Table of Contents
UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED
MANAGEMENT INVESTMENT COMPANIES
Investment Company Act file number: 811-09819
STATE STREET INSTITUTIONAL INVESTMENT TRUST
(Exact name of registrant as specified in charter)
P.O. Box 5501
Boston, Massachusetts 02206
(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Service) | Copy to: | |
David James, Managing Director and Managing Counsel State Street Bank and Trust Company 100 Huntington Avenue, 3rd Floor Boston, Massachusetts 02116 | Timothy W. Diggins, Esq. Ropes & Gray 800 Boylston Street Boston, Massachusetts 02110-2624 |
Registrant’s telephone number, including area code: (617) 662-1742
Date of fiscal year end: December 31
Date of reporting period: June 30, 2015
Table of Contents
Item 1. | Shareholder Report. |
Table of Contents
Semi-Annual Report
30 June 2015
State Street Institutional Investment Trust
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
Table of Contents
State Street Institutional Investment Trust
Statement of Assets and Liabilities
June 30, 2015 (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 value and cost (Note 1) | $ | 38,211,732,331 | $ | 198,489,197 | $ | 11,426,171,939 | $ | 9,985,988,596 | $ | 1,965,056,717 | ||||||||||
Receivable from Adviser and Distributor (Note 3) | 107,373 | 134,874 | 1,156,274 | 2,623,918 | 451,035 | |||||||||||||||
Receivable for fund shares sold | 9,257 | – | – | – | – | |||||||||||||||
Prepaid expenses and other assets | 112,004 | 15,039 | 25,527 | 24,264 | 19,011 | |||||||||||||||
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Total assets | 38,211,960,965 | 198,639,110 | 11,427,353,740 | 9,988,636,778 | 1,965,526,763 | |||||||||||||||
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Liabilities | ||||||||||||||||||||
Administration and custody fees payable (Note 3) | 9,609,064 | 60,819 | 2,858,649 | 2,423,628 | 519,789 | |||||||||||||||
Shareholder servicing fee payable (Note 3) | 71,196 | 22,487 | 123,226 | 127,621 | 11,060 | |||||||||||||||
Distribution fees payable (Note 3) | 28,477 | 8,995 | 49,287 | 51,048 | 4,632 | |||||||||||||||
Registration and filing fees payable | 83,824 | 2,509 | 36,599 | 9,667 | 7,687 | |||||||||||||||
Transfer agent fees payable | 61,627 | – | 2,378 | – | – | |||||||||||||||
Dividends payable | 467,429 | – | 532 | – | – | |||||||||||||||
Professional fees payable | 11,730 | 11,730 | 11,730 | 11,730 | 11,730 | |||||||||||||||
Accrued expenses and other liabilities | – | 6,023 | 8,020 | 6,487 | 15,801 | |||||||||||||||
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Total liabilities | 10,333,347 | 112,563 | 3,090,421 | 2,630,181 | 570,699 | |||||||||||||||
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Net Assets | $ | 38,201,627,618 | $ | 198,526,547 | $ | 11,424,263,319 | $ | 9,986,006,597 | $ | 1,964,956,064 | ||||||||||
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Net Assets Consist of: | ||||||||||||||||||||
Paid-in capital | $ | 38,201,431,731 | $ | 198,526,547 | $ | 11,424,415,501 | $ | 9,985,976,823 | $ | 1,964,956,855 | ||||||||||
Undistributed net investment income (loss) | (5,271 | ) | – | – | – | 38 | ||||||||||||||
Accumulated net realized gain (loss) | 201,158 | – | (152,182 | ) | 29,774 | (829 | ) | |||||||||||||
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Net Assets | $ | 38,201,627,618 | $ | 198,526,547 | $ | 11,424,263,319 | $ | 9,986,006,597 | $ | 1,964,956,064 | ||||||||||
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Net Assets | ||||||||||||||||||||
Premier Class | $ | 34,735,489,913 | $ | 87,194,276 | $ | 9,916,223,157 | $ | 9,356,387,444 | $ | 1,919,087,597 | ||||||||||
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Investment Class | $ | 346,067,133 | $ | 111,332,271 | $ | 641,111,826 | $ | 629,619,153 | $ | 45,868,467 | ||||||||||
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Class M Shares | $ | 3,120,070,572 | $ | – | $ | – | $ | – | $ | – | ||||||||||
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Class G Shares | $ | – | $ | – | $ | 866,928,336 | $ | – | $ | – | ||||||||||
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Shares of Beneficial Interest Outstanding | ||||||||||||||||||||
Premier Class | 34,735,311,953 | 87,188,447 | 9,916,575,968 | 9,356,468,896 | 1,919,212,206 | |||||||||||||||
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Investment Class | 346,047,787 | 111,342,426 | 641,182,395 | 629,608,689 | 45,892,646 | |||||||||||||||
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Class M Shares | 3,120,060,353 | – | – | – | – | |||||||||||||||
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Class G Shares | – | – | 866,927,456 | – | – | |||||||||||||||
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Offering, Net Asset Value, and Redemption Price Per Share | ||||||||||||||||||||
Premier 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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Class G Shares | $ | – | $ | – | $ | 1.00 | $ | – | $ | – | ||||||||||
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See accompanying notes to financial statements and financial statements of the Master Funds.
3
Table of Contents
State Street Institutional Investment Trust
Statements of Operations
June 30, 2015 (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) | $ | 41,566,953 | $ | 42,614 | $ | 5,075,914 | $ | 1,154,876 | $ | 479,013 | ||||||||||
Expenses allocated from Portfolio (Note 2) | (12,767,601 | ) | (145,300 | ) | (3,978,277 | ) | (3,209,444 | ) | (749,239 | ) | ||||||||||
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28,799,352 | (102,686 | ) | 1,097,637 | (2,054,568 | ) | (270,226 | ) | |||||||||||||
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Expenses | ||||||||||||||||||||
Administration and custody fees (Note 3) | 9,614,356 | 69,380 | 2,863,991 | 2,428,837 | 524,999 | |||||||||||||||
Shareholder servicing fee – Investment Class (Note 3) | 526,181 | 184,314 | 804,670 | 896,517 | 73,413 | |||||||||||||||
Distribution fees – Investment Class (Note 3) | 210,473 | 73,725 | 321,868 | 358,607 | 29,365 | |||||||||||||||
Transfer agent fees (Note 3) | 66,923 | 11,373 | 27,537 | 19,954 | 12,894 | |||||||||||||||
Registration and filing fees | 45,676 | 18,738 | 40,198 | 33,404 | 31,292 | |||||||||||||||
Printing fees | 31,087 | 17,024 | 28,414 | 17,323 | 29,141 | |||||||||||||||
Professional fees | 12,958 | 12,958 | 12,958 | 12,958 | 12,958 | |||||||||||||||
Trustees’ fees and expenses | 7,458 | 7,458 | 7,458 | 7,458 | 7,458 | |||||||||||||||
Other expenses | 96,772 | 6,459 | 34,913 | 41,958 | 12,223 | |||||||||||||||
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Total expenses | 10,611,884 | 401,429 | 4,142,007 | 3,817,016 | 733,743 | |||||||||||||||
Less: Expenses reimbursed by the Adviser (Note 3) | – | (246,076 | ) | (1,943,903 | ) | (4,616,460 | ) | (901,191 | ) | |||||||||||
Shareholder servicing fees waived – Investment Class (Note 3) | (326,904 | ) | (184,314 | ) | (804,670 | ) | (896,517 | ) | (73,413 | ) | ||||||||||
Distribution fees waived – Investment Class (Note 3) | (210,473 | ) | (73,725 | ) | (321,868 | ) | (358,607 | ) | (29,365 | ) | ||||||||||
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Net expenses | 10,074,507 | (102,686 | ) | 1,071,566 | (2,054,568 | ) | (270,226 | ) | ||||||||||||
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Net Investment Income (Loss) | 18,724,845 | – | 26,071 | – | – | |||||||||||||||
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Net realized gain (loss) allocated from Portfolio on investments | 2,497 | – | 352 | 20,304 | 706 | |||||||||||||||
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Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 18,727,342 | $ | – | $ | 26,423 | $ | 20,304 | $ | 706 | ||||||||||
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See accompanying notes to financial statements and financial statements of the Master Funds.
4
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
Liquid Reserves Fund | Tax Free Money Market Fund | |||||||||||||||
Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | |||||||||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 18,724,845 | $ | 28,786,736 | $ | – | $ | – | ||||||||
Net realized gain (loss) on investments | 2,497 | 198,661 | – | – | ||||||||||||
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Net increase in net assets from operations | 18,727,342 | 28,985,397 | – | – | ||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Premier Class | (17,590,968 | ) | (26,599,363 | ) | – | – | ||||||||||
Class M Shares | (1,139,955 | ) | (2,186,566 | ) | – | – | ||||||||||
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Net realized gain on investments | ||||||||||||||||
Premier Class | – | – | – | – | ||||||||||||
Investment Class | – | – | – | – | ||||||||||||
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Total distributions | (18,730,923 | ) | (28,785,929 | ) | – | – | ||||||||||
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Net Increase (Decrease) from Capital Share Transactions: | ||||||||||||||||
Premier Class | ||||||||||||||||
Shares sold | 167,944,098,470 | 353,923,706,878 | 461,945,203 | 865,899,893 | ||||||||||||
Reinvestment of distributions | 14,532,367 | 21,491,940 | – | – | ||||||||||||
Shares redeemed | (171,155,918,751 | ) | (345,862,628,800 | ) | (459,916,708 | ) | (899,893,422 | ) | ||||||||
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Net increase (decrease) from capital share transactions | (3,197,287,914 | ) | 8,082,570,018 | 2,028,495 | (33,993,529 | ) | ||||||||||
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Investment Class | ||||||||||||||||
Shares sold | 889,782,198 | 4,696,526,177 | 95,098,210 | 400,229,896 | ||||||||||||
Reinvestment of distributions | – | – | – | – | ||||||||||||
Shares redeemed | (1,270,625,232 | ) | (4,982,772,495 | ) | (151,845,011 | ) | (421,014,069 | ) | ||||||||
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Net increase (decrease) from capital share transactions | (380,843,034 | ) | (286,246,318 | ) | (56,746,801 | ) | (20,784,173 | ) | ||||||||
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Class M Shares | ||||||||||||||||
Shares sold | 8,808,690,121 | 17,170,761,953 | – | – | ||||||||||||
Reinvestment of distributions | 1,139,955 | 2,186,586 | – | – | ||||||||||||
Shares redeemed | (7,316,074,410 | ) | (18,371,959,020 | ) | – | – | ||||||||||
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Net increase (decrease) from capital share transactions | 1,493,755,666 | (1,199,010,481 | ) | – | – | |||||||||||
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Net Increase (Decrease) in Net Assets | (2,084,378,863 | ) | 6,597,512,687 | (54,718,306 | ) | (54,777,702 | ) | |||||||||
Net Assets | ||||||||||||||||
Beginning of period | 40,286,006,481 | 33,688,493,794 | 253,244,853 | 308,022,555 | ||||||||||||
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End of period | $ | 38,201,627,618 | $ | 40,286,006,481 | $ | 198,526,547 | $ | 253,244,853 | ||||||||
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Undistributed (Distributions in excess of) net investment income | $ | (5,271 | ) | $ | 807 | $ | – | $ | – | |||||||
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Changes in Shares: | ||||||||||||||||
Premier Class | ||||||||||||||||
Shares sold | 167,944,098,470 | 353,923,706,878 | 461,945,203 | 865,899,893 | ||||||||||||
Reinvestment of distributions | 14,532,367 | 21,491,940 | – | – | ||||||||||||
Shares redeemed | (171,155,918,751 | ) | (345,862,628,800 | ) | (459,916,708 | ) | (899,893,422 | ) | ||||||||
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Net increase (decrease) in shares | (3,197,287,914 | ) | 8,082,570,018 | 2,028,495 | (33,993,529 | ) | ||||||||||
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Investment Class | ||||||||||||||||
Shares sold | 889,782,198 | 4,696,526,177 | 95,098,210 | 400,229,896 | ||||||||||||
Reinvestment of distributions | – | – | – | – | ||||||||||||
Shares redeemed | (1,270,625,232 | ) | (4,982,772,495 | ) | (151,845,011 | ) | (421,014,069 | ) | ||||||||
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Net increase (decrease) in shares | (380,843,034 | ) | (286,246,318 | ) | (56,746,801 | ) | (20,784,173 | ) | ||||||||
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Class M Shares | ||||||||||||||||
Shares sold | 8,808,690,121 | 17,170,761,953 | – | – | ||||||||||||
Reinvestment of distributions | 1,139,955 | 2,186,586 | – | – | ||||||||||||
Shares redeemed | (7,316,074,410 | ) | (18,371,959,020 | ) | – | – | ||||||||||
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Net increase (decrease) in shares | 1,493,755,666 | (1,199,010,481 | ) | – | – | |||||||||||
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See accompanying notes to financial statements and financial statements of the Master Funds.
5
Table of Contents
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, 2015 (Unaudited) | Year Ended December 31, 2014 | Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | |||||||||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 26,071 | $ | (43 | ) | $ | – | $ | – | |||||||
Net realized gain (loss) on investments | 352 | 13,046 | 20,304 | 117,085 | ||||||||||||
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Net increase in net assets from operations | 26,423 | 13,003 | 20,304 | 117,085 | ||||||||||||
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Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Premier Class | – | – | – | – | ||||||||||||
Investment Class | – | – | – | – | ||||||||||||
Class G Shares | (26,071 | ) | (43 | ) | – | – | ||||||||||
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Net realized gain on investments | ||||||||||||||||
Premier Class | – | – | – | (115,556 | ) | |||||||||||
Investment Class | – | – | – | (10,904 | ) | |||||||||||
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Total distributions | (26,071 | ) | (43 | ) | – | (126,460 | ) | |||||||||
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Net Increase (Decrease) from Capital Share Transactions: | ||||||||||||||||
Premier Class | ||||||||||||||||
Shares sold | 20,133,779,312 | 35,021,325,932 | 18,049,341,942 | 31,975,975,514 | ||||||||||||
Reinvestment of distributions | – | – | – | 95,741 | ||||||||||||
Shares redeemed | (21,180,356,888 | ) | (31,247,787,167 | ) | (17,031,791,263 | ) | (35,586,824,951 | ) | ||||||||
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Net increase (decrease) from capital share transactions | (1,046,577,576 | ) | 3,773,538,765 | 1,017,550,679 | (3,610,753,696 | ) | ||||||||||
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Investment Class | ||||||||||||||||
Shares sold | 1,951,875,562 | 3,966,547,545 | 683,266,097 | 1,670,573,898 | ||||||||||||
Reinvestment of distributions | – | – | – | 19 | ||||||||||||
Shares redeemed | (1,926,470,208 | ) | (4,042,310,684 | ) | (794,896,121 | ) | (2,336,534,788 | ) | ||||||||
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Net increase (decrease) from capital share transactions | 25,405,354 | (75,763,139 | ) | (111,630,024 | ) | (665,960,871 | ) | |||||||||
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Class G Shares | ||||||||||||||||
1,411,374,710 | 1,626,172,411 | – | – | |||||||||||||
Reinvestment of distributions | 24,061 | 43 | – | – | ||||||||||||
Shares redeemed | (1,416,805,327 | ) | (753,838,442 | ) | – | – | ||||||||||
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Net increase (decrease) from capital share transactions | (5,406,556 | ) | 872,334,012 | – | – | |||||||||||
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Net Increase (Decrease) in Net Assets | (1,026,578,426 | ) | 4,570,122,598 | 905,940,959 | (4,276,723,942 | ) | ||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 12,450,841,745 | 7,880,719,147 | 9,080,065,638 | 13,356,789,580 | ||||||||||||
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End of period | $ | 11,424,263,319 | $ | 12,450,841,745 | $ | 9,986,006,597 | $ | 9,080,065,638 | ||||||||
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Undistributed (Distributions in excess of) net investment income | $ | – | $ | – | $ | – | $ | – | ||||||||
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Changes in Shares: | ||||||||||||||||
Premier Class | ||||||||||||||||
Shares sold | 20,133,779,312 | 35,021,325,932 | 18,049,341,942 | 31,975,975,514 | ||||||||||||
Reinvestment of distributions | – | – | – | 95,741 | ||||||||||||
Shares redeemed | (21,180,356,888 | ) | (31,247,787,167 | ) | (17,031,791,263 | ) | (35,586,824,951 | ) | ||||||||
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Net increase (decrease) in shares | (1,046,577,576 | ) | 3,773,538,765 | 1,017,550,679 | (3,610,753,696 | ) | ||||||||||
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Investment Class | ||||||||||||||||
Shares sold | 1,951,875,562 | 3,966,547,545 | 683,266,097 | 1,670,573,898 | ||||||||||||
Reinvestment of distributions | – | – | – | 19 | ||||||||||||
Shares redeemed | (1,926,470,208 | ) | (4,042,310,684 | ) | (794,896,121 | ) | (2,336,534,788 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 25,405,354 | (75,763,139 | ) | (111,630,024 | ) | (665,960,871 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Class G Shares | ||||||||||||||||
Shares sold | 1,411,374,710 | 1,626,172,411 | – | – | ||||||||||||
Reinvestment of distributions | 24,061 | 43 | – | – | ||||||||||||
Shares redeemed | (1,416,805,327 | ) | (753,838,442 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | (5,406,556 | ) | 872,334,012 | – | – | |||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements and financial statements of the Master Funds.
6
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
Treasury Plus Money Market Fund | ||||||||
Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014 | |||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | – | $ | 4 | ||||
Net realized gain (loss) on investments | 706 | – | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 706 | 4 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | – | – | ||||||
Investment Class | – | – | ||||||
|
|
|
| |||||
Net realized gain on investments | ||||||||
Institutional Class | – | – | ||||||
Investment Class | – | – | ||||||
|
|
|
| |||||
Total distributions | – | – | ||||||
|
|
|
| |||||
Net Increase (Decrease) from Capital Share Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 7,152,415,352 | 13,323,353,168 | ||||||
Reinvestment of distributions | – | – | ||||||
Shares redeemed | (7,924,287,556 | ) | (13,311,990,338 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (771,872,204 | ) | 11,362,830 | |||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 134,251,163 | 412,002,624 | ||||||
Reinvestment of distributions | – | – | ||||||
Shares redeemed | (163,163,431 | ) | (410,670,896 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (28,912,268 | ) | 1,331,728 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (800,783,766 | ) | 12,694,562 | |||||
Net Assets | ||||||||
Beginning of period | 2,765,739,830 | 2,753,045,268 | ||||||
|
|
|
| |||||
End of period | $ | 1,964,956,064 | $ | 2,765,739,830 | ||||
|
|
|
| |||||
Undistributed (Distributions in excess of) net investment income | $ | 38 | $ | 38 | ||||
|
|
|
| |||||
Changes in Shares: | ||||||||
Premier Class | ||||||||
Shares sold | 7,152,415,390 | 13,323,353,168 | ||||||
Reinvestment of distributions | – | – | ||||||
Shares redeemed | (7,924,287,556 | ) | (13,311,990,338 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares | (771,872,166 | ) | 11,362,830 | |||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 134,251,163 | 412,002,624 | ||||||
Reinvestment of distributions | – | – | ||||||
Shares redeemed | (163,163,431 | ) | (410,670,896 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares | (28,912,268 | ) | 1,331,728 | |||||
|
|
|
|
See accompanying notes to financial statements and financial statements of the Master Funds.
7
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share of beneficial interest outstanding throughout each year 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 | ||||||||||||||||||||||||||||
Premier Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | $ | 0.0002 | $ | 0.0003 | $ | 0.0005 | $ | (0.0005 | ) | $ | – | $ | (0.0005 | ) | ||||||||||||
2014 | $ | 1.0000 | $ | 0.0008 | $ | (0.0001 | ) | $ | 0.0007 | $ | (0.0007 | ) | $ | – | $ | (0.0007 | ) | |||||||||||
2013 | $ | 1.0000 | $ | 0.0010 | $ | 0.0000 | (d) | $ | 0.0010 | $ | (0.0010 | ) | $ | (0.0000 | )(d) | $ | (0.0010 | ) | ||||||||||
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 | ) | |||||||||||
Investment Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | 0.0000 | (d) | |||||||||
2014 | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2013 | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | (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 | )(d) | |||||||||
Class M | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | $ | 0.0005 | $ | 0.0001 | $ | 0.0006 | $ | (0.0006 | ) | $ | – | $ | (0.0006 | ) | ||||||||||||
2014 | $ | 1.0000 | $ | 0.0009 | $ | 0.0000 | (d) | $ | 0.0009 | $ | (0.0009 | ) | $ | – | $ | (0.0009 | ) | |||||||||||
2013 | $ | 1.0000 | $ | 0.0012 | $ | 0.0000 | (d) | $ | 0.0012 | $ | (0.0012 | ) | $ | (0.0000 | )(d) | $ | (0.0012 | ) | ||||||||||
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 | ||||||||||||||||||||||||||||
Premier Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | $ | 0.0000 | (d) | $ | – | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2014 | $ | 1.0000 | $ | 0.0000 | (d) | $ | – | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2013 | $ | 1.0000 | $ | 0.0000 | (d) | $ | – | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2012 | $ | 1.0000 | $ | 0.0000 | (d) | $ | – | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | )(d) | ||||||||||
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 | ) | |||||||||||
Investment Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | $ | 0.0000 | (d) | $ | – | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2014 | $ | 1.0000 | $ | 0.0000 | (d) | $ | – | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
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 | ) |
(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 net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at 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 operating expense and the net investment 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, 2015 (Unaudited). |
** | Annualized. |
See accompanying notes to financial statements and financial statements of the Master Funds.
8
Table of Contents
Period Ended December 31, | Net Asset Value End of Period | Ratios to Average Net Assets/Supplemental Data(a) | Net Assets End of Period (000s omitted) | |||||||||||||||||||||||||
Total Return(b) | Gross Expenses | Net Expenses | Net Investment Income | Expense Waiver(c) | ||||||||||||||||||||||||
Liquid Reserves Fund | ||||||||||||||||||||||||||||
Premier Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | 0.05 | % | 0.12 | %** | 0.12 | %** | 0.10 | %** | – | $ | 34,735,490 | |||||||||||||||
2014 | $ | 1.0000 | 0.07 | % | 0.12 | % | 0.12 | % | 0.07 | % | – | $ | 37,932,781 | |||||||||||||||
2013 | $ | 1.0000 | 0.10 | % | 0.12 | % | 0.12 | % | 0.10 | % | – | $ | 29,850,029 | |||||||||||||||
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 | ||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | 0.00 | % | 0.22 | %** | 0.10 | %** | 0.00 | %** | 0.12 | %** | $ | 346,067 | ||||||||||||||
2014 | $ | 1.0000 | 0.00 | % | 0.47 | % | 0.19 | % | 0.00 | % | 0.28 | % | $ | 726,910 | ||||||||||||||
2013 | $ | 1.0000 | 0.00 | %(e) | 0.47 | % | 0.22 | % | 0.00 | %(e) | 0.25 | % | $ | 1,013,152 | ||||||||||||||
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 | ||||||||||||||
Class M | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | 0.06 | % | 0.08 | %** | 0.08 | %** | 0.10 | %** | – | $ | 3,120,071 | |||||||||||||||
2014 | $ | 1.0000 | 0.09 | % | 0.10 | % | 0.10 | % | 0.09 | % | – | $ | 1,626,315 | |||||||||||||||
2013 | $ | 1.0000 | 0.12 | % | 0.10 | % | 0.10 | % | 0.12 | % | – | $ | 2,825,313 | |||||||||||||||
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 | ||||||||||||||||||||||||||||
Premier Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | 0.00 | % | 0.23 | %** | 0.03 | %** | 0.00 | %** | 0.20 | %** | $ | 87,194 | ||||||||||||||
2014 | $ | 1.0000 | 0.00 | %(e) | 0.21 | % | 0.04 | % | 0.00 | % | 0.17 | % | $ | 85,166 | ||||||||||||||
2013 | $ | 1.0000 | 0.00 | %(e) | 0.20 | % | 0.07 | % | 0.00 | % | 0.13 | % | $ | 119,159 | ||||||||||||||
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 | ||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | 0.00 | % | 0.58 | %** | 0.03 | %** | 0.00 | %** | 0.55 | %** | $ | 111,332 | ||||||||||||||
2014 | $ | 1.0000 | 0.00 | %(e) | 0.56 | % | 0.04 | % | 0.00 | % | 0.52 | % | $ | 168,079 | ||||||||||||||
2013 | $ | 1.0000 | 0.00 | %(e) | 0.55 | % | 0.07 | % | 0.00 | % | 0.48 | % | $ | 188,863 | ||||||||||||||
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 |
See accompanying notes to financial statements and financial statements of the Master Funds.
9
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share of beneficial interest outstanding throughout each year 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 | |||||||||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||||||||||
Premier Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | 0.0000 | (d) | ||||||||||
2014 | $ | 1.0000 | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | )(d) | $ | – | $ | – | $ | – | ||||||||||||
2013 | $ | 1.0000 | $ | 0.0001 | $ | – | $ | 0.0001 | $ | (0.0001 | ) | $ | – | $ | (0.0001 | ) | ||||||||||||
2012 | $ | 1.0000 | $ | 0.0003 | $ | 0.0000 | (d) | $ | 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 | (d) | $ | 0.0007 | $ | (0.0007 | ) | $ | – | $ | (0.0007 | ) | |||||||||||
Investment Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2014 | $ | 1.0000 | $ | (0.0000 | )(d) | $ | – | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2013 | $ | 1.0000 | $ | 0.0000 | (d) | $ | – | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2012 | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 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 | (d) | ||||||||||
Class G | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | )(d) | |||||||||
2014(g) | $ | 1.0000 | $ | 0.0000 | $ | 0.0000 | $ | 0.0000 | (d) | $ | (0.0000 | )(d) | $ | – | $ | (0.0000 | )(d) | |||||||||||
Treasury Money Market Fund | ||||||||||||||||||||||||||||
Premier Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | $ | 0.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2014 | $ | 1.0000 | $ | 0.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | ||||||||||
2013 | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | (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 | ) | |||||||||||
Investment Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | $ | 0.0000 | $ | 0.0000 | $ | 0.0000 | $ | – | $ | – | $ | – | ||||||||||||||
2014 | $ | 1.0000 | $ | (0.0010 | ) | $ | 0.0010 | $ | 0.0000 | $ | – | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | |||||||||||
2013 | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | (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 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 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 | (d) | |||||||||
Treasury Plus Money Market Fund | ||||||||||||||||||||||||||||
Premier Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | $ | – | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2014 | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2013 | $ | 1.0000 | $ | (0.0001 | ) | $ | 0.0001 | $ | 0.0000 | (d) | $ | (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 | ) | |||||||||||
Investment Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | $ | – | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | ||||||||||||
2014 | $ | 1.0000 | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | 0.0000 | (d) | $ | – | $ | – | $ | – | |||||||||||
2013 | $ | 1.0000 | $ | (0.0001 | ) | $ | 0.0001 | $ | 0.0000 | (d) | $ | – | $ | (0.0000 | )(d) | $ | 0.0000 | (d) | ||||||||||
2012 | $ | 1.0000 | $ | 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) | $ | – | $ | – | $ | – |
(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 net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at 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 operating expense and the net investment 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. |
(g) | The Fund’s Class G Shares commenced operations on October 5, 2014. |
* | For the six months ended June 30, 2015 (Unaudited). |
** | Annualized. |
See accompanying notes to financial statements and financial statements of the Master Funds.
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Period Ended December 31, | Net Asset Value End of Period | Ratios to Average Net Assets/Supplemental Data(a) | Net Assets End of Period (000s omitted) | |||||||||||||||||||||||||
Total Return(b) | Gross Expenses | Net Expenses | Net Investment Income | Expense Waiver(c) | ||||||||||||||||||||||||
U.S. Government Money Market Fund | ||||||||||||||||||||||||||||
Premier Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | 0.00 | % | 0.12 | %** | 0.08 | %** | 0.00 | %** | 0.04 | %** | $ | 9,916,223 | ||||||||||||||
2014 | $ | 1.0000 | 0.00 | %(e) | 0.12 | % | 0.07 | % | 0.00 | %(e) | 0.05 | % | $ | 10,962,800 | ||||||||||||||
2013 | $ | 1.0000 | 0.01 | % | 0.12 | % | 0.09 | % | 0.01 | % | 0.03 | % | $ | 7,189,250 | ||||||||||||||
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 | ||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | 0.00 | % | 0.47 | %** | 0.08 | %** | 0.00 | %** | 0.39 | %** | $ | 641,112 | ||||||||||||||
2014 | $ | 1.0000 | 0.00 | %(e) | 0.47 | % | 0.07 | % | 0.00 | %(e) | 0.40 | % | $ | 615,706 | ||||||||||||||
2013 | $ | 1.0000 | 0.00 | %(e) | 0.47 | % | 0.10 | % | 0.00 | % | 0.37 | % | $ | 691,469 | ||||||||||||||
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 | ||||||||||||||
Class G | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | 0.00 | % | 0.08 | %** | 0.08 | %** | 0.01 | %** | 0.00 | %** | $ | 866,928 | ||||||||||||||
2014 | $ | 1.0000 | 0.00 | %(e) | 0.09 | %** | 0.08 | %** | 0.00 | %** | 0.01 | %** | $ | 872,335 | ||||||||||||||
Treasury Money Market Fund | ||||||||||||||||||||||||||||
Premier Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | 0.00 | % | 0.12 | %** | 0.02 | %** | 0.00 | %** | 0.10 | %** | $ | 9,356,387 | ||||||||||||||
2014 | $ | 1.0000 | 0.00 | %(e) | 0.12 | % | 0.04 | % | 0.00 | %(e) | 0.08 | % | $ | 8,338,818 | ||||||||||||||
2013 | $ | 1.0000 | 0.00 | %(e) | 0.12 | % | 0.07 | % | 0.00 | %(e) | 0.05 | % | $ | 11,949,583 | ||||||||||||||
2012 | $ | 1.0000 | 0.00 | %(e) | 0.12 | % | 0.08 | % | 0.00 | %(e) | 0.04 | % | $ | 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 | ||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | 0.00 | % | 0.47 | %** | 0.02 | %** | 0.00 | %** | 0.45 | %** | $ | 629,619 | ||||||||||||||
2014 | $ | 1.0000 | 0.00 | % | 0.47 | % | 0.05 | % | 0.00 | % | 0.42 | % | $ | 741,248 | ||||||||||||||
2013 | $ | 1.0000 | 0.00 | %(e) | 0.47 | % | 0.07 | % | 0.00 | %(e) | 0.40 | % | $ | 1,407,207 | ||||||||||||||
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 | ||||||||||||||
Treasury Plus Money Market Fund | ||||||||||||||||||||||||||||
Premier Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | 0.00 | % | 0.13 | %** | 0.05 | %** | 0.00 | %(e) | 0.08 | %** | $ | 1,919,088 | ||||||||||||||
2014 | $ | 1.0000 | 0.00 | %(e) | 0.13 | % | 0.05 | % | 0.00 | %(e) | 0.08 | % | $ | 2,690,959 | ||||||||||||||
2013 | $ | 1.0000 | 0.00 | %(e) | 0.13 | % | 0.08 | % | 0.00 | %(e) | 0.05 | % | $ | 2,679,596 | ||||||||||||||
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 | ||||||||||||||
Investment Class | ||||||||||||||||||||||||||||
2015* | $ | 1.0000 | 0.00 | % | 0.48 | %** | 0.05 | %** | 0.00 | %(e) | 0.43 | %** | $ | 45,868 | ||||||||||||||
2014 | $ | 1.0000 | 0.00 | %(e) | 0.48 | % | 0.05 | % | 0.00 | % | 0.43 | % | $ | 74,781 | ||||||||||||||
2013 | $ | 1.0000 | 0.00 | %(e) | 0.48 | % | 0.08 | % | 0.00 | % | 0.40 | % | $ | 73,449 | ||||||||||||||
2012 | $ | 1.0000 | 0.00 | %(e) | 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 |
See accompanying notes to financial statements and financial statements of the Master Funds.
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State Street Institutional Investment Trust
Notes to Financial Statements
June 30, 2015 (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 thirty-two (32) series (the “Funds”) and corresponding classes, each 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. The financial statements herein relate to the following Funds:
Fund | Classes | Commencement of Operations: | ||
State Street Institutional Liquid Reserves Fund | Administration Class Class M Shares Premier Class Service Class Institutional Class Investment Class Investor Class | Not commenced December 15, 2011 August 12, 2004 Not commenced Not commenced October 15, 2007 Not commenced | ||
State Street Institutional Tax Free Money Market Fund | Administration Class Institutional Class Investment Class Investor Class Premier Class Service Class | Not commenced Not commenced October 12, 2007 Not commenced February 7, 2007 Not commenced | ||
State Street Institutional U.S. Government Money Market Fund | Administration Class Class G Institutional Class Investment Class Investor Class Premier Class Service Class | Not commenced October 5, 2014 Not commenced October 17, 2007 Not commenced October 25, 2007 Not commenced | ||
State Street Institutional Treasury Money Market Fund | Administration Class Institutional Class Investment Class Investor Class Premier Class Service Class | Not commenced Not commenced October 25, 2007 Not commenced October 25, 2007 Not commenced | ||
State Street Institutional Treasury Plus Money Market Fund | Service Class Investment Class Premier Class Institutional Class Investor Class Administration Class | Not commenced October 24, 2007 October 24, 2007 Not commenced Not commenced Not commenced |
Certain Funds are part of a master-feeder investment structure and invest all of their investable assets in interests of their respective master portfolio (each a “Portfolio,” collectively “Portfolios”) as reflected in
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
the table below. 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 Schedule of Investments, are attached to this report and should be read in conjunction with the Funds’ financial statements.
Feeder Fund | % Investment in Master | Master Fund | ||
State Street Institutional Liquid Reserves Fund | 98.82% | 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 | 93.91% | State Street U.S. Government Money Market Portfolio* | ||
State Street Institutional Treasury Money Market Fund | 93.61% | State Street Treasury Money Market Portfolio* | ||
State Street Institutional Treasury Plus Money Market Fund | 100.00% | State Street Treasury Plus Money Market Portfolio* |
* | A series of the State Street Master Funds |
The 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 are each considered to be money market funds pursuant to Rule 2a-7 under the Investment Company Act of 1940, as amended (the “1940 Act”) (the “Money Market Funds”). It is the policy of the Money Market Funds to maintain a stable net asset value per share of $1.00. However, there is no assurance the Money Market Funds will be able to maintain a stable net asset value per share.
An investment in the Money Market Funds is not insured or guaranteed by the Federal Deposit Insurance Corporation or any other government agency. Although the Money Market Funds seek to preserve the value of shareholders’ investment at $1.00 per share, it is possible to lose money by investing in the Money Market Funds.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred.
Recent Regulatory Action
On July 23, 2014, the U.S. Securities and Exchange Commission (“SEC”) adopted amendments to the governing rules for money market funds. The amendments require that, following a two-year implementation timeframe, institutional prime and institutional tax exempt money market funds adopt a floating net asset value. The rule changes also allow for certain liquidity-based redemption fees and
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
gate, and include enhanced requirements for disclosure and stress testing. The degree to which a money market fund will be impacted by the rule amendments will depend upon the type of fund and type of investors (retail or institutional). At this time, management is evaluating the implications of these amendments and their impact to the Funds’ financial statements and accompanying notes.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles generally accepted in the United States of America (“U.S. GAAP”) which requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Funds are investment companies under U.S. GAAP and follow the accounting and reporting guidance applicable to investment companies in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services Investment Companies (“ASC 946”).
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.
Each Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Portfolio’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Portfolio are valued pursuant to policies and procedures developed by the Committee and approved by the Board of Trustees of the Trust (the “Board”). The Oversight Committee (the “Committee”) provides oversight of the valuation of investments for the Funds. The summary of the inputs used for each Portfolio, as of June 30, 2015, 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.
Investment transactions and income recognition – Investment transactions are accounted for on trade date for financial reporting purposes. 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. Dividends from net investment income are declared daily and are payable as of the last business day of each month. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its respective Portfolio’s realized gains and losses. 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.
Expenses – Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
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.
At June 30, 2015, 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 the open tax years as of December 31, 2014 and have determined that no provision for income tax is required in the Funds’ Financial Statements. The Funds’ federal tax returns for the prior three fiscal years remain subject to examination by the Funds’ major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts. The Funds recognize interest and penalties, if any, related to tax liabilities as income tax expense in the Statements of Operations.
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 its respective 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”), State Street Institutional U.S. Government Money Market Fund and State Street Institutional Treasury Plus Fund (exclusive of interest, taxes and extraordinary expenses) do not exceed a rate of 0.12% of net assets attributable to the Fund’s Premier Class Shares and 0.47% of net assets attributable to the Fund’s Investment Class Shares through April 30, 2016. For the six months ended June 30, 2015, SSGA FM did not reimburse or waive any amounts under this agreement.
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, 2015, SSGA FM voluntarily waived the following:
Fund | Amount Waived | |||
State Street Institutional Liquid Reserves Fund | $ | – | ||
State Street Institutional Tax Free Money Market Fund | 246,076 | |||
State Street Institutional U.S. Government Money Market Fund | 1,943,903 | |||
State Street Institutional Treasury Money Market Fund | 4,616,460 | |||
State Street Institutional Treasury Plus Money Market Fund | 901,191 |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
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, 2015, 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 | $ | – | $ | 418,224 | $ | 1,976,248 | $ | 6,058,938 | $ | 1,004,830 | ||||||||||
12/31/2017 | $ | – | $ | 490,278 | $ | 4,726,293 | $ | 7,917,168 | $ | 1,802,611 | ||||||||||
12/31/2018 | $ | – | $ | 246,076 | $ | 1,943,903 | $ | 4,616,460 | $ | 901,152 |
Pursuant to the administration agreement, each Fund, except ILR Class M Shares and U.S. Government Money Market Fund Class G Shares, pays a fee at an annual rate of 0.05% of the respective Fund’s net assets accrued daily to SSGA FM. ILR Class M Shares and U.S. Government Money Market Fund Class G Shares pay at an annual rate of 0.03% and 0.01% of its net assets accrued daily to SSGA FM. During the six months ended June 30, 2015, ILR and U.S. Government Money Market Fund incurred the following administration fees:
Fund | Liquid Reserves Fund | U.S. Government Money Market Fund | ||||||
Premier Class | $ | 9,208,496 | $ | 2,651,535 | ||||
Investment Class | $ | 105,236 | $ | 160,934 | ||||
Class M | $ | 294,376 | $ | – | ||||
Class G | $ | – | $ | 45,274 |
The Funds pay State Street an annual fee of $12,600 for custody and accounting services. Pursuant to the sub-administration agreement, SSGA FM pays an annual fee 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.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
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, 2015, the Funds did not make any payments to SSGM under the Rule 12b-1 Plan.
During the six months ended June 30, 2015, SSGM voluntarily agreed to waive Rule 12b-1 fees in the following amounts:
Fund | Amount Waived | |||
State Street Institutional Liquid Reserves Fund | $ | 210,473 | ||
State Street Institutional Tax Free Money Market Fund | 73,725 | |||
State Street Institutional U.S. Government Money Market Fund | 321,868 | |||
State Street Institutional Treasury Money Market Fund | 358,607 | |||
State Street Institutional Treasury Plus Money Market Fund | 29,365 |
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, 2015, SSGM did not make any payments to WMS.
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 ended June 30, 2015, 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 | $ | 199,277 | ||
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 | – |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
During the six months ended June 30, 2015, SSGM voluntarily agreed to waive shareholder services fees in the following amounts:
Fund | Amount Waived | |||
State Street Institutional Liquid Reserves Fund | $ | 326,904 | ||
State Street Institutional Tax Free Money Market Fund | 184,314 | |||
State Street Institutional U.S. Government Money Market Fund | 804,670 | |||
State Street Institutional Treasury Money Market Fund | 896,517 | |||
State Street Institutional Treasury Plus Money Market Fund | 73,413 |
WMS is among the financial intermediaries who may receive fees under the shareholder serving agreement. For the six months ended June 30, 2015, WMS received the following payments:
Fund | Amount | |||
State Street Institutional Liquid Reserves Fund | $ | 266,319 | ||
State Street Institutional Tax Free Money Market Fund | – | |||
State Street Institutional U.S. Government Money Market Fund | 158,464 | |||
State Street Institutional Treasury Money Market Fund | 14,950 | |||
State Street Institutional Treasury Plus Money Market Fund | 1,482 |
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.
4. | Trustees’ Fees |
Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Trust does not receive compensation from the Trust for his or her service as a Trustee.
Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Co-Chairmen receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. The Trust pays a fixed allocation of $15,000 per Fund. Each Fund is also impacted by Trustees’ Fees accrued by its respective Portfolio. As of the date of this Statement, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.
The Trust’s officers are compensated by the Adviser and its affiliates.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
5. | Recent Accounting Pronouncement |
In June 2014, the Financial Accounting Standards Board issued Accounting Standards Update 2014-11, Transfers and Servicing (Topic 860) – Repurchase-to-Maturity Transactions, Repurchase Financings, and Disclosures (“ASU 2014-11”). ASU 2014-11 changes the accounting for repurchase-to-maturity transactions and enhances the required disclosures for repurchase agreements, reverse repurchase agreements and other similar transactions accounted for as secured borrowings, including securities lending. Management is evaluating the impact, if any, of this standard on the Funds’ financial statement disclosures, which would first be effective for interim reporting periods beginning after March 15, 2015 and annual reporting periods beginning after December 15, 2014.
6. | Subsequent Events |
Subsequent events occurring after the date of this report have been evaluated for potential impact to this report through the date the financial statements were issued. There were no subsequent events that necessitated recognition or disclosure on the Funds’ financial statements.
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State Street Institutional Investment Trust
Other Information
June 30, 2015 (Unaudited)
EXPENSE EXAMPLE
As a shareholder of a fund, you incur ongoing costs, which include costs for administrative services and to the extent applicable, distribution (12b-1) fees, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It 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, 2015 to June 30, 2015.
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, 2015
Premier Class Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Actual Fund Return | ||||||||||||
State Street Institutional Liquid Reserves Fund | $ | 1,000.00 | $ | 1,000.50 | $ | 0.60 | ||||||
State Street Institutional Tax Free Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.15 | ||||||
State Street Institutional U.S. Government Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.40 | ||||||
State Street Institutional Treasury Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.10 | ||||||
State Street Institutional Treasury Plus Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.25 |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
Premier Class Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | 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 | $ | 1,024.65 | $ | 0.15 | ||||||
State Street Institutional U.S. Government Money Market Fund | $ | 1,000.00 | $ | 1,024.40 | $ | 0.40 | ||||||
State Street Institutional Treasury Money Market Fund | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 | ||||||
State Street Institutional Treasury Plus Money Market Fund | $ | 1,000.00 | $ | 1,024.55 | $ | 0.25 |
* | The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Premier Class Shares’ annualized average weighted expense ratio as of June 30, 2015, which includes each Fund’s proportionate share of the expenses of its respective Portfolio, was as follows: |
Liquid Reserves Fund | 0.12% | |||
Tax Free Money Market Fund | 0.03% | |||
U.S. Government Money Market Fund | 0.08% | |||
Treasury Money Market Fund | 0.02% | |||
Treasury Plus Money Market Fund | 0.05% |
The dollar amount show 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). |
Six Months Ended June 30, 2015
Investment Class Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Actual Fund Return | ||||||||||||
Liquid Reserves Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.50 | ||||||
Tax Free Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.15 | ||||||
U.S. Government Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.40 | ||||||
Treasury Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.10 | ||||||
Treasury Plus Money Market Fund | $ | 1,000.00 | $ | 1,000.00 | $ | 0.25 |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
Investment Class Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
Liquid Reserves Fund | $ | 1,000.00 | $ | 1,024.30 | $ | 0.50 | ||||||
Tax Free Money Market Fund | $ | 1,000.00 | $ | 1,024.65 | $ | 0.15 | ||||||
U.S. Government Money Market Fund | $ | 1,000.00 | $ | 1,024.40 | $ | 0.40 | ||||||
Treasury Money Market Fund | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 | ||||||
Treasury Plus Money Market Fund | $ | 1,000.00 | $ | 1,024.55 | $ | 0.25 |
* | The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Investment Class Shares’ annualized average weighted expense ratio as of June 30, 2015, which includes each Fund’s proportionate share of the expenses of its respective Portfolio, was as follows: |
Liquid Reserves Fund | 0.10% | |||
Tax Free Money Market Fund | 0.03% | |||
U.S. Government Money Market Fund | 0.08% | |||
Treasury Money Market Fund | 0.02% | |||
Treasury Plus Money Market Fund | 0.05% |
The dollar amount show as “Expenses Paid” are equal to the annualized average weighted expense ratio multiplied by the average account value over the period, multiplied by 181/165 (the most recent six month period). |
Six Months Ended June 30, 2015
State Street Institutional Liquid Reserves Fund Class M Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Actual Fund Return | $ | 1,000.00 | $ | 1,000.60 | $ | 0.40 | ||||||
Based on Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.40 | $ | 0.40 |
* | 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, 2015 was 0.08%. 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). |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
Six Months Ended June 30, 2015
State Street Institutional U.S. Government Class G Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Actual Fund Return | $ | 1,000.00 | $ | 1,000.00 | $ | 0.40 | ||||||
Based on Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.40 | $ | 0.40 |
* | 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, 2015 was 0.08%. 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). |
Proxy Voting Policies and Procedures and Record
Information regarding the Trust’s proxy voting policies and procedures, as well as information regarding how the Trust voted proxies, if any, during the most recent 12-month period ended June 30 is available without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Trust’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).
Advisory Agreement Renewal
TRUSTEE CONSIDERATIONS IN APPROVING CONTINUATION OF
INVESTMENT ADVISORY AGREEMENTS1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees, including by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
1 | Over the course of more than 15 years, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustee before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
Advisory Agreement Renewal — (continued)
Consistent with these requirements, the Independent Trustees on the Board of Trustees (the “Board”) of the State Street Master Funds and State Street Institutional Investment Trust (each a “Trust” and together, the “Trusts”), met in Executive Sessions on April 12-13, 2015 and May 18-19, 2015 to consider a proposal to approve, with respect to each portfolio series of the each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully.2 The Independent Trustees were separately represented by co-counsel that is independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 12-13, 2015 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 18-19, 2015 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2014, as applicable, to the performance of an appropriate benchmark for the Fund and a universe of other mutual funds with similar investment objectives and policies; |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider; |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five years, as applicable; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
2 | Certain Funds had either recently commenced operations or had yet to commence operations, and as such, the Advisory Agreement was not up for renewal with respect to such Funds. |
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State Street Institutional Investment Trust
Other Information �� (continued)
June 30, 2015 (Unaudited)
Advisory Agreement Renewal — (continued)
• | Information concerning the allocation of brokerage and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of any research through “soft dollar” benefits received in connection with the Funds’ brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds and the assistance provided to the administrator of the Funds by the Adviser in monitoring the effectiveness of such procedures and processes. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds; |
• | A copy of each Code of Ethics adopted by the Adviser, together with information relating to compliance with and the administration of such Codes; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; and |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
Other Relevant Information
• | Information concerning the nature, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, administrator, fund accountant, transfer agent and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreements and agreements with other service providers of the Funds; |
• | Draft responses to letter dated March 11, 2015 from Joseph P. Barri, LLC (co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees reviewed prior to such date by Independent Counsel, requesting specific information, from each of: |
• | The Adviser, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the Funds’ last fiscal year; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the Funds’ last fiscal year; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, administrator, custodian, transfer agent, securities lending agent, and/or shareholder services, as applicable, for the Funds, with respect to its operations relating to the Funds; and |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
Advisory Agreement Renewal — (continued)
• | State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under SEC Rule 12b-1; |
• | Information from the Adviser, State Street and the Distributor with respect to State Street Master Funds and State Street Institutional Investment Trust providing any material changes to the previous information supplied in response to the letter dated March 11, 2015 from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 18-19, 2015. |
• | Excerpts from the Funds’ most recent prospectuses, statements of additional information and respective annual reports for the fiscal year ended August 31, 2014 or December 31, 2014, as applicable. including (i) the latest prospectus descriptions of each Fund’s investment objectives, strategies and authorized investment techniques and investments; and (ii) the latest Annual Shareholder Report for each Fund, including Portfolio Management Discussion of Performance, as prepared by its portfolio management team, together with a graphic comparison of the performance of each Fund with its benchmark index, for its fiscal year ended August 31, 2014 or December 31, 2014, as applicable; |
• | Lipper materials dated March 2015, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds for which such materials were then available; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to each Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 18-19, 2015 the Board, including a majority of the Independent Trustees, voted to approve the adoption of, as applicable, and the continuation of the Advisory Agreements effective June 1, 2015, for an additional year with respect to all Funds.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
Advisory Agreement Renewal — (continued)
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various Funds that invest primarily in equity securities. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of credit, interest-rate and currency risks. With respect to those Funds that operate as money market mutual funds, the Board also considered the Adviser’s success in maintaining the constant dollar value of each Fund through extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board reviewed the compliance programs of the Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide, high quality investment management and related services for the Funds.
Fund Performance
The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2014 by evaluating the performance of the Fund’s feeder fund. With respect to the money market Funds, the Board noted the relatively narrow range of returns in each Fund’s Performance Group and Performance Universe. The Board also observed that several basis points of performance, whether from yield on portfolio investments or fees waived by service providers, accounted for substantial differences in performance relative to other funds in such Group and Universe during periods when preservation of capital and net asset value were generally considered by stockholders to have been more important than several basis points of yield. Among other information, the Board considered the following performance information in its evaluation of your Fund(s):
State Street Institutional Tax Free Money Market Fund. The Board considered that: (a) the Fund underperformed the median of its Performance Group and its Lipper Index for the 1-, 3- and 5- year periods; and (b) the Fund underperformed the median of its Performance Universe for the 1- and 3-year periods and equaled the median of its Performance Universe for the 5- year period. The Board took into account management’s discussion of the Fund’s performance.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
Advisory Agreement Renewal — (continued)
State Street Institutional Treasury Plus Money Market Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-year period and equaled the medians of its Performance Group and Performance Universe and its Lipper Index for the 3- and 5-year periods. The Board took into account management’s discussion of the Fund’s performance.
State Street Institutional Treasury Money Market Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-, 3- and 5-year periods. The Board took into account management’s discussion of the Fund’s performance.
State Street Institutional U.S. Government Money Market Fund. The Board considered that: (a) the Fund underperformed the median of its Performance Group and its Lipper Index for the 1-year period and equaled the median of its Performance Group and its Lipper Index for the 3- and 5-year periods; and (b) the Fund underperformed the median of its Performance Universe for the 1-year period, equaled the median of its Performance Universe for the 3-year period and outperformed the median of its Performance Universe for the 5-year period. The Board took into account management’s discussion of the Fund’s performance.
State Street Institutional Liquid Reserves Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-, 3-, 5- and 10-year periods.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each operational Fund is satisfactory or better (a) by comparison to the performance of its peer group funds or (b) after considering steps taken by management to improve the performance of certain Funds.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio (both before and after giving effect to any expense caps), as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of various Funds to limit the total expenses borne by shareholders of such Funds. Among other information, the Board considered the following expense information in its evaluation of your Fund(s):
State Street Institutional Tax Free Money Market Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Institutional Treasury Plus Money Market Fund. The Board considered that the Fund’s actual management fee was above the median of its Expense Group and below the median of its
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
Advisory Agreement Renewal — (continued)
Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe. The Board took into account management’s discussions of the Fund’s expenses.
State Street Institutional Treasury Money Market Fund. The Board considered that the Fund’s actual management fee was equal to the median of its Expense Group and below the median of its Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Institutional U.S. Government Money Market Fund. The Board considered that the Fund’s actual management fee was above the median of its Expense Group and below the median of its Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe. The Board took into account management’s discussion of the Fund’s expenses.
State Street Institutional Liquid Reserves Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of similar mutual funds and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by the Adviser and the Affiliated Service Providers in connection with their relationships with the Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Funds and other investment advisory clients, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds.
The Board concluded that the profitability of the Adviser with respect to each of the Funds and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and all Funds as a group, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific Fund or the Funds taken as a whole. The Board concluded that, in light of the current size of each Fund and all Funds as a group, the level of
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
Advisory Agreement Renewal — (continued)
profitability of the Adviser and its affiliates with respect to each Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.
Conclusions
In reaching its decision to approve the Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that the Adviser possesses the capability and resources to perform the duties required of it under the respective Advisory Agreement.
Further, based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of each Fund and its respective shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
William L. Boyan
Gregory A. Ehret
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
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 Public Registered 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
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSGA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSGA Funds Management, Inc. for investment advisory services.
Before investing, consider the funds investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1-800-997-7327 or visit www.SSGAfunds.com. Read it carefully.
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 |
Table of Contents
Semi-Annual Report
30 June 2015
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
State Street Equity 500 Index II Portfolio
Table of Contents
State Street Institutional Investment Trust
Semi-Annual Report
June 30, 2015
State Street Equity 500 Index Fund | ||||
1 | ||||
3 | ||||
4 | ||||
6 | ||||
State Street Equity 500 Index II Portfolio | ||||
12 | ||||
13 | ||||
18 | ||||
19 | ||||
20 | ||||
21 | ||||
22 | ||||
30 | ||||
Shareholder Request for Additional Information | ||||
Proxy Voting Policies and Procedures and Record | 31 | |||
Quarterly Portfolio Schedule | 31 |
Table of Contents
State Street Equity 500 Index Fund
Statement of Assets and Liabilities
June 30, 2015 (Unaudited)
Assets | ||||
Investment in State Street Equity 500 Index Portfolio (39,887,626 shares), at market value (identified cost $399,593,115) | $ | 425,999,843 | ||
Receivable for Fund shares sold | 1,047,496 | |||
Receivable from Adviser (Note 4) | 100,976 | |||
Prepaid expenses and other assets | 56,685 | |||
|
| |||
Total assets | 427,205,000 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 962,051 | |||
Payable for Fund shares repurchased | 1,680 | |||
Due to custodian | 83,531 | |||
Administration fees payable (Note 4) | 156,346 | |||
Custody fees payable (Note 4) | 11,149 | |||
Distribution fees payable (Note 4) | 84,378 | |||
Insurance expense payable | 16,908 | |||
Registration and filing fees payable | 71,363 | |||
Trustees’ fees payable | 3,750 | |||
Transfer agent fees payable | 17,508 | |||
Professional fees payable | 13,930 | |||
Shareholder servicing fee payable (Note 4) | 167 | |||
|
| |||
Total liabilities | 1,422,761 | |||
|
| |||
Net Assets | $ | 425,782,239 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 404,961,553 | ||
Distribution in excess of net investment income | (605,095 | ) | ||
Accumulated net realized loss | (4,980,947 | ) | ||
Net unrealized appreciation on investments and futures | 26,406,728 | |||
|
| |||
Net Assets | $ | 425,782,239 | ||
|
|
See Notes to Financial Statements.
1
Table of Contents
State Street Equity 500 Index Fund
Statement of Assets and Liabilities — (continued)
June 30, 2015 (Unaudited)
Net Assets | ||||
Administrative Shares | $ | 251,152,795 | ||
|
| |||
Service Shares | $ | 131,291,897 | ||
|
| |||
Class R | $ | 42,891,655 | ||
|
| |||
Class A | $ | 60,818 | ||
|
| |||
Class K | $ | 51,347 | ||
|
| |||
Class I | $ | 333,727 | ||
|
| |||
Shares of Beneficial Interest Outstanding | ||||
Administrative Shares | 14,384,461 | |||
|
| |||
Service Shares | 7,531,111 | |||
|
| |||
Class R | 2,463,668 | |||
|
| |||
Class A | 3,488 | |||
|
| |||
Class K | 2,941 | |||
|
| |||
Class I | 19,100 | |||
|
| |||
Offering, Net Asset Value, and Redemption Price Per Share | ||||
Administrative Shares | $ | 17.46 | ||
|
| |||
Service Shares | $ | 17.43 | ||
|
| |||
Class R | $ | 17.41 | ||
|
| |||
Class K | $ | 17.46 | ||
|
| |||
Class I | $ | 17.47 | ||
|
| |||
Net Asset Value and Redemption Price Per Share | ||||
Class A | $ | 17.44 | ||
|
| |||
Maximum Sales Charge | ||||
Class A | 5.25 | % | ||
|
| |||
Maximum Offering Price Per Share | ||||
Class A | $ | 18.41 | ||
|
|
See Notes to Financial Statements.
2
Table of Contents
State Street Equity 500 Index Fund
Six Months Ended June 30, 2015 (Unaudited)
Income | ||||
Dividend income from corresponding Portfolio (Note 2) | $ | – | ||
Expenses | ||||
Management fees (Note 4) | 42,371 | |||
Administration fees (Note 4) | 105,928 | |||
Custody and accounting fees (Note 4) | 6,248 | |||
Distribution fees (Note 4) | ||||
Administrative Shares | 188,143 | |||
Service Shares | 162,636 | |||
Class R Shares | 127,553 | |||
Class A Shares | 73 | |||
Registration and filing fees | 42,273 | |||
Professional fees | 11,836 | |||
Transfer agent fees (Note 4) | 27,273 | |||
Printing fees | 49,355 | |||
Insurance fees | 5,606 | |||
Miscellaneous fees | 7,612 | |||
|
| |||
Total expenses | 776,907 | |||
Less: Expenses reimbursed by the Adviser (Note 4) | (171,812 | ) | ||
|
| |||
Net expenses | 605,095 | |||
|
| |||
Net Investment Loss | $ | (605,095 | ) | |
|
| |||
Realized and Unrealized Gain | ||||
Net realized gain | 14,610 | |||
Change in net unrealized appreciation (depreciation) on investments in corresponding Portfolio | ||||
Investments in corresponding Portfolio | 5,208,078 | |||
|
| |||
Net realized and unrealized gain | 5,222,688 | |||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 4,617,593 | ||
|
|
See Notes to Financial Statements.
3
Table of Contents
State Street Equity 500 Index Fund
Statements of Changes in Net Assets
Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014* | |||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||
Operations: | ||||||||
Net investment income (loss) | $ | (605,095 | ) | $ | 6,663,914 | |||
Net realized gain (loss) on investments and futures | 14,610 | 4,872,412 | ||||||
Change in net unrealized appreciation on investments and futures | 5,208,078 | 36,952,352 | ||||||
|
|
|
| |||||
Net increase in net assets from operations | 4,617,593 | 48,488,678 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Administrative Shares | – | (4,368,794 | ) | |||||
Service Shares | – | (2,087,460 | ) | |||||
Class R Shares | – | (543,044 | ) | |||||
Class A | – | (853 | ) | |||||
Class K | – | (920 | ) | |||||
Class I | – | (890 | ) | |||||
|
|
|
| |||||
Total distributions | – | (7,001,961 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) from Fund Share Transactions: | ||||||||
Administrative Shares | ||||||||
Shares sold | 11,331,517 | 24,425,275 | ||||||
Reinvestment of distributions | – | 4,368,794 | ||||||
Shares redeemed | (11,189,757 | ) | (36,318,004 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from Fund share transactions | 141,760 | (7,523,935 | ) | |||||
|
|
|
| |||||
Service Shares | ||||||||
Shares sold | 8,617,033 | 21,364,651 | ||||||
Reinvestment of distributions | – | 2,087,460 | ||||||
Shares redeemed | (5,134,329 | ) | (34,078,747 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from Fund share transactions | 3,482,704 | (10,626,636 | ) | |||||
|
|
|
| |||||
Class R | ||||||||
Shares sold | 4,835,288 | 8,619,272 | ||||||
Reinvestment of distributions | – | 543,044 | ||||||
Shares redeemed | (3,481,669 | ) | (4,524,963 | ) | ||||
|
|
|
| |||||
Net increase from Fund share transactions | 1,353,619 | 4,637,353 | ||||||
|
|
|
| |||||
Class A Shares | ||||||||
Shares sold | 9,470 | 50,000 | ||||||
|
|
|
| |||||
Class K Shares | ||||||||
Shares sold | – | 50,000 | ||||||
|
|
|
| |||||
Class I Shares | ||||||||
Shares sold | 284,008 | 50,000 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from share transactions | 5,271,561 | (13,363,218 | ) | |||||
Net Increase in Net Assets | 9,889,154 | 28,123,499 | ||||||
Net Assets | ||||||||
Beginning of period | 415,893,085 | 387,769,586 | ||||||
|
|
|
| |||||
End of period | $ | 425,782,239 | $ | 415,893,085 | ||||
|
|
|
| |||||
Net investment loss | $ | (605,095 | ) | $ | – | |||
|
|
|
|
See Notes to Financial Statements.
4
Table of Contents
State Street Equity 500 Index Fund
Statements of Changes in Net Assets — (continued)
Six Months Ended June 30, 2015 (Unaudited) | Year Ended December 31, 2014* | |||||||
Changes in Shares: | ||||||||
Administrative Shares | ||||||||
Shares sold | 648,525 | 1,493,957 | ||||||
Reinvestment of distributions | – | 250,217 | ||||||
Shares redeemed | (636,438 | ) | (2,229,714 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares | 12,087 | (485,540 | ) | |||||
|
|
|
| |||||
Service Shares | ||||||||
Shares sold | 495,295 | 1,305,903 | ||||||
Reinvestment of distributions | – | 119,694 | ||||||
Shares redeemed | (292,385 | ) | (2,161,357 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in shares | 202,910 | (735,760 | ) | |||||
|
|
|
| |||||
Class R Shares | ||||||||
Shares sold | 278,510 | 529,045 | ||||||
Reinvestment of distributions | – | 31,120 | ||||||
Shares redeemed | (199,361 | ) | (276,992 | ) | ||||
|
|
|
| |||||
Net increase in shares | 79,149 | 283,173 | ||||||
|
|
|
| |||||
Class A | ||||||||
Net increase in shares | 547 | 2,941 | ||||||
|
|
|
| |||||
Class K | ||||||||
Net increase in shares | – | 2,941 | ||||||
|
|
|
| |||||
Class I | ||||||||
Shares sold | 16,159 | 2,941 | ||||||
|
|
|
|
* | Effective August 11, 2014, the Fund invests substantially all of its investable assets in State Street Equity 500 Index II Portfolio (Note 1). |
See Notes to Financial Statements.
5
Table of Contents
State Street Equity 500 Index Fund
Selected data for an Administrative Share of beneficial interest outstanding throughout each period is presented below:
Six Months Ended 6/30/15 (Unaudited) | Year Ended 12/31/14(a) | Year Ended 12/31/13(a) | Year Ended 12/31/12(a) | Year Ended 12/31/11(a) | Year Ended 12/31/10(a) | |||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.27 | $ | 15.50 | $ | 11.94 | $ | 10.51 | $ | 10.52 | $ | 9.31 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)(b) | (0.02 | ) | 0.29 | 0.26 | 0.24 | 0.20 | 0.17 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.21 | 1.79 | 3.56 | 1.42 | (0.01 | ) | 1.21 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.19 | 2.08 | 3.82 | 1.66 | 0.19 | 1.38 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.31 | ) | (0.26 | ) | (0.23 | ) | (0.20 | ) | (0.17 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 0.19 | 1.77 | 3.56 | 1.43 | (0.01 | ) | 1.21 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 17.46 | $ | 17.27 | $ | 15.50 | $ | 11.94 | $ | 10.51 | $ | 10.52 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | 1.10 | % | 13.41 | % | 31.97 | % | 15.84 | % | 1.79 | % | 14.81 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 251,153 | $ | 248,180 | $ | 230,330 | $ | 185,918 | $ | 161,813 | $ | 165,883 | ||||||||||||
Ratios to average net assets:(a) | ||||||||||||||||||||||||
Gross expenses | 0.291 | %(h) | 0.300 | %(d) | 0.245 | % | 0.245 | % | 0.245 | % | 0.245 | % | ||||||||||||
Net expenses | 0.210 | %(h) | 0.231 | %(d) | 0.245 | % | 0.245 | % | 0.245 | % | 0.245 | % | ||||||||||||
Net investment income (loss) | (0.210 | )%(h) | 1.78 | % | 1.84 | % | 2.06 | % | 1.83 | % | 1.79 | % | ||||||||||||
Portfolio turnover rate | 1 | %(i)(g) | 4 | %(e) | 4 | %(f) | 9 | %(f) | 15 | %(f) | 12 | %(f) |
(a) | Prior to August 11, 2014, the per shares amounts and percentages include the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at 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. |
(d) | Ratio includes expenses allocated from the State Street Equity 500 Index Portfolio from 1/1/2014 through 8/10/2014, and does not include the expenses of the State Street Equity Index II Portfolio from 8/11/2014 through 12/31/2014. |
(e) | Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014). |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Annualized. |
(i) | Not annualized. |
See Notes to Financial Statements.
6
Table of Contents
State Street Equity 500 Index Fund
Financial Highlights
Selected data for a Service Share of beneficial interest outstanding throughout each period is presented below:
Six Months Ended 6/30/15 (Unaudited) | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | Year Ended 12/31/10 | |||||||||||||||||||
Per Share Operating Performance:(a) | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.25 | $ | 15.49 | $ | 11.92 | $ | 10.50 | $ | 10.51 | $ | 9.30 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)(b) | (0.03 | ) | 0.28 | 0.24 | 0.23 | 0.19 | 0.16 | |||||||||||||||||
Net realized and unrealized gain (loss) on investments | 0.21 | 1.77 | 3.57 | 1.41 | (0.01 | ) | 1.21 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.18 | 2.05 | 3.81 | 1.64 | 0.18 | 1.37 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.29 | ) | (0.24 | ) | (0.22 | ) | (0.19 | ) | (0.16 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase (decrease) in net assets | 0.18 | 1.76 | 3.57 | 1.42 | (0.01 | ) | 1.21 | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 17.43 | $ | 17.25 | $ | 15.49 | $ | 11.92 | $ | 10.50 | $ | 10.51 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | 1.04 | % | 13.24 | % | 31.97 | % | 15.64 | % | 1.69 | % | 14.71 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 131,292 | $ | 126,412 | $ | 124,885 | $ | 88,416 | $ | 77,600 | $ | 78,203 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses | 0.391 | %(h) | 0.401 | %(d) | 0.345 | % | 0.345 | % | 0.345 | % | 0.345 | % | ||||||||||||
Net expenses | 0.310 | %(h) | 0.331 | %(d) | 0.345 | % | 0.345 | % | 0.345 | % | 0.345 | % | ||||||||||||
Net investment income (loss) | (0.310 | )%(h) | 1.73 | % | 1.74 | % | 1.96 | % | 1.74 | % | 1.69 | % | ||||||||||||
Portfolio turnover rate | 1 | %(h)(g) | 4 | %(e) | 4 | %(f) | 9 | %(f) | 15 | %(f) | 12 | %(f) |
(a) | Prior to August 11, 2014, the per share amounts and percentages include the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at 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. |
(d) | Ratio includes expenses allocated from the State Street Equity 500 Index Portfolio from 1/1/2014 through 8/10/2014, and does not include the expenses of the State Street Equity Index II Portfolio from 8/11/2014 through 12/31/2014. |
(e) | Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014). |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Annualized. |
(i) | Not annualized. |
See Notes to Financial Statements.
7
Table of Contents
State Street Equity 500 Index Fund
Financial Highlights
Selected data for a Class R Share of beneficial interest outstanding throughout each period is presented below:
Six Months Ended 6/30/15 (Unaudited) | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | Year Ended 12/31/10 | |||||||||||||||||||
Per Share Operating Performance:(a) | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.26 | $ | 15.49 | $ | 11.93 | $ | 10.51 | $ | 10.51 | $ | 9.30 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)(b) | (0.06 | ) | 0.22 | 0.19 | 0.19 | 0.15 | 0.13 | |||||||||||||||||
Net realized and unrealized gain on investments | 0.21 | 1.78 | 3.56 | 1.41 | – | 1.20 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.15 | 2.00 | 3.75 | 1.60 | 0.15 | 1.33 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.23 | ) | (0.19 | ) | (0.18 | ) | (0.15 | ) | (0.12 | ) | |||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 0.15 | 1.77 | 3.56 | 1.42 | 0.00 | 1.21 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 17.41 | $ | 17.26 | $ | 15.49 | $ | 11.93 | $ | 10.51 | $ | 10.51 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | 0.87 | % | 12.91 | % | 31.40 | % | 15.22 | % | 1.42 | % | 14.31 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 42,892 | $ | 41,148 | $ | 32,555 | $ | 21,954 | $ | 16,363 | $ | 13,862 | ||||||||||||
Ratios to average net assets:(a) | ||||||||||||||||||||||||
Gross expenses | 0.741 | %(h) | 0.754 | %(d) | 0.695 | % | 0.695 | % | 0.695 | % | 0.695 | % | ||||||||||||
Net Expenses | 0.660 | %(h) | 0.680 | %(d) | 0.695 | % | 0.695 | % | 0.695 | % | 0.695 | % | ||||||||||||
Net investment income (loss) | (0.660 | )%(h) | 1.37 | % | 1.40 | % | 1.62 | % | 1.40 | % | 1.35 | % | ||||||||||||
Portfolio turnover rate | 1 | %(i)(g) | 4 | %(e) | 4 | %(f) | 9 | %(f) | 15 | %(f) | 12 | %(f) |
(a) | Prior to August 11, 2014, the per share amounts and percentages include the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at 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. |
(d) | Ratio includes expenses allocated from the State Street Equity 500 Index Portfolio from 1/1/2014 through 8/10/2014, and does not include the expenses of the State Street Equity Index II Portfolio from 8/11/2014 through 12/31/2014. |
(e) | Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014). |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Annualized. |
(i) | Not annualized. |
See Notes to Financial Statements.
8
Table of Contents
State Street Equity 500 Index Fund
Financial Highlights
Selected data for a Class A Share of beneficial interest outstanding throughout the period is presented below:
Six Months Ended 6/30/15 (Unaudited) | Period Ended 12/31/14(a) | |||||||
Per Share Operating Performance: | ||||||||
Net Asset Value, Beginning of Period | $ | 17.27 | $ | 17.00 | ||||
|
|
|
| |||||
Investment Operations: | ||||||||
Net investment income (loss)(b) | (0.04 | ) | 0.11 | |||||
Net realized and unrealized gain on investments | 0.21 | 0.45 | ||||||
|
|
|
| |||||
Total from investment operations | 0.17 | 0.56 | ||||||
|
|
|
| |||||
Less Distributions From: | ||||||||
Net investment income | – | (0.29 | ) | |||||
|
|
|
| |||||
Net increase in net assets | 0.17 | 0.27 | ||||||
|
|
|
| |||||
Net Asset Value, End of Period | $ | 17.44 | $ | 17.27 | ||||
|
|
|
| |||||
Total Return(c) | 0.98 | % | 3.28 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net Assets, End of Period (000s) | $ | 61 | $ | 51 | ||||
Ratios to average net assets: | ||||||||
Gross expenses | 0.585 | %(g) | 0.700 | %(d)(g) | ||||
Net expenses | 0.510 | %(g) | 0.507 | %(d)(g) | ||||
Net investment income (loss) | (0.510 | )%(g) | 2.32 | %(g) | ||||
Portfolio turnover rate | 1 | %(f)(h) | 4 | %(e)(h) |
(a) | The Fund’s Class A Shares commenced operations on September 17, 2014. |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at 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. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014). |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Annualized. |
(h) | Not annualized. |
See Notes to Financial Statements.
9
Table of Contents
State Street Equity 500 Index Fund
Financial Highlights
Selected data for a Class K Share of beneficial interest outstanding throughout the period is presented below:
Six Months Ended 6/30/15 (Unaudited) | Period Ended 12/31/14(a) | |||||||
Per Share Operating Performance: | ||||||||
Net Asset Value, Beginning of Year | $ | 17.27 | $ | 17.00 | ||||
|
|
|
| |||||
Investment Operations: | ||||||||
Net investment income (loss)(b) | (0.01 | ) | 0.14 | |||||
Net realized and unrealized gain on investments | 0.20 | 0.44 | ||||||
|
|
|
| |||||
Total from investment operations | 0.19 | 0.58 | ||||||
|
|
|
| |||||
Less Distributions From: | ||||||||
Net investment income | – | (0.31 | ) | |||||
|
|
|
| |||||
Net increase in net assets | 0.19 | 0.27 | ||||||
|
|
|
| |||||
Net Asset Value, End of Year | $ | 17.46 | $ | 17.27 | ||||
|
|
|
| |||||
Total Return(c) | 1.16 | % | 3.41 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net Assets, End of Year (000s) | $ | 51 | $ | 51 | ||||
Ratios to average net assets: | ||||||||
Gross expenses | 0.145 | %(g) | 0.272 | %(d)(g) | ||||
Net expenses | 0.061 | %(g) | 0.057 | %(d)(g) | ||||
Net investment income (loss) | (0.061 | )%(g) | 2.78 | %(g) | ||||
Portfolio turnover rate | 1 | %(f)(h) | 4 | %(e)(h) |
(a) | The Fund’s Class K Shares commenced operations on September 17, 2014. |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at 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. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014). |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Annualized. |
(h) | Not annualized. |
See Notes to Financial Statements.
10
Table of Contents
State Street Equity 500 Index Fund
Financial Highlights
Selected data for a Class I Share of beneficial interest outstanding throughout the period is presented below:
Six Months Ended 6/30/15 (Unaudited) | Period Ended 12/31/14(a) | |||||||
Per Share Operating Performance: | ||||||||
Net Asset Value, Beginning of Year | $ | 17.27 | $ | 17.00 | ||||
|
|
|
| |||||
Investment Operations: | ||||||||
Net investment income (loss)(b) | (0.02 | ) | 0.13 | |||||
Net realized and unrealized gain on investments | 0.22 | �� | 0.44 | |||||
|
|
|
| |||||
Total from investment operations | 0.20 | 0.57 | ||||||
|
|
|
| |||||
Less Distributions From: | ||||||||
Net investment income | – | (0.30 | ) | |||||
|
|
|
| |||||
Net increase in net assets | 0.20 | 0.27 | ||||||
|
|
|
| |||||
Net Asset Value, End of Year | $ | 17.47 | $ | 17.27 | ||||
|
|
|
| |||||
Total Return(c) | 1.10 | % | 3.35 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net Assets, End of Year (000s) | $ | 334 | $ | 51 | ||||
Ratios to average net assets: | ||||||||
Gross expenses | 0.340 | %(g) | 0.450 | %(d)(g) | ||||
Net expenses | 0.257 | %(g) | 0.258 | %(d)(g) | ||||
Net investment income (loss) | (0.257 | )%(g) | 2.57 | %(g) | ||||
Portfolio turnover rate | 1 | %(f)(h) | 4 | %(e)(h) |
(a) | The Fund’s Class I Shares commenced operations on September 17, 2014. |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at 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. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is calculated from the State Street Equity 500 Index Portfolio (from 1/1/2014 to 8/10/2014) and the State Street Equity 500 Index II Portfolio (from 8/11/2014 to 12/31/2014). |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Annualized. |
(h) | Not annualized. |
See Notes to Financial Statements.
11
Table of Contents
State Street Equity 500 Index II Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2015 | |||
Common Stocks | 97.3 | % | ||
Money Market Funds | 2.5 | |||
Other Assets in Excess of Liabilities | 0.2 | |||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | June 30, 2015 | |||
Information Technology | 19.2 | % | ||
Financials | 16.1 | |||
Health Care | 15.0 | |||
Consumer Discretionary | 12.4 | |||
Industrials | 9.8 | |||
Total | 72.5 | % |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
12
Table of Contents
State Street Equity 500 Index II Portfolio
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 97.3% | ||||||||
Consumer Discretionary – 12.4% | ||||||||
Amazon.com, Inc.(a) | 9,890 | $ | 4,293,150 | |||||
AutoNation, Inc.(a) | 1,894 | 119,284 | ||||||
AutoZone, Inc.(a) | 876 | 584,204 | ||||||
Bed Bath & Beyond, Inc.(a) | 4,415 | 304,547 | ||||||
Best Buy Co., Inc. | 8,006 | 261,076 | ||||||
BorgWarner, Inc. | 6,077 | 345,417 | ||||||
Cablevision Systems Corp. Class A | 4,788 | 114,625 | ||||||
CarMax, Inc.(a) | 5,403 | 357,733 | ||||||
Carnival Corp. | 11,901 | 587,790 | ||||||
CBS Corp. Class B | 12,242 | 679,431 | ||||||
Chipotle Mexican Grill, Inc.(a) | 786 | 475,522 | ||||||
Coach, Inc. | 7,528 | 260,544 | ||||||
Comcast Corp. Class A | 65,983 | 3,968,218 | ||||||
D.R. Horton, Inc. | 7,797 | 213,326 | ||||||
Darden Restaurants, Inc. | 3,271 | 232,503 | ||||||
Delphi Automotive PLC | 7,719 | 656,810 | ||||||
DIRECTV(a) | 12,902 | 1,197,177 | ||||||
Discovery Communications, Inc. Class A(a) | 3,303 | 109,858 | ||||||
Discovery Communications, Inc. Class C(a) | 7,003 | 217,653 | ||||||
Dollar General Corp. | 8,013 | 622,931 | ||||||
Dollar Tree, Inc.(a) | 5,507 | 434,998 | ||||||
Expedia, Inc. | 2,334 | 255,223 | ||||||
Family Dollar Stores, Inc. | 2,493 | 196,473 | ||||||
Ford Motor Co. | 102,838 | 1,543,598 | ||||||
Fossil Group, Inc.(a) | 983 | 68,181 | ||||||
GameStop Corp. Class A | 2,622 | 112,641 | ||||||
Gannett Co., Inc.(a) | 2,661 | 37,227 | ||||||
Gap, Inc. | 7,434 | 283,756 | ||||||
Garmin Ltd. | 2,640 | 115,975 | ||||||
General Motors Co. | 34,723 | 1,157,318 | ||||||
Genuine Parts Co. | 4,089 | 366,088 | ||||||
Goodyear Tire & Rubber Co. | 6,344 | 191,272 | ||||||
H&R Block, Inc. | 7,664 | 227,238 | ||||||
Hanesbrands, Inc. | 10,200 | 339,864 | ||||||
Harley-Davidson, Inc. | 5,816 | 327,732 | ||||||
Harman International Industries, Inc. | 1,616 | 192,207 | ||||||
Hasbro, Inc. | 3,197 | 239,104 | ||||||
Home Depot, Inc. | 34,002 | 3,778,642 | ||||||
Interpublic Group of Cos., Inc. | 9,666 | 186,264 | ||||||
Johnson Controls, Inc. | 17,280 | 855,878 | ||||||
Kohl’s Corp. | 5,445 | 340,911 | ||||||
L Brands, Inc. | 6,421 | 550,472 | ||||||
Leggett & Platt, Inc. | 3,254 | 158,405 | ||||||
Lennar Corp. Class A | 4,106 | 209,570 | ||||||
Lowe’s Cos., Inc. | 24,850 | 1,664,204 | ||||||
Macy’s, Inc. | 9,062 | 611,413 | ||||||
Marriott International, Inc. Class A | 5,653 | 420,527 | ||||||
Mattel, Inc. | 9,633 | 247,472 | ||||||
McDonald’s Corp. | 24,810 | 2,358,687 | ||||||
Michael Kors Holdings, Ltd.(a) | 5,514 | 232,084 | ||||||
Mohawk Industries, Inc.(a) | 1,731 | 330,448 | ||||||
Netflix, Inc.(a) | 1,572 | 1,032,710 | ||||||
Newell Rubbermaid, Inc. | 7,542 | 310,052 | ||||||
News Corp. Class A(a) | 10,788 | 157,397 | ||||||
NIKE, Inc. Class B | 18,153 | 1,960,887 | ||||||
Nordstrom, Inc. | 3,877 | 288,836 | ||||||
O’Reilly Automotive, Inc.(a) | 2,680 | 605,626 | ||||||
Omnicom Group, Inc. | 6,591 | 458,009 | ||||||
Priceline Group, Inc.(a) | 1,340 | 1,542,836 | ||||||
PulteGroup, Inc. | 7,362 | 148,344 | ||||||
PVH Corp. | 2,349 | 270,605 | ||||||
Ralph Lauren Corp. | 1,479 | 195,760 | ||||||
Ross Stores, Inc. | 11,256 | 547,154 | ||||||
Royal Caribbean Cruises, Ltd. | 4,600 | 361,974 | ||||||
Scripps Networks Interactive, Inc. Class A | 2,372 | 155,058 | ||||||
Staples, Inc. | 14,799 | 226,573 | ||||||
Starbucks Corp. | 38,930 | 2,087,232 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 4,203 | 340,821 | ||||||
Target Corp. | 16,372 | 1,336,446 | ||||||
TEGNA, Inc. | 5,322 | 170,677 | ||||||
Tiffany & Co. | 3,199 | 293,668 | ||||||
Time Warner Cable, Inc. | 7,197 | 1,282,289 | ||||||
Time Warner, Inc. | 21,411 | 1,871,535 | ||||||
TJX Cos., Inc. | 17,737 | 1,173,657 | ||||||
Tractor Supply Co. | 3,726 | 335,116 | ||||||
TripAdvisor, Inc.(a) | 3,142 | 273,794 | ||||||
Twenty-First Century Fox, Inc. Class A | 47,500 | 1,545,887 | ||||||
Under Armour, Inc. Class A(a) | 4,324 | 360,795 | ||||||
Urban Outfitters, Inc.(a) | 2,461 | 86,135 | ||||||
V.F. Corp. | 9,044 | 630,729 | ||||||
Viacom, Inc. Class B | 9,681 | 625,780 | ||||||
Walt Disney Co. | 40,652 | 4,640,019 | ||||||
Whirlpool Corp. | 1,902 | 329,141 | ||||||
Wyndham Worldwide Corp. | 3,353 | 274,644 | ||||||
Wynn Resorts, Ltd. | 1,841 | 181,651 | ||||||
Yum! Brands, Inc. | 11,302 | 1,018,084 | ||||||
|
| |||||||
60,755,592 | ||||||||
|
| |||||||
Consumer Staples – 9.2% | ||||||||
Altria Group, Inc. | 51,529 | 2,520,283 | ||||||
Archer-Daniels-Midland Co. | 16,732 | 806,817 | ||||||
Brown-Forman Corp. Class B | 4,221 | 422,860 | ||||||
Campbell Soup Co. | 5,082 | 242,157 | ||||||
Clorox Co. | 3,164 | 329,119 | ||||||
Coca-Cola Co. | 101,900 | 3,997,537 | ||||||
Coca-Cola Enterprises, Inc. | 4,988 | 216,679 | ||||||
Colgate-Palmolive Co. | 21,923 | 1,433,984 | ||||||
ConAgra Foods, Inc. | 10,324 | 451,365 | ||||||
Constellation Brands, Inc. Class A | 4,450 | 516,289 | ||||||
Costco Wholesale Corp. | 11,555 | 1,560,618 | ||||||
CVS Health Corp. | 29,105 | 3,052,532 | ||||||
Dr. Pepper Snapple Group, Inc. | 5,297 | 386,151 | ||||||
Estee Lauder Cos., Inc. Class A | 5,941 | 514,847 | ||||||
General Mills, Inc. | 15,642 | 871,572 | ||||||
Hershey Co. | 3,967 | 352,389 | ||||||
Hormel Foods Corp. | 3,851 | 217,081 | ||||||
J.M. Smucker Co. | 2,305 | 249,885 | ||||||
Kellogg Co. | 6,728 | 421,846 | ||||||
Keurig Green Mountain, Inc. | 3,211 | 246,059 | ||||||
Kimberly-Clark Corp. | 9,627 | 1,020,173 | ||||||
Kraft Foods Group, Inc. | 15,218 | 1,295,661 | ||||||
Kroger Co. | 12,721 | 922,400 | ||||||
McCormick & Co., Inc. | 3,592 | 290,772 | ||||||
Mead Johnson Nutrition Co. | 5,450 | 491,699 | ||||||
Molson Coors Brewing Co. Class B | 4,453 | 310,864 | ||||||
Mondelez International, Inc. Class A | 43,015 | 1,769,637 | ||||||
Monster Beverage Corp.(a) | 3,853 | 516,379 |
See Notes to Financial Statements.
13
Table of Contents
State Street Equity 500 Index II Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – (continued) | ||||||||
Consumer Staples – (continued) | ||||||||
PepsiCo, Inc. | 38,716 | $ | 3,613,752 | |||||
Philip Morris International, Inc. | 40,212 | 3,223,796 | ||||||
Procter & Gamble Co. | 70,758 | 5,536,106 | ||||||
Reynolds American, Inc. | 10,854 | 810,394 | ||||||
Sysco Corp. | 15,474 | 558,611 | ||||||
Tyson Foods, Inc. Class A | 8,144 | 347,179 | ||||||
Wal-Mart Stores, Inc. | 41,003 | 2,908,343 | ||||||
Walgreens Boots Alliance, Inc. | 22,705 | 1,917,210 | ||||||
Whole Foods Market, Inc. | 9,479 | 373,852 | ||||||
|
| |||||||
44,716,898 | ||||||||
|
| |||||||
Energy – 7.6% | ||||||||
Anadarko Petroleum Corp. | 13,082 | 1,021,181 | ||||||
Apache Corp. | 9,855 | 567,944 | ||||||
Baker Hughes, Inc. | 11,279 | 695,914 | ||||||
Cabot Oil & Gas Corp. | 11,278 | 355,708 | ||||||
Cameron International Corp.(a) | 4,533 | 237,393 | ||||||
Chesapeake Energy Corp. | 14,988 | 167,416 | ||||||
Chevron Corp. | 48,712 | 4,699,247 | ||||||
Cimarex Energy Co. | 2,458 | 271,142 | ||||||
ConocoPhillips | 31,927 | 1,960,637 | ||||||
Consol Energy, Inc. | 5,000 | 108,700 | ||||||
Devon Energy Corp. | 10,101 | 600,908 | ||||||
Diamond Offshore Drilling, Inc. | 1,546 | 39,902 | ||||||
Ensco PLC Class A | 5,111 | 113,822 | ||||||
EOG Resources, Inc. | 14,071 | 1,231,916 | ||||||
EQT Corp. | 4,157 | 338,130 | ||||||
Exxon Mobil Corp. | 108,975 | 9,066,720 | ||||||
FMC Technologies, Inc.(a) | 6,591 | 273,461 | ||||||
Halliburton Co. | 21,967 | 946,119 | ||||||
Helmerich & Payne, Inc. | 3,126 | 220,133 | ||||||
Hess Corp. | 6,757 | 451,908 | ||||||
Kinder Morgan, Inc. | 45,250 | 1,737,147 | ||||||
Marathon Oil Corp. | 17,488 | 464,132 | ||||||
Marathon Petroleum Corp. | 14,574 | 762,366 | ||||||
Murphy Oil Corp. | 3,879 | 161,250 | ||||||
National Oilwell Varco, Inc. | 11,016 | 531,852 | ||||||
Newfield Exploration Co.(a) | 4,215 | 152,246 | ||||||
Noble Corp. PLC | 5,904 | 90,863 | ||||||
Noble Energy, Inc. | 10,225 | 436,403 | ||||||
Occidental Petroleum Corp. | 19,809 | 1,540,546 | ||||||
ONEOK, Inc. | 5,796 | 228,826 | ||||||
Phillips 66 | 14,273 | 1,149,833 | ||||||
Pioneer Natural Resources Co. | 3,876 | 537,562 | ||||||
Range Resources Corp. | 3,859 | 190,557 | ||||||
Schlumberger, Ltd. | 32,786 | 2,825,825 | ||||||
Southwestern Energy Co.(a) | 10,456 | 237,665 | ||||||
Spectra Energy Corp. | 17,557 | 572,358 | ||||||
Tesoro Corp. | 3,016 | 254,581 | ||||||
Transocean, Ltd. | 7,410 | 119,449 | ||||||
Valero Energy Corp. | 13,523 | 846,540 | ||||||
Williams Cos., Inc. | 17,458 | 1,001,915 | ||||||
|
| |||||||
37,210,217 | ||||||||
|
| |||||||
Financials – 16.1% | ||||||||
ACE, Ltd. | 8,533 | 867,635 | ||||||
Affiliated Managers Group, Inc.(a) | 1,524 | 333,146 | ||||||
Aflac, Inc. | 11,753 | 731,037 | ||||||
Allstate Corp. | 10,939 | 709,613 | ||||||
American Express Co. | 22,712 | 1,765,177 | ||||||
American International Group, Inc. | 34,801 | 2,151,398 | ||||||
American Tower Corp. REIT | 10,918 | 1,018,540 | ||||||
Ameriprise Financial, Inc. | 4,844 | 605,161 | ||||||
Aon PLC | 7,465 | 744,111 | ||||||
Apartment Investment & Management Co. Class A REIT | 4,087 | 150,933 | ||||||
Assurant, Inc. | 1,685 | 112,895 | ||||||
AvalonBay Communities, Inc. REIT | 3,469 | 554,589 | ||||||
Bank of America Corp. | 273,305 | 4,651,651 | ||||||
Bank of New York Mellon Corp. | 28,994 | 1,216,878 | ||||||
BB&T Corp. | 18,831 | 759,078 | ||||||
Berkshire Hathaway, Inc. Class B(a) | 47,484 | 6,463,047 | ||||||
BlackRock, Inc. | 3,316 | 1,147,270 | ||||||
Boston Properties, Inc. REIT | 4,046 | 489,728 | ||||||
Capital One Financial Corp. | 14,295 | 1,257,531 | ||||||
CBRE Group, Inc.(a) | 7,867 | 291,079 | ||||||
Charles Schwab Corp. | 29,804 | 973,101 | ||||||
Chubb Corp. | 6,179 | 587,870 | ||||||
Cincinnati Financial Corp. | 4,209 | 211,208 | ||||||
Citigroup, Inc. | 79,127 | 4,370,975 | ||||||
CME Group, Inc. | 8,263 | 768,955 | ||||||
Comerica, Inc. | 4,627 | 237,458 | ||||||
Crown Castle International Corp. REIT | 8,658 | 695,237 | ||||||
Discover Financial Services | 11,828 | 681,529 | ||||||
E*TRADE Financial Corp.(a) | 8,242 | 246,848 | ||||||
Equity Residential REIT | 9,419 | 660,931 | ||||||
Essex Property Trust, Inc. REIT | 1,745 | 370,812 | ||||||
Fifth Third Bancorp | 22,262 | 463,495 | ||||||
Franklin Resources, Inc. | 10,589 | 519,179 | ||||||
General Growth Properties, Inc. REIT | 17,158 | 440,274 | ||||||
Genworth Financial, Inc. Class A(a) | 11,062 | 83,739 | ||||||
Goldman Sachs Group, Inc. | 10,546 | 2,201,899 | ||||||
Hartford Financial Services Group, Inc. | 11,567 | 480,840 | ||||||
HCP, Inc. REIT | 12,123 | 442,126 | ||||||
Health Care REIT, Inc. | 9,019 | 591,917 | ||||||
Host Hotels & Resorts, Inc. REIT | 18,162 | 360,152 | ||||||
Hudson City Bancorp, Inc. | 10,316 | 101,922 | ||||||
Huntington Bancshares, Inc. | 19,091 | 215,919 | ||||||
Intercontinental Exchange, Inc. | 2,937 | 656,742 | ||||||
Invesco Ltd. | 11,411 | 427,798 | ||||||
Iron Mountain, Inc. REIT | 5,481 | 169,911 | ||||||
JPMorgan Chase & Co. | 96,643 | 6,548,530 | ||||||
KeyCorp | 22,196 | 333,384 | ||||||
Kimco Realty Corp. REIT | 11,353 | 255,897 | ||||||
Legg Mason, Inc. | 2,427 | 125,063 | ||||||
Leucadia National Corp. | 7,427 | 180,327 | ||||||
Lincoln National Corp. | 6,982 | 413,474 | ||||||
Loews Corp. | 8,219 | 316,514 | ||||||
M&T Bank Corp. | 3,603 | 450,123 | ||||||
Macerich Co. REIT | 3,655 | 272,663 | ||||||
Marsh & McLennan Cos., Inc. | 14,019 | 794,877 | ||||||
McGraw Hill Financial, Inc. | 7,168 | 720,026 | ||||||
MetLife, Inc. | 29,170 | 1,633,228 | ||||||
Moody’s Corp. | 4,932 | 532,459 | ||||||
Morgan Stanley | 39,975 | 1,550,630 | ||||||
NASDAQ OMX Group, Inc. | 2,475 | 120,805 | ||||||
Navient Corp. | 9,313 | 169,590 | ||||||
Northern Trust Corp. | 5,896 | 450,808 |
See Notes to Financial Statements.
14
Table of Contents
State Street Equity 500 Index II Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – (continued) | ||||||||
Financials – (continued) | ||||||||
People’s United Financial, Inc. | 7,666 | $ | 124,266 | |||||
Plum Creek Timber Co., Inc. REIT | 4,225 | 171,408 | ||||||
PNC Financial Services Group, Inc. | 13,575 | 1,298,449 | ||||||
Principal Financial Group, Inc. | 7,465 | 382,880 | ||||||
Progressive Corp. | 14,349 | 399,333 | ||||||
ProLogis, Inc. REIT | 13,352 | 495,359 | ||||||
Prudential Financial, Inc. | 11,802 | 1,032,911 | ||||||
Public Storage, Inc. REIT | 3,735 | 688,622 | ||||||
Realty Income Corp. REIT | 5,800 | 257,462 | ||||||
Regions Financial Corp. | 37,146 | 384,832 | ||||||
Simon Property Group, Inc. REIT | 7,980 | 1,380,700 | ||||||
State Street Corp.(b) | 10,878 | 837,606 | ||||||
SunTrust Banks, Inc. | 13,736 | 590,923 | ||||||
T. Rowe Price Group, Inc. | 6,855 | 532,839 | ||||||
Torchmark Corp. | 3,012 | 175,359 | ||||||
Travelers Cos., Inc. | 8,506 | 822,190 | ||||||
U.S. Bancorp | 45,722 | 1,984,335 | ||||||
Unum Group | 7,205 | 257,579 | ||||||
Ventas, Inc. REIT | 8,497 | 527,579 | ||||||
Vornado Realty Trust REIT | 4,668 | 443,133 | ||||||
Wells Fargo & Co. | 122,103 | 6,867,073 | ||||||
Weyerhaeuser Co. REIT | 13,867 | 436,810 | ||||||
XL Group PLC | 8,448 | 314,266 | ||||||
Zions Bancorporation | 6,095 | 193,425 | ||||||
|
| |||||||
78,449,071 | ||||||||
|
| |||||||
Health Care – 15.0% | ||||||||
Abbott Laboratories | 39,147 | 1,921,335 | ||||||
AbbVie, Inc. | 44,543 | 2,992,844 | ||||||
Aetna, Inc. | 9,144 | 1,165,494 | ||||||
Agilent Technologies, Inc. | 8,993 | 346,950 | ||||||
Alexion Pharmaceuticals, Inc.(a) | 5,873 | 1,061,662 | ||||||
Allergan PLC(a) | 10,206 | 3,097,113 | ||||||
AmerisourceBergen Corp. | 5,434 | 577,852 | ||||||
Amgen, Inc. | 19,754 | 3,032,634 | ||||||
Anthem, Inc. | 7,019 | 1,152,099 | ||||||
Baxter International, Inc. | 14,016 | 980,139 | ||||||
Becton Dickinson and Co. | 5,436 | 770,009 | ||||||
Biogen, Inc.(a) | 6,184 | 2,497,965 | ||||||
Boston Scientific Corp.(a) | 34,857 | 616,969 | ||||||
Bristol-Myers Squibb Co. | 43,204 | 2,874,794 | ||||||
C.R. Bard, Inc. | 1,935 | 330,305 | ||||||
Cardinal Health, Inc. | 8,633 | 722,150 | ||||||
Celgene Corp.(a) | 20,871 | 2,415,505 | ||||||
Cerner Corp.(a) | 8,037 | 555,035 | ||||||
CIGNA Corp. | 6,785 | 1,099,170 | ||||||
DaVita HealthCare Partners, Inc.(a) | 4,728 | 375,734 | ||||||
DENTSPLY International, Inc. | 3,134 | 161,558 | ||||||
Edwards Lifesciences Corp.(a) | 2,855 | 406,638 | ||||||
Eli Lilly & Co. | 25,418 | 2,122,149 | ||||||
Endo International PLC(a) | 5,200 | 414,180 | ||||||
Express Scripts Holding Co.(a) | 18,767 | 1,669,137 | ||||||
Gilead Sciences, Inc. | 38,352 | 4,490,252 | ||||||
HCA Holdings, Inc.(a) | 8,000 | 725,760 | ||||||
Henry Schein, Inc.(a) | 2,100 | 298,452 | ||||||
Hospira, Inc.(a) | 4,586 | 406,824 | ||||||
Humana, Inc. | 3,890 | 744,079 | ||||||
Intuitive Surgical, Inc.(a) | 948 | 459,306 | ||||||
Johnson & Johnson | 72,308 | 7,047,138 | ||||||
Laboratory Corp. of America Holdings(a) | 2,675 | 324,264 | ||||||
Mallinckrodt PLC(a) | 3,200 | 376,704 | ||||||
McKesson Corp. | 5,924 | 1,331,774 | ||||||
Medtronic PLC | 37,093 | 2,748,591 | ||||||
Merck & Co., Inc. | 73,572 | 4,188,454 | ||||||
Mylan, Inc.(a) | 10,802 | 733,024 | ||||||
Patterson Cos., Inc. | 1,735 | 84,408 | ||||||
PerkinElmer, Inc. | 2,586 | 136,127 | ||||||
Perrigo Co. PLC | 3,686 | 681,283 | ||||||
Pfizer, Inc. | 159,633 | 5,352,494 | ||||||
Quest Diagnostics, Inc. | 4,042 | 293,126 | ||||||
Regeneron Pharmaceuticals, Inc.(a) | 1,942 | 990,672 | ||||||
St. Jude Medical, Inc. | 7,273 | 531,438 | ||||||
Stryker Corp. | 7,794 | 744,873 | ||||||
Tenet Healthcare Corp.(a) | 2,090 | 120,969 | ||||||
Thermo Fisher Scientific, Inc. | 10,312 | 1,338,085 | ||||||
UnitedHealth Group, Inc. | 24,974 | 3,046,828 | ||||||
Universal Health Services, Inc. | 2,500 | 355,250 | ||||||
Varian Medical Systems, Inc.(a) | 2,429 | 204,838 | ||||||
Vertex Pharmaceuticals, Inc.(a) | 6,252 | 771,997 | ||||||
Waters Corp.(a) | 2,350 | 301,693 | ||||||
Zimmer Biomet Holdings, Inc. | 4,425 | 483,343 | ||||||
Zoetis, Inc. | 13,120 | 632,646 | ||||||
|
| |||||||
73,304,112 | ||||||||
|
| |||||||
Industrials – 9.8% | ||||||||
3M Co. | 16,329 | 2,519,565 | ||||||
ADT Corp. | 3,894 | 130,722 | ||||||
Allegion PLC | 1,996 | 120,039 | ||||||
American Airlines Group, Inc. | 18,200 | 726,817 | ||||||
AMETEK, Inc. | 6,099 | 334,103 | ||||||
Boeing Co. | 16,864 | 2,339,374 | ||||||
C.H. Robinson Worldwide, Inc. | 4,079 | 254,489 | ||||||
Caterpillar, Inc. | 15,524 | 1,316,746 | ||||||
Cintas Corp. | 2,166 | 183,222 | ||||||
CSX Corp. | 25,755 | 840,901 | ||||||
Cummins, Inc. | 4,414 | 579,073 | ||||||
Danaher Corp. | 15,694 | 1,343,249 | ||||||
Deere & Co. | 9,083 | 881,505 | ||||||
Delta Air Lines, Inc. | 21,634 | 888,725 | ||||||
Dover Corp. | 4,550 | 319,319 | ||||||
Dun & Bradstreet Corp. | 755 | 92,110 | ||||||
Eaton Corp. PLC | 12,325 | 831,814 | ||||||
Emerson Electric Co. | 17,879 | 991,033 | ||||||
Equifax, Inc. | 3,288 | 319,232 | ||||||
Expeditors International of Washington, Inc. | 4,576 | 210,976 | ||||||
Fastenal Co. | 7,458 | 314,578 | ||||||
FedEx Corp. | 6,750 | 1,150,200 | ||||||
Flowserve Corp. | 2,945 | 155,084 | ||||||
Fluor Corp. | 3,504 | 185,747 | ||||||
General Dynamics Corp. | 8,072 | 1,143,722 | ||||||
General Electric Co. | 262,570 | 6,976,485 | ||||||
Honeywell International, Inc. | 20,278 | 2,067,748 | ||||||
Illinois Tool Works, Inc. | 9,300 | 853,647 | ||||||
Ingersoll-Rand PLC | 7,084 | 477,603 | ||||||
Jacobs Engineering Group, Inc.(a) | 2,743 | 111,421 | ||||||
JB Hunt Transport Services, Inc. | 2,400 | 197,016 | ||||||
Joy Global, Inc. | 2,313 | 83,731 | ||||||
Kansas City Southern | 2,996 | 273,235 |
See Notes to Financial Statements.
15
Table of Contents
State Street Equity 500 Index II Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – (continued) | ||||||||
Industrials – (continued) | ||||||||
L-3 Communications Holdings, Inc. | 1,938 | $ | 219,730 | |||||
Lockheed Martin Corp. | 6,903 | 1,283,268 | ||||||
Masco Corp. | 9,984 | 266,273 | ||||||
Nielsen NV | 10,125 | 453,296 | ||||||
Norfolk Southern Corp. | 7,987 | 697,744 | ||||||
Northrop Grumman Corp. | 5,225 | 828,842 | ||||||
PACCAR, Inc. | 9,339 | 595,922 | ||||||
Pall Corp. | 2,802 | 348,709 | ||||||
Parker-Hannifin Corp. | 3,989 | 464,040 | ||||||
Pentair PLC | 4,304 | 295,900 | ||||||
Pitney Bowes, Inc. | 4,806 | 100,013 | ||||||
Precision Castparts Corp. | 3,729 | 745,315 | ||||||
Quanta Services, Inc.(a) | 4,707 | 135,656 | ||||||
Raytheon Co. | 8,046 | 769,841 | ||||||
Republic Services, Inc. | 5,789 | 226,755 | ||||||
Robert Half International, Inc. | 3,166 | 175,713 | ||||||
Rockwell Automation, Inc. | 3,626 | 451,945 | ||||||
Rockwell Collins, Inc. | 3,631 | 335,323 | ||||||
Roper Technologies, Inc. | 2,465 | 425,114 | ||||||
Ryder System, Inc. | 1,066 | 93,136 | ||||||
Snap-on, Inc. | 1,640 | 261,170 | ||||||
Southwest Airlines Co. | 17,659 | 584,336 | ||||||
Stanley Black & Decker, Inc. | 4,157 | 437,483 | ||||||
Stericycle, Inc.(a) | 2,296 | 307,457 | ||||||
Textron, Inc. | 7,533 | 336,198 | ||||||
Tyco International PLC | 11,164 | 429,591 | ||||||
Union Pacific Corp. | 22,598 | 2,155,171 | ||||||
United Parcel Service, Inc. Class B | 17,791 | 1,724,126 | ||||||
United Rentals, Inc.(a) | 2,500 | 219,050 | ||||||
United Technologies Corp. | 21,351 | 2,368,466 | ||||||
W.W. Grainger, Inc. | 1,657 | 392,129 | ||||||
Waste Management, Inc. | 11,135 | 516,107 | ||||||
Xylem, Inc. | 4,758 | 176,379 | ||||||
|
| |||||||
48,033,429 | ||||||||
|
| |||||||
Information Technology – 19.2% | ||||||||
Accenture PLC Class A | 16,118 | 1,559,900 | ||||||
Adobe Systems, Inc.(a) | 12,244 | 991,886 | ||||||
Akamai Technologies, Inc.(a) | 4,790 | 334,438 | ||||||
Alliance Data Systems Corp.(a) | 1,696 | 495,130 | ||||||
Altera Corp. | 8,400 | 430,080 | ||||||
Amphenol Corp. Class A | 8,220 | 476,513 | ||||||
Analog Devices, Inc. | 8,251 | 529,590 | ||||||
Apple, Inc. | 150,124 | 18,829,303 | ||||||
Applied Materials, Inc. | 31,654 | 608,390 | ||||||
Autodesk, Inc.(a) | 5,606 | 280,720 | ||||||
Automatic Data Processing, Inc. | 12,452 | 999,024 | ||||||
Avago Technologies, Ltd. | 6,782 | 901,531 | ||||||
Broadcom Corp. Class A | 14,224 | 732,394 | ||||||
CA, Inc. | 8,940 | 261,853 | ||||||
Cisco Systems, Inc. | 132,490 | 3,638,175 | ||||||
Citrix Systems, Inc.(a) | 4,489 | 314,948 | ||||||
Cognizant Technology Solutions Corp. Class A(a) | 15,741 | 961,618 | ||||||
Computer Sciences Corp. | 4,012 | 263,348 | ||||||
Corning, Inc. | 33,326 | 657,522 | ||||||
eBay, Inc.(a) | 28,645 | 1,725,575 | ||||||
Electronic Arts, Inc.(a) | 8,279 | 550,553 | ||||||
EMC Corp. | 52,110 | 1,375,183 | ||||||
Equinix, Inc. REIT | 1,400 | 355,600 | ||||||
F5 Networks, Inc.(a) | 1,641 | 197,494 | ||||||
Facebook, Inc. Class A(a) | 54,893 | 4,707,898 | ||||||
Fidelity National Information Services, Inc. | 7,491 | 462,944 | ||||||
First Solar, Inc.(a) | 1,821 | 85,551 | ||||||
Fiserv, Inc.(a) | 6,462 | 535,247 | ||||||
FLIR Systems, Inc. | 3,161 | 97,422 | ||||||
Google, Inc. Class A(a) | 7,467 | 4,032,479 | ||||||
Google, Inc. Class C(a) | 7,487 | 3,897,058 | ||||||
Harris Corp. | 3,202 | 246,266 | ||||||
Hewlett-Packard Co. | 47,353 | 1,421,064 | ||||||
Intel Corp. | 123,036 | 3,742,140 | ||||||
International Business Machines Corp. | 23,895 | 3,886,761 | ||||||
Intuit, Inc. | 7,437 | 749,426 | ||||||
Juniper Networks, Inc. | 8,849 | 229,809 | ||||||
KLA-Tencor Corp. | 4,532 | 254,744 | ||||||
Lam Research Corp. | 4,277 | 347,934 | ||||||
Linear Technology Corp. | 6,742 | 298,199 | ||||||
Mastercard, Inc. Class A | 25,351 | 2,369,811 | ||||||
Microchip Technology, Inc. | 5,583 | 264,774 | ||||||
Micron Technology, Inc.(a) | 27,834 | 524,393 | ||||||
Microsoft Corp. | 210,858 | 9,309,381 | ||||||
Motorola Solutions, Inc. | 4,530 | 259,750 | ||||||
NetApp, Inc. | 8,514 | 268,702 | ||||||
NVIDIA Corp. | 12,044 | 242,205 | ||||||
Oracle Corp. | 83,635 | 3,370,490 | ||||||
Paychex, Inc. | 7,907 | 370,680 | ||||||
Qorvo, Inc.(a) | 3,800 | 305,026 | ||||||
QUALCOMM, Inc. | 42,826 | 2,682,192 | ||||||
Red Hat, Inc.(a) | 4,370 | 331,814 | ||||||
Salesforce.com, Inc.(a) | 15,895 | 1,106,769 | ||||||
SanDisk Corp. | 5,861 | 341,227 | ||||||
Seagate Technology PLC | 8,624 | 409,640 | ||||||
Skyworks Solutions, Inc. | 4,900 | 510,090 | ||||||
SL Green Realty Corp. REIT | 2,500 | 274,725 | ||||||
Symantec Corp. | 18,360 | 426,870 | ||||||
TE Connectivity, Ltd. | 10,551 | 678,429 | ||||||
Teradata Corp.(a) | 3,407 | 126,059 | ||||||
Texas Instruments, Inc. | 27,093 | 1,395,560 | ||||||
Total System Services, Inc. | 3,576 | 149,370 | ||||||
VeriSign, Inc.(a) | 2,501 | 154,362 | ||||||
Visa, Inc. Class A | 50,460 | 3,388,389 | ||||||
Western Digital Corp. | 5,753 | 451,150 | ||||||
Western Union Co. | 14,645 | 297,733 | ||||||
Xerox Corp. | 28,809 | 306,528 | ||||||
Xilinx, Inc. | 6,160 | 272,026 | ||||||
Yahoo!, Inc.(a) | 22,782 | 895,105 | ||||||
|
| |||||||
93,948,960 | ||||||||
|
| |||||||
Materials – 3.1% | ||||||||
Air Products & Chemicals, Inc. | 5,002 | 684,424 | ||||||
Airgas, Inc. | 1,560 | 165,017 | ||||||
Alcoa, Inc. | 31,360 | 349,664 | ||||||
Allegheny Technologies, Inc. | 2,317 | 69,973 | ||||||
Avery Dennison Corp. | 2,070 | 126,146 | ||||||
Ball Corp. | 3,766 | 264,185 | ||||||
C.F. Industries Holdings, Inc. | 6,720 | 431,962 | ||||||
Dow Chemical Co. | 28,438 | 1,455,172 | ||||||
E.I. du Pont de Nemours & Co. | 23,618 | 1,510,371 | ||||||
Eastman Chemical Co. | 4,136 | 338,407 | ||||||
Ecolab, Inc. | 7,001 | 791,603 |
See Notes to Financial Statements.
16
Table of Contents
State Street Equity 500 Index II Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – (continued) | ||||||||
Materials – (continued) | ||||||||
FMC Corp. | 3,878 | $ | 203,789 | |||||
Freeport-McMoRan, Inc. | 27,340 | 509,071 | ||||||
International Flavors & Fragrances, Inc. | 2,251 | 246,012 | ||||||
International Paper Co. | 11,103 | 528,392 | ||||||
LyondellBasell Industries NV Class A | 10,448 | 1,081,577 | ||||||
Martin Marietta Materials, Inc. | 1,745 | 246,935 | ||||||
MeadWestvaco Corp. | 3,877 | 182,956 | ||||||
Monsanto Co. | 12,361 | 1,317,559 | ||||||
Mosaic Co. | 8,384 | 392,790 | ||||||
Newmont Mining Corp. | 13,733 | 320,803 | ||||||
Nucor Corp. | 7,848 | 345,861 | ||||||
Owens-Illinois, Inc.(a) | 3,537 | 81,139 | ||||||
PPG Industries, Inc. | 7,054 | 809,235 | ||||||
Praxair, Inc. | 7,511 | 897,940 | ||||||
Sealed Air Corp. | 4,923 | 252,944 | ||||||
Sherwin-Williams Co. | 2,109 | 580,017 | ||||||
Sigma-Aldrich Corp. | 3,173 | 442,157 | ||||||
Vulcan Materials Co. | 3,671 | 308,107 | ||||||
WestRock Co.(a) | 2,312 | 140,801 | ||||||
|
| |||||||
15,075,009 | ||||||||
|
| |||||||
Telecommunication Services – 2.2% | ||||||||
AT&T, Inc. | 134,677 | 4,783,727 | ||||||
CenturyLink, Inc. | 15,292 | 449,279 | ||||||
Frontier Communications Corp. | 29,906 | 148,035 | ||||||
Level 3 Communications, Inc.(a) | 7,500 | 395,025 | ||||||
Verizon Communications, Inc. | 106,315 | 4,955,342 | ||||||
|
| |||||||
10,731,408 | ||||||||
|
| |||||||
Utilities – 2.7% | ||||||||
AES Corp. | 17,736 | 235,179 | ||||||
AGL Resources, Inc. | 2,798 | 130,275 | ||||||
Ameren Corp. | 5,604 | 211,159 | ||||||
American Electric Power Co., Inc. | 12,709 | 673,196 | ||||||
CenterPoint Energy, Inc. | 12,276 | 233,612 | ||||||
CMS Energy Corp. | 6,555 | 208,711 | ||||||
Consolidated Edison, Inc. | 7,852 | 454,474 | ||||||
Dominion Resources, Inc. | 15,094 | 1,009,336 | ||||||
DTE Energy Co. | 4,745 | 354,167 | ||||||
Duke Energy Corp. | 18,192 | 1,284,719 | ||||||
Edison International | 8,614 | 478,766 | ||||||
Entergy Corp. | 4,298 | 303,009 | ||||||
Eversource Energy | 8,417 | 382,216 | ||||||
Exelon Corp. | 22,384 | 703,305 | ||||||
FirstEnergy Corp. | 11,393 | 370,842 | ||||||
NextEra Energy, Inc. | 11,264 | 1,104,210 | ||||||
NiSource, Inc. | 7,704 | 351,225 | ||||||
NRG Energy, Inc. | 7,802 | 178,510 | ||||||
Pepco Holdings, Inc. | 5,541 | 149,275 | ||||||
PG&E Corp. | 12,414 | 609,527 | ||||||
Pinnacle West Capital Corp. | 2,404 | 136,764 | ||||||
PPL Corp. | 17,419 | 513,338 | ||||||
Public Service Enterprise Group, Inc. | 13,288 | 521,953 | ||||||
SCANA Corp. | 3,599 | 182,289 | ||||||
Sempra Energy | 6,062 | 599,774 | ||||||
Southern Co. | 23,259 | 974,552 | ||||||
TECO Energy, Inc. | 4,701 | 83,020 | ||||||
WEC Energy Group, Inc. | 8,282 | 372,451 | ||||||
Xcel Energy, Inc. | 13,451 | 432,853 | ||||||
|
| |||||||
13,242,707 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 475,467,403 | ||||||
|
| |||||||
MONEY MARKET FUND – 2.5% |
| |||||||
State Street Institutional Liquid Reserve Fund, Premier | 12,260,177 | 12,260,177 | ||||||
|
| |||||||
TOTAL MONEY MARKET FUND |
| 12,260,177 | ||||||
|
| |||||||
TOTAL INVESTMENTS(e) – 99.8% |
| 487,727,580 | ||||||
Other Assets in Excess of Liabilities – 0.2% | 784,500 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 488,512,080 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Affiliated issuer. |
(c) | All or part of this security has been designated as collateral for futures contracts. |
(d) | The rate shown is the annualized seven-day yield at period end. |
(e) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures. |
PLC | Public Limited Company |
REIT | Real Estate Investment Trust |
Schedule of | Number of Contracts | Notional Value | Unrealized Depreciation | |||||||||
S&P 500 Financial | 131 | $ | 13,456,320 | $ | (187,586 | ) | ||||||
|
| |||||||||||
Total unrealized depreciation on open futures contracts purchased | $ | (187,586 | ) | |||||||||
|
|
See Notes to Financial Statements.
17
Table of Contents
State Street Equity 500 Index II Portfolio
Statement of Assets and Liabilities
June 30, 2015 (Unaudited)
Assets | ||||
Investments in unaffiliated issuers at market value | $ | 474,629,797 | ||
Investments in non-controlled affiliates at market value | 13,097,783 | |||
|
| |||
Total investments at market value (identified cost $264,603,278) | 487,727,580 | |||
Cash | 33,607 | |||
Cash at broker | 602,615 | |||
Receivable for investment securities sold | 67,459 | |||
Receivable for fund shares sold | 1,202,364 | |||
Daily variation margin on futures contracts | 25,545 | |||
Dividends receivable | 548,263 | |||
Dividend receivable from non-controlled affiliates (Note 4) | 1,110 | |||
Receivable from advisor (Note 4) | 56,781 | |||
|
| |||
Total assets | 490,265,324 | |||
|
| |||
Liabilities | ||||
Payable for investment securities purchased | 337,829 | |||
Payable for fund shares repurchased | 1,330,418 | |||
Administration and custody fees payable (Note 4) | 25,676 | |||
Professional fees payable | 25,403 | |||
Trustee’s fees payable (Note 5) | 24,172 | |||
Accrued expenses and other liabilities | 9,746 | |||
|
| |||
Total liabilities | 1,753,244 | |||
|
| |||
Net Assets | $ | 488,512,080 | ||
|
| |||
Net Assets Consist of: | ||||
Paid in capital | 254,749,034 | |||
Undistributed net investment income | �� | 4,690,254 | ||
Accumulated net realized gain on investments and futures contracts | 6,136,076 | |||
Unrealized appreciation on investments and futures contracts | 222,936,716 | |||
|
| |||
Net Assets | $ | 488,512,080 | ||
|
| |||
Net asset value, offering, and redemption price per share | $ | 10.68 | ||
|
| |||
Shares outstanding | 45,752,656 |
See Notes to Financial Statements.
18
Table of Contents
State Street Equity 500 Index II Portfolio
Six Months Ended June 30, 2015 (Unaudited)
Investment Income | ||||
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $719) | $ | 4,743,150 | ||
Dividend income – non-controlled affiliated issuer | 13,059 | |||
|
| |||
Total investment income | 4,756,209 | |||
|
| |||
Expenses | ||||
Administration and custody fees (Note 4) | 28,845 | |||
Professional fees | 23,731 | |||
Trustees’ fees (Note 5) | 7,439 | |||
Printing fees | 8,598 | |||
Other expenses | 10,981 | |||
|
| |||
Total expenses | 79,594 | |||
Less: Expenses reimbursed by the Adviser (Note 4) | (13,639 | ) | ||
|
| |||
Total net expenses | 65,955 | |||
|
| |||
Net Investment Income | 4,690,254 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments | 4,543,016 | |||
Futures contracts | 370,655 | |||
|
| |||
4,913,671 | ||||
|
| |||
Net change in net unrealized appreciation/depreciation on: | ||||
Investments | (4,948,580 | ) | ||
Futures contracts | (302,397 | ) | ||
|
| |||
(5,250,977 | ) | |||
|
| |||
Net Increase in Net Assets Resulting From Operations | $ | 4,352,948 | ||
|
|
See Notes to Financial Statements.
19
Table of Contents
State Street Equity 500 Index II Portfolio
Statements of Changes in Net Assets
Six Months Ended June 30, 2015 (Unaudited) | For The Period August 11, 2014* to December 31, 2014 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income | $ | 4,690,254 | $ | 3,240,871 | ||||
Net realized gain on investments and futures contracts | 4,913,671 | 4,281,757 | ||||||
Net change in net unrealized appreciation (depreciation) on investments and futures contracts | (5,250,977 | ) | 20,415,808 | |||||
|
|
|
| |||||
Net increase in net assets from operations | 4,352,948 | 27,938,436 | ||||||
|
|
|
| |||||
Distributions From: | ||||||||
Net investment income | – | (3,305,865 | ) | |||||
Net realized gain on investments | – | (2,994,358 | ) | |||||
|
|
|
| |||||
Total distributions | – | (6,300,223 | ) | |||||
|
|
|
| |||||
Fund Share Transactions | ||||||||
In-kind subscription (Note 7) | 387,955,841 | |||||||
Shares sold | 73,441,360 | 30,018,341 | ||||||
Reinvestment of distributions | – | 6,300,223 | ||||||
Shares redeemed | (15,992,592 | ) | (19,202,254 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from Fund share transactions | 57,448,768 | 405,072,151 | ||||||
|
|
|
| |||||
Net Increase in Net Assets | $ | 61,801,716 | $ | 426,710,364 | ||||
Net Assets | ||||||||
Beginning of period | 426,710,364 | – | ||||||
|
|
|
| |||||
End of period | $ | 488,512,080 | $ | 426,710,364 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 4,690,254 | $ | – | ||||
|
|
|
| |||||
Change in Shares | ||||||||
In-kind subscriptions (Note 7) | 39,080,818 | |||||||
Shares sold | 6,796,770 | 2,613,803 | ||||||
Reinvestment of distributions | – | 596,612 | ||||||
Shares redeemed | (1,485,198 | ) | (1,850,149 | ) | ||||
|
|
|
| |||||
Net increase in shares | 5,311,572 | 40,441,084 | ||||||
|
|
|
|
* | Commencement of operations |
See Notes to Financial Statements.
20
Table of Contents
State Street Equity 500 Index II Portfolio
State Street Equity 500 Index II Portfolio | ||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 8/11/14* - 12/31/14 | |||||||
Per Share Operating Performance: | ||||||||
Net asset value, beginning of period | $ | 10.55 | $ | 10.00 | ||||
|
|
|
| |||||
Net investment income(a) | 0.11 | 0.08 | ||||||
Net realized and unrealized gain (loss) on investments and futures contracts | 0.02 | 0.63 | ||||||
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|
|
| |||||
Total from investment operations | 0.13 | 0.71 | ||||||
|
|
|
| |||||
Distributions from: | ||||||||
Net investment income | – | (0.08 | ) | |||||
Net realized gain on investments | – | (0.08 | ) | |||||
|
|
|
| |||||
Total distributions | – | (0.16 | ) | |||||
|
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|
| |||||
Net increase from investment operations | 0.13 | 0.55 | ||||||
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| |||||
Net asset value, end of period | $ | 10.68 | $ | 10.55 | ||||
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| |||||
Total Return(b) | 1.23 | % | 7.12 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (000s) | $ | 488,512 | $ | 426,710 | ||||
Ratios to average net assets: | ||||||||
Gross expenses | 0.034 | %(d) | 0.042 | %(d) | ||||
Net expenses | 0.028 | %(d) | 0.030 | %(d) | ||||
Net investment income | 2.01 | %(d) | 2.06 | %(d) | ||||
Portfolio turnover | 1 | %(e) | 4 | %(c)(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Portfolio turnover rate excludes in-kind security transactions (Note 7). |
(d) | Annualized. |
(e) | Not annualized. |
See Notes to Financial Statements.
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State Street Institutional Investment Trust
June 30, 2015 (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 thirty-two (32) series and corresponding classes, each 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. The financial statements for certain funds of the Trust are presented in separate reports. The following Funds are included in this report:
Fund | Classes | Commencement of Operations: | ||
State Street Equity 500 Index Fund | Administrative Shares Class A Class I Class K Class R Shares Service Shares | April 11, 2001 September 17, 2014 September 17, 2014 September 17, 2014 June 7, 2005 March 10, 2003 | ||
State Street Equity 500 Index II Portfolio | N/A | August 11, 2014 |
The State Street Equity 500 Index Fund offers Administrative, Class A, I, K, R and Service Shares Class. Class A shares are sold with a maximum sales charge of 5.25% and may be subject to a 1% CDSC if no initial sales charge was paid at the time of purchase as part of an investment of $1,000,000 or more and the shares are redeemed within 18 months of purchase. All other classes do not pay a front end sales charge.
State Street Equity 500 Index II Portfolio’s (the “Portfolio”) investment objective is to seek to provide investment results that, before expenses, correspond generally to the total return of the Standard & Poor’s 500 Index (the “S&P 500® Index”). The Portfolio uses a passive management strategy designed to track the performance of the S&P 500 Index. The S&P 500 Index is a well-known, unmanaged, stock index that includes common stocks of 500 companies from several industrial sectors representing a significant portion of the market value of all stocks publicly traded in the United States. There is no assurance that the Portfolio will achieve its objective.
The State Street Equity 500 Index Fund (the “Fund”) invests all of its investable assets in shares of the Portfolio. The Fund invests as part of a “master-feeder” structure, and currently seeks to achieve its investment objective by investing substantially all of its investable assets in the Portfolio (87.20% at June 30, 2015), a separate mutual fund, that has a substantially identical investment objective, investment policies, and risks as the Fund. The performance of the Fund was directly affected by the performance of the Portfolio.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”) which requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services Investment Companies (“ASC 946”).
Security valuation – The Fund records its investment in the Portfolio at net asset value per share. The Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Portfolio’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to policies and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments. The members of the Committee are approved by the Board.
Valuation techniques used to value the Portfolio’s investments by major category are as follows:
• | Equity investments (including registered investment companies that are exchange-traded) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value per share or unit. Money market funds generally value portfolio investments using the amortized cost method as set forth in Rule 2a-7 under the 1940 Act and in accordance with Fund procedures to stabilize net asset value. |
• | Exchange traded futures contracts are valued at the settlement price on the primary market on which, they are traded most extensively. Exchange traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
In the event prices or quotations are not readily available or that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with valuation policy and procedures approved by the Board.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
Fair value pricing could result in a difference between the prices used to calculate the Portfolio’s net asset value and the prices used by the Portfolio’s underlying index, which in turn could result in a difference between the Portfolio’s performance and the performance of the Portfolio’s underlying index. Various inputs are used in determining the value of Portfolio’s investments. These inputs are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes. The Portfolio values its assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
Changes in valuation techniques may result in transfers in or out of an assigned level within the hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. The Portfolio had no transfers between levels for period ended June 30, 2015.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2015. The breakdown of the Portfolio’s investments into major categories is disclosed in its schedule of investments.
Level 1 – | Level 2 – Significant Other Observable | Level 3 – Significant Unobservable | Total | |||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | $ | 475,467,403 | $ | – | $ | – | $ | 475,467,403 | ||||||||
Money Market Fund | 12,260,177 | – | – | 12,260,177 | ||||||||||||
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|
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|
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| |||||||||
TOTAL INVESTMENTS | 487,727,580 | – | – | 487,727,580 | ||||||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||||||||||
Futures contracts* | (187,586 | ) | – | – | (187,586 | ) | ||||||||||
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|
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| |||||||||
TOTAL ASSETS | 487,539,994 | – | – | 487,539,994 | ||||||||||||
|
|
|
|
|
|
|
|
* | Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities. |
The value of the Fund’s investment in the Portfolio is determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures.
Investment Transactions and Income Recognition – Investment transactions are recorded on the trade date for financial reporting purposes. Dividend income and capital gain distributions, if any, are recognized on the ex-dividend dates net of any foreign taxes withheld at the source. Realized gains and losses from the sale of disposition of investments are recorded on the identified cost basis.
Dividends and distributions – Dividends from net investment income are declared and paid at least annually. Distributions received by the Fund may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
Expenses – 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. Class specific fees are borne by each class.
Federal income taxes – The Fund has qualified and both the Fund and the Portfolio intend 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.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
At June 30, 2015, the cost of investments and the unrealized appreciation and depreciation of investments for federal income tax purpose are as follows:
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
State Street Equity 500 Index Fund | $ | 399,593,115 | $ | 26,406,728 | $ | – | $ | 26,406,728 | ||||||||
State Street Equity 500 Index II Portfolio | $ | 264,603,278 | $ | 225,155,189 | $ | (2,030,887 | ) | $ | 223,124,302 |
Futures – The Portfolio may enter into financial futures contracts as part of its strategy to track the performance of the S&P 500® Index. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with Securities and Exchange Commission requirements.
The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the benchmark and the prices of futures contracts and the possibility of an illiquid market. To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.
The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at June 30, 2015:
Liability Derivatives(1)
Equity Contracts Risk | Total | |||||
Futures Contracts | $(187,586) | $ | (187,586 | ) |
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Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
Transactions in derivative instruments during the year ended June 30, 2015, were as follows:
Realized Gain (Loss)(2)
Equity Contracts Risk | Total | |||||
Futures Contracts | $370,655 | $ | 370,655 |
Change in Unrealized Appreciation (Depreciation)(3)
Equity Contracts Risk | Total | |||||
Futures Contracts | $(302,397) | $ | (302,397 | ) |
(1) | Portfolio of Investments: Unrealized appreciation of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities. |
(2) | Statement of Operations location: Net realized gain (loss) on: Futures contracts |
(3) | Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts |
The average notional value of futures outstanding for the Portfolio during the year ended June 30, 2015 was $12,910,256.
3. | Securities Transactions |
For the period ended June 30, 2015, purchases and sales of the Portfolio were:
Fund | Purchases | Sales | ||||
State Street Equity 500 Index II Portfolio | $66,403,017 | $ | 3,566,775 |
4. | Related Party and Other Fees |
The Fund and Portfolio have entered into Investment Advisory Agreements with 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”), under which the Adviser directs the investments of the Portfolio in accordance with its investment objective, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Fund pays the Adviser a management fee at an annual rate of 0.02% of its average daily net assets. The Portfolio pays no investment advisory fees to SSGA FM.
SSGA FM is contractually obligated until April 30, 2016 to waive its management fee and/or to reimburse the Fund for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees, any class-specific expenses, such as distribution, shareholder servicing, sub-transfer agency and administration expenses) exceed 0.01% of average daily net assets on an annual basis. SSGA FM is contractually obligated until April 30, 2016, to reimburse certain expenses to the extent necessary such that the total annual operating expenses of the Portfolio (exclusive of non-recurring account fees, extraordinary expenses and acquired fund fees and distribution, shareholder servicing, and sub-transfer agency expenses) do not exceed 0.03% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Fund’s and the Portfolio’s, respectively, Board of Trustees.
27
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
For the period ended June 30, 2015, SSGA FM reimbursed or waived the fees under these agreements as shown on the respective Statement of Operations.
SSGA FM serves as Administrator and State Street serves as Sub-Administrator to the Fund. For its administration services, the Fund pays SSGA FM a fee at the annual rate of 0.05% of its average daily net assets. Pursuant to the Sub-Administration Agreement between SSGA FM and State Street, SSGA FM pays State Street for its services.
SSGA FM is the Administrator to the Portfolio. State Street is the Sub-Administrator, Custodian and Transfer Agent to the Portfolio and serves as Sub-Administrator and Custodian to the Fund. For these services the Portfolio pays SSGA FM an annual fee, which is accrued daily and payable monthly at the following rate:
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 | $150,000 |
SSGA FM compensates State Street for its services as Sub-Administrator, Custodian and Transfer Agent to the Portfolio. In addition, the Fund pays State Street an annual fee of $12,000 for custody and accounting services.
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 Fund. For these services, the Fund pays annual account services fees, activity-based fees, charges related to compliance and regulatory services.
The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which the Fund may compensate its distributor (State Street Global Markets LLC or “SSGM”) (or others) for services in connection with the distribution of the Fund’s Administrative Shares, Service Shares, Class R shares and Class A shares and for services provided to Fund shareholders (the “Plan”). The Plan calls for payments at an annual rate (based on average daily net assets) of 0.15%, 0.25%, 0.60% and 0.25% of the Fund’s net assets attributable to its Administrative Shares, Service Shares, Class R shares and Class A shares, respectively. Because these fees are paid out of the assets of the Fund attributable to its Administrative Shares, Service Shares, Class R shares and Class A shares on an ongoing basis, they will increase the cost of your investment and may cost you more over time than paying other types of sales charges. In addition to payments under the Plan, the Fund may reimburse SSGM or its affiliates for payments it makes to financial intermediaries that provide certain administrative, recordkeeping, and account maintenance services. The amount of the reimbursement and the manner in which it is calculated are reviewed by the Trustees periodically.
28
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
The Fund also may pay a sub-transfer agent fee at an annual rate of up to 0.20% of the Fund’s average daily net assets attributable to Class A and Class I for recordkeeping, shareholder servicing, or administrative services provided by financial intermediaries.
Affiliates Table
Certain investments made by the Portfolio were made in securities affiliated with State Street and SSGA FM. Investments in State Street Corp., the holding company of State Street, were made according to its representative portion of the S&P 500® Index. The Portfolio also invested in the State Street Institutional Liquid Reserves Fund. Transactions in all affiliates for the period ending June 30, 2015 were as follows:
Security | Number of shares held at 12/31/14 | Shares purchased for the six months ended 06/30/15 | Shares sold for the six months ended 06/30/15 | Number of shares held at 06/30/15 | Value at 06/30/15 | Income earned for the six months ended 06/30/15 | Realized gain/loss on shares sold | |||||||||||||||||||||
State Street Corp. | 9,678 | 1,200 | – | 10,878 | $ | 837,606 | $ | 6,602 | $ | – | ||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 10,185,685 | 85,403,679 | 83,329,187 | 12,260,177 | 12,260,177 | 6,457 | – |
5. | Trustees’ Fees |
Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Fund or Portfolio does not receive compensation from the Fund or Portfolio for his or her service as a Trustee.
Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Co-Chairmen receive an additional $44,000 annual retainer. The Trust will bear a pro rata allocation based on the Trust’s average monthly assets. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this Report, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.
The Trust’s officers are compensated by the Adviser and its affiliates.
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Table of Contents
State Street Institutional Investment Trust
Other Information
June 30, 2015 (Unaudited)
As a shareholder of a fund, you incur (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including management fees and to the extent applicable, distribution (12b-1) or service fees, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Fund and Portfolio (each, a “Fund”) and to compare these costs with the ongoing costs of investing in other mutual funds. It 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, 2015 to June 30, 2015.
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 and 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 Fund and 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 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 and 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 Fund’s or 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 fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Six Months Ended June 30, 2015
State Street Equity 500 Index Fund | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During | |||||||||
Based on Actual Class Return | ||||||||||||
Administrative Shares | $ | 1,000.00 | $ | 1,011.00 | $ | 1.05 | ||||||
Service Shares | $ | 1,000.00 | $ | 1,010.40 | $ | 1.55 | ||||||
Class R | $ | 1,000.00 | $ | 1,008.70 | $ | 3.29 |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
EXPENSE EXAMPLE — (continued)
State Street Equity 500 Index Fund | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During | |||||||||
Based on Actual Class Return | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,009.80 | $ | 2.54 | ||||||
Class K | $ | 1,000.00 | $ | 1,011.60 | $ | 0.30 | ||||||
Class I | $ | 1,000.00 | $ | 1,011.00 | $ | 1.30 |
State Street Equity 500 Index Fund | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During | |||||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
Administrative Shares | $ | 1,000.00 | $ | 1,023.75 | $ | 1.05 | ||||||
Service Shares | $ | 1,000.00 | $ | 1,023.26 | $ | 1.56 | ||||||
Class R | $ | 1,000.00 | $ | 1,021.52 | $ | 3.31 | ||||||
Class A | $ | 1,000.00 | $ | 1,022.27 | $ | 2.56 | ||||||
Class K | $ | 1,000.00 | $ | 1,024.50 | $ | 0.30 | ||||||
Class I | $ | 1,000.00 | $ | 1,023.51 | $ | 1.30 |
* | The calculations are based on expenses incurred in the most recent fiscal period of each Class. The Administrative Shares, Service Shares, Class R shares, Class A shares, Class K shares and Class I shares annualized expense ratios for the six months ended June 30, 2015 were 0.21%, 0.31%, 0.66%, 0.51%, 0.06% and 0.26%, respectively which includes the Fund’s proportionate share of the expenses of its Portfolio. The dollar amounts shown as “Expenses Paid” are 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). |
Six Months Ended June 30, 2015
State Street Equity 500 Index II Portfolio | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Actual Portfolio Return | $ | 1,000.00 | $ | 1,012.30 | $ | 0.15 | ||||||
Based on Hypothetical (5% return before expenses) | $ | 1,000.00 | $ | 1,024.65 | $ | 0.15 |
* | The calculations are based on expenses incurred in the most recent fiscal period of the Portfolio. The annualized expense ratio for the six months ended June 30, 2015 was 0.03%. The dollar amounts shown as “Expenses Paid” are 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). |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
Proxy Voting Policies and Procedures
Information regarding the Fund’s and the Portfolio’s proxy voting policies and procedures, as well as information regarding how the Fund and the Portfolio voted proxies, if any, during the most recent 12-month period ended June 30 is available by August 31 of each year without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.
Quarterly Portfolio Schedule
The Fund and the Portfolio each file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s and the Portfolio’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800 -SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).
TRUSTEE CONSIDERATIONS IN APPROVING CONTINUATION OF
INVESTMENT ADVISORY AGREEMENTS1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees, including by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Independent Trustees on the Board of Trustees (the “Board”) of the State Street Master Funds and State Street Institutional Investment Trust (each a “Trust” and together, the “Trusts”), met in Executive Sessions on April 12-13, 2015 and May 18-19, 2015 to consider a proposal to approve, with respect to each portfolio series of the each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully.2 The Independent Trustees were separately represented by co-counsel that is independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 12-13, 2015 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 18-19, 2015 meeting. The Independent Trustees considered, among other things, the following:
1 Over the course of more than 15 years, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustee before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans.
2 Certain Funds had either recently commenced operations or had yet to commence operations, and as such, the Advisory Agreement was not up for renewal with respect to such Funds.
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
¡ | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2014, as applicable, to the performance of an appropriate benchmark for the Fund and a universe of other mutual funds with similar investment objectives and policies; |
¡ | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider; |
¡ | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five years, as applicable; and |
¡ | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of any research through “soft dollar” benefits received in connection with the Funds’ brokerage; and |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
• | Information regarding the procedures and processes used to value the assets of the Funds and the assistance provided to the administrator of the Funds by the Adviser in monitoring the effectiveness of such procedures and processes. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds; |
• | A copy of each Code of Ethics adopted by the Adviser, together with information relating to compliance with and the administration of such Codes; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; and |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
Other Relevant Information
• | Information concerning the nature, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, administrator, fund accountant, transfer agent and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreements and agreements with other service providers of the Funds; |
• | Draft responses to letter dated March 11, 2015 from Joseph P. Barri, LLC (co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees reviewed prior to such date by Independent Counsel, requesting specific information, from each of: |
¡ | The Adviser, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the Funds’ last fiscal year; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the Funds’ last fiscal year; |
¡ | State Street Bank and Trust Company (“State Street”), the sub-administrator, administrator, custodian, transfer agent, securities lending agent, and/or shareholder services, as applicable, for the Funds, with respect to its operations relating to the Funds; and |
¡ | State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under SEC Rule 12b-1; |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
• | Information from the Adviser, State Street and the Distributor with respect to State Street Master Funds and State Street Institutional Investment Trust providing any material changes to the previous information supplied in response to the letter dated March 11, 2015 from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 18-19, 2015. |
• | Excerpts from the Funds’ most recent prospectuses, statements of additional information and respective annual reports for the fiscal year ended August 31, 2014 or December 31, 2014, as applicable. including (i) the latest prospectus descriptions of each Fund’s investment objectives, strategies and authorized investment techniques and investments; and (ii) the latest Annual Shareholder Report for each Fund, including Portfolio Management Discussion of Performance, as prepared by its portfolio management team, together with a graphic comparison of the performance of each Fund with its benchmark index, for its fiscal year ended August 31, 2014 or December 31, 2014, as applicable; |
• | Lipper materials dated March 2015, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds for which such materials were then available; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to each Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 18-19, 2015 the Board, including a majority of the Independent Trustees, voted to approve the adoption of, as applicable, and the continuation of the Advisory Agreements effective June 1, 2015, for an additional year with respect to all Funds.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment
35
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various Funds that invest primarily in equity securities. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of credit, interest-rate and currency risks. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board reviewed the compliance programs of the Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide, high quality investment management and related services for the Funds.
Fund Performance
The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2014 by evaluating the performance of the feeder fund. Among other information, the Board considered the following performance information in its evaluation of your Fund:
State Street Equity 500 Index Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index for the 1-, 3-, 5- and 10-year periods.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each operational Fund is satisfactory or better (a) by comparison to the performance of its peer group funds or (b) after considering steps taken by management to improve the performance of certain Funds.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio (both before and after giving effect to any expense caps), as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of various Funds to limit the total expenses borne by shareholders of such Funds. Among other information, the Board considered the following expense information in its evaluation of your Fund(s):
State Street Equity 500 Index Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Equity 500 Index II Portfolio. The Board considered that the Fund does not pay a management fee to the Adviser.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of similar mutual funds and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by the Adviser and the Affiliated Service Providers in connection with their relationships with the Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Funds and other investment advisory clients, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds.
The Board concluded that the profitability of the Adviser with respect to each of the Funds and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and all Funds as a group, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific Fund or the Funds taken as a whole. The Board concluded that, in light of the current size of each Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with respect to each Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.
Conclusions
In reaching its decision to approve the Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that the Adviser possesses the capability and resources to perform the duties required of it under the respective Advisory Agreement.
Further, based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of each Fund and its respective shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
William L. Boyan
Gregory A. Ehret
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Investment Adviser and Administrator
SSGA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian and Sub-Administrator of the Fund and Portfolio, Transfer Agent of the Portfolio
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
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSGA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSGA Funds Management, Inc. for investment advisory services.
Before investing, consider the funds’ investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1-800-997-7327 or visit www.SSGAfunds.com. Read it carefully.
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 | SSITEQ5SAR IBG-16225 © 2015 State Street Corporation - All Rights Reserved |
Not FDIC Insured - No Bank Guarantee - May Lose Value
Table of Contents
Semi-Annual Report
30 June 2015
State Street Institutional Investment Trust
State Street Aggregate Bond Index Fund
State Street Global Equity ex-U.S. Index Fund
State Street Aggregate Bond Index Portfolio
State Street Global Equity ex-U.S. Index Portfolio
Table of Contents
State Street Institutional Investment Trust
Semi-Annual Report
June 30, 2015
Table of Contents
State Street Aggregate Bond Fund | ||||
State Street Global Equity ex-U.S. Index Fund | ||||
2 | ||||
3 | ||||
4 | ||||
5 | ||||
State Street Aggregate Bond Portfolio | ||||
8 | ||||
9 | ||||
State Street Global Equity ex-U.S. Index Portfolio | ||||
31 | ||||
32 | ||||
State Street Aggregate Bond Portfolio | ||||
State Street Global Equity ex-U.S. Index Portfolio | ||||
50 | ||||
51 | ||||
52 | ||||
53 | ||||
54 | ||||
64 | ||||
67 | ||||
67 |
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State Street Institutional Investment Trust
Statement of Assets and Liabilities
June 30, 2015 (Unaudited)
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | |||||||
Assets | ||||||||
Investments in corresponding Portfolio, at market value (Note 1)* | $ | 43,250,623 | $ | 45,187,174 | ||||
Receivable for fund shares sold | 92,573 | 48,570 | ||||||
Dividends receivable from unaffiliated issuers (Note 4) | 72,954 | – | ||||||
Receivable from Adviser (Note 4) | 58,344 | 41,335 | ||||||
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|
|
| |||||
Total assets | 43,474,494 | 45,277,079 | ||||||
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| |||||
Liabilities | ||||||||
Payable for investments purchased | 165,291 | 48,335 | ||||||
Advisory fees payable (Note 4) | 3,258 | 6,966 | ||||||
Custody and accounting fees payable (Note 4) | 1,797 | 1,806 | ||||||
Transfer agent fees payable | 26,461 | 23,745 | ||||||
Administration fees payable (Note 4) | 20,964 | 17,158 | ||||||
Registration and filing fees payable | 13,803 | 15,654 | ||||||
Professional fees payable | 13,075 | 13,116 | ||||||
Sub-Transfer Agent fee payable (Note 4) | 977 | 54 | ||||||
Distribution fees payable (Note 4) | 24 | 25 | ||||||
Printing fees payable | – | 908 | ||||||
Insurance fees payable | 8,452 | 8,563 | ||||||
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| |||||
Total liabilities | 254,102 | 136,330 | ||||||
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Net Assets | $ | 43,220,392 | $ | 45,140,749 | ||||
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Net Assets Consist of: | ||||||||
Paid-in capital | $ | 42,630,144 | $ | 46,997,313 | ||||
Undistributed (distributions in excess of) net investment income | 69,517 | (33,537 | ) | |||||
Accumulated net realized gain (loss) | 773,303 | (6,150 | ) | |||||
Net unrealized appreciation (depreciation) on investments | (252,572 | ) | (1,816,877 | ) | ||||
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| |||||
Net Assets | $ | 43,220,392 | $ | 45,140,749 | ||||
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Class A | ||||||||
Net Assets | $ | 50,271 | $ | 47,802 | ||||
Shares of beneficial interest outstanding | 5,000 | 5,000 | ||||||
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Offering, net asset value, and redemption price per share | $ | 10.05 | $ | 9.56 | ||||
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Maximum Sales Charge | 4.50 | % | 4.50 | % | ||||
Maximum offering price per share | $ | 10.52 | $ | 10.01 | ||||
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Class I | ||||||||
Net Assets | $ | 4,480,017 | $ | 47,861 | ||||
Shares of beneficial interest outstanding | 445,645 | 5,000 | ||||||
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Offering, net asset value, and redemption price per share | $ | 10.05 | $ | 9.57 | ||||
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Class K | ||||||||
Net Assets | $ | 38,690,104 | $ | 45,045,086 | ||||
Shares of beneficial interest outstanding | 3,849,477 | 4,705,701 | ||||||
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Offering, net asset value, and redemption price per share | $ | 10.05 | $ | 9.57 | ||||
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*Investments in corresponding Portfolio, at Cost (Note 1) | $ | 43,503,195 | $ | 47,004,051 | ||||
*Shares of corresponding Portfolio | 4,300,122 | 4,715,701 |
See Notes to Financial Statements and Financial Statements of the corresponding Portfolios.
2
Table of Contents
State Street Institutional Investment Trust
Six Months Ended June 30, 2015 (Unaudited)
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | |||||||
Income | ||||||||
Dividend income from corresponding Portfolio (Note 1) | $ | 457,596 | $ | – | ||||
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| |||||
Expenses | ||||||||
Advisory fees (Note 4) | 7,757 | 13,345 | ||||||
Administration fees (Note 4) | 20,627 | 18,797 | ||||||
Distribution fees (Note 4) | ||||||||
Class A | 63 | 60 | ||||||
Registration and filing fees | 49,352 | 36,103 | ||||||
Professional fees | 12,444 | 12,444 | ||||||
Transfer agent fees (Note 4) | 17,970 | 17,896 | ||||||
Printing fees | 4,606 | 5,455 | ||||||
Insurance fees | 5,424 | 5,533 | ||||||
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Total expenses | 118,243 | 109,633 | ||||||
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Less: Expenses waived/reimbursed by the Adviser (Note 4) | (94,907 | ) | (76,096 | ) | ||||
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Net expenses | 23,336 | 33,537 | ||||||
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Net Investment Income (Loss) | $ | 434,260 | $ | (33,537 | ) | |||
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| |||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain on: | ||||||||
Net realized gain on investments from corresponding Portfolio | 773,303 | (4,154 | ) | |||||
Change in net unrealized appreciation (depreciation) on: | ||||||||
Investments from corresponding Portfolio | (876,373 | ) | 1,883,982 | |||||
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| |||||
Net realized and unrealized gain (loss) | (103,070 | ) | 1,879,828 | |||||
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Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 331,190 | $ | 1,846,291 | ||||
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|
See Notes to Financial Statements and Financial Statements of the corresponding Portfolios.
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State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | |||||||||||||||
Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/19/14* – 12/31/14 | Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/17/14* – 12/31/14 | |||||||||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income (loss) | $ | 434,260 | $ | 229,993 | $ | (33,537 | ) | $ | 241,527 | |||||||
Net realized gain (loss) on investments | 773,303 | 155,412 | (4,154 | ) | (1,996 | ) | ||||||||||
Change in net unrealized appreciation (depreciation) on investments | (876,373 | ) | 623,801 | 1,883,982 | (3,700,859 | ) | ||||||||||
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| |||||||||
Net increase (decrease) in net assets from operations | 331,190 | 1,009,206 | 1,846,291 | (3,461,328 | ) | |||||||||||
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Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | (317 | ) | (224 | ) | – | (212 | ) | |||||||||
Class I | (32,968 | ) | (18,524 | ) | – | (246 | ) | |||||||||
Class K | (331,458 | ) | (366,853 | ) | – | (241,183 | ) | |||||||||
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| |||||||||
Total distributions | (364,743 | ) | (385,601 | ) | – | (241,641 | ) | |||||||||
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Net Increase (Decrease) from Capital Share Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 50,000 | – | 50,000 | ||||||||||||
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Class I | ||||||||||||||||
Shares sold | – | 4,450,000 | – | 50,000 | ||||||||||||
Reinvestment of distribution | 32,597 | 18,266 | – | – | ||||||||||||
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| |||||||||
Net increase from Capital share transactions | 32,597 | 4,468,266 | – | 50,000 | ||||||||||||
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Class K | ||||||||||||||||
Shares sold | 99,661 | 70,042,895 | 2,402,441 | 44,253,803 | ||||||||||||
Reinvestment of distributions | 331,458 | 299,560 | – | 241,183 | ||||||||||||
Shares redeemed | (32,694,097 | ) | – | – | – | |||||||||||
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| |||||||||
Net increase (decrease) from Capital share transactions | (32,262,978 | ) | 70,342,455 | 2,402,441 | 44,494,986 | |||||||||||
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| |||||||||
Net Increase (Decrease) in Net Assets | (32,263,934 | ) | 75,484,326 | 4,248,732 | 40,892,017 | |||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 75,484,326 | – | 40,892,017 | – | ||||||||||||
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End of period | $ | 43,220,392 | $ | 75,484,326 | $ | 45,140,749 | $ | 40,892,017 | ||||||||
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Undistributed (distributions in excess of) net investment income | $ | 69,517 | $ | – | $ | (33,537 | ) | $ | – | |||||||
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Changes in Shares: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 5,000 | – | 5,000 | ||||||||||||
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Class I | ||||||||||||||||
Shares sold | – | 440,643 | – | 5,000 | ||||||||||||
Reinvestment of distributions | 3,193 | 1,809 | – | – | ||||||||||||
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| |||||||||
Net increase in shares | 3,193 | 442,452 | – | 5,000 | ||||||||||||
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Class K | ||||||||||||||||
Shares sold | 9,906 | 6,969,737 | 254,219 | 4,425,380 | ||||||||||||
Reinvestment of distributions | 32,446 | 29,655 | – | 26,102 | ||||||||||||
Shares redeemed | (3,192,267 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | (3,149,915 | ) | 6,999,392 | 254,219 | 4,451,482 | |||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations. |
See Notes to Financial Statements and Financial Statements of the corresponding Portfolios.
4
Table of Contents
State Street Institutional Investment Trust
Selected data for a Class A Share of beneficial interest outstanding throughout each period is presented below:
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | |||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | Period from 9/19/14* – 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | Period from 9/17/14* – 12/31/14 | |||||||||||||
Per Share Operating Performance: | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.14 | $ | 10.00 | $ | 9.17 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | 0.08 | 0.02 | (0.02 | ) | 0.04 | |||||||||||
Net realized and unrealized gain (loss) on investments | (0.11 | ) | 0.16 | 0.41 | (0.83 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.03 | ) | 0.18 | 0.39 | (0.79 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions From: | ||||||||||||||||
Net investment income | (0.06 | ) | (0.04 | ) | – | (0.04 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (0.09 | ) | 0.14 | 0.39 | (0.83 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value, End of Period | $ | 10.05 | $ | 10.14 | $ | 9.56 | $ | 9.17 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return(b)(c) | (0.27 | )% | 1.85 | % | 4.25 | % | (7.88 | )% | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (000s) | $ | 50 | $ | 51 | $ | 48 | $ | 46 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Gross expenses(d)(e) | 0.72 | % | 0.91 | % | 0.74 | % | 1.17 | % | ||||||||
Net expenses(d)(e) | 0.34 | % | 0.52 | % | 0.40 | % | 0.60 | % | ||||||||
Net investment income (loss)(d) | 1.59 | % | 0.58 | % | (0.40 | )% | 1.55 | % | ||||||||
Portfolio turnover rate(c)(f) | 42 | % | 16 | % | 1 | % | 0 | % |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
See Notes to Financial Statements and Financial Statements of the corresponding Portfolios.
5
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a Class I Share of beneficial interest outstanding throughout each period is presented below:
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | |||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | Period from 9/19/14* – 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | Period from 9/17/14* – 12/31/14 | |||||||||||||
Per Share Operating Performance: | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.13 | $ | 10.00 | $ | 9.17 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | 0.09 | 0.08 | (0.01 | ) | 0.05 | |||||||||||
Net realized and unrealized gain (loss) on investments | (0.10 | ) | 0.09 | 0.41 | (0.83 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.01 | ) | 0.17 | 0.40 | (0.78 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions From: | ||||||||||||||||
Net investment income | (0.07 | ) | (0.04 | ) | – | (0.05 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (0.08 | ) | 0.13 | 0.40 | (0.83 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value, End of Period | $ | 10.05 | $ | 10.13 | $ | 9.57 | $ | 9.17 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return(b)(c) | (0.07 | )% | 1.82 | % | 4.36 | % | (7.81 | )% | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (000s) | $ | 4,480 | $ | 4,484 | $ | 48 | $ | 46 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Gross expenses(d)(e) | 0.47 | % | 0.88 | % | 0.49 | % | 0.92 | % | ||||||||
Net expenses(d)(e) | 0.09 | % | 0.28 | % | 0.15 | % | 0.35 | % | ||||||||
Net investment income (loss)(d) | 1.84 | % | 2.91 | % | (0.15 | )% | 1.81 | % | ||||||||
Portfolio turnover rate(c)(f) | 42 | % | 16 | % | 1 | % | 0 | % |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
See Notes to Financial Statements and Financial Statements of the corresponding Portfolios.
6
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a Class K Share of beneficial interest outstanding throughout each period is presented below:
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | |||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | Period from 9/19/14* – 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | Period from 9/17/14* – 12/31/14 | |||||||||||||
Per Share Operating Performance: | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.14 | $ | 10.00 | $ | 9.17 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Operations: | ||||||||||||||||
Net investment income (loss)(a) | 0.08 | 0.04 | (0.01 | ) | 0.05 | |||||||||||
Net realized and unrealized gain (loss) on investments | (0.09 | ) | 0.15 | 0.41 | (0.83 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | (0.01 | ) | 0.19 | 0.40 | (0.78 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions From: | ||||||||||||||||
Net investment income | (0.08 | ) | (0.05 | ) | – | (0.05 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (0.09 | ) | 0.14 | 0.40 | (0.83 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value, End of Period | $ | 10.05 | $ | 10.14 | $ | 9.57 | $ | 9.17 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return(b)(c) | (0.13 | )% | 1.97 | % | 4.36 | % | (7.76 | )% | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (000s) | $ | 38,690 | $ | 70,950 | $ | 45,045 | $ | 40,800 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Gross expenses(d)(e) | 0.46 | % | 0.50 | % | 0.49 | % | 0.73 | % | ||||||||
Net expenses(d)(e) | 0.09 | % | 0.09 | % | 0.15 | % | 0.15 | % | ||||||||
Net investment income (loss)(d) | 1.66 | % | 1.33 | % | (0.15 | )% | 2.00 | % | ||||||||
Portfolio turnover rate(c)(f) | 42 | % | 16 | % | 1 | % | 0 | % |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
See Notes to Financial Statements and Financial Statements of the corresponding Portfolios.
7
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2015 | |||
U.S. Treasury Obligations | 35.5 | % | ||
Corporate Bonds | 26.7 | |||
U.S. Government Agency MBS TBA | 15.9 | |||
U.S. Government Agency Obligations | 15.3 | |||
Foreign Government Obligations | 2.2 | |||
Commercial Mortgage Backed Securities | 1.2 | |||
Asset Backed Securities | 0.6 | |||
Municipal Bonds & Notes | 0.2 | |||
Short Term Investment | 16.4 | |||
Other Liabilities in Excess of Assets | (14.0 | ) | ||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | June 30, 2015 | |||
Oil, Gas & Consumable Fuels | 3.3 | % | ||
Diversified Financial Services | 2.8 | |||
Banks | 2.8 | |||
Multi-National | 1.6 | |||
Capital Markets | 1.5 | |||
Total | 12.0 | % |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See accompanying notes to financial statements.
8
Table of Contents
State Street Aggregate Bond Index Portfolio
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – 26.7% | ||||||||||||||||||
Aerospace & Defense – 0.5% | ||||||||||||||||||
Boeing Co. | 0.950 | % | 05/15/2018 | $ | 25,000 | $ | 24,653 | |||||||||||
Embraer Netherlands Finance BV | 5.050 | % | 06/15/2025 | 35,000 | 35,087 | |||||||||||||
Honeywell International, Inc. | 5.300 | % | 03/01/2018 | 25,000 | 27,512 | |||||||||||||
L-3 Communications Corp. | 4.950 | % | 02/15/2021 | 25,000 | 26,475 | |||||||||||||
Lockheed Martin Corp. | 2.125 | % | 09/15/2016 | 25,000 | 25,370 | |||||||||||||
Northrop Grumman Corp. | 4.750 | % | 06/01/2043 | 25,000 | 25,223 | |||||||||||||
Precision Castparts Corp. | 2.500 | % | 01/15/2023 | 25,000 | 23,894 | |||||||||||||
Raytheon Co. | 3.125 | % | 10/15/2020 | 25,000 | 25,671 | |||||||||||||
United Technologies Corp. | 1.800 | % | 06/01/2017 | 25,000 | 25,365 | |||||||||||||
United Technologies Corp. | 6.125 | % | 02/01/2019 | 25,000 | 28,522 | |||||||||||||
United Technologies Corp. | 6.125 | % | 07/15/2038 | 50,000 | 60,987 | |||||||||||||
|
| |||||||||||||||||
328,759 | ||||||||||||||||||
|
| |||||||||||||||||
Air Freight & Logistics – 0.1% | ||||||||||||||||||
FedEx Corp. | 4.000 | % | 01/15/2024 | 25,000 | 25,796 | |||||||||||||
United Parcel Service, Inc. | 2.450 | % | 10/01/2022 | 25,000 | 24,134 | |||||||||||||
|
| |||||||||||||||||
49,930 | ||||||||||||||||||
|
| |||||||||||||||||
Airlines – 0.1% | ||||||||||||||||||
American Airlines 2014-1 Pass Through Trust (Class A) | 3.700 | % | 04/01/2028 | 24,267 | 23,782 | |||||||||||||
Southwest Airlines Co. | 2.750 | % | 11/06/2019 | 25,000 | 25,122 | |||||||||||||
|
| |||||||||||||||||
48,904 | ||||||||||||||||||
|
| |||||||||||||||||
Auto Components – 0.1% | ||||||||||||||||||
Johnson Controls, Inc. | 1.400 | % | 11/02/2017 | 25,000 | 24,796 | |||||||||||||
Johnson Controls, Inc. | 3.625 | % | 07/02/2024 | 25,000 | 24,605 | |||||||||||||
|
| |||||||||||||||||
49,401 | ||||||||||||||||||
|
| |||||||||||||||||
Automobiles – 0.1% | ||||||||||||||||||
Ford Motor Co. | 4.750 | % | 01/15/2043 | 50,000 | 48,125 | |||||||||||||
|
| |||||||||||||||||
Banks – 2.8% | ||||||||||||||||||
Abbey National Treasury Services PLC | 3.050 | % | 08/23/2018 | 25,000 | 25,800 | |||||||||||||
Bank of Montreal | 1.450 | % | 04/09/2018 | 25,000 | 24,902 | |||||||||||||
Bank of Nova Scotia | 1.375 | % | 07/15/2016 | 50,000 | 50,277 | |||||||||||||
Bank of Nova Scotia | 1.300 | % | 07/21/2017 | 50,000 | 49,961 | |||||||||||||
BB&T Corp. | 2.250 | % | 02/01/2019 | 25,000 | 25,018 | |||||||||||||
BNP Paribas SA | 1.375 | % | 03/17/2017 | 25,000 | 24,931 | |||||||||||||
BNP Paribas SA | 5.000 | % | 01/15/2021 | 25,000 | 27,765 | |||||||||||||
Branch Banking & Trust Co. | 1.450 | % | 10/03/2016 | 25,000 | 25,125 | |||||||||||||
Cooperatieve Centrale Raiffeisen-Boerenleenbank BA | 4.500 | % | 01/11/2021 | 50,000 | 54,517 | |||||||||||||
Credit Suisse | 6.000 | % | 02/15/2018 | 25,000 | 27,377 | |||||||||||||
Deutsche Bank AG | 1.350 | % | 05/30/2017 | 25,000 | 24,865 |
See accompanying notes to financial statements.
9
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Banks – (continued) | ||||||||||||||||||
Deutsche Bank AG | 2.500 | % | 02/13/2019 | $ | 25,000 | $ | 25,027 | |||||||||||
Fifth Third Bancorp | 2.300 | % | 03/01/2019 | 50,000 | 49,775 | |||||||||||||
HSBC Holdings PLC | 5.100 | % | 04/05/2021 | 50,000 | 55,716 | |||||||||||||
International Finance Corp. | 1.000 | % | 04/24/2017 | 50,000 | 50,268 | |||||||||||||
International Finance Corp. | 1.750 | % | 09/16/2019 | 25,000 | 25,195 | |||||||||||||
KeyCorp | 2.300 | % | 12/13/2018 | 25,000 | 25,166 | |||||||||||||
KFW | 0.875 | % | 12/15/2017 | 75,000 | 74,802 | |||||||||||||
KFW | 1.000 | % | 06/11/2018 | 25,000 | 24,880 | |||||||||||||
KFW | 4.500 | % | 07/16/2018 | 75,000 | 82,345 | |||||||||||||
KFW | 1.875 | % | 04/01/2019 | 25,000 | 25,388 | |||||||||||||
KFW | 2.625 | % | 01/25/2022 | 50,000 | 51,390 | |||||||||||||
KFW | 2.125 | % | 01/17/2023 | 100,000 | 98,835 | |||||||||||||
KFW | 2.500 | % | 11/20/2024 | 50,000 | 49,989 | |||||||||||||
Landwirtschaftliche Rentenbank | 1.000 | % | 04/04/2018 | 50,000 | 49,876 | |||||||||||||
Landwirtschaftliche Rentenbank | 2.250 | % | 10/01/2021 | 50,000 | 50,504 | |||||||||||||
Oesterreichische Kontrollbank AG | 1.125 | % | 05/29/2018 | 50,000 | 49,869 | |||||||||||||
Oesterreichische Kontrollbank AG | 1.625 | % | 03/12/2019 | 25,000 | 25,168 | |||||||||||||
PNC Financial Services Group, Inc. | 3.900 | % | 04/29/2024 | 50,000 | 50,241 | |||||||||||||
PNC Funding Corp. | 3.300 | % | 03/08/2022 | 50,000 | 50,639 | |||||||||||||
Royal Bank of Canada | 2.300 | % | 07/20/2016 | 50,000 | 50,817 | |||||||||||||
Royal Bank of Canada | 1.200 | % | 09/19/2017 | 50,000 | 50,009 | |||||||||||||
Royal Bank of Canada | 1.500 | % | 01/16/2018 | 50,000 | 49,945 | |||||||||||||
SunTrust Banks, Inc. | 2.350 | % | 11/01/2018 | 25,000 | 25,160 | |||||||||||||
Toronto-Dominion Bank | 2.375 | % | 10/19/2016 | 50,000 | 50,991 | |||||||||||||
Toronto-Dominion Bank | 1.125 | % | 05/02/2017 | 25,000 | 24,971 | |||||||||||||
US Bancorp | 2.200 | % | 04/25/2019 | 25,000 | 25,109 | |||||||||||||
US Bancorp | 3.600 | % | 09/11/2024 | 25,000 | 25,030 | |||||||||||||
Wells Fargo & Co. | 2.150 | % | 01/15/2019 | 25,000 | 25,103 | |||||||||||||
Wells Fargo & Co. | 3.000 | % | 01/22/2021 | 50,000 | 50,515 | |||||||||||||
Wells Fargo & Co. | 4.125 | % | 08/15/2023 | 25,000 | 25,820 | |||||||||||||
Wells Fargo & Co. | 4.480 | % | 01/16/2024 | 25,000 | 26,259 | |||||||||||||
Wells Fargo & Co. | 5.606 | % | 01/15/2044 | 50,000 | 54,642 | |||||||||||||
Wells Fargo Capital X | 5.950 | % | 12/01/2086 | 25,000 | 24,750 | |||||||||||||
Westpac Banking Corp. | 1.550 | % | 05/25/2018 | 100,000 | 99,311 | |||||||||||||
Westpac Banking Corp. | 2.250 | % | 01/17/2019 | 25,000 | 25,061 | |||||||||||||
|
| |||||||||||||||||
1,909,104 | ||||||||||||||||||
|
| |||||||||||||||||
Beverages – 0.4% | ||||||||||||||||||
Anheuser-Busch InBev Finance, Inc. | 1.125 | % | 01/27/2017 | 25,000 | 25,034 | |||||||||||||
Anheuser-Busch InBev Finance, Inc. | 2.150 | % | 02/01/2019 | 25,000 | 25,079 |
See accompanying notes to financial statements.
10
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Beverages – (continued) | ||||||||||||||||||
Anheuser-Busch InBev Worldwide, Inc. | 3.750 | % | 07/15/2042 | $ | 50,000 | $ | 43,939 | |||||||||||
Coca-Cola Co. | 1.150 | % | 04/01/2018 | 25,000 | 24,835 | |||||||||||||
Coca-Cola Co. | 1.650 | % | 11/01/2018 | 25,000 | 25,028 | |||||||||||||
Coca-Cola Co. | 3.200 | % | 11/01/2023 | 25,000 | 25,174 | |||||||||||||
Diageo Capital PLC | 1.500 | % | 05/11/2017 | 25,000 | 25,042 | |||||||||||||
Diageo Capital PLC | 2.625 | % | 04/29/2023 | 25,000 | 23,754 | |||||||||||||
Dr Pepper Snapple Group, Inc. | 2.000 | % | 01/15/2020 | 25,000 | 24,227 | |||||||||||||
PepsiCo, Inc. | 0.950 | % | 02/22/2017 | 25,000 | 24,984 | |||||||||||||
PepsiCo, Inc. | 3.600 | % | 03/01/2024 | 25,000 | 25,706 | |||||||||||||
|
| |||||||||||||||||
292,802 | ||||||||||||||||||
|
| |||||||||||||||||
Biotechnology – 0.2% | ||||||||||||||||||
Amgen, Inc. | 6.375 | % | 06/01/2037 | 50,000 | 58,556 | |||||||||||||
Celgene Corp. | 3.625 | % | 05/15/2024 | 25,000 | 24,888 | |||||||||||||
Gilead Sciences, Inc. | 4.400 | % | 12/01/2021 | 25,000 | 27,210 | |||||||||||||
Gilead Sciences, Inc. | 4.500 | % | 02/01/2045 | 25,000 | 24,707 | |||||||||||||
|
| |||||||||||||||||
135,361 | ||||||||||||||||||
|
| |||||||||||||||||
Capital Markets – 1.5% | ||||||||||||||||||
Bank of New York Mellon Corp. | 2.200 | % | 03/04/2019 | 25,000 | 25,018 | |||||||||||||
Bank of New York Mellon Corp. | 3.000 | % | 02/24/2025 | 100,000 | 96,458 | |||||||||||||
Bear Stearns Cos. LLC | 6.400 | % | 10/02/2017 | 50,000 | 55,067 | |||||||||||||
BlackRock, Inc. | 3.500 | % | 03/18/2024 | 25,000 | 25,273 | |||||||||||||
Goldman Sachs Group, Inc. | 2.900 | % | 07/19/2018 | 50,000 | 51,228 | |||||||||||||
Goldman Sachs Group, Inc. | 2.625 | % | 01/31/2019 | 50,000 | 50,506 | |||||||||||||
Goldman Sachs Group, Inc. | 2.550 | % | 10/23/2019 | 25,000 | 24,971 | |||||||||||||
Goldman Sachs Group, Inc. | 3.625 | % | 01/22/2023 | 25,000 | 24,985 | |||||||||||||
Goldman Sachs Group, Inc. | 4.000 | % | 03/03/2024 | 50,000 | 50,605 | |||||||||||||
Goldman Sachs Group, Inc. | 5.950 | % | 01/15/2027 | 50,000 | 55,828 | |||||||||||||
Goldman Sachs Group, Inc. | 4.800 | % | 07/08/2044 | 50,000 | 49,289 | |||||||||||||
HSBC USA, Inc. | 1.625 | % | 01/16/2018 | 100,000 | 99,580 | |||||||||||||
Morgan Stanley | 4.750 | % | 03/22/2017 | 50,000 | 52,722 | |||||||||||||
Morgan Stanley | 2.125 | % | 04/25/2018 | 25,000 | 25,136 | |||||||||||||
Morgan Stanley | 2.200 | % | 12/07/2018 | 50,000 | 50,207 | |||||||||||||
Morgan Stanley | 2.375 | % | 07/23/2019 | 50,000 | 49,705 | |||||||||||||
Morgan Stanley | 2.800 | % | 06/16/2020 | 50,000 | 50,188 | |||||||||||||
Morgan Stanley | 3.750 | % | 02/25/2023 | 50,000 | 50,616 | |||||||||||||
Morgan Stanley | 4.350 | % | 09/08/2026 | 50,000 | 49,196 | |||||||||||||
Morgan Stanley | 3.950 | % | 04/23/2027 | 25,000 | 23,587 | |||||||||||||
Svensk Exportkredit AB | 1.750 | % | 05/30/2017 | 25,000 | 25,411 | |||||||||||||
TD Ameritrade Holding Corp. | 5.600 | % | 12/01/2019 | 25,000 | 28,335 | |||||||||||||
|
| |||||||||||||||||
1,013,911 | ||||||||||||||||||
|
|
See accompanying notes to financial statements.
11
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Chemicals – 0.5% | ||||||||||||||||||
CF Industries, Inc. | 3.450 | % | 06/01/2023 | $ | 25,000 | $ | 24,051 | |||||||||||
Dow Chemical Co. | 4.250 | % | 11/15/2020 | 25,000 | 26,561 | |||||||||||||
Dow Chemical Co. | 3.000 | % | 11/15/2022 | 25,000 | 24,045 | |||||||||||||
Dow Chemical Co. | 4.250 | % | 10/01/2034 | 50,000 | 46,435 | |||||||||||||
Eastman Chemical Co. | 3.800 | % | 03/15/2025 | 25,000 | 24,930 | |||||||||||||
Ecolab, Inc. | 4.350 | % | 12/08/2021 | 25,000 | 26,768 | |||||||||||||
EI du Pont de Nemours & Co. | 6.000 | % | 07/15/2018 | 25,000 | 28,017 | |||||||||||||
EI du Pont de Nemours & Co. | 3.625 | % | 01/15/2021 | 25,000 | 25,949 | |||||||||||||
Lubrizol Corp. | 8.875 | % | 02/01/2019 | 25,000 | 30,498 | |||||||||||||
Monsanto Co. | 4.700 | % | 07/15/2064 | 25,000 | 21,169 | |||||||||||||
PPG Industries, Inc. | 2.300 | % | 11/15/2019 | 25,000 | 24,867 | |||||||||||||
Praxair, Inc. | 3.550 | % | 11/07/2042 | 25,000 | 21,631 | |||||||||||||
|
| |||||||||||||||||
324,921 | ||||||||||||||||||
|
| |||||||||||||||||
Commercial Services & Supplies – 0.1% | ||||||||||||||||||
Republic Services, Inc. | 3.550 | % | 06/01/2022 | 25,000 | 25,201 | |||||||||||||
Waste Management, Inc. | 3.500 | % | 05/15/2024 | 25,000 | 25,159 | |||||||||||||
Western Union Co. | 3.350 | % | 05/22/2019 | 25,000 | 25,293 | |||||||||||||
|
| |||||||||||||||||
75,653 | ||||||||||||||||||
|
| |||||||||||||||||
Communications Equipment – 0.2% | ||||||||||||||||||
Cisco Systems, Inc. | 2.125 | % | 03/01/2019 | 25,000 | 25,111 | |||||||||||||
Cisco Systems, Inc. | 3.625 | % | 03/04/2024 | 25,000 | 25,791 | |||||||||||||
Cisco Systems, Inc. | 3.500 | % | 06/15/2025 | 25,000 | 25,327 | |||||||||||||
Motorola Solutions, Inc. | 4.000 | % | 09/01/2024 | 25,000 | 24,299 | |||||||||||||
QUALCOMM, Inc. | 2.250 | % | 05/20/2020 | 50,000 | 49,591 | |||||||||||||
|
| |||||||||||||||||
150,119 | ||||||||||||||||||
|
| |||||||||||||||||
Consumer Finance – 0.3% | ||||||||||||||||||
Capital One Financial Corp. | 2.450 | % | 04/24/2019 | 50,000 | 49,912 | |||||||||||||
Caterpillar Financial Services Corp. | 1.000 | % | 03/03/2017 | 25,000 | 25,004 | |||||||||||||
Caterpillar Financial Services Corp. | 3.750 | % | 11/24/2023 | 25,000 | 25,997 | |||||||||||||
Discover Financial Services | 3.850 | % | 11/21/2022 | 50,000 | 49,415 | |||||||||||||
John Deere Capital Corp. | 1.050 | % | 12/15/2016 | 25,000 | 25,076 | |||||||||||||
Synchrony Financial | 1.875 | % | 08/15/2017 | 25,000 | 24,931 | |||||||||||||
|
| |||||||||||||||||
200,335 | ||||||||||||||||||
|
| |||||||||||||||||
Diversified Consumer Services – 0.1% | ||||||||||||||||||
Massachusetts Institute of Technology | 3.959 | % | 07/01/2038 | 50,000 | 49,542 | |||||||||||||
|
| |||||||||||||||||
Diversified Financial Services – 2.8% | ||||||||||||||||||
Air Lease Corp. | 4.250 | % | 09/15/2024 | 25,000 | 24,934 | |||||||||||||
American Express Credit Corp. | 2.125 | % | 03/18/2019 | 50,000 | 49,958 |
See accompanying notes to financial statements.
12
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Diversified Financial Services – (continued) | ||||||||||||||||||
American Express Credit Corp. | 2.250 | % | 08/15/2019 | $ | 50,000 | $ | 49,905 | |||||||||||
American Honda Finance Corp. | 2.250 | % | 08/15/2019 | 25,000 | 25,090 | |||||||||||||
Ameriprise Financial, Inc. | 3.700 | % | 10/15/2024 | 50,000 | 50,848 | |||||||||||||
Aon PLC | 4.450 | % | 05/24/2043 | 25,000 | 23,147 | |||||||||||||
Bank of America Corp. | 6.500 | % | 08/01/2016 | 75,000 | 79,174 | |||||||||||||
Bank of America Corp. | 2.600 | % | 01/15/2019 | 50,000 | 50,459 | |||||||||||||
Bank of America Corp. | 2.650 | % | 04/01/2019 | 50,000 | 50,394 | |||||||||||||
Bank of America Corp. | 4.125 | % | 01/22/2024 | 25,000 | 25,618 | |||||||||||||
Bank of America Corp. | 4.000 | % | 04/01/2024 | 50,000 | 50,870 | |||||||||||||
Bank of America Corp. | 4.200 | % | 08/26/2024 | 50,000 | 49,495 | |||||||||||||
Bank of America Corp. | 4.250 | % | 10/22/2026 | 75,000 | 73,126 | |||||||||||||
Capital One Financial Corp. | 6.750 | % | 09/15/2017 | 25,000 | 27,641 | |||||||||||||
Citigroup, Inc. | 1.550 | % | 08/14/2017 | 50,000 | 49,856 | |||||||||||||
Citigroup, Inc. | 2.500 | % | 09/26/2018 | 50,000 | 50,583 | |||||||||||||
Citigroup, Inc. | 2.550 | % | 04/08/2019 | 50,000 | 50,307 | |||||||||||||
Citigroup, Inc. | 3.750 | % | 06/16/2024 | 25,000 | 25,124 | |||||||||||||
Citigroup, Inc. | 4.300 | % | 11/20/2026 | 50,000 | 49,009 | |||||||||||||
Citigroup, Inc. | 5.300 | % | 05/06/2044 | 50,000 | 51,100 | |||||||||||||
Credit Suisse USA, Inc. | 7.125 | % | 07/15/2032 | 50,000 | 64,298 | |||||||||||||
Ford Motor Credit Co. LLC | 6.625 | % | 08/15/2017 | 100,000 | 109,585 | |||||||||||||
General Electric Capital Corp. | 1.500 | % | 07/12/2016 | 25,000 | 25,195 | |||||||||||||
General Electric Capital Corp. | 5.625 | % | 09/15/2017 | 50,000 | 54,527 | |||||||||||||
General Electric Capital Corp. | 2.300 | % | 01/14/2019 | 25,000 | 25,273 | |||||||||||||
General Electric Capital Corp. | 5.300 | % | 02/11/2021 | 25,000 | 28,088 | |||||||||||||
General Electric Capital Corp. | 4.650 | % | 10/17/2021 | 50,000 | 55,065 | |||||||||||||
General Electric Capital Corp. | 3.450 | % | 05/15/2024 | 50,000 | 50,731 | |||||||||||||
General Electric Capital Corp. | 5.875 | % | 01/14/2038 | 50,000 | 59,735 | |||||||||||||
General Motors Financial Co., Inc. | 3.150 | % | 01/15/2020 | 35,000 | 35,075 | |||||||||||||
General Motors Financial Co., Inc. | 4.000 | % | 01/15/2025 | 35,000 | 34,362 | |||||||||||||
HSBC Finance Corp. | 6.676 | % | 01/15/2021 | 25,000 | 28,859 | |||||||||||||
JPMorgan Chase & Co. | 1.350 | % | 02/15/2017 | 50,000 | 50,009 | |||||||||||||
JPMorgan Chase & Co. | 1.625 | % | 05/15/2018 | 50,000 | 49,555 | |||||||||||||
JPMorgan Chase & Co. | 2.350 | % | 01/28/2019 | 50,000 | 50,088 | |||||||||||||
JPMorgan Chase & Co. | 3.375 | % | 05/01/2023 | 75,000 | 73,182 | |||||||||||||
JPMorgan Chase & Co. | 3.875 | % | 02/01/2024 | 50,000 | 50,622 | |||||||||||||
JPMorgan Chase & Co. | 4.850 | % | 02/01/2044 | 50,000 | 50,995 | |||||||||||||
National Rural Utilities Cooperative Finance Corp.(a) | 4.750 | % | 04/30/2043 | 75,000 | 74,250 | |||||||||||||
Nomura Holdings, Inc. | 2.000 | % | 09/13/2016 | 25,000 | 25,131 | |||||||||||||
Toyota Motor Credit Corp. | 2.100 | % | 01/17/2019 | 50,000 | 50,207 | |||||||||||||
|
| |||||||||||||||||
1,951,470 | ||||||||||||||||||
|
|
See accompanying notes to financial statements.
13
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Diversified Telecommunication Services – 0.5% | ||||||||||||||||||
AT&T, Inc. | 6.300 | % | 01/15/2038 | $ | 50,000 | $ | 55,184 | |||||||||||
Verizon Communications, Inc. | 2.500 | % | 09/15/2016 | 34,000 | 34,594 | |||||||||||||
Verizon Communications, Inc. | 5.150 | % | 09/15/2023 | 25,000 | 27,388 | |||||||||||||
Verizon Communications, Inc. | 3.500 | % | 11/01/2024 | 50,000 | 48,736 | |||||||||||||
Verizon Communications, Inc. | 6.400 | % | 09/15/2033 | 15,000 | 17,192 | |||||||||||||
Verizon Communications, Inc.(b) | 4.272 | % | 01/15/2036 | 28,000 | 25,195 | |||||||||||||
Verizon Communications, Inc. | 6.400 | % | 02/15/2038 | 25,000 | 28,340 | |||||||||||||
Verizon Communications, Inc. | 6.900 | % | 04/15/2038 | 15,000 | 17,945 | |||||||||||||
Verizon Communications, Inc. | 6.550 | % | 09/15/2043 | 50,000 | 58,662 | |||||||||||||
Verizon Communications, Inc. | 4.862 | % | 08/21/2046 | 50,000 | 46,876 | |||||||||||||
Verizon Communications, Inc.(b) | 4.522 | % | 09/15/2048 | 25,000 | 21,967 | |||||||||||||
|
| |||||||||||||||||
382,079 | ||||||||||||||||||
|
| |||||||||||||||||
Electric Utilities – 1.4% | ||||||||||||||||||
Alabama Power Co. | 3.850 | % | 12/01/2042 | 75,000 | 68,219 | |||||||||||||
Appalachian Power Co. | 4.400 | % | 05/15/2044 | 25,000 | 23,661 | |||||||||||||
Baltimore Gas & Electric Co. | 6.350 | % | 10/01/2036 | 50,000 | 61,998 | |||||||||||||
Berkshire Hathaway Energy Co. | 1.100 | % | 05/15/2017 | 50,000 | 49,734 | |||||||||||||
Berkshire Hathaway Finance Corp. | 1.600 | % | 05/15/2017 | 25,000 | 25,273 | |||||||||||||
Consolidated Edison Co. of New York, Inc. | 6.200 | % | 06/15/2036 | 25,000 | 30,641 | |||||||||||||
Dominion Gas Holdings LLC | 4.800 | % | 11/01/2043 | 25,000 | 23,981 | |||||||||||||
Duke Energy Carolinas LLC | 4.250 | % | 12/15/2041 | 50,000 | 48,665 | |||||||||||||
Duke Energy Corp. | 1.625 | % | 08/15/2017 | 50,000 | 50,142 | |||||||||||||
Exelon Corp. | 4.950 | % | 06/15/2035 | 25,000 | 25,305 | |||||||||||||
Florida Power & Light Co. | 3.250 | % | 06/01/2024 | 25,000 | 25,120 | |||||||||||||
Florida Power & Light Co. | 4.050 | % | 10/01/2044 | 50,000 | 48,152 | |||||||||||||
Hydro-Quebec | 1.375 | % | 06/19/2017 | 50,000 | 50,435 | |||||||||||||
NiSource Finance Corp. | 6.800 | % | 01/15/2019 | 25,000 | 28,822 | |||||||||||||
Pacific Gas & Electric Co. | 3.250 | % | 06/15/2023 | 50,000 | 49,638 | |||||||||||||
Pacific Gas & Electric Co. | 6.050 | % | 03/01/2034 | 50,000 | 59,558 | |||||||||||||
PPL Capital Funding, Inc. | 3.500 | % | 12/01/2022 | 75,000 | 75,312 | |||||||||||||
Public Service Co. of Colorado | 3.200 | % | 11/15/2020 | 25,000 | 25,788 | |||||||||||||
Public Service Electric & Gas Co. | 3.650 | % | 09/01/2042 | 50,000 | 44,656 | |||||||||||||
Southern California Edison Co. | 3.900 | % | 03/15/2043 | 50,000 | 46,838 | |||||||||||||
Southern California Gas Co. | 3.150 | % | 09/15/2024 | 25,000 | 24,833 | |||||||||||||
Southern Co. | 1.950 | % | 09/01/2016 | 25,000 | 25,307 | |||||||||||||
Virginia Electric & Power Co. | 3.450 | % | 02/15/2024 | 50,000 | 50,676 | |||||||||||||
WEC Energy Group, Inc. | 3.550 | % | 06/15/2025 | 25,000 | 24,949 | |||||||||||||
|
| |||||||||||||||||
987,703 | ||||||||||||||||||
|
|
See accompanying notes to financial statements.
14
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Electrical Equipment – 0.0%(c) | ||||||||||||||||||
Emerson Electric Co. | 2.625 | % | 02/15/2023 | $ | 25,000 | $ | 24,109 | |||||||||||
|
| |||||||||||||||||
Electronic Equipment, Instruments & Components – 0.1% | ||||||||||||||||||
Corning, Inc. | 5.750 | % | 08/15/2040 | 25,000 | 28,356 | |||||||||||||
Lam Research Corp. | 2.750 | % | 03/15/2020 | 25,000 | 24,881 | |||||||||||||
|
| |||||||||||||||||
53,237 | ||||||||||||||||||
|
| |||||||||||||||||
Energy Equipment & Services – 0.1% | ||||||||||||||||||
Halliburton Co. | 7.450 | % | 09/15/2039 | 25,000 | 33,231 | |||||||||||||
Weatherford International, Ltd. | 4.500 | % | 04/15/2022 | 25,000 | 23,350 | |||||||||||||
|
| |||||||||||||||||
56,581 | ||||||||||||||||||
|
| |||||||||||||||||
Food & Staples Retailing – 0.6% | ||||||||||||||||||
Kellogg Co. | 4.150 | % | 11/15/2019 | 25,000 | 26,508 | |||||||||||||
Kroger Co. | 3.850 | % | 08/01/2023 | 75,000 | 76,096 | |||||||||||||
Mondelez International, Inc. | 4.000 | % | 02/01/2024 | 25,000 | 25,707 | |||||||||||||
Sysco Corp. | 3.000 | % | 10/02/2021 | 50,000 | 50,337 | |||||||||||||
Tyson Foods, Inc. | 4.500 | % | 06/15/2022 | 25,000 | 26,355 | |||||||||||||
Wal-Mart Stores, Inc. | 1.125 | % | 04/11/2018 | 25,000 | 24,878 | |||||||||||||
Wal-Mart Stores, Inc. | 1.950 | % | 12/15/2018 | 25,000 | 25,289 | |||||||||||||
Wal-Mart Stores, Inc. | 5.250 | % | 09/01/2035 | 25,000 | 28,244 | |||||||||||||
Wal-Mart Stores, Inc. | 4.875 | % | 07/08/2040 | 50,000 | 53,563 | |||||||||||||
Wal-Mart Stores, Inc. | 4.000 | % | 04/11/2043 | 25,000 | 23,898 | |||||||||||||
Walgreen Co. | 3.100 | % | 09/15/2022 | 25,000 | 24,006 | |||||||||||||
Walgreens Boots Alliance, Inc. | 4.500 | % | 11/18/2034 | 25,000 | 23,247 | |||||||||||||
|
| |||||||||||||||||
408,128 | ||||||||||||||||||
|
| |||||||||||||||||
Food Products – 0.2% | ||||||||||||||||||
Archer-Daniels-Midland Co.(a) | 5.765 | % | 03/01/2041 | 25,000 | 29,476 | |||||||||||||
ConAgra Foods, Inc. | 1.900 | % | 01/25/2018 | 25,000 | 24,663 | |||||||||||||
General Mills, Inc. | 2.200 | % | 10/21/2019 | 25,000 | 24,717 | |||||||||||||
Kraft Foods Group, Inc. | 6.125 | % | 08/23/2018 | 25,000 | 27,929 | |||||||||||||
Kraft Foods Group, Inc. | 6.875 | % | 01/26/2039 | 50,000 | 59,598 | |||||||||||||
|
| |||||||||||||||||
166,383 | ||||||||||||||||||
|
| |||||||||||||||||
Gas Utilities – 0.1% | ||||||||||||||||||
AGL Capital Corp. | 5.250 | % | 08/15/2019 | 25,000 | 27,647 | |||||||||||||
Atmos Energy Corp. | 4.150 | % | 01/15/2043 | 25,000 | 23,807 | |||||||||||||
|
| |||||||||||||||||
51,454 | ||||||||||||||||||
|
| |||||||||||||||||
Health Care Equipment & Supplies – 0.4% | ||||||||||||||||||
Baxter International, Inc. | 3.200 | % | 06/15/2023 | 25,000 | 25,629 | |||||||||||||
Becton Dickinson and Co. | 2.675 | % | 12/15/2019 | 50,000 | 49,951 | |||||||||||||
Boston Scientific Corp. | 2.650 | % | 10/01/2018 | 25,000 | 25,237 |
See accompanying notes to financial statements.
15
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Health Care Equipment & Supplies – (continued) | ||||||||||||||||||
Covidien International Finance SA | 3.200 | % | 06/15/2022 | $ | 50,000 | $ | 49,801 | |||||||||||
Express Scripts Holding Co. | 6.125 | % | 11/15/2041 | 25,000 | 28,803 | |||||||||||||
Medtronic, Inc. | 1.375 | % | 04/01/2018 | 25,000 | 24,799 | |||||||||||||
Medtronic, Inc. | 5.550 | % | 03/15/2040 | 25,000 | 27,880 | |||||||||||||
Stryker Corp. | 2.000 | % | 09/30/2016 | 25,000 | 25,328 | |||||||||||||
Zimmer Biomet Holdings, Inc. | 3.550 | % | 04/01/2025 | 25,000 | 24,129 | |||||||||||||
|
| |||||||||||||||||
281,557 | ||||||||||||||||||
|
| |||||||||||||||||
Health Care Providers & Services – 0.5% | ||||||||||||||||||
Aetna, Inc. | 2.200 | % | 03/15/2019 | 25,000 | 24,842 | |||||||||||||
Aetna, Inc. | 4.125 | % | 11/15/2042 | 25,000 | 22,020 | |||||||||||||
Anthem, Inc. | 3.500 | % | 08/15/2024 | 25,000 | 23,988 | |||||||||||||
Cardinal Health, Inc. | 1.700 | % | 03/15/2018 | 25,000 | 24,905 | |||||||||||||
Cigna Corp. | 5.375 | % | 02/15/2042 | 50,000 | 52,548 | |||||||||||||
Howard Hughes Medical Institute | 3.500 | % | 09/01/2023 | 25,000 | 25,745 | |||||||||||||
Humana, Inc. | 2.625 | % | 10/01/2019 | 25,000 | 25,046 | |||||||||||||
Memorial Sloan-Kettering Cancer Center | 4.125 | % | 07/01/2052 | 25,000 | 22,562 | |||||||||||||
Quest Diagnostics, Inc. | 2.700 | % | 04/01/2019 | 25,000 | 25,179 | |||||||||||||
Quest Diagnostics, Inc. | 4.700 | % | 03/30/2045 | 25,000 | 22,178 | |||||||||||||
UnitedHealth Group, Inc. | 2.875 | % | 03/15/2022 | 25,000 | 24,388 | |||||||||||||
UnitedHealth Group, Inc. | 6.875 | % | 02/15/2038 | 25,000 | 32,639 | |||||||||||||
|
| |||||||||||||||||
326,040 | ||||||||||||||||||
|
| |||||||||||||||||
Hotels, Restaurants & Leisure – 0.1% | ||||||||||||||||||
McDonald’s Corp. | 5.800 | % | 10/15/2017 | 25,000 | 27,416 | |||||||||||||
McDonald’s Corp. | 1.875 | % | 05/29/2019 | 25,000 | 24,717 | |||||||||||||
Starwood Hotels & Resorts Worldwide, Inc. | 3.750 | % | 03/15/2025 | 25,000 | 24,044 | |||||||||||||
|
| |||||||||||||||||
76,177 | ||||||||||||||||||
|
| |||||||||||||||||
Household Products – 0.2% | ||||||||||||||||||
Colgate-Palmolive Co. | 1.750 | % | 03/15/2019 | 25,000 | 24,886 | |||||||||||||
Procter & Gamble Co. | 1.450 | % | 08/15/2016 | 25,000 | 25,226 | |||||||||||||
Procter & Gamble Co. | 5.800 | % | 08/15/2034 | 50,000 | 61,398 | |||||||||||||
|
| |||||||||||||||||
111,510 | ||||||||||||||||||
|
| |||||||||||||||||
Industrial Conglomerates – 0.1% | ||||||||||||||||||
3M Co. | 1.625 | % | 06/15/2019 | 25,000 | 24,713 | |||||||||||||
General Electric Co. | 4.500 | % | 03/11/2044 | 50,000 | 50,382 | |||||||||||||
|
| |||||||||||||||||
75,095 | ||||||||||||||||||
|
| |||||||||||||||||
Insurance – 0.7% | ||||||||||||||||||
ACE INA Holdings, Inc. | 4.150 | % | 03/13/2043 | 25,000 | 23,727 | |||||||||||||
Allstate Corp.(a) | 5.750 | % | 08/15/2053 | 25,000 | 26,125 |
See accompanying notes to financial statements.
16
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Insurance – (continued) | ||||||||||||||||||
American International Group, Inc. | 2.300 | % | 07/16/2019 | $ | 25,000 | $ | 24,973 | |||||||||||
American International Group, Inc. | 4.875 | % | 06/01/2022 | 50,000 | 54,658 | |||||||||||||
Berkshire Hathaway, Inc. | 3.000 | % | 02/11/2023 | 25,000 | 25,026 | |||||||||||||
First American Financial Corp. | 4.600 | % | 11/15/2024 | 25,000 | 25,085 | |||||||||||||
Hartford Financial Services Group, Inc. | 5.125 | % | 04/15/2022 | 25,000 | 27,460 | |||||||||||||
Lincoln National Corp. | 6.300 | % | 10/09/2037 | 50,000 | 58,132 | |||||||||||||
Marsh & McLennan Cos., Inc. | 2.550 | % | 10/15/2018 | 25,000 | 25,507 | |||||||||||||
MetLife, Inc. | 1.756 | % | 12/15/2017 | 25,000 | 25,163 | |||||||||||||
MetLife, Inc. | 4.368 | % | 09/15/2023 | 50,000 | 53,015 | |||||||||||||
Prudential Financial, Inc. | 3.500 | % | 05/15/2024 | 50,000 | 49,232 | |||||||||||||
Prudential Financial, Inc. | 6.625 | % | 06/21/2040 | 25,000 | 30,462 | |||||||||||||
Travelers Cos., Inc. | 6.250 | % | 06/15/2037 | 25,000 | 30,973 | |||||||||||||
|
| |||||||||||||||||
479,538 | ||||||||||||||||||
|
| |||||||||||||||||
Internet Software & Services – 0.1% | ||||||||||||||||||
Amazon.com, Inc. | 2.500 | % | 11/29/2022 | 25,000 | 23,719 | |||||||||||||
eBay, Inc. | 3.450 | % | 08/01/2024 | 25,000 | 24,046 | |||||||||||||
|
| |||||||||||||||||
47,765 | ||||||||||||||||||
|
| |||||||||||||||||
IT Services – 0.0%(c) | ||||||||||||||||||
Xerox Corp. | 2.950 | % | 03/15/2017 | 25,000 | 25,528 | |||||||||||||
|
| |||||||||||||||||
Leisure Products – 0.0%(c) | ||||||||||||||||||
Mattel, Inc. | 2.350 | % | 05/06/2019 | 25,000 | 24,837 | |||||||||||||
|
| |||||||||||||||||
Life Sciences Tools & Services – 0.1% | ||||||||||||||||||
Thermo Fisher Scientific, Inc. | 1.850 | % | 01/15/2018 | 50,000 | 49,883 | |||||||||||||
Thermo Fisher Scientific, Inc. | 4.150 | % | 02/01/2024 | 25,000 | 25,381 | |||||||||||||
|
| |||||||||||||||||
75,264 | ||||||||||||||||||
|
| |||||||||||||||||
Machinery – 0.3% | ||||||||||||||||||
Caterpillar, Inc. | 4.750 | % | 05/15/2064 | 25,000 | 24,523 | |||||||||||||
Deere & Co. | 2.600 | % | 06/08/2022 | 25,000 | 24,525 | |||||||||||||
Eaton Corp. | 1.500 | % | 11/02/2017 | 25,000 | 24,921 | |||||||||||||
Illinois Tool Works, Inc. | 1.950 | % | 03/01/2019 | 25,000 | 24,957 | |||||||||||||
Ingersoll-Rand Global Holding Co., Ltd. | 6.875 | % | 08/15/2018 | 25,000 | 28,511 | |||||||||||||
Stanley Black & Decker, Inc.(a) | 5.750 | % | 12/15/2053 | 50,000 | 53,500 | |||||||||||||
|
| |||||||||||||||||
180,937 | ||||||||||||||||||
|
| |||||||||||||||||
Media – 1.1% | ||||||||||||||||||
21st Century Fox America, Inc. | 7.250 | % | 05/18/2018 | 25,000 | 28,659 | |||||||||||||
21st Century Fox America, Inc. | 4.000 | % | 10/01/2023 | 25,000 | 25,826 | |||||||||||||
21st Century Fox America, Inc. | 5.400 | % | 10/01/2043 | 25,000 | 26,612 | |||||||||||||
CBS Corp. | 2.300 | % | 08/15/2019 | 25,000 | 24,585 |
See accompanying notes to financial statements.
17
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Media – (continued) | ||||||||||||||||||
Comcast Corp. | 3.600 | % | 03/01/2024 | $ | 25,000 | $ | 25,251 | |||||||||||
Comcast Corp. | 4.250 | % | 01/15/2033 | 50,000 | 48,956 | |||||||||||||
Comcast Corp. | 4.650 | % | 07/15/2042 | 25,000 | 24,991 | |||||||||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. | 2.400 | % | 03/15/2017 | 25,000 | 25,297 | |||||||||||||
DIRECTV Holdings LLC / DIRECTV Financing Co., Inc. | 4.450 | % | 04/01/2024 | 25,000 | 25,615 | |||||||||||||
Discovery Communications LLC | 3.250 | % | 04/01/2023 | 25,000 | 23,866 | |||||||||||||
Interpublic Group of Cos., Inc. | 4.200 | % | 04/15/2024 | 25,000 | 25,303 | |||||||||||||
NBCUniversal Media LLC | 5.150 | % | 04/30/2020 | 50,000 | 56,045 | |||||||||||||
Thomson Reuters Corp. | 3.850 | % | 09/29/2024 | 25,000 | 24,799 | |||||||||||||
Time Warner Cable, Inc. | 6.750 | % | 07/01/2018 | 25,000 | 27,980 | |||||||||||||
Time Warner Cable, Inc. | 4.000 | % | 09/01/2021 | 25,000 | 25,558 | |||||||||||||
Time Warner Cable, Inc. | 5.875 | % | 11/15/2040 | 50,000 | 48,602 | |||||||||||||
Time Warner Cable, Inc. | 5.500 | % | 09/01/2041 | 25,000 | 23,320 | |||||||||||||
Time Warner, Inc. | 3.550 | % | 06/01/2024 | 25,000 | 24,412 | |||||||||||||
Time Warner, Inc. | 6.500 | % | 11/15/2036 | 50,000 | 59,465 | |||||||||||||
Time Warner, Inc. | 4.650 | % | 06/01/2044 | 25,000 | 23,697 | |||||||||||||
Viacom, Inc. | 2.200 | % | 04/01/2019 | 25,000 | 24,620 | |||||||||||||
Viacom, Inc. | 4.875 | % | 06/15/2043 | 25,000 | 22,286 | |||||||||||||
Walt Disney Co. | 1.100 | % | 12/01/2017 | 25,000 | 24,888 | |||||||||||||
Walt Disney Co. | 5.500 | % | 03/15/2019 | 25,000 | 28,178 | |||||||||||||
WPP Finance 2010 | 3.625 | % | 09/07/2022 | 25,000 | 25,095 | |||||||||||||
|
| |||||||||||||||||
743,906 | ||||||||||||||||||
|
| |||||||||||||||||
Metals & Mining – 0.5% | ||||||||||||||||||
Barrick Gold Corp. | 5.250 | % | 04/01/2042 | 25,000 | 22,387 | |||||||||||||
Barrick North America Finance LLC | 4.400 | % | 05/30/2021 | 25,000 | 25,484 | |||||||||||||
BHP Billiton Finance USA, Ltd. | 1.625 | % | 02/24/2017 | 50,000 | 50,436 | |||||||||||||
BHP Billiton Finance USA, Ltd. | 4.125 | % | 02/24/2042 | 25,000 | 22,819 | |||||||||||||
Freeport-McMoRan, Inc. | 2.375 | % | 03/15/2018 | 25,000 | 24,760 | |||||||||||||
Freeport-McMoRan, Inc. | 3.550 | % | 03/01/2022 | 25,000 | 23,053 | |||||||||||||
Freeport-McMoRan, Inc. | 4.550 | % | 11/14/2024 | 25,000 | 23,184 | |||||||||||||
Newmont Mining Corp. | 3.500 | % | 03/15/2022 | 25,000 | 23,797 | |||||||||||||
Nucor Corp. | 4.000 | % | 08/01/2023 | 25,000 | 25,245 | |||||||||||||
Rio Tinto Finance USA PLC | 2.250 | % | 12/14/2018 | 25,000 | 25,126 | |||||||||||||
Rio Tinto Finance USA PLC | 3.500 | % | 03/22/2022 | 25,000 | 25,080 | |||||||||||||
Southern Copper Corp. | 5.875 | % | 04/23/2045 | 7,000 | 6,617 | |||||||||||||
Teck Resources, Ltd. | 5.200 | % | 03/01/2042 | 50,000 | 35,188 | |||||||||||||
Vale Overseas, Ltd. | 4.375 | % | 01/11/2022 | 25,000 | 24,418 | |||||||||||||
Vale Overseas, Ltd. | 8.250 | % | 01/17/2034 | 25,000 | 27,575 | |||||||||||||
|
| |||||||||||||||||
385,169 | ||||||||||||||||||
|
|
See accompanying notes to financial statements.
18
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Multi-National – 1.6% | ||||||||||||||||||
African Development Bank | 0.875 | % | 05/15/2017 | $ | 25,000 | $ | 25,054 | |||||||||||
Asian Development Bank | 1.750 | % | 09/11/2018 | 50,000 | 50,852 | |||||||||||||
Asian Development Bank | 2.125 | % | 11/24/2021 | 75,000 | 75,134 | |||||||||||||
Council of Europe Development Bank | 1.125 | % | 05/31/2018 | 25,000 | 24,970 | |||||||||||||
European Bank for Reconstruction & Development | 1.000 | % | 09/17/2018 | 50,000 | 49,552 | |||||||||||||
European Bank for Reconstruction & Development | 1.625 | % | 11/15/2018 | 25,000 | 25,236 | |||||||||||||
European Investment Bank | 0.500 | % | 08/15/2016 | 100,000 | 99,996 | |||||||||||||
European Investment Bank | 0.875 | % | 04/18/2017 | 50,000 | 50,115 | |||||||||||||
European Investment Bank | 1.000 | % | 06/15/2018 | 50,000 | 49,745 | |||||||||||||
European Investment Bank | 1.875 | % | 03/15/2019 | 50,000 | 50,730 | |||||||||||||
European Investment Bank | 1.750 | % | 06/17/2019 | 25,000 | 25,203 | |||||||||||||
European Investment Bank | 2.500 | % | 04/15/2021 | 50,000 | 51,283 | |||||||||||||
European Investment Bank | 2.125 | % | 10/15/2021 | 50,000 | 49,936 | |||||||||||||
European Investment Bank | 2.500 | % | 10/15/2024 | 25,000 | 24,995 | |||||||||||||
Export-Import Bank of Korea | 5.125 | % | 06/29/2020 | 100,000 | 111,912 | |||||||||||||
Inter-American Development Bank | 0.625 | % | 09/12/2016 | 25,000 | 25,025 | |||||||||||||
Inter-American Development Bank | 1.375 | % | 10/18/2016 | 50,000 | 50,523 | |||||||||||||
Inter-American Development Bank | 1.250 | % | 01/16/2018 | 25,000 | 25,148 | |||||||||||||
Inter-American Development Bank | 2.125 | % | 11/09/2020 | 25,000 | 25,339 | |||||||||||||
International Bank for Reconstruction & Development | 1.000 | % | 09/15/2016 | 100,000 | 100,563 | |||||||||||||
International Bank for Reconstruction & Development | 0.750 | % | 12/15/2016 | 25,000 | 25,052 | |||||||||||||
International Bank for Reconstruction & Development | 2.125 | % | 11/01/2020 | 25,000 | 25,352 | |||||||||||||
International Bank for Reconstruction & Development | 2.500 | % | 11/25/2024 | 50,000 | 50,135 | |||||||||||||
International Bank for Reconstruction & Development | 4.750 | % | 02/15/2035 | 25,000 | 30,289 | |||||||||||||
|
| |||||||||||||||||
1,122,139 | ||||||||||||||||||
|
| |||||||||||||||||
Multi-Utilities – 0.2% | ||||||||||||||||||
American Water Capital Corp. | 3.400 | % | 03/01/2025 | 25,000 | 24,868 | |||||||||||||
DTE Energy Co. | 2.400 | % | 12/01/2019 | 25,000 | 24,846 | |||||||||||||
Midamerican Funding LLC | 6.927 | % | 03/01/2029 | 50,000 | 65,078 | |||||||||||||
|
| |||||||||||||||||
114,792 | ||||||||||||||||||
|
| |||||||||||||||||
Multiline Retail – 0.1% | ||||||||||||||||||
Kohl’s Corp. | 6.875 | % | 12/15/2037 | 25,000 | 29,683 | |||||||||||||
Macy’s Retail Holdings, Inc. | 3.625 | % | 06/01/2024 | 25,000 | 24,888 | |||||||||||||
Target Corp. | 6.000 | % | 01/15/2018 | 25,000 | 27,882 | |||||||||||||
Target Corp. | 2.300 | % | 06/26/2019 | 25,000 | 25,335 | |||||||||||||
|
| |||||||||||||||||
107,788 | ||||||||||||||||||
|
| |||||||||||||||||
Oil, Gas & Consumable Fuels – 3.3% | ||||||||||||||||||
Anadarko Petroleum Corp. | 6.200 | % | 03/15/2040 | 25,000 | 27,995 | |||||||||||||
Apache Corp. | 6.000 | % | 01/15/2037 | 50,000 | 53,644 |
See accompanying notes to financial statements.
19
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||||||||||||
Baker Hughes, Inc. | 3.200 | % | 08/15/2021 | $ | 25,000 | $ | 25,229 | |||||||||||
BP Capital Markets PLC | 1.375 | % | 05/10/2018 | 25,000 | 24,778 | |||||||||||||
BP Capital Markets PLC | 2.237 | % | 05/10/2019 | 25,000 | 25,100 | |||||||||||||
BP Capital Markets PLC | 3.814 | % | 02/10/2024 | 25,000 | 25,496 | |||||||||||||
Buckeye Partners L.P. | 4.875 | % | 02/01/2021 | 25,000 | 25,886 | |||||||||||||
Canadian Natural Resources, Ltd. | 3.450 | % | 11/15/2021 | 25,000 | 25,098 | |||||||||||||
Canadian Natural Resources, Ltd. | 3.900 | % | 02/01/2025 | 25,000 | 24,443 | |||||||||||||
CenterPoint Energy, Inc. | 6.500 | % | 05/01/2018 | 100,000 | 111,966 | |||||||||||||
Chevron Corp. | 1.718 | % | 06/24/2018 | 25,000 | 25,137 | |||||||||||||
Chevron Corp. | 3.191 | % | 06/24/2023 | 25,000 | 25,132 | |||||||||||||
ConocoPhillips | 5.750 | % | 02/01/2019 | 25,000 | 28,227 | |||||||||||||
ConocoPhillips Holding Co. | 6.950 | % | 04/15/2029 | 50,000 | 64,374 | |||||||||||||
Continental Resources, Inc. | 3.800 | % | 06/01/2024 | 25,000 | 22,687 | |||||||||||||
Devon Energy Corp. | 3.250 | % | 05/15/2022 | 25,000 | 24,644 | |||||||||||||
Ecopetrol SA | 7.375 | % | 09/18/2043 | 50,000 | 52,250 | |||||||||||||
Enbridge Energy Partners L.P. | 4.200 | % | 09/15/2021 | 25,000 | 25,557 | |||||||||||||
Energy Transfer Partners L.P. | 6.700 | % | 07/01/2018 | 50,000 | 55,582 | |||||||||||||
Energy Transfer Partners L.P. | 4.750 | % | 01/15/2026 | 25,000 | 24,786 | |||||||||||||
Energy Transfer Partners L.P. | 5.150 | % | 02/01/2043 | 25,000 | 21,992 | |||||||||||||
Enterprise Products Operating LLC | 6.500 | % | 01/31/2019 | 25,000 | 28,516 | |||||||||||||
Enterprise Products Operating LLC | 4.850 | % | 03/15/2044 | 50,000 | 46,891 | |||||||||||||
Hess Corp. | 5.600 | % | 02/15/2041 | 25,000 | 25,367 | |||||||||||||
Kinder Morgan Energy Partners L.P. | 3.500 | % | 03/01/2021 | 25,000 | 24,584 | |||||||||||||
Kinder Morgan Energy Partners L.P. | 5.400 | % | 09/01/2044 | 25,000 | 22,651 | |||||||||||||
Kinder Morgan, Inc. | 3.050 | % | 12/01/2019 | 25,000 | 24,868 | |||||||||||||
Kinder Morgan, Inc. | 5.050 | % | 02/15/2046 | 50,000 | 43,300 | |||||||||||||
Marathon Oil Corp. | 2.800 | % | 11/01/2022 | 25,000 | 23,436 | |||||||||||||
Marathon Petroleum Corp. | 3.625 | % | 09/15/2024 | 50,000 | 48,625 | |||||||||||||
Nexen Energy ULC | 5.875 | % | 03/10/2035 | 100,000 | 111,246 | |||||||||||||
Noble Energy, Inc. | 5.250 | % | 11/15/2043 | 25,000 | 24,098 | |||||||||||||
Noble Holding International, Ltd. | 6.200 | % | 08/01/2040 | 25,000 | 20,337 | |||||||||||||
Occidental Petroleum Corp. | 4.100 | % | 02/01/2021 | 25,000 | 26,564 | |||||||||||||
ONEOK Partners L.P. | 3.375 | % | 10/01/2022 | 25,000 | 23,343 | |||||||||||||
Petro-Canada | 5.350 | % | 07/15/2033 | 25,000 | 26,269 | |||||||||||||
Petrobras Global Finance BV | 3.250 | % | 03/17/2017 | 25,000 | 24,636 | |||||||||||||
Petrobras Global Finance BV | 5.875 | % | 03/01/2018 | 50,000 | 51,082 | |||||||||||||
Petrobras Global Finance BV | 3.000 | % | 01/15/2019 | 50,000 | 46,213 | |||||||||||||
Petrobras Global Finance BV | 6.250 | % | 03/17/2024 | 75,000 | 72,579 | |||||||||||||
Petroleos Mexicanos | 3.500 | % | 07/18/2018 | 25,000 | 25,719 | |||||||||||||
Petroleos Mexicanos | 3.500 | % | 01/30/2023 | 25,000 | 23,687 |
See accompanying notes to financial statements.
20
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Oil, Gas & Consumable Fuels – (continued) | ||||||||||||||||||
Petroleos Mexicanos(b) | 4.250 | % | 01/15/2025 | $ | 25,000 | $ | 24,344 | |||||||||||
Petroleos Mexicanos(b) | 5.500 | % | 06/27/2044 | 25,000 | 22,937 | |||||||||||||
Petroleos Mexicanos(b) | 6.375 | % | 01/23/2045 | 100,000 | 102,500 | |||||||||||||
Plains All American Pipeline L.P. / PAA Finance Corp. | 3.600 | % | 11/01/2024 | 25,000 | 24,011 | |||||||||||||
Shell International Finance BV | 0.900 | % | 11/15/2016 | 25,000 | 25,021 | |||||||||||||
Shell International Finance BV | 4.300 | % | 09/22/2019 | 25,000 | 27,129 | |||||||||||||
Shell International Finance BV | 5.500 | % | 03/25/2040 | 25,000 | 28,333 | |||||||||||||
Shell International Finance BV | 4.375 | % | 05/11/2045 | 100,000 | 98,241 | |||||||||||||
Spectra Energy Partners L.P. | 2.950 | % | 09/25/2018 | 25,000 | 25,495 | |||||||||||||
Statoil ASA | 1.950 | % | 11/08/2018 | 25,000 | 25,174 | |||||||||||||
Statoil ASA | 2.650 | % | 01/15/2024 | 75,000 | 72,025 | |||||||||||||
Statoil ASA | 3.700 | % | 03/01/2024 | 25,000 | 25,912 | |||||||||||||
Suncor Energy, Inc. | 3.600 | % | 12/01/2024 | 25,000 | 24,873 | |||||||||||||
Sunoco Logistics Partners Operations L.P. | 5.350 | % | 05/15/2045 | 25,000 | 22,778 | |||||||||||||
Total Capital International SA | 3.750 | % | 04/10/2024 | 25,000 | 25,784 | |||||||||||||
Total Capital SA | 2.125 | % | 08/10/2018 | 25,000 | 25,339 | |||||||||||||
TransCanada PipeLines, Ltd. | 7.625 | % | 01/15/2039 | 25,000 | 33,291 | |||||||||||||
TransCanada PipeLines, Ltd.(a) | 6.350 | % | 05/15/2067 | 25,000 | 23,500 | |||||||||||||
Valero Energy Corp. | 6.125 | % | 02/01/2020 | 25,000 | 28,404 | |||||||||||||
Williams Partners L.P. | 5.250 | % | 03/15/2020 | 25,000 | 27,246 | |||||||||||||
Williams Partners L.P. | 3.900 | % | 01/15/2025 | 50,000 | 47,011 | |||||||||||||
XTO Energy, Inc. | 6.750 | % | 08/01/2037 | 25,000 | 34,689 | |||||||||||||
|
| |||||||||||||||||
2,298,051 | ||||||||||||||||||
|
| |||||||||||||||||
Paper & Forest Products – 0.1% | ||||||||||||||||||
Georgia-Pacific LLC | 7.750 | % | 11/15/2029 | 25,000 | 33,579 | |||||||||||||
International Paper Co. | 3.650 | % | 06/15/2024 | 25,000 | 24,579 | |||||||||||||
|
| |||||||||||||||||
58,158 | ||||||||||||||||||
|
| |||||||||||||||||
Personal Products – 0.0%(c) | ||||||||||||||||||
Estee Lauder Cos., Inc. | 3.700 | % | 08/15/2042 | 25,000 | 21,629 | |||||||||||||
|
| |||||||||||||||||
Pharmaceuticals – 1.0% | ||||||||||||||||||
Abbott Laboratories | 2.950 | % | 03/15/2025 | 25,000 | 23,947 | |||||||||||||
AbbVie, Inc. | 1.750 | % | 11/06/2017 | 25,000 | 25,052 | |||||||||||||
AbbVie, Inc. | 2.900 | % | 11/06/2022 | 25,000 | 24,170 | |||||||||||||
Actavis Funding SCS | 2.350 | % | 03/12/2018 | 25,000 | 25,147 | |||||||||||||
Actavis Funding SCS | 3.000 | % | 03/12/2020 | 25,000 | 25,034 | |||||||||||||
Actavis Funding SCS | 3.800 | % | 03/15/2025 | 25,000 | 24,493 | |||||||||||||
Actavis Funding SCS | 4.750 | % | 03/15/2045 | 25,000 | 23,769 | |||||||||||||
Actavis, Inc. | 1.875 | % | 10/01/2017 | 25,000 | 24,959 | |||||||||||||
AstraZeneca PLC | 4.000 | % | 09/18/2042 | 25,000 | 23,151 |
See accompanying notes to financial statements.
21
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Pharmaceuticals – (continued) | ||||||||||||||||||
Baxalta, Inc. | 2.875 | % | 06/23/2020 | $ | 25,000 | $ | 24,973 | |||||||||||
Baxalta, Inc. | 4.000 | % | 06/23/2025 | 25,000 | 24,849 | |||||||||||||
Bristol-Myers Squibb Co. | 1.750 | % | 03/01/2019 | 25,000 | 24,887 | |||||||||||||
Eli Lilly & Co. | 5.550 | % | 03/15/2037 | 25,000 | 29,176 | |||||||||||||
Express Scripts Holding Co. | 2.250 | % | 06/15/2019 | 25,000 | 24,814 | |||||||||||||
GlaxoSmithKline Capital, Inc. | 2.800 | % | 03/18/2023 | 25,000 | 24,347 | |||||||||||||
GlaxoSmithKline Capital, Inc. | 4.200 | % | 03/18/2043 | 25,000 | 23,924 | |||||||||||||
Johnson & Johnson | 5.550 | % | 08/15/2017 | 25,000 | 27,339 | |||||||||||||
Johnson & Johnson | 3.375 | % | 12/05/2023 | 25,000 | 25,817 | |||||||||||||
McKesson Corp. | 2.284 | % | 03/15/2019 | 25,000 | 24,916 | |||||||||||||
Merck & Co., Inc. | 2.400 | % | 09/15/2022 | 25,000 | 23,980 | |||||||||||||
Merck & Co., Inc. | 3.600 | % | 09/15/2042 | 25,000 | 21,837 | |||||||||||||
Novartis Capital Corp. | 3.400 | % | 05/06/2024 | 25,000 | 25,316 | |||||||||||||
Novartis Securities Investment, Ltd. | 5.125 | % | 02/10/2019 | 25,000 | 27,772 | |||||||||||||
Pfizer, Inc. | 3.400 | % | 05/15/2024 | 25,000 | 25,182 | |||||||||||||
Teva Pharmaceutical Finance IV LLC | 2.250 | % | 03/18/2020 | 25,000 | 24,474 | |||||||||||||
Wyeth LLC | 5.450 | % | 04/01/2017 | 50,000 | 53,769 | |||||||||||||
Wyeth LLC | 6.000 | % | 02/15/2036 | 25,000 | 29,920 | |||||||||||||
Zoetis, Inc. | 4.700 | % | 02/01/2043 | 25,000 | 23,804 | |||||||||||||
|
| |||||||||||||||||
730,818 | ||||||||||||||||||
|
| |||||||||||||||||
Real Estate Investment Trusts (REITs) – 0.8% | ||||||||||||||||||
American Tower Corp. | 3.400 | % | 02/15/2019 | 25,000 | 25,575 | |||||||||||||
American Tower Corp. | 3.500 | % | 01/31/2023 | 50,000 | 47,796 | |||||||||||||
AvalonBay Communities, Inc. | 2.950 | % | 09/15/2022 | 25,000 | 24,310 | |||||||||||||
Boston Properties L.P. | 3.850 | % | 02/01/2023 | 25,000 | 25,588 | |||||||||||||
Brandywine Operating Partnership L.P. | 4.100 | % | 10/01/2024 | 25,000 | 24,650 | |||||||||||||
DDR Corp. | 3.500 | % | 01/15/2021 | 25,000 | 25,210 | |||||||||||||
Digital Realty Trust L.P. | 3.950 | % | 07/01/2022 | 25,000 | 24,937 | |||||||||||||
Duke Realty L.P. | 3.875 | % | 02/15/2021 | 25,000 | 25,866 | |||||||||||||
ERP Operating L.P. | 2.375 | % | 07/01/2019 | 50,000 | 49,994 | |||||||||||||
HCP, Inc. | 2.625 | % | 02/01/2020 | 25,000 | 24,624 | |||||||||||||
Health Care REIT, Inc. | 5.250 | % | 01/15/2022 | 50,000 | 54,361 | |||||||||||||
Hospitality Properties Trust | 4.500 | % | 06/15/2023 | 25,000 | 24,943 | |||||||||||||
Realty Income Corp. | 4.125 | % | 10/15/2026 | 50,000 | 50,401 | |||||||||||||
Simon Property Group L.P. | 2.150 | % | 09/15/2017 | 25,000 | 25,390 | |||||||||||||
Simon Property Group L.P. | 5.650 | % | 02/01/2020 | 25,000 | 28,405 | |||||||||||||
Tanger Properties L.P. | 3.875 | % | 12/01/2023 | 25,000 | 25,158 | |||||||||||||
Ventas Realty L.P. | 1.550 | % | 09/26/2016 | 25,000 | 25,126 | |||||||||||||
Weyerhaeuser Co. | 4.625 | % | 09/15/2023 | 25,000 | 26,542 | |||||||||||||
|
| |||||||||||||||||
558,876 | ||||||||||||||||||
|
|
See accompanying notes to financial statements.
22
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Road & Rail – 0.4% | ||||||||||||||||||
Burlington Northern Santa Fe LLC | 3.750 | % | 04/01/2024 | $ | 25,000 | $ | 25,504 | |||||||||||
Burlington Northern Santa Fe LLC | 4.450 | % | 03/15/2043 | 50,000 | 48,281 | |||||||||||||
Burlington Northern Santa Fe LLC | 4.550 | % | 09/01/2044 | 25,000 | 24,593 | |||||||||||||
Canadian National Railway Co. | 2.950 | % | 11/21/2024 | 50,000 | 49,255 | |||||||||||||
CSX Corp. | 3.400 | % | 08/01/2024 | 25,000 | 24,933 | |||||||||||||
Norfolk Southern Corp. | 3.000 | % | 04/01/2022 | 25,000 | 24,827 | |||||||||||||
Ryder System, Inc. | 2.450 | % | 09/03/2019 | 25,000 | 24,824 | |||||||||||||
Union Pacific Corp. | 4.750 | % | 12/15/2043 | 25,000 | 25,979 | |||||||||||||
|
| |||||||||||||||||
248,196 | ||||||||||||||||||
|
| |||||||||||||||||
Semiconductors & Semiconductor Equipment – 0.1% | ||||||||||||||||||
Intel Corp. | 1.950 | % | 10/01/2016 | 25,000 | 25,376 | |||||||||||||
Intel Corp. | 3.300 | % | 10/01/2021 | 25,000 | 25,961 | |||||||||||||
Texas Instruments, Inc. | 2.750 | % | 03/12/2021 | 25,000 | 25,223 | |||||||||||||
|
| |||||||||||||||||
76,560 | ||||||||||||||||||
|
| |||||||||||||||||
Software – 0.4% | ||||||||||||||||||
Microsoft Corp. | 3.625 | % | 12/15/2023 | 25,000 | 26,196 | |||||||||||||
Microsoft Corp. | 5.200 | % | 06/01/2039 | 50,000 | 55,703 | |||||||||||||
Oracle Corp. | 2.375 | % | 01/15/2019 | 25,000 | 25,354 | |||||||||||||
Oracle Corp. | 2.250 | % | 10/08/2019 | 75,000 | 75,217 | |||||||||||||
Oracle Corp. | 2.500 | % | 05/15/2022 | 50,000 | 48,483 | |||||||||||||
Oracle Corp. | 2.950 | % | 05/15/2025 | 10,000 | 9,622 | |||||||||||||
Oracle Corp. | 3.900 | % | 05/15/2035 | 5,000 | 4,651 | |||||||||||||
Oracle Corp. | 4.375 | % | 05/15/2055 | 10,000 | 9,277 | |||||||||||||
|
| |||||||||||||||||
254,503 | ||||||||||||||||||
|
| |||||||||||||||||
Specialty Retail – 0.3% | ||||||||||||||||||
Costco Wholesale Corp. | 1.125 | % | 12/15/2017 | 25,000 | 24,871 | |||||||||||||
CVS Health Corp. | 4.000 | % | 12/05/2023 | 25,000 | 25,696 | |||||||||||||
CVS Health Corp. | 3.375 | % | 08/12/2024 | 25,000 | 24,311 | |||||||||||||
Home Depot, Inc. | 2.250 | % | 09/10/2018 | 25,000 | 25,518 | |||||||||||||
Home Depot, Inc. | 3.750 | % | 02/15/2024 | 25,000 | 25,977 | |||||||||||||
Lowe’s Cos., Inc. | 4.250 | % | 09/15/2044 | 25,000 | 24,059 | |||||||||||||
QVC, Inc. | 5.450 | % | 08/15/2034 | 50,000 | 45,402 | |||||||||||||
Starbucks Corp. | 3.850 | % | 10/01/2023 | 25,000 | 26,257 | |||||||||||||
|
| |||||||||||||||||
222,091 | ||||||||||||||||||
|
| |||||||||||||||||
Technology Hardware, Storage & Peripherals – 0.5% | ||||||||||||||||||
Apple, Inc. | 1.050 | % | 05/05/2017 | 25,000 | 25,019 | |||||||||||||
Apple, Inc. | 1.550 | % | 02/07/2020 | 25,000 | 24,434 | |||||||||||||
Apple, Inc. | 2.850 | % | 05/06/2021 | 25,000 | 25,339 |
See accompanying notes to financial statements.
23
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
CORPORATE BONDS – (continued) | ||||||||||||||||||
Technology Hardware, Storage & Peripherals – (continued) | ||||||||||||||||||
Apple, Inc. | 2.400 | % | 05/03/2023 | $ | 25,000 | $ | 23,884 | |||||||||||
Apple, Inc. | 3.850 | % | 05/04/2043 | 25,000 | 22,721 | |||||||||||||
EMC Corp. | 1.875 | % | 06/01/2018 | 25,000 | 25,021 | |||||||||||||
Fidelity National Information Services, Inc. | 3.875 | % | 06/05/2024 | 25,000 | 24,648 | |||||||||||||
Hewlett-Packard Co. | 5.400 | % | 03/01/2017 | 25,000 | 26,582 | |||||||||||||
Hewlett-Packard Co. | 2.750 | % | 01/14/2019 | 25,000 | 25,228 | |||||||||||||
Hewlett-Packard Co. | 4.050 | % | 09/15/2022 | 25,000 | 25,226 | |||||||||||||
International Business Machines Corp. | 3.625 | % | 02/12/2024 | 50,000 | 50,705 | |||||||||||||
International Business Machines Corp. | 5.875 | % | 11/29/2032 | 25,000 | 30,161 | |||||||||||||
Seagate HDD Cayman | 4.750 | % | 06/01/2023 | 50,000 | 50,876 | |||||||||||||
|
| |||||||||||||||||
379,844 | ||||||||||||||||||
|
| |||||||||||||||||
Tobacco – 0.3% | ||||||||||||||||||
Altria Group, Inc. | 2.625 | % | 01/14/2020 | 50,000 | 49,675 | |||||||||||||
Altria Group, Inc. | 4.000 | % | 01/31/2024 | 25,000 | 25,337 | |||||||||||||
Altria Group, Inc. | 4.500 | % | 05/02/2043 | 25,000 | 23,053 | |||||||||||||
Philip Morris International, Inc. | 1.875 | % | 01/15/2019 | 50,000 | 49,705 | |||||||||||||
Philip Morris International, Inc. | 4.500 | % | 03/26/2020 | 25,000 | 27,186 | |||||||||||||
Philip Morris International, Inc. | 4.125 | % | 03/04/2043 | 25,000 | 22,959 | |||||||||||||
RJ Reynolds Tobacco Co. | 3.750 | % | 05/20/2023 | 25,000 | 24,276 | |||||||||||||
|
| |||||||||||||||||
222,191 | ||||||||||||||||||
|
| |||||||||||||||||
Trading Companies & Distributors – 0.1% | ||||||||||||||||||
GATX Corp. | 2.500 | % | 03/15/2019 | 50,000 | 49,512 | |||||||||||||
|
| |||||||||||||||||
Wireless Telecommunication Services – 0.6% | ||||||||||||||||||
AT&T, Inc. | 2.300 | % | 03/11/2019 | 25,000 | 24,931 | |||||||||||||
AT&T, Inc. | 3.900 | % | 03/11/2024 | 25,000 | 25,153 | |||||||||||||
AT&T, Inc. | 4.800 | % | 06/15/2044 | 50,000 | 45,958 | |||||||||||||
BellSouth Corp. | 6.550 | % | 06/15/2034 | 50,000 | 54,445 | |||||||||||||
Orange SA | 2.750 | % | 02/06/2019 | 25,000 | 25,232 | |||||||||||||
Telefonica Europe BV | 8.250 | % | 09/15/2030 | 25,000 | 33,277 | |||||||||||||
Telefonos de Mexico S.A.B. de C.V. | 5.500 | % | 11/15/2019 | 100,000 | 112,187 | |||||||||||||
Vodafone Group PLC | 1.500 | % | 02/19/2018 | 25,000 | 24,589 | |||||||||||||
Vodafone Group PLC | 2.950 | % | 02/19/2023 | 25,000 | 23,312 | |||||||||||||
Vodafone Group PLC | 4.375 | % | 02/19/2043 | 50,000 | 42,479 | |||||||||||||
|
| |||||||||||||||||
411,563 | ||||||||||||||||||
|
| |||||||||||||||||
TOTAL CORPORATE BONDS | 18,468,045 | |||||||||||||||||
|
|
See accompanying notes to financial statements.
24
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
FOREIGN GOVERNMENT OBLIGATIONS – 2.2% | ||||||||||||||||||
Brazilian Government International Bond | 5.875 | % | 01/15/2019 | $ | 100,000 | $ | 111,000 | |||||||||||
Canada Government International Bond | 1.625 | % | 02/27/2019 | 50,000 | 50,483 | |||||||||||||
Export Development Canada | 1.250 | % | 10/26/2016 | 25,000 | 25,226 | |||||||||||||
Inter-American Development Bank | 1.875 | % | 06/16/2020 | 35,000 | 35,170 | |||||||||||||
Italy Government International Bond | 5.250 | % | 09/20/2016 | 100,000 | 105,130 | |||||||||||||
Mexico Government International Bond | 3.500 | % | 01/21/2021 | 100,000 | 101,900 | |||||||||||||
Mexico Government International Bond | 6.050 | % | 01/11/2040 | 30,000 | 34,275 | |||||||||||||
Mexico Government International Bond | 4.750 | % | 03/08/2044 | 50,000 | 47,825 | |||||||||||||
Panama Government International Bond | 6.700 | % | 01/26/2036 | 50,000 | 61,500 | |||||||||||||
Peruvian Government International Bond | 5.625 | % | 11/18/2050 | 50,000 | 55,750 | |||||||||||||
Philippine Government International Bond | 7.750 | % | 01/14/2031 | 100,000 | 144,250 | |||||||||||||
Poland Government International Bond | 5.000 | % | 03/23/2022 | 50,000 | 55,525 | |||||||||||||
Province of British Columbia Canada | 2.650 | % | 09/22/2021 | 50,000 | 51,417 | |||||||||||||
Province of Manitoba Canada | 1.125 | % | 06/01/2018 | 25,000 | 24,931 | |||||||||||||
Province of Nova Scotia Canada | 5.125 | % | 01/26/2017 | 25,000 | 26,647 | |||||||||||||
Province of Ontario Canada | 1.100 | % | 10/25/2017 | 50,000 | 50,057 | |||||||||||||
Province of Ontario Canada | 4.400 | % | 04/14/2020 | 50,000 | 55,696 | |||||||||||||
Province of Ontario Canada | 2.500 | % | 09/10/2021 | 25,000 | 25,298 | |||||||||||||
Province of Quebec Canada | 2.750 | % | 08/25/2021 | 50,000 | 51,238 | |||||||||||||
Province of Quebec Canada | 2.625 | % | 02/13/2023 | 50,000 | 50,300 | |||||||||||||
South Africa Government International Bond | 6.875 | % | 05/27/2019 | 100,000 | 113,520 | |||||||||||||
Turkey Government International Bond | 6.750 | % | 04/03/2018 | 100,000 | 110,512 | |||||||||||||
Turkey Government International Bond | 6.875 | % | 03/17/2036 | 50,000 | 58,125 | |||||||||||||
Uruguay Government International Bond | 5.100 | % | 06/18/2050 | 50,000 | 47,500 | |||||||||||||
|
| |||||||||||||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS | 1,493,275 | |||||||||||||||||
|
| |||||||||||||||||
U.S. GOVERNMENT AGENCY MBS TBA – 15.9% | ||||||||||||||||||
Fannie Mae TBA(d) | 3.000 | % | 07/01/2030 | 600,000 | 621,422 | |||||||||||||
Fannie Mae TBA(d) | 3.000 | % | 07/01/2045 | 1,500,000 | 1,493,672 | |||||||||||||
Fannie Mae TBA(d) | 3.500 | % | 07/01/2045 | 1,400,000 | 1,442,219 | |||||||||||||
Fannie Mae TBA(d) | 4.000 | % | 07/01/2045 | 775,000 | 820,773 | |||||||||||||
Fannie Mae TBA(d) | 5.000 | % | 07/01/2045 | 350,000 | 386,641 | |||||||||||||
Freddie Mac TBA(d) | 2.500 | % | 07/01/2030 | 750,000 | 758,262 | |||||||||||||
Freddie Mac TBA(d) | 4.000 | % | 07/01/2030 | 250,000 | 261,982 | |||||||||||||
Freddie Mac TBA(d) | 3.000 | % | 07/01/2045 | 750,000 | 745,254 | |||||||||||||
Freddie Mac TBA(d) | 3.500 | % | 07/01/2045 | 750,000 | 771,152 | |||||||||||||
Freddie Mac TBA(d) | 4.000 | % | 07/01/2045 | 1,000,000 | 1,057,109 | |||||||||||||
Government National Mortgage Association TBA(d) | 3.000 | % | 07/01/2045 | 500,000 | 504,688 | |||||||||||||
Government National Mortgage Association TBA(d) | 3.500 | % | 07/01/2045 | 1,550,000 | 1,608,125 | |||||||||||||
Government National Mortgage Association TBA(d) | 4.000 | % | 07/01/2045 | 500,000 | 531,875 | |||||||||||||
|
| |||||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY MBS TBA | 11,003,174 | |||||||||||||||||
|
|
See accompanying notes to financial statements.
25
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS – 15.3% | ||||||||||||||||||
Fannie Mae | 5.375 | % | 07/15/2016 | $ | 50,000 | $ | 52,569 | |||||||||||
Fannie Mae | 0.625 | % | 08/26/2016 | 50,000 | 50,098 | |||||||||||||
Fannie Mae | 1.250 | % | 09/28/2016 | 75,000 | 75,708 | |||||||||||||
Fannie Mae | 0.750 | % | 04/20/2017 | 75,000 | 75,119 | |||||||||||||
Fannie Mae | 2.000 | % | 09/26/2017 | 75,000 | 76,302 | |||||||||||||
Fannie Mae | 1.000 | % | 09/27/2017 | 100,000 | 100,378 | |||||||||||||
Fannie Mae | 1.532 | % | 10/25/2017 | 70,375 | 70,907 | |||||||||||||
Fannie Mae | 0.875 | % | 10/26/2017 | 75,000 | 75,036 | |||||||||||||
Fannie Mae | 4.500 | % | 04/01/2018 | 78,200 | 81,696 | |||||||||||||
Fannie Mae | 0.875 | % | 05/21/2018 | 50,000 | 49,757 | |||||||||||||
Fannie Mae | 4.000 | % | 08/01/2018 | 129,683 | 136,161 | |||||||||||||
Fannie Mae | 4.000 | % | 01/01/2019 | 121,912 | 127,792 | |||||||||||||
Fannie Mae | 4.000 | % | 09/01/2019 | 188,048 | 197,169 | |||||||||||||
Fannie Mae | 1.750 | % | 09/12/2019 | 75,000 | 75,565 | |||||||||||||
Fannie Mae | 4.000 | % | 05/01/2020 | 125,080 | 131,328 | |||||||||||||
Fannie Mae | 4.500 | % | 05/01/2020 | 86,314 | 90,173 | |||||||||||||
Fannie Mae | 1.500 | % | 06/22/2020 | 100,000 | 98,824 | |||||||||||||
Fannie Mae | 4.000 | % | 03/01/2021 | 125,000 | 131,195 | |||||||||||||
Fannie Mae | 2.940 | % | 07/25/2021 | 140,000 | 144,831 | |||||||||||||
Fannie Mae(a) | 2.465 | % | 03/25/2023 | 47,591 | 47,410 | |||||||||||||
Fannie Mae | 3.500 | % | 11/01/2025 | 108,619 | 114,682 | |||||||||||||
Fannie Mae | 3.500 | % | 01/01/2027 | 125,787 | 132,807 | |||||||||||||
Fannie Mae | 3.500 | % | 05/01/2029 | 115,545 | 121,897 | |||||||||||||
Fannie Mae | 3.000 | % | 08/01/2029 | 100,175 | 103,815 | |||||||||||||
Fannie Mae | 3.500 | % | 10/01/2029 | 88,440 | 93,302 | |||||||||||||
Fannie Mae | 7.250 | % | 05/15/2030 | 75,000 | 111,631 | |||||||||||||
Fannie Mae | 3.000 | % | 06/01/2030 | 124,470 | 129,027 | |||||||||||||
Fannie Mae | 5.500 | % | 02/01/2037 | 84,257 | 94,547 | |||||||||||||
Fannie Mae | 5.500 | % | 09/01/2040 | 126,653 | 142,086 | |||||||||||||
Fannie Mae | 4.500 | % | 12/01/2040 | 355,247 | 384,525 | |||||||||||||
Fannie Mae | 5.500 | % | 09/01/2041 | 207,153 | 232,399 | |||||||||||||
Fannie Mae | 4.500 | % | 01/01/2042 | 170,580 | 184,669 | |||||||||||||
Fannie Mae | 5.000 | % | 05/01/2042 | 149,747 | 165,496 | |||||||||||||
Fannie Mae | 4.500 | % | 09/01/2043 | 262,678 | 284,327 | |||||||||||||
Fannie Mae | 4.500 | % | 09/01/2043 | 83,024 | 89,729 | |||||||||||||
Fannie Mae | 4.500 | % | 11/01/2043 | 177,989 | 192,365 | |||||||||||||
Fannie Mae | 4.500 | % | 06/01/2044 | 264,025 | 285,439 | |||||||||||||
Fannie Mae | 3.500 | % | 10/01/2044 | 88,194 | 90,919 | |||||||||||||
Fannie Mae | 4.000 | % | 10/01/2044 | 91,272 | 96,691 | |||||||||||||
Fannie Mae | 4.000 | % | 10/01/2044 | 75,789 | 80,289 | |||||||||||||
Fannie Mae | 3.500 | % | 01/01/2045 | 121,593 | 125,390 |
See accompanying notes to financial statements.
26
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS – (continued) | ||||||||||||||||||
Fannie Mae | 3.500 | % | 01/01/2045 | $ | 144,428 | $ | 148,890 | |||||||||||
Fannie Mae | 4.000 | % | 03/01/2045 | 148,787 | 157,741 | |||||||||||||
Fannie Mae | 3.500 | % | 05/01/2045 | 99,419 | 102,524 | |||||||||||||
Federal Farm Credit Banks | 3.500 | % | 12/20/2023 | 50,000 | 53,579 | |||||||||||||
Federal Home Loan Bank | 2.000 | % | 09/09/2016 | 25,000 | 25,466 | |||||||||||||
Federal Home Loan Bank | 0.625 | % | 11/23/2016 | 100,000 | 100,105 | |||||||||||||
Federal Home Loan Bank | 0.625 | % | 12/28/2016 | 50,000 | 50,030 | |||||||||||||
Federal Home Loan Bank | 0.875 | % | 05/24/2017 | 75,000 | 75,253 | |||||||||||||
Federal Home Loan Bank | 1.000 | % | 06/21/2017 | 100,000 | 100,544 | |||||||||||||
Federal Home Loan Bank | 1.200 | % | 05/24/2018 | 50,000 | 49,929 | |||||||||||||
Federal Home Loan Bank | 1.875 | % | 03/08/2019 | 50,000 | 50,895 | |||||||||||||
Federal Home Loan Bank | 2.250 | % | 06/11/2021 | 75,000 | 76,046 | |||||||||||||
Federal Home Loan Bank | 2.875 | % | 09/13/2024 | 50,000 | 50,500 | |||||||||||||
Federal Home Loan Mortgage Corp. | 0.875 | % | 10/14/2016 | 100,000 | 100,473 | |||||||||||||
Federal Home Loan Mortgage Corp. | 0.875 | % | 02/22/2017 | 75,000 | 75,348 | |||||||||||||
Federal Home Loan Mortgage Corp. | 5.000 | % | 04/18/2017 | 100,000 | 107,725 | |||||||||||||
Federal Home Loan Mortgage Corp. | 1.000 | % | 06/29/2017 | 50,000 | 50,261 | |||||||||||||
Federal Home Loan Mortgage Corp. | 1.000 | % | 09/29/2017 | 100,000 | 100,391 | |||||||||||||
Federal Home Loan Mortgage Corp. | 0.875 | % | 03/07/2018 | 75,000 | 74,765 | |||||||||||||
Federal Home Loan Mortgage Corp. | 1.250 | % | 10/02/2019 | 75,000 | 74,001 | |||||||||||||
Federal Home Loan Mortgage Corp. | 2.375 | % | 01/13/2022 | 75,000 | 75,935 | |||||||||||||
Freddie Mac | 3.320 | % | 07/25/2020 | 56,798 | 59,040 | |||||||||||||
Freddie Mac | 3.111 | % | 02/25/2023 | 100,000 | 103,374 | |||||||||||||
Freddie Mac | 2.500 | % | 10/01/2029 | 91,594 | 92,676 | |||||||||||||
Freddie Mac | 5.000 | % | 07/01/2041 | 445,776 | 489,746 | |||||||||||||
Freddie Mac | 4.000 | % | 04/01/2042 | 87,214 | 92,751 | |||||||||||||
Freddie Mac | 4.500 | % | 05/01/2044 | 173,358 | 187,197 | |||||||||||||
Freddie Mac | 4.000 | % | 12/01/2044 | 141,342 | 149,457 | |||||||||||||
Freddie Mac | 3.500 | % | 01/01/2045 | 144,463 | 148,692 | |||||||||||||
Government National Mortgage Association | 5.000 | % | 06/15/2040 | 113,805 | 126,915 | |||||||||||||
Government National Mortgage Association | 5.000 | % | 10/15/2041 | 159,444 | 176,361 | |||||||||||||
Government National Mortgage Association | 4.000 | % | 02/20/2042 | 58,742 | 62,350 | |||||||||||||
Government National Mortgage Association | 4.000 | % | 07/20/2042 | 38,283 | 40,634 | |||||||||||||
Government National Mortgage Association | 5.500 | % | 10/20/2043 | 153,637 | 172,355 | |||||||||||||
Government National Mortgage Association | 4.500 | % | 01/20/2044 | 382,985 | 413,134 | |||||||||||||
Government National Mortgage Association | 5.000 | % | 03/20/2044 | 204,766 | 226,144 | |||||||||||||
Government National Mortgage Association | 4.000 | % | 08/20/2044 | 93,181 | 98,725 | |||||||||||||
Government National Mortgage Association | 3.500 | % | 10/20/2044 | 131,117 | 136,131 | |||||||||||||
Government National Mortgage Association | 4.000 | % | 10/20/2044 | 124,511 | 131,919 | |||||||||||||
Government National Mortgage Association | 4.500 | % | 11/20/2044 | 171,207 | 184,701 | |||||||||||||
Government National Mortgage Association | 3.000 | % | 12/20/2044 | 144,385 | 145,936 |
See accompanying notes to financial statements.
27
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS – (continued) | ||||||||||||||||||
Government National Mortgage Association | 3.500 | % | 12/20/2044 | $ | 93,870 | $ | 97,460 | |||||||||||
Government National Mortgage Association | 4.500 | % | 12/20/2044 | 133,957 | 144,514 | |||||||||||||
Government National Mortgage Association | 3.500 | % | 04/20/2045 | 199,330 | 207,117 | |||||||||||||
Tennessee Valley Authority | 3.500 | % | 12/15/2042 | 50,000 | 46,519 | |||||||||||||
|
| |||||||||||||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS | 10,578,299 | |||||||||||||||||
|
| |||||||||||||||||
U.S. TREASURY OBLIGATIONS – 35.5% | ||||||||||||||||||
U.S. Treasury Note(e) | 1.500 | % | 07/31/2016 | 750,000 | 759,143 | |||||||||||||
U.S. Treasury Note(e) | 3.000 | % | 08/31/2016 | 800,000 | 824,224 | |||||||||||||
U.S. Treasury Note(e) | 0.625 | % | 10/15/2016 | 500,000 | 501,340 | |||||||||||||
U.S. Treasury Note(e) | 0.375 | % | 10/31/2016 | 300,000 | 299,775 | |||||||||||||
U.S. Treasury Note(e) | 0.500 | % | 11/30/2016 | 300,000 | 300,183 | |||||||||||||
U.S. Treasury Note(e) | 0.875 | % | 11/30/2016 | 250,000 | 251,450 | |||||||||||||
U.S. Treasury Note(e) | 0.625 | % | 12/31/2016 | 350,000 | 350,756 | |||||||||||||
U.S. Treasury Note(e) | 0.875 | % | 01/31/2017 | 750,000 | 754,245 | |||||||||||||
U.S. Treasury Note(e) | 0.500 | % | 02/28/2017 | 500,000 | 499,670 | |||||||||||||
U.S. Treasury Note(e) | 1.000 | % | 03/31/2017 | 750,000 | 755,760 | |||||||||||||
U.S. Treasury Note(e) | 0.625 | % | 05/31/2017 | 750,000 | 749,985 | |||||||||||||
U.S. Treasury Note(e) | 0.500 | % | 07/31/2017 | 750,000 | 747,405 | |||||||||||||
U.S. Treasury Note(e) | 1.875 | % | 09/30/2017 | 1,000,000 | 1,025,450 | |||||||||||||
U.S. Treasury Note(e) | 0.875 | % | 11/15/2017 | 750,000 | 751,380 | |||||||||||||
U.S. Treasury Note(e) | 0.875 | % | 01/15/2018 | 250,000 | 250,107 | |||||||||||||
U.S. Treasury Note(e) | 1.000 | % | 02/15/2018 | 500,000 | 501,450 | |||||||||||||
U.S. Treasury Note(e) | 0.750 | % | 04/15/2018 | 200,000 | 198,922 | |||||||||||||
U.S. Treasury Note(e) | 4.000 | % | 08/15/2018 | 250,000 | 273,095 | |||||||||||||
U.S. Treasury Note(e) | 1.375 | % | 09/30/2018 | 100,000 | 100,821 | |||||||||||||
U.S. Treasury Note(e) | 1.500 | % | 12/31/2018 | 750,000 | 757,373 | |||||||||||||
U.S. Treasury Note(e) | 1.375 | % | 02/28/2019 | 500,000 | 501,875 | |||||||||||||
U.S. Treasury Note(e) | 1.000 | % | 08/31/2019 | 500,000 | 491,255 | |||||||||||||
U.S. Treasury Note(e) | 1.625 | % | 08/31/2019 | 1,000,000 | 1,008,190 | |||||||||||||
U.S. Treasury Note(e) | 1.000 | % | 09/30/2019 | 500,000 | 490,670 | |||||||||||||
U.S. Treasury Note(e) | 1.625 | % | 12/31/2019 | 1,000,000 | 1,004,010 | |||||||||||||
U.S. Treasury Note(e) | 1.250 | % | 01/31/2020 | 250,000 | 246,697 | |||||||||||||
U.S. Treasury Note(e) | 1.375 | % | 02/29/2020 | 500,000 | 495,760 | |||||||||||||
U.S. Treasury Note(e) | 1.125 | % | 04/30/2020 | 100,000 | 97,712 | |||||||||||||
U.S. Treasury Note(e) | 1.375 | % | 04/30/2020 | 350,000 | 346,164 | |||||||||||||
U.S. Treasury Note(e) | 1.500 | % | 05/31/2020 | 300,000 | 298,359 | |||||||||||||
U.S. Treasury Note(e) | 1.625 | % | 06/30/2020 | 75,000 | 74,988 | |||||||||||||
U.S. Treasury Note(e) | 2.125 | % | 08/31/2020 | 500,000 | 510,765 | |||||||||||||
U.S. Treasury Note(e) | 1.750 | % | 10/31/2020 | 150,000 | 150,110 | |||||||||||||
U.S. Treasury Note(e) | 2.000 | % | 02/28/2021 | 750,000 | 756,802 |
See accompanying notes to financial statements.
28
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
U.S. TREASURY OBLIGATIONS – (continued) | ||||||||||||||||||
U.S. Treasury Note(e) | 2.000 | % | 05/31/2021 | $ | 750,000 | $ | 754,792 | |||||||||||
U.S. Treasury Note(e) | 2.000 | % | 11/15/2021 | 500,000 | 500,915 | |||||||||||||
U.S. Treasury Note(e) | 1.500 | % | 01/31/2022 | 200,000 | 193,612 | |||||||||||||
U.S. Treasury Note(e) | 1.750 | % | 02/28/2022 | 600,000 | 589,572 | |||||||||||||
U.S. Treasury Note(e) | 1.750 | % | 03/31/2022 | 250,000 | 245,423 | |||||||||||||
U.S. Treasury Note(e) | 1.750 | % | 04/30/2022 | 300,000 | 294,285 | |||||||||||||
U.S. Treasury Note(e) | 1.875 | % | 05/31/2022 | 100,000 | 98,883 | |||||||||||||
U.S. Treasury Note(e) | 1.750 | % | 05/15/2023 | 250,000 | 241,830 | |||||||||||||
U.S. Treasury Note(e) | 2.750 | % | 02/15/2024 | 100,000 | 103,830 | |||||||||||||
U.S. Treasury Note(e) | 2.000 | % | 02/15/2025 | 625,000 | 607,069 | |||||||||||||
U.S. Treasury Note(e) | 2.125 | % | 05/15/2025 | 200,000 | 196,328 | |||||||||||||
U.S. Treasury Bond(e) | 5.250 | % | 11/15/2028 | 650,000 | 848,165 | |||||||||||||
U.S. Treasury Bond(e) | 4.375 | % | 02/15/2038 | 300,000 | 368,967 | |||||||||||||
U.S. Treasury Bond(e) | 4.375 | % | 05/15/2040 | 750,000 | 923,183 | |||||||||||||
U.S. Treasury Bond(e) | 3.000 | % | 05/15/2042 | 200,000 | 195,954 | |||||||||||||
U.S. Treasury Bond(e) | 3.625 | % | 08/15/2043 | 100,000 | 109,979 | |||||||||||||
U.S. Treasury Bond(e) | 3.125 | % | 08/15/2044 | 500,000 | 500,685 | |||||||||||||
U.S. Treasury Bond(e) | 3.000 | % | 11/15/2044 | 175,000 | 171,099 | |||||||||||||
U.S. Treasury Bond(e) | 2.500 | % | 02/15/2045 | 550,000 | 484,165 | |||||||||||||
|
| |||||||||||||||||
TOTAL U.S. TREASURY OBLIGATIONS | 24,554,627 | |||||||||||||||||
|
| |||||||||||||||||
COMMERCIAL MORTGAGE BACKED SECURITIES – 1.2% | ||||||||||||||||||
Citigroup Commercial Mortgage Trust 2013-GC11 | 3.093 | % | 04/10/2046 | 75,000 | 75,374 | |||||||||||||
COMM 2013-CCRE8 Mortgage Trust | 3.334 | % | 06/10/2046 | 65,000 | 66,348 | |||||||||||||
COMM 2013-LC6 Mortgage Trust | 1.906 | % | 01/10/2046 | 75,000 | 75,343 | |||||||||||||
COMM 2014-UBS6 Mortgage Trust | 3.644 | % | 12/10/2047 | 100,000 | 102,421 | |||||||||||||
GS Mortgage Securities Trust 2013-GC13(a) | 4.173 | % | 07/10/2046 | 80,000 | 85,782 | |||||||||||||
JPMBB Commercial Mortgage Securities Trust 2014-C18 | 4.079 | % | 02/15/2047 | 50,000 | 53,181 | |||||||||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8 | 1.689 | % | 12/15/2048 | 90,000 | 90,141 | |||||||||||||
Morgan Stanley Capital I Trust 2007-HQ11(a) | 5.447 | % | 02/12/2044 | 100,000 | 104,833 | |||||||||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16(a) | 1.294 | % | 08/15/2050 | 76,488 | 76,216 | |||||||||||||
WFRBS Commercial Mortgage Trust 2014-C19 | 3.660 | % | 03/15/2047 | 75,000 | 78,058 | |||||||||||||
|
| |||||||||||||||||
TOTAL COMMERCIAL MORTGAGE BACKED SECURITIES (Cost $814,170) | 807,697 | |||||||||||||||||
|
| |||||||||||||||||
ASSET BACKED SECURITIES – 0.6% | ||||||||||||||||||
Automobiles – 0.2% | ||||||||||||||||||
CarMax Auto Owner Trust 2015-1 | 1.380 | % | 11/15/2019 | 75,000 | 75,216 | |||||||||||||
Volkswagen Auto Loan Enhanced Trust 2014-1 | 0.910 | % | 10/22/2018 | 65,000 | 64,942 | |||||||||||||
|
| |||||||||||||||||
140,158 | ||||||||||||||||||
|
|
See accompanying notes to financial statements.
29
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Interest Rate | Maturity Date | Principal Amount | Value | ||||||||||||||
ASSET BACKED SECURITIES – (continued) | ||||||||||||||||||
Credit Card Receivables – 0.4% | ||||||||||||||||||
Capital One Multi-Asset Execution Trust | 1.480 | % | 07/15/2020 | $ | 30,000 | $ | 30,182 | |||||||||||
Citibank Credit Card Issuance Trust | 5.350 | % | 02/07/2020 | 100,000 | 110,050 | |||||||||||||
Citibank Credit Card Issuance Trust | 2.880 | % | 01/23/2023 | 100,000 | 102,992 | |||||||||||||
|
| |||||||||||||||||
243,224 | ||||||||||||||||||
|
| |||||||||||||||||
TOTAL ASSET BACKED SECURITIES | 383,382 | |||||||||||||||||
|
| |||||||||||||||||
MUNICIPAL BONDS – 0.2% | ||||||||||||||||||
Pennsylvania – 0.0%(c) | ||||||||||||||||||
Commonwealth of Pennsylvania | 5.450 | % | 02/15/2030 | 20,000 | 22,989 | |||||||||||||
|
| |||||||||||||||||
California – 0.2% | ||||||||||||||||||
Los Angeles Department of Water & Power | 5.716 | % | 07/01/2039 | 100,000 | 119,641 | |||||||||||||
Los Angeles Unified School District | 5.750 | % | 07/01/2034 | 25,000 | 29,995 | |||||||||||||
|
| |||||||||||||||||
149,636 | ||||||||||||||||||
|
| |||||||||||||||||
TOTAL MUNICIPAL BONDS | 172,625 | |||||||||||||||||
|
| |||||||||||||||||
SHORT TERM INVESTMENT – 16.4% |
| |||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.11%(f)(g)(h) | 11,372,070 | 11,372,070 | ||||||||||||||||
|
| |||||||||||||||||
TOTAL INVESTMENTS – 114.0%(i) | 78,833,194 | |||||||||||||||||
Other Liabilities in Excess of Assets – (14.0)% | (9,686,621 | ) | ||||||||||||||||
|
| |||||||||||||||||
NET ASSETS – 100.0% | $ | 69,146,573 | ||||||||||||||||
|
|
(a) | Variable Rate Security – Interest rate shown is rate in effect as of June 30, 2015. |
(b) | 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 $196,943 or 0.28% of net assets as of June 30, 2015. |
(c) | Amount shown represents less than 0.05% of net assets. |
(d) | When-issued security. |
(e) | All or portion of this security has been designated as collateral for TBA securities. |
(f) | The rate shown is the annualized seven-day yield at period end. |
(g) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 4). |
(h) | Value is determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures. |
(i) | Unless otherwise indicated, the values of securities of the Portfolio are determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures (Note 2). |
Abbreviations | ||
MBS | Mortgage Backed Securities | |
PLC | Public Limited Company | |
TBA | To Be Announced |
See accompanying notes to financial statements.
30
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2015 | |||
Common Stocks | 98.5 | % | ||
Rights | 0.0 | ** | ||
Short Term Investment | 1.9 | |||
Other Liabilities in Excess of Assets | (0.4 | ) | ||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | June 30, 2015 | |||
Financials | 27.6 | % | ||
Consumer Discretionary | 11.6 | |||
Industrials | 11.1 | |||
Consumer Staples | 9.7 | |||
Health Care | 8.8 | |||
Total | 68.8 | % |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
** | Less than 0.05% of net assets. |
See accompanying notes to financial statements.
31
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 98.5% | ||||||||
Australia – 4.7% | ||||||||
AGL Energy, Ltd. | 3,284 | $ | 39,250 | |||||
Alumina, Ltd. | 12,209 | 14,357 | ||||||
Amcor, Ltd. | 5,898 | 62,196 | ||||||
AMP, Ltd. | 14,590 | 67,508 | ||||||
APA Group | 5,387 | 34,117 | ||||||
Aristocrat Leisure, Ltd. | 2,686 | 15,793 | ||||||
Asciano, Ltd. | 4,715 | 24,099 | ||||||
ASX, Ltd. | 936 | 28,704 | ||||||
Aurizon Holdings, Ltd. | 10,331 | 40,734 | ||||||
AusNet Services | 4,065 | 4,359 | ||||||
Australia & New Zealand Banking Group, Ltd. | 13,899 | 343,985 | ||||||
Bank of Queensland, Ltd. | 1,822 | 17,883 | ||||||
Bendigo & Adelaide Bank, Ltd. | 2,205 | 20,778 | ||||||
BHP Billiton, Ltd. | 16,199 | 336,787 | ||||||
Boral, Ltd. | 3,784 | 17,014 | ||||||
Brambles, Ltd. | 7,570 | 61,674 | ||||||
Caltex Australia, Ltd. | 1,526 | 37,356 | ||||||
CIMIC Group, Ltd. | 229 | 3,828 | ||||||
Coca-Cola Amatil, Ltd. | 2,795 | 19,656 | ||||||
Cochlear, Ltd. | 276 | 17,003 | ||||||
Commonwealth Bank of Australia | 8,386 | 548,704 | ||||||
Computershare, Ltd. | 2,285 | 20,566 | ||||||
Crown Resorts, Ltd. | 1,760 | 16,503 | ||||||
CSL, Ltd. | 2,467 | 163,959 | ||||||
Dexus Property Group REIT | 4,377 | 24,558 | ||||||
Federation Centres REIT | 16,778 | 37,655 | ||||||
Flight Centre Travel Group, Ltd. | 125 | 3,277 | ||||||
Fortescue Metals Group, Ltd. | 7,526 | 11,048 | ||||||
Goodman Group REIT | 8,437 | 40,659 | ||||||
GPT Group REIT | 8,147 | 26,800 | ||||||
Harvey Norman Holdings, Ltd. | 4,776 | 16,555 | ||||||
Healthscope, Ltd. | 5,442 | 11,377 | ||||||
Iluka Resources, Ltd. | 2,024 | 11,947 | ||||||
Incitec Pivot, Ltd. | 8,000 | 23,673 | ||||||
Insurance Australia Group, Ltd. | 11,319 | 48,545 | ||||||
Lend Lease Group | 2,681 | 30,971 | ||||||
Macquarie Group, Ltd. | 1,606 | 100,478 | ||||||
Medibank Pvt, Ltd.(a) | 11,545 | 17,836 | ||||||
Mirvac Group REIT | 17,872 | 25,412 | ||||||
National Australia Bank, Ltd. | 13,626 | 348,854 | ||||||
Newcrest Mining, Ltd.(a) | 3,705 | 37,077 | ||||||
Orica, Ltd. | 1,802 | 29,473 | ||||||
Origin Energy, Ltd. | 5,400 | 49,681 | ||||||
Platinum Asset Management, Ltd. | 1,125 | 6,468 | ||||||
Qantas Airways, Ltd.(a) | 2,430 | 5,902 | ||||||
QBE Insurance Group, Ltd. | 6,598 | 69,324 | ||||||
Ramsay Health Care, Ltd. | 635 | 30,001 | ||||||
REA Group, Ltd. | 119 | 3,586 | ||||||
Rio Tinto, Ltd. | 2,106 | 87,004 | ||||||
Santos, Ltd. | 4,799 | 28,881 | ||||||
Scentre Group REIT | 25,737 | 74,180 | ||||||
Seek, Ltd. | 1,572 | 16,988 | ||||||
Sonic Healthcare, Ltd. | 1,842 | 30,255 | ||||||
South32, Ltd.(a)(b) | 10,757 | 14,549 | ||||||
South32, Ltd.(a)(b) | 16,199 | 22,287 | ||||||
Stockland REIT | 11,354 | 35,779 | ||||||
Suncorp Group, Ltd. | 6,219 | 64,194 | ||||||
Sydney Airport | 5,249 | 20,091 | ||||||
Tabcorp Holdings, Ltd. | 5,788 | 20,241 | ||||||
Tatts Group, Ltd. | 7,151 | 20,446 | ||||||
Telstra Corp., Ltd. | 20,684 | 97,612 | ||||||
TPG Telecom, Ltd. | 627 | 4,323 | ||||||
Transurban Group | 10,713 | 76,576 | ||||||
Treasury Wine Estates, Ltd. | 3,148 | 12,074 | ||||||
Wesfarmers, Ltd. | 5,813 | 174,381 | ||||||
Westfield Corp. REIT | 9,543 | 66,893 | ||||||
Westpac Banking Corp. | 16,209 | 400,532 | ||||||
Woodside Petroleum, Ltd. | 4,035 | 106,158 | ||||||
Woolworths, Ltd. | 6,592 | 136,596 | ||||||
WorleyParsons, Ltd. | 468 | 3,745 | ||||||
|
| |||||||
4,481,755 | ||||||||
|
| |||||||
Austria – 0.1% | ||||||||
Andritz AG | 352 | 19,473 | ||||||
Erste Group Bank AG(a) | 1,350 | 38,319 | ||||||
OMV AG | 712 | 19,579 | ||||||
Raiffeisen Bank International AG | 265 | 3,853 | ||||||
Voestalpine AG | 542 | 22,543 | ||||||
|
| |||||||
103,767 | ||||||||
|
| |||||||
Belgium – 0.9% | ||||||||
Ageas | 1,061 | 40,850 | ||||||
Anheuser-Busch InBev NV | 4,105 | 491,682 | ||||||
Colruyt SA | 340 | 15,216 | ||||||
Delhaize Group SA | 497 | 41,011 | ||||||
Groupe Bruxelles Lambert SA | 390 | 31,374 | ||||||
KBC Groep NV | 1,211 | 80,877 | ||||||
Proximus | 735 | 25,936 | ||||||
Solvay SA | 287 | 39,460 | ||||||
Telenet Group Holding NV(a) | 254 | 13,808 | ||||||
UCB SA | 611 | 43,835 | ||||||
Umicore SA | 460 | 21,798 | ||||||
|
| |||||||
845,847 | ||||||||
|
| |||||||
Brazil – 1.7% | ||||||||
AMBEV SA | 24,565 | 151,040 | ||||||
B2W Cia Digital(a) | 1,200 | 7,877 | ||||||
Banco Bradesco SA | 6,360 | 57,286 | ||||||
Banco Bradesco SA Preference Shares | 10,680 | 97,985 | ||||||
Banco do Brasil SA | 4,200 | 32,828 | ||||||
Banco do Estado do Rio Grande do Sul SA | 1,900 | 5,450 | ||||||
Banco Santander Brasil SA | 2,000 | 10,894 | ||||||
BB Seguridade Participacoes SA | 3,400 | 37,323 | ||||||
BM&FBOVESPA SA | 8,700 | 32,824 | ||||||
BR Malls Participacoes SA | 2,100 | 9,843 | ||||||
Braskem SA | 1,800 | 7,892 | ||||||
BRF SA | 3,200 | 67,659 | ||||||
CCR SA | 5,100 | 24,479 | ||||||
Cetip SA – Mercados Organizados | 900 | 9,874 | ||||||
Cia Brasileira de Distribuicao | 600 | 14,158 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 1,700 | 9,030 | ||||||
Cia Energetica de Minas Gerais | 3,900 | 14,890 | ||||||
Cia Energetica de Sao Paulo | 900 | 5,681 | ||||||
Cia Paran aense de Energia | 900 | 10,126 | ||||||
Cia Siderurgica Nacional SA | 3,400 | 5,659 | ||||||
Cielo SA | 4,080 | 57,554 | ||||||
Cosan SA Industria e Comercio | 1,100 | 8,906 | ||||||
CPFL Energia SA | 1,238 | 7,674 |
See accompanying notes to financial statements.
32
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Brazil – (continued) | ||||||||
Cyrela Brazil Realty SA Empreendimentos e Participacoes | 2,400 | $ | 7,649 | |||||
Duratex SA | 3,200 | 7,479 | ||||||
EcoRodovias Infraestrutura e Logistica SA | 2,300 | 5,738 | ||||||
EDP – Energias do Brasil SA | 2,600 | 9,634 | ||||||
Embraer SA | 3,800 | 28,943 | ||||||
Estacio Participacoes SA | 2,500 | 14,486 | ||||||
Fibria Celulose SA | 1,000 | 13,656 | ||||||
Gerdau SA Preference Shares | 6,200 | 14,949 | ||||||
Hypermarcas SA(a) | 1,700 | 12,384 | ||||||
Itau Unibanco Holding SA | 13,900 | 153,122 | ||||||
Itausa – Investimentos Itau SA | 17,127 | 49,125 | ||||||
JBS SA | 3,600 | 18,959 | ||||||
Klabin SA | 2,227 | 13,686 | ||||||
Kroton Educacional SA | 6,300 | 24,114 | ||||||
Localiza Rent a Car SA | 1,800 | 17,783 | ||||||
Lojas Americanas SA | 5,500 | 23,460 | ||||||
Lojas Renner SA | 1,000 | 36,376 | ||||||
M Dias Branco SA | 300 | 7,919 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 400 | 6,174 | ||||||
Natura Cosmeticos SA | 800 | 7,092 | ||||||
Odontoprev SA | 2,400 | 8,328 | ||||||
Petroleo Brasileiro SA(a) | 14,400 | 65,037 | ||||||
Petroleo Brasileiro SA Preference Shares(a) | 20,300 | 83,058 | ||||||
Porto Seguro SA | 500 | 6,664 | ||||||
Qualicorp SA | 991 | 6,288 | ||||||
Raia Drogasil SA | 1,000 | 12,902 | ||||||
Souza Cruz SA | 1,600 | 12,583 | ||||||
Sul America SA | 1,900 | 9,278 | ||||||
Suzano Papel e Celulose SA | 1,600 | 8,519 | ||||||
Telefonica Brasil SA | 1,685 | 23,628 | ||||||
Tim Participacoes SA | 3,900 | 12,856 | ||||||
TOTVS SA | 600 | 7,533 | ||||||
Tractebel Energia SA | 1,900 | 20,912 | ||||||
Ultrapar Participacoes SA | 1,700 | 35,955 | ||||||
Vale SA(b) | 6,200 | 36,505 | ||||||
Vale SA(b) | 9,300 | 46,644 | ||||||
Via Varejo SA | 1,356 | 4,902 | ||||||
WEG SA | 2,800 | 17,171 | ||||||
|
| |||||||
1,578,423 | ||||||||
|
| |||||||
Canada – 6.5% | ||||||||
Agnico Eagle Mines, Ltd. | 1,000 | 28,403 | ||||||
Agrium, Inc. | 700 | 74,219 | ||||||
Alimentation Couche-Tard, Inc. | 2,000 | 85,594 | ||||||
AltaGas, Ltd. | 600 | 18,282 | ||||||
ARC Resources, Ltd. | 1,500 | 25,712 | ||||||
Atco, Ltd. (Class I) | 400 | 12,652 | ||||||
Bank of Montreal | 3,300 | 195,629 | ||||||
Bank of Nova Scotia | 6,100 | 315,004 | ||||||
Barrick Gold Corp. | 5,600 | 59,882 | ||||||
Baytex Energy Corp. | 800 | 12,451 | ||||||
BCE, Inc. | 679 | 28,858 | ||||||
BlackBerry, Ltd.(a) | 2,400 | 19,627 | ||||||
Bombardier, Inc. | 13,300 | 23,970 | ||||||
Brookfield Asset Management, Inc. (Class A) | 4,350 | 152,056 | ||||||
CAE, Inc. | 1,300 | 15,484 | ||||||
Cameco Corp. | 1,900 | 27,196 | ||||||
Canadian Imperial Bank of Commerce | 2,000 | 147,495 | ||||||
Canadian National Railway Co. | 4,100 | 236,650 | ||||||
Canadian Natural Resources, Ltd. | 5,700 | 154,776 | ||||||
Canadian Oil Sands, Ltd. | 2,300 | 18,607 | ||||||
Canadian Pacific Railway, Ltd. | 900 | 144,193 | ||||||
Canadian Tire Corp., Ltd. (Class A) | 400 | 42,799 | ||||||
Canadian Utilities, Ltd. | 600 | 17,287 | ||||||
Catamaran Corp. (Class A)(a) | 1,000 | 61,140 | ||||||
Cenovus Energy, Inc. | 4,500 | 71,981 | ||||||
CGI Group, Inc.(a) | 1,100 | 43,041 | ||||||
CI Financial Corp. | 1,100 | 29,605 | ||||||
Constellation Software, Inc. | 100 | 39,718 | ||||||
Crescent Point Energy Corp. | 2,000 | 41,059 | ||||||
Dollarama, Inc. | 600 | 36,381 | ||||||
Eldorado Gold Corp. | 3,500 | 14,522 | ||||||
Empire Co., Ltd. (Class A) | 300 | 21,139 | ||||||
Enbridge, Inc. | 4,300 | 201,180 | ||||||
EnCana Corp. | 4,500 | 49,633 | ||||||
Enerplus Corp. | 1,500 | 13,168 | ||||||
Fairfax Financial Holdings, Ltd. | 100 | 49,332 | ||||||
Finning International, Inc. | 800 | 15,052 | ||||||
First Capital Realty, Inc. | 800 | 11,457 | ||||||
First Quantum Minerals, Ltd. | 4,000 | 52,321 | ||||||
Fortis, Inc. | 1,300 | 36,528 | ||||||
Franco-Nevada Corp. | 800 | 38,172 | ||||||
George Weston, Ltd. | 300 | 23,576 | ||||||
Gildan Activewear, Inc. | 1,200 | 39,880 | ||||||
Goldcorp, Inc. | 3,900 | 63,321 | ||||||
Great-West Lifeco, Inc. | 1,400 | 40,774 | ||||||
H&R REIT | 600 | 10,785 | ||||||
Husky Energy, Inc. | 1,700 | 32,531 | ||||||
IGM Financial, Inc. | 500 | 15,932 | ||||||
Imperial Oil, Ltd. | 1,600 | 61,837 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. | 500 | 16,825 | ||||||
Intact Financial Corp. | 700 | 48,663 | ||||||
Inter Pipeline, Ltd. | 1,600 | 36,782 | ||||||
Jean Coutu Group PJC, Inc. | 400 | 7,433 | ||||||
Keyera Corp. | 800 | 26,721 | ||||||
Kinross Gold Corp.(a) | 5,500 | 12,820 | ||||||
Loblaw Cos., Ltd. | 1,100 | 55,579 | ||||||
Magna International, Inc. | 2,000 | 112,299 | ||||||
Manulife Financial Corp. | 10,000 | 185,910 | ||||||
MEG Energy Corp.(a) | 800 | 13,072 | ||||||
Methanex Corp. | 500 | 27,923 | ||||||
Metro, Inc. | 1,200 | 32,219 | ||||||
National Bank of Canada | 1,600 | 60,132 | ||||||
Onex Corp. | 400 | 22,143 | ||||||
Open Text Corp. | 600 | 24,381 | ||||||
Paramount Resources, Ltd.(a) | 300 | 6,896 | ||||||
Pembina Pipeline Corp. | 1,600 | 51,738 | ||||||
Peyto Exploration & Development Corp. | 700 | 17,118 | ||||||
Potash Corp. of Saskatchewan, Inc. | 4,200 | 130,126 | ||||||
Power Corp. of Canada | 1,800 | 46,051 | ||||||
Power Financial Corp. | 1,200 | 34,478 |
See accompanying notes to financial statements.
33
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Canada – (continued) | ||||||||
PrairieSky Royalty, Ltd. | 600 | $ | 15,144 | |||||
Restaurant Brands International, Inc. | 946 | 36,273 | ||||||
RioCan REIT | 700 | 15,010 | ||||||
Rogers Communications, Inc. (Class B) | 1,800 | 63,871 | ||||||
Royal Bank of Canada | 7,400 | 452,731 | ||||||
Saputo, Inc. | 1,200 | 29,038 | ||||||
Shaw Communications, Inc. (Class B) | 1,900 | 41,395 | ||||||
Silver Wheaton Corp. | 1,800 | 31,215 | ||||||
SNC-Lavalin Group, Inc. | 700 | 23,527 | ||||||
Sun Life Financial, Inc. | 3,000 | 100,204 | ||||||
Suncor Energy, Inc. | 7,300 | 201,145 | ||||||
Teck Resources, Ltd. (Class B) | 2,700 | 26,774 | ||||||
TELUS Corp. | 1,000 | 34,467 | ||||||
Thomson Reuters Corp. | 1,900 | 72,381 | ||||||
Toronto-Dominion Bank | 9,600 | 407,853 | ||||||
Tourmaline Oil Corp.(a) | 800 | 24,043 | ||||||
TransAlta Corp. | 1,300 | 10,080 | ||||||
TransCanada Corp. | 3,600 | 146,370 | ||||||
Turquoise Hill Resources, Ltd.(a) | 3,900 | 14,838 | ||||||
Valeant Pharmaceuticals International, Inc.(a) | 1,700 | 377,283 | ||||||
Veresen, Inc. | 1,400 | 18,940 | ||||||
Vermilion Energy, Inc. | 500 | 21,607 | ||||||
West Fraser Timber Co., Ltd. | 300 | 16,492 | ||||||
Yamana Gold, Inc. | 4,500 | 13,553 | ||||||
|
| |||||||
6,134,434 | ||||||||
|
| |||||||
Chile – 0.3% | ||||||||
AES Gener SA | 53,702 | 30,579 | ||||||
Aguas Andinas SA | 12,641 | 7,190 | ||||||
Banco de Chile | 102,667 | 11,249 | ||||||
Banco de Credito e Inversiones | 158 | 6,943 | ||||||
Banco Santander Chile | 318,826 | 16,107 | ||||||
Cencosud SA | 9,119 | 21,933 | ||||||
Cia Cervecerias Unidas SA | 714 | 7,575 | ||||||
Colbun SA | 39,137 | 11,135 | ||||||
Corpbanca SA | 658,104 | 7,263 | ||||||
Empresa Nacional de Electricidad SA ADR | 26,443 | 36,607 | ||||||
Empresa Nacional de Telecomunicaciones SA | 572 | 6,330 | ||||||
Empresas CMPC SA | 6,042 | 16,434 | ||||||
Empresas COPEC SA | 1,918 | 20,362 | ||||||
Enersis SA | 116,837 | 37,127 | ||||||
Latam Airlines Group SA ADR(a) | 2,319 | 16,524 | ||||||
SACI Falabella | 4,707 | 32,874 | ||||||
Sociedad Quimica y Minera de Chile SA | 466 | 7,539 | ||||||
SONDA SA | 2,316 | 4,835 | ||||||
|
| |||||||
298,606 | ||||||||
|
| |||||||
China – 4.5% | ||||||||
AAC Technologies Holdings, Inc. | 3,500 | 19,797 | ||||||
Agricultural Bank of China, Ltd. (Class H) | 131,000 | 70,801 | ||||||
Air China, Ltd. | 8,000 | 9,060 | ||||||
Aluminum Corp. of China, Ltd.(a) | 20,000 | 10,113 | ||||||
Anhui Conch Cement Co., Ltd. | 6,000 | 21,051 | ||||||
ANTA Sports Products, Ltd. | 5,000 | 12,190 | ||||||
AviChina Industry & Technology Co., Ltd. | 12,000 | 11,717 | ||||||
Bank of China, Ltd. (Class H) | 403,000 | 262,514 | ||||||
Bank of Communications Co., Ltd. (Class H) | 41,000 | 42,732 | ||||||
BBMG Corp. | 10,000 | 10,048 | ||||||
Beijing Capital International Airport Co., Ltd. | 8,000 | 9,225 | ||||||
Brilliance China Automotive Holdings, Ltd. | 20,000 | 31,216 | ||||||
Byd Co., Ltd. | 3,000 | 17,994 | ||||||
CGN Power Co., Ltd.(c) | 25,600 | 13,440 | ||||||
China Cinda Asset Management Co., Ltd.(a) | 43,592 | 24,291 | ||||||
China CITIC Bank Corp., Ltd. (Class H)(a) | 48,000 | 38,264 | ||||||
China Coal Energy Co., Ltd. | 20,000 | 11,944 | ||||||
China Communications Construction Co., Ltd. (Class H) | 21,000 | 31,314 | ||||||
China Communications Services Corp., Ltd. | 20,000 | 10,035 | ||||||
China Conch Venture Holdings, Ltd. | 3,500 | 8,036 | ||||||
China Construction Bank Corp. | 437,000 | 399,653 | ||||||
China COSCO Holdings Co., Ltd.(a) | 12,500 | 8,094 | ||||||
China Everbright Bank Co., Ltd. | 13,300 | 7,943 | ||||||
China Galaxy Securities Co., Ltd. | 19,300 | 25,244 | ||||||
China Huishan Dairy Holdings Co., Ltd. | 52,000 | 11,805 | ||||||
China International Marine Containers Group Co., Ltd. | 4,400 | 11,272 | ||||||
China Life Insurance Co., Ltd. (Class H) | 39,000 | 169,028 | ||||||
China Longyuan Power Group Corp., Ltd. (Class H) | 29,000 | 32,245 | ||||||
China Medical System Holdings, Ltd. | 5,000 | 6,953 | ||||||
China Mengniu Dairy Co., Ltd. | 6,000 | 29,874 | ||||||
China Merchants Bank Co., Ltd. | 22,000 | 64,418 | ||||||
China Minsheng Banking Corp., Ltd. (Class H) | 32,000 | 41,937 | ||||||
China National Building Material Co., Ltd. (Class H) | 22,000 | 20,773 | ||||||
China Oilfield Services, Ltd. | 12,000 | 19,070 | ||||||
China Pacific Insurance Group Co., Ltd. (Class H) | 12,800 | 61,585 | ||||||
China Petroleum & Chemical Corp. (Class H) | 124,000 | 106,845 | ||||||
China Railway Construction Corp., Ltd. | 9,500 | 14,607 | ||||||
China Railway Group, Ltd. | 19,000 | 20,611 | ||||||
China Shenhua Energy Co., Ltd. (Class H) | 16,500 | 37,629 | ||||||
China Shipping Container Lines Co., Ltd.(a) | 28,000 | 10,943 | ||||||
China Southern Airlines Co., Ltd. | 10,000 | 11,815 | ||||||
China Telecom Corp., Ltd. (Class H) | 68,000 | 39,909 | ||||||
China Vanke Co., Ltd. | 5,500 | 13,536 |
See accompanying notes to financial statements.
34
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
China – (continued) | ||||||||
Chongqing Changan Automobile Co., Ltd. (Class H) | 4,100 | $ | 10,487 | |||||
Chongqing Rural Commercial Bank Co., Ltd. | 7,000 | 5,643 | ||||||
CITIC Securities Co., Ltd. | 5,000 | 18,059 | ||||||
Country Garden Holdings Co., Ltd. | 25,000 | 10,964 | ||||||
CRRC Corp., Ltd. | 19,350 | 29,702 | ||||||
CSPC Pharmaceutical Group, Ltd. | 26,000 | 25,757 | ||||||
Dalian Wanda Commercial Properties Co., Ltd.(c) | 1,500 | 12,044 | ||||||
Datang International Power Generation Co., Ltd. (Class H) | 14,000 | 7,151 | ||||||
Dongfeng Motor Group Co., Ltd. (Class H) | 20,000 | 26,778 | ||||||
ENN Energy Holdings, Ltd. | 4,000 | 24,121 | ||||||
Evergrande Real Estate Group, Ltd. | 73,000 | 43,409 | ||||||
Fosun International, Ltd. | 7,500 | 17,626 | ||||||
Geely Automobile Holdings, Ltd. | 25,000 | 13,383 | ||||||
GF Securities Co., Ltd.(a) | 4,600 | 11,772 | ||||||
Glencore PLC | 56,620 | 227,335 | ||||||
GOME Electrical Appliances Holding, Ltd. | 49,000 | 10,871 | ||||||
Great Wall Motor Co., Ltd.(d) | 4,500 | 22,057 | ||||||
Guangzhou Automobile Group Co., Ltd. | 10,000 | 9,261 | ||||||
Guangzhou R&F Properties Co., Ltd.(a) | 8,800 | 10,784 | ||||||
Haitian International Holdings, Ltd. | 3,000 | 6,904 | ||||||
Haitong Securities Co., Ltd. | 15,600 | 41,352 | ||||||
Hengan International Group Co., Ltd. | 3,500 | 41,557 | ||||||
Huadian Power International Corp., Ltd. | 8,000 | 8,926 | ||||||
Huaneng Power International, Inc. (Class H) | 26,000 | 36,153 | ||||||
Huaneng Renewables Corp., Ltd. | 18,629 | 7,473 | ||||||
Industrial & Commercial Bank of China, Ltd. (Class H) | 375,000 | 297,483 | ||||||
Inner Mongolia Yitai Coal Co., Ltd. | 5,100 | 7,288 | ||||||
Jiangsu Expressway Co., Ltd. | 6,000 | 7,894 | ||||||
Jiangxi Copper Co., Ltd. | 6,000 | 10,061 | ||||||
Kerry Properties, Ltd. | 5,500 | 21,567 | ||||||
Kingsoft Corp., Ltd. | 3,000 | 10,061 | ||||||
Lenovo Group, Ltd. | 32,000 | 44,331 | ||||||
Longfor Properties Co., Ltd. | 7,000 | 11,124 | ||||||
Luye Pharma Group, Ltd.(a) | 6,500 | 6,959 | ||||||
New China Life Insurance Co., Ltd. | 4,700 | 28,100 | ||||||
People’s Insurance Co. Group of China, Ltd. | 27,000 | 17,274 | ||||||
PetroChina Co., Ltd. (Class H) | 114,000 | 126,903 | ||||||
PICC Property & Casualty Co., Ltd. (Class H) | 21,800 | 49,603 | ||||||
Ping An Insurance Group Co. of China, Ltd. (Class H) | 13,500 | 181,798 | ||||||
Shandong Weigao Group Medical Polymer Co., Ltd. | 8,000 | 5,913 | ||||||
Shanghai Electric Group Co., Ltd. | 14,000 | 11,377 | ||||||
Shanghai Fosun Pharmaceutical Group Co., Ltd. | 2,000 | 7,391 | ||||||
Shanghai Industrial Holdings, Ltd. | 1,000 | 3,392 | ||||||
Shanghai Pharmaceuticals Holding Co., Ltd. | 3,300 | 9,194 | ||||||
Shenzhou International Group Holdings, Ltd. | 3,000 | 14,550 | ||||||
Shui On Land, Ltd. | 32,500 | 9,181 | ||||||
Sihuan Pharmaceutical Holdings Group, Ltd.(d) | 20,000 | 11,377 | ||||||
Sino Land Co., Ltd. | 14,181 | 23,743 | ||||||
Sino-Ocean Land Holdings, Ltd. | 16,500 | 12,536 | ||||||
Sinopec Engineering Group Co., Ltd. | 10,500 | 9,725 | ||||||
Sinopec Shanghai Petrochemical Co., Ltd.(a) | 38,000 | 20,636 | ||||||
Sinopharm Group Co., Ltd. (Class H) | 8,000 | 35,498 | ||||||
Sinotrans, Ltd. | 9,000 | 6,037 | ||||||
SOHO China, Ltd. | 38,500 | 24,980 | ||||||
Sun Art Retail Group, Ltd. | 11,500 | 10,384 | ||||||
Sunac China Holdings, Ltd. | 9,000 | 9,856 | ||||||
Tencent Holdings, Ltd. | 26,700 | 533,136 | ||||||
Tingyi Cayman Islands Holding Corp. | 12,000 | 24,611 | ||||||
Tsingtao Brewery Co., Ltd. | 4,000 | 24,276 | ||||||
Want Want China Holdings, Ltd. | 25,000 | 26,443 | ||||||
Weichai Power Co., Ltd. | 2,000 | 6,695 | ||||||
Yanzhou Coal Mining Co., Ltd. | 8,000 | 6,284 | ||||||
Zhejiang Expressway Co., Ltd. | 6,000 | 8,328 | ||||||
Zhuzhou CSR Times Electric Co., Ltd. | 2,000 | 15,066 | ||||||
Zijin Mining Group Co., Ltd. | 28,000 | 9,860 | ||||||
ZTE Corp. | 3,600 | 9,139 | ||||||
|
| |||||||
4,221,194 | ||||||||
|
| |||||||
Colombia – 0.1% | ||||||||
Almacenes Exito SA | 974 | 8,513 | ||||||
Banco Davivienda SA | 929 | 9,556 | ||||||
Bancolombia SA ADR | 500 | 21,500 | ||||||
Cementos Argos SA | 1,948 | 6,931 | ||||||
Corp. Financiera Colombiana SA | 393 | 5,518 | ||||||
Ecopetrol SA | 9,851 | 6,556 | ||||||
Ecopetrol SA ADR | 700 | 9,282 | ||||||
Grupo Argos SA | 1,404 | 9,181 | ||||||
Grupo Aval Acciones y Valores SA | 16,055 | 7,874 | ||||||
Grupo de Inversiones Suramericana SA | 1,089 | 15,508 | ||||||
Grupo de Inversiones Suramericana SA Preference Shares | 463 | 6,483 | ||||||
Interconexion Electrica SA ESP | 1,874 | 5,299 | ||||||
Isagen SA ESP | 7,521 | 8,043 | ||||||
|
| |||||||
120,244 | ||||||||
|
| |||||||
Czech Republic – 0.0%(e) | ||||||||
CEZ AS | 1,178 | 27,349 | ||||||
Komercni banka AS | 73 | 16,181 | ||||||
|
| |||||||
43,530 | ||||||||
|
|
See accompanying notes to financial statements.
35
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Denmark – 1.1% | ||||||||
AP Moeller – Maersk AS (Class A) | 19 | $ | 33,344 | |||||
AP Moeller – Maersk AS (Class B) | 35 | 63,358 | ||||||
Carlsberg AS | 517 | 46,910 | ||||||
Coloplast AS (Class B) | 537 | 35,218 | ||||||
Danske Bank AS | 3,520 | 103,466 | ||||||
DSV AS | 856 | 27,718 | ||||||
Novo Nordisk AS (Class B) | 9,969 | 542,873 | ||||||
Novozymes AS (Class B) | 1,157 | 54,970 | ||||||
Pandora AS | 557 | 59,816 | ||||||
TDC AS | 3,900 | 28,583 | ||||||
Tryg AS | 505 | 10,522 | ||||||
Vestas Wind Systems AS | 1,083 | 54,026 | ||||||
William Demant Holding AS(a) | 213 | 16,241 | ||||||
|
| |||||||
1,077,045 | ||||||||
|
| |||||||
Egypt – 0.1% | ||||||||
Commercial International Bank Egypt SAE(d) | 5,185 | 38,176 | ||||||
Global Telecom Holding SAE(a)(d) | 12,679 | 4,173 | ||||||
Talaat Moustafa Group(d) | 4,988 | 5,734 | ||||||
|
| |||||||
48,083 | ||||||||
|
| |||||||
Finland – 0.6% | ||||||||
Elisa Oyj | 688 | 21,794 | ||||||
Fortum Oyj | 2,147 | 38,131 | ||||||
Kone Oyj (Class B) | 1,515 | 61,444 | ||||||
Metso Oyj | 545 | 14,962 | ||||||
Neste Oil Oyj | 620 | 15,792 | ||||||
Nokia Oyj | 18,103 | 122,838 | ||||||
Nokian Renkaat Oyj | 548 | 17,163 | ||||||
Orion Oyj (Class B) | 487 | 17,027 | ||||||
Sampo Oyj (Class A) | 2,430 | 114,392 | ||||||
Stora Enso Oyj | 2,661 | 27,410 | ||||||
UPM-Kymmene Oyj | 2,580 | 45,621 | ||||||
Wartsila Oyj Abp | 715 | 33,475 | ||||||
|
| |||||||
530,049 | ||||||||
|
| |||||||
France – 6.5% | ||||||||
Accor SA | 1,140 | 57,501 | ||||||
Aeroports de Paris | 144 | 16,261 | ||||||
Air Liquide SA | 1,754 | 221,716 | ||||||
Alcatel-Lucent(a) | 13,603 | 49,531 | ||||||
Alstom SA(a) | 1,047 | 29,689 | ||||||
Arkema SA | 317 | 22,827 | ||||||
AtoS | 394 | 29,404 | ||||||
AXA SA | 10,248 | 258,397 | ||||||
BNP Paribas SA | 5,365 | 323,692 | ||||||
Bollore SA | 5,542 | 29,485 | ||||||
Bouygues SA | 1,212 | 45,286 | ||||||
Bureau Veritas SA | 1,539 | 35,427 | ||||||
Cap Gemini SA | 874 | 77,291 | ||||||
Carrefour SA | 3,020 | 96,640 | ||||||
Casino-Guichard Perrachon SA | 273 | 20,669 | ||||||
Christian Dior SA | 264 | 51,505 | ||||||
Cie de Saint-Gobain | 2,381 | 106,833 | ||||||
Cie Generale des Etablissements Michelin | 1,011 | 105,876 | ||||||
CNP Assurances | 830 | 13,853 | ||||||
Credit Agricole SA | 5,082 | 75,536 | ||||||
Danone SA | 3,029 | 195,711 | ||||||
Dassault Systemes | 621 | 45,127 | ||||||
Edenred | 1,014 | 25,042 | ||||||
Electricite de France SA | 1,169 | 26,050 | ||||||
Essilor International SA | 1,105 | 131,737 | ||||||
Eurazeo SA | 193 | 12,763 | ||||||
Eutelsat Communications SA | 745 | 24,031 | ||||||
Fonciere Des Regions REIT | 144 | 12,229 | ||||||
GDF Suez | 7,555 | 140,072 | ||||||
Gecina SA REIT | 137 | 16,875 | ||||||
Groupe Eurotunnel SA | 2,260 | 32,710 | ||||||
Hermes International | 128 | 47,720 | ||||||
ICADE REIT | 179 | 12,776 | ||||||
Iliad SA | 126 | 27,916 | ||||||
Imerys SA | 166 | 12,688 | ||||||
JCDecaux SA | 324 | 13,512 | ||||||
Kering | 366 | 65,309 | ||||||
Klepierre REIT | 836 | 36,751 | ||||||
L’Oreal SA | 1,283 | 228,723 | ||||||
Lafarge SA | 903 | 59,603 | ||||||
Lagardere SCA | 570 | 16,614 | ||||||
Legrand SA | 1,280 | 71,822 | ||||||
LVMH Moet Hennessy Louis Vuitton SA | 1,422 | 248,987 | ||||||
Natixis | 4,519 | 32,501 | ||||||
Numericable-SFR(a) | 435 | 23,044 | ||||||
Orange SA | 9,667 | 148,747 | ||||||
Pernod Ricard SA | 1,112 | 128,359 | ||||||
Peugeot SA(a) | 2,547 | 52,345 | ||||||
Publicis Groupe SA | 908 | 67,096 | ||||||
Remy Cointreau SA | 54 | 3,890 | ||||||
Renault SA | 929 | 96,698 | ||||||
Rexel SA | 1,341 | 21,605 | ||||||
Safran SA | 1,543 | 104,511 | ||||||
Sanofi | 6,086 | 598,357 | ||||||
Schneider Electric SE | 2,931 | 202,246 | ||||||
SCOR SE | 742 | 26,162 | ||||||
Societe BIC SA | 138 | 21,988 | ||||||
Societe Generale SA | 3,759 | 175,363 | ||||||
Sodexo SA | 456 | 43,278 | ||||||
Suez Environnement Co. | 1,436 | 26,696 | ||||||
Technip SA | 514 | 31,796 | ||||||
Thales SA | 450 | 27,155 | ||||||
Total SA | 10,911 | 529,682 | ||||||
Unibail-Rodamco SE REIT(b) | 220 | 55,570 | ||||||
Unibail-Rodamco SE REIT(b) | 293 | 74,009 | ||||||
Valeo SA | 448 | 70,557 | ||||||
Vallourec SA | 551 | 11,247 | ||||||
Veolia Environnement SA | 2,039 | 41,552 | ||||||
Vinci SA | 2,466 | 142,546 | ||||||
Vivendi SA | 6,324 | 159,420 | ||||||
Wendel SA | 150 | 18,376 | ||||||
Zodiac Aerospace | 899 | 29,249 | ||||||
|
| |||||||
6,136,232 | ||||||||
|
| |||||||
Germany – 6.2% | ||||||||
adidas AG | 1,011 | 77,331 | ||||||
Allianz SE | 2,304 | 358,626 | ||||||
Axel Springer SE | 191 | 10,021 | ||||||
BASF SE | 4,762 | 418,205 | ||||||
Bayer AG | 4,213 | 589,347 | ||||||
Bayerische Motoren Werke AG | 1,690 | 184,873 | ||||||
Bayerische Motoren Werke AG Preference Shares | 262 | 22,165 |
See accompanying notes to financial statements.
36
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Germany – (continued) | ||||||||
Beiersdorf AG | 487 | $ | 40,772 | |||||
Brenntag AG | 747 | 42,806 | ||||||
Commerzbank AG(a) | 5,650 | 72,175 | ||||||
Continental AG | 591 | 139,765 | ||||||
Daimler AG | 4,988 | 453,725 | ||||||
Deutsche Annington Immobilien SE | 2,167 | 61,086 | ||||||
Deutsche Bank AG | 7,033 | 211,185 | ||||||
Deutsche Boerse AG | 933 | 77,186 | ||||||
Deutsche Lufthansa AG(a) | 1,118 | 14,406 | ||||||
Deutsche Post AG | 5,045 | 147,302 | ||||||
Deutsche Telekom AG | 16,106 | 277,255 | ||||||
Deutsche Wohnen AG | 1,603 | 36,713 | ||||||
E.ON SE | 10,421 | 138,752 | ||||||
Evonik Industries AG | 465 | 17,732 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 179 | 11,237 | ||||||
Fresenius Medical Care AG & Co. KGaA | 1,051 | 86,703 | ||||||
Fresenius SE & Co. KGaA | 2,049 | 131,386 | ||||||
Fuchs Petrolub SE Preference Shares | 336 | 14,183 | ||||||
GEA Group AG | 884 | 39,408 | ||||||
Hannover Rueck SE | 291 | 28,140 | ||||||
HeidelbergCement AG | 681 | 53,971 | ||||||
Henkel AG & Co. KGaA(b) | 565 | 53,818 | ||||||
Henkel AG & Co. KGaA(b) | 968 | 108,502 | ||||||
Hugo Boss AG | 386 | 43,116 | ||||||
Infineon Technologies AG | 5,451 | 67,598 | ||||||
ISS AS | 966 | 31,857 | ||||||
K+S AG | 833 | 35,069 | ||||||
Kabel Deutschland Holding AG(a) | 107 | 14,306 | ||||||
Lanxess AG | 442 | 26,047 | ||||||
Linde AG | 963 | 182,298 | ||||||
MAN SE | 170 | 17,500 | ||||||
Merck KGaA | 625 | 62,242 | ||||||
Metro AG | 783 | 24,672 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 899 | 159,265 | ||||||
OSRAM Licht AG | 430 | 20,580 | ||||||
Porsche Automobil Holding SE Preference Shares | 740 | 62,308 | ||||||
ProSiebenSat.1 Media AG | 1,058 | 52,222 | ||||||
RWE AG | 2,366 | 50,839 | ||||||
SAP SE | 5,111 | 356,487 | ||||||
Siemens AG | 4,112 | 413,947 | ||||||
Symrise AG | 596 | 36,968 | ||||||
Telefonica Deutschland Holding AG | 2,876 | 16,567 | ||||||
ThyssenKrupp AG | 2,189 | 56,914 | ||||||
United Internet AG | 595 | 26,435 | ||||||
Volkswagen AG | 177 | 40,932 | ||||||
Volkswagen AG Preference Shares | 829 | 192,124 | ||||||
|
| |||||||
5,909,069 | ||||||||
|
| |||||||
Greece – 0.1% | ||||||||
Alpha Bank AE(a) | 18,517 | 5,450 | ||||||
Eurobank Ergasias SA(a) | 56,090 | 7,383 | ||||||
Hellenic Telecommunications Organization SA | 2,078 | 15,831 | ||||||
Jumbo SA | 493 | 3,399 | ||||||
National Bank of Greece SA(a) | 11,861 | 13,010 | ||||||
OPAP SA | 1,974 | 14,323 | ||||||
Piraeus Bank SA(a) | 17,027 | 6,225 | ||||||
Titan Cement Co. SA | 224 | 4,453 | ||||||
|
| |||||||
70,074 | ||||||||
|
| |||||||
Hong Kong – 3.6% | ||||||||
AIA Group, Ltd. | 60,800 | 396,442 | ||||||
Alibaba Health Information Technology, Ltd.(a) | 11,500 | 12,030 | ||||||
Alibaba Pictures Group, Ltd.(a) | 50,000 | 19,542 | ||||||
ASM Pacific Technology, Ltd. | 1,200 | 11,857 | ||||||
Bank of East Asia, Ltd. | 6,346 | 27,750 | ||||||
Beijing Enterprises Holdings, Ltd. | 3,500 | 26,298 | ||||||
Beijing Enterprises Water Group, Ltd. | 22,000 | 18,077 | ||||||
Belle International Holdings, Ltd. | 25,000 | 28,700 | ||||||
BOC Hong Kong Holdings, Ltd. | 18,000 | 75,227 | ||||||
Cathay Pacific Airways, Ltd. | 6,000 | 14,751 | ||||||
Chailease Holding Co., Ltd. | 12,000 | 28,936 | ||||||
Cheung Kong Infrastructure Holdings, Ltd. | 3,000 | 23,276 | ||||||
Cheung Kong Property Holdings, Ltd.(a) | 14,524 | 120,088 | ||||||
China Agri-Industries Holdings, Ltd.(a) | 19,000 | 10,808 | ||||||
China Everbright International, Ltd. | 12,000 | 21,639 | ||||||
China Everbright, Ltd. | 4,000 | 13,828 | ||||||
China Gas Holdings, Ltd. | 14,000 | 22,357 | ||||||
China Merchants Holdings International Co., Ltd. | 10,090 | 43,340 | ||||||
China Mobile, Ltd. | 32,000 | 410,291 | ||||||
China Overseas Land & Investment, Ltd. | 20,000 | 70,815 | ||||||
China Power International Development, Ltd. | 16,000 | 12,135 | ||||||
China Resources Cement Holdings, Ltd. | 18,000 | 9,984 | ||||||
China Resources Enterprise, Ltd. | 6,000 | 19,387 | ||||||
China Resources Gas Group, Ltd. | 4,000 | 11,841 | ||||||
China Resources Land, Ltd. | 17,333 | 56,230 | ||||||
China Resources Power Holdings Co., Ltd. | 10,000 | 27,733 | ||||||
China State Construction International Holdings, Ltd. | 8,000 | 14,323 | ||||||
China Taiping Insurance Holdings Co., Ltd.(a) | 8,000 | 28,739 | ||||||
China Unicom Hong Kong, Ltd. | 28,000 | 43,991 | ||||||
CITIC, Ltd. | 17,000 | 30,568 | ||||||
CK Hutchison Holdings, Ltd. | 14,524 | 214,322 | ||||||
CLP Holdings, Ltd. | 9,000 | 76,388 | ||||||
CNOOC, Ltd. | 93,000 | 132,197 | ||||||
COSCO Pacific, Ltd. | 22,000 | 29,797 | ||||||
Far East Horizon, Ltd. | 6,000 | 5,665 | ||||||
First Pacific Co., Ltd. | 6,000 | 5,054 | ||||||
Franshion Properties China, Ltd. | 30,000 | 10,719 | ||||||
Galaxy Entertainment Group, Ltd. | 12,000 | 47,675 | ||||||
GCL-Poly Energy Holdings, Ltd.(a) | 49,000 | 11,314 | ||||||
Goldin Properties Holdings, Ltd.(a) | 8,000 | 8,493 | ||||||
Guangdong Investment, Ltd. | 12,000 | 16,779 |
See accompanying notes to financial statements.
37
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Hong Kong – (continued) | ||||||||
Haier Electronics Group Co., Ltd. | 5,000 | $ | 13,447 | |||||
Hanergy Thin Film Power Group, Ltd.(a)(f) | 68,000 | 17,148 | ||||||
Hang Lung Properties, Ltd. | 11,000 | 32,776 | ||||||
Hang Seng Bank, Ltd. | 3,700 | 72,305 | ||||||
Henderson Land Development Co., Ltd. | 5,500 | 37,778 | ||||||
HKT Trust & HKT, Ltd. | 13,000 | 15,260 | ||||||
Hong Kong & China Gas Co., Ltd. | 33,000 | 69,299 | ||||||
Hong Kong Exchanges and Clearing, Ltd. | 5,740 | 202,574 | ||||||
Hysan Development Co., Ltd. | 3,000 | 12,983 | ||||||
Kunlun Energy Co., Ltd. | 12,000 | 12,213 | ||||||
Li & Fung, Ltd. | 28,000 | 22,212 | ||||||
Link REIT | 11,000 | 64,488 | ||||||
MTR Corp., Ltd. | 7,000 | 32,551 | ||||||
New World China Land, Ltd. | 12,000 | 7,089 | ||||||
New World Development Co., Ltd. | 25,327 | 33,257 | ||||||
Nine Dragons Paper Holdings, Ltd. | 8,000 | 6,976 | ||||||
Noble Group, Ltd. | 21,000 | 11,853 | ||||||
NWS Holdings, Ltd. | 7,144 | 10,376 | ||||||
PCCW, Ltd. | 20,000 | 11,919 | ||||||
Power Assets Holdings, Ltd. | 6,500 | 59,193 | ||||||
Sands China, Ltd. | 11,600 | 38,903 | ||||||
Shangri-La Asia, Ltd. | 4,000 | 5,572 | ||||||
Shimao Property Holdings, Ltd. | 6,000 | 11,872 | ||||||
Sino Biopharmaceutical, Ltd. | 12,000 | 13,962 | ||||||
SJM Holdings, Ltd. | 10,000 | 10,796 | ||||||
Sun Hung Kai Properties, Ltd. | 9,000 | 146,158 | ||||||
Swire Pacific, Ltd. | 3,000 | 37,749 | ||||||
Swire Properties, Ltd. | 5,600 | 17,842 | ||||||
Techtronic Industries Co., Ltd. | 6,500 | 21,380 | ||||||
WH Group, Ltd.(a)(c) | 39,500 | 26,953 | ||||||
Wharf Holdings, Ltd. | 7,000 | 46,591 | ||||||
Wheelock & Co., Ltd. | 4,000 | 20,509 | ||||||
Wynn Macau, Ltd. | 7,600 | 12,627 | ||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 14,000 | 14,712 | ||||||
Yue Yuen Industrial Holdings, Ltd. | 3,500 | 11,670 | ||||||
Yuexiu Property Co., Ltd. | 34,000 | 7,412 | ||||||
|
| |||||||
3,399,791 | ||||||||
|
| |||||||
Hungary – 0.0%(e) | ||||||||
MOL Hungarian Oil & Gas PLC | 202 | 10,337 | ||||||
OTP Bank PLC | 1,083 | 21,434 | ||||||
Richter Gedeon Nyrt | 676 | 10,153 | ||||||
|
| |||||||
41,924 | ||||||||
|
| |||||||
India – 1.4% | ||||||||
GAIL India, Ltd. GDR | 400 | 14,900 | ||||||
ICICI Bank, Ltd. ADR | 21,500 | 224,030 | ||||||
Infosys, Ltd. ADR | 9,834 | 155,869 | ||||||
Larsen & Toubro, Ltd. GDR(b) | 750 | 20,887 | ||||||
Larsen & Toubro, Ltd. GDR(b) | 7,000 | 194,950 | ||||||
Mahindra & Mahindra, Ltd. GDR | 1,651 | 33,515 | ||||||
Reliance Industries, Ltd. GDR(c)(b) | 1,500 | 46,725 | ||||||
Reliance Industries, Ltd. GDR(c)(b) | 8,000 | 249,200 | ||||||
State Bank of India GDR | 1,020 | 42,177 | ||||||
Tata Motors, Ltd. ADR | 4,642 | 160,010 | ||||||
Tata Steel, Ltd. GDR | 1,300 | 6,351 | ||||||
Vedanta, Ltd. ADR | 1,433 | 15,476 | ||||||
Wipro, Ltd. ADR | 11,200 | 134,064 | ||||||
|
| |||||||
1,298,154 | ||||||||
|
| |||||||
Indonesia – 0.5% | ||||||||
Astra International Tbk PT | 98,000 | 52,005 | ||||||
Bank Central Asia Tbk PT | 59,500 | 60,248 | ||||||
Bank Danamon Indonesia Tbk PT | 16,000 | 5,160 | ||||||
Bank Mandiri Persero Tbk PT | 45,000 | 33,921 | ||||||
Bank Negara Indonesia Persero Tbk PT | 37,000 | 14,708 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 53,500 | �� | 41,532 | |||||
Bumi Serpong Damai Tbk PT | 75,500 | 9,457 | ||||||
Charoen Pokphand Indonesia Tbk PT | 35,500 | 7,322 | ||||||
Gudang Garam Tbk PT | 2,500 | 8,457 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 6,500 | 10,177 | ||||||
Indofood CBP Sukses Makmur Tbk PT | 5,500 | 5,146 | ||||||
Indofood Sukses Makmur Tbk PT | 57,000 | 28,110 | ||||||
Jasa Marga Persero Tbk PT | 5,500 | 2,259 | ||||||
Kalbe Farma Tbk PT | 87,500 | 10,993 | ||||||
Lippo Karawaci Tbk PT | 95,000 | 8,408 | ||||||
Matahari Department Store Tbk PT | 9,000 | 11,172 | ||||||
Perusahaan Gas Negara Persero Tbk PT | 58,000 | 18,771 | ||||||
Semen Indonesia Persero Tbk PT | 21,500 | 19,351 | ||||||
Summarecon Agung Tbk PT | 50,500 | 6,193 | ||||||
Surya Citra Media Tbk PT | 28,500 | 6,146 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 243,500 | 53,512 | ||||||
Tower Bersama Infrastructure Tbk PT | 9,500 | 6,573 | ||||||
Unilever Indonesia Tbk PT | 7,000 | 20,739 | ||||||
United Tractors Tbk PT | 8,000 | 12,226 | ||||||
|
| |||||||
452,586 | ||||||||
|
| |||||||
Ireland – 0.3% | ||||||||
Bank of Ireland(a) | 132,975 | 53,634 | ||||||
CRH PLC | 3,994 | 112,677 | ||||||
James Hardie Industries PLC | 2,171 | 28,901 | ||||||
Kerry Group PLC | 765 | 56,673 | ||||||
|
| |||||||
251,885 | ||||||||
|
| |||||||
Israel – 0.4% | ||||||||
Azrieli Group | 360 | 14,381 | ||||||
Bank Hapoalim BM | 5,112 | 27,549 | ||||||
Bank Leumi Le-Israel BM(a) | 6,411 | 27,123 | ||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 9,273 | 15,806 | ||||||
Delek Group, Ltd. | 11 | 3,245 | ||||||
Israel Chemicals, Ltd. | 2,151 | 15,036 | ||||||
Israel Corp., Ltd. | 6 | 2,117 | ||||||
Mizrahi Tefahot Bank, Ltd. | 312 | 3,872 | ||||||
NICE Systems, Ltd. | 277 | 17,623 | ||||||
Teva Pharmaceutical Industries, Ltd. | 4,375 | 258,854 | ||||||
|
| |||||||
385,606 | ||||||||
|
|
See accompanying notes to financial statements.
38
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Italy – 1.5% | ||||||||
Assicurazioni Generali SpA | 6,334 | $ | 114,047 | |||||
Atlantia SpA | 1,996 | 49,283 | ||||||
Banca Monte dei Paschi di Siena SpA(a) | 1,051 | 2,045 | ||||||
Banco Popolare(a) | 1,751 | 28,796 | ||||||
Enel Green Power SpA | 8,459 | 16,522 | ||||||
Enel SpA | 37,474 | 169,686 | ||||||
Eni SpA | 12,935 | 229,442 | ||||||
Exor SpA | 476 | 22,710 | ||||||
Finmeccanica SpA(a) | 1,956 | 24,583 | ||||||
Intesa Sanpaolo SpA | 64,577 | 233,987 | ||||||
Intesa Sanpaolo SpA Preference Shares | 4,508 | 14,375 | ||||||
Luxottica Group SpA | 814 | 54,100 | ||||||
Mediobanca SpA | 2,915 | 28,565 | ||||||
Pirelli & C. SpA | 1,150 | 19,399 | ||||||
Prysmian SpA | 994 | 21,464 | ||||||
Saipem SpA(a) | 1,280 | 13,513 | ||||||
Snam SpA | 10,153 | 48,282 | ||||||
Telecom Italia SpA(a) | 48,838 | 61,925 | ||||||
Telecom Italia SpA Savings Shares | 29,130 | 29,714 | ||||||
Terna Rete Elettrica Nazionale SpA | 7,287 | 32,184 | ||||||
UniCredit SpA | 25,408 | 170,565 | ||||||
Unione di Banche Italiane SCpA | 4,141 | 33,197 | ||||||
UnipolSai SpA | 4,400 | 10,893 | ||||||
|
| |||||||
1,429,277 | ||||||||
|
| |||||||
Japan – 16.1% | ||||||||
ABC-Mart, Inc. | 100 | 6,121 | ||||||
Acom Co., Ltd.(a) | 900 | 3,457 | ||||||
Advantest Corp. | 400 | 4,165 | ||||||
Aeon Co., Ltd. | 3,200 | 45,438 | ||||||
AEON Financial Service Co., Ltd. | 900 | 25,007 | ||||||
Aeon Mall Co., Ltd. | 300 | 5,624 | ||||||
Air Water, Inc. | 1,000 | 18,314 | ||||||
Aisin Seiki Co., Ltd. | 900 | 38,320 | ||||||
Ajinomoto Co., Inc. | 3,000 | 65,006 | ||||||
Alfresa Holdings Corp. | 900 | 14,019 | ||||||
Amada Holdings Co., Ltd. | 1,700 | 17,977 | ||||||
ANA Holdings, Inc. | 6,000 | 16,284 | ||||||
Aozora Bank, Ltd. | 6,000 | 22,654 | ||||||
Asahi Glass Co., Ltd. | 5,000 | 30,033 | ||||||
Asahi Group Holdings, Ltd. | 1,900 | 60,440 | ||||||
Asahi Kasei Corp. | 6,000 | 49,303 | ||||||
Asics Corp. | 800 | 20,692 | ||||||
Astellas Pharma, Inc. | 11,200 | 159,765 | ||||||
Bandai Namco Holdings, Inc. | 900 | 17,417 | ||||||
Bank of Kyoto, Ltd. | 2,000 | 23,046 | ||||||
Bank of Yokohama, Ltd. | 6,000 | 36,805 | ||||||
Benesse Holdings, Inc. | 200 | 5,018 | ||||||
Bridgestone Corp. | 3,400 | 125,800 | ||||||
Brother Industries, Ltd. | 1,100 | 15,588 | ||||||
Calbee, Inc. | 500 | 21,084 | ||||||
Canon, Inc. | 5,900 | 192,022 | ||||||
Casio Computer Co., Ltd. | 1,000 | 19,744 | ||||||
Central Japan Railway Co. | 800 | 144,518 | ||||||
Chiba Bank, Ltd. | 4,000 | 30,499 | ||||||
Chiyoda Corp. | 1,000 | 8,859 | ||||||
Chubu Electric Power Co., Inc. | 3,100 | 46,222 | ||||||
Chugai Pharmaceutical Co., Ltd. | 1,100 | 37,981 | ||||||
Chugoku Bank, Ltd. | 800 | 12,625 | ||||||
Chugoku Electric Power Co., Inc. | 1,400 | 20,434 | ||||||
Citizen Holdings Co., Ltd. | 600 | 4,187 | ||||||
Credit Saison Co., Ltd. | 700 | 15,011 | ||||||
Dai Nippon Printing Co., Ltd. | 3,000 | 31,002 | ||||||
Dai-ichi Life Insurance Co., Ltd. | 5,200 | 102,266 | ||||||
Daicel Corp. | 2,100 | 26,978 | ||||||
Daihatsu Motor Co., Ltd. | 900 | 12,820 | ||||||
Daiichi Sankyo Co., Ltd. | 3,100 | 57,356 | ||||||
Daikin Industries, Ltd. | 1,300 | 93,586 | ||||||
Daito Trust Construction Co., Ltd. | 400 | 41,450 | ||||||
Daiwa House Industry Co., Ltd. | 2,900 | 67,615 | ||||||
Daiwa Securities Group, Inc. | 8,000 | 59,965 | ||||||
Denso Corp. | 2,400 | 119,564 | ||||||
Dentsu, Inc. | 1,000 | 51,812 | ||||||
Don Quijote Holdings Co., Ltd. | 600 | 25,547 | ||||||
East Japan Railway Co. | 1,700 | 152,960 | ||||||
Eisai Co., Ltd. | 1,200 | 80,572 | ||||||
Electric Power Development Co., Ltd. | 600 | 21,207 | ||||||
FamilyMart Co., Ltd. | 300 | 13,803 | ||||||
FANUC Corp. | 1,100 | 225,457 | ||||||
Fast Retailing Co., Ltd. | 300 | 136,215 | ||||||
Fuji Electric Co., Ltd. | 3,000 | 12,920 | ||||||
Fuji Heavy Industries, Ltd. | 3,100 | 114,206 | ||||||
FUJIFILM Holdings Corp. | 2,600 | 92,928 | ||||||
Fujitsu, Ltd. | 9,000 | 50,338 | ||||||
Fukuoka Financial Group, Inc. | 4,000 | 20,758 | ||||||
GungHo Online Entertainment, Inc. | 900 | 3,501 | ||||||
Gunma Bank, Ltd. | 2,000 | 14,775 | ||||||
Hachijuni Bank, Ltd. | 2,000 | 15,102 | ||||||
Hakuhodo DY Holdings, Inc. | 1,100 | 11,785 | ||||||
Hamamatsu Photonics KK | 600 | 17,701 | ||||||
Hankyu Hanshin Holdings, Inc. | 6,000 | 35,451 | ||||||
Hikari Tsushin, Inc. | 200 | 13,501 | ||||||
Hino Motors, Ltd. | 1,200 | 14,847 | ||||||
Hirose Electric Co., Ltd. | 200 | 28,652 | ||||||
Hiroshima Bank, Ltd. | 2,000 | 11,964 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 300 | 11,658 | ||||||
Hitachi Chemical Co., Ltd. | 500 | 9,022 | ||||||
Hitachi Construction Machinery Co., Ltd. | 500 | 8,761 | ||||||
Hitachi High-Technologies Corp. | 300 | 8,446 | ||||||
Hitachi Metals, Ltd. | 1,000 | 15,372 | ||||||
Hitachi, Ltd. | 25,000 | 164,835 | ||||||
Hokuhoku Financial Group, Inc. | 6,000 | 14,171 | ||||||
Hokuriku Electric Power Co. | 1,300 | 19,378 | ||||||
Honda Motor Co., Ltd. | 8,300 | 268,708 | ||||||
Hoya Corp. | 2,100 | 84,213 | ||||||
Hulic Co., Ltd. | 1,200 | 10,650 | ||||||
Ibiden Co., Ltd. | 900 | 15,225 | ||||||
Idemitsu Kosan Co., Ltd. | 200 | 3,928 | ||||||
IHI Corp. | 7,000 | 32,607 | ||||||
Iida Group Holdings Co., Ltd. | 1,000 | 15,936 | ||||||
Inpex Corp. | 5,400 | 61,407 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 1,600 | 28,609 | ||||||
Isuzu Motors, Ltd. | 2,900 | 38,097 | ||||||
ITOCHU Corp. | 8,600 | 113,645 | ||||||
Itochu Techno-Solutions Corp. | 200 | 4,985 | ||||||
Iyo Bank, Ltd. | 1,200 | 14,749 |
See accompanying notes to financial statements.
39
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Japan – (continued) | ||||||||
J Front Retailing Co., Ltd. | 1,200 | $ | 22,595 | |||||
Japan Airlines Co., Ltd. | 1,000 | 34,896 | ||||||
Japan Airport Terminal Co., Ltd. | 200 | 10,902 | ||||||
Japan Display, Inc.(a) | 1,000 | 3,767 | ||||||
Japan Exchange Group, Inc. | 1,300 | 42,230 | ||||||
Japan Prime Realty Investment Corp. REIT | 4 | 12,438 | ||||||
Japan Real Estate Investment Corp. REIT | 6 | 27,263 | ||||||
Japan Retail Fund Investment Corp. REIT | 12 | 24,017 | ||||||
Japan Tobacco, Inc. | 5,600 | 199,557 | ||||||
JFE Holdings, Inc. | 2,400 | 53,280 | ||||||
JGC Corp. | 1,000 | 18,894 | ||||||
Joyo Bank, Ltd. | 3,000 | 16,819 | ||||||
JSR Corp. | 900 | 15,916 | ||||||
JTEKT Corp. | 1,000 | 18,943 | ||||||
JX Holdings, Inc. | 10,900 | 47,051 | ||||||
Kajima Corp. | 4,000 | 18,796 | ||||||
Kakaku.com, Inc. | 700 | 10,137 | ||||||
Kamigumi Co., Ltd. | 1,000 | 9,398 | ||||||
Kaneka Corp. | 1,000 | 7,314 | ||||||
Kansai Electric Power Co., Inc.(a) | 3,400 | 37,664 | ||||||
Kansai Paint Co., Ltd. | 1,000 | 15,503 | ||||||
Kao Corp. | 2,500 | 116,312 | ||||||
Kawasaki Heavy Industries, Ltd. | 7,000 | 32,665 | ||||||
KDDI Corp. | 9,000 | 217,268 | ||||||
Keihan Electric Railway Co., Ltd. | 2,000 | 11,654 | ||||||
Keikyu Corp. | 2,000 | 15,102 | ||||||
Keio Corp. | 3,000 | 21,477 | ||||||
Keisei Electric Railway Co., Ltd. | 1,000 | 11,899 | ||||||
Keyence Corp. | 200 | 107,972 | ||||||
Kikkoman Corp. | 1,000 | 31,259 | ||||||
Kintetsu Group Holdings Co., Ltd. | 9,000 | 30,671 | ||||||
Kirin Holdings Co., Ltd. | 4,000 | 55,114 | ||||||
Kobe Steel, Ltd. | 15,000 | 25,252 | ||||||
Koito Manufacturing Co., Ltd. | 500 | 19,511 | ||||||
Komatsu, Ltd. | 4,500 | 90,357 | ||||||
Konami Corp. | 800 | 14,880 | ||||||
Konica Minolta, Inc. | 2,200 | 25,692 | ||||||
Kubota Corp. | 6,000 | 95,199 | ||||||
Kuraray Co., Ltd. | 1,700 | 20,798 | ||||||
Kurita Water Industries, Ltd. | 500 | 11,662 | ||||||
Kyocera Corp. | 1,600 | 83,200 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 1,000 | 13,084 | ||||||
Kyushu Electric Power Co., Inc.(a) | 2,100 | 24,370 | ||||||
Lawson, Inc. | 300 | 20,545 | ||||||
LIXIL Group Corp. | 1,300 | 25,816 | ||||||
M3, Inc. | 900 | 18,108 | ||||||
Mabuchi Motor Co., Ltd. | 200 | 12,651 | ||||||
Makita Corp. | 600 | 32,558 | ||||||
Marubeni Corp. | 8,000 | 45,915 | ||||||
Marui Group Co., Ltd. | 1,200 | 16,220 | ||||||
Maruichi Steel Tube, Ltd. | 100 | 2,484 | ||||||
Mazda Motor Corp. | 2,600 | 50,952 | ||||||
McDonald’s Holdings Co. (Japan), Ltd. | 200 | 4,225 | ||||||
Medipal Holdings Corp. | 1,100 | 17,952 | ||||||
MEIJI Holdings Co., Ltd. | 300 | 38,737 | ||||||
Minebea Co., Ltd. | 2,000 | 33,032 | ||||||
Miraca Holdings, Inc. | 300 | 15,004 | ||||||
Mitsubishi Chemical Holdings Corp. | 6,600 | 41,558 | ||||||
Mitsubishi Corp. | 7,200 | 158,398 | ||||||
Mitsubishi Electric Corp. | 10,000 | 129,285 | ||||||
Mitsubishi Estate Co., Ltd. | 7,000 | 150,823 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 3,000 | 16,819 | ||||||
Mitsubishi Heavy Industries, Ltd. | 15,000 | 91,288 | ||||||
Mitsubishi Logistics Corp. | 1,000 | 13,141 | ||||||
Mitsubishi Materials Corp. | 5,000 | 19,205 | ||||||
Mitsubishi Motors Corp. | 3,100 | 26,398 | ||||||
Mitsubishi Tanabe Pharma Corp. | 1,100 | 16,496 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 66,100 | 475,257 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 2,400 | 13,141 | ||||||
Mitsui & Co., Ltd. | 9,000 | 122,278 | ||||||
Mitsui Chemicals, Inc. | 4,000 | 14,874 | ||||||
Mitsui Fudosan Co., Ltd. | 5,000 | 140,032 | ||||||
Mitsui OSK Lines, Ltd. | 5,000 | 16,018 | ||||||
Mixi, Inc. | 200 | 9,937 | ||||||
Mizuho Financial Group, Inc. | 118,100 | 255,763 | ||||||
MS&AD Insurance Group Holdings, Inc. | 2,800 | 87,250 | ||||||
Murata Manufacturing Co., Ltd. | 1,000 | 174,560 | ||||||
Nabtesco Corp. | 600 | 15,053 | ||||||
Nagoya Railroad Co., Ltd. | 4,000 | 14,972 | ||||||
NEC Corp. | 13,000 | 39,415 | ||||||
Nexon Co., Ltd. | 300 | 4,129 | ||||||
NGK Insulators, Ltd. | 2,000 | 51,567 | ||||||
NGK Spark Plug Co., Ltd. | 900 | 24,970 | ||||||
NH Foods, Ltd. | 1,000 | 22,833 | ||||||
NHK Spring Co., Ltd. | 400 | 4,410 | ||||||
Nidec Corp. | 1,100 | 82,389 | ||||||
Nikon Corp. | 1,600 | 18,515 | ||||||
Nintendo Co., Ltd. | 600 | 100,372 | ||||||
Nippon Building Fund, Inc. REIT | 7 | 30,662 | ||||||
Nippon Electric Glass Co., Ltd. | 1,000 | 5,067 | ||||||
Nippon Express Co., Ltd. | 4,000 | 19,679 | ||||||
Nippon Paint Holdings Co., Ltd. | 1,000 | 28,235 | ||||||
Nippon Prologis REIT, Inc. | 7 | 12,894 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 37,000 | 95,974 | ||||||
Nippon Telegraph & Telephone Corp. | 4,000 | 144,927 | ||||||
Nippon Yusen KK | 8,000 | 22,294 | ||||||
Nissan Motor Co., Ltd. | 13,000 | 135,455 | ||||||
Nisshin Seifun Group, Inc. | 1,000 | 13,304 | ||||||
Nissin Foods Holdings Co., Ltd. | 300 | 13,166 | ||||||
Nitori Holdings Co., Ltd. | 500 | 40,780 | ||||||
Nitto Denko Corp. | 800 | 65,770 | ||||||
NOK Corp. | 500 | 15,527 | ||||||
Nomura Holdings, Inc. | 19,600 | 133,043 | ||||||
Nomura Real Estate Holdings, Inc. | 1,000 | 21,003 | ||||||
Nomura Research Institute, Ltd. | 500 | 19,573 | ||||||
NSK, Ltd. | 2,700 | 41,725 | ||||||
NTT Data Corp. | 600 | 26,233 | ||||||
NTT DoCoMo, Inc. | 8,000 | 153,246 | ||||||
NTT Urban Development Corp. | 300 | 2,986 | ||||||
Obayashi Corp. | 3,000 | 21,894 | ||||||
Odakyu Electric Railway Co., Ltd. | 3,000 | 28,023 | ||||||
Oji Holdings Corp. | 4,000 | 17,391 |
See accompanying notes to financial statements.
40
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Japan – (continued) | ||||||||
Olympus Corp. | 1,200 | $ | 41,482 | |||||
Omron Corp. | 1,000 | 43,476 | ||||||
Ono Pharmaceutical Co., Ltd. | 400 | 43,705 | ||||||
Oracle Corp. Japan | 100 | 4,184 | ||||||
Oriental Land Co., Ltd. | 1,200 | 76,640 | ||||||
ORIX Corp. | 6,400 | 95,243 | ||||||
Osaka Gas Co., Ltd. | 9,000 | 35,547 | ||||||
Otsuka Corp. | 400 | 18,698 | ||||||
Otsuka Holdings Co., Ltd. | 1,900 | 60,611 | ||||||
Panasonic Corp. | 11,500 | 158,029 | ||||||
Park24 Co., Ltd. | 200 | 3,427 | ||||||
Rakuten, Inc. | 3,900 | 63,027 | ||||||
Recruit Holdings Co., Ltd. | 1,000 | 30,523 | ||||||
Resona Holdings, Inc. | 10,700 | 58,456 | ||||||
Ricoh Co., Ltd. | 3,400 | 35,288 | ||||||
Rinnai Corp. | 300 | 23,659 | ||||||
Rohm Co., Ltd. | 500 | 33,547 | ||||||
Sankyo Co., Ltd. | 100 | 3,543 | ||||||
Sanrio Co., Ltd. | 100 | 2,717 | ||||||
Santen Pharmaceutical Co., Ltd. | 2,000 | 28,325 | ||||||
SBI Holdings, Inc. | 1,500 | 20,668 | ||||||
Secom Co., Ltd. | 1,000 | 64,929 | ||||||
Sega Sammy Holdings, Inc. | 900 | 11,768 | ||||||
Seibu Holdings, Inc. | 1,000 | 23,177 | ||||||
Seiko Epson Corp. | 1,200 | 21,290 | ||||||
Sekisui Chemical Co., Ltd. | 2,000 | 24,566 | ||||||
Sekisui House, Ltd. | 2,700 | 42,895 | ||||||
Seven & I Holdings Co., Ltd. | 3,900 | 167,646 | ||||||
Seven Bank, Ltd. | 2,900 | 13,438 | ||||||
Sharp Corp.(a) | 7,000 | 8,524 | ||||||
Shikoku Electric Power Co., Inc. | 900 | 13,482 | ||||||
Shimadzu Corp. | 1,000 | 13,590 | ||||||
Shimamura Co., Ltd. | 100 | 10,510 | ||||||
Shimano, Inc. | 400 | 54,591 | ||||||
Shimizu Corp. | 3,000 | 25,277 | ||||||
Shin-Etsu Chemical Co., Ltd. | 2,000 | 124,202 | ||||||
Shinsei Bank, Ltd. | 8,000 | 16,148 | ||||||
Shionogi & Co., Ltd. | 1,400 | 54,288 | ||||||
Shiseido Co., Ltd. | 1,700 | 38,594 | ||||||
Shizuoka Bank, Ltd. | 3,000 | 31,357 | ||||||
Showa Shell Sekiyu KK | 400 | 3,498 | ||||||
SMC Corp. | 300 | 90,381 | ||||||
SoftBank Corp. | 5,000 | 294,570 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 1,600 | 58,729 | ||||||
Sony Corp.(a) | 6,000 | 169,730 | ||||||
Sony Financial Holdings, Inc. | 800 | 14,030 | ||||||
Stanley Electric Co., Ltd. | 700 | 14,599 | ||||||
Sumitomo Chemical Co., Ltd. | 7,000 | 42,104 | ||||||
Sumitomo Corp. | 5,400 | 62,841 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 400 | 4,410 | ||||||
Sumitomo Electric Industries, Ltd. | 3,600 | 55,810 | ||||||
Sumitomo Heavy Industries, Ltd. | 3,000 | 17,505 | ||||||
Sumitomo Metal Mining Co., Ltd. | 3,000 | 45,687 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 6,500 | 289,981 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 16,000 | 73,302 | ||||||
Sumitomo Realty & Development Co., Ltd. | 2,000 | 70,175 | ||||||
Sumitomo Rubber Industries, Ltd. | 800 | 12,402 | ||||||
Suntory Beverage & Food, Ltd. | 1,000 | 39,840 | ||||||
Suruga Bank, Ltd. | 900 | 19,322 | ||||||
Suzuken Co. Ltd/Aichi Japan | 500 | 16,018 | ||||||
Suzuki Motor Corp. | 1,800 | 60,826 | ||||||
Sysmex Corp. | 700 | 41,760 | ||||||
T&D Holdings, Inc. | 2,800 | 41,760 | ||||||
Taiheiyo Cement Corp. | 6,000 | 17,554 | ||||||
Taisei Corp. | 5,000 | 28,726 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 100 | 6,758 | ||||||
Taiyo Nippon Sanso Corp. | 1,000 | 12,103 | ||||||
Takashimaya Co., Ltd. | 1,000 | 9,071 | ||||||
Takeda Pharmaceutical Co., Ltd. | 4,000 | 193,225 | ||||||
TDK Corp. | 600 | 45,944 | ||||||
Teijin, Ltd. | 5,000 | 19,409 | ||||||
Terumo Corp. | 1,500 | 36,003 | ||||||
THK Co., Ltd. | 500 | 10,812 | ||||||
Tobu Railway Co., Ltd. | 5,000 | 21,493 | ||||||
Toho Co., Ltd. | 500 | 12,442 | ||||||
Toho Gas Co., Ltd. | 3,000 | 17,775 | ||||||
Tohoku Electric Power Co., Inc. | 2,200 | 29,809 | ||||||
Tokio Marine Holdings, Inc. | 3,600 | 149,866 | ||||||
Tokyo Electric Power Co., Inc.(a) | 7,000 | 38,156 | ||||||
Tokyo Electron, Ltd. | 800 | 50,648 | ||||||
Tokyo Gas Co., Ltd. | 11,000 | 58,432 | ||||||
Tokyo Tatemono Co., Ltd. | 1,000 | 13,893 | ||||||
Tokyu Corp. | 5,000 | 33,506 | ||||||
Tokyu Fudosan Holdings Corp. | 2,300 | 17,744 | ||||||
TonenGeneral Sekiyu KK | 1,000 | 9,308 | ||||||
Toppan Printing Co., Ltd. | 3,000 | 25,105 | ||||||
Toray Industries, Inc. | 7,000 | 59,237 | ||||||
Toshiba Corp. | 19,000 | 65,370 | ||||||
TOTO, Ltd. | 2,000 | 36,056 | ||||||
Toyo Seikan Group Holdings, Ltd. | 1,300 | 20,844 | ||||||
Toyo Suisan Kaisha, Ltd. | 400 | 14,596 | ||||||
Toyoda Gosei Co., Ltd. | 600 | 14,480 | ||||||
Toyota Industries Corp. | 800 | 45,634 | ||||||
Toyota Motor Corp. | 13,900 | 931,816 | ||||||
Toyota Tsusho Corp. | 1,000 | 26,846 | ||||||
Trend Micro, Inc. | 500 | 17,121 | ||||||
Unicharm Corp. | 1,800 | 42,799 | ||||||
United Urban Investment Corp. REIT | 12 | 16,975 | ||||||
USS Co., Ltd. | 1,100 | 19,867 | ||||||
West Japan Railway Co. | 800 | 51,224 | ||||||
Yahoo Japan Corp. | 6,900 | 27,856 | ||||||
Yakult Honsha Co., Ltd. | 400 | 23,732 | ||||||
Yamada Denki Co., Ltd. | 4,200 | 16,819 | ||||||
Yamaguchi Financial Group, Inc. | 1,000 | 12,463 | ||||||
Yamaha Corp. | 800 | 16,148 | ||||||
Yamaha Motor Co., Ltd. | 1,300 | 28,440 | ||||||
Yamato Holdings Co., Ltd. | 1,700 | 32,919 | ||||||
Yamazaki Baking Co., Ltd. | 1,000 | 16,663 | ||||||
Yaskawa Electric Corp. | 1,100 | 14,096 | ||||||
Yokogawa Electric Corp. | 1,000 | 12,863 | ||||||
Yokohama Rubber Co., Ltd. | 500 | 10,044 | ||||||
|
| |||||||
15,232,496 | ||||||||
|
|
See accompanying notes to financial statements.
41
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Luxembourg – 0.3% | ||||||||
Altice SA(a) | 419 | $ | 57,679 | |||||
ArcelorMittal | 4,830 | 46,998 | ||||||
Millicom International Cellular SA | 320 | 23,583 | ||||||
RTL Group NPV(a) | 187 | 16,889 | ||||||
SES SA | 1,841 | 61,814 | ||||||
Subsea 7 SA(a) | 1,360 | 13,267 | ||||||
Tenaris SA | 2,283 | 30,728 | ||||||
|
| |||||||
250,958 | ||||||||
|
| |||||||
Macau – 0.0%(e) | ||||||||
MGM China Holdings, Ltd. | 4,400 | 7,197 | ||||||
|
| |||||||
7,197 | ||||||||
|
| |||||||
Malaysia – 0.6% | ||||||||
Alliance Financial Group Bhd | 5,200 | 6,050 | ||||||
AMMB Holdings Bhd | 9,500 | 15,183 | ||||||
Astro Malaysia Holdings Bhd | 7,500 | 6,122 | ||||||
Axiata Group Bhd | 10,800 | 18,320 | ||||||
British American Tobacco Malaysia Bhd | 600 | 9,859 | ||||||
CIMB Group Holdings Bhd | 24,621 | 35,695 | ||||||
Dialog Group BHD | 16,800 | 7,080 | ||||||
DiGi.Com Bhd | 15,000 | 21,309 | ||||||
Gamuda Bhd | 8,500 | 10,521 | ||||||
Genting Bhd | 10,000 | 21,362 | ||||||
Genting Malaysia Bhd | 14,600 | 16,252 | ||||||
Hong Leong Bank Bhd | 2,700 | 9,589 | ||||||
IHH Healthcare Bhd | 12,100 | 18,152 | ||||||
IJM Corp. Bhd | 5,800 | 10,023 | ||||||
IOI Corp. Bhd | 13,700 | 14,742 | ||||||
Kuala Lumpur Kepong Bhd | 2,300 | 13,045 | ||||||
Lafarge Malaysia Bhd | 2,100 | 4,709 | ||||||
Malayan Banking Bhd | 23,094 | 55,945 | ||||||
Malaysia Airports Holdings Bhd | 4,024 | 6,623 | ||||||
Maxis Bhd | 9,000 | 15,195 | ||||||
MISC Bhd | 5,400 | 11,049 | ||||||
Petronas Chemicals Group Bhd | 12,600 | 21,106 | ||||||
Petronas Dagangan Bhd | 1,200 | 6,545 | ||||||
Petronas Gas Bhd | 3,100 | 17,468 | ||||||
PPB Group Bhd | 2,300 | 9,217 | ||||||
Public Bank Bhd | 13,100 | 64,997 | ||||||
RHB Capital Bhd | 4,800 | 9,376 | ||||||
SapuraKencana Petroleum Bhd | 15,300 | 9,570 | ||||||
Sime Darby Bhd | 14,658 | 33,100 | ||||||
Telekom Malaysia Bhd | 5,503 | 9,539 | ||||||
Tenaga Nasional Bhd | 16,400 | 54,942 | ||||||
UMW Holdings Bhd | 2,800 | 7,525 | ||||||
Westports Holdings Bhd | 5,100 | 5,718 | ||||||
YTL Corp. Bhd | 20,800 | 8,545 | ||||||
|
| |||||||
584,473 | ||||||||
|
| |||||||
Mexico – 1.1% | ||||||||
Alfa SAB de CV (Class A) | 13,700 | 26,299 | ||||||
America Movil SAB de CV | 167,900 | 179,771 | ||||||
Arca Continental SAB de CV | 4,100 | 23,324 | ||||||
Cemex SAB de CV(a) | 67,496 | 62,030 | ||||||
Coca-Cola Femsa SAB de CV | 2,800 | 22,288 | ||||||
Controladora Comercial Mexicana SAB de CV | 8,100 | 25,424 | ||||||
El Puerto de Liverpool SAB de CV | 900 | 10,411 | ||||||
Fibra Uno Administracion SA de CV REIT | 11,100 | 26,444 | ||||||
Fomento Economico Mexicano SAB de CV | 10,100 | 90,143 | ||||||
Gentera SAB de CV | 5,200 | 9,263 | ||||||
Gruma SAB de CV | 800 | 10,337 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV | 1,500 | 10,286 | ||||||
Grupo Aeroportuario del Sureste SAB de CV | 1,400 | 19,924 | ||||||
Grupo Bimbo SAB de CV(a) | 9,800 | 25,364 | ||||||
Grupo Carso SAB de CV | 5,000 | 20,872 | ||||||
Grupo Comercial Chedraui SA de CV | 3,100 | 8,826 | ||||||
Grupo Financiero Banorte SAB de CV | 13,100 | 72,151 | ||||||
Grupo Financiero Inbursa SAB de CV | 13,100 | 29,764 | ||||||
Grupo Financiero Santander Mexico SAB de CV (Class B) | 12,300 | 22,749 | ||||||
Grupo Lala SAB de CV | 3,000 | 6,285 | ||||||
Grupo Mexico SAB de CV | 20,300 | 61,182 | ||||||
Grupo Televisa SAB | 13,300 | 103,437 | ||||||
Industrias Penoles SAB de CV | 910 | 14,914 | ||||||
Kimberly-Clark de Mexico SAB de CV (Class A) | 12,500 | 27,078 | ||||||
Mexichem SAB de CV | 7,300 | 21,122 | ||||||
OHL Mexico SAB de CV(a) | 3,800 | 4,941 | ||||||
Promotora y Operadora de Infraestructura SAB de CV(a) | 2,200 | 23,584 | ||||||
Wal-Mart de Mexico SAB de CV | 27,700 | 67,773 | ||||||
|
| |||||||
1,025,986 | ||||||||
|
| |||||||
Netherlands – 2.2% | ||||||||
Aegon NV | 8,917 | 65,493 | ||||||
Airbus Group SE | 3,002 | 194,669 | ||||||
Akzo Nobel NV | 1,205 | 87,632 | ||||||
ASML Holding NV | 1,814 | 187,361 | ||||||
Boskalis Westminster NV | 430 | 21,033 | ||||||
CNH Industrial NV | 4,582 | 41,761 | ||||||
Delta Lloyd NV | 1,003 | 16,456 | ||||||
Gemalto NV | 383 | 34,088 | ||||||
Heineken Holding NV | 487 | 34,158 | ||||||
Heineken NV | 1,114 | 84,490 | ||||||
ING Groep NV | 19,581 | 323,112 | ||||||
Koninklijke Ahold NV | 4,323 | 80,920 | ||||||
Koninklijke DSM NV | 850 | 49,248 | ||||||
Koninklijke KPN NV | 15,482 | 59,168 | ||||||
Koninklijke Philips NV | 5,025 | 127,766 | ||||||
Koninklijke Vopak NV | 340 | 17,148 | ||||||
NN Group NV | 1,045 | 29,359 | ||||||
OCI NV(a) | 407 | 11,496 | ||||||
Qiagen NV(a) | 1,124 | 27,596 | ||||||
Randstad Holding NV | 609 | 39,634 | ||||||
Reed Elsevier NV | 3,383 | 80,193 | ||||||
STMicroelectronics NV | 3,081 | 25,248 | ||||||
TNT Express NV | 2,128 | 18,041 | ||||||
Unilever NV | 8,232 | 342,623 | ||||||
Wolters Kluwer NV | 1,459 | 43,314 | ||||||
|
| |||||||
2,042,007 | ||||||||
|
|
See accompanying notes to financial statements.
42
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
New Zealand – 0.1% | ||||||||
Auckland International Airport, Ltd. | 4,604 | $ | 15,366 | |||||
Contact Energy, Ltd. | 828 | 2,805 | ||||||
Fletcher Building, Ltd. | 3,325 | 18,259 | ||||||
Meridian Energy, Ltd. | 6,069 | 8,866 | ||||||
Mighty River Power, Ltd. | 3,384 | 6,385 | ||||||
Ryman Healthcare, Ltd. | 2,941 | 15,753 | ||||||
Spark New Zealand, Ltd. | 8,869 | 16,765 | ||||||
|
| |||||||
84,199 | ||||||||
|
| |||||||
Norway – 0.4% | ||||||||
DNB ASA | 4,724 | 78,538 | ||||||
Gjensidige Forsikring ASA | 967 | 15,536 | ||||||
Norsk Hydro ASA | 6,501 | 27,310 | ||||||
Orkla ASA | 3,940 | 30,899 | ||||||
Seadrill, Ltd. | 1,907 | 19,803 | ||||||
Statoil ASA | 5,395 | 96,071 | ||||||
Telenor ASA | 3,629 | 79,245 | ||||||
Yara International ASA | 868 | 45,058 | ||||||
|
| |||||||
392,460 | ||||||||
|
| |||||||
Peru – 0.1% | ||||||||
Cia de Minas Buenaventura SAA ADR | 900 | 9,342 | ||||||
Credicorp, Ltd. | 400 | 55,568 | ||||||
|
| |||||||
64,910 | ||||||||
|
| |||||||
Philippines – 0.3% | ||||||||
Aboitiz Equity Ventures, Inc. | 9,370 | 12,063 | ||||||
Aboitiz Power Corp. | 7,100 | 7,165 | ||||||
Alliance Global Group, Inc. | 21,700 | 10,443 | ||||||
Ayala Corp. | 1,050 | 18,397 | ||||||
Ayala Land, Inc. | 48,300 | 39,955 | ||||||
Bank of the Philippine Islands | 3,800 | 7,964 | ||||||
BDO Unibank, Inc. | 7,460 | 17,934 | ||||||
DMCI Holdings, Inc. | 19,230 | 5,630 | ||||||
Energy Development Corp. | 45,300 | 7,515 | ||||||
Globe Telecom, Inc. | 160 | 8,907 | ||||||
GT Capital Holdings, Inc. | 390 | 11,815 | ||||||
International Container Terminal Services, Inc. | 2,460 | 6,012 | ||||||
JG Summit Holdings, Inc. | 11,800 | 18,764 | ||||||
Jollibee Foods Corp. | 2,060 | 9,014 | ||||||
Megaworld Corp. | 54,000 | 5,701 | ||||||
Metro Pacific Investments Corp. | 57,000 | 5,979 | ||||||
Philippine Long Distance Telephone Co. | 570 | 35,522 | ||||||
SM Investments Corp. | 650 | 12,902 | ||||||
SM Prime Holdings, Inc. | 56,400 | 24,992 | ||||||
Universal Robina Corp. | 4,090 | 17,597 | ||||||
|
| |||||||
284,271 | ||||||||
|
| |||||||
Poland – 0.4% | ||||||||
Alior Bank SA(a) | 410 | 9,738 | ||||||
Bank Millennium SA(a) | 3,024 | 5,267 | ||||||
Bank Pekao SA | 778 | 37,225 | ||||||
Bank Zachodni WBK SA(a) | 230 | 20,869 | ||||||
CCC SA | 209 | 9,670 | ||||||
Cyfrowy Polsat SA(a) | 927 | 5,829 | ||||||
Enea SA | 1,101 | 4,669 | ||||||
Energa SA | 3,962 | 23,956 | ||||||
Grupa Azoty SA(a) | 463 | 10,170 | ||||||
KGHM Polska Miedz SA | 698 | 19,775 | ||||||
LPP SA | 4 | 7,070 | ||||||
mBank(a) | 71 | 7,790 | ||||||
Orange Polska SA | 3,172 | 6,882 | ||||||
PGE SA | 4,169 | 20,441 | ||||||
Polski Koncern Naftowy Orlen SA | 2,483 | 48,744 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 8,556 | 15,015 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA | 4,230 | 35,002 | ||||||
Powszechny Zaklad Ubezpieczen SA | 271 | 31,176 | ||||||
Tauron Polska Energia SA | 17,518 | 20,402 | ||||||
|
| |||||||
339,690 | ||||||||
|
| |||||||
Portugal – 0.1% | ||||||||
Banco Comercial Portugues SA(a) | 170,282 | 14,799 | ||||||
EDP SA | 11,194 | 42,468 | ||||||
Galp Energia SGPS SA | 1,864 | 21,849 | ||||||
Jeronimo Martins SGPS SA | 1,217 | 15,594 | ||||||
|
| |||||||
94,710 | ||||||||
|
| |||||||
Qatar – 0.2% | ||||||||
Barwa Real Estate Co. | 470 | 6,841 | ||||||
Commercial Bank of Qatar QSC | 394 | 5,940 | ||||||
Doha Bank QSC | 1,139 | 16,641 | ||||||
Ezdan Holding Group QSC | 4,907 | 24,244 | ||||||
Gulf International Services QSC | 511 | 11,227 | ||||||
Industries Qatar QSC | 731 | 28,909 | ||||||
Masraf Al Rayan QSC | 1,940 | 24,775 | ||||||
Ooredoo QSC | 387 | 9,247 | ||||||
Qatar Electricity & Water Co. QSC | 133 | 8,328 | ||||||
Qatar Insurance Co. SAQ | 730 | 19,346 | ||||||
Qatar Islamic Bank SAQ | 286 | 8,475 | ||||||
Qatar National Bank SAQ | 846 | 44,818 | ||||||
Vodafone Qatar QSC | 1,635 | 7,386 | ||||||
|
| |||||||
216,177 | ||||||||
|
| |||||||
Russia – 0.9% | ||||||||
AK Transneft OAO Preference Shares(a) | 8 | 18,781 | ||||||
Alrosa AO(a) | 14,500 | 16,401 | ||||||
Gazprom OAO | 61,380 | 160,438 | ||||||
LUKOIL OAO(a) | 1,461 | 64,657 | ||||||
Lukoil OAO ADR | 1,209 | 53,202 | ||||||
Magnit PJSC GDR | 1,257 | 69,964 | ||||||
MegaFon PJSC GDR | 450 | 6,255 | ||||||
MMC Norilsk Nickel OJSC ADR(a) | 268 | 45,625 | ||||||
Mobile TeleSystems OJSC ADR | 2,500 | 24,450 | ||||||
Moscow Exchange MICEX-RTS PJSC | 13,013 | 16,233 | ||||||
Novatek OAO GDR | 440 | 44,792 | ||||||
Rosneft OAO GDR(a) | 4,950 | 20,608 | ||||||
Sberbank(a) | 52,170 | 67,512 | ||||||
Sberbank Preference Shares(a) | 28,500 | 24,717 | ||||||
Severstal PAO(a) | 1,640 | 17,317 | ||||||
Sistema JSFC GDR | 1,855 | 16,417 | ||||||
Surgutneftegas OAO ADR(a) | 51,000 | 29,933 | ||||||
Surgutneftegas OAO ADR Preference Shares(a) | 43,800 | 33,321 | ||||||
Tatneft OAO ADR(a) | 6,850 | 36,122 | ||||||
Uralkali PJSC(a) | 6,880 | 18,029 | ||||||
VTB Bank OJSC(a) | 29,280,000 | 41,519 | ||||||
|
| |||||||
826,293 | ||||||||
|
|
See accompanying notes to financial statements.
43
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Singapore – 1.0% | ||||||||
Ascendas REIT | 10,000 | $ | 18,270 | |||||
CapitaLand Commercial Trust REIT | 10,000 | 11,586 | ||||||
CapitaLand Mall Trust REIT | 12,000 | 19,161 | ||||||
CapitaLand, Ltd. | 12,000 | 31,192 | ||||||
City Developments, Ltd. | 2,000 | 14,527 | ||||||
ComfortDelGro Corp., Ltd. | 10,000 | 23,245 | ||||||
DBS Group Holdings, Ltd. | 9,128 | 140,259 | ||||||
Genting Singapore PLC | 29,000 | 19,276 | ||||||
Global Logistic Properties, Ltd. | 15,000 | 28,184 | ||||||
Golden Agri-Resources, Ltd. | 50,000 | 15,225 | ||||||
Hutchison Port Holdings Trust | 27,000 | 17,010 | ||||||
Jardine Cycle & Carriage, Ltd. | 1,000 | 24,582 | ||||||
Keppel Corp., Ltd. | 7,000 | 42,733 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 16,301 | 123,241 | ||||||
Sembcorp Industries, Ltd. | 5,000 | 14,445 | ||||||
Sembcorp Marine, Ltd. | 2,000 | 4,218 | ||||||
Singapore Airlines, Ltd. | 3,000 | 23,906 | ||||||
Singapore Exchange, Ltd. | 4,000 | 23,260 | ||||||
Singapore Press Holdings, Ltd. | 8,000 | 24,241 | ||||||
Singapore Technologies Engineering, Ltd. | 8,000 | 19,606 | ||||||
Singapore Telecommunications, Ltd. | 39,000 | 121,938 | ||||||
StarHub, Ltd. | 3,000 | 8,801 | ||||||
Suntec REIT | 12,000 | 15,373 | ||||||
United Overseas Bank, Ltd. | 7,000 | 119,933 | ||||||
UOL Group, Ltd. | 2,040 | 10,484 | ||||||
Wilmar International, Ltd. | 9,000 | 21,924 | ||||||
|
| |||||||
936,620 | ||||||||
|
| |||||||
South Africa – 1.8% | ||||||||
Anglo American Platinum, Ltd.(a) | 261 | 5,897 | ||||||
AngloGold Ashanti, Ltd.(a) | 1,769 | 15,981 | ||||||
Aspen Pharmacare Holdings, Ltd. | 1,992 | 59,082 | ||||||
Barclays Africa Group, Ltd. | 1,540 | 23,216 | ||||||
Barloworld, Ltd. | 1,061 | 8,435 | ||||||
Bidvest Group, Ltd. | 1,538 | 39,046 | ||||||
Brait SE(a) | 1,623 | 16,487 | ||||||
Capitec Bank Holdings, Ltd. | 173 | 6,912 | ||||||
Coronation Fund Managers, Ltd. | 1,099 | 7,462 | ||||||
Discovery, Ltd. | 1,722 | 17,942 | ||||||
Exxaro Resources, Ltd. | 692 | 4,955 | ||||||
FirstRand, Ltd. | 16,269 | 71,468 | ||||||
Foschini Group, Ltd. | 838 | 10,977 | ||||||
Gold Fields, Ltd. | 6,904 | 22,161 | ||||||
Growthpoint Properties, Ltd. REIT | 13,109 | 28,577 | ||||||
Hyprop Investments, Ltd. | 1,213 | 12,092 | ||||||
Impala Platinum Holdings, Ltd.(a) | 2,581 | 11,546 | ||||||
Imperial Holdings, Ltd. | 763 | 11,661 | ||||||
Investec, Ltd. | 3,260 | 29,423 | ||||||
Kumba Iron Ore, Ltd. | 311 | 3,868 | ||||||
Liberty Holdings, Ltd. | 553 | 6,614 | ||||||
Life Healthcare Group Holdings, Ltd. | 7,034 | 21,749 | ||||||
Massmart Holdings, Ltd. | 525 | 6,466 | ||||||
Mediclinic International, Ltd. | 3,434 | 28,954 | ||||||
MMI Holdings, Ltd. | 4,341 | 10,783 | ||||||
Mondi PLC | 1,831 | 39,479 | ||||||
Mondi, Ltd. | 590 | 12,976 | ||||||
Mr Price Group, Ltd. | 1,504 | 31,040 | ||||||
MTN Group, Ltd. | 8,655 | 163,114 | ||||||
Nampak, Ltd. | 2,879 | 8,015 | ||||||
Naspers, Ltd. | 2,011 | 313,966 | ||||||
Nedbank Group, Ltd. | 1,555 | 30,978 | ||||||
Netcare, Ltd. | 9,750 | 30,750 | ||||||
Pick n Pay Stores, Ltd. | 2,239 | 10,607 | ||||||
PSG Group, Ltd. | 440 | 7,430 | ||||||
Rand Merchant Insurance Holdings, Ltd. | 3,232 | 11,309 | ||||||
Redefine Properties, Ltd. REIT | 34,623 | 29,124 | ||||||
Remgro, Ltd. | 2,326 | 49,047 | ||||||
Resilient Property Income Fund, Ltd. | 1,241 | 9,861 | ||||||
RMB Holdings, Ltd. | 5,831 | 31,923 | ||||||
Sanlam, Ltd. | 8,902 | 48,655 | ||||||
Sappi, Ltd.(a) | 2,617 | 9,303 | ||||||
Sasol, Ltd. | 2,674 | 99,137 | ||||||
Shoprite Holdings, Ltd. | 2,219 | 31,719 | ||||||
SPAR Group, Ltd. | 721 | 11,266 | ||||||
Standard Bank Group, Ltd. | 5,865 | 77,395 | ||||||
Steinhoff International Holdings, Ltd. | 12,967 | 82,250 | ||||||
Telkom SA SOC, Ltd.(a) | 1,133 | 5,986 | ||||||
Tiger Brands, Ltd. | 1,010 | 23,590 | ||||||
Truworths International, Ltd. | 1,639 | 11,572 | ||||||
Vodacom Group, Ltd. | 2,734 | 31,242 | ||||||
Woolworths Holdings, Ltd. | 4,461 | 36,239 | ||||||
|
| |||||||
1,729,727 | ||||||||
|
| |||||||
South Korea – 3.2% | ||||||||
Amorepacific Corp.(b) | 180 | 67,453 | ||||||
Amorepacific Corp.(b) | 40 | 7,351 | ||||||
Amorepacific Group | 120 | 20,117 | ||||||
BNK Financial Group, Inc. | 1,770 | 22,533 | ||||||
Celltrion, Inc.(a) | 394 | 27,551 | ||||||
Cheil Industries, Inc.(a) | 130 | 20,687 | ||||||
Cheil Worldwide, Inc.(a) | 390 | 6,049 | ||||||
CJ CheilJedang Corp. | 34 | 13,442 | ||||||
CJ Corp. | 70 | 18,575 | ||||||
CJ Korea Express Co., Ltd.(a) | 75 | 13,044 | ||||||
Coway Co., Ltd. | 240 | 19,666 | ||||||
Daelim Industrial Co., Ltd. | 135 | 9,924 | ||||||
Daewoo International Corp. | 400 | 9,252 | ||||||
Daewoo Securities Co., Ltd. | 870 | 11,894 | ||||||
Daewoo Shipbuilding & Marine Engineering Co., Ltd. | 510 | 6,081 | ||||||
Daum Kakao Corp. | 102 | 11,540 | ||||||
DGB Financial Group, Inc. | 2,079 | 21,807 | ||||||
Dongbu Insurance Co., Ltd. | 210 | 10,637 | ||||||
Doosan Heavy Industries & Construction Co., Ltd. | 282 | 6,068 | ||||||
Doosan Infracore Co., Ltd.(a) | 650 | 5,711 | ||||||
E-Mart Co., Ltd. | 130 | 26,922 | ||||||
GS Engineering & Construction Corp.(a) | 240 | 5,766 | ||||||
GS Holdings Corp. | 247 | 11,016 | ||||||
Halla Visteon Climate Control Corp. | 180 | 6,221 | ||||||
Hana Financial Group, Inc. | 1,700 | 44,274 | ||||||
Hankook Tire Co., Ltd. | 360 | 13,555 |
See accompanying notes to financial statements.
44
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
South Korea – (continued) | ||||||||
Hanmi Pharm Co., Ltd.(a) | 26 | $ | 10,885 | |||||
Hanssem Co., Ltd. | 50 | 12,596 | ||||||
Hanwha Chemical Corp. | 510 | 8,550 | ||||||
Hanwha Corp. | 460 | 19,465 | ||||||
Hanwha Life Insurance Co., Ltd. | 1,050 | 7,465 | ||||||
Hotel Shilla Co., Ltd. | 140 | 13,994 | ||||||
Hyosung Corp. | 110 | 14,201 | ||||||
Hyundai Department Store Co., Ltd. | 74 | 9,752 | ||||||
Hyundai Development Co-Engineering & Construction | 270 | 16,024 | ||||||
Hyundai Engineering & Construction Co., Ltd. | 487 | 17,922 | ||||||
Hyundai Glovis Co., Ltd. | 100 | 18,109 | ||||||
Hyundai Heavy Industries Co., Ltd.(a) | 280 | 27,863 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 300 | 7,934 | ||||||
Hyundai Mobis Co., Ltd. | 329 | 62,529 | ||||||
Hyundai Motor Co.(b) | 745 | 90,833 | ||||||
Hyundai Motor Co.(b) | 165 | 15,532 | ||||||
Hyundai Motor Co.(b) | 115 | 10,516 | ||||||
Hyundai Steel Co. | 388 | 23,549 | ||||||
Hyundai Wia Corp. | 79 | 7,295 | ||||||
Industrial Bank of Korea | 1,780 | 23,059 | ||||||
Kangwon Land, Inc. | 590 | 19,571 | ||||||
KB Financial Group, Inc. | 1,868 | 61,795 | ||||||
KCC Corp. | 24 | 10,564 | ||||||
KEPCO Plant Service & Engineering Co., Ltd. | 100 | 10,579 | ||||||
Kia Motors Corp. | 1,274 | 51,739 | ||||||
Korea Aerospace Industries, Ltd. | 210 | 14,967 | ||||||
Korea Electric Power Corp. | 1,240 | 50,914 | ||||||
Korea Gas Corp. | 240 | 9,295 | ||||||
Korea Investment Holdings Co., Ltd. | 190 | 10,850 | ||||||
Korea Zinc Co., Ltd. | 41 | 20,032 | ||||||
Korean Air Lines Co., Ltd.(a) | 169 | 6,136 | ||||||
KT&G Corp. | 531 | 45,176 | ||||||
Kumho Petrochemical Co., Ltd. | 68 | 4,316 | ||||||
LG Chem, Ltd.(b) | 224 | 55,927 | ||||||
LG Chem, Ltd.(b) | 65 | 10,955 | ||||||
LG Corp. | 539 | 29,863 | ||||||
LG Display Co., Ltd. | 1,120 | 25,955 | ||||||
LG Electronics, Inc. | 445 | 18,830 | ||||||
LG Household & Health Care, Ltd. | 73 | 50,654 | ||||||
LG Innotek Co., Ltd. | 63 | 5,676 | ||||||
LG Uplus Corp. | 1,030 | 9,105 | ||||||
Lotte Chemical Corp. | 68 | 17,618 | ||||||
Lotte Confectionery Co., Ltd. | 6 | 10,457 | ||||||
Lotte Shopping Co., Ltd. | 48 | 10,091 | ||||||
Mirae Asset Securities Co., Ltd. | 210 | 9,507 | ||||||
NAVER Corp. | 135 | 76,731 | ||||||
NCSoft Corp. | 64 | 11,389 | ||||||
NH Investment & Securities Co., Ltd. | 680 | 7,437 | ||||||
OCI Co., Ltd. | 81 | 6,535 | ||||||
Orion Corp. | 34 | 31,944 | ||||||
Paradise Co., Ltd. | 409 | 8,818 | ||||||
POSCO | 390 | 78,318 | ||||||
S-1 Corp. | 92 | 6,475 | ||||||
S-Oil Corp. | 197 | 11,939 | ||||||
Samsung C&T Corp. | 604 | 35,846 | ||||||
Samsung Card Co., Ltd. | 374 | 12,406 | ||||||
Samsung Electro-Mechanics Co., Ltd. | 235 | 10,766 | ||||||
Samsung Electronics Co., Ltd.(b) | 570 | 647,954 | ||||||
Samsung Electronics Co., Ltd.(b) | 99 | 88,132 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 208 | 54,823 | ||||||
Samsung Heavy Industries Co., Ltd. | 690 | 10,547 | ||||||
Samsung Life Insurance Co., Ltd. | 378 | 36,429 | ||||||
Samsung SDI Co., Ltd. | 266 | 26,470 | ||||||
Samsung SDS Co., Ltd. | 190 | 44,202 | ||||||
Samsung Securities Co., Ltd. | 263 | 12,874 | ||||||
Shinhan Financial Group Co., Ltd. | 2,060 | 76,734 | ||||||
Shinsegae Co., Ltd. | 59 | 14,175 | ||||||
SK C&C Co., Ltd. | 147 | 36,439 | ||||||
SK Holdings Co., Ltd. | 171 | 30,354 | ||||||
SK Hynix, Inc. | 3,140 | 119,075 | ||||||
SK Innovation Co., Ltd.(a) | 444 | 48,562 | ||||||
SK Telecom Co., Ltd. | 47 | 10,534 | ||||||
Woori Bank | 1,320 | 11,597 | ||||||
Yuhan Corp. | 38 | 9,300 | ||||||
|
| |||||||
3,002,586 | ||||||||
|
| |||||||
Spain – 2.4% | ||||||||
Abertis Infraestructuras SA | 2,701 | 44,269 | ||||||
ACS Actividades de Construccion y Servicios SA | 849 | 27,296 | ||||||
Aena SA(a)(c) | 411 | 42,927 | ||||||
Amadeus IT Holding SA | 2,164 | 86,210 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 32,012 | 313,591 | ||||||
Banco de Sabadell SA | 21,490 | 51,838 | ||||||
Banco Popular Espanol SA | 8,700 | 42,128 | ||||||
Banco Santander SA | 73,355 | 511,970 | ||||||
Bankia SA(a) | 22,269 | 28,236 | ||||||
Bankinter SA | 2,736 | 20,208 | ||||||
CaixaBank SA | 11,168 | 51,715 | ||||||
Distribuidora Internacional de Alimentacion SA | 2,990 | 22,821 | ||||||
Enagas SA | 981 | 26,664 | ||||||
Endesa SA | 1,535 | 29,357 | ||||||
Ferrovial SA | 2,601 | 56,367 | ||||||
Gas Natural SDG SA | 1,693 | 38,368 | ||||||
Grifols SA | 721 | 29,025 | ||||||
Iberdrola SA | 28,738 | 193,464 | ||||||
Inditex SA | 5,661 | 183,895 | ||||||
International Consolidated Airlines Group SA(a) | 3,945 | 30,663 | ||||||
Mapfre SA | 4,466 | 15,361 | ||||||
Red Electrica Corp. SA | 523 | 41,886 | ||||||
Repsol SA | 5,039 | 88,428 | ||||||
Telefonica SA | 22,678 | 322,165 | ||||||
Zardoya Otis SA | 1,391 | 15,142 | ||||||
|
| |||||||
2,313,994 | ||||||||
|
| |||||||
Sweden – 2.0% | ||||||||
Alfa Laval AB | 1,521 | 26,745 | ||||||
Assa Abloy AB (Class B) | 4,845 | 91,148 | ||||||
Atlas Copco AB (Class A) | 3,246 | 90,759 |
See accompanying notes to financial statements.
45
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Sweden – (continued) | ||||||||
Atlas Copco AB (Class B) | 1,886 | $ | 46,937 | |||||
Boliden AB | 1,322 | 24,074 | ||||||
Electrolux AB | 1,163 | 36,414 | ||||||
Elekta AB (Class B) | 1,782 | 11,168 | ||||||
Getinge AB (Class B) | 967 | 23,250 | ||||||
Hennes & Mauritz AB (Class B) | 4,916 | 189,116 | ||||||
Hexagon AB (Class B) | 1,235 | 44,712 | ||||||
Husqvarna AB (Class B) | 1,975 | 14,865 | ||||||
ICA Gruppen AB | 325 | 11,519 | ||||||
Industrivarden AB | 794 | 14,947 | ||||||
Investment AB Kinnevik | 1,138 | 35,947 | ||||||
Investor AB (Class B) | 2,202 | 81,976 | ||||||
Lundin Petroleum AB(a) | 1,053 | 18,021 | ||||||
Nordea Bank AB | 15,717 | 195,859 | ||||||
Sandvik AB | 5,154 | 56,928 | ||||||
Securitas AB (Class B) | 1,514 | 19,998 | ||||||
Skandinaviska Enskilda Banken AB (Class A) | 7,343 | 93,806 | ||||||
Skanska AB (Class B) | 1,837 | 37,194 | ||||||
SKF AB (Class B) | 1,918 | 43,711 | ||||||
Svenska Cellulosa AB SCA (Class B) | 2,843 | 72,227 | ||||||
Svenska Handelsbanken AB (Class A) | 8,115 | 118,339 | ||||||
Swedbank AB (Class A) | 4,920 | 114,617 | ||||||
Swedish Match AB | 969 | 27,537 | ||||||
Tele2 AB (Class B) | 1,543 | 17,926 | ||||||
Telefonaktiebolaget LM Ericsson (Class B) | 15,800 | 163,570 | ||||||
TeliaSonera AB | 12,559 | 73,878 | ||||||
Volvo AB (Class B) | 8,355 | 103,613 | ||||||
|
| |||||||
1,900,801 | ||||||||
|
| |||||||
Switzerland – 6.5% | ||||||||
ABB, Ltd. | 11,216 | 234,989 | ||||||
Actelion, Ltd. | 497 | 72,751 | ||||||
Adecco SA | 822 | 66,759 | ||||||
Aryzta AG | 422 | 20,817 | ||||||
Baloise Holding AG | 230 | 28,056 | ||||||
Barry Callebaut AG | 11 | 12,535 | ||||||
Chocoladefabriken Lindt & Sprungli AG(b) | 5 | 26,451 | ||||||
Chocoladefabriken Lindt & Sprungli AG(b) | 1 | 62,576 | ||||||
Cie Financiere Richemont SA | 2,657 | 216,216 | ||||||
Coca-Cola HBC AG | 969 | 20,848 | ||||||
Credit Suisse Group AG | 7,898 | 217,194 | ||||||
EMS-Chemie Holding AG | 40 | 16,907 | ||||||
Geberit AG | 183 | 61,036 | ||||||
Givaudan SA | 45 | 77,909 | ||||||
Holcim, Ltd. | 1,107 | 81,732 | ||||||
Julius Baer Group, Ltd. | 1,082 | 60,725 | ||||||
Kuehne & Nagel International AG | 261 | 34,659 | ||||||
Lonza Group AG | 256 | 34,214 | ||||||
Nestle SA | 16,549 | 1,195,289 | ||||||
Novartis AG | 11,806 | 1,164,114 | ||||||
Pargesa Holding SA | 149 | 10,028 | ||||||
Partners Group Holding AG | 84 | 25,122 | ||||||
Roche Holding AG | 3,568 | 1,000,285 | ||||||
Schindler Holding AG(b) | 216 | 35,339 | ||||||
Schindler Holding AG(b) | 99 | 16,176 | ||||||
Semiconductor Manufacturing International Corp.(a) | 121,000 | 13,267 | ||||||
SGS SA | 26 | 47,462 | ||||||
Sika AG | 10 | 35,290 | ||||||
Sonova Holding AG | 260 | 35,166 | ||||||
Sulzer AG | 116 | 11,935 | ||||||
Swatch Group AG(b) | 149 | 58,050 | ||||||
Swatch Group AG(b) | 240 | 18,028 | ||||||
Swiss Life Holding AG | 155 | 35,510 | ||||||
Swiss Prime Site AG | 278 | 21,105 | ||||||
Swiss Re AG | 1,834 | 162,392 | ||||||
Swisscom AG | 129 | 72,330 | ||||||
Syngenta AG | 481 | 195,581 | ||||||
Transocean, Ltd. | 1,751 | 28,329 | ||||||
UBS Group AG | 18,460 | 391,698 | ||||||
Zurich Insurance Group AG | 761 | 231,749 | ||||||
|
| |||||||
6,150,619 | ||||||||
|
| |||||||
Taiwan – 2.8% | ||||||||
Acer, Inc.(a) | 13,000 | 6,299 | ||||||
Advanced Semiconductor Engineering, Inc. | 28,000 | 37,933 | ||||||
Advantech Co., Ltd. | 2,000 | 13,742 | ||||||
Asia Cement Corp. | 9,000 | 10,647 | ||||||
Asustek Computer, Inc. | 4,000 | 38,957 | ||||||
AU Optronics Corp. | 40,000 | 17,696 | ||||||
Catcher Technology Co., Ltd. | 3,000 | 37,531 | ||||||
Cathay Financial Holding Co., Ltd. | 39,000 | 68,129 | ||||||
Chang Hwa Commercial Bank, Ltd. | 20,000 | 11,473 | ||||||
Cheng Shin Rubber Industry Co., Ltd. | 8,000 | 17,709 | ||||||
Chicony Electronics Co., Ltd. | 2,000 | 5,367 | ||||||
China Airlines, Ltd.(a) | 13,000 | 5,541 | ||||||
China Development Financial Holding Corp. | 90,000 | 34,128 | ||||||
China Life Insurance Co., Ltd. | 14,000 | 14,338 | ||||||
China Steel Corp. | 57,000 | 45,538 | ||||||
Chunghwa Telecom Co., Ltd. | 18,000 | 57,405 | ||||||
Compal Electronics, Inc. | 17,000 | 12,948 | ||||||
CTBC Financial Holding Co., Ltd. | 65,997 | 51,977 | ||||||
CTCI Corp. | 3,000 | 4,852 | ||||||
Delta Electronics, Inc. | 9,000 | 46,087 | ||||||
E.Sun Financial Holding Co., Ltd. | 30,000 | 20,030 | ||||||
Eclat Textile Co., Ltd. | 1,000 | 16,400 | ||||||
Epistar Corp. | 5,000 | 6,685 | ||||||
Eva Airways Corp.(a) | 9,000 | 6,140 | ||||||
Evergreen Marine Corp. Taiwan, Ltd.(a) | 17,000 | 8,816 | ||||||
Far Eastern New Century Corp. | 31,000 | 32,854 | ||||||
Far EasTone Telecommunications Co., Ltd. | 8,000 | 19,342 | ||||||
Feng Tay Enterprise Co., Ltd. | 1,000 | 5,801 | ||||||
First Financial Holding Co., Ltd. | 53,000 | 32,465 | ||||||
Formosa Chemicals & Fibre Corp. | 16,000 | 38,477 | ||||||
Formosa Petrochemical Corp. | 6,000 | 15,401 | ||||||
Formosa Plastics Corp. | 20,000 | 47,060 | ||||||
Foxconn Technology Co., Ltd. | 4,000 | 14,520 | ||||||
Fubon Financial Holding Co., Ltd. | 32,000 | 63,680 | ||||||
Giant Manufacturing Co., Ltd. | 1,000 | 8,459 | ||||||
Highwealth Construction Corp. | 3,000 | 7,156 |
See accompanying notes to financial statements.
46
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Taiwan – (continued) | ||||||||
Hiwin Technologies Corp. | 1,000 | $ | 6,579 | |||||
Hon Hai Precision Industry Co., Ltd. | 70,000 | 220,065 | ||||||
Hotai Motor Co., Ltd. | 1,000 | 14,163 | ||||||
HTC Corp.(a) | 3,000 | 7,001 | ||||||
Hua Nan Financial Holdings Co., Ltd. | 30,000 | 17,258 | ||||||
Innolux Corp. | 38,000 | 19,829 | ||||||
Inotera Memories, Inc.(a) | 11,000 | 8,770 | ||||||
Inventec Corp. | 11,000 | 7,612 | ||||||
Largan Precision Co., Ltd. | 1,000 | 114,246 | ||||||
Lite-On Technology Corp. | 9,000 | 10,559 | ||||||
MediaTek, Inc. | 8,000 | 109,417 | ||||||
Mega Financial Holding Co., Ltd. | 46,000 | 41,446 | ||||||
Merida Industry Co., Ltd. | 1,000 | 6,482 | ||||||
Nan Ya Plastics Corp. | 23,000 | 53,969 | ||||||
Novatek Microelectronics Corp. | 2,000 | 9,658 | ||||||
Pegatron Corp. | 8,000 | 23,413 | ||||||
Phison Electronics Corp. | 1,000 | 8,670 | ||||||
Pou Chen Corp. | 9,000 | 12,834 | ||||||
Powertech Technology, Inc. | 7,000 | 15,155 | ||||||
President Chain Store Corp. | 4,000 | 28,132 | ||||||
Quanta Computer, Inc. | 16,000 | 37,855 | ||||||
Radiant Opto-Electronics Corp. | 2,000 | 7,422 | ||||||
Realtek Semiconductor Corp. | 2,000 | 5,127 | ||||||
Ruentex Development Co., Ltd. | 17,000 | 26,888 | ||||||
Ruentex Industries, Ltd. | 3,000 | 6,864 | ||||||
Shin Kong Financial Holding Co., Ltd. | 38,000 | 11,602 | ||||||
Siliconware Precision Industries Co., Ltd. | 21,000 | 32,159 | ||||||
Simplo Technology Co., Ltd. | 1,000 | 4,635 | ||||||
SinoPac Financial Holdings Co., Ltd. | 62,000 | 27,429 | ||||||
Synnex Technology International Corp. | 6,000 | 8,897 | ||||||
Taishin Financial Holding Co., Ltd. | 60,000 | 24,988 | ||||||
Taiwan Business Bank(a) | 42,000 | 12,945 | ||||||
Taiwan Cement Corp. | 15,000 | 18,936 | ||||||
Taiwan Cooperative Financial Holding Co., Ltd. | 27,000 | 14,132 | ||||||
Taiwan Fertilizer Co., Ltd. | 4,000 | 6,612 | ||||||
Taiwan Mobile Co., Ltd. | 7,000 | 23,368 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 126,000 | 573,757 | ||||||
Teco Electric and Machinery Co., Ltd. | 9,000 | 6,986 | ||||||
TPK Holding Co., Ltd. | 1,000 | 5,785 | ||||||
Uni-President Enterprises Corp. | 22,000 | 39,002 | ||||||
United Microelectronics Corp. | 82,000 | 34,682 | ||||||
Vanguard International Semiconductor Corp. | 4,000 | 6,404 | ||||||
Wistron Corp. | 11,000 | 8,342 | ||||||
WPG Holdings, Ltd. | 7,000 | 8,769 | ||||||
Yuanta Financial Holding Co., Ltd. | 39,000 | 21,109 | ||||||
Yulon Motor Co., Ltd. | 4,000 | 4,641 | ||||||
Zhen Ding Technology Holding, Ltd. | 2,000 | 7,001 | ||||||
|
| |||||||
2,603,178 | ||||||||
|
| |||||||
Thailand – 0.5% | ||||||||
Advanced Info Service PCL | 5,900 | 41,924 | ||||||
Airports of Thailand PCL NVDR | 1,900 | 17,045 | ||||||
Bangkok Bank PCL NVDR | 5,100 | 26,877 | ||||||
Bangkok Dusit Medical Services PCL | 15,000 | 8,749 | ||||||
BEC World PCL | 4,700 | 5,218 | ||||||
BTS Group Holdings PCL | 27,900 | 8,260 | ||||||
Bumrungrad Hospital PCL | 1,700 | 9,412 | ||||||
Central Pattana PCL | 5,900 | 8,297 | ||||||
Charoen Pokphand Foods PCL | 13,100 | 9,309 | ||||||
CP ALL PCL | 27,600 | 37,794 | ||||||
Delta Electronics Thailand PCL | 5,400 | 14,469 | ||||||
Glow Energy PCL | 2,500 | 6,310 | ||||||
Indorama Ventures PCL NVDR | 6,600 | 5,423 | ||||||
IRPC PCL | 48,400 | 6,420 | ||||||
Kasikornbank PCL NVDR | 11,000 | 61,554 | ||||||
Krung Thai Bank PCL | 15,600 | 7,898 | ||||||
Minor International PCL | 8,250 | 7,328 | ||||||
PTT Exploration & Production PCL NVDR | 8,100 | 26,140 | ||||||
PTT Global Chemical PCL | 6,900 | 14,147 | ||||||
PTT PCL | 5,500 | 58,460 | ||||||
Siam Cement PCL NVDR | 2,900 | 44,648 | ||||||
Siam Commercial Bank PCL NVDR | 8,000 | 36,831 | ||||||
Thai Oil PCL | 3,900 | 6,351 | ||||||
Thai Union Frozen Products PCL | 9,200 | 5,938 | ||||||
TMB Bank PCL | 63,300 | 4,385 | ||||||
True Corp. PCL NVDR(a) | 34,300 | 11,577 | ||||||
|
| |||||||
490,764 | ||||||||
|
| |||||||
Turkey – 0.3% | ||||||||
Akbank TAS | 13,031 | 37,697 | ||||||
Anadolu Efes Biracilik Ve Malt Sanayii | 1,002 | 9,051 | ||||||
Arcelik | 1,143 | 6,208 | ||||||
BIM Birlesik Magazalar AS | 1,296 | 23,221 | ||||||
Coca-Cola Icecek | 369 | 6,143 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi REIT | 9,184 | 9,462 | ||||||
Enka Insaat ve Sanayi | 2,593 | 4,936 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 6,767 | 10,963 | ||||||
Haci Omer Sabanci Holding AS | 7,057 | 26,605 | ||||||
KOC Holding AS | 6,204 | 28,716 | ||||||
TAV Havalimanlari Holding | 790 | 6,709 | ||||||
Tupras Turkiye Petrol Rafinerileri(a) | 535 | 13,560 | ||||||
Turk Hava Yollari AO(a) | 2,668 | 8,764 | ||||||
Turk Telekomunikasyon | 2,538 | 6,679 | ||||||
Turkcell Iletisim Hizmetleri AS | 4,027 | 18,564 | ||||||
Turkiye Garanti Bankasi AS | 10,477 | 32,694 | ||||||
Turkiye Halk Bankasi AS | 4,682 | 21,584 | ||||||
Turkiye Is Bankasi (Class C) | 12,616 | 26,560 | ||||||
Turkiye Sise ve Cam Fabrikalari | 2,951 | 3,976 | ||||||
Turkiye Vakiflar Bankasi TAO | 3,625 | 5,832 | ||||||
Ulker Biskuvi Sanayi | 744 | 5,193 | ||||||
Yapi ve Kredi Bankasi | 4,203 | 6,181 | ||||||
|
| |||||||
319,298 | ||||||||
|
|
See accompanying notes to financial statements.
47
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
United Arab Emirates – 0.2% | ||||||||
Abu Dhabi Commercial Bank PJSC | 13,495 | $ | 28,254 | |||||
Aldar Properties PJSC | 15,203 | 11,259 | ||||||
Arabtec Holding PJSC(a) | 10,931 | 7,827 | ||||||
DP World, Ltd. | 798 | 17,077 | ||||||
Dubai Financial Market PJSC | 23,678 | 12,764 | ||||||
Dubai Islamic Bank PJSC | 4,778 | 8,898 | ||||||
Emaar Malls Group PJSC(a) | 17,826 | 16,210 | ||||||
Emaar Properties PJSC | 16,959 | 36,384 | ||||||
First Gulf Bank PJSC | 4,341 | 17,965 | ||||||
National Bank of Abu Dhabi PJSC | 3,273 | 9,802 | ||||||
|
| |||||||
166,440 | ||||||||
|
| |||||||
United Kingdom – 13.9% | ||||||||
3i Group PLC | 4,700 | 38,178 | ||||||
Aberdeen Asset Management PLC | 4,447 | 28,255 | ||||||
Admiral Group PLC | 943 | 20,570 | ||||||
Aggreko PLC | 1,238 | 28,017 | ||||||
Amec Foster Wheeler PLC | 1,853 | 23,824 | ||||||
Anglo American PLC | 7,584 | 109,553 | ||||||
Antofagasta PLC | 1,906 | 20,668 | ||||||
ARM Holdings PLC | 7,610 | 124,111 | ||||||
Ashtead Group PLC | 2,433 | 42,052 | ||||||
Associated British Foods PLC | 1,722 | 77,752 | ||||||
AstraZeneca PLC | 6,554 | 414,258 | ||||||
Aviva PLC | 20,803 | 161,131 | ||||||
Babcock International Group PLC | 1,132 | 19,227 | ||||||
BAE Systems PLC | 17,035 | 120,881 | ||||||
Barclays PLC | 83,660 | 342,745 | ||||||
Barratt Developments PLC | 4,946 | 47,799 | ||||||
BG Group PLC | 17,287 | 288,049 | ||||||
BHP Billiton PLC | 10,757 | 211,300 | ||||||
BP PLC | 92,881 | 613,730 | ||||||
British American Tobacco PLC | 9,509 | 510,707 | ||||||
British Land Co. PLC REIT | 4,679 | 58,391 | ||||||
BT Group PLC | 43,734 | 309,650 | ||||||
Bunzl PLC | 1,617 | 44,198 | ||||||
Burberry Group PLC | 2,149 | 53,096 | ||||||
Capita PLC | 3,198 | 62,265 | ||||||
Carnival PLC | 890 | 45,476 | ||||||
Centrica PLC | 24,811 | 102,935 | ||||||
Cobham PLC | 5,504 | 22,766 | ||||||
Compass Group PLC | 8,702 | 144,110 | ||||||
Croda International PLC | 656 | 28,392 | ||||||
Diageo PLC | 12,695 | 367,564 | ||||||
Direct Line Insurance Group PLC | 6,647 | 35,102 | ||||||
Dixons Carphone PLC | 4,730 | 33,735 | ||||||
easyJet PLC | 767 | 18,649 | ||||||
Experian PLC | 4,786 | 87,237 | ||||||
Fiat Chrysler Automobiles NV(a) | 4,348 | 63,657 | ||||||
Fresnillo PLC | 1,069 | 11,668 | ||||||
G4S PLC | 7,500 | 31,682 | ||||||
GKN PLC | 7,940 | 41,770 | ||||||
GlaxoSmithKline PLC | 24,783 | 515,461 | ||||||
Hammerson PLC REIT | 3,791 | 36,697 | ||||||
Hargreaves Lansdown PLC | 1,146 | 20,781 | ||||||
HSBC Holdings PLC | 98,816 | 885,981 | ||||||
ICAP PLC | 2,664 | 22,184 | ||||||
IMI PLC | 1,314 | 23,248 | ||||||
Imperial Tobacco Group PLC | 4,867 | 234,758 | ||||||
Inmarsat PLC | 2,059 | 29,646 | ||||||
InterContinental Hotels Group PLC | 1,141 | 46,046 | ||||||
Intertek Group PLC | 780 | 30,054 | ||||||
Intu Properties PLC REIT | 4,573 | 22,122 | ||||||
Investec PLC | 2,670 | 24,019 | ||||||
ITV PLC | 18,515 | 76,669 | ||||||
J Sainsbury PLC | 6,014 | 25,093 | ||||||
Johnson Matthey PLC | 991 | 47,349 | ||||||
Kingfisher PLC | 11,380 | 62,157 | ||||||
Land Securities Group PLC REIT | 3,821 | 72,352 | ||||||
Legal & General Group PLC | 32,053 | 125,470 | ||||||
Lloyds Banking Group PLC | 288,696 | 387,017 | ||||||
London Stock Exchange Group PLC | 1,677 | 62,507 | ||||||
Marks & Spencer Group PLC | 7,904 | 66,628 | ||||||
Meggitt PLC | 3,896 | 28,577 | ||||||
Melrose Industries PLC | 4,811 | 18,727 | ||||||
Merlin Entertainments PLC(c) | 4,651 | 31,241 | ||||||
National Grid PLC | 19,172 | 246,401 | ||||||
Next PLC | 739 | 86,586 | ||||||
Old Mutual PLC | 23,718 | 75,162 | ||||||
Pearson PLC | 3,963 | 75,103 | ||||||
Persimmon PLC | 1,479 | 45,939 | ||||||
Petrofac, Ltd. | 1,254 | 18,252 | ||||||
Prudential PLC | 12,984 | 312,936 | ||||||
Randgold Resources, Ltd. | 429 | 28,910 | ||||||
Reckitt Benckiser Group PLC | 3,282 | 283,269 | ||||||
Reed Elsevier PLC | 5,491 | 89,379 | ||||||
Rexam PLC | 3,404 | 29,551 | ||||||
Rio Tinto PLC | 6,463 | 265,696 | ||||||
Rolls-Royce Holdings PLC | 9,838 | 134,608 | ||||||
Royal Bank of Scotland Group PLC(a) | 12,271 | 67,835 | ||||||
Royal Dutch Shell PLC (Class A) | 20,392 | 572,940 | ||||||
Royal Dutch Shell PLC (Class B) | 12,302 | 349,607 | ||||||
Royal Mail PLC | 3,142 | 25,424 | ||||||
RSA Insurance Group PLC | 4,903 | 30,628 | ||||||
SABMiller PLC | 4,922 | 255,757 | ||||||
Sage Group PLC | 5,203 | 41,937 | ||||||
Schroders PLC | 601 | 30,019 | ||||||
Segro PLC REIT | 3,657 | 23,339 | ||||||
Severn Trent PLC | 1,158 | 37,899 | ||||||
Shire PLC | 3,005 | 240,788 | ||||||
Sky PLC | 4,991 | 81,398 | ||||||
Smith & Nephew PLC | 4,318 | 72,934 | ||||||
Smiths Group PLC | 1,908 | 33,878 | ||||||
Sports Direct International PLC(a) | 1,302 | 14,712 | ||||||
SSE PLC | 5,328 | 128,707 | ||||||
Standard Chartered PLC | 12,426 | 199,137 | ||||||
Standard Life PLC | 9,458 | 66,043 | ||||||
Tate & Lyle PLC | 2,259 | 18,456 | ||||||
Taylor Wimpey PLC | 16,222 | 47,402 | ||||||
Tesco PLC | 42,414 | 141,780 | ||||||
Travis Perkins PLC | 1,194 | 39,622 | ||||||
TUI AG | 2,133 | 34,552 | ||||||
Tullow Oil PLC | 4,402 | 23,518 | ||||||
Unilever PLC | 6,519 | 279,891 | ||||||
United Utilities Group PLC | 3,296 | 46,238 | ||||||
Vodafone Group PLC | 137,212 | 496,001 | ||||||
Weir Group PLC | 1,031 | 27,516 | ||||||
Whitbread PLC | 877 | 68,218 |
See accompanying notes to financial statements.
48
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
United Kingdom – (continued) | ||||||||
William Hill PLC | 4,238 | $ | 26,867 | |||||
WM Morrison Supermarkets PLC | 10,159 | 28,887 | ||||||
Wolseley PLC | 1,261 | 80,576 | ||||||
WPP PLC | 6,852 | 153,668 | ||||||
|
| |||||||
13,177,900 | ||||||||
|
| |||||||
United States – 0.0%(e) | ||||||||
Southern Copper Corp. | 700 | 20,587 | ||||||
|
| |||||||
TOTAL COMMON STOCK |
| 93,115,916 | ||||||
|
| |||||||
RIGHTS – 0.0%(e) | ||||||||
Canada – 0.0%(e) | ||||||||
Constellation Software, Inc.(a) | 100 | 20 | ||||||
|
| |||||||
Singapore – 0.0%(e) | ||||||||
Jardine Cycle & Carriage, Ltd.(a) | 111 | 586 | ||||||
|
| |||||||
Spain – 0.0%(e) | ||||||||
Abertis Infraestructuras SA(a) | 1,954 | 1,601 | ||||||
Repsol SA(a) | 5,039 | 2,611 | ||||||
Zardoya Otis SA(a) | 1,391 | 606 | ||||||
|
| |||||||
4,818 | ||||||||
|
| |||||||
TOTAL RIGHTS – 0.0%(e) | 5,424 | |||||||
|
| |||||||
SHORT TERM INVESTMENT – 1.9% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.11%(g)(h) | 1,828,415 | 1,828,415 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.4%(i) |
| 94,949,755 | ||||||
Other Liabilities in Excess of | (390,808 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 94,558,947 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(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 422,530 or 0.45% of net assets as of June 30, 2015. |
(d) | Value is determined based on Level 2 inputs established by provisions surrounding fair value measurements and disclosures. |
(e) | Amount represents less than 0.05% of net assets. |
(f) | Value is determined based on Level 3 inputs established by provisions surrounding fair value measurements and disclosures. |
(g) | The rate shown is the annualized seven-day yield at period end. |
(h) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 4). |
(i) | Unless otherwise indicated, the values of securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures (Note 2). |
Abbreviations | ||
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
NVDR | Non Voting Depositary Receipt | |
PCL | Public Company Limited | |
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
Schedule of | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||
Mini MSCI EAFE Futures Contracts (long) Expiration Date 09/2015 | 24 | $ | 2,200,800 | $ | (51,235 | ) | ||||||
Mini MSCI Emerging Markets Futures Contracts (long) Expiration Date 09/2015 | 4 | 191,880 | 551 | |||||||||
|
| |||||||||||
Total unrealized appreciation/(depreciation) on open futures contracts purchased | $ | (50,684 | ) | |||||||||
|
|
See accompanying notes to financial statements.
49
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
June 30, 2015 (Unaudited)
State Street Aggregate Bond Index Portfolio | State Street Global Equity ex-U.S. Index Portfolio | |||||||
Assets | ||||||||
Investments in unaffiliated issuers, at value (Note 2)* | $ | 67,461,124 | $ | 93,121,340 | ||||
Investments in non-controlled affiliated issuer, at value (Note 4)* | 11,372,070 | 1,828,415 | ||||||
|
|
|
| |||||
Total Investments* | 78,833,194 | 94,949,755 | ||||||
Cash | 60,356 | 117 | ||||||
Foreign currency** | – | 422,138 | ||||||
Cash at broker | – | 157,457 | ||||||
Receivable for investment securities sold | 252,954 | 2,022 | ||||||
Receivable for fund shares sold | 1,176,180 | 243,720 | ||||||
Dividends and interest receivable | 368,130 | 338,764 | ||||||
Prepaid expenses and other assets | 80,920 | 263,156 | ||||||
|
|
|
| |||||
Total assets | 80,771,734 | 96,377,129 | ||||||
Liabilities | ||||||||
Investment securities purchased | 11,582,098 | 12,229 | ||||||
Daily variation margin on futures contracts | – | 50,684 | ||||||
Payable for fund shares repurchased | 953 | 1,598,416 | ||||||
Deferred foreign taxes payable | – | 2,118 | ||||||
Administration and custody fees payable (Note 4) | 2,844 | 115,906 | ||||||
Professional fees payable | 26,561 | 25,321 | ||||||
Trustee’s fees payable (Note 5) | 3,300 | 3,597 | ||||||
Accrued expenses and other liabilities | 9,405 | 9,911 | ||||||
|
|
|
| |||||
Total liabilities | 11,625,161 | 1,818,182 | ||||||
|
|
|
| |||||
Net Assets | $ | 69,146,573 | $ | 94,558,947 | ||||
|
|
|
| |||||
Net assets consist of: | ||||||||
Paid in capital | 68,993,689 | 96,706,384 | ||||||
Undistributed net investment income | 3,627 | 1,540,211 | ||||||
Accumulated net realized gain on investments | 651,778 | 35,446 | ||||||
Unrealized depreciation on investments | (502,521 | ) | (3,723,094 | ) | ||||
|
|
|
| |||||
Net Assets | $ | 69,146,573 | $ | 94,558,947 | ||||
|
|
|
| |||||
Net asset value, offering, and redemption price per share | $ | 10.04 | $ | 9.58 | ||||
Shares outstanding | 6,883,794 | 9,867,730 | ||||||
*Investments in unaffiliated issuers, at cost (Note 2) | $ | 67,963,645 | $ | 96,789,234 | ||||
*Investments in non-controlled affiliated issuer, at cost (Note 4) | 11,372,070 | 1,828,415 | ||||||
|
|
|
| |||||
*Total Cost of Investments | 79,335,715 | 98,617,649 | ||||||
|
|
|
| |||||
**Foreign Currency, at cost | – | 426,689 |
See accompanying notes to financial statements.
50
Table of Contents
State Street Institutional Investment Trust
Six Months Ended June 30, 2015 (Unaudited)
State Street Aggregate Bond Index Portfolio | State Street Global Equity ex-U.S. Index Portfolio | |||||||
Investment Income | ||||||||
Interest | $ | 663,260 | $ | 847 | ||||
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $0 and $158,518 respectively) | – | 1,575,942 | ||||||
Dividend income – non-controlled affiliated issuer | 5,780 | 860 | ||||||
|
|
|
| |||||
Total investment income | 669,040 | 1,577,649 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Administration and custody fees (Note 4) | 4,259 | 162,052 | ||||||
Professional fees | 31,789 | 30,458 | ||||||
Trustees’ fees (Note 5) | 7,439 | 7,439 | ||||||
Printing fees | 3,248 | 2,594 | ||||||
Tax expense | – | 111 | ||||||
Other expenses | 9,291 | 11,490 | ||||||
|
|
|
| |||||
Total expenses | 56,026 | 214,144 | ||||||
Less: Expenses waived/reimbursed by the Adviser (Note 4) | (42,289 | ) | (181,999 | ) | ||||
|
|
|
| |||||
Total net expenses | 13,737 | 32,145 | ||||||
|
|
|
| |||||
Net Investment Income | 655,303 | 1,545,504 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain (loss) on: | ||||||||
Net realized gain on investments | 512,888 | $ | 5,456 | |||||
Foreign currency | – | 30,414 | ||||||
Futures contracts | – | 34,366 | ||||||
|
|
|
| |||||
Net realized gain | 512,888 | 70,236 | ||||||
|
|
|
| |||||
Change in net unrealized appreciation (depreciation) on: | ||||||||
Investments | (1,014,135 | ) | 180,656 | |||||
Foreign Currency | – | (1,116 | ) | |||||
Futures contracts | – | (42,120 | ) | |||||
|
|
|
| |||||
Net change in unrealized appreciation (depreciation) | (1,014,135 | ) | 137,420 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | 154,056 | $ | 1,753,160 | ||||
|
|
|
|
See accompanying notes to financial statements.
51
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Aggregate Bond Index Portfolio | State Street Global Equity ex-U.S. Index Portfolio | |||||||||||||||
Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/19/14* – 12/31/14 | Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/17/14* – 12/31/14 | |||||||||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||||||||||
Net investment income | $ | 655,303 | $ | 251,556 | $ | 1,545,504 | $ | 232,181 | ||||||||
Net realized gain (loss) | 512,888 | 297,932 | 70,236 | (17,014 | ) | |||||||||||
Net change in net unrealized appreciation (depreciation) | (1,014,135 | ) | 511,614 | 137,420 | (3,860,514 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | 154,056 | 1,061,102 | 1,753,160 | (3,645,347 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions From: | ||||||||||||||||
Net investment income | (651,676 | ) | (252,366 | ) | – | (284,533 | ) | |||||||||
Net realized gain on investments | – | (158,232 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | (651,676 | ) | (410,598 | ) | – | (284,533 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Capital Transactions: | ||||||||||||||||
Proceeds from shares sold | 23,119,242 | 79,369,350 | 48,458,451 | 53,494,038 | ||||||||||||
Reinvestment of distributions | 651,676 | 410,598 | – | 284,533 | ||||||||||||
Cost of redemptions | (34,171,195 | ) | (385,982 | ) | (5,112,575 | ) | (388,780 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from capital transactions | (10,400,277 | ) | 79,393,966 | 43,345,876 | 53,389,791 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (10,897,897 | ) | 80,044,470 | 45,099,036 | 49,459,911 | |||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 80,044,470 | – | 49,459,911 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 69,146,573 | $ | 80,044,470 | $ | 94,558,947 | $ | 49,459,911 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distributions in excess of) net investment income | $ | 3,627 | $ | – | $ | 1,540,211 | $ | (5,293 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Share Transactions: | ||||||||||||||||
Proceeds from shares sold | 2,262,499 | 7,892,207 | 5,005,211 | 5,407,432 | ||||||||||||
Reinvestment of distributions | 63,828 | 40,587 | – | 30,928 | ||||||||||||
Cost of redemptions | (3,337,183 | ) | (38,144 | ) | (533,935 | ) | (41,906 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from share transactions | (1,010,856 | ) | 7,894,650 | 4,471,276 | 5,396,454 | |||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations |
See accompanying notes to financial statements.
52
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio | State Street Global Equity ex-U.S. Index Portfolio | |||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/19/14* –12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/17/14* – 12/31/14 | |||||||||||||
Per Share Operating Performance: | ||||||||||||||||
Net asset value, beginning of period | $ | 10.14 | $ | 10.00 | $ | 9.17 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income(a) | 0.01 | 0.04 | 0.18 | 0.05 | ||||||||||||
Net realized and unrealized gain (loss) on investments | (0.01 | ) | 0.16 | 0.23 | (0.82 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.00 | 0.20 | 0.41 | (0.77 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions from: | ||||||||||||||||
Net investment income | (0.10 | ) | (0.04 | ) | – | (0.06 | ) | |||||||||
Net realized gain on investments | – | (0.02 | ) | – | – | |||||||||||
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|
|
|
|
|
|
| |||||||||
Total distributions | (0.10 | ) | (0.06 | ) | – | (0.06 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | (0.10 | ) | 0.14 | 0.41 | (0.83 | ) | ||||||||||
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| |||||||||
Net asset value, end of period | $ | 10.04 | $ | 10.14 | $ | 9.58 | $ | 9.17 | ||||||||
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| |||||||||
Total Investment Return(b)(c) | (0.03 | )% | 2.00 | %(d) | 4.47 | % | (7.72 | )%(d) | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net asset value, end of period (000s) | $ | 69,147 | $ | 80,044 | $ | 94,559 | $ | 49,460 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Gross expenses(e) | 0.16 | % | 0.25 | % | 0.54 | % | 0.73 | % | ||||||||
Net expenses(e) | 0.04 | % | 0.04 | % | 0.08 | % | 0.31 | % | ||||||||
Net investment income(e) | 1.91 | % | 1.52 | % | 3.86 | % | 1.77 | % | ||||||||
Portfolio turnover(c) | 42 | % | 16 | % | 1 | % | 0 | %(f) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | If the Adviser had not made a voluntary contribution during the period ended 12/31/14, the total return would have decreased by less than 0.005%. |
(e) | Annualized. |
(f) | Less than 0.005%. |
See accompanying notes to financial statements.
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State Street Institutional Investment Trust
June 30, 2015 (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 thirty-two (32) series and corresponding classes, each 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. The financial statements herein relate to the following Funds:
Fund | Classes | Commencement of Operations: | ||
State Street Aggregate Bond Index Fund | Class A Class I Class K | September 19, 2014 September 19, 2014 September 19, 2014 | ||
State Street Global Equity ex-U.S. Index Fund | Class A Class I Class K | September 17, 2014 September 17, 2014 September 17, 2014 | ||
State Street Aggregate Bond Index Portfolio | N/A | September 19, 2014 | ||
State Street Global Equity ex-U.S. Index Portfolio | N/A | September 17, 2014 |
The State Street Aggregate Bond Index Portfolio and the State Street Global Equity ex-U.S. Index Portfolio are referred to as the “Portfolios.” The State Street Aggregate Bond Index Fund and the State Street Global Equity ex- U.S. Index Fund are referred to as the “Funds.” Each Fund invests as part of a “master-feeder” structure, and currently seeks to achieve its investment objective by investing substantially all of its investable assets in a corresponding Portfolio, a separate mutual fund, that has a substantially identical investment objective, investment policies, and risks as the Fund.
Feeder Fund | % Investment in Master | Master Fund | ||
State Street Aggregate Bond Index Fund | 62.55% | State Street Aggregate Bond Index Portfolio | ||
State Street Global Equity ex-U.S. Index Fund | 47.79% | State Street Global Equity ex-U.S. Index Portfolio |
Each Portfolio may hold portions of its assets in short-term debt instruments with remaining maturities of 397 days or less pending investment or to meet anticipated redemptions and day-to-day operating expenses. Each Portfolio’s shares are offered exclusively to other investors (including without limitation, registered investment companies, private investment pools, bank collective funds, and investment separate accounts) that pay fees to SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”), a subsidiary of State Street Corporation State Street Bank and Trust Company (“State Street”) and an affiliate of State Street. Class A shares of the Funds are available to the general public for investment through transaction-based financial intermediaries. Class A shares may be subject to a 1% CDSC if redeemed within 18 months of purchase. Class I and K shares are sold without a sales charge and only to certain eligible investors.
Each Portfolio is permitted to invest in foreign securities. Foreign securities include securities of foreign companies and foreign governments (or agencies or subdivisions thereof). If the Portfolios’ securities
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
are held abroad, the countries in which such securities may be held and the sub-custodian holding them must be approved by the Board of Trustees of the Trust (the “Board”) or its delegate under applicable rules adopted by the U.S. Securities and Exchange Commission (the “SEC”). In buying foreign securities, each Portfolio may convert U.S. dollars into foreign currency, but only to effect securities transactions on foreign securities exchanges and not to hold such currency as an investment.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”) which requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund and each Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services Investment Companies (“ASC 946”).
Security valuation – Each Fund records its investment in its respective Portfolio at net asset value. Each Portfolio’s investments are valued at fair value each day that the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Portfolio’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Portfolio are valued pursuant to policies and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board. The Committee provides oversight of the valuation of investments for the Portfolios. The Board has responsibility for determining the fair value of investments. The members of the Committee are approved by the Board. Valuation techniques used to value each Portfolio’s investments by major category are as follows:
• | Equity investments (including registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Rights and warrants are valued at the last reported sale price obtained from independent pricing service or brokers on the valuation date pursuant to valuation policy and procedures approved by the Board. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value in pursuant to valuation policies and procedures approved by the Board. |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value per share or unit. Money market funds generally value portfolio investments using the amortized cost method as set forth in Rule 2a-7 under the 1940 Act and in accordance with Portfolio procedures to stabilize net asset value. |
• | Debt obligations (both governmental and non-governmental) purchased with greater than sixty days to maturity and not investment grade are valued at last reported evaluated bid prices obtained from independent pricing services or brokers. In determining the value of a fixed income investment, pricing services may use certain information with respect to transactions in such investments, quotations from dealers, pricing matrixes, market transactions in comparable investments, various relationships observed in the market between investments, and calculated yield measures. |
• | Exchange-traded futures contracts are valued at the settlement price on the primary market on which, they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
In the event prices or quotations are not readily available or that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with valuation policies and procedures approved by the Board.
Fair value pricing could result in a difference between the prices used to calculate a Portfolios’ net asset value and the prices used by the Portfolios’ underlying indices, which in turn could result in a difference between the Portfolios’ performance and the performance of the Portfolios’ underlying indices.
Various inputs are used in determining the value of the Portfolios’ investments. These inputs are categorized into a hierarchy consisting of three broad levels for financial reporting purposes. The Portfolios value their assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. As of June 30, 2015, the State Street Global ex-U.S. Index Portfolio had transfers that occurred as a result of fair value pricing using significant observable inputs in Level 2 securities and significant unobservable inputs for Level 3 securities.
The following is a summary of the inputs used as of June 30, 2015, in valuing the assets carried at fair value of each Portfolio:
State Street Aggregate Bond Index Portfolio | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
INVESTMENTS: | ||||||||||||||||
Corporate Bonds | $ | – | $ | 18,468,045 | $ | – | $ | 18,468,045 | ||||||||
Foreign Government Obligations | – | 1,493,275 | – | 1,493,275 | ||||||||||||
U.S. Government Agency MBS TBA | – | 11,003,174 | – | 11,003,174 | ||||||||||||
U.S. Government Agency Obligations | – | 10,578,299 | – | 10,578,299 | ||||||||||||
U.S. Treasury Obligations | – | 24,554,627 | – | 24,554,627 | ||||||||||||
Commercial Mortgage Backed Securities | – | 807,697 | – | 807,697 | ||||||||||||
Asset Backed Securities | – | 383,382 | – | 383,382 | ||||||||||||
Municipal Bonds & Notes | – | 172,625 | – | 172,625 | ||||||||||||
Short Term Investment | 11,372,070 | – | – | 11,372,070 | ||||||||||||
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TOTAL INVESTMENTS | $ | 11,372,070 | $ | 67,461,124 | $ | – | $ | 78,833,194 | ||||||||
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State Street Global Equity Ex-U.S. Index Portfolio | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | $ | 93,017,251 | $ | 81,517 | $ | 17,148 | $ | 93,115,916 | ||||||||
Rights | 5,424 | – | – | 5,424 | ||||||||||||
Short Term Investment | 1,828,415 | – | – | 1,828,415 | ||||||||||||
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TOTAL INVESTMENTS | $ | 94,851,090 | $ | 81,517 | $ | 17,148 | $ | 94,949,755 | ||||||||
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LIABILITIES: | ||||||||||||||||
OTHER FINANCIAL INSTRUMENTS: | ||||||||||||||||
Futures contracts | (50,684 | ) | – | – | (50,684 | ) | ||||||||||
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TOTAL INVESTMENTS AND OTHER FINANCIAL INSTRUMENTS | $ | 94,800,406 | $ | 81,517 | $ | 17,148 | 94,899,071 | |||||||||
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57
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
Investment transactions and income recognition – Investment transactions are accounted for on trade date for financial reporting purposes. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source. Non-cash dividends received in the form of stock, if any, are received as dividend income at fair value. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions are determined using the identified cost method.
Dividends and distributions – Dividends from net investment income are declared and paid at least monthly by the State Street Aggregate Bond Index Fund and the State Street Aggregate Bond Index Portfolio and annually by the State Street Global Equity ex-U.S. Index Fund and the State Street Global Equity ex-U.S. Index Portfolio. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations.
Expenses – 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 or Portfolio are allocated among the Funds and Portfolios, on the basis of relative net assets, except where a more appropriate allocation of expenses to each of the Funds and Portfolios can otherwise be made. Class specific fees are borne by each class.
Futures – The State Street Global Equity ex-U.S. Index Portfolio may enter into financial futures contracts. Upon entering into a futures contract, the Portfolio is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Portfolio each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Portfolio, which is recorded on the Statement of Assets and Liabilities. The Portfolio recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Portfolio voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with SEC requirements.
The Portfolio adopted provisions surrounding Derivatives and Hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.
The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the benchmark and the prices of futures contracts and the possibility of an illiquid market. To the extent permitted by the investment objective, restrictions and policies set forth in the Portfolio’s Prospectus and Statement of Additional Information, the Portfolio may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Portfolio’s use of derivatives includes futures. These instruments offer unique characteristics and risks that assist the Portfolio in meeting its investment objective. The Portfolio typically uses derivatives in two ways: cash equitization and return enhancement. Cash equitization is a technique that may be used by the Portfolio through the use of options and futures to earn “market-like” returns with the Portfolio’s excess and liquidity reserve cash balances and receivables. Return enhancement can be accomplished through the use of derivatives in the
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
Portfolio. By purchasing certain instruments, the Portfolio may more effectively achieve the desired Portfolio characteristics that assist in meeting the Portfolio’s investment objectives. Depending on how the derivatives are structured and utilized, the risks associated with them may vary widely. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.
The following table, grouped into appropriate risk categories, discloses the amounts related to the Portfolio’s use of derivative instruments and hedging activities at June 30, 2015:
Asset Derivatives(1)
Equity Contracts Risk | Total | |||||
Futures Contracts | $551 | $ | 551 |
Liability Derivatives(2)
Equity Contracts Risk | Total | |||||
Futures Contracts | $(51,235) | $ | (51,235 | ) |
Transactions in derivative instruments during the period ended June 30, 2015, were as follows:
Realized Gain (Loss)(2)
Equity Contracts Risk | Total | |||||
Futures Contracts | $34,366 | $ | 34,366 |
Change in Appreciation (Depreciation)(3)
Equity Contracts Risk | Total | |||||
Futures Contracts | $(42,120) | $ | (42,120 | ) |
(1) | Portfolio of Investments: Unrealized appreciation (depreciation) of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities. |
(2) | Statement of Operations location: Net realized gain (loss) on: Futures contracts |
(3) | Statement of Operations location: Change in net unrealized appreciation (depreciation) on: Futures contracts |
The average notional of futures outstanding during the period ended June 30, 2015 was $1,730,606.
Foreign currency translation and foreign investments – The accounting records of the Funds and Portfolios are maintained in U.S. dollars. Portfolio securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective dates of transactions. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transaction on the Statements of Operations.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. governments. These risks include revaluation of currencies and the risk of expropriation. Moreover, the markets for securities of many foreign companies and foreign governments may be less liquid and the prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. government.
Some foreign markets in which the Portfolios invest are considered emerging markets. Investment in these emerging markets subjects a Portfolio to a greater risk of loss than investments in a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, higher levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market.
Mortgage Dollar Rolls – The State Street Aggregate Bond Index Portfolio may enter into mortgage dollar roll transactions with respect to mortgage-backed securities for delivery in the current month and simultaneously contract to repurchase similar, but not identical, securities on a fixed date.
The counterparty receives all principal and interest payments, including prepayments, made on the security while it is the holder. The Portfolio receives compensation as consideration for entering into the commitment to repurchase.
The compensation is paid in the form of a lower price for the security upon its repurchase, or alternatively, a fee. Mortgage dollar rolls may be renewed with a new sale and repurchase price and a cash settlement made at each renewal without physical delivery of the securities subject to the contract. Certain risks may arise upon entering into mortgage dollar rolls from the potential inability of counterparties to meet the terms of their commitments.
Additionally, the value of such securities may change adversely before the Portfolio is able to repurchase them. There can be no assurance that the Portfolio’s use of the cash that it receives form a mortgage dollar roll will provide a return that exceeds its costs. The Portfolio’s use of to-be announced (“TBA”) mortgage dollar rolls may cause the funds to experience higher transaction costs.
Federal income taxes – Each Fund and each Portfolio intends 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 and Portfolios 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 and Portfolios will not be subject to federal excise tax.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
At June 30, 2015, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purpose were as follows:
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||
State Street Aggregate Bond Index Fund | $43,503,195 | $ | – | $ | (252,572 | ) | $ | (252,572 | ) | |||||
State Street Global Equity ex-U.S. Index Fund | $47,004,051 | $ | – | $ | (1,816,877 | ) | $ | (1,816,877 | ) | |||||
State Street Aggregate Bond Index Portfolio | $79,335,715 | $ | 206,483 | $ | (709,004 | ) | $ | (502,521 | ) | |||||
State Street Global Equity ex-U.S. Index Portfolio | $98,617,649 | $ | 3,817,075 | $ | (7,484,969 | ) | $ | (3,667,894 | ) |
3. | Securities Transactions |
For the period ended June 30, 2015, the Portfolios had purchases and sales of investment securities (excluding short-term securities) as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Fund | Purchases | Sales | Purchases | Sales | ||||||||||||
State Street Aggregate Bond Index Portfolio | $22,330,960 | $ | 22,797,341 | $ | 1,370,430 | $ | 4,458,063 | |||||||||
State Street Global Equity ex-U.S. Index Portfolio | $ | – | $ | – | $ | 45,276,423 | $ | 698,182 |
4. | Related Party and Other Fees |
The Funds and Portfolios retained SSGA FM as their investment adviser. Each Fund has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Funds in accordance with their investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the State Street Aggregate Bond Index Fund pays the Adviser a management fee at an annual rate of 0.03% of its average daily net assets and the State Street Global Equity ex-U.S. Index Fund pays the Adviser a management fee at an annual rate of 0.06% of its average daily net assets. The Portfolios pay no investment advisory fees to SSGA FM.
SSGA FM is contractually obligated until April 30, 2016, to waive its management fee and/or to reimburse the State Street Aggregate Bond Index Fund and the State Street Global Equity ex-U.S. Index Fund for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees, any class-specific expenses, such as distribution, shareholder servicing, sub-transfer agency and administration fees) exceed 0.04% and 0.10%, respectively, of average daily net assets on an annual basis. SSGA FM is contractually obligated until April 30, 2016, to waive its management fee and/or to reimburse State Street Aggregate Bond Index Portfolio and the State Street Global Equity ex-U.S. Index Portfolio for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, and acquired fund fees) exceed 0.04% and 0.08%, respectively, of average daily net assets on an annual basis. These waivers and/or reimbursements may not be terminated during the relevant period except with the approval of the Funds’ and Portfolios’ Board.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
For the period ended June 30, 2015, SSGA FM reimbursed or waived the fees under these agreements as shown on the respective Statement of Operations.
SSGA FM serves as Administrator. For its administration services, the Funds each pay SSGA FM a fee at an annual rate of 0.05% of the respective Fund’s average daily net assets. During the period ended June 30, 2015, the administration fees incurred are shown on the respective Statement of Operations.
State Street, pursuant to a Sub-Administration Agreement between SSGA FM and State Street, an affiliate of the Adviser, serves as Sub-Administrator of the Funds. For State Street’s services, SSGA FM pays State Street an annual fee.
Effective June 1, 2015, State Street serves as sub-administrator, custodian, transfer agent and dividend disbursing agent for the Portfolios. In compensation for these services, the Portfolios pay State Street an annual fee, which is included in Administration and custody fees on the Statement of Operations. The fee accrued daily and payable monthly, and is calculated as the greater of an asset-based fee or a minimum fee. The minimum fee is calculated by multiplying the minimum per fund fee by the number of funds in the State Street Master Funds Trust plus the number of stand-alone funds in the State Street Institutional Investment Trust to arrive at the total minimum fee. The asset-based fee is calculated at the following rates:
Asset Levels | Annual percentage of average aggregate daily net | |
First $400 million | 0.03% | |
Next $15 billion | 0.02% | |
Thereafter | 0.01% | |
Minimum annual fee | $150,000 |
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.
The Funds have adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which a Fund may compensate its distributor (State Street Global Markets LLC or “SSGM”) (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to Fund shareholders (the “Plan”). The Plan calls for payments at an annual rate (based on average daily net assets) of 0.25% of the Fund’s net assets attributable to its Class A shares. Because these fees are paid out of the assets of a Fund attributable to its Class A shares on an ongoing basis, they will increase the cost of your investment and may cost you more over time than paying other types of sales charges. In addition to payments under the Plan, the Funds may reimburse SSGM or its affiliates for payments it makes to financial intermediaries that provide certain administrative, recordkeeping, and account maintenance services. The amount of the reimbursement and the manner in which it is calculated are reviewed by the Trustees periodically.
The Funds may also pay sub-transfer agent fees at an annual rate of up to 0.20% of the Fund’s average daily net assets attributable to on Class A and I for recordkeeping, shareholder servicing, or administrative services provided by financial intermediaries.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
State Street is the custodian for the Funds. The Funds pay State Street an annual fee of $12,000 for custody and accounting services.
Transactions with Affiliates
Certain investments made by the Portfolios were made in securities affiliated with SSGA FM. The Portfolios invested in the State Street Institutional Liquid Reserves Fund. Transactions in affiliates for the period ending June 30, 2015 were as follows:
State Street Aggregate Bond Index Portfolio
Security | Number of shares held at 12/31/14 | Shares purchased for the period ended 6/30/15 | Shares sold for the period ended 6/30/15 | Number of shares held at 6/30/15 | Value at 6/30/15 | Income earned for the period ended 6/30/15 | ||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 19,953,875 | 65,731,923 | 74,313,728 | 11,372,070 | $ | 11,372,070 | $ | 5,780 |
State Street Global Equity ex-U.S. Index Portfolio
Security Description | Number of shares held at 12/31/14 | Shares purchased for the period ended 6/30/15 | Shares sold for the period ended 6/30/15 | Number of shares held at 6/30/15 | Value at 6/30/15 | Income earned for the period ended 6/30/15 | ||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 597,024 | 48,132,618 | 46,901,227 | 1,828,415 | $ | 1,828,415 | $ | 860 |
5. | Trustees’ Fees |
Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Funds and Portfolios does not receive compensation from the Funds and Portfolios for his or her service as a Trustee.
Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trusts. Each Trust will bear a pro rata allocation based on the Trust’s average monthly assets. The Co-Chairmen each receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of- pocket expenses in connection with meeting attendance. As of the date of this Report, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.
The Trust’s officers are compensated by the Adviser and its affiliates.
6. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
As a shareholder of a fund (the “Funds”), you incur (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including management fees and to the extent applicable, distribution (12b-1) or service fees, among others. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Funds and to compare these costs with the ongoing costs of investing in other mutual funds. It 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, 2015 to June 30, 2015.
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. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Class A Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Actual Fund Return | ||||||||||||
State Street Aggregate Bond Index Fund | $ | 1,000.00 | $ | 997.30 | $ | 1.68 | ||||||
State Street Global Equity ex-U.S. Index Fund | $ | 1,000.00 | $ | 1,042.50 | $ | 2.03 |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
EXPENSE EXAMPLE — (continued)
Class A Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
State Street Aggregate Bond Index Fund | $ | 1,000.00 | $ | 1,023.11 | $ | 1.71 | ||||||
State Street Global Equity ex-U.S. Index Fund | $ | 1,000.00 | $ | 1,022.81 | $ | 2.01 |
* | The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Class A Shares’ annualized expense ratio as of June 30, 2015 was as follows: |
State Street Aggregate Bond Index Fund | 0.34% | |||
State Street Global Equity ex-U.S. Index Fund* | 0.40% |
The dollar amount show as “Expenses Paid” are 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). |
Six Months Ended June 30, 2015
Class I Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Actual Fund Return | ||||||||||||
State Street Aggregate Bond Index Fund | $ | 1,000.00 | $ | 999.30 | $ | 0.45 | ||||||
State Street Global Equity ex-U.S. Index Fund | $ | 1,000.00 | $ | 1,043.60 | $ | 0.76 |
Class I Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
State Street Aggregate Bond Index Fund | $ | 1,000.00 | $ | 1,024.35 | $ | 0.45 | ||||||
State Street Global Equity ex-U.S. Index Fund | $ | 1,000.00 | $ | 1,024.05 | $ | 0.75 |
* | The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Class I Shares’ annualized expense ratio as of June 30, 2015 was as follows: |
State Street Aggregate Bond Index Fund | 0.09% | |||
State Street Global Equity ex-U.S. Index Fund | 0.15% |
The dollar amount show as “Expenses Paid” are 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). |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
EXPENSE EXAMPLE — (continued)
Six Months Ended June 30, 2015
Class K Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Actual Fund Return | ||||||||||||
State Street Aggregate Bond Index Fund | $ | 1,000.00 | $ | 998.70 | $ | 0.45 | ||||||
State Street Global Equity ex-U.S. Index Fund | $ | 1,000.00 | $ | 1,043.60 | $ | 0.76 |
Class K Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
State Street Aggregate Bond Index Fund | $ | 1,000.00 | $ | 1,024.35 | $ | 0.45 | ||||||
State Street Global Equity ex-U.S. Index Fund | $ | 1,000.00 | $ | 1,024.05 | $ | 0.75 |
* | The calculations are based on expenses incurred in the most recent six month period of each Fund. Each Fund’s Class K Shares’ annualized expense ratio as of June 30, 2015 was as follows: |
State Street Aggregate Bond Index Fund | 0.09% | |||
State Street Global Equity ex-U.S. Index Fund* | 0.15% |
The dollar amount show as “Expenses Paid” are 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). |
Six Months Ended June 30, 2015
Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | ||||||||||
Based on Actual Portfolio Return | ||||||||||||
State Street Aggregate Bond Index Portfolio | $ | 1,000.00 | $ | 999.70 | $ | 0.20 | ||||||
State Street Global Equity ex-U.S. Index Portfolio | $ | 1,000.00 | $ | 1,044.70 | $ | 0.41 |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
EXPENSE EXAMPLE — (continued)
Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | ||||||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
State Street Aggregate Bond Index Portfolio | $ | 1,000.00 | $ | 1,024.60 | $ | 0.20 | ||||||
State Street Global Equity ex-U.S. Index Portfolio | $ | 1,000.00 | $ | 1,024.40 | $ | 0.40 |
* | The calculations are based on expenses incurred in the most recent six month period of the Portfolios. Each Portfolio’s annualized expense ratio for the six months ended June 30, 2015 was as follows: |
State Street Aggregate Bond Index Portfolio | 0.04% | |||
State Street Global Equity ex-U.S. Index Portfolio | 0.08% |
The dollar amounts shown as “Expenses Paid” are 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). |
Proxy Voting Policies and Procedures and Record
Information regarding the Fund’s and the Portfolio’s proxy voting policies and procedures, as well as information regarding how the Fund and the Portfolio voted proxies, if any, during the most recent 12-month period ended June 30 is available without charge (1) by calling 1- 877-521-4083 (toll free), or (2) on the website of the SEC at www.sec.gov.
The Fund and the Portfolio each file a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).
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State Street Institutional Investment Trust
Other Information
June 30, 2015 (Unaudited)
TRUSTEE CONSIDERATIONS IN APPROVING CONTINUATION OF
INVESTMENT ADVISORY AGREEMENTS1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees, including by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Independent Trustees on the Board of Trustees (the “Board”) of the State Street Master Funds and State Street Institutional Investment Trust (each a “Trust” and together, the “Trusts”), met in Executive Sessions on April 12-13, 2015 and May 18-19, 2015 to consider a proposal to approve, with respect to each portfolio series of the each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully.2 The Independent Trustees were separately represented by co-counsel that is independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 12-13, 2015 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 18-19, 2015 meeting. The Independent Trustees considered, among other things, the following:
1 Over the course of more than 15 years, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustee before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans.
2 Certain Funds had either recently commenced operations or had yet to commence operations, and as such, the Advisory Agreement was not up for renewal with respect to such Funds.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
¡ | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2014, as applicable, to the performance of an appropriate benchmark for the Fund and a universe of other mutual funds with similar investment objectives and policies; |
¡ | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider; |
¡ | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five years, as applicable; and |
¡ | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of any research through “soft dollar” benefits received in connection with the Funds’ brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds and the assistance provided to the administrator of the Funds by the Adviser in monitoring the effectiveness of such procedures and processes. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds; |
• | A copy of each Code of Ethics adopted by the Adviser, together with information relating to compliance with and the administration of such Codes; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; and |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
Other Relevant Information
• | Information concerning the nature, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, administrator, fund accountant, transfer agent and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreements and agreements with other service providers of the Funds; |
• | Draft responses to letter dated March 11, 2015 from Joseph P. Barri, LLC (co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees reviewed prior to such date by Independent Counsel, requesting specific information, from each of: |
¡ | The Adviser, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the Funds’ last fiscal year; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the Funds’ last fiscal year; |
¡ | State Street Bank and Trust Company (“State Street”), the sub-administrator, administrator, custodian, transfer agent, securities lending agent, and/or shareholder services, as applicable, for the Funds, with respect to its operations relating to the Funds; and |
¡ | State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under SEC Rule 12b-1; |
• | Information from the Adviser, State Street and the Distributor with respect to State Street Master Funds and State Street Institutional Investment Trust providing any material changes to the previous information supplied in response to the letter dated March 11, 2015 from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 18-19, 2015. |
• | Excerpts from the Funds’ most recent prospectuses, statements of additional information and respective annual reports for the fiscal year ended August 31, 2014 or December 31, 2014, as applicable. including (i) the latest prospectus descriptions of each Fund’s investment objectives, strategies and authorized investment techniques and investments; and (ii) the latest Annual Shareholder Report for each Fund, including Portfolio Management Discussion of Performance, as prepared by its portfolio management team, together with a graphic comparison of the performance of each Fund with its benchmark index, for its fiscal year ended August 31, 2014 or December 31, 2014, as applicable; |
• | Lipper materials dated March 2015, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds for which such materials were then available; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to each Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 18-19, 2015 the Board, including a majority of the Independent Trustees, voted to approve the adoption of, as applicable, and the continuation of the Advisory Agreements effective June 1, 2015, for an additional year with respect to all Funds.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various Funds that invest primarily in equity securities. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of credit, interest-rate and currency risks. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board reviewed the compliance programs of the Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide, high quality investment management and related services for the Funds.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
Fund Performance
The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2014 by evaluating the performance of the feeder funds. Among other information, the Board considered the following performance information in its evaluation of your Fund(s):
State Street Aggregate Bond Index Fund. The Board considered that the Fund’s performance was equal to the median of its Performance Group and outperformed the median of its Performance Universe and its Lipper Index since its inception on September 19, 2014.
State Street Global Equity ex-U.S. Index Fund. The Board considered that the Fund outperformed the median of its Performance Universe and its Lipper Index since its inception on September 17, 2014. The Board noted the Fund’s limited performance history.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each operational Fund is satisfactory or better (a) by comparison to the performance of its peer group funds or (b) after considering steps taken by management to improve the performance of certain Funds.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio (both before and after giving effect to any expense caps), as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of various Funds to limit the total expenses borne by shareholders of such Funds. Among other information, the Board considered the following expense information in its evaluation of your Fund(s):
State Street Aggregate Bond Index Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were above the median of its Expense Group and equal to the median of its Expense Universe.
State Street Aggregate Bond Index Portfolio. The Board considered that the Fund does not pay a management fee to the Adviser.
State Street Global Equity ex-U.S. Index Fund. The Board considered that the Fund’s actual management fee was below the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were equal to the median of its Expense Group and above the median of its Expense Universe. The Board took into account management’s discussion of the Fund’s expenses.
State Street Global Equity ex-U.S. Index Portfolio. The Board considered that the Fund does not pay a management fee to the Adviser.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of similar mutual funds and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by the Adviser and the Affiliated Service Providers in connection with their relationships with the Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Funds and other investment advisory clients, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds.
The Board concluded that the profitability of the Adviser with respect to each of the Funds and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and all Funds as a group, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific Fund or the Funds taken as a whole. The Board concluded that, in light of the current size of each Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with respect to each Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.
Conclusions
In reaching its decision to approve the Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that the Adviser possesses the capability and resources to perform the duties required of it under the respective Advisory Agreement.
Further, based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of each Fund and its respective shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
William L. Boyan
Gregory A. Ehret
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Investment Adviser and Administrator
SSGA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian, Sub-Administrator of the Funds and the Portfolios and Transfer Agent of the Portfolios
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 of the Funds
Boston Financial Data Services
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSGA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSGA Funds Management, Inc. for investment advisory services.
Before investing, consider the funds investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1-800-997-7327 or visit www.SSGAfunds.com. Read it carefully.
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 | IBG-16223 (C) 2015 State Street Corporation - All Rights Reserved |
Not FDIC Insured - No Bank Guarantee - May Lose Value
Table of Contents
Semi-Annual Report
30 June 2015
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Table of Contents
State Street Clarion Global Real Estate Income Fund
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2015 | |||
Common Stocks | 99.3 | % | ||
Money Market Fund | 0.8 | |||
Other Liabilities in Excess of Assets | (0.1 | ) | ||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | June 30, 2015 | |||
REITS-Diversified | 16.7 | % | ||
REITS-Office Property | 15.6 | |||
REITS-Shopping Centers | 12.5 | |||
REITS-Apartments | 12.4 | |||
REITS-Regional Malls | 11.6 | |||
Total | 68.8 | % |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
See Notes to Financial Statements.
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State Street Clarion Global Real Estate Income Fund
Portfolio of Investments
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 99.3% | ||||||||
Australia – 6.7% | ||||||||
360 Capital Industrial Fund REIT | 14,100 | $ | 26,118 | |||||
Federation Centres REIT | 51,181 | 114,866 | ||||||
Goodman Group REIT | 5,400 | 26,023 | ||||||
GPT Group REIT | 24,400 | 80,266 | ||||||
Investa Office Fund REIT | 14,500 | 42,350 | ||||||
Mirvac Group REIT | 17,300 | 24,599 | ||||||
Westfield Corp. REIT | 2,900 | 20,328 | ||||||
|
| |||||||
334,550 | ||||||||
|
| |||||||
France – 5.4% | ||||||||
ICADE REIT | 783 | 55,887 | ||||||
Klepierre REIT | 2,194 | 96,450 | ||||||
Unibail-Rodamco SE REIT | 465 | 117,454 | ||||||
|
| |||||||
269,791 | ||||||||
|
| |||||||
Germany – 3.5% | ||||||||
Deutsche Euroshop AG | 1,200 | 52,666 | ||||||
LEG Immobilien AG | 1,772 | 123,042 | ||||||
|
| |||||||
175,708 | ||||||||
|
| |||||||
Hong Kong – 3.6% | ||||||||
Champion REIT | 4,000 | 2,193 | ||||||
Cheung Kong Property Holdings, Ltd.(a) | 4,000 | 33,073 | ||||||
China Overseas Land & Investment, Ltd. | 6,000 | 21,245 | ||||||
Hongkong Land Holdings, Ltd. | 6,100 | 50,020 | ||||||
Link REIT | 12,400 | 72,696 | ||||||
|
| |||||||
179,227 | ||||||||
|
| |||||||
Japan – 7.5% | ||||||||
Fukuoka Corp. REIT | 23 | 40,130 | ||||||
Japan Hotel REIT Investment Corp. REIT | 65 | 43,293 | ||||||
Japan Retail Fund Investment Corp. REIT | 26 | 52,036 | ||||||
Kenedix Office Investment Corp. REIT | 16 | 80,284 | ||||||
Mitsui Fudosan Co., Ltd. | 2,000 | 56,013 | ||||||
Orix JREIT, Inc. REIT | 71 | 102,353 | ||||||
|
| |||||||
374,109 | ||||||||
|
| |||||||
Netherlands – 1.0% | ||||||||
Eurocommercial Properties NV | 1,200 | 50,012 | ||||||
|
| |||||||
50,012 | ||||||||
|
| |||||||
Singapore – 0.8% | ||||||||
CapitaLand Commercial Trust REIT | 34,500 | 39,970 | ||||||
|
| |||||||
39,970 | ||||||||
|
| |||||||
Spain – 0.6% | ||||||||
Hispania Activos Inmobiliarios SAU(a) | 2,104 | 30,851 | ||||||
|
| |||||||
30,851 | ||||||||
|
| |||||||
Sweden – 1.0% | ||||||||
Hufvudstaden AB | 4,008 | 48,738 | ||||||
|
| |||||||
48,738 | ||||||||
|
| |||||||
United Kingdom – 7.5% | ||||||||
British Land Co. PLC REIT | 13,300 | 165,976 | ||||||
Great Portland Estates PLC REIT | 7,353 | 89,737 | ||||||
Hammerson PLC REIT | 9,463 | 91,601 | ||||||
ST Modwen Properties PLC | 3,833 | 27,302 | ||||||
|
| |||||||
374,616 | ||||||||
|
| |||||||
United States – 61.7% | ||||||||
Alexandria Real Estate Equities, Inc. REIT | 600 | $ | 52,476 | |||||
American Realty Capital Properties, Inc. REIT | 2,900 | 23,577 | ||||||
AvalonBay Communities, Inc. REIT | 1,000 | 159,870 | ||||||
Boston Properties, Inc. REIT | 1,300 | 157,352 | ||||||
CubeSmart REIT | 2,000 | 46,320 | ||||||
DCT Industrial Trust, Inc. REIT | 1,200 | 37,728 | ||||||
DDR Corp. REIT | 5,300 | 81,938 | ||||||
Douglas Emmett, Inc. REIT | 1,400 | 37,716 | ||||||
Equity Residential REIT | 3,300 | 231,561 | ||||||
Essex Property Trust, Inc. REIT | 475 | 100,937 | ||||||
Federal Realty Investment Trust REIT | 400 | 51,236 | ||||||
Forest City Enterprises, Inc.(a) | 1,200 | 26,520 | ||||||
General Growth Properties, Inc. REIT | 6,400 | 164,224 | ||||||
Health Care REIT, Inc. | 2,800 | 183,764 | ||||||
Healthcare Realty Trust, Inc. REIT | 2,200 | 51,172 | ||||||
Host Hotels & Resorts, Inc. REIT | 6,100 | 120,963 | ||||||
Kilroy Realty Corp. REIT | 1,100 | 73,865 | ||||||
Kimco Realty Corp. REIT | 4,000 | 90,160 | ||||||
LaSalle Hotel Properties REIT | 1,600 | 56,736 | ||||||
Liberty Property Trust REIT | 1,800 | 57,996 | ||||||
Macerich Co. REIT | 300 | 22,380 | ||||||
Paramount Group, Inc. REIT | 2,500 | 42,900 | ||||||
Post Properties, Inc. REIT | 1,300 | 70,681 | ||||||
Prologis, Inc. REIT | 4,300 | 159,530 | ||||||
Public Storage, Inc. REIT | 700 | 129,059 | ||||||
QTS Realty Trust, Inc. REIT | 1,100 | 40,095 | ||||||
Simon Property Group, Inc. REIT | 1,750 | 302,785 | ||||||
SL Green Realty Corp. REIT | 900 | 98,901 | ||||||
Spirit Realty Capital, Inc. REI+T | 6,400 | 61,888 | ||||||
Strategic Hotels & Resorts, Inc. REIT(a) | 4,400 | 53,328 | ||||||
Sunstone Hotel Investors, Inc. REIT | 2,800 | 42,028 | ||||||
Tanger Factory Outlet Centers, Inc. REIT | 1,500 | 47,550 | ||||||
Taubman Centers, Inc. REIT | 600 | 41,700 | ||||||
UDR, Inc. REIT | 1,820 | 58,295 | ||||||
Vornado Realty Trust REIT | 1,100 | 104,423 | ||||||
|
| |||||||
3,081,654 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 4,959,226 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 0.8% |
| |||||||
MONEY MARKET FUND – 0.8% | ||||||||
State Street Institutional Liquid Reserve Fund, Premier Class 0.11%(b)(c) | 37,364 | 37,364 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.1%(d) |
| 4,996,590 | ||||||
Other Liabilities in Excess of | (3,668 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 4,992,922 | ||||||
|
|
(a) | Non-income producing security. |
(b) | The rate shown is the annualized seven-day yield at period end. |
(c) | Affiliated Fund managed by SSGA Fund Management, Inc. (Note 4). |
(d) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 1 inputs established by provisions surrounding fair value measurements and disclosures. |
See Notes to Financial Statements.
2
Table of Contents
State Street Clarion Global Real Estate Income Fund
Portfolio of Investments — (continued)
June 30, 2015 (Unaudited)
Abbreviations | ||
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
See Notes to Financial Statements.
3
Table of Contents
State Street Clarion Global Real Estate Income Fund
Statement of Assets and Liabilities
June 30, 2015 (Unaudited)
Assets | ||||
Investments in securities of unaffiliated issuers, at value (Note 2) | $ | 4,959,226 | ||
Investments in securities of non-controlled affiliated issuer, at value (Notes 2 and 4) | 37,364 | |||
|
| |||
Total Investments | 4,996,590 | |||
Foreign currency, at value | 5,964 | |||
Receivable for investments sold | 56,682 | |||
Dividends receivable from unaffiliated issuers | 20,628 | |||
Dividends receivable from non-controlled affiliated issuers | 3 | |||
Receivable for foreign taxes recoverable | 2,435 | |||
Receivable from Adviser (Note 4) | 42,462 | |||
|
| |||
Total assets | 5,124,764 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 50,795 | |||
Advisory fees payable (Note 4) | 11,279 | |||
Custodian fees payable (Note 4) | 20,899 | |||
Professional fees payable | 14,490 | |||
Transfer agent fees payable (Note 4) | 9,922 | |||
Registration and filing fees payable | 9,300 | |||
Sub-Transfer Agent fee payable (Note 4) | 2,386 | |||
Distribution fees payable (Note 4) | 939 | |||
Administration fees payable (Note 4) | 808 | |||
Printing fees payable | 865 | |||
Insurance fees payable | 10,159 | |||
|
| |||
Total liabilities | 131,842 | |||
|
| |||
Net Assets | $ | 4,992,922 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 5,000,000 | ||
Undistributed net investment income | 2,199 | |||
Accumulated net realized gain on investments and foreign currency transactions | 174,697 | |||
Net unrealized appreciation (depreciation) on investments and foreign currency transactions | (183,974 | ) | ||
|
| |||
Net Assets | $ | 4,992,922 | ||
|
| |||
Class A | ||||
Net Assets | $ | 2,496,385 | ||
Shares of beneficial interest outstanding | 250,000 | |||
|
| |||
Net asset value and redemption price per share | $ | 9.99 | ||
|
| |||
Maximum Sales Charge | 5.25 | % | ||
Maximum offering price per share | $ | 10.54 | ||
|
| |||
Class I | ||||
Net Assets | $ | 2,496,537 | ||
Shares of beneficial interest outstanding | 250,000 | |||
|
| |||
Offering, net asset value, and redemption price per share | $ | 9.99 | ||
|
| |||
Investments in securities of unaffiliated issuers, at cost | $ | 5,143,041 | ||
Investments in securities of affiliated issuers, at cost | 37,364 | |||
|
| |||
Investments in securities, at cost | $ | 5,180,405 | ||
|
| |||
Foreign currency, at cost | $ | 6,005 |
See Notes to Financial Statements.
4
Table of Contents
State Street Clarion Global Real Estate Income Fund
Statement of Operations
Six Months Ended June 30, 2015 (Unaudited)
Income | ||||
Dividend income – unaffiliated issuers (net of foreign taxes withheld of $6,461) | $ | 105,640 | ||
Dividend income – non-controlled affiliated issuer | 19 | |||
|
| |||
Total Investment Income | 105,659 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 4) | 22,930 | |||
Administration fees (Note 4) | 561 | |||
Custodian fees (Note 4) | 17,118 | |||
Distribution fee (Note 4) | ||||
Class A | 3,372 | |||
Trustees’ fees and expenses | 7,439 | |||
Registration and filing fees | 15,895 | |||
Professional fees | 21,857 | |||
Transfer agent fees (Note 4) | 10,909 | |||
Printing fees | 8,064 | |||
Insurance fees | 6,965 | |||
Other expenses | 660 | |||
|
| |||
Total expenses | 115,770 | |||
|
| |||
Less: Expenses reimbursed by the Adviser (Note 4) | (84,074 | ) | ||
|
| |||
Net expenses | 31,696 | |||
|
| |||
Net Investment Income | $ | 73,963 | ||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments | 149,305 | |||
Foreign currency transactions | (988 | ) | ||
|
| |||
Net realized gain (loss) | 148,317 | |||
|
| |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investments | (497,874 | ) | ||
Foreign currency transactions | (112 | ) | ||
|
| |||
Net change in unrealized appreciation (depreciation) | (497,986 | ) | ||
|
| |||
Net realized and unrealized loss | (349,669 | ) | ||
|
| |||
Net Decrease in Net Assets Resulting from Operations | $ | (275,706 | ) | |
|
|
See Notes to Financial Statements.
5
Table of Contents
State Street Clarion Global Real Estate Income Fund
Statements of Changes in Net Assets
Six Months Ended June 30, 2015 (Unaudited) | Period Ended December 31, 2014* | |||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||
Operations: | ||||||||
Net investment income | $ | 73,963 | $ | 22,471 | ||||
Net realized gain on investments and foreign currency transactions | 148,317 | 38,995 | ||||||
Change in net unrealized appreciation (depreciation) on investments and foreign currency transactions | (497,986 | ) | 314,012 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | (275,706 | ) | 375,478 | |||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (23,075 | ) | (26,325 | ) | ||||
Class I | (25,925 | ) | (28,175 | ) | ||||
Net realized gain on investments | ||||||||
Class A | – | (1,675 | ) | |||||
Class I | – | (1,675 | ) | |||||
|
|
|
| |||||
Total distributions | (49,000 | ) | (57,850 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) from Fund Share Transactions: | ||||||||
Class A | ||||||||
Shares sold | – | 2,500,000 | ||||||
|
|
|
| |||||
Class I | ||||||||
Shares sold | – | 2,500,000 | ||||||
|
|
|
| |||||
Net increase from fund share transactions | – | 5,000,000 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | (324,706 | ) | 5,317,628 | |||||
Net Assets | ||||||||
Beginning of period | 5,317,628 | – | ||||||
|
|
|
| |||||
End of period | $ | 4,992,922 | $ | 5,317,628 | ||||
|
|
|
| |||||
Undistributed (Distributions in excess of) net investment income | $ | 2,199 | $ | (22,764 | ) | |||
|
|
|
| |||||
Changes in Shares: | ||||||||
Class A | ||||||||
Shares sold | – | 250,000 | ||||||
|
|
|
| |||||
Class I | ||||||||
Shares sold | – | 250,000 | ||||||
|
|
|
|
* | For the period from October 9, 2014 (commencement of operations) to December 31, 2014. |
See Notes to Financial Statements.
6
Table of Contents
State Street Clarion Global Real Estate Income Fund
Financial Highlights
Selected data for a Class A Share of beneficial interest outstanding throughout each period is presented below:
Six Months Ended 6/30/15 (Unaudited) | Period from 10/9/14* 12/31/14 | |||||||
Per Share Operating Performance: | ||||||||
Net Asset Value, Beginning of Period | $ | 10.64 | $ | 10.00 | ||||
|
|
|
| |||||
Investment Operations: | ||||||||
Net investment income(a) | 0.14 | 0.04 | ||||||
Net realized and unrealized gain (loss) on investments | (0.70 | ) | 0.72 | |||||
|
|
|
| |||||
Total from investment operations | (0.56 | ) | 0.76 | |||||
|
|
|
| |||||
Less Distributions From: | ||||||||
Net investment income | (0.09 | ) | (0.11 | ) | ||||
Net realized gains | – | (0.01 | ) | |||||
|
|
|
| |||||
Total distributions | (0.09 | ) | (0.12 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | (0.65 | ) | 0.64 | |||||
|
|
|
| |||||
Net Asset Value, End of Period | $ | 9.99 | $ | 10.64 | ||||
|
|
|
| |||||
Total Return(b)(c) | (5.29 | )% | 7.52 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net Assets, End of Period (000s) | $ | 2,496 | $ | 2,659 | ||||
Ratios to average net assets: | ||||||||
Gross expenses(d) | 4.42 | % | 6.51 | % | ||||
Net expenses(d) | 1.30 | % | 1.50 | % | ||||
Net investment income(d) | 2.62 | % | 1.76 | % | ||||
Portfolio turnover rate(c) | 65 | % | 11 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
See Notes to Financial Statements.
7
Table of Contents
State Street Clarion Global Real Estate Income Fund
Financial Highlights
Selected data for a Class I Share of beneficial interest outstanding throughout each period is presented below:
Six Months Ended 6/30/15 (Unaudited) | Period from 10/9/14* 12/31/14 | |||||||
Per Share Operating Performance: | ||||||||
Net Asset Value, Beginning of Period | $ | 10.63 | $ | 10.00 | ||||
|
|
|
| |||||
Investment Operations: | ||||||||
Net investment income(a) | 0.15 | 0.05 | ||||||
Net realized and unrealized gain (loss) on investments | (0.69 | ) | 0.70 | |||||
|
|
|
| |||||
Total from investment operations | (0.54 | ) | 0.75 | |||||
|
|
|
| |||||
Less Distributions From: | ||||||||
Net investment income | (0.10 | ) | (0.11 | ) | ||||
Net realized gains | – | (0.01 | ) | |||||
|
|
|
| |||||
Total distributions | (0.10 | ) | (0.12 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | (0.64 | ) | 0.63 | |||||
|
|
|
| |||||
Net Asset Value, End of Period | $ | 9.99 | $ | 10.63 | ||||
|
|
|
| |||||
Total Return(b)(c) | (5.10 | )% | 7.49 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net Assets, End of Period (000s) | $ | 2,497 | $ | 2,659 | ||||
Ratios to average net assets: | ||||||||
Gross expenses(d) | 4.17 | % | 6.26 | % | ||||
Net expenses(d) | 1.05 | % | 1.25 | % | ||||
Net investment income(d) | 2.87 | % | 2.01 | % | ||||
Portfolio turnover rate(c) | 65 | % | 11 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
See Notes to Financial Statements.
8
Table of Contents
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements
June 30, 2015 (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 thirty-two (32) series and corresponding classes, each 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. State Street Clarion Global Real Estate Income Fund (the “Fund”) has registered Class C and Class K Shares. The Fund’s Class C and Class K Shares were not operational at June 30, 2015. The financial statements herein relate to the following Fund:
Fund | Classes | Commencement of Operations: | ||||
State Street Clarion Global Real Estate Income Fund | Class A | October 9, 2014 | ||||
Class I | October 9, 2014 |
The investment objective of the Fund is to seek total return with an emphasis on income. SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) serves as the investment adviser and CBRE Clarion Securities LLC (the “Sub-adviser”) serves as the sub-adviser. Class A shares are available to the general public for investment through transaction-based financial intermediaries. Class A shares impose a 5.25% sales charge (as a percentage of offering price) and may be subject to a 1% CDSC if redeemed within 18 months of purchase. Class I shares are sold without a sales charge and only to certain eligible investors.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust. However, based on experience, the Trust expects the risk of loss to be remote.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”) which requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services – Investment Companies (“ASC 946”).
Security valuation – The Fund’s investments are valued at fair value each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Fund’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the
9
Table of Contents
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to policies and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for determining the fair value of investments. The members of the Committee are approved by the Board. Valuation techniques used to value the Fund’s investments by major category are as follows:
• | Equity investments (including registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value per share or unit. Money market funds generally value portfolio investments using the amortized cost method as set forth in Rule 2a-7 under the 1940 Act and in accordance with Fund procedures to stabilize net asset value. |
Fair value pricing could result in a difference between the prices used to calculate a Fund’s net asset value and the prices used by the Fund’s underlying indices, which in turn could result in a difference between the Fund’s performance and the performance of the Funds’ underlying indices. Various inputs are used in determining the value of Fund’s investments. These inputs are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes.
In the event prices or quotations are not readily available or that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with valuation policies and procedures approved by the Board.
The Fund values its assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
10
Table of Contents
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. The aggregate value of investments by input level as of June 30, 2015, is included at the end of the Fund’s Schedule of Investments. The Fund had no transfers between levels for the six months ended June 30, 2015. The transfers that did occur were the result of fair value pricing using significant observable inputs for Level 2 securities.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of June 30, 2015. The breakdown of the Fund’s investments into major categories is disclosed in its schedule of investments.
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | $ | 4,959,226 | $ | – | $ | – | $ | 4,959,226 | ||||||||
Money Market Fund | 37,364 | – | – | 37,364 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 4,996,590 | $ | – | $ | – | $ | 4,996,590 | ||||||||
|
|
|
|
|
|
|
|
Investment transactions – Investment transactions are recorded on the trade date basis. Realized gains and losses from the sale of disposition of securities and foreign exchange transactions are recorded on the identified cost basis. Corporate actions (including cash dividends) are recorded net of foreign tax withholdings on the ex-dividend date. 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. The Fund invests in Real Estate Investment Trusts (REITs). REITs will determine the characterization of their income annually and may characterize a portion of their distributions as a return of capital or capital gain. The Fund’s policy is to record all REIT distributions as dividend income initially and re-designate the prior calendar year’s return of capital or capital gain distributions at year end.
REITs owned at June 30, 2015, if any, are identified in the Schedule of Investments.
Investment Income – Dividend income is recorded on the ex-dividend date. The value of additional securities received as dividend payments is recorded as income and as an increase to the cost basis of such securities. Interest income is recorded on the accrual basis.
Foreign currency translation and foreign investments – The accounting records of the Fund are maintained in U.S. dollars. Portfolio securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and sales of securities, income receipts and expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective dates of transactions. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transaction on the Statements of Operations. Net gains and losses on foreign currency transactions include disposition of foreign currencies, and currency gains and losses between the accrual and receipt dates of portfolio investment income and between the trade and settlement dates of portfolio investment transactions.
11
Table of Contents
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
Dividends and distributions – Dividends from net investment income are declared and paid quarterly. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes. These differences relate primarily to investments in foreign denominated investments, REITs, wash sales and investments in certain securities sold at a loss. Permanent differences between book and tax accounting are reclassified to paid-in capital. Accordingly, the Funds may periodically make reclassifications among certain of their capital accounts without impacting their net asset value.
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.
Federal income taxes – The Fund intends 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 Fund 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 Fund will not be subject to federal excise tax.
At June 30, 2015, the cost of investments and the gross unrealized appreciation and gross unrealized depreciation of investments for federal income tax purpose are as follows:
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
State Street Clarion Global Real Estate Income Fund | $ | 5,180,405 | $ | 42,024 | $ | (225,839 | ) | $ | (183,815 | ) |
The Fund has reviewed the tax positions as of December 31, 2014, and determined it did not have a liability for any unrecognized tax expenses. The Fund recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. As of June 30, 2015, the Fund’s federal tax returns for the initial year remain subject to examination by the Fund’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
3. | Securities Transactions |
For the six months ended June 30, 2015, purchases and sales of investment securities, excluding short-term investments, were:
Fund | Purchases | Sales | ||||
State Street Clarion Global Real Estate Income Fund | $3,502,956 | $ | 3,474,548 |
4. | Related Party and Other Fees |
The Fund retained SSGA FM, a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), as its investment adviser. The Fund has entered into an
12
Table of Contents
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
investment advisory agreement with the Adviser. In compensation for the Adviser’s services, the Fund pays the Adviser a management fee at an annual rate of 0.85% of its average daily net assets.
The Adviser has entered into a sub-advisory agreement with the Sub-Adviser pursuant to which the Sub-Adviser will be responsible for the day-to-day management of any assets of the Fund. The Sub-Adviser receives fees from the Adviser for its services provided to the Fund.
The Adviser is contractually obligated until April 30, 2016 to waive its management fee and/or to reimburse the Fund for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees, and distribution, shareholder servicing, and sub- transfer agency fees) exceed 1.05% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Board.
For the period ended June 30, 2015, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, are shown on the Statement of Operations.
Effective June 1, 2015, SSGA FM serves as Administrator. For its administration services to the Fund, the Fund pays SSGA FM a fee at the annual rate of 0.05% of its average daily net assets.
Effective June 1, 2015 State Street, pursuant to a Sub-Administration Agreement between SSGA FM and State Street, an affiliate of the Adviser, serves as Sub-Administrator. State Street is paid a Sub-Administration fee by SSGA FM. The Sub-Administration fee is based on the combined average daily net assets of the Fund and certain other funds in the Trust and in the SSGA Funds trust. The fee schedule is as follows: 0.0136% of the first $10 billion of average daily net assets of the funds in the complex; 0.0086% of the next $10 billion of average daily net assets of the funds in the complex; 0.0075% of the next $10 billion of average daily net assets of the funds in the complex and; 0.0050% of the average daily net assets of the funds in the complex in excess of $30 billion.
State Street serves as Custodian of the Fund’s assets. Effective June 1, 2015, State Street receives fees from the Fund for domestic and global custody services and security transaction fees and is reimbursed for certain out of pocket expenses.
Prior to June 1, 2015, State Street was the Administrator and Custodian. In compensation for these services, the Fund paid State Street an annual fee. The fee was accrued daily and paid monthly, and was calculated as the greater of an asset-based fee or a minimum fee. The minimum fee was calculated by multiplying the minimum per fund fee by the number of funds in the State Street Master Funds trust plus the number of stand-alone funds in the State Street Institutional Investment Trust to arrive at the total minimum fee. The asset-based fee was calculated at the following rates:
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 | $150,000 |
13
Table of Contents
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
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 Fund. For these services, the Fund pays annual account services fees, activity-based fees, charges related to compliance and regulatory services.
The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which the Fund may compensate its distributor (State Street Global Markets LLC or “SSGM”) (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to Fund shareholders in that class (the “Plan”). The Plan calls for payments at an annual rate (based on average daily net assets) of 0.25% of the Fund’s net assets attributable to its Class A shares. Because these fees are paid out of the assets of the Fund attributable to its Class A shares on an ongoing basis, they will increase the cost of your investment and may cost you more over time than paying other types of sales charges. In addition to payments under the Plan, the Fund may reimburse SSGM or its affiliates for payments it makes to financial intermediaries that provide certain administrative, recordkeeping, and account maintenance services. The amount of the reimbursement and the manner in which it is calculated are reviewed by the Trustees periodically.
The Fund may also pay sub-transfer agent fees of up to 0.20% on Class A and I for recordkeeping, shareholder servicing, or administrative services provided by Financial Intermediaries.
Transactions with Affiliates
Certain investments made by the Fund were made in securities affiliated with SSGA FM. The Fund invested in the State Street Institutional Liquid Reserves Fund. Transactions in affiliates for the six months ended June 30, 2015 were as follows:
Security | Number of shares held at 12/31/14 | Shares purchased for the six months ended 6/30/15 | Shares sold for the six months ended 6/30/15 | Number of shares held at 6/30/15 | Value at 6/30/15 | Income earned for the six months ended 6/30/15 | ||||||||||||||||||
State Street Institutional | ||||||||||||||||||||||||
Liquid Reserves Fund, Premier Class | 35,023 | 496,212 | 493,871 | 37,364 | $ | 37,364 | $ | 19 |
5. | Trustees’ Fees |
Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Fund does not receive compensation from the Fund for his or her service as a Trustee.
Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trusts. Each Trust will bear a pro rata allocation based on the Trust’s average monthly assets. The Co-Chairmen each receive an additional $44,000 annual retainer. As of June 30, 2015, the Fund is paying the annual minimum of $15,000. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance. As of the date of this report, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.
The Trust’s officers are compensated by the Adviser and its affiliates.
14
Table of Contents
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
6. | Foreign Investment Risks |
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. governments. These risks include revaluation of currencies and the risk of expropriation. Moreover, the markets for securities of many foreign companies and foreign governments may be less liquid and the prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. government.
Some foreign markets in which the Fund invests are considered emerging markets. Investment in these emerging markets subjects a Portfolio to a greater risk of loss than investments in a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, higher levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market.
7. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
15
Table of Contents
State Street Clarion Global Real Estate Income Fund
Other Information
June 30, 2015 (Unaudited)
EXPENSE EXAMPLE
As a shareholder of a fund, you incur (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including management fees and to the extent applicable, distribution (12b-1) or service fees, among others. 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. It 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, 2015 to June 30, 2015.
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 U.S. 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. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Six Months Ended June 30, 2015
Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | ||||||||||
Based on Actual Class Return | ||||||||||||
Class A | $ | 1,000.00 | $ | 947.10 | $ | 6.28 | ||||||
Class I | $ | 1,000.00 | $ | 949.00 | $ | 5.07 |
16
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State Street Clarion Global Real Estate Income Fund
Other Information — (continued)
June 30, 2015 (Unaudited)
Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | ||||||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
Class A | $ | 1,000.00 | $ | 1,018.35 | $ | 6.51 | ||||||
Class I | $ | 1,000.00 | $ | 1,019.59 | $ | 5.26 |
* | The calculations are based on expenses incurred in the most recent fiscal period of each Class. The Class A Shares and Class I Shares annualized expense ratios for the six months ended June 30, 2015 were 1.30% and 1.05%, respectively. The dollar amounts shown as “Expenses Paid” are 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). |
Proxy Voting Policies and Procedures and Record
Information regarding the Fund’s proxy voting policies and procedures, as well as information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.
Quarterly Portfolio Schedule
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).
17
Table of Contents
Trustees
William L. Boyan
Gregory A. Ehret
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Investment Adviser and Administrator
SSGA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Investment Sub-Adviser
CBRE Clarion Securities LLC
201King of Prussia Road, Suite
600 Radnor, PA 19087
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
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSGA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSGA Funds Management, Inc. for investment advisory services.
Before investing, consider the funds investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1-800-997-7327 or visit www.SSGAfunds.com. Read it carefully.
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 | IBG-16230 © 2015 State Street Corporation – All Rights Reserved |
Not FDIC Insured – No Bank Guarantee – May Lose Value |
Table of Contents
Semi-Annual Report
30 June 2015
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Semi-Annual Report
June 30, 2015
1 | ||||
2 | ||||
3 | ||||
4 | ||||
6 | ||||
10 |
Table of Contents
State Street Clarion Global Infrastructure & MLP Fund
Statement of Assets and Liabilities
June 30, 2015 (Unaudited)
Assets | ||||
Investment in State Street Clarion Global Infrastructure & MLP Portfolio (1,593,481 shares), at value (cost $15,945,431) (Note 1) | $ | 15,918,873 | ||
Receivable for investments sold | 235 | |||
Receivable from Adviser (Note 3) | 48,108 | |||
|
| |||
Total assets | 15,967,216 | |||
|
| |||
Liabilities | ||||
Advisory fees payable (Note 3) | 46,154 | |||
Professional fees payable | 15,159 | |||
Administration fees payable (Note 3) | 9,644 | |||
Registration and filing fees payable | 9,228 | |||
Insurance fees payable | 6,195 | |||
Custodian fees payable (Note 3) | 5,239 | |||
Printing fees payable | 4,863 | |||
Transfer agent fees payable | 4,766 | |||
Trustees’ fees payable (Note 4) | 2,867 | |||
|
| |||
Total liabilities | 104,115 | |||
|
| |||
Net Assets | $ | 15,863,101 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 15,900,803 | ||
Distributions in excess of net investment income | (16,615 | ) | ||
Accumulated net realized gain | 5,471 | |||
Net unrealized depreciation on investments | (26,558 | ) | ||
|
| |||
Net Assets | $ | 15,863,101 | ||
|
| |||
Net Assets | ||||
Class A | $ | 2,045,232 | ||
|
| |||
Class I | $ | 13,817,869 | ||
|
| |||
Shares of Beneficial Interest Outstanding | ||||
Class A | 204,967 | |||
|
| |||
Class I | 1,384,530 | |||
|
| |||
Net Asset Value and Redemption Price Per Share | ||||
Class A | $ | 9.98 | ||
|
| |||
Maximum Sales Charge | ||||
Class A | 5.25 | % | ||
|
| |||
Maximum Offering Price Per Share | ||||
Class A | $ | 10.53 | ||
|
| |||
Offering, Net Asset Value, and Redemption Price Per Share | ||||
Class I | $ | 9.98 | ||
|
|
See Notes to Financial Statements and Financial Statements of the Master Portfolio.
1
Table of Contents
State Street Clarion Global Infrastructure & MLP Fund
Six Months Ended June 30, 2015* (Unaudited)
Income | ||||
Dividend income from State Street Clarion Global Infrastructure & MLP Portfolio (Note 3) | $ | 180,816 | ||
|
| |||
Expenses | ||||
Advisory fees (Note 3) | 64,695 | |||
Administration fees (Note 3) | 9,644 | |||
Custodian fees (Note 3) | 5,293 | |||
Distribution fees (Note 3) | ||||
Class A | 2,287 | |||
Trustees’ fees and expenses (Note 4) | 6,617 | |||
Registration and filing fees | 14,003 | |||
Professional fees | 16,541 | |||
Transfer agent fees (Note 3) | 9,703 | |||
Printing fees | 7,058 | |||
Insurance fees | 6,195 | |||
Miscellaneous fees | 2,206 | |||
|
| |||
Total expenses | 144,242 | |||
Less: Expenses reimbursed by the Adviser (Note 3) | (55,695 | ) | ||
|
| |||
Net expenses | 88,547 | |||
|
| |||
Net Investment Income | $ | 92,269 | ||
|
| |||
Realized and Unrealized Gain (Loss) on Investments | ||||
Net realized gain (loss) on: | ||||
Investments from affiliated issuer | 5,471 | |||
Change in net unrealized appreciation (depreciation) on: | ||||
Investments in affiliated issuer | (26,558 | ) | ||
|
| |||
Net realized and unrealized gain (loss) | (21,087 | ) | ||
|
| |||
Net Increase in Net Assets Resulting from Operations | $ | 71,182 | ||
|
|
* | For the period January 21, 2015 (commencement of operations) through June 30, 2015. |
See Notes to Financial Statements and Financial Statements of the Master Portfolio.
2
Table of Contents
State Street Clarion Global Infrastructure & MLP Fund
Statement of Changes in Net Assets
For the Period 1/21/15* - 6/30/15 (Unaudited) | ||||
Increase (Decrease) in Net Assets Resulting from: | ||||
Operations: | ||||
Net investment income | $ | 92,269 | ||
Net realized gain on investments | 5,471 | |||
Change in net unrealized appreciation (depreciation) on investments | (26,558 | ) | ||
|
| |||
Net increase in net assets from operations | 71,182 | |||
|
| |||
Distributions to Shareholders from: | ||||
Net investment income | ||||
Class A | (12,428 | ) | ||
Class I | (96,456 | ) | ||
|
| |||
Total distributions | (108,884 | ) | ||
|
| |||
Net Increase (Decrease) from Capital Share Transactions: | ||||
Class A | ||||
Contribution from SSGA FM (Note 1) | 2,000,000 | |||
Proceeds from shares sold | 71,054 | |||
Reinvestments of distributions | 328 | |||
Cost of redemptions | (18,998 | ) | ||
|
| |||
Net increase in net assets from capital share transactions | 2,052,384 | |||
|
| |||
Class I | ||||
In-kind transfer from CBRE Clarion Global Listed Infrastructure Fund, LP (Note 1) | 11,569,962 | |||
Contribution from SSGA FM (Note 1) | 2,000,000 | |||
Proceeds from shares sold | 196,001 | |||
Reinvestments of distributions | 82,456 | |||
|
| |||
Net increase in net assets from capital share transactions | 13,848,419 | |||
|
| |||
Net Increase in Net Assets | 15,863,101 | |||
Net Assets | ||||
Beginning of period | – | |||
|
| |||
End of period | $ | 15,863,101 | ||
|
| |||
Distributions in excess of net investment income | $ | (16,615 | ) | |
|
| |||
Changes in Shares: | ||||
Class A | ||||
Shares sold | 206,785 | |||
Reinvestments of distributions | 31 | |||
Shares redeemed | (1,849 | ) | ||
|
| |||
Net increase in net assets from share transactions | 204,967 | |||
|
| |||
Class I | ||||
In-kind transfer from CBRE Clarion Global Listed Infrastructure Fund, LP (Note 1) | 1,176,596 | |||
Shares sold | 200,000 | |||
Reinvestments of distributions | 7,934 | |||
|
| |||
Net increase in net assets from share transactions | 1,384,530 | |||
|
|
* | Commencement of operations |
See Notes to Financial Statements and Financial Statements of the Master Portfolio.
3
Table of Contents
State Street Clarion Global Infrastructure & MLP Fund
Selected data for a Class A Share of beneficial interest outstanding throughout the period is presented below:
Period from 1/21/15(a) - 6/30/15 (Unaudited) | ||||
Net Asset Value, Beginning of Period | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net investment income(b) | 0.05 | |||
Net realized and unrealized gain (loss) on investments | (0.01 | ) | ||
|
| |||
Total from investment operations | 0.04 | |||
|
| |||
Less Distributions to Shareholders From: | ||||
Net investment income | (0.06 | ) | ||
|
| |||
Net increase in net assets | (0.02 | ) | ||
|
| |||
Net Asset Value, End of Period | $ | 9.98 | ||
|
| |||
Total Return(c) | 0.27 | % | ||
Ratios and Supplemental Data: | ||||
Net Assets, End of Period (000s) | $ | 2,045 | ||
Ratios to average net assets: | ||||
Gross expenses | 2.22 | %(e) | ||
Net expenses | 1.45 | %(e) | ||
Net investment income | 1.05 | %(e) | ||
Portfolio turnover rate(d) | 37 | %(f) |
(a) | Commencement of operations |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at 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. |
(d) | Portfolio turnover rate is from the Portfolio. |
(e) | Annualized. |
(f) | Not annualized. |
See Notes to Financial Statements and Financial Statements of the Master Portfolio.
4
Table of Contents
State Street Clarion Global Infrastructure & MLP Fund
Financial Highlights
Selected data for a Class I Share of beneficial interest outstanding throughout the period is presented below:
Period from 1/21/15(a) - 6/30/15 (Unaudited) | ||||
Net Asset Value, Beginning of Period | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations: | ||||
Net investment income(b) | 0.06 | |||
Net realized and unrealized gain (loss) on investments | (0.01 | ) | ||
|
| |||
Total from investment operations | 0.05 | |||
|
| |||
Less Distributions to Shareholders From: | ||||
Net investment income | (0.07 | ) | ||
|
| |||
Net increase in net assets | (0.02 | ) | ||
|
| |||
Net Asset Value, End of Period | $ | 9.98 | ||
|
| |||
Total Return(c) | 0.37 | % | ||
Ratios and Supplemental Data: | ||||
Net Assets, End of Period (000s) | $ | 13,818 | ||
Ratios to average net assets: | ||||
Gross expenses | 1.98 | %(e) | ||
Net expenses | 1.20 | %(e) | ||
Net investment income | 1.32 | %(e) | ||
Portfolio turnover rate(d) | 37 | %(f) |
(a) | Commencement of operations |
(b) | Net investment income per share is calculated using the average shares method. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at 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. |
(d) | Portfolio turnover rate is from the Portfolio. |
(e) | Annualized. |
(f) | Not annualized. |
See Notes to Financial Statements and Financial Statements of the Master Portfolio.
5
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
June 30, 2015 (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 thirty-two (32) series and corresponding classes, each 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. State Street Clarion Global Infrastructure & MLP Fund (the “Fund”) has registered Class C and Class K Shares. The Fund’s Class C and Class K Shares were not operational at June 30, 2015. The financial statements herein relate to the following Fund:
Fund | Classes | Commencement of Operations: | ||
State Street Clarion Global Infrastructure & MLP Fund | Class A Class I | January 21, 2015 January 21, 2015 |
The investment objective of the Fund is to provide long-term total return. The Fund seeks to achieve its investment objective by investing substantially all of its investable assets (100.00% at June 30, 2015) in the State Street Clarion Global Infrastructure & MLP Portfolio (the “Portfolio”), a series of a separately registered investment company called SSGA Active Trust, which has substantially similar investment policies to the Fund. When the Fund invests in this “master-feeder” structure, the Fund’s only investments are shares of the Portfolio and it participates in the investment returns achieved by the Portfolio.
SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), serves as the investment adviser and CBRE Clarion Securities LLC (the “Sub-Adviser”) serves as the subadviser. Class A shares are available to the general public for investment through transaction-based financial intermediaries. Class A shares impose a 5.25% sales charge (as a percentage of offering price) and may be subject to a 1% CDSC if redeemed within 18 months of purchase. Class I shares are sold without a sales charge and only to certain eligible investors.
The Portfolio commenced operations on January 21, 2015, after it acquired the net assets of the CBRE Clarion Global Listed Infrastructure Fund, LP (the “Partnership”), via the Fund. The acquisition of net assets of the Partnership was accomplished by an in-kind transfer of all of the Partnership’s net assets amounting to $11,569,962 and a cash transfer of $196,000 by the Partnership in exchange for 1,176,596 shares of the Fund (the “transaction”). The Partnership elected to make a deemed sale election related to the transaction, pursuant to the subscription agreement. SSGA FM contributed initial capital of $4,000,100 to the Fund in exchange for the Fund’s shares. Immediately prior to these subscriptions, the Portfolio did not have any assets or liabilities nor operations or investment activities.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.
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State Street Clarion Global Infrastructure & MLP Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The Fund’s financial statements are prepared in accordance with accounting principles generally accepted accounting principles in the United States of America (“U.S. GAAP”), which require the use of management estimates. Actual results could differ from those estimates. It is reasonably possible that these differences could be material. The following is a summary of the significant accounting policies consistently followed by the Fund in the preparation of its financial statements.
Security valuation – The Fund records its investment in the Portfolio at value. The valuation policies of the Portfolio are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.
The Portfolio’s investments are valued at fair value each day the Portfolio’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day the Portfolio’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of the Portfolio are valued pursuant to policies and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The summary of the inputs used for the Portfolio, as of June 30, 2015, in valuing the Portfolio’s assets carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.
Investment transactions and income recognition – Investment transactions are accounted on the trade date for financial reporting purposes. Dividend income and capital gains, if any, are recognized on the ex-dividend date. Realized gains and losses from the sale of disposition of investments are recorded on the identified cost basis.
Dividends and distributions – Dividends from net investment income are declared and paid quarterly. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
Expenses – Certain expenses, which are directly identifiable are applied to the Fund. Other expenses which cannot be attributed to the Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Fund. Class specific fees are borne by each class.
Federal income taxes – The Fund intends 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 Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of its net taxable income and capital gains, if any, the Fund will not be subject to federal excise tax.
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State Street Clarion Global Infrastructure & MLP Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
At June 30, 2015, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purpose were as follows:
Fund | Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
State Street Clarion Global Infrastructure & MLP Fund | $ | 15,945,431 | $ | – | $ | (26,558 | ) | $ | (26,558 | ) |
3. | Related Party and Other Fees |
The Trust on behalf of the Fund has entered into an Investment Advisory Agreement with the Adviser. For its advisory services to the Fund, the Fund pays the Adviser a management fee at an annual rate of 0.90% of its average daily net assets.
The Adviser has entered into a sub-advisory agreement with the CBRE Clarion Securities LLC (the “Sub-Adviser”) pursuant to which the Sub-Adviser will be responsible for the day-to-day management of any assets of the Fund. The Sub-Adviser receives fees from the Adviser for its services provided to the Fund.
The Adviser, is contractually obligated until April 30, 2016 to waive its management fee and/or to reimburse the Fund for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired Fund fees, and distribution, shareholder servicing, and sub-transfer agency fees) exceed 1.20% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Fund’s Board of Trustees. Fees waived and expenses reimbursed by SSGA FM, pursuant to the agreement, are shown on the Statement of Operations.
Pursuant to the Custody Agreement between the Trust on behalf of the Fund and SSGA FM, State Street serves as the Custodian to the Fund. In compensation for these services, the Fund pays an annual fee of $12,000.
Effective June 1, 2015, SSGA FM serves as Administrator and State Street serves as Sub-Administrator. Pursuant to the Administration Agreement between the Trust on behalf of the Fund and SSGA FM, the Fund pays SSGA FM a fee at an annual rate of 0.05% of the Fund’s average daily net assets. Pursuant to the Sub-Administration Agreement between State Street and SSGA FM, SSGA FM pays State Street an annual fee of $25,000. Prior to June 1, 2015, the Fund paid this fee to State Street directly.
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 Fund. For these services, the Fund pays annual account services fees, activity-based fees, charges related to compliance and regulatory services.
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State Street Clarion Global Infrastructure & MLP Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which the Fund may compensate its distributor (State Street Global Markets LLC or “SSGM”) (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to Fund shareholders (the “Plan”). The Plan calls for payments at an annual rate (based on average daily net assets) of 0.25% of the Fund’s net assets attributable to its Class A shares. Because these fees are paid out of the assets of a Fund attributable to its Class A shares on an ongoing basis, they will increase the cost of your investment and may cost you more over time than paying other types of sales charges. In addition to payments under the Plan, the Fund may reimburse SSGM or its affiliates for payments it makes to financial intermediaries that provide certain administrative, recordkeeping, and account maintenance services. The amount of the reimbursement and the manner in which it is calculated are reviewed by the Trustees periodically.
The Fund also may pay a sub-transfer agent fees of up to 0.20% on Class A and I for recordkeeping, shareholder servicing, or administrative services provided by Financial Intermediaries.
4. | Trustees’ Fees |
Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Fund does not receive compensation from the Fund for his or her service as a Trustee.
Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trusts. Each Trust will bear a pro rata allocation based on the Trust’s average monthly assets. The Co-Chairmen each receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of- pocket expenses in connection with meeting attendance. As of the date of this Report, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.
The Trust’s officers are compensated by the Adviser and its affiliates.
5. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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State Street Clarion Global Infrastructure & MLP Fund
June 30, 2015 (Unaudited)
EXPENSE EXAMPLE
As a shareholder of a fund, you incur (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including management fees and to the extent applicable, distribution (12b-1) or service fees, among others. 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. It 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, 2015 to June 30, 2015
• | Actual Expenses – The first 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”. |
• | Hypothetical Example for Comparison Purposes – The second 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 U.S. 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. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transaction costs, such as sales charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transaction costs were included, your costs would have been higher.
Six Months Ended June 30, 2015
Class A Shares ** | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Actual Fund Return | ||||||||||||
State Street Clarion Global Infrastructure & MLP Fund | $ | 1,000.00 | $ | 1,002.70 | $ | 6.40 | ||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
State Street Clarion Global Infrastructure & MLP Fund | $ | 1,000.00 | $ | 1,017.60 | $ | 7.25 |
* | The calculations are based on expenses incurred in the most recent six month period of the Fund. The Fund’s Class A Shares’ annualized expense ratio as of June 30, 2015, was 1.45%. |
** | Actual period is from commencement of operations 1/21/15. Total return for the hypothetical period is from 1/1/15. |
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State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Other Information — (continued)
June 30, 2015 (Unaudited)
Six Months Ended June 30, 2015
Class I Shares ** | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid Period * | |||||||||
Based on Actual Fund Return | ||||||||||||
State Street Clarion Global Infrastructure & MLP Fund | $ | 1,000.00 | $ | 1,003.70 | $ | 5.30 | ||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
State Street Clarion Global Infrastructure & MLP Fund | $ | 1,000.00 | $ | 1,018.84 | $ | 6.01 |
* | The calculations are based on expenses incurred in the most recent six month period of the Fund. The Fund’s Class I Shares’ annualized expense ratio as of June 30, 2015, was 1.20%. |
** | Actual period is from commencement of operations 1/21/15. Total return for the hypothetical period is from 1/1/15. |
The dollar amounts shown as “Expenses Paid” are 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).
Proxy Voting Policies and Procedures and Record
A description of the Trust’s proxy voting policies and procedures that are used by the Portfolio’s investment adviser to vote proxies relating to the portfolio of securities are available (i) without charge, upon request by calling 1-866-787-2257 (toll free) or (ii) on the website of the U.S. Securities and Exchange Commission (the “SEC”), at www.sec.gov. Information regarding how the investment advisor voted for the prior 12-months period ended June 30 is available by August 31 of each year by calling the same number and on the SEC’s website, at www.sec.gov, and on the Portfolio’s website at www.ssgafunds.com.
Quarterly Portfolio Schedule
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).
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State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Other Information — (continued)
June 30, 2015 (Unaudited)
TRUSTEE CONSIDERATIONS IN APPROVING CONTINUATION OF
INVESTMENT ADVISORY AND SUB-ADVISORY AGREEMENTS1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, an investment advisory agreement between a mutual fund and its investment adviser or sub-adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees, including by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Independent Trustees on the Board of Trustees (the “Board”) of the State Street Master Funds and State Street Institutional Investment Trust (each a “Trust” and together, the “Trusts”), met in Executive Sessions on March 20, 2014, April 14, 2014 and June 19, 2014 to consider a proposal to approve, with respect to each portfolio series of the each Trust (each, a “Fund” and collectively, the “Funds”), the initial approval an investment agreement and sub-advisory agreement for certain Funds and, for certain funds, the continuation of the investment advisory agreement and sub-advisory agreements, as applicable, with SSgA Funds Management, Inc. (the “Adviser”), and, for certain funds, CBRE Clarion Securities, LLC (the “Sub-Adviser”) (the “Advisory Agreements”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and Sub-Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. Such information included, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent provider of investment company data, which includes for each Fund: |
1 Over the course of more than 15 years, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory and sub-advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustee before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans.
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State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Other Information — (continued)
June 30, 2015 (Unaudited)
¡ | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended March 31, 2014, as applicable, to the performance of an appropriate benchmark for the Fund and a universe of other mutual funds with similar investment objectives and policies; |
¡ | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent data provider; |
¡ | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five years, as applicable; and |
¡ | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser and Sub-Adviser, as applicable, including their investment strategies and processes; |
• | Information concerning the allocation of brokerage and the benefits received by the Adviser and Sub-Adviser, as applicable, as a result of brokerage allocation, including information concerning the acquisition of any research through “soft dollar” benefits received in connection with the Funds’ brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds and the assistance provided to the administrator of the Funds by the Adviser in monitoring the effectiveness of such procedures and processes. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Sub-Adviser, and Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds; |
• | A copy of each Code of Ethics adopted by the Adviser and Sub-Adviser, together with information relating to compliance with and the administration of such Codes; |
• | A copy of the Adviser’s and Sub-Adviser’s proxy voting policies and procedures; |
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State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Other Information — (continued)
June 30, 2015 (Unaudited)
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; and |
• | A description of the business continuity and disaster recovery plans of the Adviser and Sub-Adviser. |
Other Relevant Information
• | Information concerning the nature, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, administrator, fund accountant, transfer agent and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreements, Sub-Advisory Agreements and agreements with other service providers of the Funds; |
• | Draft responses to letter dated February 23, 2014 from Joseph P. Barri, LLC (counsel to the Independent Trustees reviewed prior to such date by Independent Counsel, requesting specific information, from each of: |
¡ | The Adviser, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the Funds’ last fiscal year; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the Funds’ last fiscal year; |
¡ | State Street Bank and Trust Company (“State Street”), the administrator, custodian, transfer agent, securities lending agent, and shareholder services for the Funds, with respect to its operations relating to the Funds; and |
¡ | State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under SEC Rule 12b-1; |
• | Information from the Adviser, State Street and the Distributor with respect to State Street Master Funds and State Street Institutional Investment Trust providing any material changes to the previous information supplied in response to the letter dated February 23, 2014 from Joseph P. Barri, LLC prior to the Executive Session of the Board on June 19, 2014. |
• | Excerpts from the Funds’ most recent prospectuses, statements of additional information and respective annual reports for the fiscal year ended December 31, 2013, including (i) the latest prospectus descriptions of each Fund’s investment objectives, strategies and authorized investment techniques and investments; and (ii) the latest Annual Shareholder Report for each Fund, including Portfolio Management Discussion of Performance, as prepared by its portfolio management team, together with a graphic comparison of the performance of each Fund with its benchmark index, for its fiscal year December 31, 2013; |
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State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Other Information — (continued)
June 30, 2015 (Unaudited)
• | Lipper materials dated March 2014, obtained by an Independent Trustee and circulated to the other Independent Trustees and to Independent Counsel, with respect to the Funds for which such materials were then available; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to each Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on June 19, 2014 the Board, including a majority of the Independent Trustees, voted to approve the adoption of, as applicable, and the continuation of, as applicable, the Advisory Agreements and Sub-Advisory Agreements effective July 1, 2014, for an additional year with respect to all Funds.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreements and Sub-Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser and Sub-Adviser, as applicable.
The Board considered the Adviser’s and Sub-Adviser’s, as applicable, management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser and Sub-Adviser, as applicable, in developing and applying proprietary quantitative models for managing various Funds that invest primarily in equity securities. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of credit, interest-rate and currency risks. With respect to those Funds that operate as money market mutual funds, the Board considered the Adviser’s success in maintaining the constant dollar value of each Fund through
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State Street Clarion Global Infrastructure & MLP Fund
Other Information — (continued)
June 30, 2015 (Unaudited)
extraordinary market conditions. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board reviewed the compliance programs of the Adviser, Sub-Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser and Sub-Adviser, as applicable, can be expected to continue to provide, high quality investment management and related services for the Funds.
Fund Performance
The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended March 31, 2014.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each operational Fund is satisfactory or better (a) by comparison to the performance of its peer group funds or (b) after considering steps taken by management to improve the performance of certain Funds.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio (both before and after giving effect to any expense caps), as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of various Funds to limit the total expenses borne by shareholders of such Funds. The Board also considered the fees that Adviser pays to the Sub-Adviser for its services to the applicable Funds.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of similar mutual funds and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by the Adviser and the Affiliated Service Providers in connection with their relationships with the Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Funds and other investment advisory
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State Street Clarion Global Infrastructure & MLP Fund
Other Information — (continued)
June 30, 2015 (Unaudited)
clients, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds.
The Board concluded that the profitability of the Adviser with respect to each of the Funds, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and all Funds as a group, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific Fund or the Funds taken as a whole. The Board concluded that, in light of the current size of each Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with respect to each Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.
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Trustees
William L. Boyan
Gregory A. Ehret
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Investment Adviser and Administrator
SSGA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Investment Sub-Adviser
CBRE Clarion Securities LLC
201 King of Prussia Road, Suite 600
Radnor, PA 19087
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
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSGA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSGA Funds Management, Inc. for investment advisory services.
Before investing, consider the funds investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1-800-997-7327 or visit www.SSGAfunds.com. Read it carefully.
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 | IBG-16228 (C) 2015 State Street Corporation – All Rights |
Not FDIC Insured – No Bank Guarantee – May Lose Value
Table of Contents
Semi-Annual Report
30 June 2015
State Street Institutional Investment Trust
State Street Target Retirement Fund
State Street Target Retirement 2015 Fund
State Street Target Retirement 2020 Fund
State Street Target Retirement 2025 Fund
State Street Target Retirement 2030 Fund
State Street Target Retirement 2035 Fund
State Street Target Retirement 2040 Fund
State Street Target Retirement 2045 Fund
State Street Target Retirement 2050 Fund
State Street Target Retirement 2055 Fund
State Street Target Retirement 2060 Fund
Table of Contents
State Street Institutional Investment Trust
Target Retirement Funds
Semi-Annual Report
June 30, 2015
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5 | ||||
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19 | ||||
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Table of Contents
State Street Target Retirement Series (Unaudited)
Target Retirement Fund, Target Retirement 2015 Fund, Target Retirement 2020 Fund, Target Retirement 2025 Fund, Target Retirement 2030 Fund, Target Retirement 2035 Fund, Target Retirement 2040 Fund, Target Retirement 2045 Fund, Target Retirement 2050 Fund, Target Retirement 2055 Fund and Target Retirement 2060 Fund are referred to individually as a “Fund” and collectively as the “Target Retirement Funds” or the “Funds”.
SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”) invests each Target Retirement Fund into underlying funds according to a proprietary asset allocation strategy. Each Fund’s name refers to the approximate retirement year of the investors for whom the Fund’s asset allocation strategy is intended. As the target date for a Fund approaches, the Adviser will adjust the asset allocation and risk profile of the Fund – its glide path – to what is generally seen to be a more conservative approach to reduce (but not eliminate) risk by increasing the allocation to asset classes that have historically been subject to lower levels of volatility. For example, a Fund with a target retirement date far into the future will typically invest a greater portion of its assets in asset classes with higher risk profiles and the potential for higher returns than a Fund that is intended for investors who are in their retirement years.
State Street Target Retirement Fund (Unaudited)
Asset Allocation as of June 30, 2015 (as a percentage of Net Assets)
Domestic Equity Funds | 19.7 | % | ||
Domestic Fixed Income Funds | 65.4 | % | ||
International Equity Funds | 9.8 | % | ||
Real Estate Funds | 5.0 | % | ||
Short Term Funds | 0.1 | % | ||
Other Assets in Excess of Liabilities | 0.0 | %* | ||
100.0 | % |
State Street Target Retirement 2015 Fund (Unaudited)
Asset Allocation as of June 30, 2015 (as a percentage of Net Assets)
Domestic Equity Funds | 26.5 | % | ||
Domestic Fixed Income Funds | 54.1 | % | ||
International Equity Funds | 14.4 | % | ||
Real Estate Funds | 4.9 | % | ||
Short Term Funds | 0.7 | % | ||
Other Liabilities in Excess of Assets | (0.6 | )% | ||
100.0 | % |
1
Table of Contents
State Street Target Retirement 2020 Fund (Unaudited)
Asset Allocation as of June 30, 2015 (as a percentage of Net Assets)
Domestic Equity Funds | 35.1 | % | ||
Domestic Fixed Income Funds | 41.7 | % | ||
International Equity Funds | 20.4 | % | ||
Real Estate Funds | 2.8 | % | ||
Short Term Funds | 0.1 | % | ||
Other Liabilities in Excess of Assets | (0.1 | )% | ||
100.0 | % |
State Street Target Retirement 2025 Fund (Unaudited)
Asset Allocation as of June 30, 2015 (as a percentage of Net Assets)
Domestic Equity Funds | 42.4 | % | ||
Domestic Fixed Income Funds | 31.4 | % | ||
International Equity Funds | 25.6 | % | ||
Real Estate Funds | 0.3 | % | ||
Short Term Funds | 0.4 | % | ||
Other Liabilities in Excess of Assets | (0.1 | )% | ||
100.0 | % |
State Street Target Retirement 2030 Fund (Unaudited)
Asset Allocation as of June 30, 2015 (as a percentage of Net Assets)
Domestic Equity Funds | 47.2 | % | ||
Domestic Fixed Income Funds | 24.1 | % | ||
International Equity Funds | 28.7 | % | ||
Short Term Funds | 0.1 | % | ||
Other Liabilities in Excess of Assets | (0.1 | )% | ||
100.0 | % |
State Street Target Retirement 2035 Fund (Unaudited)
Asset Allocation as of June 30, 2015 (as a percentage of Net Assets)
Domestic Equity Funds | 50.9 | % | ||
Domestic Fixed Income Funds | 17.6 | % | ||
International Equity Funds | 31.3 | % | ||
Short Term Funds | 0.4 | % | ||
Other Liabilities in Excess of Assets | (0.2 | )% | ||
100.0 | % |
2
Table of Contents
State Street Target Retirement 2040 Fund (Unaudited)
Asset Allocation as of June 30, 2015 (as a percentage of Net Assets)
Domestic Equity Funds | 54.0 | % | ||
Domestic Fixed Income Funds | 12.7 | % | ||
International Equity Funds | 33.2 | % | ||
Short Term Funds | 0.1 | % | ||
Other Assets in Excess of Liabilities | 0.0 | %* | ||
100.0 | % |
State Street Target Retirement 2045 Fund (Unaudited)
Asset Allocation as of June 30, 2015 (as a percentage of Net Assets)
Domestic Equity Funds | 55.8 | % | ||
Domestic Fixed Income Funds | 10.0 | % | ||
International Equity Funds | 34.4 | % | ||
Short Term Funds | 0.3 | % | ||
Other Liabilities in Excess of Assets | (0.5 | )% | ||
100.0 | % |
State Street Target Retirement 2050 Fund (Unaudited)
Asset Allocation as of June 30, 2015 (as a percentage of Net Assets)
Domestic Equity Funds | 55.8 | % | ||
Domestic Fixed Income Funds | 10.0 | % | ||
International Equity Funds | 34.4 | % | ||
Short Term Funds | 0.6 | % | ||
Other Liabilities in Excess of Assets | (0.8 | )% | ||
100.0 | % |
State Street Target Retirement 2055 Fund (Unaudited)
Asset Allocation as of June 30, 2015 (as a percentage of Net Assets)
Domestic Equity Funds | 56.0 | % | ||
Domestic Fixed Income Funds | 10.0 | % | ||
International Equity Funds | 34.5 | % | ||
Short Term Funds | 0.6 | % | ||
Other Liabilities in Excess of Assets | (1.1 | )% | ||
100.0 | % |
3
Table of Contents
State Street Target Retirement 2060 Fund (Unaudited)
Asset Allocation as of June 30, 2015 (as a percentage of Net Assets)
Domestic Equity Funds | 56.7 | % | ||
Domestic Fixed Income Funds | 10.3 | % | ||
International Equity Funds | 34.9 | % | ||
Short Term Funds | 1.5 | % | ||
Other Liabilities in Excess of Assets | (3.4 | )% | ||
100.0 | % |
* | Amount shown represents less than 0.05% of net assets. |
4
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State Street Target Retirement Fund
June 30, 2015 (Unaudited)
Shares | Value | |||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 99.9% |
| |||||||
Domestic Equity – 19.7% |
| |||||||
SPDR Russell Small Cap Completeness ETF | 8,445 | $ | 736,404 | |||||
State Street Equity 500 Index II Portfolio | 358,522 | 3,829,020 | ||||||
|
| |||||||
4,565,424 | ||||||||
|
| |||||||
Domestic Fixed Income – 65.4% |
| |||||||
SPDR Barclays 1-10 Year TIPS ETF | 218,209 | 4,213,616 | ||||||
SPDR Barclays High Yield Bond ETF | 42,412 | 1,629,893 | ||||||
SPDR Barclays Short Term Corporate Bond ETF | 30,472 | 932,443 | ||||||
SPDR Barclays Short Term Treasury ETF | 122,567 | 3,712,554 | ||||||
State Street Aggregate Bond Index Portfolio | 466,415 | 4,682,803 | ||||||
|
| |||||||
15,171,309 | ||||||||
|
| |||||||
International Equity – 9.8% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 239,027 | 2,289,879 | ||||||
|
| |||||||
Real Estate – 5.0% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 25,182 | 1,153,839 | ||||||
�� |
|
| ||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 23,180,451 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 0.1% |
| |||||||
Money Market Fund – 0.1% |
| |||||||
State Street Institutional Liquid Reserve Fund, Premier Class 0.11%(a)(b) | 14,930 | 14,930 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.0%(c) |
| 23,195,381 | ||||||
Other Assets in Excess of | 5,896 | |||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 23,201,277 | |||||
|
|
(a) | Affiliated Funds managed by SSGA Funds Management, Inc. (Note 7). |
(b) | The rate shown is the annualized seven-day yield at period end. |
(c) | Unless otherwise indicated, the values of the investments of the Fund are determined based on Level 1 inputs. |
(d) | Amount shown represents less than 0.05% of net assets. |
See accompanying notes to financial statements.
5
Table of Contents
State Street Target Retirement 2015 Fund
Schedule of Investments
June 30, 2015 (Unaudited)
Shares | Value | |||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 99.9% |
| |||||||
Domestic Equity – 26.5% |
| |||||||
SPDR Russell Small Cap Completeness ETF | 2,125 | $ | 185,300 | |||||
State Street Equity 500 Index II Portfolio | 90,209 | 963,433 | ||||||
|
| |||||||
1,148,733 | ||||||||
|
| |||||||
Domestic Fixed Income – 54.1% |
| |||||||
SPDR Barclays 1-10 Year TIPS ETF | 41,798 | 807,119 | ||||||
SPDR Barclays High Yield Bond ETF | 7,905 | 303,789 | ||||||
SPDR Barclays Short Term Corporate Bond ETF | 1,065 | 32,589 | ||||||
SPDR Barclays Short Term Treasury ETF | 3,951 | 119,676 | ||||||
State Street Aggregate Bond Index Portfolio | 107,497 | 1,079,275 | ||||||
|
| |||||||
2,342,448 | ||||||||
|
| |||||||
International Equity – 14.4% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 65,011 | 622,808 | ||||||
|
| |||||||
Real Estate – 4.9% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 4,693 | 215,033 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 4,329,022 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 0.7% |
| |||||||
Money Market Fund – 0.7% |
| |||||||
State Street Institutional Liquid Reserve Fund, Premiere Class 0.11%(a)(b) | 29,286 | 29,286 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.6%(c) | 4,358,308 | |||||||
Other Liabilities in Excess of | (24,036 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 4,334,272 | |||||
|
|
(a) | Affiliated Funds managed by SSGA Funds Management, Inc. (Note 7). |
(b) | The rate shown is the annualized seven-day yield at period end. |
(c) | Unless otherwise indicated, the values of the investments of the Fund are determined based on Level 1 inputs. |
See accompanying notes to financial statements.
6
Table of Contents
State Street Target Retirement 2020 Fund
Schedule of Investments
June 30, 2015 (Unaudited)
Shares | Value | |||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 100.0% |
| |||||||
Domestic Equity – 35.1% |
| |||||||
SPDR Russell Small Cap Completeness ETF | 41,860 | $ | 3,650,192 | |||||
State Street Equity 500 Index II Portfolio | 1,448,538 | 15,470,384 | ||||||
|
| |||||||
19,120,576 | ||||||||
|
| |||||||
Domestic Fixed Income – 41.7% |
| |||||||
SPDR Barclays 1-10 Year TIPS ETF | 42,903 | 828,457 | ||||||
SPDR Barclays High Yield Bond ETF | 85,773 | 3,296,256 | ||||||
SPDR Barclays Long Term Treasury ETF | 35,968 | 2,457,334 | ||||||
SPDR Barclays TIPS ETF | 91,165 | 5,080,626 | ||||||
State Street Aggregate Bond Index Portfolio | 1,101,437 | 11,058,432 | ||||||
|
| |||||||
22,721,105 | ||||||||
|
| |||||||
International Equity – 20.4% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,158,142 | 11,095,004 | ||||||
|
| |||||||
Real Estate – 2.8% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 32,678 | 1,497,305 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 54,433,990 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 0.1% |
| |||||||
Money Market Fund – 0.1% | ||||||||
State Street Institutional Liquid Reserve Fund, Premier Class 0.11%(a)(b) | 84,973 | 84,973 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.1%(c) |
| 54,518,963 | ||||||
Other Liabilities in Excess of | (52,718 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 54,466,245 | ||||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. (Note 7). |
(b) | The rate shown is the annualized seven-day yield at period end. |
(c) | Unless otherwise indicated, the values of the investments of the Fund are determined based on Level 1 inputs. |
See accompanying notes to financial statements.
7
Table of Contents
State Street Target Retirement 2025 Fund
Schedule of Investments
June 30, 2015 (Unaudited)
Shares | Value | |||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 99.7% |
| |||||||
Domestic Equity – 42.4% |
| |||||||
SPDR Russell Small Cap Completeness ETF | 17,498 | $ | 1,525,826 | |||||
State Street Equity 500 Index II Portfolio | 519,764 | 5,551,079 | ||||||
|
| |||||||
7,076,905 | ||||||||
|
| |||||||
Domestic Fixed Income – 31.4% |
| |||||||
SPDR Barclays High Yield Bond ETF | 19,107 | 734,282 | ||||||
SPDR Barclays Long Term Treasury ETF | 23,030 | 1,573,410 | ||||||
SPDR Barclays TIPS ETF | 10,778 | 600,658 | ||||||
State Street Aggregate Bond Index Portfolio | 232,944 | 2,338,759 | ||||||
|
| |||||||
5,247,109 | ||||||||
|
| |||||||
International Equity – 25.6% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 446,782 | 4,280,171 | ||||||
|
| |||||||
Real Estate – 0.3% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 903 | 41,376 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 16,645,561 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 0.4% |
| |||||||
Money Market Fund – 0.4% |
| |||||||
State Street Institutional Liquid Reserve Fund, Premier Class 0.11%(a)(b) | 62,424 | 62,424 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.1%(c) |
| 16,707,985 | ||||||
Other Liabilities in Excess of | (8,006 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 16,699,979 | ||||||
|
|
(a) | Affiliated Funds managed by SSGA Funds Management, Inc. (Note 7). |
(b) | The rate shown is the annualized seven-day yield at period end. |
(c) | Unless otherwise indicated, the values of the investments of the Fund are determined based on Level 1 inputs. |
See accompanying notes to financial statements.
8
Table of Contents
State Street Target Retirement 2030 Fund
Schedule of Investments
June 30, 2015 (Unaudited)
Shares | Value | |||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 100.0% |
| |||||||
Domestic Equity – 47.2% |
| |||||||
SPDR Russell Small Cap Completeness ETF | 58,277 | $ | 5,081,754 | |||||
State Street Equity 500 Index II Portfolio | 1,493,993 | 15,955,846 | ||||||
|
| |||||||
21,037,600 | ||||||||
|
| |||||||
Domestic Fixed Income – 24.1% |
| |||||||
SPDR Barclays High Yield Bond ETF | 17,027 | 654,348 | ||||||
SPDR Barclays Long Term Treasury ETF | 66,057 | 4,513,014 | ||||||
SPDR Barclays TIPS ETF | 8,500 | 473,705 | ||||||
State Street Aggregate Bond Index Portfolio | 509,591 | 5,116,296 | ||||||
|
| |||||||
10,757,363 | ||||||||
|
| |||||||
International Equity – 28.7% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,337,980 | 12,817,850 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 44,612,813 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 0.1% |
| |||||||
Money Market Fund – 0.1% |
| |||||||
State Street Institutional Liquid Reserve Fund, Premier Class 0.11%(a)(b) | 41,868 | 41,868 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.1%(c) |
| 44,654,681 | ||||||
Other Liabilities in Excess of | (15,862 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 44,638,819 | ||||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. (Note 7). |
(b) | The rate shown is the annualized seven-day yield at period end. |
(c) | Unless otherwise indicated, the values of the investments of the Fund are determined based on Level 1 inputs. |
See accompanying notes to financial statements.
9
Table of Contents
State Street Target Retirement 2035 Fund
Schedule of Investments
June 30, 2015 (Unaudited)
Shares | Value | |||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 99.8% |
| |||||||
Domestic Equity – 50.9% |
| |||||||
SPDR Russell Small Cap Completeness ETF | 16,172 | $ | 1,410,199 | |||||
State Street Equity 500 Index II Portfolio | 361,568 | 3,861,543 | ||||||
|
| |||||||
5,271,742 | ||||||||
|
| |||||||
Domestic Fixed Income – 17.6% |
| |||||||
SPDR Barclays Long Term Treasury ETF | 14,991 | 1,024,185 | ||||||
State Street Aggregate Bond Index Portfolio | 78,984 | 793,000 | ||||||
|
| |||||||
1,817,185 | ||||||||
|
| |||||||
International Equity – 31.3% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 337,984 | 3,237,888 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 10,326,815 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 0.4% |
| |||||||
Money Market Fund – 0.4% |
| |||||||
State Street Institutional Liquid Reserve Fund, Premier Class 0.11%(a)(b) | 42,392 | 42,392 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.2%(c) |
| 10,369,207 | ||||||
Other Liabilities in Excess of | (20,237 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 10,348,970 | ||||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. (Note 7). |
(b) | The rate shown is the annualized seven-day yield at period end. |
(c) | Unless otherwise indicated, the values of the investments of the Fund are determined based on Level 1 inputs. |
See accompanying notes to financial statements.
10
Table of Contents
State Street Target Retirement 2040 Fund
Schedule of Investments
June 30, 2015 (Unaudited)
Shares | Value | |||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 99.9% |
| |||||||
Domestic Equity – 54.0% |
| |||||||
SPDR Russell Small Cap Completeness ETF | 57,464 | $ | 5,010,861 | |||||
State Street Equity 500 Index II Portfolio | 1,105,264 | 11,804,214 | ||||||
|
| |||||||
16,815,075 | ||||||||
|
| |||||||
Domestic Fixed Income – 12.7% |
| |||||||
SPDR Barclays Long Term Treasury ETF | 45,983 | 3,141,559 | ||||||
State Street Aggregate Bond Index Portfolio | 79,095 | 794,109 | ||||||
|
| |||||||
3,935,668 | ||||||||
|
| |||||||
International Equity – 33.2% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,079,735 | 10,343,860 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 31,094,603 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 0.1% |
| |||||||
Money Market Fund – 0.1% |
| |||||||
State Street Institutional Liquid Reserve Fund, Premier Class 0.11%(a)(b) | 17,865 | 17,865 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.0%(c) |
| 31,112,468 | ||||||
Other Assets in Excess of | 12,121 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 31,124,589 | ||||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. (Note 7). |
(b) | The rate shown is the annualized seven-day yield at period end. |
(c) | Unless otherwise indicated, the values of the investments of the Fund are determined based on Level 1 inputs. |
(d) | Amount shown represents less than 0.05% of net asset. |
See accompanying notes to financial statements.
11
Table of Contents
State Street Target Retirement 2045 Fund
Schedule of Investments
June 30, 2015 (Unaudited)
Shares | Value | |||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 100.2% |
| |||||||
Domestic Equity – 55.8% |
| |||||||
SPDR Russell Small Cap Completeness ETF | 11,888 | $ | 1,036,634 | |||||
State Street Equity 500 Index II Portfolio | 213,185 | 2,276,813 | ||||||
|
| |||||||
3,313,447 | ||||||||
|
| |||||||
Domestic Fixed Income – 10.0% |
| |||||||
SPDR Barclays Long Term Treasury ETF | 8,685 | 593,359 | ||||||
|
| |||||||
International Equity – 34.4% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 212,778 | 2,038,409 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 5,945,215 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 0.3% |
| |||||||
Money Market Fund – 0.3% |
| |||||||
State Street Institutional Liquid Reserve Fund, Premier Class 0.11%(a)(b) | 16,884 | 16,884 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.5%(c) |
| 5,962,099 | ||||||
Other Liabilities in Excess of | (29,064 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 5,933,035 | ||||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. (Note 7). |
(b) | The rate shown is the annualized seven-day yield at period end. |
(c) | Unless otherwise indicated, the values of the investments of the Fund are determined based on Level 1 inputs. |
See accompanying notes to financial statements.
12
Table of Contents
State Street Target Retirement 2050 Fund
Schedule of Investments
June 30, 2015 (Unaudited)
Shares | Value | |||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 100.2% |
| |||||||
Domestic Equity – 55.8% |
| |||||||
SPDR Russell Small Cap Completeness ETF | 8,674 | $ | 756,373 | |||||
State Street Equity 500 Index II Portfolio | 155,705 | 1,662,931 | ||||||
|
| |||||||
2,419,304 | ||||||||
|
| |||||||
Domestic Fixed Income – 10.0% |
| |||||||
SPDR Barclays Long Term Treasury ETF | 6,337 | 432,944 | ||||||
|
| |||||||
International Equity – 34.4% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 155,408 | 1,488,806 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 4,341,054 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 0.6% |
| |||||||
Money Market Fund – 0.6% |
| |||||||
State Street Institutional Liquid Reserve Fund, Premier Class 0.11%(a)(b) | 25,201 | 25,201 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.8%(c) |
| 4,366,255 | ||||||
Other Liabilities in Excess of | (32,708 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 4,333,547 | |||||
|
|
(a) | Affiliated funds managed by SSGA Funds Management, Inc. (Note 7). |
(b) | The rate shown is the annualized seven-day yield at period end. |
(c) | Unless otherwise indicated, the values of the investments of the Fund are determined based on Level 1 inputs. |
See accompanying notes to financial statements.
13
Table of Contents
State Street Target Retirement 2055 Fund
Schedule of Investments
June 30, 2015 (Unaudited)
Shares | Value | |||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 100.5% |
| |||||||
Domestic Equity – 56.0% |
| |||||||
SPDR Russell Small Cap Completeness ETF | 5,274 | $ | 459,893 | |||||
State Street Equity 500 Index II Portfolio | 94,648 | 1,010,842 | ||||||
|
| |||||||
1,470,735 | ||||||||
|
| |||||||
Domestic Fixed Income – 10.0% |
| |||||||
SPDR Barclays Long Term Treasury ETF | 3,854 | 263,305 | ||||||
|
| |||||||
International Equity – 34.5% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 94,466 | 904,987 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 2,639,027 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 0.6% |
| |||||||
Money Market Fund – 0.6% |
| |||||||
State Street Institutional Liquid Reserve Fund, Premier Class 0.11%(a)(b) | 16,620 | 16,620 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.1%(c) |
| 2,655,647 | ||||||
Other Liabilities in Excess of | (28,327 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 2,627,320 | |||||
|
|
(a) | Affiliated Funds managed by SSGA Funds Management, Inc. (Note 7). |
(b) | The rate shown is the annualized seven-day yield at period end. |
(c) | Unless otherwise indicated, the values of the investments of the Fund are determined based on Level 1 inputs. |
See accompanying notes to financial statements.
14
Table of Contents
State Street Target Retirement 2060 Fund
Schedule of Investments
June 30, 2015 (Unaudited)
Shares | Value | |||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS(a) – 101.9% |
| |||||||
Domestic Equity – 56.7% |
| |||||||
SPDR Russell Small Cap Completeness ETF | 1,316 | $ | 114,755 | |||||
State Street Equity 500 Index II Portfolio | 23,636 | 252,429 | ||||||
|
| |||||||
367,184 | ||||||||
|
| |||||||
Domestic Fixed Income – 10.3% | ||||||||
SPDR Barclays Long Term Treasury ETF | 972 | 66,407 | ||||||
|
| |||||||
International Equity – 34.9% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 23,592 | 226,013 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 659,604 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 1.5% |
| |||||||
Money Market Fund – 1.5% |
| |||||||
State Street Institutional Liquid Reserve Fund, Premier Class 0.11%(a)(b) | 9,819 | 9,819 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 103.4%(c) |
| 669,423 | ||||||
Other Liabilities in Excess of | (21,523 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 647,900 | ||||||
|
|
(a) | Affiliated Funds managed by SSGA Funds Management, Inc. (Note 7). |
(b) | The rate shown is the annualized seven-day yield at period end. |
(c) | Unless otherwise indicated, the values of the investments of the Fund are determined based on Level 1 inputs. |
See accompanying notes to financial statements.
15
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
June 30, 2015 (Unaudited)
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | |||||||||||||
Assets | ||||||||||||||||
Investments in securities of affiliated funds, at value | $ | 23,195,381 | $ | 4,358,308 | $ | 54,518,963 | $ | 16,707,985 | ||||||||
Receivable for investments sold | 178,143 | 56,743 | 1,170,051 | 273,147 | ||||||||||||
Receivable for fund shares sold | 436 | 40,551 | 83,289 | 230,674 | ||||||||||||
Dividends receivable from affiliated funds (Note 7) | 16,752 | 3,453 | 28,854 | 3,949 | ||||||||||||
Receivable from Adviser (Note 4) | 76,834 | 86,560 | 99,169 | 84,331 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 23,467,546 | 4,545,615 | 55,900,326 | 17,300,086 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | 174,477 | 101,965 | 1,281,366 | 487,534 | ||||||||||||
Payable for fund shares repurchased | 5,202 | 11 | 34,130 | 1,912 | ||||||||||||
Advisory fees payable (Note 4) | 2,851 | 431 | 6,613 | 1,832 | ||||||||||||
Custodian fees payable (Note 4) | 27,698 | 27,685 | 27,645 | 27,585 | ||||||||||||
Transfer agent fees payable | 20,871 | 45,071 | 45,038 | 41,332 | ||||||||||||
Professional fees payable | 22,295 | 22,295 | 22,296 | 22,296 | ||||||||||||
Registration and filing fees payable | 520 | 764 | 1,103 | 3,476 | ||||||||||||
Administration fees payable (Note 4) | 5,420 | 4,703 | 6,915 | 5,267 | ||||||||||||
Trustees’ fees payable | 2,204 | 2,210 | 2,223 | 2,268 | ||||||||||||
Distribution fees payable (Note 4) | 154 | 222 | 315 | 254 | ||||||||||||
Accrued expenses and other liabilities | 4,577 | 5,986 | 6,437 | 6,351 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 266,269 | 211,343 | 1,434,081 | 600,107 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 23,201,277 | $ | 4,334,272 | $ | 54,466,245 | $ | 16,699,979 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in capital | $ | 23,394,674 | $ | 4,327,977 | $ | 55,186,887 | $ | 16,787,042 | ||||||||
Undistributed net investment income | 98,390 | 15,526 | 200,102 | 48,832 | ||||||||||||
Accumulated net realized gain | 25,275 | 17,852 | 100,805 | 69,508 | ||||||||||||
Net unrealized appreciation (depreciation) on investments | (317,062 | ) | (27,083 | ) | (1,021,549 | ) | (205,403 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 23,201,277 | $ | 4,334,272 | $ | 54,466,245 | $ | 16,699,979 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class A | ||||||||||||||||
Net Assets | $ | 422,057 | $ | 611,150 | $ | 854,379 | $ | 686,433 | ||||||||
Shares of beneficial interest outstanding | 41,667 | 60,186 | 83,333 | 66,667 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value and redemption price per share | $ | 10.13 | $ | 10.15 | $ | 10.25 | $ | 10.30 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Maximum Sales Charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Maximum offering price per share | $ | 10.61 | $ | 10.63 | $ | 10.73 | $ | 10.79 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Net Assets | $ | 553,282 | $ | 723,757 | $ | 1,722,260 | $ | 2,438,767 | ||||||||
Shares of beneficial interest outstanding | 54,557 | 71,188 | 167,823 | 236,660 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Offering, net asset value, and redemption price per share | $ | 10.14 | $ | 10.17 | $ | 10.26 | $ | 10.30 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Net Assets | $ | 22,225,938 | $ | 2,999,365 | $ | 51,889,606 | $ | 13,574,779 | ||||||||
Shares of beneficial interest outstanding | 2,192,060 | 295,069 | 5,058,246 | 1,316,844 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Offering, net asset value, and redemption price per share | $ | 10.14 | $ | 10.16 | $ | 10.26 | $ | 10.31 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investments in securities of affiliated funds, at cost | $ | 23,512,443 | $ | 4,385,391 | $ | 55,540,512 | $ | 16,913,388 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
16
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
June 30, 2015 (Unaudited)
State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | |||||||||||||
Assets | ||||||||||||||||
Investments in securities of affiliated funds, at value | $ | 44,654,681 | $ | 10,369,207 | $ | 31,112,468 | $ | 5,962,099 | ||||||||
Receivable for investments sold | 718,100 | 148,300 | 425,600 | 69,030 | ||||||||||||
Receivable for fund shares sold | 117,323 | 120,157 | 173,877 | 65 | ||||||||||||
Dividends receivable from affiliated funds (Note 7) | 8,326 | 1,255 | 1,172 | 2 | ||||||||||||
Receivable from Adviser (Note 4) | 81,062 | 62,897 | 67,122 | 61,824 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 45,579,492 | 10,701,816 | 31,780,239 | 6,093,020 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | 831,575 | 262,628 | 543,862 | 71,855 | ||||||||||||
Payable for fund shares repurchased | 10,220 | 1,385 | 21,623 | 1,245 | ||||||||||||
Advisory fees payable (Note 4) | 5,483 | 1,180 | 3,867 | 714 | ||||||||||||
Custodian fees payable (Note 4) | 27,607 | 27,606 | 27,670 | 27,770 | ||||||||||||
Transfer agent fees payable | 27,567 | 21,422 | 21,389 | 21,242 | ||||||||||||
Professional fees payable | 22,295 | 22,293 | 22,295 | 22,297 | ||||||||||||
Registration and filing fees payable | 2,044 | 2,865 | 1,478 | 1,937 | ||||||||||||
Administration fees payable (Note 4) | 6,413 | 4,918 | 5,775 | 4,659 | ||||||||||||
Trustees’ fees payable | 2,237 | 2,253 | 2,222 | 2,230 | ||||||||||||
Distribution fees payable (Note 4) | – | 192 | 192 | 127 | ||||||||||||
Accrued expenses and other liabilities | 5,232 | 6,104 | 5,277 | 5,909 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 940,673 | 352,846 | 655,650 | 159,985 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 44,638,819 | $ | 10,348,970 | $ | 31,124,589 | $ | 5,933,035 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in capital | $ | 45,264,691 | $ | 10,372,986 | $ | 31,537,096 | $ | 5,990,907 | ||||||||
Undistributed net investment income | 109,714 | 20,109 | 57,787 | 9,799 | ||||||||||||
Accumulated net realized gain | 71,246 | 46,553 | 50,869 | 13,579 | ||||||||||||
Net unrealized appreciation (depreciation) on investments | (806,832 | ) | (90,678 | ) | (521,163 | ) | (81,250 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 44,638,819 | $ | 10,348,970 | $ | 31,124,589 | $ | 5,933,035 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class A | ||||||||||||||||
Net Assets | $ | 686,590 | $ | 517,076 | $ | 515,844 | $ | 341,625 | ||||||||
Shares of beneficial interest outstanding | 66,667 | 50,000 | 50,000 | 33,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value and redemption price per share | $ | 10.30 | $ | 10.34 | $ | 10.32 | $ | 10.25 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Maximum Sales Charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Maximum offering price per share | $ | 10.79 | $ | 10.83 | $ | 10.81 | $ | 10.73 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Net Assets | $ | 1,790,563 | $ | 1,156,213 | $ | 909,816 | $ | 514,194 | ||||||||
Shares of beneficial interest outstanding | 173,679 | 111,720 | 88,095 | 50,110 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Offering, net asset value, and redemption price per share | $ | 10.31 | $ | 10.35 | $ | 10.33 | $ | 10.26 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Net Assets | $ | 42,161,666 | $ | 8,675,681 | $ | 29,698,929 | $ | 5,077,216 | ||||||||
Shares of beneficial interest outstanding | 4,088,533 | 837,667 | 2,874,439 | 495,048 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Offering, net asset value, and redemption price per share | $ | 10.31 | $ | 10.36 | $ | 10.33 | $ | 10.26 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investments in securities of affiliated funds, at cost | $ | 45,461,513 | $ | 10,459,885 | $ | 31,633,631 | $ | 6,043,349 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
17
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
June 30, 2015 (Unaudited)
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | ||||||||||
Assets | ||||||||||||
Investments in securities of affiliated funds, at value | $ | 4,366,255 | $ | 2,655,647 | $ | 669,423 | ||||||
Receivable for investments sold | 54,247 | 32,269 | 3,069 | |||||||||
Receivable for fund shares sold | 153 | – | – | |||||||||
Dividends receivable from affiliated funds (Note 7) | 2 | 1 | 3 | |||||||||
Receivable from Adviser (Note 4) | 65,677 | 65,224 | 56,905 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 4,486,334 | 2,753,141 | 729,400 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payable for investments purchased | 68,086 | 42,198 | 12,515 | |||||||||
Payable for fund shares repurchased | 972 | 547 | 12 | |||||||||
Advisory fees payable (Note 4) | 523 | 316 | 82 | |||||||||
Custodian fees payable (Note 4) | 27,775 | 27,775 | 27,787 | |||||||||
Transfer agent fees payable | 21,035 | 21,038 | 7,770 | |||||||||
Professional fees payable | 22,296 | 22,296 | 22,296 | |||||||||
Registration and filing fees payable | 925 | 600 | 87 | |||||||||
Administration fees payable (Note 4) | 4,530 | 4,460 | 4,379 | |||||||||
Trustees’ fees payable | 2,210 | 2,203 | 2,193 | |||||||||
Distribution fees payable (Note 4) | 63 | 63 | 63 | |||||||||
Accrued expenses and other liabilities | 4,372 | 4,325 | 4,316 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 152,787 | 125,821 | 81,500 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 4,333,547 | $ | 2,627,320 | $ | 647,900 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Paid-in capital | $ | 4,388,564 | $ | 2,651,560 | $ | 638,657 | ||||||
Undistributed net investment income | 7,055 | 4,187 | 1,032 | |||||||||
Accumulated net realized gain | 12,823 | 8,149 | 5,756 | |||||||||
Net unrealized appreciation (depreciation) on investments | (74,895 | ) | (36,576 | ) | 2,455 | |||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 4,333,547 | $ | 2,627,320 | $ | 647,900 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net Assets | $ | 170,473 | $ | 170,406 | $ | 170,372 | ||||||
Shares of beneficial interest outstanding | 16,667 | 16,667 | 16,667 | |||||||||
|
|
|
|
|
| |||||||
Net asset value and redemption price per share | $ | 10.23 | $ | 10.22 | $ | 10.22 | ||||||
|
|
|
|
|
| |||||||
Maximum Sales Charge | 4.50 | % | 4.50 | % | 4.50 | % | ||||||
Maximum offering price per share | $ | 10.71 | $ | 10.70 | $ | 10.70 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net Assets | $ | 290,597 | $ | 196,084 | $ | 170,675 | ||||||
Shares of beneficial interest outstanding | 28,386 | 19,155 | 16,675 | |||||||||
|
|
|
|
|
| |||||||
Offering, net asset value, and redemption price per share | $ | 10.24 | $ | 10.24 | $ | 10.24 | ||||||
|
|
|
|
|
| |||||||
Class K | ||||||||||||
Net Assets | $ | 3,872,477 | $ | 2,260,830 | $ | 306,853 | ||||||
Shares of beneficial interest outstanding | 378,402 | 220,967 | 29,985 | |||||||||
|
|
|
|
|
| |||||||
Offering, net asset value, and redemption price per share | $ | 10.23 | $ | 10.23 | $ | 10.23 | ||||||
|
|
|
|
|
| |||||||
Investments in securities of affiliated funds, at cost | $ | 4,441,150 | $ | 2,692,223 | $ | 666,968 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
18
Table of Contents
State Street Institutional Investment Trust
Six Months Ended June 30, 2015 (Unaudited)
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | |||||||||||||
Income | ||||||||||||||||
Dividend income from affiliated funds (Note 7) | $ | 99,713 | $ | 16,585 | $ | 203,043 | $ | 51,480 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Advisory fees (Note 4) | 3,980 | 790 | 9,357 | 2,979 | ||||||||||||
Administration fees (Note 4) | 22,403 | 21,621 | 23,686 | 22,100 | ||||||||||||
Custodian fees (Note 4) | 11,637 | 11,637 | 11,637 | 11,637 | ||||||||||||
Distribution fee (Note 4) | ||||||||||||||||
Class A | 527 | 744 | 1,070 | 860 | ||||||||||||
Trustees’ fees and expenses (Note 5) | 7,439 | 7,439 | 7,439 | 7,439 | ||||||||||||
Registration and filing fees | 18,547 | 1,486 | 2,800 | 3,477 | ||||||||||||
Professional fees | 19,537 | 19,537 | 19,537 | 19,537 | ||||||||||||
Transfer agent fees (Note 4) | 37,767 | 37,767 | 37,787 | 27,760 | ||||||||||||
Printing fees | 668 | 661 | 1,710 | 668 | ||||||||||||
Insurance fees | 2,755 | 2,758 | 2,764 | 2,784 | ||||||||||||
Miscellaneous expenses | 1,116 | 992 | 1,115 | 1,115 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 126,376 | 105,432 | 118,902 | 100,356 | ||||||||||||
Less: Expenses waived/reimbursed by the Adviser (Note 4) | (125,053 | ) | (104,373 | ) | (115,961 | ) | (97,708 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 1,323 | 1,059 | 2,941 | 2,648 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income | $ | 98,390 | $ | 15,526 | $ | 200,102 | $ | 48,832 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Affiliated funds (Note 7) | 21,904 | 9,826 | 92,926 | 60,033 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | (309,995 | ) | (16,816 | ) | (1,016,149 | ) | (198,686 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total realized and unrealized gain (loss) | (288,091 | ) | (6,990 | ) | (923,223 | ) | (138,653 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (189,701 | ) | $ | 8,536 | $ | (723,121 | ) | $ | (89,821 | ) | |||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
19
Table of Contents
State Street Institutional Investment Trust
Statements of Operations — (continued)
Six Months Ended June 30, 2015 (Unaudited)
State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | |||||||||||||
Income | ||||||||||||||||
Dividend income from affiliated funds (Note 7) | $ | 115,136 | $ | 21,890 | $ | 60,565 | $ | 10,428 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Advisory fees (Note 4) | 7,604 | 1,888 | 5,333 | 1,012 | ||||||||||||
Administration fees (Note 4) | 23,276 | 21,850 | 22,728 | 21,688 | ||||||||||||
Custodian fees (Note 4) | 11,637 | 11,637 | 11,637 | 11,637 | ||||||||||||
Distribution fee (Note 4) | ||||||||||||||||
Class A | 859 | 647 | 645 | 427 | ||||||||||||
Trustees’ fees and expenses (Note 5) | 7,439 | 7,439 | 7,439 | 7,439 | ||||||||||||
Registration and filing fees | 2,415 | 20,188 | 19,187 | 19,419 | ||||||||||||
Professional fees | 19,537 | 19,537 | 19,537 | 19,537 | ||||||||||||
Transfer agent fees (Note 4) | 22,755 | 22,755 | 22,755 | 22,755 | ||||||||||||
Printing fees | 668 | 668 | 668 | 668 | ||||||||||||
Insurance fees | 2,769 | 2,777 | 2,764 | 2,767 | ||||||||||||
Miscellaneous expenses | 1,115 | 1,117 | 1,116 | 1,115 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 100,074 | 110,503 | 113,809 | 108,464 | ||||||||||||
Less: Expenses waived/reimbursed by the Adviser (Note 4) | (94,652 | ) | (108,722 | ) | (111,031 | ) | (107,835 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 5,422 | 1,781 | 2,778 | 629 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income | $ | 109,714 | $ | 20,109 | $ | 57,787 | $ | 9,799 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Affiliated funds (Note 7) | 64,691 | 42,865 | 48,836 | 12,392 | ||||||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | (808,497 | ) | (92,853 | ) | (526,582 | ) | (86,079 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total realized and unrealized gain (loss) | (743,806 | ) | (49,988 | ) | (477,746 | ) | (73,687 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (634,092 | ) | $ | (29,879 | ) | $ | (419,959 | ) | $ | (63,888 | ) | ||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
20
Table of Contents
State Street Institutional Investment Trust
Statements of Operations — (continued)
Six Months Ended June 30, 2015 (Unaudited)
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | ||||||||||
Income | ||||||||||||
Dividend income from affiliated funds (Note 7) | $ | 7,557 | $ | 4,581 | $ | 1,305 | ||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Advisory fees (Note 4) | 721 | 449 | 150 | |||||||||
Administration fees (Note 4) | 21,622 | 21,553 | 21,472 | |||||||||
Custodian fees (Note 4) | 11,637 | 11,637 | 11,637 | |||||||||
Distribution fee (Note 4) | ||||||||||||
Class A | 213 | 213 | 213 | |||||||||
Trustees’ fees and expenses (Note 5) | 7,439 | 7,439 | 7,439 | |||||||||
Registration and filing fees | 18,724 | 18,509 | 18,168 | |||||||||
Professional fees | 19,537 | 19,537 | 19,537 | |||||||||
Transfer agent fees (Note 4) | 22,755 | 22,755 | 9,483 | |||||||||
Printing fees | 223 | 223 | 668 | |||||||||
Insurance fees | 2,802 | 2,755 | 2,750 | |||||||||
Miscellaneous expenses | 1,115 | 1,116 | 1,115 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 106,788 | 106,186 | 92,632 | |||||||||
Less: Expenses waived/reimbursed by the Adviser (Note 4) | (106,286 | ) | (105,792 | ) | (92,359 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 502 | 394 | 273 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income | $ | 7,055 | $ | 4,187 | $ | 1,032 | ||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Affiliated funds (Note 7) | 11,974 | 7,299 | 4,876 | |||||||||
Change in net unrealized appreciation (depreciation) on: | ||||||||||||
Investments | (77,028 | ) | (38,708 | ) | 287 | |||||||
|
|
|
|
|
| |||||||
Total realized and unrealized gain (loss) | (65,054 | ) | (31,409 | ) | 5,163 | |||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (57,999 | ) | $ | (27,222 | ) | $ | 6,195 | ||||
|
|
|
|
|
|
See accompanying notes to financial statements.
21
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | |||||||||||||||
Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 98,390 | $ | 7,577 | $ | 15,526 | $ | 10,948 | ||||||||
Net realized gain (loss) on investments | 21,904 | 5,878 | 9,826 | 14,292 | ||||||||||||
Change in net unrealized appreciation (depreciation) on investments | (309,995 | ) | (7,067 | ) | (16,816 | ) | (10,267 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (189,701 | ) | 6,388 | 8,536 | 14,973 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (1,400 | ) | – | (2,993 | ) | ||||||||||
Class I | – | (1,667 | ) | – | (3,366 | ) | ||||||||||
Class K | – | (6,970 | ) | – | (10,826 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (10,037 | ) | – | (17,185 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (8 | ) | – | (6 | ) | ||||||||||
Class I | – | (8 | ) | – | (6 | ) | ||||||||||
Class K | – | (31 | ) | – | (17 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (47 | ) | – | (29 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | – | (10,084 | ) | – | (17,214 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) from Capital Share Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 416,668 | 19,092 | 583,334 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | – | 416,668 | 19,092 | 583,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 131,937 | 416,666 | 133,253 | 583,333 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | 131,937 | 416,666 | 133,253 | 583,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 21,605,598 | 1,625,168 | 1,535,869 | 2,428,746 | ||||||||||||
Reinvestment of distributions | – | 5,118 | – | 7,179 | ||||||||||||
Shares redeemed | (740,343 | ) | (66,138 | ) | (272,806 | ) | (690,023 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | 20,865,255 | 1,564,148 | 1,263,063 | 1,745,902 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase from Capital share transactions | 20,997,192 | 2,397,482 | 1,415,408 | 2,912,569 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 20,807,491 | 2,393,786 | 1,423,944 | 2,910,328 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 2,393,786 | – | 2,910,328 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 23,201,277 | $ | 2,393,786 | $ | 4,334,272 | $ | 2,910,328 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income | $ | 98,390 | $ | – | $ | 15,526 | $ | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Changes in Shares: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 41,667 | 1,852 | 58,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | – | 41,667 | 1,852 | 58,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 12,891 | 41,666 | 12,855 | 58,333 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 12,891 | 41,666 | 12,855 | 58,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 2,109,094 | 161,439 | 148,267 | 240,505 | ||||||||||||
Reinvestment of distributions | – | 507 | – | 709 | ||||||||||||
Shares redeemed | (72,426 | ) | (6,554 | ) | (26,563 | ) | (67,849 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 2,036,668 | 155,392 | 121,704 | 173,365 | ||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operation |
See accompanying notes to financial statements.
22
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | |||||||||||||||
Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 200,102 | $ | 16,017 | $ | 48,832 | $ | 15,220 | ||||||||
Net realized gain (loss) on investments | 92,926 | 20,500 | 60,033 | 23,854 | ||||||||||||
Change in net unrealized appreciation (depreciation) on investments | (1,016,149 | ) | (5,400 | ) | (198,686 | ) | (6,717 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (723,121 | ) | 31,117 | (89,821 | ) | 32,357 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (2,183 | ) | – | (2,207 | ) | ||||||||||
Class I | – | (2,708 | ) | – | (2,633 | ) | ||||||||||
Class K | – | (23,668 | ) | – | (24,759 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (28,559 | ) | – | (29,599 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (8 | ) | – | – | |||||||||||
Class I | – | (8 | ) | – | – | |||||||||||
Class K | – | (63 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (79 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | – | (28,638 | ) | – | (29,599 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) from Capital Share Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 833,334 | – | 666,668 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | – | 833,334 | – | 666,668 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 878,219 | 833,333 | 1,790,725 | 666,666 | ||||||||||||
Shares redeemed | – | – | (12,025 | ) | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | 878,219 | 833,333 | 1,778,700 | 666,666 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 48,623,074 | 6,398,928 | 9,808,357 | 5,872,425 | ||||||||||||
Reinvestment of distributions | – | 20,590 | – | 21,786 | ||||||||||||
Shares redeemed | (2,400,591 | ) | – | (1,749,395 | ) | (278,165 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | 46,222,483 | 6,419,518 | 8,058,962 | 5,616,046 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase from Capital share transactions | 47,100,702 | 8,086,185 | 9,837,662 | 6,949,380 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 46,377,581 | 8,088,664 | 9,747,841 | 6,952,138 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 8,088,664 | – | 6,952,138 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 54,466,245 | $ | 8,088,664 | $ | 16,699,979 | $ | 6,952,138 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income | $ | 200,102 | $ | – | $ | 48,832 | $ | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Changes in Shares: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 83,333 | – | 66,667 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | – | 83,333 | – | 66,667 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 84,490 | 83,333 | 171,147 | 66,666 | ||||||||||||
Shares redeemed | – | – | (1,153 | ) | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 84,490 | 83,333 | 169,994 | 66,666 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 4,659,962 | 629,480 | 933,886 | 576,019 | ||||||||||||
Reinvestment of distributions | – | 2,017 | – | 2,125 | ||||||||||||
Shares redeemed | (233,213 | ) | – | (168,048 | ) | (27,138 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 4,426,749 | 631,497 | 765,838 | 551,006 | ||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operation |
See accompanying notes to financial statements.
23
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | |||||||||||||||
Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 109,714 | $ | 13,928 | $ | 20,109 | $ | 9,220 | ||||||||
Net realized gain (loss) on investments | 64,691 | 24,817 | 42,865 | 16,757 | ||||||||||||
Change in net unrealized appreciation (depreciation) on investments | (808,497 | ) | 1,665 | (92,853 | ) | 2,175 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (634,092 | ) | 40,410 | (29,879 | ) | 28,152 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (4,160 | ) | – | (2,195 | ) | ||||||||||
Class I | – | (4,580 | ) | – | (2,515 | ) | ||||||||||
Class K | – | (23,450 | ) | – | (17,579 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (32,190 | ) | – | (22,289 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | – | – | – | ||||||||||||
Class I | – | – | – | – | ||||||||||||
Class K | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | – | (32,190 | ) | – | (22,289 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) from Capital Share Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 666,668 | – | 500,000 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | – | 666,668 | – | 500,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 1,121,469 | 666,666 | 652,435 | 500,000 | ||||||||||||
Shares redeemed | – | – | (2,525 | ) | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | 1,121,469 | 666,666 | 649,910 | 500,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 40,702,518 | 3,587,243 | 6,552,801 | 3,243,252 | ||||||||||||
Reinvestment of distributions | – | 18,530 | – | 14,813 | ||||||||||||
Shares redeemed | (1,147,154 | ) | (351,249 | ) | (1,048,330 | ) | (39,460 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | 39,555,364 | 3,254,524 | 5,504,471 | 3,218,605 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase from Capital share transactions | 40,676,833 | 4,587,858 | 6,154,381 | 4,218,605 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 40,042,741 | 4,596,078 | 6,124,502 | 4,224,468 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 4,596,078 | – | 4,224,468 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 44,638,819 | $ | 4,596,078 | $ | 10,348,970 | $ | 4,224,468 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income | $ | 109,714 | $ | – | $ | 20,109 | $ | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Changes in Shares: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 66,667 | – | 50,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | – | 66,667 | – | 50,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 107,013 | 66,666 | 61,961 | 50,000 | ||||||||||||
Shares redeemed | – | – | (241 | ) | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 107,013 | 66,666 | 61,720 | 50,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 3,879,827 | 351,981 | 622,255 | 317,876 | ||||||||||||
Reinvestment of distributions | – | 1,808 | – | 1,442 | ||||||||||||
Shares redeemed | (110,848 | ) | (34,235 | ) | (100,064 | ) | (3,842 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 3,768,979 | 319,554 | 522,191 | 315,476 | ||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operation |
See accompanying notes to financial statements.
24
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | |||||||||||||||
Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 57,787 | $ | 8,993 | $ | 9,799 | $ | 5,855 | ||||||||
Net realized gain (loss) on investments | 48,836 | 16,878 | 12,392 | 11,479 | ||||||||||||
Change in net unrealized appreciation (depreciation) on investments | (526,582 | ) | 5,419 | (86,079 | ) | 4,829 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (419,959 | ) | 31,290 | (63,888 | ) | 22,163 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (4,395 | ) | – | (5,183 | ) | ||||||||||
Class I | – | (4,715 | ) | – | (5,397 | ) | ||||||||||
Class K | – | (14,728 | ) | – | (5,567 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (23,838 | ) | – | (16,147 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | – | – | – | ||||||||||||
Class I | – | – | – | – | ||||||||||||
Class K | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | – | (23,838 | ) | – | (16,147 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) from Capital Share Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 500,000 | – | 333,334 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from Capital share transactions | – | 500,000 | – | 333,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 426,008 | 500,000 | 203,348 | 333,333 | ||||||||||||
Shares redeemed | (25,166 | ) | – | (28,132 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | 400,842 | 500,000 | 175,216 | 333,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 29,225,569 | 1,506,928 | 4,906,716 | 333,333 | ||||||||||||
Reinvestment of distributions | – | 9,763 | – | – | ||||||||||||
Shares redeemed | (606,006 | ) | – | (91,025 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | 28,619,563 | 1,516,691 | 4,815,691 | 333,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase from Capital share transactions | 29,020,405 | 2,516,691 | 4,990,907 | 1,000,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 28,600,446 | 2,524,143 | 4,927,019 | 1,006,016 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 2,524,143 | – | 1,006,016 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 31,124,589 | $ | 2,524,143 | $ | 5,933,035 | $ | 1,006,016 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income | $ | 57,787 | $ | – | $ | 9,799 | $ | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Changes in Shares: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 50,000 | – | 33,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | – | 50,000 | – | 33,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 40,498 | 50,000 | 19,444 | 33,333 | ||||||||||||
Shares redeemed | (2,403 | ) | – | (2,667 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 38,095 | 50,000 | 16,777 | 33,333 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 2,783,140 | 148,319 | 470,489 | 33,333 | ||||||||||||
Reinvestment of distributions | – | 953 | – | – | ||||||||||||
Shares redeemed | (57,973 | ) | – | (8,774 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 2,725,167 | 149,272 | 461,715 | 33,333 | ||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operation |
See accompanying notes to financial statements.
25
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | |||||||||||||||
Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||||||||||
Operations: | ||||||||||||||||
Net investment income | $ | 7,055 | $ | 2,871 | $ | 4,187 | $ | 2,873 | ||||||||
Net realized gain (loss) on investments | 11,974 | 6,022 | 7,299 | 6,022 | ||||||||||||
Change in net unrealized appreciation (depreciation) on investments | (77,028 | ) | 2,133 | (38,708 | ) | 2,132 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from operations | (57,999 | ) | 11,026 | (27,222 | ) | 11,027 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (2,548 | ) | – | (2,549 | ) | ||||||||||
Class I | – | (2,653 | ) | – | (2,653 | ) | ||||||||||
Class K | – | (2,738 | ) | – | (2,738 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (7,939 | ) | – | (7,940 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (35 | ) | – | (35 | ) | ||||||||||
Class I | – | (35 | ) | – | (35 | ) | ||||||||||
Class K | – | (35 | ) | – | (35 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (105 | ) | – | (105 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | – | (8,044 | ) | – | (8,045 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) from Capital Share Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 166,668 | – | 166,668 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from Capital share transactions | – | 166,668 | – | 166,668 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 122,209 | 166,666 | 25,886 | 166,666 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | 122,209 | 166,666 | 25,886 | 166,666 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 3,904,059 | 166,666 | 2,184,777 | 166,666 | ||||||||||||
Reinvestment of distributions | – | – | – | – | ||||||||||||
Shares redeemed | (137,704 | ) | – | (59,103 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase from Capital share transactions | 3,766,355 | 166,666 | 2,125,674 | 166,666 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total increase from Capital share transactions | 3,888,564 | 500,000 | 2,151,560 | 500,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets | 3,830,565 | 502,982 | 2,124,338 | 502,982 | ||||||||||||
Net Assets | ||||||||||||||||
Beginning of period | 502,982 | – | 502,982 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
End of period | $ | 4,333,547 | $ | 502,982 | $ | 2,627,320 | $ | 502,982 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income | $ | 7,055 | $ | – | $ | 4,187 | $ | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Changes in Shares: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 16,667 | – | 16,667 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | – | 16,667 | – | 16,667 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 11,720 | 16,666 | 2,489 | 16,666 | ||||||||||||
Shares redeemed | – | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 11,720 | 16,666 | 2,489 | 16,666 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 375,041 | 16,667 | 210,033 | 16,667 | ||||||||||||
Reinvestment of distributions | – | – | – | – | ||||||||||||
Shares redeemed | (13,306 | ) | – | (5,733 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in shares | 361,735 | 16,667 | 204,300 | 16,667 | ||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operation |
See accompanying notes to financial statements.
26
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2060 Fund | ||||||||
Six Months Ended June 30, 2015 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||
Increase (Decrease) in Net Assets Resulting from: | ||||||||
Operations: | ||||||||
Net investment income | $ | 1,032 | $ | 2,880 | ||||
Net realized gain (loss) on investments | 4,876 | 5,990 | ||||||
Change in net unrealized appreciation (depreciation) on investments | 287 | 2,168 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from operations | 6,195 | 11,038 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Class A | – | (2,538 | ) | |||||
Class I | – | (2,643 | ) | |||||
Class K | – | (2,728 | ) | |||||
|
|
|
| |||||
Total distributions from net investment income | – | (7,909 | ) | |||||
|
|
|
| |||||
Net realized gain on investments | ||||||||
Class A | – | (27 | ) | |||||
Class I | – | (27 | ) | |||||
Class K | – | (27 | ) | |||||
|
|
|
| |||||
Total distributions from net realized gain on investments | – | (81 | ) | |||||
|
|
|
| |||||
Total distributions | – | (7,990 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) from Capital Share Transactions: | ||||||||
Class A | ||||||||
Shares sold | – | 166,668 | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from Capital share transactions | – | 166,668 | ||||||
|
|
|
| |||||
Class I | ||||||||
Shares sold | 92 | 166,666 | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase from Capital share transactions | 92 | 166,666 | ||||||
|
|
|
| |||||
Class K | ||||||||
Shares sold | 161,264 | 166,666 | ||||||
Reinvestment of distributions | – | – | ||||||
Shares redeemed | (22,699 | ) | – | |||||
|
|
|
| |||||
Net increase from Capital share transactions | 138,565 | 166,666 | ||||||
|
|
|
| |||||
Total increase from Capital share transactions | 138,657 | 500,000 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets | 144,852 | 503,048 | ||||||
Net Assets | ||||||||
Beginning of period | 503,048 | – | ||||||
|
|
|
| |||||
End of period | $ | 647,900 | $ | 503,048 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income | $ | 1,032 | $ | – | ||||
|
|
|
| |||||
Changes in Shares: | ||||||||
Class A | ||||||||
Shares sold | – | 16,667 | ||||||
|
|
|
| |||||
Net increase (decrease) in shares | – | 16,667 | ||||||
|
|
|
| |||||
Class I | ||||||||
Shares sold | 9 | 16,666 | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) in shares | 9 | 16,666 | ||||||
|
|
|
| |||||
Class K | ||||||||
Shares sold | 15,513 | 16,667 | ||||||
Reinvestment of distributions | – | – | ||||||
Shares redeemed | (2,195 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) in shares | 13,318 | 16,667 | ||||||
|
|
|
|
* | Commencement of operation |
See accompanying notes to financial statements.
27
Table of Contents
State Street Institutional Investment Trust
Selected data for a Class A Share of beneficial interest outstanding throughout each period is presented below:
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | State Street Target Retirement 2020 Fund | ||||||||||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.03 | $ | 10.00 | $ | 10.03 | $ | 10.00 | $ | 10.14 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net investment income(a) | 0.04 | 0.05 | 0.04 | 0.05 | 0.03 | 0.05 | ||||||||||||||||||
Net realized and unrealized gain on investments | 0.06 | 0.01 | 0.08 | 0.03 | 0.08 | 0.12 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.10 | 0.06 | 0.12 | 0.08 | 0.11 | 0.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.03 | ) | – | (0.05 | ) | – | (0.03 | ) | |||||||||||||||
Net realized gains | – | (0.00 | )(b) | – | (0.00 | )(b) | – | (0.00 | )(b) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | – | (0.03 | ) | – | (0.05 | ) | – | (0.03 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 0.10 | 0.03 | 0.12 | 0.03 | 0.11 | 0.14 | ||||||||||||||||||
Net Asset Value, End of Period | $ | 10.13 | $ | 10.03 | $ | 10.15 | $ | 10.03 | $ | 10.25 | $ | 10.14 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | 1.00 | % | 0.64 | % | 1.20 | % | 0.81 | % | 1.08 | % | 1.66 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 422 | $ | 418 | $ | 611 | $ | 585 | $ | 854 | $ | 845 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses(d) | 4.36 | % | 21.65 | % | 7.09 | % | 15.05 | % | 1.52 | % | 9.36 | % | ||||||||||||
Net expenses(d) | 0.27 | % | 0.62 | % | 0.29 | % | 0.62 | % | 0.27 | % | 0.62 | % | ||||||||||||
Net investment income(d) | 0.75 | % | 1.82 | % | 0.73 | % | 2.06 | % | 0.63 | % | 2.32 | % | ||||||||||||
Portfolio turnover rate(e) | 7 | % | 8 | % | 15 | % | 39 | % | 11 | % | 5 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
28
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | ||||||||||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.16 | $ | 10.00 | $ | 10.15 | $ | 10.00 | $ | 10.17 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net investment income(a) | 0.03 | 0.06 | 0.02 | 0.05 | 0.01 | 0.06 | ||||||||||||||||||
Net realized and unrealized gain on investments | 0.11 | 0.13 | 0.13 | 0.16 | 0.16 | 0.15 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.14 | 0.19 | 0.15 | 0.21 | 0.17 | 0.21 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.03 | ) | – | (0.06 | ) | – | (0.04 | ) | |||||||||||||||
Net realized gains | – | – | – | – | – | – | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | �� | – | (0.03 | ) | – | (0.06 | ) | – | (0.04 | ) | ||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 0.14 | 0.16 | 0.15 | 0.15 | 0.17 | 0.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 10.30 | $ | 10.16 | $ | 10.30 | $ | 10.15 | $ | 10.34 | $ | 10.17 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(b) | 1.38 | % | 1.93 | % | 1.48 | % | 2.12 | % | 1.67 | % | 2.13 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 686 | $ | 677 | $ | 687 | $ | 676 | $ | 517 | $ | 508 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses(c) | 2.13 | % | 10.90 | % | 1.95 | % | 12.85 | % | 3.58 | % | 17.04 | % | ||||||||||||
Net expenses(c) | 0.29 | % | 0.62 | % | 0.29 | % | 0.62 | % | 0.29 | % | 0.62 | % | ||||||||||||
Net investment income(c) | 0.49 | % | 2.38 | % | 0.32 | % | 2.05 | % | 0.22 | % | 2.53 | % | ||||||||||||
Portfolio turnover rate(d) | 19 | % | 13 | % | 8 | % | 18 | % | 17 | % | 7 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
29
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a Class A Share of beneficial interest outstanding throughout each period is presented below:
State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | State Street Target Retirement 2050 Fund | ||||||||||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.13 | $ | 10.00 | $ | 10.06 | $ | 10.00 | $ | 10.06 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net investment income(a) | 0.01 | 0.06 | 0.01 | 0.05 | 0.01 | 0.05 | ||||||||||||||||||
Net realized and unrealized gain on investments | 0.18 | 0.16 | 0.18 | 0.17 | 0.16 | 0.16 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.19 | 0.22 | 0.19 | 0.22 | 0.17 | 0.21 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.09 | ) | – | (0.16 | ) | – | (0.15 | ) | |||||||||||||||
Net realized gains | – | – | – | – | – | (0.00 | )(b) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | – | (0.09 | ) | – | (0.16 | ) | – | (0.15 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 0.19 | 0.13 | 0.19 | 0.06 | 0.17 | 0.06 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 10.32 | $ | 10.13 | $ | 10.25 | $ | 10.06 | $ | 10.23 | $ | 10.06 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | 1.88 | % | 2.17 | % | 1.89 | % | 2.14 | % | 1.69 | % | 2.13 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 516 | $ | 506 | $ | 342 | $ | 335 | $ | 170 | $ | 168 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses(d) | 3.50 | % | 18.29 | % | 9.75 | % | 30.47 | % | 17.32 | % | 59.96 | % | ||||||||||||
Net expenses(d) | 0.28 | % | 0.62 | % | 0.27 | % | 0.62 | % | 0.28 | % | 0.62 | % | ||||||||||||
Net investment income(d) | 0.16 | % | 2.28 | % | 0.14 | % | 2.07 | % | 0.13 | % | 2.03 | % | ||||||||||||
Portfolio turnover rate(e) | 7 | % | 5 | % | 10 | % | 5 | % | 13 | % | 7 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
30
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | |||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||
Per Share Operating Performance: | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.06 | $ | 10.00 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Operations: | ||||||||||||||||
Net investment income(a) | 0.01 | 0.05 | 0.01 | 0.05 | ||||||||||||
Net realized and unrealized gain on investments | 0.15 | 0.16 | 0.15 | 0.16 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.16 | 0.21 | 0.16 | 0.21 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions From: | ||||||||||||||||
Net investment income | – | (0.15 | ) | – | (0.15 | ) | ||||||||||
Net realized gains | – | (0.00 | )(b) | – | (0.00 | )(b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | – | (0.15 | ) | – | (0.15 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets | 0.16 | 0.06 | 0.16 | 0.06 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value, End of Period | $ | 10.22 | $ | 10.06 | $ | 10.22 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return(c) | 1.59 | % | 2.13 | % | 1.59 | % | 2.12 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (000s) | $ | 170 | $ | 168 | $ | 170 | $ | 168 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Gross expenses(d) | 19.71 | % | 59.87 | % | 31.61 | % | 59.73 | % | ||||||||
Net expenses(d) | 0.28 | % | 0.62 | % | 0.27 | % | 0.62 | % | ||||||||
Net investment income(d) | 0.15 | % | 2.03 | % | 0.15 | % | 2.04 | % | ||||||||
Portfolio turnover rate(e) | 14 | % | 7 | % | 25 | % | 7 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
31
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a Class I Share of beneficial interest outstanding throughout each period is presented below:
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | State Street Target Retirement 2020 Fund | ||||||||||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.03 | $ | 10.00 | $ | 10.03 | $ | 10.00 | $ | 10.14 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net investment income(a) | 0.05 | 0.05 | 0.05 | 0.06 | 0.05 | 0.06 | ||||||||||||||||||
Net realized and unrealized gain on investments | 0.06 | 0.02 | 0.09 | 0.03 | 0.07 | 0.11 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.11 | 0.07 | 0.14 | 0.09 | 0.12 | 0.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.04 | ) | – | (0.06 | ) | – | (0.03 | ) | |||||||||||||||
Net realized gains | – | (0.00 | )(b) | – | (0.00 | )(b) | – | (0.00 | )(b) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | – | (0.04 | ) | – | (0.06 | ) | – | (0.03 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 0.11 | 0.03 | 0.14 | 0.03 | 0.12 | 0.14 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 10.14 | $ | 10.03 | $ | 10.17 | $ | 10.03 | $ | 10.26 | $ | 10.14 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | 1.10 | % | 0.70 | % | 1.40 | % | 0.87 | % | 1.18 | % | 1.72 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 553 | $ | 418 | $ | 724 | $ | 585 | $ | 1,722 | $ | 845 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses(d) | 3.98 | % | 21.40 | % | 6.76 | % | 14.80 | % | 1.20 | % | 9.11 | % | ||||||||||||
Net expenses(d) | 0.02 | % | 0.37 | % | 0.02 | % | 0.37 | % | 0.01 | % | 0.37 | % | ||||||||||||
Net investment income(d) | 1.03 | % | 2.07 | % | 1.01 | % | 2.31 | % | 0.95 | % | 2.57 | % | ||||||||||||
Portfolio turnover rate(e) | 7 | % | 8 | % | 15 | % | 39 | % | 11 | % | 5 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
32
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | ||||||||||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.16 | $ | 10.00 | $ | 10.15 | $ | 10.00 | $ | 10.17 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net investment income(a) | 0.04 | 0.06 | 0.03 | 0.06 | 0.03 | 0.07 | ||||||||||||||||||
Net realized and unrealized gain on investments | 0.10 | 0.14 | 0.13 | 0.16 | 0.15 | 0.15 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.14 | 0.20 | 0.16 | 0.22 | 0.18 | 0.22 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.04 | ) | – | (0.07 | ) | – | (0.05 | ) | |||||||||||||||
Net realized gains | – | – | – | – | – | – | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | – | (0.04 | ) | – | (0.07 | ) | – | (0.05 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 0.14 | 0.16 | 0.16 | 0.15 | 0.18 | 0.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 10.30 | $ | 10.16 | $ | 10.31 | $ | 10.15 | $ | 10.35 | $ | 10.17 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(b) | 1.38 | % | 1.99 | % | 1.55 | % | 2.18 | % | 1.77 | % | 2.20 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 2,439 | $ | 677 | $ | 1,791 | $ | 676 | $ | 1,156 | $ | 508 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses(c) | 1.76 | % | 10.65 | % | 1.55 | % | 12.59 | % | 3.21 | % | 16.79 | % | ||||||||||||
Net expenses(c) | 0.01 | % | 0.37 | % | 0.02 | % | 0.37 | % | 0.02 | % | 0.37 | % | ||||||||||||
Net investment income(c) | 0.85 | % | 2.63 | % | 0.68 | % | 2.30 | % | 0.57 | % | 2.78 | % | ||||||||||||
Portfolio turnover rate(d) | 19 | % | 13 | % | 8 | % | 18 | % | 17 | % | 7 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
33
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a Class I Share of beneficial interest outstanding throughout each period is presented below:
State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | State Street Target Retirement 2050 Fund | ||||||||||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.13 | $ | 10.00 | $ | 10.06 | $ | 10.00 | $ | 10.06 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net investment income(a) | 0.02 | 0.06 | 0.02 | 0.06 | 0.01 | 0.06 | ||||||||||||||||||
Net realized and unrealized gain on investments | 0.18 | 0.16 | 0.18 | 0.16 | 0.17 | 0.16 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.20 | 0.22 | 0.20 | 0.22 | 0.18 | 0.22 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.09 | ) | – | (0.16 | ) | – | (0.16 | ) | |||||||||||||||
Net realized gains | – | – | – | – | – | (0.00 | )(b) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | – | (0.09 | ) | – | (0.16 | ) | – | (0.16 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 0.20 | 0.13 | 0.20 | 0.06 | 0.18 | 0.06 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 10.33 | $ | 10.13 | $ | 10.26 | $ | 10.06 | $ | 10.24 | $ | 10.06 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | 1.97 | % | 2.23 | % | 1.99 | % | 2.20 | % | 1.79 | % | 2.20 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 910 | $ | 506 | $ | 514 | $ | 335 | $ | 291 | $ | 168 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses(d) | 3.08 | % | 18.04 | % | 9.21 | % | 30.22 | % | 16.33 | % | 59.71 | % | ||||||||||||
Net expenses(d) | 0.02 | % | 0.37 | % | 0.02 | % | 0.37 | % | 0.02 | % | 0.37 | % | ||||||||||||
Net investment income(d) | 0.48 | % | 2.53 | % | 0.44 | % | 2.32 | % | 0.44 | % | 2.28 | % | ||||||||||||
Portfolio turnover rate(e) | 7 | % | 5 | % | 10 | % | 5 | % | 13 | % | 7 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
34
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | |||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||
Per Share Operating Performance: | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.06 | $ | 10.00 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Operations: | ||||||||||||||||
Net investment income(a) | 0.02 | 0.06 | 0.02 | 0.06 | ||||||||||||
Net realized and unrealized gain on investments | 0.16 | 0.16 | 0.16 | 0.16 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.18 | 0.22 | 0.18 | 0.22 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions From: | ||||||||||||||||
Net investment income | – | (0.16 | ) | – | (0.16 | ) | ||||||||||
Net realized gains | – | (0.00 | )(b) | – | (0.00 | )(b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | – | (0.16 | ) | – | (0.16 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets | 0.18 | 0.06 | 0.18 | 0.06 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value, End of Period | $ | 10.24 | $ | 10.06 | $ | 10.24 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return(c) | 1.79 | % | 2.20 | % | 1.79 | % | 2.18 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (000s) | $ | 196 | $ | 168 | $ | 171 | $ | 168 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Gross expenses(d) | 19.23 | % | 59.62 | % | 31.36 | % | 59.48 | % | ||||||||
Net expenses(d) | 0.03 | % | 0.37 | % | 0.02 | % | 0.37 | % | ||||||||
Net investment income(d) | 0.39 | % | 2.28 | % | 0.40 | % | 2.29 | % | ||||||||
Portfolio turnover rate(e) | 14 | % | 7 | % | 25 | % | 7 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
35
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a Class K Share of beneficial interest outstanding throughout each period is presented below:
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | State Street Target Retirement 2020 Fund | ||||||||||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.03 | $ | 10.00 | $ | 10.03 | $ | 10.00 | $ | 10.13 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net investment income(a) | 0.06 | 0.06 | 0.05 | 0.06 | 0.06 | 0.04 | ||||||||||||||||||
Net realized and unrealized gain on investments | 0.05 | 0.02 | 0.08 | 0.03 | 0.07 | 0.13 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.11 | 0.08 | 0.13 | 0.09 | 0.13 | 0.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.05 | ) | – | (0.06 | ) | – | (0.04 | ) | |||||||||||||||
Net realized gains | – | (0.00 | )(b) | – | (0.00 | )(b) | – | (0.00 | )(b) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | – | (0.05 | ) | – | (0.06 | ) | – | (0.04 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 0.11 | 0.03 | 0.13 | 0.03 | 0.13 | 0.13 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 10.14 | $ | 10.03 | $ | 10.16 | $ | 10.03 | $ | 10.26 | $ | 10.13 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | 1.10 | % | 0.75 | % | 1.30 | % | 0.92 | % | 1.28 | % | 1.67 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 22,226 | $ | 1,558 | $ | 2,999 | $ | 1,740 | $ | 51,890 | $ | 6,399 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses(d) | 1.44 | % | 25.06 | % | 6.52 | % | 18.68 | % | 0.59 | % | 11.13 | % | ||||||||||||
Net expenses(d) | 0.02 | % | 0.17 | % | 0.02 | % | 0.17 | % | 0.01 | % | 0.17 | % | ||||||||||||
Net investment income(d) | 1.14 | % | 2.59 | % | 1.05 | % | 2.50 | % | 1.08 | % | 1.62 | % | ||||||||||||
Portfolio turnover rate(e) | 7 | % | 8 | % | 15 | % | 39 | % | 11 | % | 5 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
36
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
State Street Target Retirement 2025 Fund | State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | ||||||||||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.16 | $ | 10.00 | $ | 10.15 | $ | 10.00 | $ | 10.17 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net investment income(a) | 0.04 | 0.05 | 0.04 | 0.07 | 0.03 | 0.03 | ||||||||||||||||||
Net realized and unrealized gain on investments | 0.11 | 0.15 | 0.12 | 0.15 | 0.16 | 0.20 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.15 | 0.20 | 0.16 | 0.22 | 0.19 | 0.23 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.04 | ) | – | (0.07 | ) | – | (0.06 | ) | |||||||||||||||
Net realized gains | – | – | – | – | – | – | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | – | (0.04 | ) | – | (0.07 | ) | – | (0.06 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 0.15 | 0.16 | 0.16 | 0.15 | 0.19 | 0.17 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 10.31 | $ | 10.16 | $ | 10.31 | $ | 10.15 | $ | 10.36 | $ | 10.17 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(b) | 1.48 | % | 2.04 | % | 1.58 | % | 2.23 | % | 1.87 | % | 2.25 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 13,575 | $ | 5,597 | $ | 42,162 | $ | 3,243 | $ | 8,676 | $ | 3,208 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses(c) | 1.65 | % | 11.75 | % | 0.60 | % | 14.05 | % | 2.85 | % | 17.89 | % | ||||||||||||
Net expenses(c) | 0.03 | % | 0.17 | % | 0.03 | % | 0.17 | % | 0.03 | % | 0.17 | % | ||||||||||||
Net investment income(c) | 0.84 | % | 2.19 | % | 0.73 | % | 2.64 | % | 0.55 | % | 1.28 | % | ||||||||||||
Portfolio turnover rate(d) | 19 | % | 13 | % | 8 | % | 18 | % | 17 | % | 7 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
37
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a Class K Share of beneficial interest outstanding throughout each period is presented below:
State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | State Street Target Retirement 2050 Fund | ||||||||||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||||||||
Per Share Operating Performance: | ||||||||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.13 | $ | 10.00 | $ | 10.06 | $ | 10.00 | $ | 10.06 | $ | 10.00 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Investment Operations: | ||||||||||||||||||||||||
Net investment income(a) | 0.03 | 0.05 | 0.03 | 0.06 | 0.03 | 0.06 | ||||||||||||||||||
Net realized and unrealized gain on investments | 0.17 | 0.18 | 0.17 | 0.17 | 0.14 | 0.16 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.20 | 0.23 | 0.20 | 0.23 | 0.17 | 0.22 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Less Distributions From: | ||||||||||||||||||||||||
Net investment income | – | (0.10 | ) | – | (0.17 | ) | – | (0.16 | ) | |||||||||||||||
Net realized gains | – | – | – | – | – | (0.00 | )(b) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total distributions | – | (0.10 | ) | – | (0.17 | ) | – | (0.16 | ) | |||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net increase in net assets | 0.20 | 0.13 | 0.20 | 0.06 | 0.17 | 0.06 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net Asset Value, End of Period | $ | 10.33 | $ | 10.13 | $ | 10.26 | $ | 10.06 | $ | 10.23 | $ | 10.06 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(c) | 1.97 | % | 2.28 | % | 1.99 | % | 2.25 | % | 1.69 | % | 2.25 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (000s) | $ | 29,699 | $ | 1,512 | $ | 5,077 | $ | 335 | $ | 3,872 | $ | 168 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Gross expenses(d) | 0.95 | % | 20.53 | % | 4.50 | % | 30.02 | % | 6.10 | % | 59.52 | % | ||||||||||||
Net expenses(d) | 0.02 | % | 0.17 | % | 0.01 | % | 0.17 | % | 0.02 | % | 0.17 | % | ||||||||||||
Net investment income(d) | 0.55 | % | 1.90 | % | 0.52 | % | 2.53 | % | 0.52 | % | 2.48 | % | ||||||||||||
Portfolio turnover rate(e) | 7 | % | 5 | % | 10 | % | 5 | % | 13 | % | 7 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
38
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | |||||||||||||||
Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | Six Months Ended 6/30/15 (Unaudited) | For the Period 9/30/14* - 12/31/14 | |||||||||||||
Per Share Operating Performance: | ||||||||||||||||
Net Asset Value, Beginning of Period | $ | 10.06 | $ | 10.00 | $ | 10.06 | $ | 10.00 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Investment Operations: | ||||||||||||||||
Net investment income(a) | 0.03 | 0.06 | 0.02 | 0.06 | ||||||||||||
Net realized and unrealized gain on investments | 0.14 | 0.16 | 0.15 | 0.16 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total from investment operations | 0.17 | 0.22 | 0.17 | 0.22 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Less Distributions From: | ||||||||||||||||
Net investment income | – | (0.16 | ) | – | (0.16 | ) | ||||||||||
Net realized gains | – | (0.00 | )(b) | – | (0.00 | )(b) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions | – | (0.16 | ) | – | (0.16 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase in net assets | 0.17 | 0.06 | 0.17 | 0.06 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Asset Value, End of Period | $ | 10.23 | $ | 10.06 | $ | 10.23 | $ | 10.06 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total Return(c) | 1.69 | % | 2.25 | % | 1.69 | % | 2.24 | % | ||||||||
Ratios and Supplemental Data: | ||||||||||||||||
Net Assets, End of Period (000s) | $ | 2,261 | $ | 168 | $ | 307 | $ | 168 | ||||||||
Ratios to average net assets: | ||||||||||||||||
Gross operating expenses(d) | 10.00 | % | 59.42 | % | 30.21 | % | 59.28 | % | ||||||||
Net operating expenses(d) | 0.02 | % | 0.17 | % | 0.02 | % | 0.17 | % | ||||||||
Net investment income(d) | 0.51 | % | 2.48 | % | 0.44 | % | 2.49 | % | ||||||||
Portfolio turnover rate(e) | 14 | % | 7 | % | 25 | % | 7 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount is less than $0.005 per share. |
(c) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates of each Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
39
Table of Contents
State Street Institutional Investment Trust
June 30, 2015 (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 thirty-two (32) series and corresponding classes, each of which have the same rights and privileges, including the same voting rights. The Target Retirement Funds are authorized to issue an unlimited number of shares, with no par value. Each Target Retirement Fund operates as a diversified investment company. Each Target Retirement Fund has registered Class C shares. Each Target Retirement Fund’s Class C shares were not operational at June 30, 2015. The financial statements herein relate to the following Funds:
Fund | Classes | Commencement of Operations: | ||
State Street Target Retirement Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | ||
State Street Target Retirement 2015 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | ||
State Street Target Retirement 2020 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | ||
State Street Target Retirement 2025 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | ||
State Street Target Retirement 2030 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | ||
State Street Target Retirement 2035 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | ||
State Street Target Retirement 2040 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | ||
State Street Target Retirement 2045 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | ||
State Street Target Retirement 2050 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | ||
State Street Target Retirement 2055 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | ||
State Street Target Retirement 2060 Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 |
40
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
The Target Retirement Funds retained SSGA Funds Management, Inc. (the “Adviser”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), as their investment adviser. The Adviser manages the Funds using a proprietary asset allocation strategy. The Funds are “fund of funds” that invest in a combination of mutual funds and exchange traded funds (“ETFs”) sponsored by the Adviser or its affiliates (“Underlying Funds”). The Underlying Funds may invest in a wide variety of asset classes, including equity and fixed-income securities of issuers anywhere in the world, including emerging markets investments, and including, among others, high yield, commodity, and real estate investments. The Underlying Funds may invest in obligations of domestic U.S. issuers, non-U.S. issuers, or both.
Class A shares are available to the general public for investment through transaction-based financial intermediaries. Class A shares impose a 4.50% sales charge (as a percentage of offering price) and may be subject to a 1% CDSC if no initial sales charge was paid at the time of purchase as part of an investment of $1,000,000 or more and the shares are redeemed within 18 months of purchase. Class I and K shares are sold without a sales charge and only to certain eligible investors.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with generally accepted accounting principles in the United States of America (“U.S. GAAP”) which requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services Investment Companies (“ASC 946”).
Security valuation – Each Fund’s investments are valued at fair value each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Fund’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the valuation in a current sale and may not reflect an actual market price. The investments of each Fund are valued pursuant to policies and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for determining the fair value of investments. The members of the Committee are approved by the Board.
41
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
Valuation techniques used to value each Fund’s investments by major category are as follows:
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value per share or unit. Money market funds generally value portfolio investments using the amortized cost method as set forth in Rule 2a-7 under the 1940 Act and in accordance with Funds’ procedures to stabilize net asset value. |
• | Equity investments (including registered investment companies that are exchange-traded or closed-end funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
In the event prices or quotations are not readily available or that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference between the prices used to calculate a Funds’ net asset value and the prices used by the Funds’ underlying indices, which in turn could result in a difference between the Funds’ performance and the performance of the Funds’ underlying indices. Various inputs are used in determining the value of Funds’ investments. These inputs are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes. The Funds value its assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. The Funds had no transfers between levels for period ended June 30, 2015.
42
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
The following table summarizes the value of each of the Funds’ investments according to the fair value hierarchy as of June 30, 2015:
Fund | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
State Street Target Retirement Fund | $ | 23,195,381 | $ | – | $ | – | $ | 23,195,381 | ||||||||
State Street Target Retirement 2015 Fund | 4,358,308 | – | – | 4,358,308 | ||||||||||||
State Street Target Retirement 2020 Fund | 54,518,963 | – | – | 54,518,963 | ||||||||||||
State Street Target Retirement 2025 Fund | 16,707,985 | – | – | 16,707,985 | ||||||||||||
State Street Target Retirement 2030 Fund | 44,654,681 | – | – | 44,654,681 | ||||||||||||
State Street Target Retirement 2035 Fund | 10,369,207 | – | – | 10,369,207 | ||||||||||||
State Street Target Retirement 2040 Fund | 31,112,468 | – | – | 31,112,468 | ||||||||||||
State Street Target Retirement 2045 Fund | 5,962,099 | – | – | 5,962,099 | ||||||||||||
State Street Target Retirement 2050 Fund | 4,366,255 | – | – | 4,366,255 | ||||||||||||
State Street Target Retirement 2055 Fund | 2,655,647 | – | – | 2,655,647 | ||||||||||||
State Street Target Retirement 2060 Fund | 669,423 | – | – | 669,423 |
Investment Transactions and Income Recognition – Investment transactions are recorded on the trade date for financial reporting purposes. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates, net of any foreign taxes withheld at source. Interest income, if any, is recorded daily on an accrual basis. Realized gains and losses from the sale of disposition of investments are recorded on the identified cost basis.
Dividends and distributions – Dividends from net investment income, if any, are declared and paid at least annually. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
Expenses – Certain expenses, which are directly identifiable to a specific Fund are applied to that Fund. Other expenses which cannot be attributed to a specific Fund are allocated in such a manner as deemed equitable, taking into consideration the nature and type of expense and the relative net assets of the Funds. Class specific fees are borne by each class.
Federal income taxes – Each Fund intends 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.
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At June 30, 2015 gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purpose were as follows:
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | ||||||||||||
State Street Target Retirement Fund | $ | 23,512,443 | $ | 11,450 | $ | (328,512 | ) | $ | (317,062 | ) | ||||||
State Street Target Retirement 2015 Fund | 4,385,391 | 3,994 | (31,077 | ) | (27,083 | ) | ||||||||||
State Street Target Retirement 2020 Fund | 55,540,512 | 3,447 | (1,024,996 | ) | (1,021,549 | ) | ||||||||||
State Street Target Retirement 2025 Fund | 16,913,388 | 13,927 | (219,330 | ) | (205,403 | ) | ||||||||||
State Street Target Retirement 2030 Fund | 45,461,513 | 5,060 | (811,892 | ) | (806,832 | ) | ||||||||||
State Street Target Retirement 2035 Fund | 10,459,885 | 18,547 | (109,225 | ) | (90,678 | ) | ||||||||||
State Street Target Retirement 2040 Fund | 31,633,631 | 3,165 | (524,328 | ) | (521,163 | ) | ||||||||||
State Street Target Retirement 2045 Fund | 6,043,349 | 3,838 | (85,088 | ) | (81,250 | ) | ||||||||||
State Street Target Retirement 2050 Fund | 4,441,150 | – | (74,895 | ) | (74,895 | ) | ||||||||||
State Street Target Retirement 2055 Fund | 2,692,223 | 1,758 | (38,334 | ) | (36,576 | ) | ||||||||||
State Street Target Retirement 2060 Fund | 666,968 | 7,053 | (4,598 | ) | 2,455 |
In accordance with provisions surrounding income taxes, management has analyzed the Funds’ tax positions taken on federal and state income tax returns for tax returns since the Funds’ inception on September 30, 2014, and has concluded that no provision for income tax is required in the Funds’ financial statements.
3. | Securities Transactions |
Purchases and sales of investments for the period ended June 30, 2015 were as follows:
Fund | Purchases | Sales | ||||||
State Street Target Retirement Fund | $ | 22,236,475 | $ | 1,133,490 | ||||
State Street Target Retirement 2015 Fund | 1,946,426 | 487,229 | ||||||
State Street Target Retirement 2020 Fund | 51,743,693 | 4,426,073 | ||||||
State Street Target Retirement 2025 Fund | 12,206,365 | 2,337,455 | ||||||
State Street Target Retirement 2030 Fund | 43,334,778 | 2,538,311 | ||||||
State Street Target Retirement 2035 Fund | 7,526,561 | 1,344,899 | ||||||
State Street Target Retirement 2040 Fund | 30,652,029 | 1,574,846 | ||||||
State Street Target Retirement 2045 Fund | 5,447,108 | 413,666 | ||||||
State Street Target Retirement 2050 Fund | 4,333,545 | 411,657 | ||||||
State Street Target Retirement 2055 Fund | 2,448,878 | 262,672 | ||||||
State Street Target Retirement 2060 Fund | 317,844 | 148,471 |
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4. | Related Party and Other Fees |
The Trust on behalf of the Funds has entered into an Investment Advisory Agreement with the Adviser. For its advisory services to the Funds, each Fund pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
The Adviser is contractually obligated until April 30, 2016, to waive its management fee and/or to reimburse the Funds for expenses to the extent that total expenses, inclusive of acquired fund fees and expenses, but exclusive of nonrecurring account fees, extraordinary expenses, distribution, shareholder servicing, and sub- transfer agency fees exceed 0.17% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Board. Fees waived or expenses reimbursed by SSGA FM under this agreement are shown on each Statement of Operations.
Pursuant to the Custody Agreement between the Trust, on behalf of the Funds, and SSGA FM, State Street serves as the Custodian to the Funds. In compensation for custody and accounting services, each Fund pays an annual fee of $25,000.
Effective June 1, 2015, SSGA FM serves as Administrator and State Street serves as Sub-Administrator. For its administration services to the Funds, each Fund pays SSGA FM a fee at the annual rate of 0.05% of its average daily net assets. Pursuant to the Sub-Administration Agreement between SSGA FM and State Street, SSGA FM pays State Street for its services as Sub-Administrator in the amount of $50,000 for each Fund serviced. Prior to June 1, 2015, each Fund paid this fee to State Street directly.
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.
State Street Global Markets LLC (“SSGM” or the “Distributor”) serves as the distributor of the Funds. SSGM is a wholly owned subsidiary of State Street Corporation. The Funds have adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which a Fund may compensate its Distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to Fund shareholders in that class (the “Plan”). The Plan calls for payments at an annual rate (based on average daily net assets) of 0.25% of the Fund’s net assets attributable to its Class A shares. Because these fees are paid out of the assets of a Fund attributable to its Class A shares on an ongoing basis, they will increase the cost of your investment and may cost you more over time than paying other types of sales charges.
Subject to the supervision of the Board, the Trust may engage, directly or indirectly, in financing any activities relating to shareholder account administrative and servicing functions, including without limitation making payments to Agents for one or more of the following activities: (a) answering inquiries regarding account status and history, the manner in which purchases and redemptions of each Class may be effected, and certain other matters pertaining to the Trust; (b) assisting in designating and changing dividend options, account designations and addresses; (c) providing necessary personnel and facilities to establish and maintain certain shareholder accounts and records, as requested from time to time by the Trust; (d) assisting in processing purchase and redemption transactions; (e) arranging for the wiring of funds; (f) transmitting and receiving funds in connection with orders to purchase or redeem a Class of shares; (g) verifying and guaranteeing signatures in connection with redemption orders,
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June 30, 2015 (Unaudited)
transfers among and changes in designated accounts; (h) providing periodic statements showing account balances and, to the extent practicable, integration of such information with other client transactions otherwise effected with or through the Agent; (i) furnishing (either separately or on an integrated basis with other reports sent by the Agent) monthly and annual statements and confirmations of all purchases and redemptions of a Class of shares in an account; (j) transmitting proxy statements, annual reports, prospectuses and other communications from the Trust; (k) receiving, tabulating and transmitting to the Trust proxies executed with respect to special meetings of shareholders of the Trust; and (l) providing such other related services as the Trust or customers of the Agent may reasonably request.
The Funds also may pay a sub-transfer agent fee of up to 0.20% on Class A and I for recordkeeping, shareholder servicing, or administrative services provided by financial intermediaries.
5. | Trustees’ Fees |
Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Funds does not receive compensation from the Funds for his or her service as a Trustee.
Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Co-Chairmen each receive an additional $44,000 annual retainer. Trustees’ fees and expenses are allocated among the Trusts and Funds overseen by the Trustees in a manner deemed equitable taking into consideration the relative net assets of the Funds. The Independent Trustees are reimbursed for travel and other out-of pocket expenses in connection with meeting attendance. As of the date of this Report, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.
The Trust’s officers are compensated by the Adviser and its affiliates.
6. | Beneficial Interest |
The Funds do not invest in the Underlying Funds for the purpose of exercising management or control; however, investments within the set limits may represent 5% or more of an Underlying Funds’ outstanding shares. At June 30, 2015, State Street Target Retirement Fund, State Street Target Retirement 2020 Fund, State Street Target Retirement 2030 Fund and State Street Target Retirement 2040 Fund held 5% or greater of the Underlying Funds’ outstanding shares.
7. | Transactions with Affiliates |
The Funds may invest in Underlying Funds affiliated with the Adviser. Amounts related to investments in affiliated Underlying Funds for the period January 1, 2015 through June 30, 2015 are:
State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Russell Small Cap Completeness ETF | 890 | $ | 75,098 | $ | 717,724 | 8,226 | $ | 58,395 | 671 | 8,445 | $ | 736,404 | $ | 4,539 | $ | 2,655 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 37,233 | 392,859 | 3,733,575 | 344,038 | 243,983 | 22,749 | 358,522 | 3,829,020 | – | 9,502 | ||||||||||||||||||||||||||||||
SPDR Barclays 1-10 Year TIPS ETF | 22,381 | 426,582 | 3,928,354 | 202,820 | 134,976 | 6,992 | 218,209 | 4,213,616 | – | (1,463 | ) |
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State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 4,317 | $ | 166,679 | $ | 1,581,326 | 39,820 | $ | 67,454 | 1,725 | 42,412 | $ | 1,629,893 | $ | 30,988 | $ | (1,880 | ) | |||||||||||||||||||||||
SPDR Barclays Short Term Corporate Bond ETF | 3,128 | 95,686 | 868,427 | 28,254 | 27,875 | 910 | 30,472 | 932,443 | 4,204 | (65 | ) | |||||||||||||||||||||||||||||
SPDR Barclays Short Term Treasury ETF | 12,501 | 376,030 | 3,463,475 | 114,663 | 138,952 | 4,597 | 122,567 | 3,712,554 | 9,330 | 337 | ||||||||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 47,100 | 477,546 | 4,463,081 | 436,282 | 173,075 | 16,967 | 466,415 | 4,682,803 | 36,851 | 3,070 | ||||||||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 25,905 | 237,423 | 2,284,948 | 235,603 | 216,287 | 22,481 | 239,027 | 2,289,879 | – | 3,862 | ||||||||||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 2,465 | 117,654 | 1,195,565 | 24,186 | 72,492 | 1,469 | 25,182 | 1,153,839 | 13,690 | 5,886 | ||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 3,627 | 3,627 | 11,160,558 | 11,160,558 | 11,149,255 | 11,149,255 | 14,930 | 14,930 | 111 | – | ||||||||||||||||||||||||||||||
State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Russell Small Cap Completeness ETF | 1,539 | $ | 129,861 | $ | 79,361 | 901 | $ | 27,399 | 315 | 2,125 | $ | 185,300 | $ | 1,032 | $ | 1,354 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 62,133 | 655,588 | 418,785 | 38,331 | 109,703 | 10,255 | 90,209 | 963,433 | – | 5,002 | ||||||||||||||||||||||||||||||
SPDR Barclays 1-10 Year TIPS ETF | 27,190 | 518,241 | 351,425 | 18,173 | 68,923 | 3,565 | 41,798 | 807,119 | – | (643 | ) | |||||||||||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 5,270 | 203,475 | 133,203 | 3,386 | 29,316 | 751 | 7,905 | 303,789 | 5,169 | (869 | ) | |||||||||||||||||||||||||||||
SPDR Barclays Short Term Corporate Bond ETF | 477 | 14,591 | 19,800 | 645 | 1,749 | 57 | 1,065 | 32,589 | 101 | (2 | ) | |||||||||||||||||||||||||||||
SPDR Barclays Short Term Treasury ETF | 1,696 | 51,016 | 77,529 | 2,559 | 9,196 | 304 | 3,951 | 119,676 | 198 | 41 | ||||||||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 71,783 | 727,820 | 468,278 | 46,117 | 106,487 | 10,403 | 107,497 | 1,079,275 | 7,783 | 2,250 | ||||||||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 47,201 | 432,604 | 288,154 | 28,792 | 105,533 | 10,982 | 65,011 | 622,808 | – | (556 | ) | |||||||||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 3,009 | 143,620 | 109,892 | 2,263 | 28,923 | 579 | 4,693 | 215,033 | 2,297 | 3,249 | ||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 4,002 | 4,002 | 465,357 | 465,357 | 440,073 | 440,073 | 29,286 | 29,286 | 5 | – | ||||||||||||||||||||||||||||||
State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Russell Small Cap Completeness ETF | 6,532 | $ | 551,170 | $ | 3,481,688 | 39,886 | $ | 394,490 | 4,558 | 41,860 | $ | 3,650,192 | $ | 22,601 | $ | 14,923 |
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State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 223,079 | $ | 2,353,794 | $ | 14,595,885 | 1,345,036 | $ | 1,276,860 | 119,577 | 1,448,538 | $ | 15,470,384 | $ | – | $ | 32,033 | ||||||||||||||||||||||||
SPDR Barclays 1-10 Year TIPS ETF | – | – | 836,078 | 43,216 | 6,051 | 313 | 42,903 | 828,457 | – | (7 | ) | |||||||||||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 12,408 | 479,073 | 3,048,311 | 76,820 | 134,840 | 3,455 | 85,773 | 3,296,256 | 61,426 | (4,029 | ) | |||||||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 5,229 | 381,016 | 2,477,587 | 33,517 | 206,914 | 2,778 | 35,968 | 2,457,334 | 20,115 | 13,346 | ||||||||||||||||||||||||||||||
SPDR Barclays TIPS ETF | 14,377 | 804,825 | 4,857,824 | 85,626 | 497,313 | 8,838 | 91,165 | 5,080,626 | – | 2,822 | ||||||||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 153,272 | 1,554,043 | 10,197,044 | 997,529 | 503,633 | 49,364 | 1,101,437 | 11,058,432 | 82,438 | 8,622 | ||||||||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 187,497 | 1,718,452 | 10,786,068 | 1,112,051 | 1,347,259 | 141,406 | 1,158,142 | 11,095,004 | – | 19,494 | ||||||||||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 4,132 | 197,220 | 1,463,208 | 29,741 | 58,713 | 1,195 | 32,678 | 1,497,305 | 16,323 | 5,722 | ||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 16,109 | 16,109 | 14,491,399 | 14,491,399 | 14,422,535 | 14,422,535 | 84,973 | 84,973 | 140 | – | ||||||||||||||||||||||||||||||
State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Russell Small Cap Completeness ETF | 7,671 | $ | 647,279 | $ | 1,076,514 | 12,291 | $ | 214,857 | 2,464 | 17,498 | $ | 1,525,826 | $ | 8,920 | $ | 9,506 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 220,882 | 2,330,622 | 4,030,317 | 371,198 | 773,869 | 72,316 | 519,764 | 5,551,079 | – | 24,723 | ||||||||||||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 7,349 | 283,745 | 532,361 | 13,503 | 68,053 | 1,745 | 19,107 | 734,282 | 12,777 | (2,085 | ) | |||||||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 9,304 | 677,945 | 1,237,352 | 17,054 | 245,438 | 3,328 | 23,030 | 1,573,410 | 12,309 | 16,925 | ||||||||||||||||||||||||||||||
SPDR Barclays TIPS ETF | 3,614 | 202,312 | 455,901 | 8,084 | 51,970 | 920 | 10,778 | 600,658 | – | 649 | ||||||||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 93,539 | 948,398 | 1,686,394 | 165,490 | 266,234 | 26,085 | 232,944 | 2,338,759 | 17,288 | 4,398 | ||||||||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 199,123 | 1,825,003 | 3,142,927 | 322,077 | 715,315 | 74,418 | 446,782 | 4,280,171 | – | 5,938 | ||||||||||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | – | – | 44,598 | 938 | 1,719 | 35 | 903 | 41,376 | 159 | (21 | ) | |||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 13,242 | 13,242 | 2,768,529 | 2,768,529 | 2,719,347 | 2,719,347 | 62,424 | 62,424 | 27 | – |
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State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Russell Small Cap Completeness ETF | 6,143 | $ | 518,346 | $ | 4,875,941 | 55,878 | $ | 323,192 | 3,744 | 58,277 | $ | 5,081,754 | $ | 31,066 | $ | 10,530 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 156,596 | 1,652,311 | 15,373,487 | 1,417,470 | 856,161 | 80,073 | 1,493,993 | 15,955,846 | – | 27,037 | ||||||||||||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 1,351 | 52,162 | 628,872 | 15,924 | 9,663 | 248 | 17,027 | 654,348 | 10,566 | (304 | ) | |||||||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 6,096 | 444,191 | 4,601,642 | 62,481 | 183,106 | 2,520 | 66,057 | 4,513,014 | 34,739 | 12,667 | ||||||||||||||||||||||||||||||
SPDR Barclays TIPS ETF | 694 | 38,850 | 449,187 | 7,934 | 7,211 | 128 | 8,500 | 473,705 | – | 71 | ||||||||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 50,392 | 510,932 | 4,848,287 | 474,176 | 152,670 | 14,977 | 509,591 | 5,116,296 | 38,687 | 2,600 | ||||||||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 146,572 | 1,343,361 | 12,557,362 | 1,296,693 | 1,006,308 | 105,285 | 1,337,980 | 12,817,850 | – | 12,090 | ||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 18,347 | 18,347 | 9,675,545 | 9,675,545 | 9,652,024 | 9,652,024 | 41,868 | 41,868 | 78 | – | ||||||||||||||||||||||||||||||
State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Russell Small Cap Completeness ETF | 6,860 | $ | 578,847 | $ | 1,000,189 | 11,434 | $ | 183,872 | 2,122 | 16,172 | $ | 1,410,199 | $ | 8,162 | $ | 8,417 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 148,828 | 1,570,347 | 2,783,985 | 256,862 | 474,880 | 44,122 | 361,568 | 3,861,543 | – | 24,390 | ||||||||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 5,668 | 413,004 | 810,995 | 11,128 | 133,344 | 1,805 | 14,991 | 1,024,185 | 7,963 | 11,264 | ||||||||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 29,433 | 298,421 | 583,932 | 57,255 | 78,671 | 7,704 | 78,984 | 793,000 | 5,758 | 1,472 | ||||||||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 145,607 | 1,334,522 | 2,347,461 | 241,797 | 474,132 | 49,420 | 337,984 | 3,237,888 | – | (2,678 | ) | |||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 15,127 | 15,127 | 1,829,852 | 1,829,852 | 1,802,587 | 1,802,587 | 42,392 | 42,392 | 7 | – | ||||||||||||||||||||||||||||||
State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Russell Small Cap Completeness ETF | 4,762 | $ | 401,818 | $ | 4,875,583 | 55,884 | $ | 276,736 | 3,182 | 57,464 | $ | 5,010,861 | $ | 30,727 | $ | 13,198 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 90,269 | 952,462 | 11,498,465 | 1,060,291 | 486,355 | 45,296 | 1,105,264 | 11,804,214 | – | 23,880 | ||||||||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 3,349 | 244,028 | 3,276,318 | 44,446 | 130,129 | 1,812 | 45,983 | 3,141,559 | 24,503 | 7,575 | ||||||||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 5,009 | 50,785 | 771,975 | 75,598 | 15,409 | 1,512 | 79,095 | 794,109 | 5,275 | 260 | ||||||||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 92,313 | 846,072 | 10,229,688 | 1,056,780 | 666,217 | 69,359 | 1,079,734 | 10,343,860 | – | 3,923 | ||||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 17,599 | 17,599 | 7,836,367 | 7,836,367 | 7,836,101 | 7,836,101 | 17,865 | 17,865 | 60 | – |
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Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Russell Small Cap Completeness ETF | 2,038 | $ | 171,966 | $ | 922,661 | 10,556 | $ | 61,249 | 706 | 11,888 | $ | 1,036,634 | $ | 5,963 | $ | 2,873 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 35,570 | 375,313 | 2,071,381 | 191,000 | 144,025 | 13,385 | 213,185 | 2,276,813 | – | 7,360 | ||||||||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 1,348 | 98,223 | 578,030 | 7,870 | 38,941 | 533 | 8,685 | 593,359 | 4,458 | 2,892 | ||||||||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 37,092 | 339,958 | 1,875,035 | 193,303 | 169,451 | 17,617 | 212,778 | 2,038,409 | – | (733 | ) | |||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 11,094 | 11,094 | 1,548,104 | 1,548,104 | 1,542,314 | 1,542,314 | 16,884 | 16,884 | 7 | – | ||||||||||||||||||||||||||||||
State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Russell Small Cap Completeness ETF | 995 | $ | 83,958 | $ | 735,785 | 8,422 | $ | 64,322 | 743 | 8,674 | $ | 756,373 | $ | 4,314 | $ | 2,888 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 17,491 | 184,559 | 1,646,780 | 151,826 | 146,325 | 13,612 | 155,705 | 1,662,931 | – | 7,349 | ||||||||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 666 | 48,529 | 454,848 | 6,182 | 37,192 | 511 | 6,337 | 432,944 | 3,234 | 2,631 | ||||||||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 18,240 | 167,174 | 1,496,132 | 154,219 | 163,817 | 17,051 | 155,408 | 1,488,806 | – | (894 | ) | |||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 5,420 | 5,420 | 1,256,314 | 1,256,314 | 1,236,533 | 1,236,533 | 25,201 | 25,201 | 9 | – | ||||||||||||||||||||||||||||||
State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Russell Small Cap Completeness ETF | 995 | $ | 83,958 | $ | 412,640 | 4,725 | $ | 38,425 | 446 | 5,274 | $ | 459,893 | $ | 2,606 | $ | 1,547 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 17,491 | 184,559 | 930,118 | 85,814 | 92,883 | 8,657 | 94,648 | 1,010,842 | – | 4,490 | ||||||||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 666 | 48,529 | 259,257 | 3,530 | 25,277 | 342 | 3,854 | 263,305 | 1,971 | 2,146 | ||||||||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 18,240 | 167,174 | 846,863 | 87,299 | 106,077 | 11,073 | 94,466 | 904,987 | – | (884 | ) | |||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 5,420 | 5,420 | 750,332 | 750,332 | 739,132 | 739,132 | 16,620 | 16,620 | 4 | – | ||||||||||||||||||||||||||||||
State Street Target | Number of Shares Held at 12/31/14 | Value at 12/31/14 | Purchased | Sold | Number of Shares Held at 6/30/15 | Value at 6/30/15 | Dividend Income | Realized Gain (Loss) | ||||||||||||||||||||||||||||||||
Cost | Shares | Proceeds | Shares | |||||||||||||||||||||||||||||||||||||
SPDR Russell Small Cap Completeness ETF | 996 | $ | 84,042 | $ | 57,844 | 662 | $ | 29,561 | 342 | 1,316 | $ | 114,755 | $ | 706 | $ | 1,283 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 17,526 | 184,927 | 112,536 | 10,366 | 45,532 | 4,256 | 23,636 | 252,429 | – | 2,081 | ||||||||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 667 | 48,602 | 42,154 | 580 | 20,335 | 275 | 972 | 66,407 | 599 | 1,736 | ||||||||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 18,275 | 167,497 | 105,310 | 10,831 | 53,042 | 5,514 | 23,592 | 226,013 | – | (224 | ) | |||||||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 5,435 | 5,435 | 198,156 | 198,156 | 193,772 | 193,772 | 9,819 | 9,819 | – | – |
8. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Funds through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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Shareholder Expense Information
June 30, 2015 (Unaudited)
EXPENSE EXAMPLE
As a shareholder of a Fund, you incur (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including management fees and to the extent applicable, distribution (12b-1) or service fees, among others. 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. It 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, 2015 to June 30, 2015.
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 each 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. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
Annualized Expense Ratio | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | |||||||||||||
State Street Target Retirement Fund | ||||||||||||||||
Class A | 0.27 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.00 | $ | 1.35 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,023.46 | $ | 1.35 | ||||||||||
Class I | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.00 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 | ||||||||||
Class K | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.00 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 |
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Shareholder Expense Information — (continued)
June 30, 2015 (Unaudited)
Annualized Expense Ratio | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | |||||||||||||
State Street Target Retirement 2015 Fund | ||||||||||||||||
Class A | 0.29 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.00 | $ | 1.45 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,023.36 | $ | 1.45 | ||||||||||
Class I | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,014.00 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 | ||||||||||
Class K | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.00 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 | ||||||||||
State Street Target Retirement 2020 Fund | ||||||||||||||||
Class A | 0.27 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,010.80 | $ | 1.35 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,023.46 | $ | 1.35 | ||||||||||
Class I | 0.01 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,011.80 | $ | 0.05 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.74 | $ | 0.05 | ||||||||||
Class K | 0.01 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,012.80 | $ | 0.05 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.74 | $ | 0.05 | ||||||||||
State Street Target Retirement 2025 Fund | ||||||||||||||||
Class A | 0.29 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.80 | $ | 1.45 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,023.36 | $ | 1.45 | ||||||||||
Class I | 0.01 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,013.80 | $ | 0.05 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.74 | $ | 0.05 | ||||||||||
Class K | 0.03 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,014.80 | $ | 0.15 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.65 | $ | 0.15 |
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Shareholder Expense Information — (continued)
June 30, 2015 (Unaudited)
Annualized Expense Ratio | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | |||||||||||||
State Street Target Retirement 2030 Fund | ||||||||||||||||
Class A | 0.29 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,014.80 | $ | 1.45 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,023.36 | $ | 1.45 | ||||||||||
Class I | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.50 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 | ||||||||||
Class K | 0.03 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.80 | $ | 0.15 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.65 | $ | 0.15 | ||||||||||
State Street Target Retirement 2035 Fund | ||||||||||||||||
Class A | 0.29 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.70 | $ | 1.45 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,023.36 | $ | 1.45 | ||||||||||
Class I | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.70 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 | ||||||||||
Class K | 0.03 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.70 | $ | 0.15 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.65 | $ | 0.15 | ||||||||||
State Street Target Retirement 2040 Fund | ||||||||||||||||
Class A | 0.28 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.80 | $ | 1.40 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,023.41 | $ | 1.40 | ||||||||||
Class I | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.70 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 | ||||||||||
Class K | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.70 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 |
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Shareholder Expense Information — (continued)
June 30, 2015 (Unaudited)
Annualized Expense Ratio | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | |||||||||||||
State Street Target Retirement 2045 Fund | ||||||||||||||||
Class A | 0.27 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,018.90 | $ | 1.35 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,023.46 | $ | 1.35 | ||||||||||
Class I | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.90 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 | ||||||||||
Class K | 0.01 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,019.90 | $ | 0.05 | ||||||||||
Hypothetical** | $ | 1,000.00 | �� | $ | 1,024.74 | $ | 0.05 | |||||||||
State Street Target Retirement 2050 Fund | ||||||||||||||||
Class A | 0.28 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.90 | $ | 1.40 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,023.41 | $ | 1.40 | ||||||||||
Class I | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.90 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 | ||||||||||
Class K | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.90 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 | ||||||||||
State Street Target Retirement 2055 Fund | ||||||||||||||||
Class A | 0.28 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.90 | $ | 1.40 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,023.41 | $ | 1.40 | ||||||||||
Class I | 0.03 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.90 | $ | 0.15 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.65 | $ | 0.15 | ||||||||||
Class K | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.90 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 |
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Shareholder Expense Information — (continued)
June 30, 2015 (Unaudited)
Annualized Expense Ratio | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During the Period* | |||||||||||||
State Street Target Retirement 2060 Fund | ||||||||||||||||
Class A | 0.27 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,015.90 | $ | 1.35 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,023.46 | $ | 1.35 | ||||||||||
Class I | 0.03 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,017.90 | $ | 0.15 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.65 | $ | 0.15 | ||||||||||
Class K | 0.02 | % | ||||||||||||||
Actual | $ | 1,000.00 | $ | 1,016.90 | $ | 0.10 | ||||||||||
Hypothetical** | $ | 1,000.00 | $ | 1,024.70 | $ | 0.10 |
* | Expenses are equal to the Fund’s annualized expense ratio (representing the six month period annualized), multiplied by the average account value over the period, multiplied by 181/365 (to reflect the one-half year period). Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher. |
** | 5% return per year before expenses |
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Other Information
June 30, 2015 (Unaudited)
Proxy Voting Policies and Procedures and Record
Information regarding the Fund’s proxy voting policies and procedures, as well as information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).
TRUSTEE CONSIDERATIONS IN APPROVING CONTINUATION OF INVESTMENT ADVISORY AGREEMENTS1
Overview of the Contract Review Process
Under the Investment Company Act of 1940, an investment advisory agreement between a mutual fund and its investment adviser may continue in effect from year to year only if its continuance is approved at least annually by the fund’s board of trustees, including by a vote of a majority of those trustees who are not “interested persons” of the fund (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Independent Trustees on the Board of Trustees (the “Board”) of the State Street Master Funds and State Street Institutional Investment Trust (each a “Trust” and together, the “Trusts”), met in Executive Sessions on April 12-13, 2015 and May 18-19, 2015 to consider a proposal to approve, with respect to each portfolio series of the each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully.2 The Independent Trustees were separately represented by co-counsel that is
1 | Over the course of more than 15 years, the Independent Trustees have identified numerous relevant issues, factors and concerns (“issues, factors and concerns”) that they consider each year in connection with the proposed continuation of the advisory agreements, the administration agreement, the distribution plans, the distribution agreement and various related-party service agreements (the “annual review process”). The statement of issues, factors and concerns and the related conclusions of the Independent Trustees may not change substantially from year to year. However, the information requested by, and provided to, the Independent Trustees with respect to the issues, factors and concerns and on which their conclusions are based is updated annually and, in some cases, may differ substantially from the previous year. The Independent Trustees schedule annually a separate in-person meeting that is dedicated to the annual review process (the “special meeting”). At the special meeting and throughout the annual review process, the Independent Trustees take a fresh look at each of the issues, factors and concerns in light of the latest available information and each year present one or more sets of comments and questions to management with respect to specific issues, factors and concerns. Management responds to such comments and questions to the satisfaction of the Independent Trustee before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
2 | Certain Funds had either recently commenced operations or had yet to commence operations, and as such, the Advisory Agreement was not up for renewal with respect to such Funds. |
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Other Information — (continued)
June 30, 2015 (Unaudited)
independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 12-13, 2015 meeting, the Independent Trustees submitted questions and requests for additional information to management, and considered management’s responses thereto prior to and at the May 18-19, 2015 meeting. The Independent Trustees considered, among other things, the following:
Information about Performance, Expenses and Fees
• | A report prepared by an independent third-party provider of investment company data, which includes for each Fund: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2014, as applicable, to the performance of an appropriate benchmark for the Fund and a universe of other mutual funds with similar investment objectives and policies; |
• | Comparisons of the Fund’s expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider; |
• | A chart showing the Fund’s historical average net assets relative to its total expenses, management fees, and non-management expenses over the past five years, as applicable; and |
• | Comparisons of the Fund’s contractual management fee to the contractual management fees of comparable mutual funds at different asset levels. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the Funds, as applicable; and |
• | Profitability analyses for (a) the Adviser with respect to each Fund and (b) affiliates of the Adviser that provide services to the Funds (“Affiliated Service Providers”). |
Information about Portfolio Management
• | Descriptions of the investment management services provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage and the benefits received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of any research through “soft dollar” benefits received in connection with the Funds’ brokerage; and |
• | Information regarding the procedures and processes used to value the assets of the Funds and the assistance provided to the administrator of the Funds by the Adviser in monitoring the effectiveness of such procedures and processes. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals responsible for managing the portfolios of the Funds; |
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Other Information — (continued)
June 30, 2015 (Unaudited)
• | A copy of each Code of Ethics adopted by the Adviser, together with information relating to compliance with and the administration of such Codes; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Funds and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Funds; and |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
Other Relevant Information
• | Information concerning the nature, quality and cost of various non-investment management services provided to the Funds by affiliates of the Adviser, including the custodian, administrator, fund accountant, transfer agent and securities lending agent of the Funds, and the role of the Adviser in managing the Funds’ relationship with these service providers; |
• | Copies of the Advisory Agreements and agreements with other service providers of the Funds; |
• | Draft responses to letter dated March 11, 2015 from Joseph P. Barri, LLC (co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees reviewed prior to such date by Independent Counsel, requesting specific information, from each of: |
• | The Adviser, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such operations for the Funds’ last fiscal year; and the relevant operations of other affiliated service providers to the Funds, together with their approximate profit margins from such relevant operations for the Funds’ last fiscal year; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, administrator, custodian, transfer agent, securities lending agent, and/or shareholder services, as applicable, for the Funds, with respect to its operations relating to the Funds; and |
• | State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Funds (the “Distributor”), with respect to its operations relating to the Funds, together with the Funds’ related distribution plans and arrangements under SEC Rule 12b-1; |
• | Information from the Adviser, State Street and the Distributor with respect to State Street Master Funds and State Street Institutional Investment Trust providing any material changes to the previous information supplied in response to the letter dated March 11, 2015 from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 18-19, 2015. |
• | Excerpts from the Funds’ most recent prospectuses, statements of additional information and respective annual reports for the fiscal year ended August 31, 2014 or December 31, 2014, as applicable. including (i) the latest prospectus descriptions of each Fund’s investment objectives, strategies and authorized investment techniques and investments; and (ii) the latest Annual Shareholder Report for each Fund, including Portfolio Management Discussion of Performance, as prepared by its portfolio management team, together with a graphic comparison of the performance |
58
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
of each Fund with its benchmark index, for its fiscal year ended August 31, 2014 or December 31, 2014, as applicable; |
• | Lipper materials dated March 2015, circulated to the Independent Trustees and to Independent Counsel, with respect to the Funds for which such materials were then available; and |
• | A summary of the foregoing materials prepared by Independent Counsel. |
In addition to the information identified above, the Board considered information provided from time to time by the Adviser, and other service providers of the Funds throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Funds and the investment strategies used in pursuing each Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to each Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 18-19. 2015 the Board, including a majority of the Independent Trustees, voted to approve the adoption of, as applicable, and the continuation of the Advisory Agreements effective June 1, 2015, for an additional year with respect to all Funds.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreements, the Board evaluated the nature, extent and quality of services provided to each Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by each Fund, including the education, experience and number of investment professionals and other personnel who provide portfolio management, investment research, and similar services to the Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various Funds that invest primarily in equity securities. With respect to those Funds that invest primarily in fixed-income securities, the Board considered the extensive experience and resources committed by the Adviser to the evaluation of credit, interest-rate and currency risks. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention devoted to the Funds by senior management.
The Board reviewed the compliance programs of the Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading
59
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to continue to provide, high quality investment management and related services for the Funds.
Fund Performance
The Board compared each Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2014. Among other information, the Board considered the following performance information in its evaluation of your Fund(s):
State Street Target Retirement 2015 Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 30, 2014. The Board took into account management’s discussion of the Fund’s performance and noted the Fund’s limited performance history.
State Street Target Retirement 2020 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 30, 2014. The Board noted the Fund’s limited performance history.
State Street Target Retirement 2025 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 30, 2014. The Board noted the Fund’s limited performance history.
State Street Target Retirement 2030 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 30, 2014. The Board noted the Fund’s limited performance history.
State Street Target Retirement 2035 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 30, 2014. The Board noted the Fund’s limited performance history.
State Street Target Retirement 2040 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 30, 2014. The Board noted the Fund’s limited performance history.
State Street Target Retirement 2045 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 30, 2014. The Board noted the Fund’s limited performance history.
State Street Target Retirement 2050 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 30, 2014. The Board noted the Fund’s limited performance history.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
State Street Target Retirement 2055 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 30, 2014. The Board noted the Fund’s limited performance history.
State Street Target Retirement 2060 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 30, 2014. The Board noted the Fund’s limited performance history.
State Street Target Retirement Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Lipper Index since its inception on September 30, 2014. The Board took into account management’s discussion of the Fund’s performance and noted the Fund’s limited performance history.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each operational Fund is satisfactory or better (a) by comparison to the performance of its peer group funds or (b) after considering steps taken by management to improve the performance of certain Funds.
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by each Fund and actual fees paid by each Fund, net of waivers. As part of its review, the Board considered each Fund’s management fee and total expense ratio (both before and after giving effect to any expense caps), as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered the willingness of the Adviser to provide undertakings from time to time to waive fees or pay expenses of various Funds to limit the total expenses borne by shareholders of such Funds. Among other information, the Board considered the following expense information in its evaluation of your Fund(s):
State Street Target Retirement 2015 Fund. The Board considered that the Fund’s actual management fee was equal to the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2020 Fund. The Board considered that the Fund’s actual management fee was equal to the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2025 Fund. The Board considered that the Fund’s actual management fee was equal to the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2030 Fund. The Board considered that the Fund’s actual management fee was equal to the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2035 Fund. The Board considered that the Fund’s actual management fee was equal to the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
State Street Target Retirement 2040 Fund. The Board considered that the Fund’s actual management fee was equal to the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2045 Fund. The Board considered that the Fund’s actual management fee was equal to the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2050 Fund. The Board considered that the Fund’s actual management fee was equal to the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2055 Fund. The Board considered that the Fund’s actual management fee was equal to the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement 2060 Fund. The Board considered that the Fund’s actual management fee was equal to the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
State Street Target Retirement Fund. The Board considered that the Fund’s actual management fee was equal to the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of each Fund compare favorably to the fees and expenses of similar mutual funds and are reasonable in relation to the services provided.
Profitability
The Board reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to each Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by the Adviser and the Affiliated Service Providers in connection with their relationships with the Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Funds and other investment advisory clients, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds.
The Board concluded that the profitability of the Adviser with respect to each of the Funds, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Funds, were reasonable in relation to the services provided.
Economies of Scale
In reviewing management fees and profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and each Fund and all Funds as a group, on the other hand, can expect to realize benefits from economies of scale as the assets of the Funds increase. The Board acknowledged the difficulty in accurately measuring the benefits resulting from the economies of scale with respect to the management of any specific Fund or the Funds taken as a whole. The Board concluded that, in light of the current size of each Fund and all Funds as a group, the level of
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2015 (Unaudited)
profitability of the Adviser and its affiliates with respect to each Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of each Fund during these periods, it does not appear that the Adviser or its affiliates has realized benefits from economies of scale in managing the assets of the Funds to such an extent that previously agreed advisory fees should be reduced or that breakpoints in such fees should be implemented for any Fund at this time.
Conclusions
In reaching its decision to approve the Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that the Adviser possesses the capability and resources to perform the duties required of it under the respective Advisory Agreement.
Further, based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of each Fund and its respective shareholders, and (2) the rates payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
William L. Boyan
Gregory A. Ehret
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
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
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSGA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSGA Funds Management, Inc. for investment advisory services.
Before investing, consider the funds investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1-800-997-7327 or visit www.SSGAfunds.com. Read it carefully.
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of Fund shares.
State Street Institutional Investment Trust State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | IBG-16222 |
Not FDIC Insured - No Bank Guarantee - May Lose Value
Table of Contents
Semi-Annual Report
30 June 2015
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Semi-Annual Report
June 30, 2015
1 | ||||
2 | ||||
17 | ||||
18 | ||||
19 | ||||
20 | ||||
21 | ||||
31 |
Table of Contents
State Street Hedged International Developed Equity Index Fund
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2015 | |||
Common Stocks | 93.4 | % | ||
Rights | 0.0 | ** | ||
Short Term Investment | 4.0 | |||
Other Assets in Excess of Liabilities | 2.6 | |||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | June 30, 2015 | |||
Financials | 24.5 | % | ||
Consumer Discretionary | 12.2 | |||
Industrials | 11.8 | |||
Health Care | 10.6 | |||
Consumer Staples | 10.2 | |||
Total | 69.3 | % |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
** | Less than 0.05% of net assets. |
See Notes to Financial Statements.
1
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – 93.4% |
| |||||||
Australia – 6.4% |
| |||||||
AGL Energy, Ltd. | 16,934 | $ | 202,391 | |||||
Alumina, Ltd. | 53,776 | 63,238 | ||||||
Amcor, Ltd. | 27,780 | 292,945 | ||||||
AMP, Ltd. | 72,643 | 336,117 | ||||||
APA Group | 28,203 | 178,617 | ||||||
Aristocrat Leisure, Ltd. | 11,472 | 67,453 | ||||||
Asciano, Ltd. | 20,768 | 106,149 | ||||||
ASX, Ltd. | 5,053 | 154,961 | ||||||
Aurizon Holdings, Ltd. | 53,368 | 210,426 | ||||||
AusNet Services | 36,910 | 39,575 | ||||||
Australia & New Zealand Banking Group, Ltd. | 65,951 | 1,632,216 | ||||||
Bank of Queensland, Ltd. | 7,814 | 76,695 | ||||||
Bendigo & Adelaide Bank, Ltd. | 9,602 | 90,480 | ||||||
BHP Billiton, Ltd. | 76,582 | 1,592,188 | ||||||
Boral, Ltd. | 16,666 | 74,936 | ||||||
Brambles, Ltd. | 36,079 | 293,941 | ||||||
Caltex Australia, Ltd. | 6,884 | 168,520 | ||||||
CIMIC Group, Ltd. | 2,162 | 36,142 | ||||||
Coca-Cola Amatil, Ltd. | 12,194 | 85,757 | ||||||
Cochlear, Ltd. | 1,215 | 74,848 | ||||||
Commonwealth Bank of Australia | 39,013 | 2,552,656 | ||||||
Computershare, Ltd. | 10,067 | 90,606 | ||||||
Crown Resorts, Ltd. | 7,754 | 72,709 | ||||||
CSL, Ltd. | 11,400 | 757,654 | ||||||
Dexus Property Group REIT | 25,197 | 141,375 | ||||||
Federation Centres REIT | 84,998 | 190,762 | ||||||
Flight Centre Travel Group, Ltd. | 1,180 | 30,936 | ||||||
Fortescue Metals Group, Ltd. | 33,150 | 48,665 | ||||||
Goodman Group REIT | 44,003 | 212,056 | ||||||
GPT Group REIT | 46,028 | 151,414 | ||||||
Harvey Norman Holdings, Ltd. | 11,824 | 40,987 | ||||||
Healthscope, Ltd. | 23,973 | 50,118 | ||||||
Iluka Resources, Ltd. | 8,915 | 52,624 | ||||||
Incitec Pivot, Ltd. | 35,678 | 105,575 | ||||||
Insurance Australia Group, Ltd. | 54,498 | 233,730 | ||||||
Lend Lease Group | 14,272 | 164,871 | ||||||
Macquarie Group, Ltd. | 7,109 | 444,768 | ||||||
Medibank Pvt, Ltd.(a) | 58,639 | 90,591 | ||||||
Mirvac Group REIT | 97,180 | 138,181 | ||||||
National Australia Bank, Ltd. | 62,359 | 1,596,519 | ||||||
Newcrest Mining, Ltd.(a) | 19,359 | 193,729 | ||||||
Orica, Ltd. | 9,680 | 158,324 | ||||||
Origin Energy, Ltd. | 25,671 | 236,177 | ||||||
Platinum Asset Management, Ltd. | 4,971 | 28,579 | ||||||
Qantas Airways, Ltd.(a) | 11,691 | 28,395 | ||||||
QBE Insurance Group, Ltd. | 33,496 | 351,934 | ||||||
Ramsay Health Care, Ltd. | 3,613 | 170,699 | ||||||
REA Group, Ltd. | 1,122 | 33,813 | ||||||
Rio Tinto, Ltd. | 10,607 | 438,199 | ||||||
Santos, Ltd. | 25,593 | 154,022 | ||||||
Scentre Group REIT | 130,145 | 375,110 | ||||||
Seek, Ltd. | 6,930 | 74,889 | ||||||
Sonic Healthcare, Ltd. | 9,902 | 162,640 | ||||||
South32, Ltd.(a) | 134,770 | 185,416 | ||||||
Stockland REIT | 59,725 | 188,209 | ||||||
Suncorp Group, Ltd. | 29,598 | 305,519 | ||||||
Sydney Airport | 23,123 | 88,506 | ||||||
Tabcorp Holdings, Ltd. | 17,661 | 61,763 | ||||||
Tatts Group, Ltd. | 30,784 | 88,017 | ||||||
Telstra Corp., Ltd. | 103,908 | 490,363 | ||||||
TPG Telecom, Ltd. | 5,916 | 40,787 | ||||||
Transurban Group | 46,957 | 335,648 | ||||||
Treasury Wine Estates, Ltd. | 13,867 | 53,184 | ||||||
Wesfarmers, Ltd. | 27,003 | 810,048 | ||||||
Westfield Corp. REIT | 48,503 | 339,988 | ||||||
Westpac Banking Corp. | 74,328 | 1,836,681 | ||||||
Woodside Petroleum, Ltd. | 18,010 | 473,828 | ||||||
Woolworths, Ltd. | 30,511 | 632,232 | ||||||
WorleyParsons, Ltd. | 4,423 | 35,389 | ||||||
|
| |||||||
21,316,480 | ||||||||
|
| |||||||
Austria – 0.2% |
| |||||||
Andritz AG | 1,660 | 91,831 | ||||||
Erste Group Bank AG(a) | 7,042 | 199,882 | ||||||
OMV AG | 3,136 | 86,235 | ||||||
Raiffeisen Bank International AG | 2,495 | 36,278 | ||||||
Voestalpine AG | 2,387 | 99,283 | ||||||
|
| |||||||
513,509 | ||||||||
|
| |||||||
Belgium – 1.2% |
| |||||||
Ageas | 5,252 | 202,208 | ||||||
Anheuser-Busch InBev NV | 19,357 | 2,318,514 | ||||||
Colruyt SA | 1,501 | 67,173 | ||||||
Delhaize Group SA | 2,404 | 198,372 | ||||||
Groupe Bruxelles Lambert SA | 2,063 | 165,959 | ||||||
KBC Groep NV | 6,118 | 408,591 | ||||||
Proximus | 3,998 | 141,076 | ||||||
Solvay SA | 1,491 | 205,001 | ||||||
Telenet Group Holding NV(a) | 1,119 | 60,831 | ||||||
UCB SA | 3,168 | 227,283 | ||||||
Umicore SA | 2,027 | 96,053 | ||||||
|
| |||||||
4,091,061 | ||||||||
|
| |||||||
China – 0.1% |
| |||||||
Kerry Properties, Ltd. | 14,000 | 54,898 | ||||||
Sino Land Co., Ltd. | 80,000 | 133,943 | ||||||
|
| |||||||
188,841 | ||||||||
|
| |||||||
Denmark – 1.5% |
| |||||||
AP Moeller – Maersk AS (Class A) | 98 | 171,986 | ||||||
AP Moeller – Maersk AS (Class B) | 178 | 322,220 | ||||||
Carlsberg AS | 2,494 | 226,294 | ||||||
Coloplast AS (Class B) | 2,819 | 184,879 | ||||||
Danske Bank AS | 17,134 | 503,633 | ||||||
DSV AS | 4,623 | 149,697 | ||||||
Novo Nordisk AS (Class B) | 45,755 | 2,491,639 | ||||||
Novozymes AS (Class B) | 5,544 | 263,401 | ||||||
Pandora AS | 2,660 | 285,654 | ||||||
TDC AS | 21,200 | 155,375 | ||||||
Tryg AS | 2,542 | 52,964 | ||||||
Vestas Wind Systems AS | 5,194 | 259,107 | ||||||
William Demant Holding AS(a) | 543 | 41,402 | ||||||
|
| |||||||
5,108,251 | ||||||||
|
| |||||||
Finland – 0.8% |
| |||||||
Elisa Oyj | 3,029 | 95,949 | ||||||
Fortum Oyj | 11,186 | 198,667 | ||||||
Kone Oyj (Class B) | �� | 7,224 | 292,983 | |||||
Metso Oyj | 2,401 | 65,917 | ||||||
Neste Oil Oyj | 2,730 | 69,535 |
See Notes to Financial Statements.
2
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – (continued) |
| |||||||
Finland – (continued) |
| |||||||
Nokia Oyj | 88,785 | $ | 602,448 | |||||
Nokian Renkaat Oyj | 2,416 | 75,669 | ||||||
Orion Oyj (Class B) | 2,147 | 75,067 | ||||||
Sampo Oyj (Class A) | 10,844 | 510,481 | ||||||
Stora Enso Oyj | 14,385 | 148,177 | ||||||
UPM-Kymmene Oyj | 12,455 | 220,233 | ||||||
Wartsila Oyj Abp | 3,767 | 176,366 | ||||||
|
| |||||||
2,531,492 | ||||||||
|
| |||||||
France – 8.6% |
| |||||||
Accor SA | 4,859 | 245,087 | ||||||
Aeroports de Paris | 632 | 71,368 | ||||||
Air Liquide SA | 8,260 | 1,044,113 | ||||||
Alcatel-Lucent(a) | 65,302 | 237,778 | ||||||
Alstom SA(a) | 5,627 | 159,561 | ||||||
Arkema SA | 1,396 | 100,527 | ||||||
AtoS | 2,202 | 164,333 | ||||||
AXA SA | 46,726 | 1,178,165 | ||||||
BNP Paribas SA | 25,262 | 1,524,156 | ||||||
Bollore SA | 18,443 | 98,122 | ||||||
Bouygues SA | 5,074 | 189,588 | ||||||
Bureau Veritas SA | 6,905 | 158,949 | ||||||
Cap Gemini SA | 3,862 | 341,532 | ||||||
Carrefour SA | 13,427 | 429,662 | ||||||
Casino-Guichard Perrachon SA | 1,205 | 91,230 | ||||||
Christian Dior SE | 1,261 | 246,017 | ||||||
Cie de Saint-Gobain | 11,568 | 519,043 | ||||||
Cie Generale des Etablissements Michelin | 4,510 | 472,304 | ||||||
CNP Assurances | 3,655 | 61,005 | ||||||
Credit Agricole SA | 25,204 | 374,618 | ||||||
Danone SA | 13,900 | 898,113 | ||||||
Dassault Systemes | 2,984 | 216,842 | ||||||
Edenred | 5,440 | 134,348 | ||||||
Electricite de France SA | 6,340 | 141,281 | ||||||
Essilor International SA | 4,956 | 590,851 | ||||||
Eurazeo SA | 850 | 56,209 | ||||||
Eutelsat Communications SA | 4,449 | 143,507 | ||||||
Fonciere Des Regions REIT | 638 | 54,182 | ||||||
GDF Suez | 35,223 | 653,045 | ||||||
Gecina SA REIT | 739 | 91,026 | ||||||
Groupe Eurotunnel SE | 11,917 | 172,480 | ||||||
Hermes International | 613 | 228,533 | ||||||
ICADE REIT | 708 | 50,534 | ||||||
Iliad SA | 673 | 149,109 | ||||||
Imerys SA | 727 | 55,568 | ||||||
JCDecaux SA | 1,669 | 69,605 | ||||||
Kering | 1,742 | 310,841 | ||||||
Klepierre REIT | 4,283 | 188,284 | ||||||
L’Oreal SA | 6,044 | 1,077,476 | ||||||
Lafarge SA | 4,308 | 284,350 | ||||||
Lagardere SCA | 2,513 | 73,248 | ||||||
Legrand SA | 6,484 | 363,824 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 6,675 | 1,168,769 | ||||||
Natixis | 23,819 | 171,310 | ||||||
Numericable-SFR(a) | 2,559 | 135,562 | ||||||
Orange SA | 44,647 | 686,988 | ||||||
Pernod Ricard SA | 5,133 | 592,508 | ||||||
Peugeot SA(a) | 10,839 | 222,757 | ||||||
Publicis Groupe SA | 4,614 | 340,946 | ||||||
Remy Cointreau SA | 518 | 37,313 | ||||||
Renault SA | 4,667 | 485,781 | ||||||
Rexel SA | 6,217 | 100,164 | ||||||
Safran SA | 7,088 | 480,086 | ||||||
Sanofi | 28,558 | 2,807,737 | ||||||
Schneider Electric SE | 13,315 | 918,767 | ||||||
SCOR SE | 4,037 | 142,340 | ||||||
Societe BIC SA | 613 | 97,670 | ||||||
Societe Generale SA | 17,408 | 812,110 | ||||||
Sodexo SA | 2,202 | 208,986 | ||||||
Suez Environnement Co. | 7,766 | 144,373 | ||||||
Technip SA | 2,623 | 162,260 | ||||||
Thales SA | 2,681 | 161,785 | ||||||
Total SA | 51,502 | 2,500,200 | ||||||
Unibail-Rodamco SE REIT | 2,369 | 598,384 | ||||||
Valeo SA | 1,831 | 288,368 | ||||||
Vallourec SA | 2,364 | 48,254 | ||||||
Veolia Environnement SA | 10,508 | 214,140 | ||||||
Vinci SA | 11,391 | 658,453 | ||||||
Vivendi SA | 27,685 | 697,905 | ||||||
Wendel SA | 611 | 74,851 | ||||||
Zodiac Aerospace | 5,142 | 167,293 | ||||||
|
| |||||||
28,836,474 | ||||||||
|
| |||||||
Germany – 8.3% |
| |||||||
adidas AG | 5,113 | 391,092 | ||||||
Allianz SE | 10,892 | 1,695,380 | ||||||
Axel Springer SE | 948 | 49,739 | ||||||
BASF SE | 21,869 | 1,920,563 | ||||||
Bayer AG | 19,887 | 2,781,949 | ||||||
Bayerische Motoren Werke AG | 7,945 | 869,121 | ||||||
Bayerische Motoren Werke AG Preference Shares | 1,160 | 98,137 | ||||||
Beiersdorf AG | 2,530 | 211,814 | ||||||
Brenntag AG | 3,868 | 221,649 | ||||||
Commerzbank AG(a) | 26,143 | 333,959 | ||||||
Continental AG | 2,656 | 628,115 | ||||||
Daimler AG | 22,917 | 2,084,605 | ||||||
Deutsche Annington Immobilien SE | 10,339 | 291,449 | ||||||
Deutsche Bank AG | 33,048 | 992,355 | ||||||
Deutsche Boerse AG | 4,718 | 390,317 | ||||||
Deutsche Lufthansa AG(a) | 4,927 | 63,488 | ||||||
Deutsche Post AG | 23,347 | 681,677 | ||||||
Deutsche Telekom AG | 75,833 | 1,305,419 | ||||||
Deutsche Wohnen AG | 8,493 | 194,510 | ||||||
E.ON SE | 48,257 | 642,527 | ||||||
Evonik Industries AG | 1,984 | 75,657 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 885 | 55,555 | ||||||
Fresenius Medical Care AG & Co. KGaA | 5,303 | 437,473 | ||||||
Fresenius SE & Co. KGaA | 9,175 | 588,321 | ||||||
Fuchs Petrolub SE Preference Shares | 1,480 | 62,473 | ||||||
GEA Group AG | 4,600 | 205,064 | ||||||
Hannover Rueck SE | 1,573 | 152,111 | ||||||
HeidelbergCement AG | 3,260 | 258,365 | ||||||
Henkel AG & Co. KGaA(b) | 2,418 | 230,322 | ||||||
Henkel AG & Co. KGaA(b) | 4,325 | 484,783 | ||||||
Hugo Boss AG | 1,693 | 189,106 |
See Notes to Financial Statements.
3
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – (continued) |
| |||||||
Germany – (continued) |
| |||||||
Infineon Technologies AG | 27,654 | $ | 342,938 | |||||
ISS AS | 3,162 | 104,278 | ||||||
K+S AG | 4,982 | 209,742 | ||||||
Kabel Deutschland Holding AG(a) | 471 | 62,975 | ||||||
Lanxess AG | 2,402 | 141,550 | ||||||
Linde AG | 4,460 | 844,289 | ||||||
MAN SE | 750 | 77,206 | ||||||
Merck KGaA | 2,971 | 295,873 | ||||||
Metro AG | 4,271 | 134,577 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG | 4,162 | 737,331 | ||||||
OSRAM Licht AG | 1,895 | 90,696 | ||||||
Porsche Automobil Holding SE Preference Shares | 3,519 | 296,300 | ||||||
ProSiebenSat.1 Media AG | 5,076 | 250,546 | ||||||
RWE AG | 11,352 | 243,924 | ||||||
SAP SE | 23,429 | 1,634,147 | ||||||
Siemens AG | 18,882 | 1,900,812 | ||||||
Symrise AG | 3,119 | 193,464 | ||||||
Telefonica Deutschland Holding AG | 12,667 | 72,967 | ||||||
ThyssenKrupp AG | 8,571 | 222,845 | ||||||
United Internet AG | 3,225 | 143,283 | ||||||
Volkswagen AG | 891 | 206,046 | ||||||
Volkswagen AG Preference Shares | 3,899 | 903,607 | ||||||
|
| |||||||
27,696,491 | ||||||||
|
| |||||||
Hong Kong – 3.0% |
| |||||||
AIA Group, Ltd. | 287,000 | 1,871,365 | ||||||
ASM Pacific Technology, Ltd. | 5,100 | 50,391 | ||||||
Bank of East Asia, Ltd. | 31,000 | 135,555 | ||||||
BOC Hong Kong Holdings, Ltd. | 91,500 | 382,403 | ||||||
Cathay Pacific Airways, Ltd. | 25,000 | 61,464 | ||||||
Cheung Kong Infrastructure Holdings, Ltd. | 17,000 | 131,899 | ||||||
Cheung Kong Property Holdings, Ltd.(a) | 65,000 | 537,436 | ||||||
CK Hutchison Holdings, Ltd. | 65,000 | 959,168 | ||||||
CLP Holdings, Ltd. | 47,000 | 398,914 | ||||||
First Pacific Co., Ltd. | 50,000 | 42,115 | ||||||
Galaxy Entertainment Group, Ltd. | 58,000 | 230,427 | ||||||
Hang Lung Properties, Ltd. | 58,000 | 172,821 | ||||||
Hang Seng Bank, Ltd. | 18,700 | 365,435 | ||||||
Henderson Land Development Co., Ltd. | 29,000 | 199,193 | ||||||
HKT Trust & HKT, Ltd. | 56,000 | 65,733 | ||||||
Hong Kong & China Gas Co., Ltd. | 172,000 | 361,192 | ||||||
Hong Kong Exchanges and Clearing, Ltd. | 26,600 | 938,757 | ||||||
Hysan Development Co., Ltd. | 14,000 | 60,587 | ||||||
Li & Fung, Ltd. | 124,000 | 98,368 | ||||||
Link REIT | 57,000 | 334,167 | ||||||
MTR Corp., Ltd. | 37,000 | 172,053 | ||||||
New World Development Co., Ltd. | 136,000 | 178,584 | ||||||
Noble Group, Ltd. | 101,000 | 57,007 | ||||||
NWS Holdings, Ltd. | 32,000 | 46,478 | ||||||
PCCW, Ltd. | 87,000 | 51,846 | ||||||
Power Assets Holdings, Ltd. | 32,000 | 291,414 | ||||||
Sands China, Ltd. | 60,800 | 203,907 | ||||||
Shangri-La Asia, Ltd. | 26,000 | 36,220 | ||||||
SJM Holdings, Ltd. | 42,000 | 45,345 | ||||||
Sun Hung Kai Properties, Ltd. | 41,000 | 665,833 | ||||||
Swire Pacific, Ltd. | 15,000 | 188,744 | ||||||
Swire Properties, Ltd. | 25,000 | 79,651 | ||||||
Techtronic Industries Co., Ltd. | 29,000 | 95,388 | ||||||
WH Group, Ltd.(a) | 124,500 | 84,953 | ||||||
Wharf Holdings, Ltd. | 32,000 | 212,988 | ||||||
Wheelock & Co., Ltd. | 24,000 | 123,056 | ||||||
Wynn Macau, Ltd. | 33,200 | 55,158 | ||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 41,000 | 43,086 | ||||||
Yue Yuen Industrial Holdings, Ltd. | 16,000 | 53,350 | ||||||
|
| |||||||
10,082,451 | ||||||||
|
| |||||||
Ireland – 0.4% |
| |||||||
Bank of Ireland(a) | 638,058 | 257,354 | ||||||
CRH PLC | 19,711 | 556,078 | ||||||
James Hardie Industries PLC | 11,721 | 156,032 | ||||||
Kerry Group PLC | 3,656 | 270,848 | ||||||
Ryanair Holdings PLC | 3,826 | 50,388 | ||||||
|
| |||||||
1,290,700 | ||||||||
|
| |||||||
Israel – 0.6% |
| |||||||
Azrieli Group | 775 | 30,960 | ||||||
Bank Hapoalim BM | 27,714 | 149,355 | ||||||
Bank Leumi Le-Israel BM(a) | 36,504 | 154,439 | ||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 40,897 | 69,708 | ||||||
Delek Group, Ltd. | 100 | 29,504 | ||||||
Israel Chemicals, Ltd. | 10,829 | 75,697 | ||||||
Israel Corp., Ltd. | 66 | 23,287 | ||||||
Mizrahi Tefahot Bank, Ltd. | 2,948 | 36,580 | ||||||
NICE Systems, Ltd. | 1,233 | 78,443 | ||||||
Teva Pharmaceutical Industries, Ltd. | 21,006 | 1,242,853 | ||||||
|
| |||||||
1,890,826 | ||||||||
|
| |||||||
Italy – 2.0% |
| |||||||
Assicurazioni Generali SpA | 28,308 | 509,699 | ||||||
Atlantia SpA | 9,599 | 237,006 | ||||||
Banca Monte dei Paschi di Siena SpA(a) | 55,370 | 107,716 | ||||||
Banco Popolare(a) | 9,405 | 154,671 | ||||||
Enel Green Power SpA | 37,262 | 72,780 | ||||||
Enel SpA | 169,611 | 768,017 | ||||||
Eni SpA | 60,882 | 1,079,929 | ||||||
Exor SpA | 2,097 | 100,048 | ||||||
Finmeccanica SpA(a) | 10,664 | 134,027 | ||||||
Intesa Sanpaolo SpA | 303,346 | 1,099,137 | ||||||
Intesa Sanpaolo SpA Preference Shares | 19,855 | 63,314 | ||||||
Luxottica Group SpA | 3,901 | 259,268 | ||||||
Mediobanca SpA | 14,677 | 143,826 | ||||||
Pirelli & C. SpA | 5,572 | 93,994 | ||||||
Prysmian SpA | 4,154 | 89,698 | ||||||
Saipem SpA(a) | 5,638 | 59,521 | ||||||
Snam SpA | 48,836 | 232,235 | ||||||
Telecom Italia SpA(a)(b) | 232,393 | 294,665 | ||||||
Telecom Italia SpA(b) | 156,546 | 159,685 |
See Notes to Financial Statements.
4
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – (continued) |
| |||||||
Italy – (continued) |
| |||||||
Terna Rete Elettrica Nazionale SpA | 38,446 | $ | 169,804 | |||||
UniCredit SpA | 115,005 | 772,035 | ||||||
Unione di Banche Italiane SCpA | 22,866 | 183,309 | ||||||
UnipolSai SpA | 16,959 | 41,986 | ||||||
|
| |||||||
6,826,370 | ||||||||
|
| |||||||
Japan – 21.2% |
| |||||||
ABC-Mart, Inc. | 600 | 36,726 | ||||||
Acom Co., Ltd.(a) | 8,500 | 32,648 | ||||||
Advantest Corp. | 3,200 | 33,317 | ||||||
Aeon Co., Ltd. | 16,400 | 232,869 | ||||||
AEON Financial Service Co., Ltd. | 2,200 | 61,129 | ||||||
Aeon Mall Co., Ltd. | 2,400 | 44,993 | ||||||
Air Water, Inc. | 4,000 | 73,256 | ||||||
Aisin Seiki Co., Ltd. | 4,800 | 204,372 | ||||||
Ajinomoto Co., Inc. | 13,000 | 281,694 | ||||||
Alfresa Holdings Corp. | 3,800 | 59,190 | ||||||
Amada Holdings Co., Ltd. | 7,400 | 78,254 | ||||||
ANA Holdings, Inc. | 25,000 | 67,850 | ||||||
Aozora Bank, Ltd. | 25,000 | 94,390 | ||||||
Asahi Glass Co., Ltd. | 25,000 | 150,165 | ||||||
Asahi Group Holdings, Ltd. | 9,700 | 308,563 | ||||||
Asahi Kasei Corp. | 31,000 | 254,734 | ||||||
Asics Corp. | 3,400 | 87,942 | ||||||
Astellas Pharma, Inc. | 51,700 | 737,485 | ||||||
Bandai Namco Holdings, Inc. | 3,800 | 73,537 | ||||||
Bank of Kyoto, Ltd. | 9,000 | 103,706 | ||||||
Bank of Yokohama, Ltd. | 29,000 | 177,889 | ||||||
Benesse Holdings, Inc. | 1,400 | 35,124 | ||||||
Bridgestone Corp. | 15,700 | 580,899 | ||||||
Brother Industries, Ltd. | 5,000 | 70,854 | ||||||
Calbee, Inc. | 1,600 | 67,470 | ||||||
Canon, Inc. | 25,600 | 833,179 | ||||||
Casio Computer Co., Ltd. | 4,300 | 84,900 | ||||||
Central Japan Railway Co. | 3,500 | 632,268 | ||||||
Chiba Bank, Ltd. | 18,000 | 137,245 | ||||||
Chiyoda Corp. | 3,000 | 26,576 | ||||||
Chubu Electric Power Co., Inc. | 15,100 | 225,146 | ||||||
Chugai Pharmaceutical Co., Ltd. | 5,700 | 196,809 | ||||||
Chugoku Bank, Ltd. | 3,500 | 55,232 | ||||||
Chugoku Electric Power Co., Inc. | 6,300 | 91,953 | ||||||
Citizen Holdings Co., Ltd. | 5,600 | 39,083 | ||||||
COLOPL, Inc. | 1,000 | 20,210 | ||||||
Credit Saison Co., Ltd. | 3,200 | 68,621 | ||||||
Dai Nippon Printing Co., Ltd. | 15,000 | 155,008 | ||||||
Dai-ichi Life Insurance Co., Ltd. | 26,200 | 515,264 | ||||||
Daicel Corp. | 6,200 | 79,650 | ||||||
Daihatsu Motor Co., Ltd. | 4,100 | 58,402 | ||||||
Daiichi Sankyo Co., Ltd. | 14,800 | 273,830 | ||||||
Daikin Industries, Ltd. | 5,700 | 410,340 | ||||||
Daito Trust Construction Co., Ltd. | 1,700 | 176,161 | ||||||
Daiwa House Industry Co., Ltd. | 13,700 | 319,422 | ||||||
Daiwa Securities Group, Inc. | 41,000 | 307,320 | ||||||
Denso Corp. | 11,800 | 587,854 | ||||||
Dentsu, Inc. | 5,000 | 259,061 | ||||||
Don Quijote Holdings Co., Ltd. | 2,600 | 110,702 | ||||||
East Japan Railway Co. | 8,100 | 728,811 | ||||||
Eisai Co., Ltd. | 6,200 | 416,289 | ||||||
Electric Power Development Co., Ltd. | 3,100 | 109,570 | ||||||
FamilyMart Co., Ltd. | 1,200 | 55,212 | ||||||
FANUC Corp. | 4,900 | 1,004,307 | ||||||
Fast Retailing Co., Ltd. | 1,300 | 590,267 | ||||||
Fuji Electric Co., Ltd. | 12,000 | 51,681 | ||||||
Fuji Heavy Industries, Ltd. | 14,200 | 523,137 | ||||||
FUJIFILM Holdings Corp. | 11,300 | 403,878 | ||||||
Fujitsu, Ltd. | 46,000 | 257,283 | ||||||
Fukuoka Financial Group, Inc. | 16,000 | 83,030 | ||||||
GungHo Online Entertainment, Inc. | 8,600 | 33,454 | ||||||
Gunma Bank, Ltd. | 8,000 | 59,102 | ||||||
Hachijuni Bank, Ltd. | 9,000 | 67,961 | ||||||
Hakuhodo DY Holdings, Inc. | 5,000 | 53,569 | ||||||
Hamamatsu Photonics KK | 3,000 | 88,506 | ||||||
Hankyu Hanshin Holdings, Inc. | 27,000 | 159,531 | ||||||
Hikari Tsushin, Inc. | 400 | 27,001 | ||||||
Hino Motors, Ltd. | 5,500 | 68,051 | ||||||
Hirose Electric Co., Ltd. | 700 | 100,282 | ||||||
Hiroshima Bank, Ltd. | 11,000 | 65,803 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 1,200 | 46,631 | ||||||
Hitachi Chemical Co., Ltd. | 2,200 | 39,698 | ||||||
Hitachi Construction Machinery Co., Ltd. | 2,300 | 40,299 | ||||||
Hitachi High-Technologies Corp. | 1,500 | 42,230 | ||||||
Hitachi Metals, Ltd. | 5,000 | 76,860 | ||||||
Hitachi, Ltd. | 116,000 | 764,833 | ||||||
Hokuhoku Financial Group, Inc. | 26,000 | 61,406 | ||||||
Hokuriku Electric Power Co. | 3,600 | 53,662 | ||||||
Honda Motor Co., Ltd. | 39,000 | 1,262,604 | ||||||
Hoya Corp. | 10,400 | 417,054 | ||||||
Hulic Co., Ltd. | 6,300 | 55,913 | ||||||
Ibiden Co., Ltd. | 2,600 | 43,983 | ||||||
Idemitsu Kosan Co., Ltd. | 1,900 | 37,312 | ||||||
IHI Corp. | 36,000 | 167,695 | ||||||
Iida Group Holdings Co., Ltd. | 3,000 | 47,808 | ||||||
Inpex Corp. | 22,100 | 251,315 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 9,200 | 164,505 | ||||||
Isuzu Motors, Ltd. | 15,100 | 198,368 | ||||||
ITOCHU Corp. | 38,300 | 506,118 | ||||||
Itochu Techno-Solutions Corp. | 1,000 | 24,925 | ||||||
Iyo Bank, Ltd. | 5,200 | 63,914 | ||||||
J Front Retailing Co., Ltd. | 5,100 | 96,027 | ||||||
Japan Airlines Co., Ltd. | 3,000 | 104,687 | ||||||
Japan Airport Terminal Co., Ltd. | 900 | 49,058 | ||||||
Japan Display, Inc.(a) | 8,000 | 30,139 | ||||||
Japan Exchange Group, Inc. | 6,500 | 211,151 | ||||||
Japan Prime Realty Investment Corp. REIT | 17 | 52,862 | ||||||
Japan Real Estate Investment Corp. REIT | 33 | 149,945 | ||||||
Japan Retail Fund Investment Corp. REIT | 52 | 104,072 | ||||||
Japan Tobacco, Inc. | 26,400 | 940,769 | ||||||
JFE Holdings, Inc. | 11,400 | 253,080 | ||||||
JGC Corp. | 5,000 | 94,471 | ||||||
Joyo Bank, Ltd. | 13,000 | 72,880 | ||||||
JSR Corp. | 4,100 | 72,508 | ||||||
JTEKT Corp. | 4,400 | 83,351 |
See Notes to Financial Statements.
5
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) |
| |||||||
JX Holdings, Inc. | 52,500 | $ | 226,621 | |||||
Kajima Corp. | 18,000 | 84,583 | ||||||
Kakaku.com, Inc. | 3,100 | 44,892 | ||||||
Kamigumi Co., Ltd. | 5,000 | 46,991 | ||||||
Kaneka Corp. | 6,000 | 43,885 | ||||||
Kansai Electric Power Co., Inc.(a) | 17,800 | 197,180 | ||||||
Kansai Paint Co., Ltd. | 5,000 | 77,514 | ||||||
Kao Corp. | 12,200 | 567,602 | ||||||
Kawasaki Heavy Industries, Ltd. | 36,000 | 167,989 | ||||||
KDDI Corp. | 41,900 | 1,011,503 | ||||||
Keihan Electric Railway Co., Ltd. | 11,000 | 64,095 | ||||||
Keikyu Corp. | 10,000 | 75,512 | ||||||
Keio Corp. | 12,000 | 85,907 | ||||||
Keisei Electric Railway Co., Ltd. | 6,000 | 71,393 | ||||||
Keyence Corp. | 1,100 | 593,846 | ||||||
Kikkoman Corp. | 4,000 | 125,036 | ||||||
Kintetsu Group Holdings Co., Ltd. | 47,000 | 160,168 | ||||||
Kirin Holdings Co., Ltd. | 19,000 | 261,791 | ||||||
Kobe Steel, Ltd. | 82,000 | 138,046 | ||||||
Koito Manufacturing Co., Ltd. | 2,200 | 85,850 | ||||||
Komatsu, Ltd. | 22,700 | 455,799 | ||||||
Konami Corp. | 2,000 | 37,200 | ||||||
Konica Minolta, Inc. | 12,100 | 141,306 | ||||||
Kubota Corp. | 27,000 | 428,395 | ||||||
Kuraray Co., Ltd. | 7,300 | 89,307 | ||||||
Kurita Water Industries, Ltd. | 2,300 | 53,644 | ||||||
Kyocera Corp. | 7,800 | 405,601 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 5,000 | 65,419 | ||||||
Kyushu Electric Power Co., Inc.(a) | 9,100 | 105,602 | ||||||
Lawson, Inc. | 1,400 | 95,877 | ||||||
LIXIL Group Corp. | 5,700 | 113,194 | ||||||
M3, Inc. | 4,100 | 82,493 | ||||||
Mabuchi Motor Co., Ltd. | 1,000 | 63,253 | ||||||
Makita Corp. | 3,000 | 162,792 | ||||||
Marubeni Corp. | 41,300 | 237,037 | ||||||
Marui Group Co., Ltd. | 5,100 | 68,936 | ||||||
Maruichi Steel Tube, Ltd. | 1,000 | 24,844 | ||||||
Mazda Motor Corp. | 12,500 | 244,964 | ||||||
McDonald’s Holdings Co. (Japan), Ltd. | 1,400 | 29,575 | ||||||
Medipal Holdings Corp. | 2,900 | 47,328 | ||||||
MEIJI Holdings Co., Ltd. | 1,500 | 193,683 | ||||||
Minebea Co., Ltd. | 7,000 | 115,613 | ||||||
Miraca Holdings, Inc. | 1,200 | 60,017 | ||||||
Mitsubishi Chemical Holdings Corp. | 34,100 | 214,719 | ||||||
Mitsubishi Corp. | 33,200 | 730,392 | ||||||
Mitsubishi Electric Corp. | 47,000 | 607,641 | ||||||
Mitsubishi Estate Co., Ltd. | 30,000 | 646,386 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 8,000 | 44,849 | ||||||
Mitsubishi Heavy Industries, Ltd. | 74,000 | 450,356 | ||||||
Mitsubishi Logistics Corp. | 3,000 | 39,423 | ||||||
Mitsubishi Materials Corp. | 24,000 | 92,183 | ||||||
Mitsubishi Motors Corp. | 16,800 | 143,061 | ||||||
Mitsubishi Tanabe Pharma Corp. | 4,800 | 71,981 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 303,500 | 2,182,154 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 10,500 | 57,492 | ||||||
Mitsui & Co., Ltd. | 41,300 | 561,118 | ||||||
Mitsui Chemicals, Inc. | 17,000 | 63,213 | ||||||
Mitsui Fudosan Co., Ltd. | 23,000 | 644,147 | ||||||
Mitsui OSK Lines, Ltd. | 24,000 | 76,885 | ||||||
Mixi, Inc. | 900 | 44,719 | ||||||
Mizuho Financial Group, Inc. | 556,000 | 1,204,102 | ||||||
MS&AD Insurance Group Holdings, Inc. | 12,400 | 386,395 | ||||||
Murata Manufacturing Co., Ltd. | 4,900 | 855,343 | ||||||
Nabtesco Corp. | 2,600 | 65,231 | ||||||
Nagoya Railroad Co., Ltd. | 19,000 | 71,115 | ||||||
NEC Corp. | 61,000 | 184,947 | ||||||
Nexon Co., Ltd. | 2,800 | 38,534 | ||||||
NGK Insulators, Ltd. | 6,000 | 154,701 | ||||||
NGK Spark Plug Co., Ltd. | 4,700 | 130,401 | ||||||
NH Foods, Ltd. | 4,000 | 91,333 | ||||||
NHK Spring Co., Ltd. | 3,400 | 37,483 | ||||||
Nidec Corp. | 5,300 | 396,964 | ||||||
Nikon Corp. | 7,300 | 84,475 | ||||||
Nintendo Co., Ltd. | 2,600 | 434,945 | ||||||
Nippon Building Fund, Inc. REIT | 37 | 162,072 | ||||||
Nippon Electric Glass Co., Ltd. | 8,000 | 40,534 | ||||||
Nippon Express Co., Ltd. | 18,000 | 88,555 | ||||||
Nippon Paint Holdings Co., Ltd. | 3,100 | 87,529 | ||||||
Nippon Prologis REIT, Inc. | 31 | 57,103 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 185,000 | 479,868 | ||||||
Nippon Telegraph & Telephone Corp. | 18,200 | 659,418 | ||||||
Nippon Yusen KK | 34,000 | 94,749 | ||||||
Nissan Motor Co., Ltd. | 60,100 | 626,221 | ||||||
Nisshin Seifun Group, Inc. | 4,500 | 59,870 | ||||||
Nissin Foods Holdings Co., Ltd. | 1,400 | 61,439 | ||||||
Nitori Holdings Co., Ltd. | 1,900 | 154,963 | ||||||
Nitto Denko Corp. | 4,100 | 337,074 | ||||||
NOK Corp. | 2,000 | 62,109 | ||||||
Nomura Holdings, Inc. | 87,800 | 595,977 | ||||||
Nomura Real Estate Holdings, Inc. | 2,600 | 54,607 | ||||||
Nomura Research Institute, Ltd. | 2,400 | 93,948 | ||||||
NSK, Ltd. | 11,900 | 183,900 | ||||||
NTT Data Corp. | 3,300 | 144,281 | ||||||
NTT DoCoMo, Inc. | 36,800 | 704,934 | ||||||
NTT Urban Development Corp. | 2,500 | 24,885 | ||||||
Obayashi Corp. | �� | 14,000 | 102,170 | |||||
Odakyu Electric Railway Co., Ltd. | 15,000 | 140,114 | ||||||
Oji Holdings Corp. | 17,000 | 73,910 | ||||||
Olympus Corp. | 6,400 | 221,240 | ||||||
Omron Corp. | 4,900 | 213,035 | ||||||
Ono Pharmaceutical Co., Ltd. | 2,100 | 229,453 | ||||||
Oracle Corp. Japan | 800 | 33,474 | ||||||
Oriental Land Co., Ltd. | 4,600 | 293,785 | ||||||
ORIX Corp. | 32,200 | 479,191 | ||||||
Osaka Gas Co., Ltd. | 48,000 | 189,584 | ||||||
Otsuka Corp. | 1,100 | 51,420 | ||||||
Otsuka Holdings Co., Ltd. | 9,000 | 287,104 | ||||||
Panasonic Corp. | 53,100 | 729,683 | ||||||
Park24 Co., Ltd. | 2,000 | 34,275 | ||||||
Rakuten, Inc. | 18,400 | 297,356 |
See Notes to Financial Statements.
6
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) |
| |||||||
Recruit Holdings Co., Ltd. | 3,000 | $ | 91,570 | |||||
Resona Holdings, Inc. | 51,000 | 278,621 | ||||||
Ricoh Co., Ltd. | 18,000 | 186,818 | ||||||
Rinnai Corp. | 800 | 63,090 | ||||||
Rohm Co., Ltd. | 2,500 | 167,736 | ||||||
Sankyo Co., Ltd. | 1,000 | 35,427 | ||||||
Sanrio Co., Ltd. | 1,000 | 27,173 | ||||||
Santen Pharmaceutical Co., Ltd. | 9,800 | 138,793 | ||||||
SBI Holdings, Inc. | 4,500 | 62,003 | ||||||
Secom Co., Ltd. | 5,200 | 337,629 | ||||||
Sega Sammy Holdings, Inc. | 4,000 | 52,303 | ||||||
Seibu Holdings, Inc. | 3,000 | 69,530 | ||||||
Seiko Epson Corp. | 6,000 | 106,452 | ||||||
Sekisui Chemical Co., Ltd. | 9,000 | 110,546 | ||||||
Sekisui House, Ltd. | 14,900 | 236,715 | ||||||
Seven & I Holdings Co., Ltd. | 18,100 | 778,049 | ||||||
Seven Bank, Ltd. | 12,700 | 58,848 | ||||||
Sharp Corp.(a) | 31,000 | 37,748 | ||||||
Shikoku Electric Power Co., Inc. | 3,800 | 56,923 | ||||||
Shimadzu Corp. | 6,000 | 81,543 | ||||||
Shimamura Co., Ltd. | 500 | 52,548 | ||||||
Shimano, Inc. | 2,000 | 272,954 | ||||||
Shimizu Corp. | 13,000 | 109,533 | ||||||
Shin-Etsu Chemical Co., Ltd. | 9,900 | 614,801 | ||||||
Shinsei Bank, Ltd. | 38,000 | 76,705 | ||||||
Shionogi & Co., Ltd. | 7,400 | 286,953 | ||||||
Shiseido Co., Ltd. | 9,100 | 206,593 | ||||||
Shizuoka Bank, Ltd. | 13,000 | 135,880 | ||||||
Showa Shell Sekiyu KK | 4,000 | 34,977 | ||||||
SMC Corp. | 1,300 | 391,652 | ||||||
SoftBank Corp. | 22,900 | 1,349,128 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 7,700 | 282,634 | ||||||
Sony Corp.(a) | 28,100 | 794,902 | ||||||
Sony Financial Holdings, Inc. | 3,700 | 64,889 | ||||||
Stanley Electric Co., Ltd. | 3,000 | 62,567 | ||||||
Sumitomo Chemical Co., Ltd. | 37,000 | 222,547 | ||||||
Sumitomo Corp. | 25,900 | 301,406 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 3,400 | 37,483 | ||||||
Sumitomo Electric Industries, Ltd. | 17,400 | 269,749 | ||||||
Sumitomo Heavy Industries, Ltd. | 12,000 | 70,020 | ||||||
Sumitomo Metal Mining Co., Ltd. | 11,000 | 167,519 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 30,400 | 1,356,218 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 82,000 | 375,673 | ||||||
Sumitomo Realty & Development Co., Ltd. | 9,000 | 315,789 | ||||||
Sumitomo Rubber Industries, Ltd. | 3,600 | 55,810 | ||||||
Suntory Beverage & Food, Ltd. | 3,000 | 119,519 | ||||||
Suruga Bank, Ltd. | 3,800 | 81,581 | ||||||
Suzuken Co. Ltd/Aichi Japan | 1,600 | 51,256 | ||||||
Suzuki Motor Corp. | 8,400 | 283,856 | ||||||
Sysmex Corp. | 3,700 | 220,733 | ||||||
T&D Holdings, Inc. | 14,500 | 216,259 | ||||||
Taiheiyo Cement Corp. | 25,000 | 73,142 | ||||||
Taisei Corp. | 27,000 | 155,118 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 700 | 47,309 | ||||||
Taiyo Nippon Sanso Corp. | 3,200 | 38,730 | ||||||
Takashimaya Co., Ltd. | 6,000 | 54,427 | ||||||
Takeda Pharmaceutical Co., Ltd. | 19,000 | 917,820 | ||||||
TDK Corp. | 2,900 | 222,065 | ||||||
Teijin, Ltd. | 20,000 | 77,637 | ||||||
Terumo Corp. | 7,700 | 184,815 | ||||||
THK Co., Ltd. | 2,600 | 56,222 | ||||||
Tobu Railway Co., Ltd. | 22,000 | 94,570 | ||||||
Toho Co., Ltd. | 2,400 | 59,723 | ||||||
Toho Gas Co., Ltd. | 9,000 | 53,324 | ||||||
Tohoku Electric Power Co., Inc. | 11,800 | 159,886 | ||||||
Tokio Marine Holdings, Inc. | 16,700 | 695,214 | ||||||
Tokyo Electric Power Co., Inc.(a) | 36,500 | 198,958 | ||||||
Tokyo Electron, Ltd. | 4,300 | 272,236 | ||||||
Tokyo Gas Co., Ltd. | 57,000 | 302,783 | ||||||
Tokyo Tatemono Co., Ltd. | 4,500 | 62,518 | ||||||
Tokyu Corp. | 28,000 | 187,635 | ||||||
Tokyu Fudosan Holdings Corp. | 10,900 | 84,089 | ||||||
TonenGeneral Sekiyu KK | 6,000 | 55,849 | ||||||
Toppan Printing Co., Ltd. | 11,000 | 92,052 | ||||||
Toray Industries, Inc. | 37,000 | 313,108 | ||||||
Toshiba Corp. | 93,000 | 319,969 | ||||||
TOTO, Ltd. | 7,000 | 126,196 | ||||||
Toyo Seikan Group Holdings, Ltd. | 3,500 | 56,119 | ||||||
Toyo Suisan Kaisha, Ltd. | 1,900 | 69,329 | ||||||
Toyoda Gosei Co., Ltd. | 1,400 | 33,786 | ||||||
Toyota Industries Corp. | 4,100 | 233,874 | ||||||
Toyota Motor Corp. | 65,700 | 4,404,340 | ||||||
Toyota Tsusho Corp. | 5,600 | 150,337 | ||||||
Trend Micro, Inc. | 2,200 | 75,332 | ||||||
Unicharm Corp. | 9,400 | 223,506 | ||||||
United Urban Investment Corp. REIT | 56 | 79,219 | ||||||
USS Co., Ltd. | 4,700 | 84,885 | ||||||
West Japan Railway Co. | 3,800 | 243,313 | ||||||
Yahoo Japan Corp. | 37,200 | 150,180 | ||||||
Yakult Honsha Co., Ltd. | 1,900 | 112,728 | ||||||
Yamada Denki Co., Ltd. | 14,400 | 57,664 | ||||||
Yamaguchi Financial Group, Inc. | 4,000 | 49,851 | ||||||
Yamaha Corp. | 3,600 | 72,668 | ||||||
Yamaha Motor Co., Ltd. | 6,900 | 150,952 | ||||||
Yamato Holdings Co., Ltd. | 8,900 | 172,341 | ||||||
Yamazaki Baking Co., Ltd. | 2,000 | 33,327 | ||||||
Yaskawa Electric Corp. | 4,800 | 61,508 | ||||||
Yokogawa Electric Corp. | 4,900 | 63,029 | ||||||
Yokohama Rubber Co., Ltd. | 2,000 | 40,175 | ||||||
|
| |||||||
71,034,460 | ||||||||
|
| |||||||
Luxembourg – 0.3% |
| |||||||
Altice SA(a) | 2,001 | 275,456 | ||||||
ArcelorMittal | 23,232 | 226,055 | ||||||
Millicom International Cellular SA | 1,407 | 103,692 | ||||||
RTL Group NPV(a) | 824 | 74,421 | ||||||
SES SA | 7,426 | 249,338 | ||||||
Subsea 7 SA(a) | 5,658 | 55,196 | ||||||
Tenaris SA | 12,239 | 164,731 | ||||||
|
| |||||||
1,148,889 | ||||||||
|
|
See Notes to Financial Statements.
7
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – (continued) |
| |||||||
Macau – 0.0%(c) |
| |||||||
MGM China Holdings, Ltd. | 20,400 | $ | 33,366 | |||||
|
| |||||||
33,366 | ||||||||
|
| |||||||
Netherlands – 2.9% |
| |||||||
Aegon NV | 41,648 | 305,896 | ||||||
Airbus Group SE | 14,114 | 915,243 | ||||||
Akzo Nobel NV | 5,973 | 434,379 | ||||||
ASML Holding NV | 8,411 | 868,741 | ||||||
Boskalis Westminster NV | 1,833 | 89,658 | ||||||
CNH Industrial NV | 23,812 | 217,026 | ||||||
Delta Lloyd NV | 4,669 | 76,602 | ||||||
Gemalto NV | 2,027 | 180,408 | ||||||
Heineken Holding NV | 2,564 | 179,836 | ||||||
Heineken NV | 5,616 | 425,938 | ||||||
ING Groep NV | 92,050 | 1,518,945 | ||||||
Koninklijke Ahold NV | 21,771 | 407,522 | ||||||
Koninklijke DSM NV | 4,210 | 243,921 | ||||||
Koninklijke KPN NV | 73,977 | 282,718 | ||||||
Koninklijke Philips NV | 22,600 | 574,629 | ||||||
Koninklijke Vopak NV | 1,497 | 75,500 | ||||||
NN Group NV | 5,071 | 142,467 | ||||||
OCI NV(a) | 1,795 | 50,700 | ||||||
QIAGEN NV(a) | 5,799 | 142,374 | ||||||
Randstad Holding NV | 3,182 | 207,086 | ||||||
Reed Elsevier NV | 16,191 | 383,801 | ||||||
STMicroelectronics NV | 16,784 | 137,544 | ||||||
TNT Express NV | 10,506 | 89,069 | ||||||
Unilever NV | 38,842 | 1,616,640 | ||||||
Wolters Kluwer NV | 7,056 | 209,478 | ||||||
|
| |||||||
9,776,121 | ||||||||
|
| |||||||
New Zealand – 0.1% |
| |||||||
Auckland International Airport, Ltd. | 20,279 | 67,682 | ||||||
Contact Energy, Ltd. | 7,808 | 26,455 | ||||||
Fletcher Building, Ltd. | 14,646 | 80,429 | ||||||
Meridian Energy, Ltd. | 27,286 | 39,860 | ||||||
Mighty River Power, Ltd. | 14,905 | 28,124 | ||||||
Ryman Healthcare, Ltd. | 7,984 | 42,765 | ||||||
Spark New Zealand, Ltd. | 39,067 | 73,847 | ||||||
|
| |||||||
359,162 | ||||||||
|
| |||||||
Norway – 0.6% |
| |||||||
DNB ASA | 23,874 | 396,914 | ||||||
Gjensidige Forsikring ASA | 4,258 | 68,409 | ||||||
Norsk Hydro ASA | 35,085 | 147,386 | ||||||
Orkla ASA | 21,114 | 165,584 | ||||||
Seadrill, Ltd. | 7,869 | 81,716 | ||||||
Statoil ASA | 27,110 | 482,760 | ||||||
Telenor ASA | 18,330 | 400,266 | ||||||
Yara International ASA | 4,498 | 233,490 | ||||||
|
| |||||||
1,976,525 | ||||||||
|
| |||||||
Portugal – 0.1% |
| |||||||
Banco Comercial Portugues SA(a) | 807,757 | 70,200 | ||||||
EDP – Energias de Portugal SA | 58,028 | 220,150 | ||||||
Galp Energia SGPS SA | 8,210 | 96,233 | ||||||
Jeronimo Martins SGPS SA | 5,360 | 68,679 | ||||||
|
| |||||||
455,262 | ||||||||
|
| |||||||
Singapore – 1.3% |
| |||||||
Ascendas REIT | 44,000 | 80,386 | ||||||
CapitaLand Commercial Trust REIT | 44,000 | 50,977 | ||||||
CapitaLand Mall Trust REIT | 52,000 | 83,030 | ||||||
CapitaLand, Ltd. | 66,000 | 171,556 | ||||||
City Developments, Ltd. | 9,000 | 65,369 | ||||||
ComfortDelGro Corp., Ltd. | 46,000 | 106,929 | ||||||
DBS Group Holdings, Ltd. | 42,000 | 645,362 | ||||||
Genting Singapore PLC | 129,000 | 85,745 | ||||||
Global Logistic Properties, Ltd. | 82,000 | 154,073 | ||||||
Golden Agri-Resources, Ltd. | 150,000 | 45,674 | ||||||
Hutchison Port Holdings Trust | 121,000 | 76,230 | ||||||
Jardine Cycle & Carriage, Ltd. | 3,000 | 73,747 | ||||||
Keppel Corp., Ltd. | 36,000 | 219,770 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 73,000 | 551,905 | ||||||
SembCorp Industries, Ltd. | 21,000 | 60,668 | ||||||
SembCorp Marine, Ltd. | 18,000 | 37,965 | ||||||
Singapore Airlines, Ltd. | 15,000 | 119,532 | ||||||
Singapore Exchange, Ltd. | 17,000 | 98,856 | ||||||
Singapore Press Holdings, Ltd. | 34,000 | 103,023 | ||||||
Singapore Technologies Engineering, Ltd. | 33,000 | 80,876 | ||||||
Singapore Telecommunications, Ltd. | 193,000 | 603,439 | ||||||
StarHub, Ltd. | 13,000 | 38,136 | ||||||
Suntec REIT | 51,000 | 65,336 | ||||||
United Overseas Bank, Ltd. | 31,000 | 531,133 | ||||||
UOL Group, Ltd. | 10,000 | 51,392 | ||||||
Wilmar International, Ltd. | 41,000 | 99,874 | ||||||
|
| |||||||
4,300,983 | ||||||||
|
| |||||||
South Africa – 0.1% |
| |||||||
Mondi PLC | 9,262 | 199,705 | ||||||
|
| |||||||
199,705 | ||||||||
|
| |||||||
Spain – 3.3% |
| |||||||
Abertis Infraestructuras SA | 11,438 | 187,467 | ||||||
ACS, Actividades de Construccion y Servicios SA | 4,908 | 157,793 | ||||||
Aena SA(a) | 1,718 | 179,437 | ||||||
Amadeus IT Holding SA | 10,900 | 434,237 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 150,633 | 1,475,608 | ||||||
Banco de Sabadell SA | 114,015 | 275,032 | ||||||
Banco Popular Espanol SA | 42,596 | 206,263 | ||||||
Banco Santander SA | 345,709 | 2,412,823 | ||||||
Bankia SA(a) | 120,233 | 152,450 | ||||||
Bankinter SA | 17,815 | 131,582 | ||||||
CaixaBank SA | 52,935 | 245,122 | ||||||
Distribuidora Internacional de Alimentacion SA | 13,170 | 100,517 | ||||||
Enagas SA(b) | 5,599 | 152,186 | ||||||
Endesa SA(b) | 8,266 | 158,089 | ||||||
Ferrovial SA | 10,395 | 225,272 | ||||||
Gas Natural SDG SA | 8,821 | 199,909 | ||||||
Grifols SA | 3,885 | 156,395 | ||||||
Iberdrola SA | 130,316 | 877,287 | ||||||
Inditex SA | 26,184 | 850,574 | ||||||
International Consolidated Airlines Group SA(a) | 20,864 | 162,169 |
See Notes to Financial Statements.
8
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – (continued) |
| |||||||
Spain – (continued) |
| |||||||
Mapfre SA | 22,950 | $ | 78,937 | |||||
Red Electrica Corp. SA | 2,715 | 217,441 | ||||||
Repsol SA | 25,133 | 441,050 | ||||||
Telefonica SA | 106,239 | 1,509,236 | ||||||
Zardoya Otis SA | 3,705 | 40,332 | ||||||
|
| |||||||
11,027,208 | ||||||||
|
| |||||||
Sweden – 2.7% |
| |||||||
Alfa Laval AB | 7,742 | 136,132 | ||||||
Assa Abloy AB (Class B) | 24,369 | 458,451 | ||||||
Atlas Copco AB (Class A) | 16,326 | 456,479 | ||||||
Atlas Copco AB (Class B) | 9,088 | 226,173 | ||||||
Boliden AB | 7,218 | 131,442 | ||||||
Electrolux AB | 6,083 | 190,463 | ||||||
Elekta AB (Class B) | 7,848 | 49,183 | ||||||
Getinge AB (Class B) | 4,262 | 102,473 | ||||||
Hennes & Mauritz AB (Class B) | 22,776 | 876,180 | ||||||
Hexagon AB (Class B) | 5,983 | 216,607 | ||||||
Husqvarna AB (Class B) | 8,774 | 66,036 | ||||||
ICA Gruppen AB | 1,648 | 58,412 | ||||||
Industrivarden AB | 3,495 | 65,793 | ||||||
Kinnevik Investment AB (Class B) | 5,955 | 188,106 | ||||||
Investor AB (Class B) | 11,108 | 413,530 | ||||||
Lundin Petroleum AB(a) | 4,636 | 79,339 | ||||||
Nordea Bank AB | 72,852 | 907,851 | ||||||
Sandvik AB | 24,588 | 271,587 | ||||||
Securitas AB (Class B) | 6,667 | 88,063 | ||||||
Skandinaviska Enskilda Banken AB (Class A) | 36,914 | 471,574 | ||||||
Skanska AB (Class B) | 9,598 | 194,331 | ||||||
SKF AB (Class B) | 9,271 | 211,286 | ||||||
Svenska Cellulosa AB (Class B) | 14,405 | 365,963 | ||||||
Svenska Handelsbanken AB (Class A) | 36,271 | 528,929 | ||||||
Swedbank AB (Class A) | 21,967 | 511,747 | ||||||
Swedish Match AB | 5,237 | 148,826 | ||||||
Tele2 AB (Class B) | 6,795 | 78,944 | ||||||
Telefonaktiebolaget LM Ericsson (Class B) | 73,155 | 757,338 | ||||||
TeliaSonera AB | 63,579 | 374,003 | ||||||
Volvo AB (Class B) | 37,277 | 462,284 | ||||||
|
| |||||||
9,087,525 | ||||||||
|
| |||||||
Switzerland – 8.7% | ||||||||
ABB, Ltd. | 52,614 | 1,102,330 | ||||||
Actelion, Ltd. | 2,516 | 368,294 | ||||||
Adecco SA | 4,179 | 339,400 | ||||||
Aryzta AG | 1,857 | 91,603 | ||||||
Baloise Holding AG | 1,301 | 158,701 | ||||||
Barry Callebaut AG | 47 | 53,560 | ||||||
Chocoladefabriken Lindt & Sprungli AG(b) | 25 | 132,256 | ||||||
Chocoladefabriken Lindt & Sprungli AG(b) | 3 | 187,727 | ||||||
Cie Financiere Richemont SA | 12,505 | 1,017,608 | ||||||
Coca-Cola HBC AG | 4,267 | 91,802 | ||||||
Credit Suisse Group AG | 36,589 | 1,006,193 | ||||||
Dufry AG(a) | 928 | 129,287 | ||||||
EMS-Chemie Holding AG | 174 | 73,543 | ||||||
Geberit AG | 871 | 290,504 | ||||||
Givaudan SA | 226 | 391,277 | ||||||
Holcim, Ltd. | 5,583 | 412,206 | ||||||
Julius Baer Group, Ltd. | 5,169 | 290,101 | ||||||
Kuehne + Nagel International AG | 1,372 | 182,189 | ||||||
Lonza Group AG | 1,345 | 179,755 | ||||||
Nestle SA | 77,390 | 5,589,669 | ||||||
Novartis AG | 55,207 | 5,443,609 | ||||||
Pargesa Holding SA | 658 | 44,287 | ||||||
Partners Group Holding AG | 341 | 101,984 | ||||||
Roche Holding AG | 16,867 | 4,728,644 | ||||||
Schindler Holding AG(b) | 1,130 | 184,877 | ||||||
Schindler Holding AG(b) | 436 | 71,240 | ||||||
SGS SA | 136 | 248,265 | ||||||
Sika AG | 55 | 194,093 | ||||||
Sonova Holding AG | 1,364 | 184,484 | ||||||
Sulzer AG | 511 | 52,574 | ||||||
Swatch Group AG(b) | 712 | 277,395 | ||||||
Swatch Group AG(b) | 1,056 | 79,323 | ||||||
Swiss Life Holding AG | 814 | 186,483 | ||||||
Swiss Prime Site AG | 1,409 | 106,970 | ||||||
Swiss Re AG | 8,474 | 750,333 | ||||||
Swisscom AG | 635 | 356,043 | ||||||
Syngenta AG | 2,229 | 906,340 | ||||||
Transocean, Ltd. | 9,478 | 153,344 | ||||||
UBS Group AG | 87,005 | 1,846,139 | ||||||
Zurich Insurance Group AG | 3,582 | 1,090,832 | ||||||
|
| |||||||
29,095,264 | ||||||||
|
| |||||||
United Kingdom – 19.0% | ||||||||
3i Group PLC | 24,525 | 199,217 | ||||||
Aberdeen Asset Management PLC | 24,303 | 154,414 | ||||||
Admiral Group PLC | 4,450 | 97,069 | ||||||
Aggreko PLC | 6,693 | 151,470 | ||||||
Amec Foster Wheeler PLC | 10,277 | 132,130 | ||||||
Anglo American PLC | 33,871 | 489,275 | ||||||
Antofagasta PLC | 8,396 | 91,044 | ||||||
ARM Holdings PLC | 34,120 | 556,460 | ||||||
Ashtead Group PLC | 12,624 | 218,193 | ||||||
Associated British Foods PLC | 8,697 | 392,689 | ||||||
AstraZeneca PLC | 30,085 | 1,901,577 | ||||||
Aviva PLC | 96,278 | 745,726 | ||||||
Babcock International Group PLC | 5,346 | 90,803 | ||||||
BAE Systems PLC | 76,369 | 541,916 | ||||||
Barclays PLC | 393,504 | 1,612,140 | ||||||
Barratt Developments PLC | 23,131 | 223,544 | ||||||
BG Group PLC | 81,548 | 1,358,815 | ||||||
BHP Billiton PLC | 50,582 | 993,584 | ||||||
BP PLC | 438,676 | 2,898,640 | ||||||
British American Tobacco PLC | 44,867 | 2,409,704 | ||||||
British Land Co. PLC REIT | 22,353 | 278,952 | ||||||
BT Group PLC | 199,792 | 1,414,587 | ||||||
Bunzl PLC | 7,807 | 213,393 | ||||||
Burberry Group PLC | 10,294 | 254,335 | ||||||
Capita PLC | 15,245 | 296,821 | ||||||
Carnival PLC | 4,305 | 219,973 | ||||||
Centrica PLC | 120,496 | 499,912 | ||||||
Cobham PLC | 24,243 | 100,274 | ||||||
Compass Group PLC | 40,148 | 664,872 | ||||||
Croda International PLC | 3,544 | 153,387 | ||||||
Diageo PLC | 59,953 | 1,735,844 |
See Notes to Financial Statements.
9
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Shares | Value | |||||||
COMMON STOCKS – (continued) |
| |||||||
United Kingdom – (continued) |
| |||||||
Direct Line Insurance Group PLC | 34,728 | $ | 183,403 | |||||
Dixons Carphone PLC | 24,917 | 177,713 | ||||||
easyJet PLC | 3,383 | 82,254 | ||||||
Experian PLC | 24,086 | 439,030 | ||||||
Fiat Chrysler Automobiles NV(a) | 22,105 | 323,630 | ||||||
Fresnillo PLC | 4,707 | 51,375 | ||||||
G4S PLC | 39,592 | 167,247 | ||||||
GKN PLC | 41,165 | 216,556 | ||||||
GlaxoSmithKline PLC | 117,086 | 2,435,267 | ||||||
Glencore PLC | 266,165 | 1,068,680 | ||||||
Hammerson PLC REIT | 19,831 | 191,963 | ||||||
Hargreaves Lansdown PLC | 5,554 | 100,712 | ||||||
HSBC Holdings PLC | 461,584 | 4,138,546 | ||||||
ICAP PLC | 11,749 | 97,839 | ||||||
IMI PLC | 5,788 | 102,406 | ||||||
Imperial Tobacco Group PLC | 22,900 | 1,104,575 | ||||||
Inmarsat PLC | 11,451 | 164,872 | ||||||
InterContinental Hotels Group PLC | 5,501 | 221,996 | ||||||
Intertek Group PLC | 4,201 | 161,869 | ||||||
Intu Properties PLC REIT | 19,627 | 94,948 | ||||||
Investec PLC | 11,758 | 105,773 | ||||||
ITV PLC | 93,633 | 387,727 | ||||||
J Sainsbury PLC | 35,094 | 146,425 | ||||||
Johnson Matthey PLC | 4,774 | 228,095 | ||||||
Kingfisher PLC | 57,703 | 315,173 | ||||||
Land Securities Group PLC REIT | 19,357 | 366,531 | ||||||
Legal & General Group PLC | 143,771 | 562,785 | ||||||
Lloyds Banking Group PLC | 1,360,557 | 1,823,922 | ||||||
London Stock Exchange Group PLC | 7,217 | 268,999 | ||||||
Marks & Spencer Group PLC | 40,425 | 340,770 | ||||||
Meggitt PLC | 20,851 | 152,944 | ||||||
Melrose Industries PLC | 21,190 | 82,481 | ||||||
Merlin Entertainments PLC | 15,109 | 101,487 | ||||||
National Grid PLC | 89,426 | 1,149,313 | ||||||
Next PLC | 3,546 | 415,471 | ||||||
Old Mutual PLC | 120,483 | 381,810 | ||||||
Pearson PLC | 20,054 | 380,044 | ||||||
Persimmon PLC | 7,151 | 222,116 | ||||||
Petrofac, Ltd. | 5,524 | 80,404 | ||||||
Prudential PLC | 61,274 | 1,476,803 | ||||||
Randgold Resources, Ltd. | 2,409 | 162,343 | ||||||
Reckitt Benckiser Group PLC | 15,425 | 1,331,329 | ||||||
Reed Elsevier PLC | 27,505 | 447,711 | ||||||
Rexam PLC | 18,326 | 159,094 | ||||||
Rio Tinto PLC | 30,407 | 1,250,044 | ||||||
Rolls-Royce Holdings PLC | 44,870 | 613,933 | ||||||
Royal Bank of Scotland Group PLC(a) | 62,550 | 345,779 | ||||||
Royal Dutch Shell PLC (Class A) | 93,691 | 2,632,370 | ||||||
Royal Dutch Shell PLC (Class B) | 58,182 | 1,653,457 | ||||||
Royal Mail PLC | 17,490 | 141,521 | ||||||
RSA Insurance Group PLC | 26,321 | 164,421 | ||||||
SABMiller PLC | 23,182 | 1,204,584 | ||||||
Sage Group PLC | 26,982 | 217,477 | ||||||
Schroders PLC | 3,224 | 161,035 | ||||||
Segro PLC REIT | 15,807 | 100,881 | ||||||
Severn Trent PLC | 6,040 | 197,676 | ||||||
Shire PLC | 14,120 | 1,131,423 | ||||||
Sky PLC | 25,190 | 410,821 | ||||||
Smith & Nephew PLC | 21,930 | 370,415 | ||||||
Smiths Group PLC | 10,040 | 178,268 | ||||||
Sports Direct International PLC(a) | 5,734 | 64,793 | ||||||
SSE PLC | 23,871 | 576,644 | ||||||
Standard Chartered PLC | 59,282 | 950,042 | ||||||
Standard Life PLC | 48,065 | 335,628 | ||||||
Tate & Lyle PLC | 9,924 | 81,081 | ||||||
Taylor Wimpey PLC | 75,861 | 221,672 | ||||||
Tesco PLC | 196,002 | 655,191 | ||||||
Travis Perkins PLC | 6,259 | 207,699 | ||||||
TUI AG | 11,457 | 185,590 | ||||||
Tullow Oil PLC | 19,395 | 103,617 | ||||||
Unilever PLC | 30,657 | 1,316,250 | ||||||
United Utilities Group PLC | 15,854 | 222,408 | ||||||
Vodafone Group PLC | 638,238 | 2,307,136 | ||||||
Weir Group PLC | 5,576 | 148,816 | ||||||
Whitbread PLC | 4,457 | 346,691 | ||||||
William Hill PLC | 22,995 | 145,778 | ||||||
William Morrison Supermarkets PLC | 57,618 | 163,833 | ||||||
Wolseley PLC | 6,346 | 405,502 | ||||||
WPP PLC | 31,618 | 709,088 | ||||||
|
| |||||||
63,626,755 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 312,494,171 | ||||||
|
| |||||||
RIGHTS – 0.0%(c) |
| |||||||
Singapore – 0.0%(c) |
| |||||||
Jardine Cycle & Carriage, Ltd. (expiring 7/15/15)(a) | 333 | 1,758 | ||||||
|
| |||||||
1,758 | ||||||||
|
| |||||||
Spain – 0.0%(c) |
| |||||||
Abertis Infraestructuras SA (expiring 7/3/15)(a) | 9,564 | 7,838 | ||||||
Repsol SA (expiring 7/3/15)(a) | 23,006 | 11,919 | ||||||
Zardoya Otis SA (expired 6/30/15)(a) | 3,705 | 1,614 | ||||||
|
| |||||||
21,371 | ||||||||
|
| |||||||
TOTAL RIGHTS – 0.0%(c) |
| 23,129 | ||||||
|
| |||||||
SHORT TERM INVESTMENT – 4.0% |
| |||||||
State Street Institutional Liquid Reserve Fund, Premier Class 0.11%(d)(e) | 13,384,510 | 13,384,510 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 97.4% |
| 325,901,810 | ||||||
Other Assets in Excess of |
| 8,800,371 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 334,702,181 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(c) | Amount represents less than 0.05% of net assets |
(d) | The rate shown is the annualized seven-day yield at period end. |
(e) | Affiliated Fund managed by SSGA Funds Management, Inc. (Note 4) |
See Notes to Financial Statements.
10
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
PLC | Public Limited Company | |
REIT | Real Estate Investment Trust |
Schedule of Futures Contracts | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | |||||||||
Mini MSCI EAFE Futures Contracts (long) Expiration Date 09/2015 | 198 | $ | 18,156,600 | $ | (673,003 | ) | ||||||
|
|
At June 30, 2015, open forward foreign currency contracts were as follows:
Counterparty | Amount Sold | Amount Bought | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Bank Of America | CHF | 216,492 | USD | 235,378 | 07/06/2015 | $ | 3,694 | |||||||||||||||||
Bank Of America | DKK | 11,000 | USD | 1,618 | 07/06/2015 | (25 | ) | |||||||||||||||||
Bank Of America | DKK | 34,024,000 | USD | 5,126,466 | 07/06/2015 | 44,159 | ||||||||||||||||||
Bank Of America | DKK | 696,000 | USD | 104,901 | 07/06/2015 | 937 | ||||||||||||||||||
Bank Of America | DKK | 1,452,000 | USD | 219,401 | 07/06/2015 | 2,509 | ||||||||||||||||||
Bank Of America | DKK | 279,882 | USD | 42,612 | 07/06/2015 | 805 | ||||||||||||||||||
Bank Of America | EUR | 671,137 | USD | 762,365 | 07/06/2015 | 14,545 | ||||||||||||||||||
Bank Of America | GBP | 324,534 | USD | 513,628 | 07/06/2015 | 3,248 | ||||||||||||||||||
Bank Of America | HKD | 25,000 | USD | 3,225 | 07/06/2015 | – | ||||||||||||||||||
Bank Of America | HKD | 73,982,000 | USD | 9,541,171 | 07/06/2015 | (1,738 | ) | |||||||||||||||||
Bank Of America | HKD | 1,513,000 | USD | 195,149 | 07/06/2015 | (12 | ) | |||||||||||||||||
Bank Of America | HKD | 3,165,000 | USD | 408,165 | 07/06/2015 | (88 | ) | |||||||||||||||||
Bank Of America | ILS | 2,000 | USD | 517 | 07/06/2015 | (13 | ) | |||||||||||||||||
Bank Of America | ILS | 6,665,000 | USD | 1,742,036 | 07/06/2015 | (24,754 | ) | |||||||||||||||||
Bank Of America | ILS | 136,000 | USD | 35,532 | 07/06/2015 | (520 | ) | |||||||||||||||||
Bank Of America | ILS | 53,653 | USD | 14,171 | 07/06/2015 | (52 | ) | |||||||||||||||||
Bank Of America | NOK | 5,000 | USD | 641 | 07/06/2015 | 5 | ||||||||||||||||||
Bank Of America | NOK | 15,226,000 | USD | 1,938,126 | 07/06/2015 | 2,995 | ||||||||||||||||||
Bank Of America | NOK | 311,000 | USD | 39,518 | 07/06/2015 | (8 | ) | |||||||||||||||||
Bank Of America | NOK | 123,018 | USD | 15,897 | 07/06/2015 | 263 | ||||||||||||||||||
Bank Of America | SEK | 621,365 | USD | 76,482 | 07/06/2015 | 1,591 | ||||||||||||||||||
Bank Of America | USD | 5,974,248 | DKK | 39,994,600 | 07/06/2015 | (86 | ) | |||||||||||||||||
Bank Of America | USD | 273,458 | HKD | 2,120,000 | 07/06/2015 | – | ||||||||||||||||||
Bank Of America | USD | 11,296,600 | HKD | 87,577,453 | 07/06/2015 | (19 | ) | |||||||||||||||||
Bank Of America | USD | 2,032,410 | ILS | 7,666,963 | 07/06/2015 | (15 | ) | |||||||||||||||||
Bank Of America | USD | 2,234,202 | NOK | 17,579,038 | 07/06/2015 | (15 | ) | |||||||||||||||||
Bank Of America | DKK | 39,994,600 | USD | 5,978,981 | 08/05/2015 | – | ||||||||||||||||||
Bank Of America | HKD | 87,577,453 | USD | 11,296,090 | 08/05/2015 | – | ||||||||||||||||||
Bank Of America | ILS | 7,666,963 | USD | 2,032,545 | 08/05/2015 | – | ||||||||||||||||||
Bank Of America | NOK | 17,579,038 | USD | 2,232,599 | 08/05/2015 | – | ||||||||||||||||||
Bank Of Montreal | SEK | 25,000 | USD | 2,928 | 07/06/2015 | (85 | ) | |||||||||||||||||
Bank Of Montreal | SEK | 74,335,000 | USD | 9,028,237 | 07/06/2015 | 68,879 | ||||||||||||||||||
Bank Of Montreal | SEK | 1,521,000 | USD | 184,702 | 07/06/2015 | 1,381 |
See Notes to Financial Statements.
11
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Counterparty | Amount Sold | Amount Bought | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Bank Of Montreal | SEK | 3,152,000 | USD | 385,674 | 07/06/2015 | $ | 5,774 | |||||||||||||||||
Bank Of Montreal | SGD | 1,000 | USD | 741 | 07/06/2015 | (2 | ) | |||||||||||||||||
Bank Of Montreal | SGD | 2,814,000 | USD | 2,088,180 | 07/06/2015 | (1,541 | ) | |||||||||||||||||
Bank Of Montreal | SGD | 57,000 | USD | 42,290 | 07/06/2015 | (39 | ) | |||||||||||||||||
Bank Of Montreal | USD | 258,662 | SEK | 2,112,000 | 07/06/2015 | (4,109 | ) | |||||||||||||||||
Bank Of Montreal | USD | 10,702,062 | SEK | 88,791,794 | 07/06/2015 | (273 | ) | |||||||||||||||||
Bank Of Montreal | USD | 4,919,403 | SGD | 6,624,222 | 07/06/2015 | (152 | ) | |||||||||||||||||
Bank Of Montreal | SEK | 88,791,794 | USD | 10,707,482 | 08/05/2015 | – | ||||||||||||||||||
Bank Of Montreal | SGD | 6,624,222 | USD | 4,915,935 | 08/05/2015 | – | ||||||||||||||||||
BNP Paribas SA | AUD | 218,074 | USD | 168,469 | 07/06/2015 | 896 | ||||||||||||||||||
BNP Paribas SA | AUD | 301,719 | USD | 233,071 | 07/06/2015 | 1,223 | ||||||||||||||||||
BNP Paribas SA | AUD | 2,213,050 | USD | 1,704,814 | 07/06/2015 | 4,256 | ||||||||||||||||||
BNP Paribas SA | AUD | 35,572 | USD | 27,522 | 07/06/2015 | 188 | ||||||||||||||||||
BNP Paribas SA | AUD | 167,305 | USD | 128,704 | 07/06/2015 | 143 | ||||||||||||||||||
BNP Paribas SA | CHF | 299,530 | USD | 320,365 | 07/06/2015 | (184 | ) | |||||||||||||||||
BNP Paribas SA | CHF | 2,196,995 | USD | 2,347,362 | 07/06/2015 | (3,798 | ) | |||||||||||||||||
BNP Paribas SA | CHF | 35,314 | USD | 37,710 | 07/06/2015 | (82 | ) | |||||||||||||||||
BNP Paribas SA | CHF | 166,091 | USD | 179,350 | 07/06/2015 | 1,605 | ||||||||||||||||||
BNP Paribas SA | DKK | 387,235 | USD | 57,998 | 07/06/2015 | 155 | ||||||||||||||||||
BNP Paribas SA | DKK | 2,840,289 | USD | 426,011 | 07/06/2015 | 1,745 | ||||||||||||||||||
BNP Paribas SA | DKK | 45,655 | USD | 6,855 | 07/06/2015 | 35 | ||||||||||||||||||
BNP Paribas SA | DKK | 214,724 | USD | 32,372 | 07/06/2015 | 298 | ||||||||||||||||||
BNP Paribas SA | EUR | 928,562 | USD | 1,037,662 | 07/06/2015 | 3,006 | ||||||||||||||||||
BNP Paribas SA | EUR | 6,810,810 | USD | 7,620,002 | 07/06/2015 | 31,009 | ||||||||||||||||||
BNP Paribas SA | EUR | 109,476 | USD | 122,600 | 07/06/2015 | 616 | ||||||||||||||||||
BNP Paribas SA | EUR | 514,892 | USD | 579,135 | 07/06/2015 | 5,412 | ||||||||||||||||||
BNP Paribas SA | GBP | 449,013 | USD | 706,312 | 07/06/2015 | 169 | ||||||||||||||||||
BNP Paribas SA | GBP | 3,293,421 | USD | 5,162,941 | 07/06/2015 | (16,473 | ) | |||||||||||||||||
BNP Paribas SA | GBP | 52,938 | USD | 83,305 | 07/06/2015 | 52 | ||||||||||||||||||
BNP Paribas SA | GBP | 248,980 | USD | 392,004 | 07/06/2015 | 444 | ||||||||||||||||||
BNP Paribas SA | HKD | 612,867 | USD | 79,056 | 07/06/2015 | 2 | ||||||||||||||||||
BNP Paribas SA | HKD | 847,941 | USD | 109,363 | 07/06/2015 | (13 | ) | |||||||||||||||||
BNP Paribas SA | HKD | 6,219,472 | USD | 802,214 | 07/06/2015 | (33 | ) | |||||||||||||||||
BNP Paribas SA | HKD | 99,971 | USD | 12,895 | 07/06/2015 | (1 | ) | |||||||||||||||||
BNP Paribas SA | HKD | 470,187 | USD | 60,641 | 07/06/2015 | (8 | ) | |||||||||||||||||
BNP Paribas SA | ILS | 74,233 | USD | 19,693 | 07/06/2015 | 15 | ||||||||||||||||||
BNP Paribas SA | ILS | 544,483 | USD | 145,051 | 07/06/2015 | 717 | ||||||||||||||||||
BNP Paribas SA | ILS | 8,752 | USD | 2,314 | 07/06/2015 | (6 | ) | |||||||||||||||||
BNP Paribas SA | ILS | 41,163 | USD | 10,893 | 07/06/2015 | (19 | ) | |||||||||||||||||
BNP Paribas SA | JPY | 67,968,120 | USD | 551,264 | 07/06/2015 | (4,215 | ) | |||||||||||||||||
BNP Paribas SA | JPY | 94,038,268 | USD | 759,839 | 07/06/2015 | (8,701 | ) | |||||||||||||||||
BNP Paribas SA | JPY | 689,751,626 | USD | 5,561,396 | 07/06/2015 | (75,694 | ) | |||||||||||||||||
BNP Paribas SA | JPY | 11,087,018 | USD | 89,751 | 07/06/2015 | (859 | ) | |||||||||||||||||
BNP Paribas SA | JPY | 52,144,691 | USD | 425,503 | 07/06/2015 | (657 | ) | |||||||||||||||||
BNP Paribas SA | NOK | 170,203 | USD | 21,707 | 07/06/2015 | 75 |
See Notes to Financial Statements.
12
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Counterparty | Amount Sold | Amount Bought | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
BNP Paribas SA | NOK | 1,248,407 | USD | 158,660 | 07/06/2015 | $ | (5 | ) | ||||||||||||||||
BNP Paribas SA | NOK | 20,067 | USD | 2,566 | 07/06/2015 | 15 | ||||||||||||||||||
BNP Paribas SA | NOK | 94,379 | USD | 12,010 | 07/06/2015 | 15 | ||||||||||||||||||
BNP Paribas SA | NZD | 4,630 | USD | 3,177 | 07/06/2015 | 47 | ||||||||||||||||||
BNP Paribas SA | NZD | 6,406 | USD | 4,378 | 07/06/2015 | 48 | ||||||||||||||||||
BNP Paribas SA | NZD | 46,987 | USD | 32,329 | 07/06/2015 | 562 | ||||||||||||||||||
BNP Paribas SA | NZD | 3,552 | USD | 2,437 | 07/06/2015 | 35 | ||||||||||||||||||
BNP Paribas SA | SEK | 859,698 | USD | 104,105 | 07/06/2015 | 488 | ||||||||||||||||||
BNP Paribas SA | SEK | 6,305,711 | USD | 764,260 | 07/06/2015 | 4,253 | ||||||||||||||||||
BNP Paribas SA | SEK | 101,358 | USD | 12,291 | 07/06/2015 | 74 | ||||||||||||||||||
BNP Paribas SA | SEK | 476,707 | USD | 58,071 | 07/06/2015 | 615 | ||||||||||||||||||
BNP Paribas SA | SGD | 46,356 | USD | 34,704 | 07/06/2015 | 279 | ||||||||||||||||||
BNP Paribas SA | SGD | 64,137 | USD | 47,800 | 07/06/2015 | 171 | ||||||||||||||||||
BNP Paribas SA | SGD | 470,431 | USD | 349,878 | 07/06/2015 | 529 | ||||||||||||||||||
BNP Paribas SA | SGD | 7,562 | USD | 5,629 | 07/06/2015 | 13 | ||||||||||||||||||
BNP Paribas SA | SGD | 35,564 | USD | 26,406 | 07/06/2015 | (4 | ) | |||||||||||||||||
BNP Paribas SA | AUD | 190,000 | USD | 146,192 | 08/06/2015 | – | ||||||||||||||||||
BNP Paribas SA | CHF | 186,000 | USD | 198,903 | 08/05/2015 | – | ||||||||||||||||||
BNP Paribas SA | DKK | 239,000 | USD | 35,744 | 08/05/2015 | – | ||||||||||||||||||
BNP Paribas SA | EUR | 584,000 | USD | 651,006 | 08/05/2015 | – | ||||||||||||||||||
BNP Paribas SA | GBP | 280,000 | USD | 440,116 | 08/05/2015 | – | ||||||||||||||||||
BNP Paribas SA | HKD | 535,000 | USD | 69,010 | 08/05/2015 | – | ||||||||||||||||||
BNP Paribas SA | ILS | 48,000 | USD | 12,662 | 08/05/2015 | – | ||||||||||||||||||
BNP Paribas SA | JPY | 59,771,000 | USD | 489,637 | 08/05/2015 | – | ||||||||||||||||||
BNP Paribas SA | NOK | 108,000 | USD | 13,737 | 08/05/2015 | – | ||||||||||||||||||
BNP Paribas SA | NZD | 4,000 | USD | 2,702 | 08/05/2015 | – | ||||||||||||||||||
BNP Paribas SA | SEK | 526,000 | USD | 63,492 | 08/05/2015 | – | ||||||||||||||||||
BNP Paribas SA | SGD | 40,000 | USD | 29,733 | 08/05/2015 | – | ||||||||||||||||||
Citibank N.A. | AUD | 8,000 | USD | 6,112 | 07/06/2015 | (35 | ) | |||||||||||||||||
Citibank N.A. | AUD | 265,000 | USD | 204,501 | 07/06/2015 | 868 | ||||||||||||||||||
Citibank N.A. | AUD | 12,978,000 | USD | 10,005,000 | 07/06/2015 | 32,409 | ||||||||||||||||||
Citibank N.A. | CHF | 8,000 | USD | 8,490 | 07/06/2015 | (72 | ) | |||||||||||||||||
Citibank N.A. | CHF | 266,000 | USD | 284,188 | 07/06/2015 | (477 | ) | |||||||||||||||||
Citibank N.A. | CHF | 13,026,000 | USD | 13,924,254 | 07/06/2015 | (15,795 | ) | |||||||||||||||||
Citibank N.A. | USD | 580,725 | AUD | 750,000 | 07/06/2015 | (4,408 | ) | |||||||||||||||||
Citibank N.A. | USD | 23,946,972 | AUD | 31,162,329 | 07/06/2015 | (1,130 | ) | |||||||||||||||||
Citibank N.A. | USD | 16,554,080 | CHF | 15,468,132 | 07/06/2015 | (532 | ) | |||||||||||||||||
Citibank N.A. | USD | 804,449 | CHF | 745,000 | 07/06/2015 | (7,171 | ) | |||||||||||||||||
Citibank N.A. | AUD | 31,162,329 | USD | 23,901,974 | 08/06/2015 | – | ||||||||||||||||||
Citibank N.A. | USD | 1,532,289 | AUD | 1,996,000 | 08/06/2015 | – | ||||||||||||||||||
Citibank N.A. | CHF | 15,468,132 | USD | 16,570,217 | 08/05/2015 | – | ||||||||||||||||||
Citibank N.A. | USD | 2,482,041 | CHF | 2,315,000 | 08/05/2015 | – | ||||||||||||||||||
Citibank N.A. | USD | 495,632 | DKK | 3,313,000 | 08/05/2015 | – | ||||||||||||||||||
Citibank N.A. | USD | 6,850,163 | EUR | 6,141,000 | 08/05/2015 | – | ||||||||||||||||||
Citibank N.A. | USD | 5,288,090 | GBP | 3,362,000 | 08/05/2015 | – |
See Notes to Financial Statements.
13
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Counterparty | Amount Sold | Amount Bought | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Citibank N.A. | USD | 690,847 | HKD | 5,356,000 | 08/05/2015 | $ | – | |||||||||||||||||
Citibank N.A. | USD | 4,411,605 | JPY | 539,429,000 | 08/05/2015 | – | ||||||||||||||||||
Citibank N.A. | USD | 964,129 | SEK | 7,988,000 | 08/05/2015 | – | ||||||||||||||||||
Citibank N.A. | USD | 260,579 | SGD | 351,000 | 08/05/2015 | – | ||||||||||||||||||
Deutsche Bank AG | AUD | 448,771 | USD | 347,892 | 07/06/2015 | 3,046 | ||||||||||||||||||
Deutsche Bank AG | AUD | 155,393 | USD | 121,347 | 07/06/2015 | 1,940 | ||||||||||||||||||
Deutsche Bank AG | AUD | 337,786 | USD | 258,386 | 07/06/2015 | (1,177 | ) | |||||||||||||||||
Deutsche Bank AG | CHF | 154,736 | USD | 165,346 | 07/06/2015 | (248 | ) | |||||||||||||||||
Deutsche Bank AG | CHF | 154,266 | USD | 167,176 | 07/06/2015 | 2,085 | ||||||||||||||||||
Deutsche Bank AG | CHF | 335,336 | USD | 358,485 | 07/06/2015 | (382 | ) | |||||||||||||||||
Deutsche Bank AG | DKK | 199,436 | USD | 30,430 | 07/06/2015 | 639 | ||||||||||||||||||
Deutsche Bank AG | DKK | 433,524 | USD | 64,870 | 07/06/2015 | 113 | ||||||||||||||||||
Deutsche Bank AG | EUR | 40,255,000 | USD | 45,234,705 | 07/06/2015 | 380,287 | ||||||||||||||||||
Deutsche Bank AG | EUR | 735,344 | USD | 827,449 | 07/06/2015 | 8,087 | ||||||||||||||||||
Deutsche Bank AG | EUR | 478,234 | USD | 544,315 | 07/06/2015 | 11,439 | ||||||||||||||||||
Deutsche Bank AG | EUR | 1,039,560 | USD | 1,160,437 | 07/06/2015 | 2,100 | ||||||||||||||||||
Deutsche Bank AG | GBP | 144,959 | USD | 225,481 | 07/06/2015 | (2,489 | ) | |||||||||||||||||
Deutsche Bank AG | GBP | 231,254 | USD | 366,940 | 07/06/2015 | 3,257 | ||||||||||||||||||
Deutsche Bank AG | GBP | 502,687 | USD | 790,847 | 07/06/2015 | 294 | ||||||||||||||||||
Deutsche Bank AG | HKD | 193,704 | USD | 24,983 | 07/06/2015 | (2 | ) | |||||||||||||||||
Deutsche Bank AG | HKD | 436,712 | USD | 56,330 | 07/06/2015 | (2 | ) | |||||||||||||||||
Deutsche Bank AG | HKD | 949,302 | USD | 122,450 | 07/06/2015 | – | ||||||||||||||||||
Deutsche Bank AG | ILS | 38,232 | USD | 10,011 | 07/06/2015 | (124 | ) | |||||||||||||||||
Deutsche Bank AG | ILS | 83,107 | USD | 21,905 | 07/06/2015 | (126 | ) | |||||||||||||||||
Deutsche Bank AG | JPY | 43,406,264 | USD | 351,660 | 07/06/2015 | (3,084 | ) | |||||||||||||||||
Deutsche Bank AG | JPY | 48,432,253 | USD | 393,775 | 07/06/2015 | (2,044 | ) | |||||||||||||||||
Deutsche Bank AG | JPY | 105,279,400 | USD | 850,356 | 07/06/2015 | (10,054 | ) | |||||||||||||||||
Deutsche Bank AG | NOK | 87,659 | USD | 11,255 | 07/06/2015 | 114 | ||||||||||||||||||
Deutsche Bank AG | NOK | 190,549 | USD | 24,308 | 07/06/2015 | 91 | ||||||||||||||||||
Deutsche Bank AG | NZD | 3,299 | USD | 2,284 | 07/06/2015 | 53 | ||||||||||||||||||
Deutsche Bank AG | NZD | 7,172 | USD | 4,903 | 07/06/2015 | 54 | ||||||||||||||||||
Deutsche Bank AG | SEK | 902,032 | USD | 110,036 | 07/06/2015 | 1,317 | ||||||||||||||||||
Deutsche Bank AG | SEK | 442,768 | USD | 54,482 | 07/06/2015 | 1,117 | ||||||||||||||||||
Deutsche Bank AG | SEK | 962,464 | USD | 115,855 | 07/06/2015 | (148 | ) | |||||||||||||||||
Deutsche Bank AG | SGD | 33,032 | USD | 24,773 | 07/06/2015 | 243 | ||||||||||||||||||
Deutsche Bank AG | SGD | 71,804 | USD | 53,224 | 07/06/2015 | (99 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 170,375 | DKK | 1,129,073 | 07/06/2015 | (1,721 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 21,688 | ILS | 83,164 | 07/06/2015 | 358 | ||||||||||||||||||
Deutsche Bank AG | USD | 17,284 | NOK | 134,561 | 07/06/2015 | (182 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 2,998 | NZD | 4,295 | 07/06/2015 | (94 | ) | |||||||||||||||||
Deutsche Bank AG | USD | 132,169 | SGD | 178,000 | 07/06/2015 | 17 | ||||||||||||||||||
Deutsche Bank AG | USD | 53,431,003 | EUR | 47,952,093 | 07/06/2015 | (45 | ) | |||||||||||||||||
Deutsche Bank AG | EUR | 47,952,093 | USD | 53,448,362 | 08/05/2015 | – | ||||||||||||||||||
Goldman Sachs Bank | AUD | 59,218 | USD | 45,908 | 07/06/2015 | 404 | ||||||||||||||||||
Goldman Sachs Bank | CHF | 58,788 | USD | 63,933 | 07/06/2015 | 1,020 |
See Notes to Financial Statements.
14
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Counterparty | Amount Sold | Amount Bought | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Goldman Sachs Bank | DKK | 76,003 | USD | 11,552 | 07/06/2015 | $ | 199 | |||||||||||||||||
Goldman Sachs Bank | EUR | 27,000 | USD | 29,613 | 07/06/2015 | (472 | ) | |||||||||||||||||
Goldman Sachs Bank | EUR | 40,255,000 | USD | 45,232,692 | 07/06/2015 | 378,274 | ||||||||||||||||||
Goldman Sachs Bank | EUR | 823,000 | USD | 924,806 | 07/06/2015 | 7,772 | ||||||||||||||||||
Goldman Sachs Bank | EUR | 182,249 | USD | 206,647 | 07/06/2015 | 3,575 | ||||||||||||||||||
Goldman Sachs Bank | GBP | 88,128 | USD | 139,829 | 07/06/2015 | 1,234 | ||||||||||||||||||
Goldman Sachs Bank | HKD | 166,425 | USD | 21,469 | 07/06/2015 | 2 | ||||||||||||||||||
Goldman Sachs Bank | ILS | 14,570 | USD | 3,805 | 07/06/2015 | (58 | ) | |||||||||||||||||
Goldman Sachs Bank | JPY | 18,456,878 | USD | 150,513 | 07/06/2015 | (328 | ) | |||||||||||||||||
Goldman Sachs Bank | NOK | 33,406 | USD | 4,288 | 07/06/2015 | 42 | ||||||||||||||||||
Goldman Sachs Bank | NZD | 1,257 | USD | 866 | 07/06/2015 | 16 | ||||||||||||||||||
Goldman Sachs Bank | SEK | 168,733 | USD | 20,733 | 07/06/2015 | 397 | ||||||||||||||||||
Goldman Sachs Bank | SGD | 12,588 | USD | 9,417 | 07/06/2015 | 69 | ||||||||||||||||||
Goldman Sachs Bank | USD | 2,607,054 | EUR | 2,310,000 | 07/06/2015 | (33,121 | ) | |||||||||||||||||
Goldman Sachs Bank | USD | 53,432,058 | EUR | 47,952,093 | 07/06/2015 | (1,100 | ) | |||||||||||||||||
Goldman Sachs Bank | EUR | 47,952,093 | USD | 53,449,321 | 08/05/2015 | – | ||||||||||||||||||
JPMorgan Chase | CHF | 13,026,000 | USD | 13,925,057 | 07/06/2015 | (14,992 | ) | |||||||||||||||||
JPMorgan Chase | USD | 16,553,901 | CHF | 15,468,131 | 07/06/2015 | (354 | ) | |||||||||||||||||
JPMorgan Chase | CHF | 15,468,131 | USD | 16,571,636 | 08/05/2015 | – | ||||||||||||||||||
Morgan Stanley | AUD | 12,978,000 | USD | 10,006,570 | 07/06/2015 | 33,980 | ||||||||||||||||||
Morgan Stanley | EUR | 3,448,000 | USD | 3,886,186 | 07/06/2015 | 44,227 | ||||||||||||||||||
Royal Bank Of Canada | JPY | 2,794,000 | USD | 22,524 | 07/06/2015 | (310 | ) | |||||||||||||||||
Royal Bank Of Canada | JPY | 8,182,769,000 | USD | 66,189,879 | 07/06/2015 | (684,929 | ) | |||||||||||||||||
Royal Bank Of Canada | JPY | 167,453,000 | USD | 1,355,187 | 07/06/2015 | (13,346 | ) | |||||||||||||||||
Royal Bank Of Canada | JPY | 352,347,000 | USD | 2,859,027 | 07/06/2015 | (20,578 | ) | |||||||||||||||||
Royal Bank Of Canada | USD | 1,914,210 | JPY | 236,079,000 | 07/06/2015 | 15,178 | ||||||||||||||||||
Royal Bank Of Canada | USD | 79,377,426 | JPY | 9,712,510,672 | 07/06/2015 | (593 | ) | |||||||||||||||||
Royal Bank Of Canada | JPY | 9,712,510,672 | USD | 79,402,020 | 08/05/2015 | – | ||||||||||||||||||
Societe Generale | GBP | 13,000 | USD | 19,831 | 07/06/2015 | (613 | ) | |||||||||||||||||
Societe Generale | GBP | 400,000 | USD | 619,501 | 07/06/2015 | (9,561 | ) | |||||||||||||||||
Societe Generale | GBP | 1,670,000 | USD | 2,599,475 | 07/06/2015 | (26,858 | ) | |||||||||||||||||
Standard Chartered Bank | GBP | 19,568,000 | USD | 30,323,258 | 07/06/2015 | (450,450 | ) | |||||||||||||||||
Standard Chartered Bank | SGD | 2,814,000 | USD | 2,088,033 | 07/06/2015 | (1,688 | ) | |||||||||||||||||
Standard Chartered Bank | USD | 36,466,208 | GBP | 23,187,613 | 07/06/2015 | (99 | ) | |||||||||||||||||
Standard Chartered Bank | GBP | 23,187,613 | USD | 36,458,811 | 08/05/2015 | – | ||||||||||||||||||
Toronto Dominion Bank | AUD | 968 | USD | 738 | 07/06/2015 | (6 | ) | |||||||||||||||||
Toronto Dominion Bank | AUD | 265,000 | USD | 204,508 | 07/06/2015 | 876 | ||||||||||||||||||
Toronto Dominion Bank | AUD | 1,119,000 | USD | 865,060 | 07/06/2015 | 5,195 | ||||||||||||||||||
Toronto Dominion Bank | CHF | 1,112,000 | USD | 1,200,790 | 07/06/2015 | 10,760 | ||||||||||||||||||
Toronto Dominion Bank | CHF | 864 | USD | 923 | 07/06/2015 | (2 | ) | |||||||||||||||||
Toronto Dominion Bank | CHF | 266,000 | USD | 284,159 | 07/06/2015 | (507 | ) | |||||||||||||||||
Toronto Dominion Bank | EUR | 463 | USD | 519 | 07/06/2015 | 3 | ||||||||||||||||||
Toronto Dominion Bank | EUR | 823,000 | USD | 924,641 | 07/06/2015 | 7,607 | ||||||||||||||||||
Toronto Dominion Bank | GBP | 376 | USD | 574 | 07/06/2015 | (17 | ) | |||||||||||||||||
Toronto Dominion Bank | GBP | 400,000 | USD | 619,502 | 07/06/2015 | (9,559 | ) |
See Notes to Financial Statements.
15
Table of Contents
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2015 (Unaudited)
Counterparty | Amount Sold | Amount Bought | Settlement Date | Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Toronto Dominion Bank | GBP | 19,568,000 | USD | 30,323,453 | 07/06/2015 | $ | (450,254 | ) | ||||||||||||||||
Toronto Dominion Bank | NZD | 193 | USD | 136 | 07/06/2015 | 6 | ||||||||||||||||||
Toronto Dominion Bank | NZD | 573,000 | USD | 399,183 | 07/06/2015 | 11,800 | ||||||||||||||||||
Toronto Dominion Bank | NZD | 11,000 | USD | 7,672 | 07/06/2015 | 235 | ||||||||||||||||||
Toronto Dominion Bank | SGD | 909 | USD | 669 | 07/06/2015 | (6 | ) | |||||||||||||||||
Toronto Dominion Bank | SGD | 57,000 | USD | 42,289 | 07/06/2015 | (40 | ) | |||||||||||||||||
Toronto Dominion Bank | SGD | 240,000 | USD | 178,499 | 07/06/2015 | 271 | ||||||||||||||||||
Toronto Dominion Bank | USD | 1,740,147 | GBP | 1,118,000 | 07/06/2015 | 18,081 | ||||||||||||||||||
Toronto Dominion Bank | USD | 36,466,466 | GBP | 23,187,615 | 07/06/2015 | (354 | ) | |||||||||||||||||
Toronto Dominion Bank | USD | 446,801 | NZD | 660,876 | 07/06/2015 | (10 | ) | |||||||||||||||||
Toronto Dominion Bank | GBP | 23,187,615 | USD | 36,458,258 | 08/05/2015 | – | ||||||||||||||||||
Toronto Dominion Bank | NZD | 660,876 | USD | 445,613 | 08/05/2015 | – | ||||||||||||||||||
Westpac Banking Corp. | AUD | 361,473 | USD | 279,491 | 07/06/2015 | 1,726 | ||||||||||||||||||
Westpac Banking Corp. | CHF | 358,851 | USD | 383,150 | 07/06/2015 | (882 | ) | |||||||||||||||||
Westpac Banking Corp. | DKK | 463,925 | USD | 69,684 | 07/06/2015 | 385 | ||||||||||||||||||
Westpac Banking Corp. | EUR | 1,112,459 | USD | 1,245,936 | 07/06/2015 | 6,371 | ||||||||||||||||||
Westpac Banking Corp. | GBP | 537,938 | USD | 846,462 | 07/06/2015 | 471 | ||||||||||||||||||
Westpac Banking Corp. | HKD | 1,015,872 | USD | 131,032 | 07/06/2015 | (5 | ) | |||||||||||||||||
Westpac Banking Corp. | ILS | 88,934 | USD | 23,542 | 07/06/2015 | (33 | ) | |||||||||||||||||
Westpac Banking Corp. | JPY | 112,662,154 | USD | 911,342 | 07/06/2015 | (9,405 | ) | |||||||||||||||||
Westpac Banking Corp. | NOK | 203,911 | USD | 26,082 | 07/06/2015 | 166 | ||||||||||||||||||
Westpac Banking Corp. | NZD | 7,675 | USD | 5,297 | 07/06/2015 | 108 | ||||||||||||||||||
Westpac Banking Corp. | SEK | 1,029,958 | USD | 124,896 | 07/06/2015 | 758 | ||||||||||||||||||
Westpac Banking Corp. | SGD | 76,839 | USD | 57,199 | 07/06/2015 | 138 | ||||||||||||||||||
|
| |||||||||||||||||||||||
(715,205 | ) | |||||||||||||||||||||||
|
|
AUD | – Australian Dollar | |
CHF | – Swiss Franc | |
DKK | – Danish Krona | |
EUR | – Euro Currency | |
GBP | – Great British Pound | |
HKD | – Hong Kong Dollar | |
ILS | – Israeli Shekel | |
JPY | – Japanese Yen | |
NOK | – Norwegian Krona | |
NZD | – New Zealand Dollar | |
SEK | – Swedish Krona | |
SGD | – Singapore Dollar | |
USD | – United State Dollar |
See Notes to Financial Statements.
16
Table of Contents
State Street Hedged International Developed Equity Index Fund
Statement of Assets and Liabilities
June 30, 2015 (Unaudited)
Assets | ||||
Investments in securities of unaffiliated funds, at value (Note 2) | $ | 312,517,300 | ||
Investments in securities of affiliated issuers, at value (Notes 2 and 4) | 13,384,510 | |||
|
| |||
Total Investments | 325,901,810 | |||
|
| |||
Cash (restricted) | 1,422,903 | |||
Foreign currency, at value | 5,145,867 | |||
Receivable for fund shares sold | 8,045,424 | |||
Dividends receivable from unaffiliated issuers | 154,020 | |||
Dividends receivable from affiliated issuers (Note 4) | 487 | |||
Receivable for foreign taxes recoverable | 14,700 | |||
Receivable from Adviser (Note 4) | 76,343 | |||
Unrealized appreciation on forward currency contracts | 1,211,264 | |||
|
| |||
Total assets | 341,972,818 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 4,566,196 | |||
Daily variation margin payable on futures contracts | 674,170 | |||
Unrealized depreciation on forward currency contracts | 1,926,469 | |||
Advisory fees payable (Note 4) | 21,298 | |||
Custodian fees payable (Note 4) | 45,822 | |||
Administration fees payable (Note 4) | 6,870 | |||
Registration and filing fees payable | 18,530 | |||
Transfer agent fees payable | 4,343 | |||
Professional fees payable | 3,828 | |||
Trustees’ fees payable (Note 5) | 1,037 | |||
Printing fees payable | 1,106 | |||
Insurance fees payable | 691 | |||
Accrued expenses and other liabilities | 277 | |||
|
| |||
Total liabilities | 7,270,637 | |||
|
| |||
Net Assets | $ | 334,702,181 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 345,572,221 | ||
Undistributed net investment income | 212,237 | |||
Accumulated net realized loss | (115,480 | ) | ||
Net unrealized appreciation (depreciation) on investments, futures and foreign currency transactions | (10,966,797 | ) | ||
|
| |||
Net Assets | $ | 334,702,181 | ||
|
| |||
Class K | ||||
Net Assets | $ | 334,702,181 | ||
Shares of beneficial interest outstanding | 35,181,740 | |||
|
| |||
Offering, net asset value, and redemption price per share | $ | 9.51 | ||
|
| |||
Investments in securities of unaffiliated issuers, at cost | $ | 322,104,272 | ||
Investments in securities of affiliated issuers, at cost | 13,384,510 | |||
|
| |||
Investments in securities, at cost | $ | 335,488,782 | ||
|
| |||
Foreign currency, at cost | $ | 5,141,593 |
See Notes to Financial Statements.
17
Table of Contents
State Street Hedged International Developed Equity Index Fund
Statement of Operations
Period Ended June 30, 2015* (Unaudited)
Income | ||||
Dividend income – unaffiliated issuers | $ | 276,745 | ||
Dividend income – affiliated issuer | 487 | |||
Foreign taxes withheld | (37,514 | ) | ||
|
| |||
Total investment income | 239,718 | |||
|
| |||
Expenses | ||||
Advisory fees (Note 4) | 21,298 | |||
Administration and custody fees (Note 4) | 6,870 | |||
Custodian fees (Note 4) | 45,822 | |||
Trustees’ fees and expenses (Note 5) | 1,037 | |||
Registration and filing fees | 18,552 | |||
Professional fees | 3,828 | |||
Transfer agent fees (Note 4) | 4,343 | |||
Other expenses | 2,074 | |||
|
| |||
Total expenses | 103,824 | |||
|
| |||
Less: Expenses waived/reimbursed by the Adviser (Note 4) | (76,343 | ) | ||
|
| |||
Net expenses | 27,481 | |||
|
| |||
Net Investment Income | 212,237 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Foreign currency transactions | (36,861 | ) | ||
Futures | (78,264 | ) | ||
Swaps | (355 | ) | ||
Change in unrealized appreciation (depreciation) on: | ||||
Investments | (9,586,972 | ) | ||
Foreign currency transactions | (706,822 | ) | ||
Futures | (673,003 | ) | ||
|
| |||
Net realized and unrealized loss on investments | (11,082,277 | ) | ||
|
| |||
Net Increase (Decrease) in Net Assets Resulting from Operations | $ | (10,870,040 | ) | |
|
|
* | For the period from May 29, 2015 (commencement of operations) to June 30, 2015. |
See Notes to Financial Statements.
18
Table of Contents
State Street Hedged International Developed Equity Index Fund
Statement of Changes in Net Assets
Period Ended June 30, 2015* (Unaudited) | ||||
Increase (Decrease) in Net Assets Resulting from: | ||||
Operations: | ||||
Net investment income | $ | 212,237 | ||
Net realized loss on foreign currency transactions, futures and swaps | (115,480 | ) | ||
Change in net unrealized appreciation (depreciation) on investments, foreign currency transactions and futures | (10,966,797 | ) | ||
|
| |||
Net increase (decrease) in net assets from operations | (10,870,040 | ) | ||
|
| |||
Net Increase (Decrease) from Fund Share Transactions: | ||||
Class K | ||||
Shares sold | 347,222,221 | |||
Shares redeemed | (1,650,000 | ) | ||
|
| |||
Net increase from Fund share transactions | 345,572,221 | |||
|
| |||
Net Increase in Net Assets | 334,702,181 | |||
Net Assets | ||||
Beginning of period | – | |||
|
| |||
End of period | $ | 334,702,181 | ||
|
| |||
Undistributed net investment income | $ | 212,237 | ||
|
| |||
Changes in Shares: | ||||
Class K | ||||
Shares sold | 35,350,725 | |||
Shares redeemed | (168,985 | ) | ||
|
| |||
Net increase in shares | 35,181,740 | |||
|
|
* | For the period from May 29, 2015 (commencement of operations) to June 30, 2015. |
See Notes to Financial Statements.
19
Table of Contents
State Street Hedged International Developed Equity Index Fund
Financial Highlights
Selected data for a Class K Share of beneficial interest outstanding throughout each period is presented below:
Period From 5/29/15 - 6/30/15* (Unaudited) | ||||
Per Share Operating Performance: | ||||
Net Asset Value, Beginning of Period | $ | 10.00 | ||
|
| |||
Investment Operations: | ||||
Net investment income(a) | 0.01 | |||
Net realized and unrealized loss on investments | (0.50 | ) | ||
|
| |||
Total from investment operations | (0.49 | ) | ||
|
| |||
Net decrease in net assets | (0.49 | ) | ||
|
| |||
Net Asset Value, End of Period | $ | 9.51 | ||
|
| |||
Total Return(b)(c) | (4.90 | )% | ||
Ratios and Supplemental Data: | ||||
Net Assets, End of Period (000s) | $ | 334,702 | ||
Ratios to net assets: | ||||
Gross expenses(d) | 0.71 | % | ||
Net expenses(d) | 0.19 | % | ||
Net investment income(d) | 1.45 | % | ||
Portfolio turnover rate(c) | 0 | % |
* | Commencement of operations |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Total return is calculated assuming a purchase of shares at net asset value on the first day and a sale at net asset value on the last day of each period reported. Distributions, if any, are assumed, for the purpose of this calculation, to be reinvested at net asset value per share on the respective payment dates. Results represent past performance and are not indicative of future results. |
(c) | Not annualized |
(d) | Annualized |
See Notes to Financial Statements.
20
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements
June 30, 2015 (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 thirty-two (32) series and corresponding classes, each of which have the same rights and privileges, including the same voting rights. The State Street Hedged International Developed Equity Index Fund (the “Fund”) is authorized to issue an unlimited number of shares, at no par value. The Fund has registered Class A, Class C, Class K and Class I Shares. The Fund’s Class A, Class C and Class I Shares were not operational at June 30, 2015. The following Fund is included in this report:
Fund | Classes | Commencement of Operations: | ||
State Street Hedged International Developed Equity Index Fund | Class K | May 29, 2015 |
The investment objective of the Fund is to seek to provide investment results, before fees and expenses, that correspond generally to the total return performance of a broad-based developed market (ex-U.S. and Canada) large and mid-capitalization equity index, hedged to the U.S. dollar, over the long term. SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), a subsidiary of State Street Corporation and an affiliate of State Street Bank and Trust Company (“State Street”), serves as the investment adviser.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred. However, based on experience, the Trust expects the risk of loss to be remote.
2. | Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The Fund’s financial statements are prepared in accordance with accounting principles generally accepted in the United States of America (“U.S. GAAP”). The preparation of financial statements in conformity with U.S. GAAP requires management to make certain estimates and assumptions that affect the financial statements during the reporting period. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies in Financial Accounting Standards Board (“FASB”) Accounting Standards Codification (“ASC”) 946, Financial Services Investment Companies (“ASC 946”).
Security valuation – The Fund’s investments are valued at fair value each day that the Fund’s listing exchange is open and, for financial reporting purposes, as of the report date should the reporting period end on a day that the Fund’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell an asset or pay to transfer a liability in an orderly transaction between market participants at the measurement date. By its nature, a fair value price is a good faith estimate of the
21
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to policies and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for determining the fair value of investments. The members of the Committee are approved by the Board.
Valuation techniques used to value the Fund’s investments by major category are as follows:
• | Equity investments (including registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Rights and warrants are valued at the last reported sale price obtained from independent pricing service or brokers on the valuation date. If no prices are obtained from pricing services or brokers, valuation will be based upon the intrinsic value. |
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value per share or unit. Money market funds generally value portfolio investments using the amortized cost method as set forth in Rule 2a-7 under the 1940 Act and in accordance with Fund procedures to stabilize net asset value. |
• | Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
• | Forward foreign currency contracts are valued based on that day’s prevailing forward exchange rate for the underlying currencies. The rates are obtained from independent pricing services in accordance with valuation policy and procedures approved by the Board. |
• | Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event for which the Committee is unable to obtain an independent, third-party valuation on the settlement date to the swap agreements, the agreements will be fair valued. |
In the event prices or quotations are not readily available or that application of these methods of valuation results in a price for an investment which is deemed not to be representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with valuation policies and procedures approved by the Board.
Fair value pricing could result in a difference between the prices used to calculate the Fund’s net asset value and the prices used by the Fund’s underlying index, which in turn could result in a difference between the Fund’s performance and the performance of the Fund’s underlying index. Various inputs are used in determining the value of the Fund’s investments. These inputs are categorized into a fair
22
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
value hierarchy consisting of three broad levels for financial reporting purposes. The Fund values its assets and liabilities at fair value using a hierarchy that prioritizes the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
Changes in valuation techniques may result in transfers in or out of an assigned level within the fair value hierarchy. Transfers between different levels of the fair value hierarchy are recognized at the end of the reporting period. The Fund had no transfers between levels for the period ended June 30, 2015.
The following is a summary of the inputs used as of June 30, 2015, in valuing the assets carried at fair value of the Fund. The breakdown of the Fund’s investments into major categories is disclosed in its schedule of investments.
Description | Quoted Prices in Active Markets for Identical Assets (Level 1) | Significant Other Observable Inputs (Level 2) | Significant Unobservable Inputs (Level 3) | Total | ||||||||||||
INVESTMENTS: | ||||||||||||||||
ASSETS | ||||||||||||||||
Common Stocks | $ | 312,494,171 | $ | – | $ | – | $ | 312,494,171 | ||||||||
Rights | 23,129 | – | – | 23,129 | ||||||||||||
Short Term Investments | 13,384,510 | – | – | 13,384,510 | ||||||||||||
Forward Foreign Currency Contracts | – | 1,211,264 | – | 1,211,264 | ||||||||||||
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Total Assets | 325,901,810 | 1,211,264 | – | 327,113,074 | ||||||||||||
LIABILITIES | ||||||||||||||||
Futures | (673,003 | ) | – | – | (673,003 | ) | ||||||||||
Forward Foreign Currency Contracts | – | (1,926,469 | ) | – | (1,926,469 | ) | ||||||||||
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| |||||||||
Total Liabilities | (673,003 | ) | (1,926,469 | ) | – | (2,599,472 | ) | |||||||||
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TOTAL INVESTMENTS | $ | 325,228,807 | $ | (715,205 | ) | $ | – | $ | 324,513,602 | |||||||
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Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
Investment Transactions and Income Recognition – Investment transactions are accounted for on the trade date for financial reporting purposes. Dividend income and capital gain distributions, if any, are recorded on the ex-dividend dates, net of any foreign taxes withheld at source. Non-cash dividends received in the form of stock, if any, are received as dividends at fair value. Distributions received by the Fund may include a return of capital that is estimated by management. Such amounts, if any, are recorded as a reduction of the cost of investments or reclassified to capital gains.
Non cash dividends received in the form of stock, if any, are received as dividends at fair value. Realized gains and losses from the sale or disposition of investments are recorded on the identified cost basis.
Dividends and distributions – Dividends from net investment income, if any, are declared and paid at least annually. Interest income, if any, is recorded daily on an accrual basis. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and gains to be distributed are determined in accordance with federal tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
Expenses – 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.
Futures – The Fund may enter into financial futures contracts. Upon entering into a futures contract, the Fund is required to deposit with the broker cash or securities in an amount equal to a certain percentage of the contract amount. Variation margin payments are made or received by the Fund each day, depending on the daily fluctuations in the value of the underlying security or index, and are recorded for financial statement purposes as unrealized gains or losses by the Fund, which is recorded on the Statement of Assets and Liabilities. The Fund recognizes a realized gain or loss when the contract is closed, which is recorded on the Statement of Operations. The Fund voluntarily segregates securities in an amount equal to the outstanding value of the open futures contracts in accordance with SEC requirements.
The Fund adopted provisions surrounding derivatives and hedging which requires qualitative disclosures about objectives and strategies for using derivatives, quantitative disclosures about fair value amounts of gains and losses on derivative instruments, and disclosures about credit-risk-related contingent features in derivative agreements.
The primary risks associated with the use of futures contracts are an imperfect correlation between the change in market value of the benchmark and the prices of futures contracts and the possibility of an illiquid market. To the extent permitted by the investment objective, restrictions and policies set forth in the Fund’s Prospectus and Statement of Additional Information, the Fund may participate in various derivative-based transactions. Derivative securities are instruments or agreements whose value is derived from an underlying security or index. The Fund’s use of derivatives may include swaps, forward foreign currency contracts and futures. These instruments offer unique characteristics and risks that assist the Fund in meeting its investment objective. The Fund uses these derivatives to obtain investment
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Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
exposure that the Adviser expects to correlate closely with the Index or a portion of the Index. These risks are generally categorized as market risk, liquidity risk and counterparty or credit risk.
Forward Foreign Currency Contracts
The Fund may engage in forward foreign currency contracts to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuations. A forward foreign currency contract is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. Forward foreign currency contracts are valued based on that day’s prevailing forward exchange rate for the underlying currencies and are marked-to-market daily. The change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the Fund recognizes a realized gain or loss equal to the difference between the value of the contract at the time it was opened and the value at the time it was closed.
Certain risks may arise upon entering into forward foreign currency contracts from the potential inability of counterparties to meet the terms of their contracts and are generally limited to the amount of unrealized gains on appreciated contracts, if any. Additionally, when utilizing forward foreign currency contracts to hedge, the Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.
Swaps: The Fund enters into swap agreements in which the Fund and counterparty agree either to make periodic net payments on a specified notional amount or a net payment upon termination. Swap agreements are privately negotiated in the Over the Counter (“OTC”) market and may be entered into as a bilateral contract (“OTC swaps”) or centrally cleared (“centrally cleared swaps”). Swaps are marked to market daily and changes in the value are recorded as unrealized appreciation (depreciation).
Total Return Swaps: The Fund enters into total return swaps to obtain investment exposures that the Adviser expects to correlate closely with the Index or a portion of the Index. Total return swaps are agreements in which there is an exchange of cash flows whereby one party commits to make payments on the total return (coupon plus capital gains/losses) of an underlying instrument in exchange for fixed or floating rate interest payments. To the extent the total return of the instrument or index underlying the transaction exceeds or falls short of the offsetting interest rate obligation, the Fund will receive a payment or make a payment to the counterparty. As of June 30, 2015, the Fund held no outstanding total return swap agreements.
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Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
The following tables summarize the value of the Fund’s derivative instruments as of June 30, 2015 and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Foreign Exchange Contracts Risk | Equity Contracts Risk | Total | ||||||||
Forwards Contracts(1) | $1,211,264 | $ | — | $ | 1,211,264 |
Liability Derivatives
Foreign Exchange Contracts Risk | Equity Contracts Risk | Total | ||||||||||
Forwards Contracts(2) | $ | 1,926,469 | $ | — | $ | 1,926,469 | ||||||
Futures Contracts(3) | $ | — | $ | 673,003 | $ | 673,003 |
Transactions in derivative instruments during the period ended June 30, 2015, were as follows:
Realized Gain (Loss)
Foreign Exchange Contracts Risk | Equity Contracts Risk | Total | ||||||||||
Futures Contracts(4) | $ | — | $ | (78,264 | ) | $ | (78,264 | ) | ||||
Swap Contracts(5) | $— | (355 | ) | (355 | ) |
Change in Unrealized Appreciation (Depreciation)(4)
Foreign Exchange Contracts Risk | Equity Contracts Risk | Total | ||||||||||
Forwards Contracts(6) | $ | (715,205 | ) | $ | — | $ | (715,205 | ) | ||||
Futures Contracts(7) | $ | — | $ | (673,003 | ) | $ | (673,003 | ) |
(1) | Statement of Assets and Liabilities: Unrealized appreciation on forward currency contracts |
(2) | Portfolio of Investments: Unrealized appreciation (depreciation) of futures contracts. Only unsettled receivable/payable for variation margin is reported within Statement of Assets and Liabilities. |
(3) | Statement of Assets and Liabilities: Unrealized depreciation on forward currency contracts |
(4) | Statement of Operations location: Net realized gain (loss) on: Futures contracts |
(5) | Statement of Operations location: Net realized gain (loss) on: Swaps |
(6) | Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Foreign currency transactions |
(7) | Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts |
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Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
Offsetting of Financial Assets and Derivative Assets
Forward Foreign Currency Exchange Contracts
Counterparty | Gross Amounts of Recognized Assets | Gross Amounts Offset in Statements of Assets and Liabilities | Net Amounts of Assets presented in Statements of Assets and Liabilities | Net Amount of Derivative Assets | ||||||||||||
Bank Of America | $ | 74,751 | – | $ | 74,751 | $ | 74,751 | |||||||||
Bank Of Montreal | 76,034 | – | 76,034 | 76,034 | ||||||||||||
BNP Paribas SA | 59,205 | – | 59,205 | 59,205 | ||||||||||||
Citibank N.A. | 33,277 | – | 33,277 | 33,277 | ||||||||||||
Deutsche Bank AG | 416,651 | – | 416,651 | 416,651 | ||||||||||||
Goldman Sachs Bank | 393,004 | – | 393,004 | 393,004 | ||||||||||||
Morgan Stanley | 78,207 | – | 78,207 | 78,207 | ||||||||||||
Royal Bank Of Canada | 15,178 | – | 15,178 | 15,178 | ||||||||||||
Toronto Dominion Bank | 54,834 | – | 54,834 | 54,834 | ||||||||||||
Westpac Banking Corp. | 10,123 | – | 10,123 | 10,123 | ||||||||||||
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| |||||||||
1,211,264 | – | 1,211,264 | 1,211,264 | |||||||||||||
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Offsetting of Financial Liabilities and Derivative Liabilities
Forward Foreign Currency Exchange Contracts
Counterparty | Gross Amounts of Recognized Liabilities | Gross Amounts Offset in Statements of Assets and Liabilities | Net Amounts of Liabilities presented in Statements of Assets and Liabilities | Net Amount of Derivative Liabilities | ||||||||||||
Bank Of America | $ | 27,345 | – | $ | 27,345 | $ | 27,345 | |||||||||
Bank Of Montreal | 6,201 | – | 6,201 | 6,201 | ||||||||||||
BNP Paribas SA | 110,752 | – | 110,752 | 110,752 | ||||||||||||
Citibank N.A. | 29,620 | – | 29,620 | 29,620 | ||||||||||||
Deutsche Bank AG | 22,021 | – | 22,021 | 22,021 | ||||||||||||
Goldman Sachs Bank | 35,079 | – | 35,079 | 35,079 | ||||||||||||
JPMorgan Chase | 15,346 | – | 15,346 | 15,346 | ||||||||||||
Royal Bank Of Canada | 719,756 | – | 719,756 | 719,756 | ||||||||||||
Societe Generale | 37,032 | – | 37,032 | 37,032 | ||||||||||||
Standard Chartered Bank | 452,237 | – | 452,237 | 452,237 | ||||||||||||
Toronto Dominion Bank | 460,755 | – | 460,755 | 460,755 | ||||||||||||
Westpac Banking Corp. | 10,325 | – | 10,325 | 10,325 | ||||||||||||
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1,926,469 | – | 1,926,469 | 1,926,469 | |||||||||||||
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The average notional of futures outstanding during the period ended June 30, 2015 was $18,830,354.
Foreign Currency Translation and Foreign Investments – The accounting records of the Fund are maintained in U.S. dollars. Portfolio securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars at the prevailing rates of exchange at period end. Purchases and
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Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
sales of securities, income receipts and expense payments are translated into U.S. dollars at the prevailing exchange rate on the respective dates of transactions. The effects of changes in foreign currency exchange rates on portfolio investments are included in the net realized and unrealized gains and losses on investments and foreign currency transaction on the Statements of Operations.
Federal Income Taxes – The Fund intends 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 Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. In addition, by distributing during each calendar year substantially all of its net taxable income and capital gains, if any, the Fund will not be subject to federal excise tax.
As of June 30, 2015,gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purpose were as follows:
Fund | Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Depreciation | ||||||||||||
State Street Hedged International Developed Equity Index Fund | $ | 335,488,782 | $ | 1,284,210 | $ | (10,871,182 | ) | $ | (9,586,972 | ) |
The Fund recognizes interest and penalties, if any, related to tax liabilities as income tax expense in the Statement of Operations. The Fund’s federal tax returns for the initial year remain subject to examination by the Fund’s major tax jurisdictions, which include the United States of America and the Commonwealth of Massachusetts.
3. | Securities Transactions |
Purchases and sales of investments (excluding in-kind transactions and short term investments) for the period ended June 30, 2015 were as follows:
Fund | Purchases | Sales | ||||||
State Street Hedged International Developed Equity Index Fund | $ | 322,091,764 | $ | – |
4. | Related Party and Other Fees |
The Trust on behalf of the Fund has entered into an Investment Advisory Agreement with the Adviser. For its advisory services to the Fund, the Fund pays the Adviser a management fee at an annual rate of 0.14% of its average daily net assets.
The Adviser is contractually obligated until April 30, 2017 to waive its management fee and/or to reimburse the Fund for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees, and distribution, shareholder servicing, and sub- transfer agency fees) exceed 0.15% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval of the Board. For the period ended June 30, 2015, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement were $76,343.
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Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
Pursuant to the Custody Agreement, State Street serves as the Custodian to the Fund. During the period ended June 30, 2015, the custody and accounting fees incurred are shown on the Statement of Operations.
SSGA FM serves as Administrator and State Street serves as Sub-Administrator. Pursuant to the Administration Agreement between the Trust on behalf of the Fund and SSGA FM, the Fund pays a fee at an annual rate of 0.05% of the Fund’s net assets accrued daily. For the period ended June 30, 2015, the administration fees incurred were $6,870.
Pursuant to the Sub-Administration Agreement between SSGA FM and State Street, SSGA FM pays a fee to State Street, calculated as the greater of an asset-based fee or a minimum fee. The minimum fee is calculated by multiplying the minimum per fund fee by the number of funds in the State Street Master Funds Trust plus the number of stand-alone funds in the State Street Institutional Investment Trust to arrive at the total minimum fee. The asset-based fee is calculated at the following rates:
Asset Levels | Basis Points | |
First $10 billion | 1.36 | |
Next $10 billion | 0.86 | |
Next $10 billion | 0.75 | |
Thereafter | 0.5 |
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 Fund. For these services, the Fund pays annual account services fees, activity-based fees, charges related to compliance and regulatory services.
Transactions with Affiliates
Certain investments made by the Fund were in securities affiliated with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). The Fund invested in the State Street Institutional Liquid Reserves Fund. Transactions in affiliates for the period ending June 30, 2015 were as follows:
Security | Number of shares held at 5/29/15* | Shares purchased for the period ended 6/30/15 | Shares sold for the period ended 6/30/15 | Number of shares held at 6/30/15 | Value at 6/30/15 | Income earned for the period ended 6/30/15 | ||||||||||||||||||
State Street Institutional | ||||||||||||||||||||||||
Liquid Reserves Fund, Premier Class | – | 37,514,515 | 24,130,005 | 13,384,510 | $ | 13,384,510 | $ | 487 |
* | Commencement of operations. |
5. | Trustees’ Fees |
Independent Trustees are compensated on a calendar year basis. Any Trustee who is deemed to be an “interested person” (as defined in the 1940 Act) of the Fund does not receive compensation from the Fund for his or her service as a Trustee.
Each Independent Trustee receives for his or her services to the State Street Master Funds, State Street Institutional Investment Trust and SSGA Funds, a $141,500 annual base retainer in addition to $18,000 for each in-person meeting and $2,000 for each telephonic meeting from the Trust. The Trust will bear a
29
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2015 (Unaudited)
pro rata allocation based on the Trust’s average monthly assets. The Co-Chairmen each receive an additional $44,000 annual retainer. The Independent Trustees are reimbursed for travel and other out-of- pocket expenses in connection with meeting attendance. As of the date of this Report, the Trustees were not paid pension or retirement benefits as part of the Trust’s expenses.
The Trust’s officers are compensated by the Adviser and its affiliates.
6. | Risks |
The Fund’s assets may be concentrated in a particular state or geographic area, or in a particular industry, group of industries or sector. Because each Fund will generally concentrate its investments to approximately the same extent that its index is so concentrated, a Fund may be adversely affected by the performance of investments of a particular state or geographic area, or in a particular industry, group of industries or sector, and its shares may be subject to increased price volatility. In addition, if a Fund concentrates in a single industry, group of industries or type of instrument, it may be more susceptible to any single economic, market, political or regulatory occurrence affecting that industry, group of industries or type of instrument.
In the normal course of business, the Fund invests in securities and enter into transactions where risks exist due to fluctuations in the market (market risk) or failure of the other party to a transaction to perform (counterparty risk). The value of securities held by the Fund may decline in response to certain events, including those directly involving the companies whose securities are owned by the Fund; conditions affecting the general economy; overall market changes; local, regional or global political, social or economic instability; and currency and interest rate and price fluctuations (credit risk). Similar to credit risk, the Fund may be exposed to counterparty risk, or the risk that an entity with which the Fund has unsettled or open transactions may default. Financial assets, which potentially expose the Fund to credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statements of Assets and Liabilities.
Investing in securities of foreign companies and foreign governments involves special risks and considerations not typically associated with investing in U.S. companies and securities of the U.S. government. These risks include revaluation of currencies and the risk of expropriation. Moreover, the markets for securities of many foreign companies and foreign governments may be less liquid and the prices of such securities may be more volatile than those of comparable U.S. companies and the U.S. government.
Some foreign markets in which the Funds invest are considered emerging markets. Investment in these emerging markets subjects a Fund to a greater risk of loss than investments in a developed market. This is due to, among other things, greater market volatility, lower trading volume, political and economic instability, higher levels of inflation, deflation or currency devaluation, greater risk of market shut down, and more governmental limitations on foreign investment policy than those typically found in a developed market.
7. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
30
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
June 30, 2015 (Unaudited)
Expense Example
As a shareholder of the Fund, you incur (1) transaction costs, including sales charges (loads) on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including management fees and to the extent applicable, distribution (12b-1) or service fees, among others. 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. It is based on an investment of $1,000 made at the beginning of the period shown and held for the entire period from May 29, 2015 to June 30, 2015.
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 U.S. 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. |
Please note that the expenses shown in the table are meant to highlight your ongoing costs only and do not reflect any transactional costs, such as sales charges (loads). Therefore, the hypothetical 5% return section of the table is useful in comparing ongoing costs only, and will not help you determine the relative total costs of owning different funds. In addition, if these transactional costs were included, your costs would have been higher.
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Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
June 30, 2015 (Unaudited)
Period Ended June 30, 2015
Class K Shares | Beginning Account Value January 1, 2015 | Ending Account Value June 30, 2015 | Expenses Paid During Period * | |||||||||
Based on Actual Fund Return** | �� | |||||||||||
$ | 1,000.00 | $ | 951.00 | $ | 0.17 | |||||||
Based on Hypothetical (5% return before expenses) | ||||||||||||
$ | 1,000.00 | $ | 1,024.80 | $ | 0.95 |
* | The calculations are based on expenses incurred in the most recent six month period of the Fund. The Fund’s Class K Shares’ annualized expense ratio as of June 30, 2015, was 0.19%. |
** | Actual period is from commencement of operations 5/29/15. Hypothetical period is from 1/1/15. |
Proxy | Voting Policies and Procedures and Record |
Information regarding the Fund’s proxy voting policies and procedures, as well as information regarding how the Fund voted proxies, if any, during the most recent 12-month period ended June 30 is available without charge (1) by calling 1-877-521-4083 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.
Quarterly | Portfolio Schedule |
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll-free).
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Table of Contents
TRUSTEE CONSIDERATIONS IN APPROVAL OF INVESTMENT ADVISORY AGREEMENT
Overview of the Contract Review Process
Under the Investment Company Act of 1940, an investment advisory agreement between a mutual fund and its investment adviser must be approved by the fund’s board of trustees, including by a vote of a majority of those trustees who are not “interested persons” of the fund (the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Independent Trustees on the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in-person on April 12-13, 2015 to consider a proposal to approve, with respect to State Street Hedged International Developed Equity Index Fund, a new series of the Trust (the “New Fund”), the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (the “Adviser”). The Independent Trustees also discussed the New Fund with representatives of the Adviser at their in-person meeting held on February 9-10, 2015. Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel that is independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. The Independent Trustees considered, among other things, the following:
Information about Fees and Expenses
• | A report prepared by an independent third-party provider of investment company data, which includes for the New Fund: |
• | Comparisons of the New Fund’s estimated expense ratio (with detail of component expenses) to the expense ratios of a group of comparable mutual funds selected by the independent third-party data provider; and |
• | Comparisons of the New Fund’s contractual and estimated actual management fees to the contractual and actual management fees of comparable mutual funds. |
• | Comparative information concerning fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the New Fund, to the extent applicable. |
Information about Portfolio Management
• | Descriptions of the investment management services to be provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage and the benefits to be received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of any research through “soft dollar” benefits to be received in connection with the New Fund’s brokerage; and |
• | Information regarding the procedures and processes to be used to value the assets of the New Fund and the assistance to be provided by the Adviser to its affiliates in monitoring the effectiveness of such procedures and processes. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals who will be responsible for managing the New Fund; |
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Table of Contents
• | A copy of the Code of Ethics adopted by the Adviser, together with information relating to compliance with and the administration of such Code; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the New Fund and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the other funds in the fund complex (the “Other Funds”); |
• | A description of the business continuity and disaster recovery plans of the Adviser; and |
• | Information regarding the Adviser’s risk management processes. |
Other Relevant Information
• | Information concerning the nature, quality and cost of various non-investment management services to be provided to the New Fund by the Adviser in its role as administrator, and by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, transfer agent and securities lending agent of the New Fund, and the role of the Adviser in managing the New Fund’s relationship with these affiliated service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the New Fund; |
• | Draft responses to the letter dated March 11, 2015 from Joseph P. Barri, LLC (co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees reviewed prior to such date by Independent Counsel, requesting specific information regarding the Other Funds, certain of which was applicable to the New Fund, from each of: |
• | The Adviser, with respect to its operations relating to the Other Funds and its approximate profit margins before taxes from such operations for the Other Funds’ last fiscal year; and the relevant operations of other affiliated service providers to the Other Funds, together with their approximate profit margins from such relevant operations for the Other Funds’ last fiscal year; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian, transfer agent, securities lending agent, and shareholder services for the Other Funds, with respect to its operations relating to the Other Funds; and |
• | State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Other Funds (the “Distributor”), with respect to its operations relating to the Other Funds, together with the Other Funds’ related distribution plans and arrangements under SEC Rule 12b-1. |
In addition to the information identified above, the Board considered information provided by the Adviser and other service providers of the New Fund throughout the year at meetings of the Board and its committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of the Adviser relating to the performance of the Other Funds and the investment strategies used in pursuing each Other Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single
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factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to New Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on April 12-13, 2015 the Board, including a majority of the Independent Trustees, voted to approve the Advisory Agreement with respect to the New Fund.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services to be provided to the New Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments to be held by the New Fund, including the education, experience and number of investment professionals and other personnel who will provide portfolio management, investment research, and similar services to the New Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention to be devoted to the New Fund by senior management.
The Board reviewed the compliance programs of the Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring the New Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to provide high quality investment management and related services for the New Fund.
Fund Performance
Because the New Fund has not yet commenced operations, the Board noted that they could not draw any conclusions regarding the performance of the New Fund. The Board, however, considered, at this and at prior meetings, the performance of other comparable funds or accounts, if any, managed by the Adviser and the performance of their respective benchmarks and/or peer groups. The Board also noted that it reviews at its regularly scheduled meetings information about the performance of the Other Funds and is generally satisfied with the performance of these Other Funds.
Management Fees and Expenses
The Board reviewed the contractual management fee rate to be payable by the New Fund and the actual management fee rate to be payable by the New Fund, net of waivers. As part of its review, the Board considered the New Fund’s management fee and total expense ratio (both before and after giving effect to any expense caps), as compared to a group of similarly managed funds selected by an independent data provider. The Board also considered the comparability of the fees to be charged and the services to be provided to the New Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts. In addition, the Board considered that the Adviser agreed to waive fees or pay expenses of the New Fund to limit the total expenses borne by the New Fund’s
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shareholders. Among other information, the Board considered the following expense information in its evaluation of the New Fund:
The Board considered that the New Fund’s contractual management fee was equal to the median of its Expense Group. The Board also considered that the New Fund’s expected actual management fees and total expenses were each below the medians of their respective Expense Group and Expense Universe.
Profitability
Because the New Fund has not yet commenced operations, the Board noted that they could not draw any conclusions regarding the profitability of the New Fund. The Board, however, reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Other Funds. The Board considered other direct and indirect benefits received by the Adviser and the affiliated service providers in connection with their relationships with the Other Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Other Funds and other investment advisory clients, together with the ranges of profitability of each of the affiliated service providers with respect to their services to the Other Funds.
The Board concluded that the expected profitability of the Adviser with respect to New Fund, and the expected profitability range of each of the affiliated service providers with respect to its services to the New Fund, were expected to be reasonable in relation to the services provided.
Economies of Scale
In reviewing expected management fees and anticipated profitability, the Board also considered the extent to which the Adviser and its affiliates, on the one hand, and the New Fund, on the other hand, can expect to realize benefits from economies of scale as the New Fund’s assets increase. The Board acknowledged the difficulty in accurately measuring the expected benefits resulting from the economies of scale with respect to the management of the New Fund in view of the fact that the New Fund had not yet commenced operations. The Board concluded that, in light of the fact that the Fund has not yet commenced operations, and the comparatively low management fee and expense ratio of the New Fund, it does not appear that the Adviser or its affiliates are expected to realize benefits from economies of scale in managing the assets of the New Fund to such an extent that the proposed advisory fees should be reduced or that breakpoints in such fees should be implemented for the New Fund at this time.
Conclusions
In reaching its decision to approve the Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that the Adviser possesses the capability and resources to perform the duties required of it under the Advisory Agreement.
Further, based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of the New Fund and its shareholders, and (2) the rates to be payable under the Advisory Agreement are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Trustees
William L. Boyan
Gregory A. Ehret
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
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 02119
Transfer Agent
Boston Financial Data Services
2000 Crown Colony Drive
Quincy, MA 02171
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Distributor: State Street Global Markets, LLC, member FINRA, SIPC, a wholly owned subsidiary of State Street Corporation. References to State Street may include State Street Corporation and its affiliates. The SSGA Funds pay State Street Bank and Trust Company for its services as custodian, transfer agent and shareholder servicing agent and pays SSGA Funds Management, Inc. for investment advisory services.
Before investing, consider the funds’ investment objectives, risks, charges and expenses. To obtain a prospectus or summary prospectus which contains this and other information, call 1-800-997-7327 or visit www.SSGAfunds.com. Read it carefully.
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 | IBG-16226 |
Not FDIC Insured - No Bank Guarantee - May Lose Value
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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. | Investments. |
(a) Schedule of Investments is included as part of 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. |
The Board of Trustees approved an Amended and Restated Nominating Committee Charter (the “Charter”) at their February 13, 2014 Board Meeting. The Charter contains procedures related to how shareholders are to submit recommendations for Trustee candidates to the Trusts. Those procedures are as follows:
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Procedures for Shareholders to Submit Nominee Candidates
(As of February 13, 2014)
A shareholder of the Trust, or of any series thereof, if applicable, must follow the following procedures in order to submit properly a nominee recommendation for the Nominating Committee’s consideration.
1. | The shareholder must submit any such recommendation (a “Shareholder Recommendation”) in writing to the Trust, to the attention of the Trust’s Secretary, at the address of the principal executive offices of the Trust. |
2. | The Shareholder Recommendation must be delivered to, or mailed and received at, the principal executive offices of the Trust not less than sixty (60) calendar days nor more than ninety (90) calendar days prior to the date of the Board or shareholder meeting at which the nominee candidate would be considered for election. Shareholder Recommendations will be kept on file for two years after receipt of the Shareholder Recommendation. A Shareholder Recommendation considered by the Nominating Committee in connection with the Nominating Committee’s nomination of any candidate(s) for appointment or election as an independent Trustee need not be considered again by the Nominating Committee in connection with any subsequent nomination(s). |
3. | The Shareholder Recommendation must include: (i) a statement in writing setting forth (A) the name, age, date of birth, business address, residence address and nationality of the person recommended by the shareholder (the “candidate”), and the names and addresses of at least three professional references; (B) the number of all shares of the Trust (including the series and class, if applicable) owned of record or beneficially by the candidate, the date such shares were acquired and the investment intent of such acquisition(s), as reported to such shareholder by the candidate; (C) any other information regarding the candidate called for with respect to director nominees by paragraphs (a), (d), (e) and (f) of Item 401 of Regulation S-K or paragraph (b) of Item 22 of Rule 14a-101 (Schedule 14A) under the Securities Exchange Act of 1934, as amended (the “Exchange Act”), adopted by the Securities and Exchange Commission (or the corresponding provisions of any applicable regulation or rule subsequently adopted by the Securities and Exchange Commission or any successor agency with jurisdiction related to the Trust); (D) any other information regarding the candidate that would be required to be disclosed if the candidate were a nominee in a proxy statement or other filing required to be made in connection with solicitation of proxies for election of directors pursuant to Section 14 of the Exchange Act and the rules and regulations promulgated thereunder or any other applicable law or regulation; and (E) whether the recommending shareholder believes that the candidate is or will be an “interested person” of the Trust (as defined in the Investment Company Act of 1940, as amended) and, if not an “interested person,” information regarding the candidate that will be sufficient, in the discretion of the Board or the Nominating Committee, for the Trust to make such |
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determination; (ii) the written and signed consent of the candidate to be named as a nominee and to serve as a Trustee if elected; (iii) the recommending shareholder’s name as it appears on the Trust’s books; (iv) the number of all shares of the Trust (including the series and class, if applicable) owned beneficially and of record by the recommending shareholder; (v) a complete description of all arrangements or understandings between the recommending shareholder and the candidate and any other person or persons (including their names) pursuant to which the recommendation is being made by the recommending shareholder including, without limitation, all direct and indirect compensation and other material monetary agreements, arrangements and understandings between the candidate and recommending shareholder during the past three years, and (vi) a brief description of the candidate’s relevant background and experience for membership on the Board, such as qualification as an audit committee financial expert. |
4. | The Nominating Committee may require the recommending shareholder to furnish such other information as it may reasonably require or deem necessary to verify any information furnished pursuant to paragraph 3 above or to determine the eligibility of the candidate to serve as a Trustee of the Trust or to satisfy applicable law. If the recommending shareholder fails to provide such other information in writing within seven days of receipt of a written request from the Nominating Committee, the recommendation of such candidate as a nominee will be deemed not properly submitted for consideration, and the Nominating Committee will not be required to consider such candidate. |
Item 11. | Controls and Procedures. |
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, 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)(1) Not applicable to the registrant; this Form N-CSR is a Semi-Annual Report.
(a)(2) Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by
Rule 30a-2(a) under the 1940 Act are attached hereto.
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(a)(3) Not applicable to the Registrant.
(b) Certifications of principal executive officer and principal financial and accounting officer of the Trust as required by
Rule 30a-2(b) under the 1940 Act and Section 906 of the Sarbanes-Oxley Act of 2002 are attached hereto.
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SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the Registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
Registrant: | STATE STREET INSTITUTIONAL INVESTMENT TRUST |
By: | /s/ Ellen M. Needham | |
Ellen M. Needham | ||
President | ||
Date: | September 8, 2015 |
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: | September 8, 2015 | |
By: | /s/ Chad Hallett | |
Chad Hallett | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | September 8, 2015 |