); expected proceeds $60,001,400 | 0.120 | % | 07/02/2013 | 07/02/2013 | $ | 60,000,000 | $ | 60,000,000 | ||||||||||||
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Strip, 0.125% due 04/30/2015, valued at $153,000,036); expected proceeds $150,001,750 | 0.060 | % | 07/05/2013 | 07/05/2013 | 150,000,000 | 150,000,000 | ||||||||||||||
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Strips, 1.000% – 3.125% due 07/31/2015 – 02/15/2023, valued at $408,000,052); expected proceeds $400,001,000 | 0.030 | % | 07/01/2013 | 07/01/2013 | 400,000,000 | 400,000,000 | ||||||||||||||
Agreement with Morgan Stanley and Co., Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Strips, 0.375% – 1.750% due 03/15/2015 – 05/15/2022, valued at $128,520,008); expected proceeds $126,001,260 | 0.120 | % | 07/01/2013 | 07/01/2013 | 126,000,000 | 126,000,000 | ||||||||||||||
Agreement with RBS Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Notes, 0.375% – 3.125% due 03/15/2015 – 05/15/2021, valued at $280,501,134); expected proceeds $275,002,292 | 0.100 | % | 07/01/2013 | 07/01/2013 | 275,000,000 | 275,000,000 | ||||||||||||||
Agreement with Societe Generale, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Strips, 2.375% – 6.875% due 05/15/2014 – 08/15/2025, valued at $91,800,041); expected proceeds $90,000,750 | 0.100 | % | 07/01/2013 | 07/01/2013 | 90,000,000 | 90,000,000 |
See Notes to Financial Statements.
51
State Street U.S. Government Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with UBS Securities, LLC and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Strips, 0.125% – 2.125% due 12/31/2014 – 06/30/2016, valued at $227,460,041); expected proceeds $223,001,858 | 0.100 | % | 07/01/2013 | 07/01/2013 | $ | 223,000,000 | $ | 223,000,000 | ||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS |
| 2,073,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS(c) – 97.8% |
| 9,359,994,077 | ||||||||||||||||||
Other Assets in Excess of Liabilities – 2.2% |
| 209,143,630 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% |
| $ | 9,569,137,707 | |||||||||||||||||
|
|
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security – Interest rate shown is rate in effect as of June 30, 2013. |
(c) | Unless otherwise noted, the values of these securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures. (Note 2) |
See Notes to Financial Statements.
52
State Street Treasury Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2013 | |||
Treasury Debt | 100.0 | % | ||
Liabilities in Excess of Assets | (0.0 | ) | ||
Total | 100.0 | % |
Maturity Ladder* | June 30, 2013 | |||
Overnight (1 Day) | 0.0 | % | ||
2-30 Days | 50.3 | |||
31-60 Days | 21.0 | |||
61-90 Days | 17.1 | |||
Over 90 Days | 11.6 | |||
Total | 100.0 | % | ||
Average days to maturity | 46 | |||
Weighted average life | 46 |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
53
State Street Treasury Money Market Portfolio
Portfolio of Investments
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
TREASURY DEBT – 100.0% |
| |||||||||||||||||||
U.S. Treasury Bill(a) | 0.005 | % | 07/05/2013 | 07/05/2013 | $ | 596,267,000 | $ | 596,258,980 | ||||||||||||
U.S. Treasury Bill(a) | 0.010 | % | 07/05/2013 | 07/05/2013 | 71,256,000 | 71,255,921 | ||||||||||||||
U.S. Treasury Bill(a) | 0.015 | % | 07/05/2013 | 07/05/2013 | 360,562,000 | 360,561,399 | ||||||||||||||
U.S. Treasury Bill(a) | 0.018 | % | 07/05/2013 | 07/05/2013 | 250,000,000 | 249,999,514 | ||||||||||||||
U.S. Treasury Bill(a) | 0.028 | % | 07/05/2013 | 07/05/2013 | 29,759,000 | 29,758,909 | ||||||||||||||
U.S. Treasury Bill(a) | 0.030 | % | 07/05/2013 | 07/05/2013 | 80,000,000 | 79,999,733 | ||||||||||||||
U.S. Treasury Bill(a) | 0.035 | % | 07/05/2013 | 07/05/2013 | 175,000,000 | 174,999,319 | ||||||||||||||
U.S. Treasury Bill(a) | 0.065 | % | 07/05/2013 | 07/05/2013 | 200,000,000 | 199,998,556 | ||||||||||||||
U.S. Treasury Bill(a) | 0.073 | % | 07/05/2013 | 07/05/2013 | 500,000,000 | 499,995,972 | ||||||||||||||
U.S. Treasury Bill(a) | 0.123 | % | 07/05/2013 | 07/05/2013 | 21,406,000 | 21,405,709 | ||||||||||||||
U.S. Treasury Bill(a) | 0.035 | % | 07/11/2013 | 07/11/2013 | 78,999,000 | 78,997,057 | ||||||||||||||
U.S. Treasury Bill(a) | 0.043 | % | 07/11/2013 | 07/11/2013 | 600,000,000 | 599,992,917 | ||||||||||||||
U.S. Treasury Bill(a) | 0.045 | % | 07/11/2013 | 07/11/2013 | 83,000,000 | 82,998,963 | ||||||||||||||
U.S. Treasury Bill(a) | 0.068 | % | 07/11/2013 | 07/11/2013 | 400,000,000 | 399,992,500 | ||||||||||||||
U.S. Treasury Bill(a) | 0.113 | % | 07/11/2013 | 07/11/2013 | 138,000,000 | 137,995,688 | ||||||||||||||
U.S. Treasury Bill(a) | 0.115 | % | 07/11/2013 | 07/11/2013 | 74,000,000 | 73,997,636 | ||||||||||||||
U.S. Treasury Bill(a) | 0.043 | % | 07/18/2013 | 07/18/2013 | 750,000,000 | 749,984,948 | ||||||||||||||
U.S. Treasury Bill(a) | 0.045 | % | 07/18/2013 | 07/18/2013 | 200,000,000 | 199,995,750 | ||||||||||||||
U.S. Treasury Bill(a) | 0.060 | % | 07/18/2013 | 07/18/2013 | 400,000,000 | 399,988,667 | ||||||||||||||
U.S. Treasury Bill(a) | 0.020 | % | 07/25/2013 | 07/25/2013 | 200,000,000 | 199,997,333 | ||||||||||||||
U.S. Treasury Bill(a) | 0.035 | % | 07/25/2013 | 07/25/2013 | 500,000,000 | 499,988,333 | ||||||||||||||
U.S. Treasury Bill(a) | 0.050 | % | 07/25/2013 | 07/25/2013 | 500,000,000 | 499,983,333 | ||||||||||||||
U.S. Treasury Bill(a) | 0.075 | % | 07/25/2013 | 07/25/2013 | 200,000,000 | 199,990,000 | ||||||||||||||
U.S. Treasury Bill(a) | 0.100 | % | 07/25/2013 | 07/25/2013 | 200,000,000 | 199,986,667 | ||||||||||||||
U.S. Treasury Bill(a) | 0.053 | % | 08/01/2013 | 08/01/2013 | 250,000,000 | 249,988,698 | ||||||||||||||
U.S. Treasury Bill(a) | 0.110 | % | 08/01/2013 | 08/01/2013 | 100,000,000 | 99,990,528 | ||||||||||||||
U.S. Treasury Bill(a) | 0.055 | % | 08/08/2013 | 08/08/2013 | 500,000,000 | 499,970,972 | ||||||||||||||
U.S. Treasury Bill(a) | 0.110 | % | 08/08/2013 | 08/08/2013 | 100,000,000 | 99,988,389 | ||||||||||||||
U.S. Treasury Bill(a) | 0.045 | % | 08/15/2013 | 08/15/2013 | 199,000,000 | 198,988,806 | ||||||||||||||
U.S. Treasury Bill(a) | 0.048 | % | 08/15/2013 | 08/15/2013 | 301,000,000 | 300,982,128 | ||||||||||||||
U.S. Treasury Bill(a) | 0.043 | % | 08/22/2013 | 08/22/2013 | 800,000,000 | 799,950,889 | ||||||||||||||
U.S. Treasury Bill(a) | 0.043 | % | 08/29/2013 | 08/29/2013 | 50,000,000 | 49,996,517 | ||||||||||||||
U.S. Treasury Bill(a) | 0.045 | % | 08/29/2013 | 08/29/2013 | 450,000,000 | 449,966,812 | ||||||||||||||
U.S. Treasury Bill(a) | 0.045 | % | 09/05/2013 | 09/05/2013 | 179,000,000 | 178,985,232 | ||||||||||||||
U.S. Treasury Bill(a) | 0.048 | % | 09/05/2013 | 09/05/2013 | 321,000,000 | 320,972,046 | ||||||||||||||
U.S. Treasury Bill(a) | 0.050 | % | 09/12/2013 | 09/12/2013 | 535,000,000 | 534,945,757 | ||||||||||||||
U.S. Treasury Bill(a) | 0.048 | % | 09/19/2013 | 09/19/2013 | 600,000,000 | 599,936,667 | ||||||||||||||
U.S. Treasury Bill(a) | 0.058 | % | 09/26/2013 | 09/26/2013 | 284,000,000 | 283,960,536 | ||||||||||||||
U.S. Treasury Bill(a) | 0.060 | % | 09/26/2013 | 09/26/2013 | 319,000,000 | 318,953,745 | ||||||||||||||
U.S. Treasury Bill(a) | 0.093 | % | 10/03/2013 | 10/03/2013 | 250,000,000 | 249,939,618 |
See Notes to Financial Statements.
54
State Street Treasury Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
TREASURY DEBT – (continued) |
| |||||||||||||||||||
U.S. Treasury Bill(a) | 0.108 | % | 10/03/2013 | 10/03/2013 | $ | 100,000,000 | $ | 99,971,931 | ||||||||||||
U.S. Treasury Bill(a) | 0.100 | % | 10/10/2013 | 10/10/2013 | 200,000,000 | 199,943,888 | ||||||||||||||
U.S. Treasury Bill(a) | 0.088 | % | 10/17/2013 | 10/17/2013 | 50,000,000 | 49,986,875 | ||||||||||||||
U.S. Treasury Bill(a) | 0.090 | % | 10/17/2013 | 10/17/2013 | 100,000,000 | 99,973,000 | ||||||||||||||
U.S. Treasury Bill(a) | 0.085 | % | 10/24/2013 | 10/24/2013 | 400,000,000 | 399,891,389 | ||||||||||||||
U.S. Treasury Bill(a) | 0.085 | % | 11/07/2013 | 11/07/2013 | 100,000,000 | 99,969,542 | ||||||||||||||
U.S. Treasury Bill(a) | 0.080 | % | 11/14/2013 | 11/14/2013 | 100,000,000 | 99,969,778 | ||||||||||||||
U.S. Treasury Bill(a) | 0.085 | % | 11/29/2013 | 11/29/2013 | 115,000,000 | 114,959,000 | ||||||||||||||
U.S. Treasury Bill(a) | 0.080 | % | 12/05/2013 | 12/05/2013 | 60,000,000 | 59,979,067 | ||||||||||||||
U.S. Treasury Bill(a) | 0.080 | % | 12/12/2013 | 12/12/2013 | 50,000,000 | 49,981,778 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY DEBT |
| 13,120,267,392 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS(b) – 100.0% |
| 13,120,267,392 | ||||||||||||||||||
Liabilities in Excess of Assets – 0.0% |
| (701,721 | ) | |||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% |
| $ | 13,119,565,671 | |||||||||||||||||
|
|
(a) | Rate represents annualized yield at date of purchase. |
(b) | Unless otherwise noted, the values of these securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures. (Note 2) |
See Notes to Financial Statements.
55
State Street Treasury Plus Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2013 | |||
Treasury Debt | 43.4 | % | ||
Treasury Repurchase Agreements | 50.0 | |||
Other Assets in Excess of Liabilities | 6.6 | |||
Total | 100.0 | % |
Maturity Ladder* | June 30, 2013 | |||
Overnight (1 Day) | 46.7 | % | ||
2-30 Days | 14.8 | |||
31-60 Days | 3.0 | |||
61-90 Days | 9.9 | |||
Over 90 Days | 19.0 | |||
Total | 93.4 | % | ||
Average days to maturity | 36 | |||
Weighted average life | 36 |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
56
State Street Treasury Plus Money Market Portfolio
Portfolio of Investments
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Amortized Cost | |||||||||||||||
TREASURY DEBT – 43.4% |
| |||||||||||||||||||
U.S. Treasury Bill(a) | 0.123 | % | 07/05/2013 | 07/05/2013 | $ | 44,000,000 | $ | 43,999,401 | ||||||||||||
U.S. Treasury Bill(a) | 0.125 | % | 07/05/2013 | 07/05/2013 | 16,000,000 | 15,999,778 | ||||||||||||||
U.S. Treasury Bill(a) | 0.113 | % | 07/11/2013 | 07/11/2013 | 53,000,000 | 52,998,344 | ||||||||||||||
U.S. Treasury Bill(a) | 0.115 | % | 07/11/2013 | 07/11/2013 | 22,000,000 | 21,999,297 | ||||||||||||||
U.S. Treasury Bill(a) | 0.108 | % | 07/18/2013 | 07/18/2013 | 75,000,000 | 74,996,193 | ||||||||||||||
U.S. Treasury Bill(a) | 0.045 | % | 08/15/2013 | 08/15/2013 | 8,000,000 | 7,999,550 | ||||||||||||||
U.S. Treasury Bill(a) | 0.048 | % | 08/15/2013 | 08/15/2013 | 12,000,000 | 11,999,288 | ||||||||||||||
U.S. Treasury Bill(a) | 0.043 | % | 08/22/2013 | 08/22/2013 | 20,000,000 | 19,998,772 | ||||||||||||||
U.S. Treasury Bill(a) | 0.045 | % | 08/29/2013 | 08/29/2013 | 15,000,000 | 14,998,894 | ||||||||||||||
U.S. Treasury Bill(a) | 0.045 | % | 09/05/2013 | 09/05/2013 | 7,000,000 | 6,999,423 | ||||||||||||||
U.S. Treasury Bill(a) | 0.048 | % | 09/05/2013 | 09/05/2013 | 13,000,000 | 12,998,868 | ||||||||||||||
U.S. Treasury Bill(a) | 0.128 | % | 09/05/2013 | 09/05/2013 | 25,000,000 | 24,994,156 | ||||||||||||||
U.S. Treasury Bill(a) | 0.050 | % | 09/12/2013 | 09/12/2013 | 15,000,000 | 14,998,479 | ||||||||||||||
U.S. Treasury Bill(a) | 0.115 | % | 09/12/2013 | 09/12/2013 | 35,000,000 | 34,991,838 | ||||||||||||||
U.S. Treasury Bill(a) | 0.048 | % | 09/19/2013 | 09/19/2013 | 20,000,000 | 19,997,889 | ||||||||||||||
U.S. Treasury Bill(a) | 0.110 | % | 09/19/2013 | 09/19/2013 | 20,000,000 | 19,995,111 | ||||||||||||||
U.S. Treasury Bill(a) | 0.058 | % | 09/26/2013 | 09/26/2013 | 7,000,000 | 6,999,027 | ||||||||||||||
U.S. Treasury Bill(a) | 0.060 | % | 09/26/2013 | 09/26/2013 | 8,000,000 | 7,998,840 | ||||||||||||||
U.S. Treasury Bill(a) | 0.110 | % | 09/26/2013 | 09/26/2013 | 30,000,000 | 29,992,025 | ||||||||||||||
U.S. Treasury Bill(a) | 0.108 | % | 10/03/2013 | 10/03/2013 | 30,000,000 | 29,991,579 | ||||||||||||||
U.S. Treasury Bill(a) | 0.100 | % | 10/10/2013 | 10/10/2013 | 50,000,000 | 49,985,972 | ||||||||||||||
U.S. Treasury Bill(a) | 0.090 | % | 10/17/2013 | 10/17/2013 | 50,000,000 | 49,986,500 | ||||||||||||||
U.S. Treasury Bill(a) | 0.085 | % | 10/24/2013 | 10/24/2013 | 100,000,000 | 99,972,847 | ||||||||||||||
U.S. Treasury Bill(a) | 0.085 | % | 11/07/2013 | 11/07/2013 | 25,000,000 | 24,992,385 | ||||||||||||||
U.S. Treasury Bill(a) | 0.080 | % | 11/14/2013 | 11/14/2013 | 20,000,000 | 19,993,956 | ||||||||||||||
U.S. Treasury Bill(a) | 0.085 | % | 11/29/2013 | 11/29/2013 | 35,000,000 | 34,987,522 | ||||||||||||||
U.S. Treasury Bill(a) | 0.080 | % | 12/05/2013 | 12/05/2013 | 20,000,000 | 19,993,022 | ||||||||||||||
U.S. Treasury Bill(a) | 0.080 | % | 12/12/2013 | 12/12/2013 | 15,000,000 | 14,994,533 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY DEBT | 789,853,489 | |||||||||||||||||||
|
| |||||||||||||||||||
Market Value | ||||||||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 50.0% |
| |||||||||||||||||||
Agreement with Bank of Nova Scotia and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Strips, 0.000% – 0.375% due 06/30/2013 – 07/15/2015, valued at $204,001,702); expected proceeds $200,001,667 | 0.100 | % | 07/01/2013 | 07/01/2013 | 200,000,000 | 200,000,000 |
See Notes to Financial Statements.
57
State Street Treasury Plus Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with Barclays Capital, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Strip, 0.250% due 03/31/2014, valued at $61,200,062); expected proceeds $60,000,500 | 0.100 | % | 07/01/2013 | 07/01/2013 | $ | 60,000,000 | $ | 60,000,000 | ||||||||||||
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 05/29/2013 (collateralized by U.S. Treasury Strips, 0.000% due 02/15/2015 – 02/15/2023, valued at $51,000,001); expected proceeds $50,002,361 | 0.050 | % | 07/02/2013 | 07/02/2013 | 50,000,000 | 50,000,000 | ||||||||||||||
Agreement with BNP Paribas Securities Corp. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Strip, 3.125% due 02/15/2042, valued at $25,500,070); expected proceeds $25,000,208 | 0.100 | % | 07/01/2013 | 07/01/2013 | 25,000,000 | 25,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Strip, 0.625% due 05/31/2017, valued at $178,500,010); expected proceeds $175,001,458 | 0.100 | % | 07/01/2013 | 07/01/2013 | 175,000,000 | 175,000,000 | ||||||||||||||
Agreement with Credit Suisse Securities (USA) LLC and JP Morgan Chase & Co. (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Note, 0.125% due 08/31/2013, valued at $51,004,862); expected proceeds $50,000,417 | 0.100 | % | 07/01/2013 | 07/01/2013 | 50,000,000 | 50,000,000 | ||||||||||||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Note, 2.250% due 05/31/2014, valued at $51,002,448); expected proceeds $50,000,417 | 0.100 | % | 07/01/2013 | 07/01/2013 | 50,000,000 | 50,000,000 | ||||||||||||||
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 04/10/2013 (collateralized by a U.S. Treasury Strip, 0.125% due 12/31/2013, valued at $10,200,086); expected proceeds $10,002,867 | 0.120 | % | 07/05/2013 | 07/05/2013 | 10,000,000 | 10,000,000 |
See Notes to Financial Statements.
58
State Street Treasury Plus Money Market Portfolio
Portfolio of Investments — (continued)
June 30, 2013 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Market Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) |
| |||||||||||||||||||
Agreement with Merrill Lynch Government Securities, Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Strip, 1.875% due 06/30/2015, valued at $66,300,085); expected proceeds $65,000,542 | 0.100 | % | 07/01/2013 | 07/01/2013 | $ | 65,000,000 | $ | 65,000,000 | ||||||||||||
Agreement with Morgan Stanley and Co., Inc. and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by a U.S. Treasury Strip, 1.000% due 05/15/2014, valued at $76,500,004); expected proceeds $75,000,750 | 0.120 | % | 07/01/2013 | 07/01/2013 | 75,000,000 | 75,000,000 | ||||||||||||||
Agreement with RBS Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Notes, 1.000% – 1.500% due 12/31/2013 – 09/30/2016, valued at $76,504,220); expected proceeds $75,000,625 | 0.100 | % | 07/01/2013 | 07/01/2013 | 75,000,000 | 75,000,000 | ||||||||||||||
Agreement with UBS Securities, LLC and The Bank of New York Mellon (Tri-Party), dated 06/28/2013 (collateralized by U.S. Treasury Strips, 1.750% – 2.750% due 05/15/2023 – 08/15/2042, valued at $76,500,009); expected proceeds $75,000,625 | 0.100 | % | 07/01/2013 | 07/01/2013 | 75,000,000 | 75,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS |
| 910,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS(b) – 93.4% |
| 1,699,853,489 | ||||||||||||||||||
Other Assets in Excess of Liabilities – 6.6% |
| 119,250,918 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% |
| $ | 1,819,104,407 | |||||||||||||||||
|
|
(a) | Rate represents annualized yield at date of purchase. |
(b) | Unless otherwise indicated, the values of these securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures. (Note 2) |
See Notes to Financial Statements.
59
State Street Master Funds
Statement of Assets and Liabilities
June 30, 2013 (Unaudited)
Money Market Portfolio | Tax Free Money Market Portfolio | U.S. Government Money Market Portfolio | Treasury Money Market Portfolio | Treasury Plus Money Market Portfolio | ||||||||||||||||
Assets | ||||||||||||||||||||
Investments at market value and amortized cost (Note 2) | $ | 24,985,245,409 | $ | 277,374,267 | $ | 9,356,184,077 | $ | 13,120,267,392 | $ | 789,853,489 | ||||||||||
Repurchase Agreements, at market value and cost (Note 2) | 7,424,000,000 | – | 3,810,000 | – | 910,000,000 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Investments | 32,409,245,409 | 277,374,267 | 9,359,994,077 | 13,120,267,392 | 1,699,853,489 | |||||||||||||||
Cash | 229,215 | 45,072 | 207,675,334 | 11,204 | 119,351,955 | |||||||||||||||
Interest receivable | 6,287,902 | 24,027 | 1,985,392 | – | 12,233 | |||||||||||||||
Prepaid expenses and other assets | 710 | 40 | 7,255 | – | 7,804 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total assets | 32,415,763,236 | 277,443,406 | 9,569,662,058 | 13,120,278,596 | 1,819,225,481 | |||||||||||||||
Liabilities | ||||||||||||||||||||
Managment fee payable (Note 3) | 1,354,247 | 12,592 | 374,831 | 506,408 | 65,233 | |||||||||||||||
Administration and custody fees payable (Note 3) | 416,938 | 3,091 | 109,679 | 152,585 | 19,679 | |||||||||||||||
Professional fees payable | 33,885 | 33,885 | 33,885 | 33,885 | 33,885 | |||||||||||||||
Trustee’s fees payable (Note 4) | 14,992 | 3,393 | 5,956 | 6,084 | 2,264 | |||||||||||||||
Accrued expenses and other liabilities | 19,860 | 4,196 | – | 13,963 | 13 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total liabilities | 1,839,922 | 57,157 | 524,351 | 712,925 | 121,074 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 32,413,923,314 | $ | 277,386,249 | $ | 9,569,137,707 | $ | 13,119,565,671 | $ | 1,819,104,407 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
60
State Street Master Funds
Statement of Operations
Six Months Ended June 30, 2013 (Unaudited)
Money Market Portfolio | Tax Free Money Market Portfolio | U.S. Government Money Market Portfolio | Treasury Money Market Portfolio | Treasury Plus Money Market Portfolio | ||||||||||||||||
Investment Income | ||||||||||||||||||||
Interest | $ | 38,172,697 | $ | 146,869 | $ | 5,219,914 | $ | 5,386,395 | $ | 900,678 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses | ||||||||||||||||||||
Management fees (Note 3) | 7,934,181 | 84,785 | 2,196,831 | 3,058,797 | 448,156 | |||||||||||||||
Administration and custody fees (Note 3) | 2,113,258 | 22,944 | 584,653 | 814,803 | 119,775 | |||||||||||||||
Trustees’ fees (Note 4) | 103,176 | 24,980 | 45,357 | 54,809 | 27,713 | |||||||||||||||
Professional fees | 24,492 | 24,492 | 24,492 | 24,492 | 24,492 | |||||||||||||||
Printing fees | 5,272 | 1,602 | 1,602 | 1,602 | 1,602 | |||||||||||||||
Other expenses | 61,988 | 14,687 | 39,409 | 44,917 | 33,764 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses | 10,242,367 | 173,490 | 2,892,344 | 3,999,420 | 655,502 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | $ | 27,930,330 | $ | (26,621 | ) | $ | 2,327,570 | $ | 1,386,975 | $ | 245,176 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized Gain (Loss) | ||||||||||||||||||||
Net realized gain (loss) on investments | $ | 156,494 | $ | – | $ | – | $ | 33,545 | $ | (1,608 | ) | |||||||||
|
|
|
|
|
|
|
|
|
| �� | ||||||||||
Net Increase in Net Assets Resulting from Operations | $ | 28,086,824 | $ | (26,621 | ) | $ | 2,327,570 | $ | 1,420,520 | $ | 243,568 | |||||||||
|
|
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
61
State Street Master Funds
Statements of Changes in Net Assets
Money Market Portfolio | Tax Free Money Market Portfolio | |||||||||||||||
Six Months Ended June 30, 2013 (Unaudited) | Year Ended December 31, 2012 | Six Months Ended June 30, 2013 (Unaudited) | Year Ended December 31, 2012 | |||||||||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||||||||||
Net investment income (loss) | $ | 27,930,330 | $ | 69,377,652 | $ | (26,621 | ) | $ | 37,462 | |||||||
Net realized gain on investments | 156,494 | 284,621 | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 28,086,824 | 69,662,273 | (26,621 | ) | 37,462 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Transactions: | ||||||||||||||||
Contributions | 31,407,750,798 | 57,809,882,476 | 593,310,136 | 1,285,510,268 | ||||||||||||
Withdrawals | (26,530,676,207 | ) | (53,150,969,195 | ) | (824,417,806 | ) | (1,108,221,643 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from capital transactions | 4,877,074,591 | 4,658,913,281 | (231,107,670 | ) | 177,288,625 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 4,905,161,415 | 4,728,575,554 | (231,134,291 | ) | 177,326,087 | |||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 27,508,761,899 | 22,780,186,345 | 508,520,540 | 331,194,453 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 32,413,923,314 | $ | 27,508,761,899 | $ | 277,386,249 | $ | 508,520,540 | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
62
State Street Master Funds
Statements of Changes in Net Assets
U.S. Government Money Market Portfolio | Treasury Money Market Portfolio | |||||||||||||||
Six Months Ended June 30, 2013 (Unaudited) | Year Ended December 31, 2012 | Six Months Ended June 30, 2013 (Unaudited) | Year Ended December 31, 2012 | |||||||||||||
Increase in Net Assets From Operations: |
| |||||||||||||||
Net investment income | $ | 2,327,570 | $ | 5,264,759 | $ | 1,386,975 | $ | 1,984,834 | ||||||||
Net realized gain on investments | – | 3,792 | 33,545 | 5,499 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from operations | 2,327,570 | 5,268,551 | 1,420,520 | 1,990,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Transactions: | ||||||||||||||||
Contributions | 14,260,513,970 | 19,871,458,260 | 11,489,690,407 | 20,270,759,634 | ||||||||||||
Withdrawals | (13,314,890,137 | ) | (17,034,984,457 | ) | (11,083,604,892 | ) | (19,655,053,849 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets from capital transactions | 945,623,833 | 2,836,473,803 | 406,085,515 | 615,705,785 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase in Net Assets | 947,951,403 | 2,841,742,354 | 407,506,035 | 617,696,118 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 8,621,186,304 | 5,779,443,950 | 12,712,059,636 | 12,094,363,518 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 9,569,137,707 | $ | 8,621,186,304 | $ | 13,119,565,671 | $ | 12,712,059,636 | ||||||||
|
|
|
|
|
|
|
|
See Notes to Financial Statements.
63
State Street Master Funds
Statements of Changes in Net Assets
Treasury Plus Money Market Portfolio | ||||||||
Six Months Ended June 30, 2013 (Unaudited) | Year Ended December 31, 2012 | |||||||
Increase (Decrease) in Net Assets From Operations: |
| |||||||
Net investment income (loss) | $ | 245,176 | $ | 981,432 | ||||
Net realized gain (loss) on investments | (1,608 | ) | 187 | |||||
|
|
|
| |||||
Net increase in net assets from operations | 243,568 | 981,619 | ||||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 3,488,405,635 | 6,591,317,676 | ||||||
Withdrawals | (3,968,085,596 | ) | (5,654,916,322 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital transactions | (479,679,961 | ) | 936,401,354 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (479,436,393 | ) | 937,382,973 | |||||
Net Assets | ||||||||
Beginning of period | 2,298,540,800 | 1,361,157,827 | ||||||
|
|
|
| |||||
End of period | $ | 1,819,104,407 | $ | 2,298,540,800 | ||||
|
|
|
|
See Notes to Financial Statements.
64
State Street Master Funds
Financial Highlights
Ratios to Average Net Assets | Net Assets End of Period (000s Omitted) | |||||||||||||||||||
Period Ended December 31, | Total Return(a) | Gross Operating Expenses | Net Operating Expenses | Net Investment Income | ||||||||||||||||
Money Market Portfolio | ||||||||||||||||||||
2013* | 0.09 | % | 0.06 | %** | 0.06 | %** | 0.18 | %** | $ | 32,413,923 | ||||||||||
2012 | 0.26 | % | 0.06 | % | 0.06 | % | 0.25 | % | $ | 27,508,762 | ||||||||||
2011 | 0.20 | % | 0.07 | % | 0.07 | % | 0.20 | %(b) | $ | 22,780,186 | ||||||||||
2010 | 0.20 | % | 0.12 | % | 0.12 | % | 0.20 | % | $ | 26,503,826 | ||||||||||
2009 | 0.52 | % | 0.12 | % | 0.11 | %(b) | 0.46 | %(b) | $ | 15,488,081 | ||||||||||
2008 | 2.75 | % | 0.12 | % | 0.10 | % | 2.79 | % | $ | 8,605,905 | ||||||||||
Tax Free Money Market Portfolio | ||||||||||||||||||||
2013* | 0.01 | % | 0.10 | %** | 0.10 | %** | (0.02 | )%** | $ | 277,386 | ||||||||||
2012 | 0.01 | % | 0.11 | % | 0.11 | % | 0.01 | % | $ | 508,521 | ||||||||||
2011 | 0.04 | % | 0.11 | % | 0.11 | % | 0.04 | %(b) | $ | 331,194 | ||||||||||
2010 | 0.13 | % | 0.13 | % | 0.13 | % | 0.11 | % | $ | 405,328 | ||||||||||
2009 | 0.49 | % | 0.14 | % | 0.13 | %(b) | 0.48 | %(b) | $ | 376,182 | ||||||||||
2008 | 2.35 | % | 0.14 | % | 0.10 | % | 2.32 | % | $ | 388,447 | ||||||||||
U.S. Government Money Market Portfolio | ||||||||||||||||||||
2013* | 0.03 | % | 0.07 | %** | 0.07 | %** | 0.05 | %** | $ | 9,569,138 | ||||||||||
2012 | 0.08 | % | 0.07 | % | 0.07 | % | 0.08 | % | $ | 8,621,186 | ||||||||||
2011 | 0.04 | % | 0.07 | % | 0.07 | % | 0.04 | %(b) | $ | 5,779,444 | ||||||||||
2010 | 0.07 | % | 0.12 | % | 0.12 | % | 0.08 | % | $ | 4,910,900 | ||||||||||
2009 | 0.25 | % | 0.12 | % | 0.12 | % | 0.23 | % | $ | 3,431,153 | ||||||||||
2008 | 2.19 | % | 0.13 | % | 0.13 | % | 1.97 | % | $ | 2,959,036 | ||||||||||
Treasury Money Market Portfolio | ||||||||||||||||||||
2013* | 0.01 | % | 0.07 | %** | 0.07 | %** | 0.02 | %** | $ | 13,119,566 | ||||||||||
2012 | 0.02 | % | 0.07 | % | 0.07 | % | 0.02 | % | $ | 12,712,060 | ||||||||||
2011 | (0.09 | )% | 0.07 | % | 0.07 | % | (0.03 | )%(b) | $ | 12,094,364 | ||||||||||
2010 | 0.01 | % | 0.12 | % | 0.12 | % | 0.01 | % | $ | 3,656,739 | ||||||||||
2009 | 0.02 | % | 0.12 | % | 0.12 | % | 0.02 | % | $ | 2,277,931 | ||||||||||
2008 | 1.28 | % | 0.13 | % | 0.13 | % | 0.93 | % | $ | 2,120,695 | ||||||||||
Treasury Plus Money Market Portfolio | ||||||||||||||||||||
2013* | 0.01 | % | 0.07 | %** | 0.07 | %** | 0.03 | %** | $ | 1,819,104 | ||||||||||
2012 | 0.06 | % | 0.08 | % | 0.08 | % | 0.06 | % | $ | 2,298,541 | ||||||||||
2011 | 0.00 | %(c) | 0.08 | % | 0.08 | % | (0.01 | )%(b) | $ | 1,361,158 | ||||||||||
2010 | 0.03 | % | 0.12 | % | 0.12 | % | 0.03 | % | $ | 933,748 | ||||||||||
2009 | 0.04 | % | 0.13 | % | 0.13 | % | 0.03 | % | $ | 800,637 | ||||||||||
2008 | 1.57 | % | 0.13 | % | 0.13 | % | 1.07 | % | $ | 953,170 |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Results reflect the effect of expense waivers. Without these waivers, net investment income would have been lower. |
(c) | Amount is less than 0.005%. |
* | For the six months ended June 30, 2013 (Unaudited). |
** | Annualized. |
See Notes to Financial Statements.
65
State Street Master Funds
Notes to Financial Statements
June 30, 2013 (Unaudited)
1. | Organization |
The State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company, and was organized as a business trust under the laws of the Commonwealth of Massachusetts on July 27, 1999. The Trust comprises ten investment portfolios: State Street Equity 500 Index Portfolio, State Street Equity 400 Index Portfolio, State Street Equity 2000 Index Portfolio, State Street Aggregate Bond Index Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street Limited Duration Bond Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio. At June 30, 2013, the following Portfolios were operational: State Street Equity 500 Index Portfolio, State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio. Information presented in these financial statements pertains only to State Street Money Market Portfolio, State Street Tax Free Money Market Portfolio, State Street U.S. Government Money Market Portfolio, State Street Treasury Money Market Portfolio and State Street Treasury Plus Money Market Portfolio (the “Portfolios”). The Portfolios commenced operations as follows:
Portfolio Name | Commencement Date | |
State Street Money Market Portfolio | August 12, 2004 | |
State Street Tax Free Money Market Portfolio | February 7, 2007 | |
State Street U.S. Government Money Market Portfolio | October 17, 2007 | |
State Street Treasury Money Market Portfolio | October 25, 2007 | |
State Street Treasury Plus Money Market Portfolio | October 24, 2007 |
The Portfolios are authorized to issue an unlimited number of non-transferable beneficial interests.
66
State Street Master Funds
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
The Portfolios’ investment objectives are as follows:
Portfolio Name | Investment Objective | |
State Street Money Market Portfolio | To seek to maximize current income, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value by investing in U.S. dollar denominated money market securities. | |
State Street Tax Free Money Market Portfolio | To seek to maximize current income, exempt from federal income taxes, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value. | |
State Street U.S. Government Money Market Portfolio | To seek to maximize current income, to the extent consistent with the preservation of capital and liquidity and the maintenance of a stable $1.00 per share net asset value. | |
State Street Treasury Money Market Portfolio | To seek a high level of current income consistent with preserving principal and liquidity and the maintenance of a stable $1.00 per share net asset value. | |
State Street Treasury Plus Money Market Portfolio | To seek a high level of current income consistent with preserving principal and liquidity and the maintenance of a stable $1.00 per share net asset value. |
2. | Significant Accounting Policies |
The following is a summary of the significant accounting policies consistently followed by the Portfolios in the preparation of their financial statements.
Security valuation – As permitted under Rule 2a-7 of the 1940 Act and certain conditions therein, securities of the Portfolios are valued initially at cost and thereafter assume a constant amortization to maturity of any discount or premium. Investments in open-end investment companies are valued at their net asset value each business day.
The Portfolios adopted provisions surrounding fair value measurements and disclosures that define fair value, establish a framework for measuring fair value in generally accepted accounting principles and expand disclosures about fair value measurements. This applies to fair value measurements that are already required or permitted by other accounting standards and is intended to increase consistency of those measurements and applies broadly to securities and other types of assets and liabilities. In accordance with these provisions, fair value is defined as the price that a Portfolio would receive upon selling an investment in a timely transaction to an independent buyer in the principal or most advantageous market of the investment. Various inputs are used in determining the value of the Portfolios’ investments.
67
State Street Master Funds
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
The three tier hierarchy of inputs is summarized below:
• | Level 1 – quoted prices in active markets for identical securities |
• | Level 2 – other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
• | Level 3 – significant unobservable inputs (including a Portfolio’s own assumptions in determining the fair value of investments) |
The inputs or methodology used for valuing securities are not an indication of the risk associated with investing in those securities.
The following is a summary of the inputs used, as of June 30, 2013, in valuing the Portfolios’ assets carried at fair value:
Investments in Securities | ||||||||||||||||||||
Valuation Inputs | State Street Money Market Portfolio | State Street Tax Free Money Market Portfolio | State Street U.S. Government Money Market Portfolio | State Street Treasury Money Market Portfolio | State Street Treasury Plus Money Market Portfolio | |||||||||||||||
Level 1 – Quoted Prices | $ | – | $ | 26,579,267 | $ | – | $ | – | $ | – | ||||||||||
Level 2 – Other Significant Observable Inputs | 32,409,245,409 | 250,795,000 | 9,359,994,077 | 13,120,267,392 | 1,699,853,489 | |||||||||||||||
Level 3 – Significant Unobservable Inputs | – | – | – | – | – | |||||||||||||||
Total Investments | $ | 32,409,245,409 | $ | 277,374,267 | $ | 9,359,994,077 | $ | 13,120,267,392 | $ | 1,699,853,489 |
The type of inputs used to value each security under the provisions surrounding fair value measurement and disclosures is identified in each Portfolio of Investments, which also includes a breakdown of the Portfolios’ investments by category.
As of the six months ended June 30, 2013, there were no transfers between levels.
Securities transactions, investment income and expenses – Securities transactions are recorded on a trade date basis. Interest income is recorded daily on the accrual basis and includes amortization of premium and accretion of discount on investments. Premium is amortized and discount is accreted using the straight line method. Realized gains and losses from securities transactions are recorded on the basis of identified cost. Expenses are accrued daily.
All of the net investment income and realized gains and losses from the security transactions of the Portfolios are allocated pro rata among the partners in the Portfolios daily based on each partner’s daily ownership percentage.
Federal income taxes – The Portfolios are not required to pay federal income taxes on their net investment income and net capital gains because they are treated as partnerships for federal income tax purposes. All interest, gains and losses of the Portfolios are deemed to have been “passed through” to the Portfolios’ partners in proportion to their holdings in the respective Portfolio, regardless of whether such items have been distributed by the Portfolios. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
68
State Street Master Funds
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
The Portfolios have reviewed the tax positions for open years as of December 31, 2012, and determined they did not have a liability for any unrecognized tax expenses. The Portfolios recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations. As of June 30, 2013, tax years 2009 through 2012 remain subject to examination by the Portfolios’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
At June 30, 2013, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
Repurchase Agreements – A portfolio may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to a Portfolio to repurchase the securities at a mutually agreed upon price and time which, in the case of the Portfolios’ transactions, is generally within seven days. The total amount received by a Portfolio on repurchase is calculated to exceed the price paid by the Portfolio, reflecting an agreed-upon market rate of interest for the period of time to the settlement date, and is not necessarily related to the interest rate on the underlying securities. The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The value of the underlying securities, at the time of purchase and each subsequent business day, is required to be maintained at such a level that the value is equal to at least the principal amount of the repurchase price plus accrued interest. The use of repurchase agreements involves certain risks. Upon an event of default under the Master Repurchase Agreement, if the seller of securities under a repurchase agreement defaults on its obligation to repurchase the underlying securities (as a result of its bankruptcy or otherwise) a Portfolio will seek to dispose of such securities; this action could involve costs or delays. In addition, the proceeds of any such disposition may be less than the amount a Portfolio is owed under the repurchase agreement. A Portfolio may enter into repurchase agreements maturing within seven days with domestic dealers, banks and other financial institutions deemed to be creditworthy by SSgA Funds Management, Inc. (“SSgA FM” or the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”).
At period end, Money Market Portfolio, U.S. Government Money Market Portfolio and Treasury Plus Money Market Portfolio had investments in repurchase agreements with gross values of $7,424,000, $3,810,000 and $910,000,000 respectively.
Expense allocation – Certain expenses are applicable to multiple Portfolios. Expenses directly attributable to a Portfolio are charged to that Portfolio. Expenses of the Trust that are not directly attributed to a Portfolio are allocated among the Portfolios, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the Portfolios can otherwise be made.
Use of estimates – The Portfolios’ financial statements are prepared in accordance with U.S. generally accepted accounting principles, which require the use of management estimates. Actual results could differ from those estimates. It is reasonably possible that these differences could be material.
Subsequent events – Management has determined that there are no subsequent events or transactions that would have materially impacted the Portfolios’ financial statements as presented.
69
State Street Master Funds
Notes to Financial Statements — (continued)
June 30, 2013 (Unaudited)
3. | Related Party Fees |
Each Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolios in accordance with their investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, each Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
State Street is the administrator, custodian and transfer agent for the Portfolios. In compensation for State Street’s services as administrator, custodian and transfer agent, the Portfolios pay State Street an annual fee, which is accrued daily and payable monthly at the applicable fee rate described below, of the following annual percentages of the Trust’s average aggregate daily net assets, exclusive of the Equity 500 Index Portfolio, during the month as follows:
Asset Levels | Annual percentage of average aggregate daily net assets | |
First $400 million | 0.03% | |
Next $15 billion | 0.02% | |
Thereafter | 0.01% | |
Minimum annual fee per Portfolio | $150,000 |
4. | Trustees’ Fees |
Each Independent Trustee receives for his or her services a $100,000 retainer in addition to $5,000 for each in-person meeting and $1,250 for each telephonic meeting from the Trust. The Chairman receives an additional $30,000 annual retainer and the Audit Committee Chair receives an additional $10,000 annual retainer.
5. | Indemnifications |
The Trust’s organizational documents provide that its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. In addition, both in some of its principal service contracts and in the normal course of its business, the Trust enters into contracts that provide indemnifications to other parties for certain types of losses or liabilities. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims against the Trust. Management does not expect any significant claims.
70
State Street Master Funds
General Information
June 30, 2013 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Trust has adopted proxy voting procedures relating to portfolio securities held by the Portfolios. A description of the policies and procedures is available without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the website of the Securities Exchange Commission (the “SEC”) at www.sec.gov. Information on how the Portfolios voted proxies relating to portfolio securities during the most recent 12-month period ending June 30 is available by August 31 without charge, upon request, (i) by calling (877) 521-4083 or (ii) on the SEC’s website at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files its complete schedule of portfolio holdings with the SEC for the first and third quarters of its fiscal year (as of March and September of each year) on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov. The Trust’s Forms N-Q may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. and information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The most recent Form N-Q is available without charge, upon request, by calling (877) 521-4083.
71
Trustees
Michael F. Holland
William L. Boyan
Rina K. Spence
Douglas T. Williams
James E. Ross
Investment Adviser
SSgA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Administrator, Custodian and Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
800 Boylston Street
Boston, MA 02199
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Master Funds State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSITINVSAR |
Item 2. Code of Ethics.
Not applicable to this filing.
Item 3. Audit Committee Financial Expert.
Not applicable to this filing.
Item 4. Principal Accountant Fees and Services.
Not applicable to this filing.
Item 5. Audit Committees of Listed Registrants.
Not applicable to the Registrant.
Item 6. Schedule of Investments.
(a) Schedules of Investments are included as part of the reports to shareholders filed under Item 1 of this Form N-CSR.
(b) Not applicable to the Registrant.
Item 7. Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.
Not applicable to the Registrant.
Item 8. Portfolio Managers of Closed-End Management Investment Companies
Not applicable to the Registrant.
Item 9. Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.
Not applicable to the Registrant.
Item 10. Submission of Matters to a Vote of Security Holders.
There has been no material change to the manner in which shareholders may recommend nominees to the Registrant’s Board of Trustees or the Nominating Committee. The Registrant does not have formal procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees. While the Registrant does not have formal procedures, the Registrant’s Nominating Committee will consider nominees to the Board of Trustees recommended by the shareholders. Recommendations should be submitted to the Nominating Committee in care of the Secretary of the Trust.
Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of the report that includes the disclosure required by this paragraph, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.
(b) There were no changes in the Trust’s internal control over financial reporting (as defined in Rule 30a-3(d) under the 1940 Act) that occurred during the Trust’s second fiscal quarter of the period covered by this Form N-CSR filing that has materially affected, or is reasonably likely to materially affect, the Trust’s internal control over financial reporting.
Item 12. Exhibits.
(a)(2) Certifications of principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(a) under the 1940 Act, as amended.
(b) Certifications of principal executive officer and principal financial officer of the Trust as required by Rule 30a-2(b) under the 1940 Act, as amended, and Section 906 of the Sarbanes-Oxley Act of 2002.
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(REGISTRANT): State Street Institutional Investment Trust
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President |
Date: October 16, 2013
By: | /s/ Lauran F. Dell | |
Laura F. Dell | ||
Treasurer |
Date: October 16, 2013
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the Registrant and in the capacities and on the dates indicated.
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
(Principal Executive Officer) |
Date: October 16, 2013
By: | /s/ Laura F. Dell | |
Laura F. Dell | ||
Treasurer | ||
(Principal Financial Officer) |
Date: October 16, 2013