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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: | |
Joshua A. Weinberg, Esq. Vice President and Managing Counsel SSGA Funds Management, Inc. One Lincoln Street Boston, Massachusetts 02111 | Timothy W. Diggins, Esq. Ropes & Gray 800 Boylston Street Boston, Massachusetts 02110-2624 |
Registrant’s telephone number, including area code: (617) 664-7037
Date of fiscal year end: December 31
Date of reporting period: June 30, 2016
Table of Contents
Item 1. Shareholder Report.
Table of Contents
Semi-Annual Report
30 June 2016
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
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
State Street Institutional Investment Trust
Target Retirement Funds
Semi-Annual Report
June 30, 2016
(Unaudited)
12 | ||||
34 | ||||
37 | ||||
40 | ||||
46 | ||||
79 | ||||
87 |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
State Street Target Retirement Fund
Portfolio Statistics (Unaudited)
State Street Target Retirement Fund (Unaudited)
Asset Allocation as of June 30, 2016 (as a percentage of Net Assets)
Domestic Equity | 20.3 | % | ||
Domestic Fixed Income | 64.2 | |||
International Equity | 10.4 | |||
Real Estate | 5.0 | |||
Short-Term Investment | 0.5 | |||
Liabilities in Excess of Other Assets | (0.4 | ) | ||
100.0 | % |
1
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State Street Target Retirement 2015 Fund
Portfolio Statistics (Unaudited)
State Street Target Retirement 2015 Fund (Unaudited)
Asset Allocation as of June 30, 2016 (as a percentage of Net Assets)
Domestic Equity | 25.5 | % | ||
Domestic Fixed Income | 55.4 | |||
International Equity | 13.9 | |||
Real Estate | 5.0 | |||
Short-Term Investment | 0.8 | |||
Liabilities in Excess of Other Assets | (0.6 | ) | ||
100.0 | % |
2
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State Street Target Retirement 2020 Fund
Portfolio Statistics (Unaudited)
State Street Target Retirement 2020 Fund (Unaudited)
Asset Allocation as of June 30, 2016 (as a percentage of Net Assets)
Domestic Equity | 34.0 | % | ||
Domestic Fixed Income | 35.7 | |||
Inflation Linked | 7.2 | |||
International Equity | 19.8 | |||
Real Estate | 3.2 | |||
Short-Term Investment | 0.7 | |||
Liabilities in Excess of Other Assets | (0.6 | ) | ||
100.0 | % |
3
Table of Contents
State Street Target Retirement 2025 Fund
Portfolio Statistics (Unaudited)
State Street Target Retirement 2025 Fund (Unaudited)
Asset Allocation as of June 30, 2016 (as a percentage of Net Assets)
Domestic Equity | 42.1 | % | ||
Domestic Fixed Income | 27.1 | |||
Inflation Linked | 4.9 | |||
International Equity | 25.6 | |||
Real Estate | 0.7 | |||
Short-Term Investment | 0.7 | |||
Liabilities in Excess of Other Assets | (1.1 | ) | ||
100.0 | % |
4
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State Street Target Retirement 2030 Fund
Portfolio Statistics (Unaudited)
State Street Target Retirement 2030 Fund (Unaudited)
Asset Allocation as of June 30, 2016 (as a percentage of Net Assets)
Domestic Equity | 46.5 | % | ||
Domestic Fixed Income | 22.9 | |||
Inflation Linked | 1.4 | |||
International Equity | 28.7 | |||
Short-Term Investment | 1.3 | |||
Liabilities in Excess of Other Assets | (0.8 | ) | ||
100.0 | % |
5
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State Street Target Retirement 2035 Fund
Portfolio Statistics (Unaudited)
State Street Target Retirement 2035 Fund (Unaudited)
Asset Allocation as of June 30, 2016 (as a percentage of Net Assets)
Domestic Equity | 50.6 | % | ||
Domestic Fixed Income | 17.8 | |||
International Equity | 31.5 | |||
Short-Term Investment | 1.1 | |||
Liabilities in Excess of Other Assets | (1.0 | ) | ||
100.0 | % |
6
Table of Contents
State Street Target Retirement 2040 Fund
Portfolio Statistics (Unaudited)
State Street Target Retirement 2040 Fund (Unaudited)
Asset Allocation as of June 30, 2016 (as a percentage of Net Assets)
Domestic Equity | 53.7 | % | ||
Domestic Fixed Income | 12.9 | |||
International Equity | 33.5 | |||
Short-Term Investment | 0.7 | |||
Liabilities in Excess of Other Assets | (0.8 | ) | ||
100.0 | % |
7
Table of Contents
State Street Target Retirement 2045 Fund
Portfolio Statistics (Unaudited)
State Street Target Retirement 2045 Fund (Unaudited)
Asset Allocation as of June 30, 2016 (as a percentage of Net Assets)
Domestic Equity | 55.9 | % | ||
Domestic Fixed Income | 9.5 | |||
International Equity | 35.0 | |||
Short-Term Investment | 0.6 | |||
Liabilities in Excess of Other Assets | (1.0 | ) | ||
100.0 | % |
8
Table of Contents
State Street Target Retirement 2050 Fund
Portfolio Statistics (Unaudited)
State Street Target Retirement 2050 Fund (Unaudited)
Asset Allocation as of June 30, 2016 (as a percentage of Net Assets)
Domestic Equity | 55.8 | % | ||
Domestic Fixed Income | 9.4 | |||
International Equity | 34.9 | |||
Short-Term Investment | 0.7 | |||
Liabilities in Excess of Other Assets | (0.8 | ) | ||
100.0 | % |
9
Table of Contents
State Street Target Retirement 2055 Fund
Portfolio Statistics (Unaudited)
State Street Target Retirement 2055 Fund (Unaudited)
Asset Allocation as of June 30, 2016 (as a percentage of Net Assets)
Domestic Equity | 55.7 | % | ||
Domestic Fixed Income | 9.4 | |||
International Equity | 34.9 | |||
Short-Term Investment | 0.8 | |||
Liabilities in Excess of Other Assets | (0.8 | ) | ||
100.0 | % |
10
Table of Contents
State Street Target Retirement 2060 Fund
Portfolio Statistics (Unaudited)
State Street Target Retirement 2060 Fund (Unaudited)
Asset Allocation as of June 30, 2016 (as a percentage of Net Assets)
Domestic Equity | 56.8 | % | ||
Domestic Fixed Income | 9.6 | |||
International Equity | 35.6 | |||
Short-Term Investment | 0.9 | |||
Liabilities in Excess of Other Assets | (2.9 | ) | ||
100.0 | % |
11
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State Street Target Retirement Fund
Schedule of Investments
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.9%(a) |
| |||||||
Domestic Equity – 20.3% |
| |||||||
State Street Equity 500 Index II Portfolio | 422,222 | $ | 4,534,668 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 90,013 | 860,528 | ||||||
|
| |||||||
5,395,196 | ||||||||
|
| |||||||
Domestic Fixed Income – 64.2% |
| |||||||
SPDR Barclays 1-10 Year TIPS ETF | 237,120 | 4,766,112 | ||||||
SPDR Barclays High Yield Bond ETF | 51,960 | 1,854,972 | ||||||
SPDR Barclays Short Term Corporate Bond ETF | 34,148 | 1,051,076 | ||||||
SPDR Barclays Short Term Treasury ETF | 134,982 | 4,138,548 | ||||||
State Street Aggregate Bond Index Portfolio | 510,307 | 5,256,159 | ||||||
|
| |||||||
17,066,867 | ||||||||
|
| |||||||
International Equity – 10.4% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 324,065 | 2,748,072 | ||||||
|
| |||||||
Real Estate – 5.0% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 26,418 | 1,330,410 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 26,540,545 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.5% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(b)(c) | 133,969 | 133,969 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.4% |
| 26,674,514 | ||||||
Liabilities in Excess of Other | (95,137 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 26,579,377 | |||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the six months ended June 30, 2016 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2016. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 5,395,196 | $ | – | $ | – | $ | 5,395,196 | ||||||||
Domestic Fixed Income | 17,066,867 | – | – | 17,066,867 | ||||||||||||
International Equity | 2,748,072 | – | – | 2,748,072 | ||||||||||||
Real Estate | 1,330,410 | – | – | 1,330,410 | ||||||||||||
Short-Term Investment | 133,969 | – | – | 133,969 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 26,674,514 | $ | – | $ | – | $ | 26,674,514 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
12
Table of Contents
State Street Target Retirement Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Affiliate Table
Number of��shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Barclays 1-10 Year TIPS ETF | 221,217 | $ | 4,242,942 | 49,663 | 33,760 | 237,120 | $ | 4,766,112 | $ | – | $ | 4,126 | ||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 48,169 | 1,633,411 | 14,095 | 10,304 | 51,960 | 1,854,972 | 48,702 | (54,827 | ) | |||||||||||||||||||||||
SPDR Barclays Short Term Corporate Bond ETF | 30,696 | 933,159 | 10,515 | 7,063 | 34,148 | 1,051,076 | 6,895 | (1,070 | ) | |||||||||||||||||||||||
SPDR Barclays Short Term Treasury ETF | 123,343 | 3,712,624 | 34,246 | 22,607 | 134,982 | 4,138,548 | 16,029 | 4,740 | ||||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 24,707 | 1,156,288 | 7,181 | 5,470 | 26,418 | 1,330,410 | 20,193 | (11,045 | ) | |||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 472,975 | 4,677,727 | 94,747 | 57,415 | 510,307 | 5,256,159 | 58,533 | (7,844 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 375,107 | 3,871,104 | 79,596 | 32,481 | 422,222 | 4,534,668 | – | (26,366 | ) | |||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 276,385 | 2,335,452 | 71,214 | 23,534 | 324,065 | 2,748,072 | – | (35,415 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 42,203 | 42,203 | 2,006,230 | 1,914,464 | 133,969 | 133,969 | 202 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 78,596 | 730,947 | 18,171 | 6,754 | 90,013 | 860,528 | – | (8,348 | ) |
See accompanying notes to financial statements.
13
Table of Contents
State Street Target Retirement 2015 Fund
Schedule of Investments
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.8%(a) |
| |||||||
Domestic Equity – 25.5% |
| |||||||
State Street Equity 500 Index II Portfolio | 211,486 | $ | 2,271,360 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 43,057 | 411,621 | ||||||
|
| |||||||
2,682,981 | ||||||||
|
| |||||||
Domestic Fixed Income – 55.4% |
| |||||||
SPDR Barclays 1-10 Year TIPS ETF | 101,062 | 2,031,346 | ||||||
SPDR Barclays High Yield Bond ETF | 20,444 | 729,851 | ||||||
SPDR Barclays Short Term Corporate Bond ETF | 4,199 | 129,245 | ||||||
SPDR Barclays Short Term Treasury ETF | 16,017 | 491,081 | ||||||
State Street Aggregate Bond Index Portfolio | 235,902 | 2,429,788 | ||||||
|
| |||||||
5,811,311 | ||||||||
|
| |||||||
International Equity – 13.9% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 171,721 | 1,456,190 | ||||||
|
| |||||||
Real Estate – 5.0% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 10,393 | 523,391 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 10,473,873 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.8% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(b)(c) (Cost $90,049) | 90,049 | 90,049 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.6% |
| 10,563,922 |
| |||||
Liabilities in Excess of Other | (67,209 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 10,496,713 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the six months ended June 30, 2016 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2016. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 2,682,981 | $ | – | $ | – | $ | 2,682,981 | ||||||||
Domestic Fixed Income | 5,811,311 | – | – | 5,811,311 | ||||||||||||
International Equity | 1,456,190 | – | – | 1,456,190 | ||||||||||||
Real Estate | 523,391 | – | – | 523,391 | ||||||||||||
Short-Term Investment | 90,049 | – | – | 90,049 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 10,563,922 | $ | – | $ | – | $ | 10,563,922 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
14
Table of Contents
State Street Target Retirement 2015 Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Barclays 1-10 Year TIPS ETF | 53,475 | $ | 1,025,651 | 57,565 | 9,978 | 101,062 | $ | 2,031,346 | $ | – | $ | 1,925 | ||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 11,031 | 374,061 | 16,184 | 6,771 | 20,444 | 729,851 | 17,545 | (26,208 | ) | |||||||||||||||||||||||
SPDR Barclays Short Term Corporate Bond ETF | 1,757 | 53,413 | 6,294 | 3,852 | 4,199 | 129,245 | 679 | 486 | ||||||||||||||||||||||||
SPDR Barclays Short Term Treasury ETF | 6,590 | 198,359 | 14,974 | 5,547 | 16,017 | 491,081 | 1,446 | 465 | ||||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 5,658 | 264,794 | 8,390 | 3,655 | 10,393 | 523,391 | 7,958 | 2,728 | ||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 129,905 | 1,284,764 | 138,118 | 32,121 | 235,902 | 2,429,788 | 25,732 | 354 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 111,971 | 1,155,545 | 120,286 | 20,771 | 211,486 | 2,271,360 | – | (3,218 | ) | |||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 88,277 | 745,943 | 99,305 | 15,861 | 171,721 | 1,456,190 | – | (15,350 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 5,195 | 5,195 | 1,256,597 | 1,171,743 | 90,049 | 90,049 | 134 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 23,068 | 214,531 | 24,245 | 4,256 | 43,057 | 411,621 | – | (2,866 | ) |
See accompanying notes to financial statements.
15
Table of Contents
State Street Target Retirement 2020 Fund
Schedule of Investments
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED |
| |||||||
Domestic Equity – 34.0% |
| |||||||
State Street Equity 500 Index II Portfolio | 1,757,636 | $ | 18,877,012 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 447,505 | 4,278,143 | ||||||
|
| |||||||
23,155,155 | ||||||||
|
| |||||||
Domestic Fixed Income – 35.7% |
| |||||||
SPDR Barclays 1-10 Year TIPS ETF | 166,989 | 3,356,479 | ||||||
SPDR Barclays High Yield Bond ETF | 112,829 | 4,027,995 | ||||||
SPDR Barclays Long Term Treasury ETF | 27,087 | 2,162,084 | ||||||
State Street Aggregate Bond Index Portfolio | 1,429,522 | 14,724,075 | ||||||
|
| |||||||
24,270,633 | ||||||||
|
| |||||||
Inflation Linked – 7.2% |
| |||||||
SPDR Barclays TIPS ETF | 83,545 | 4,858,142 | ||||||
|
| |||||||
International Equity – 19.8% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,591,735 | 13,497,911 | ||||||
|
| |||||||
Real Estate – 3.2% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 43,731 | 2,202,293 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 67,984,134 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.7% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(b)(c) | 454,036 | 454,036 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.6% |
| 68,438,170 | ||||||
Liabilities in Excess of Other |
| (379,056 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 68,059,114 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the six months ended June 30, 2016 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2016. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 23,155,155 | $ | – | $ | – | $ | 23,155,155 | ||||||||
Domestic Fixed Income | 24,270,633 | – | – | 24,270,633 | ||||||||||||
Inflation Linked | 4,858,142 | – | – | 4,858,142 | ||||||||||||
International Equity | 13,497,911 | – | – | 13,497,911 | ||||||||||||
Real Estate | 2,202,293 | – | – | 2,202,293 | ||||||||||||
Short-Term Investment | 454,036 | – | – | 454,036 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 68,438,170 | $ | – | $ | – | $ | 68,438,170 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
16
Table of Contents
State Street Target Retirement 2020 Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Barclays 1-10 Year TIPS ETF | 85,938 | $ | 1,648,291 | 88,922 | 7,871 | 166,989 | $ | 3,356,479 | $ | – | $ | 938 | ||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 96,236 | 3,263,363 | 31,932 | 15,339 | 112,829 | 4,027,995 | 101,423 | (73,766 | ) | |||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 30,708 | 2,145,875 | 8,673 | 12,294 | 27,087 | 2,162,084 | 22,716 | 12,878 | ||||||||||||||||||||||||
SPDR Barclays TIPS ETF | 84,566 | 4,619,841 | 20,659 | 21,680 | 83,545 | 4,858,142 | 14,471 | 13,777 | ||||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 34,554 | 1,617,127 | 13,565 | 4,388 | 43,731 | 2,202,293 | 30,551 | (9,385 | ) | |||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 1,158,674 | 11,459,287 | 316,853 | 46,005 | 1,429,522 | 14,724,075 | 152,381 | (8,668 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 1,466,126 | 15,130,420 | 353,871 | 62,361 | 1,757,636 | 18,877,012 | – | (45,616 | ) | |||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,283,147 | 10,842,592 | 347,328 | 38,740 | 1,591,735 | 13,497,911 | – | (63,485 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 59,223 | 59,223 | 5,314,244 | 4,919,431 | 454,036 | 454,036 | 570 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 368,793 | 3,429,773 | 88,057 | 9,345 | 447,505 | 4,278,143 | – | (13,364 | ) |
See accompanying notes to financial statements.
17
Table of Contents
State Street Target Retirement 2025 Fund
Schedule of Investments
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 100.4%(a) |
| |||||||
Domestic Equity – 42.1% |
| |||||||
State Street Equity 500 Index II Portfolio | 1,165,145 | $ | 12,513,660 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 348,627 | 3,332,871 | ||||||
|
| |||||||
15,846,531 | ||||||||
|
| |||||||
Domestic Fixed Income – 27.1% |
| |||||||
SPDR Barclays High Yield Bond ETF | 52,410 | 1,871,037 | ||||||
SPDR Barclays Long Term Treasury ETF | 38,128 | 3,043,377 | ||||||
State Street Aggregate Bond Index Portfolio | 513,445 | 5,288,482 | ||||||
|
| |||||||
10,202,896 | ||||||||
|
| |||||||
Inflation Linked – 4.9% |
| |||||||
SPDR Barclays TIPS ETF | 31,949 | 1,857,834 | ||||||
|
| |||||||
International Equity – 25.6% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,138,501 | 9,654,490 | ||||||
|
| |||||||
Real Estate – 0.7% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 5,197 | 261,721 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 37,823,472 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.7% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(b)(c) | 259,256 | 259,256 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.1% | 38,082,728 | |||||||
Liabilities in Excess of Other | (400,443 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 37,682,285 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the six months ended June 30, 2016 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2016. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 15,846,531 | $ | – | $ | – | $ | 15,846,531 | ||||||||
Domestic Fixed Income | 10,202,896 | – | – | 10,202,896 | ||||||||||||
Inflation Linked | 1,857,834 | – | – | 1,857,834 | ||||||||||||
International Equity | 9,654,490 | – | – | 9,654,490 | ||||||||||||
Real Estate | 261,721 | – | – | 261,721 | ||||||||||||
Short-Term Investment | 259,256 | – | – | 259,256 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 38,082,728 | $ | – | $ | – | $ | 38,082,728 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
18
Table of Contents
State Street Target Retirement 2025 Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 35,195 | $ | 1,193,463 | 23,100 | 5,885 | 52,410 | $ | 1,871,037 | $ | 42,011 | $ | (26,374 | ) | |||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 32,230 | 2,252,232 | 16,399 | 10,501 | 38,128 | 3,043,377 | 28,272 | 43,631 | ||||||||||||||||||||||||
SPDR Barclays TIPS ETF | 19,973 | 1,091,125 | 13,469 | 1,493 | 31,949 | 1,857,834 | 4,726 | 207 | ||||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 2,689 | 125,845 | 5,020 | 2,512 | 5,197 | 261,721 | 3,347 | 6,324 | ||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 360,531 | 3,565,649 | 169,941 | 17,027 | 513,445 | 5,288,482 | 52,349 | (2,255 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 806,639 | 8,324,515 | 381,324 | 22,818 | 1,165,145 | 12,513,660 | – | (13,169 | ) | |||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 761,307 | 6,433,045 | 398,371 | 21,177 | 1,138,501 | 9,654,490 | – | (30,024 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 58,469 | 58,469 | 3,020,507 | 2,819,720 | 259,256 | 259,256 | 385 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 240,898 | 2,240,347 | 114,316 | 6,587 | 348,627 | 3,332,871 | – | (8,665 | ) |
See accompanying notes to financial statements.
19
Table of Contents
State Street Target Retirement 2030 Fund
Schedule of Investments
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.5%(a) |
| |||||||
Domestic Equity – 46.5% |
| |||||||
State Street Equity 500 Index II Portfolio | 2,194,032 | $ | 23,563,900 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 758,181 | 7,248,212 | ||||||
|
| |||||||
30,812,112 | ||||||||
|
| |||||||
Domestic Fixed Income – 22.9% |
| |||||||
SPDR Barclays High Yield Bond ETF | 36,915 | 1,317,866 | ||||||
SPDR Barclays Long Term Treasury ETF | 78,364 | 6,255,014 | ||||||
State Street Aggregate Bond Index Portfolio | 736,255 | 7,583,425 | ||||||
|
| |||||||
15,156,305 | ||||||||
|
| |||||||
Inflation Linked – 1.4% |
| |||||||
SPDR Barclays TIPS ETF | 16,390 | 953,078 | ||||||
|
| |||||||
International Equity – 28.7% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 2,245,847 | 19,044,780 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 65,966,275 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 1.3% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(b)(c) | 854,498 | 854,498 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.8% |
| 66,820,773 | ||||||
Liabilities in Excess of Other | (520,518 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 66,300,255 | |||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the six months ended June 30, 2016 are shown in the Affiliate Table below. |
(b) | The rate shown is the annualized seven-day yield at June 30, 2016. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 30,812,112 | $ | – | $ | – | $ | 30,812,112 | ||||||||
Domestic Fixed Income | 15,156,305 | – | – | 15,156,305 | ||||||||||||
Inflation Linked | 953,078 | – | – | 953,078 | ||||||||||||
International Equity | 19,044,780 | – | – | 19,044,780 | ||||||||||||
Short-Term Investment | 854,498 | – | – | 854,498 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 66,820,773 | $ | – | $ | – | $ | 66,820,773 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
20
Table of Contents
State Street Target Retirement 2030 Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Barclays High Yield Bond ETF | 26,115 | $ | 885,559 | 21,306 | 10,506 | 36,915 | $ | 1,317,866 | $ | 29,287 | $ | (46,795 | ) | |||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 71,969 | 5,029,194 | 28,058 | 21,663 | 78,364 | 6,255,014 | 58,767 | 41,093 | ||||||||||||||||||||||||
SPDR Barclays TIPS ETF | 11,571 | 632,124 | 10,339 | 5,520 | 16,390 | 953,078 | 2,434 | 2,660 | ||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 590,423 | 5,839,285 | 171,690 | 25,858 | 736,255 | 7,583,425 | 78,213 | (3,766 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 1,734,874 | 17,903,899 | 501,054 | 41,896 | 2,194,032 | 23,563,900 | – | (40,600 | ) | |||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,710,901 | 14,457,117 | 585,810 | 50,864 | 2,245,847 | 19,044,780 | – | (77,341 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 61,616 | 61,616 | 4,620,562 | 3,827,680 | 854,498 | 854,498 | 604 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 596,282 | 5,545,426 | 174,843 | 12,944 | 758,181 | 7,248,212 | – | (18,919 | ) |
See accompanying notes to financial statements.
21
Table of Contents
State Street Target Retirement 2035 Fund
Schedule of Investments
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.9%(a) |
| |||||||
Domestic Equity – 50.6% |
| |||||||
State Street Equity 500 Index II Portfolio | 1,034,015 | $ | 11,105,326 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 410,355 | 3,922,996 | ||||||
|
| |||||||
15,028,322 | ||||||||
|
| |||||||
Domestic Fixed Income – 17.8% |
| |||||||
SPDR Barclays Long Term Treasury ETF | 35,610 | 2,842,390 | ||||||
State Street Aggregate Bond Index Portfolio | 238,782 | 2,459,456 | ||||||
|
| |||||||
5,301,846 | ||||||||
|
| |||||||
International Equity – 31.5% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,102,427 | 9,348,581 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 29,678,749 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 1.1% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(b)(c) | 321,827 | 321,827 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.0% |
| 30,000,576 | ||||||
Liabilities in Excess of Other | (305,758 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 29,694,818 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the six months ended June 30, 2016 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2016. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 15,028,322 | $ | – | $ | – | $ | 15,028,322 | ||||||||
Domestic Fixed Income | 5,301,846 | – | – | 5,301,846 | ||||||||||||
International Equity | 9,348,581 | – | – | 9,348,581 | ||||||||||||
Short-Term Investment | 321,827 | – | – | 321,827 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 30,000,576 | $ | – | $ | – | $ | 30,000,576 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
22
Table of Contents
State Street Target Retirement 2035 Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 27,142 | $ | 1,896,683 | 20,852 | 12,384 | 35,610 | $ | 2,842,390 | $ | 24,977 | $ | 45,543 | ||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 156,435 | 1,547,145 | 95,952 | 13,605 | 238,782 | 2,459,456 | 23,827 | (1,608 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 690,403 | 7,124,961 | 391,377 | 47,765 | 1,034,015 | 11,105,326 | – | (20,016 | ) | |||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 710,580 | 6,004,397 | 443,486 | 51,639 | 1,102,427 | 9,348,581 | – | (46,503 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 29,072 | 29,072 | 3,115,604 | 2,822,849 | 321,827 | 321,827 | 304 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 274,432 | 2,552,213 | 154,745 | 18,822 | 410,355 | 3,922,996 | – | (18,773 | ) |
See accompanying notes to financial statements.
23
Table of Contents
State Street Target Retirement 2040 Fund
Schedule of Investments
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED |
| |||||||
Domestic Equity – 53.7% |
| |||||||
State Street Equity 500 Index II Portfolio | 1,832,519 | $ | 19,681,256 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 839,595 | 8,026,528 | ||||||
|
| |||||||
27,707,784 | ||||||||
|
| |||||||
Domestic Fixed Income – 12.9% |
| |||||||
SPDR Barclays Long Term Treasury ETF | 61,106 | 4,877,481 | ||||||
State Street Aggregate Bond Index Portfolio | 171,012 | 1,761,421 | ||||||
|
| |||||||
6,638,902 | ||||||||
|
| |||||||
International Equity – 33.5% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 2,040,667 | 17,304,853 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 51,651,539 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.7% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(b)(c) | 347,930 | 347,930 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.8% |
| 51,999,469 | ||||||
Liabilities in Excess of Other | (412,378 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 51,587,091 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the six months ended June 30, 2016 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2016. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 27,707,784 | $ | – | $ | – | $ | 27,707,784 | ||||||||
Domestic Fixed Income | 6,638,902 | – | – | 6,638,902 | ||||||||||||
International Equity | 17,304,853 | – | – | 17,304,853 | ||||||||||||
Short-Term Investment | 347,930 | – | – | 347,930 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 51,999,469 | $ | – | $ | – | $ | 51,999,469 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
24
Table of Contents
State Street Target Retirement 2040 Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 52,863 | $ | 3,694,067 | 26,571 | 18,328 | 61,106 | $ | 4,877,481 | $ | 45,091 | $ | 27,165 | ||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 113,396 | 1,121,488 | 61,632 | 4,016 | 171,012 | 1,761,421 | 16,394 | (685 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 1,360,079 | 14,036,017 | 509,338 | 36,898 | 1,832,519 | 19,681,256 | – | (27,610 | ) | |||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,461,063 | 12,345,985 | 614,760 | 35,156 | 2,040,667 | 17,304,853 | – | (50,577 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 31,888 | 31,888 | 3,714,967 | 3,398,925 | 347,930 | 347,930 | 471 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 622,013 | 5,784,718 | 238,670 | 21,088 | 839,595 | 8,026,528 | – | (17,873 | ) |
See accompanying notes to financial statements.
25
Table of Contents
State Street Target Retirement 2045 Fund
Schedule of Investments
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 100.4%(a) |
| |||||||
Domestic Equity – 55.9% |
| |||||||
State Street Equity 500 Index II Portfolio | 651,546 | $ | 6,997,607 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 328,566 | 3,141,091 | ||||||
|
| |||||||
10,138,698 | ||||||||
|
| |||||||
Domestic Fixed Income – 9.5% |
| |||||||
SPDR Barclays Long Term Treasury ETF | 21,512 | 1,717,088 | ||||||
|
| |||||||
International Equity – 35.0% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 748,623 | 6,348,320 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 18,204,106 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.6% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(b)(c) | 112,081 | 112,081 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.0% |
| 18,316,187 | ||||||
Liabilities in Excess of Other | (186,996 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 18,129,191 | |||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the six months ended June 30, 2016 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2016. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 10,138,698 | $ | – | $ | – | $ | 10,138,698 | ||||||||
Domestic Fixed Income | 1,717,088 | – | – | 1,717,088 | ||||||||||||
International Equity | 6,348,320 | – | – | 6,348,320 | ||||||||||||
Short-Term Investment | 112,081 | – | – | 112,081 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 18,316,187 | $ | – | $ | – | $ | 18,316,187 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
26
Table of Contents
State Street Target Retirement 2045 Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 13,291 | $ | 928,775 | 15,646 | 7,425 | 21,512 | $ | 1,717,088 | $ | 13,912 | $ | 20,095 | ||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 352,592 | 3,638,753 | 334,035 | 35,081 | 651,546 | 6,997,607 | – | (27,364 | ) | |||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 389,014 | 3,287,166 | 394,800 | 35,191 | 748,623 | 6,348,320 | – | (52,871 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 14,605 | 14,605 | 2,454,087 | 2,356,611 | 112,081 | 112,081 | 194 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 174,812 | 1,625,748 | 168,989 | 15,235 | 328,566 | 3,141,091 | – | (18,190 | ) |
See accompanying notes to financial statements.
27
Table of Contents
State Street Target Retirement 2050 Fund
Schedule of Investments
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 100.1%(a) |
| |||||||
Domestic Equity – 55.8% |
| |||||||
State Street Equity 500 Index II Portfolio | 488,686 | $ | 5,248,488 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 246,425 | 2,355,819 | ||||||
|
| |||||||
7,604,307 | ||||||||
|
| |||||||
Domestic Fixed Income – 9.4% |
| |||||||
SPDR Barclays Long Term Treasury ETF | 16,066 | 1,282,388 | ||||||
|
| |||||||
International Equity – 34.9% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 561,606 | 4,762,419 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 13,649,114 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.7% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(b)(c) | 94,214 | 94,214 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.8% |
| 13,743,328 | ||||||
Liabilities in Excess of Other | (105,785 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 13,637,543 | |||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the six months ended June 30, 2016 are shown in the Affiliate Table below. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2016. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 7,604,307 | $ | – | $ | – | $ | 7,604,307 | ||||||||
Domestic Fixed Income | 1,282,388 | – | – | 1,282,388 | ||||||||||||
International Equity | 4,762,419 | – | – | 4,762,419 | ||||||||||||
Short-Term Investment | 94,214 | – | – | 94,214 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 13,743,328 | $ | – | $ | – | $ | 13,743,328 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
28
Table of Contents
State Street Target Retirement 2050 Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 9,374 | $ | 655,055 | 12,520 | 5,828 | 16,066 | $ | 1,282,388 | $ | 9,859 | $ | 15,174 | ||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 249,153 | 2,571,264 | 256,923 | 17,390 | 488,686 | 5,248,488 | – | (14,275 | ) | |||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 274,892 | 2,322,840 | 303,830 | 17,116 | 561,606 | 4,762,419 | – | (25,679 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 9,103 | 9,103 | 1,775,502 | 1,690,391 | 94,214 | 94,214 | 152 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 123,526 | 1,148,791 | 130,380 | 7,481 | 246,425 | 2,355,819 | – | (8,752 | ) |
See accompanying notes to financial statements.
29
Table of Contents
State Street Target Retirement 2055 Fund
Schedule of Investments
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 100.0%(a) |
| |||||||
Domestic Equity – 55.7% |
| |||||||
State Street Equity 500 Index II Portfolio | 201,098 | $ | 2,159,794 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 101,411 | 969,494 | ||||||
|
| |||||||
3,129,288 | ||||||||
|
| |||||||
Domestic Fixed Income – 9.4% |
| |||||||
SPDR Barclays Long Term Treasury ETF | 6,634 | 529,526 | ||||||
|
| |||||||
International Equity – 34.9% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 231,196 | 1,960,543 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 5,619,357 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.8% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(b)(c) | 44,720 | 44,720 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.8% |
| 5,664,077 | ||||||
Liabilities in Excess of Other | (45,194 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 5,618,883 | |||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the six months ended June 30, 2016 are shown in the Affiliate Table below. |
(b) | The rate shown is the annualized seven-day yield at June 30, 2016. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 3,129,288 | $ | – | $ | – | $ | 3,129,288 | ||||||||
Domestic Fixed Income | 529,526 | – | – | 529,526 | ||||||||||||
International Equity | 1,960,543 | – | – | 1,960,543 | ||||||||||||
Short-Term Investment | 44,720 | – | – | 44,720 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 5,664,077 | $ | – | $ | – | $ | 5,664,077 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
30
Table of Contents
State Street Target Retirement 2055 Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 4,795 | $ | 335,075 | 3,559 | 1,720 | 6,634 | $ | 529,526 | $ | 4,362 | $ | 2,049 | ||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 128,106 | 1,322,051 | 76,089 | 3,097 | 201,098 | 2,159,794 | – | (3,001 | ) | |||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 141,338 | 1,194,305 | 95,015 | 5,157 | 231,196 | 1,960,543 | – | (8,040 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 2,406 | 2,406 | 1,144,564 | 1,102,250 | 44,720 | 44,720 | 82 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 63,513 | 590,671 | 40,284 | 2,386 | 101,411 | 969,494 | – | (3,348 | ) |
See accompanying notes to financial statements.
31
Table of Contents
State Street Target Retirement 2060 Fund
Schedule of Investments
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 102.0%(a) |
| |||||||
Domestic Equity – 56.8% |
| |||||||
State Street Equity 500 Index II Portfolio | 36,563 | $ | 392,682 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 18,440 | 176,286 | ||||||
|
| |||||||
568,968 | ||||||||
|
| |||||||
Domestic Fixed Income – 9.6% |
| |||||||
SPDR Barclays Long Term Treasury ETF | 1,206 | 96,263 | ||||||
|
| |||||||
International Equity – 35.6% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 42,036 | 356,467 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 1,021,698 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.9% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(b)(c) | 9,235 | 9,235 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 102.9% |
| 1,030,933 | ||||||
Liabilities In Excess of Other | (28,587 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 1,002,346 | |||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the six months ended June 30, 2016 are shown in the Affiliate Table below. |
(b) | The rate shown is the annualized seven-day yield at June 30, 2016. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Funds and Exchange Traded Products | ||||||||||||||||
Domestic Equity | $ | 568,968 | $ | – | $ | – | $ | 568,968 | ||||||||
Domestic Fixed Income | 96,263 | – | – | 96,263 | ||||||||||||
International Equity | 356,467 | – | – | 356,467 | ||||||||||||
Short-Term Investment | 9,235 | – | – | 9,235 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,030,933 | $ | – | $ | – | $ | 1,030,933 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
32
Table of Contents
State Street Target Retirement 2060 Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Barclays Long Term Treasury ETF | 843 | $ | 58,909 | 1,443 | 1,080 | 1,206 | $ | 96,263 | $ | 818 | $ | 3,100 | ||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 22,757 | 234,850 | 16,303 | 2,497 | 36,563 | 392,682 | – | 236 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 25,103 | 212,124 | 19,680 | 2,747 | 42,036 | 356,467 | – | (3,754 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 4,933 | 4,933 | 247,390 | 243,088 | 9,235 | 9,235 | 14 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 11,281 | 104,915 | 8,574 | 1,415 | 18,440 | 176,286 | – | (1,447 | ) |
See accompanying notes to financial statements.
33
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
June 30, 2016 (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 affiliated issuers, at value (Note 2) | $ | 26,674,514 | $ | 10,563,922 | $ | 68,438,170 | $ | 38,082,728 | ||||||||
Cash | 23,699 | – | 35,941 | 19,994 | ||||||||||||
Receivable for investments sold | 208,988 | 111,143 | 945,929 | 352,122 | ||||||||||||
Receivable for fund shares sold | 223 | – | – | 117 | ||||||||||||
Dividends receivable – affiliated issuers (Note 2) | 10,489 | 4,833 | 28,412 | 10,399 | ||||||||||||
Receivable from Adviser (Note 3) | 16,755 | 28,902 | 32,548 | 29,861 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 26,934,668 | 10,708,800 | 69,481,000 | 38,495,221 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | 304,212 | 173,895 | 1,350,100 | 580,006 | ||||||||||||
Payable for fund shares repurchased | 4,970 | 1,725 | 19,791 | 193,286 | ||||||||||||
Advisory fee payable (Note 5) | 1,084 | 422 | 2,747 | 1,520 | ||||||||||||
Custodian fees payable (Note 3) | 7,689 | 7,727 | 7,654 | 7,754 | ||||||||||||
Administration fees payable (Note 3) | 2,372 | 1,096 | 5,918 | 3,355 | ||||||||||||
Distribution fees payable (Note 3) | 86 | 124 | 27 | 34 | ||||||||||||
Transfer agent fees payable (Note 3) | 7,686 | 9,647 | 9,657 | 7,555 | ||||||||||||
Sub-transfer agent fee payable (Note 3) | 361 | 395 | 423 | 339 | ||||||||||||
Registration and filing fees payable | 2,031 | 241 | 177 | 749 | ||||||||||||
Professional fees payable | 15,360 | 15,360 | 15,360 | 15,360 | ||||||||||||
Printing and postage fees payable | 8,669 | 482 | 9,266 | 2,207 | ||||||||||||
Accrued expenses and other liabilities | 771 | 973 | 766 | 771 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 355,291 | 212,087 | 1,421,886 | 812,936 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 26,579,377 | $ | 10,496,713 | $ | 68,059,114 | $ | 37,682,285 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in Capital | $ | 26,463,024 | $ | 10,165,656 | $ | 68,462,296 | $ | 37,375,095 | ||||||||
Undistributed (distribution in excess of) net investment income (loss) | 145,977 | 52,315 | 318,090 | 124,669 | ||||||||||||
Accumulated net realized gain (loss) on investments | (190,362 | ) | (62,459 | ) | (438,348 | ) | (119,565 | ) | ||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 160,738 | 341,201 | (282,924 | ) | 302,086 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 26,579,377 | $ | 10,496,713 | $ | 68,059,114 | $ | 37,682,285 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class A | ||||||||||||||||
Net assets | $ | 424,279 | $ | 610,425 | $ | 130,836 | $ | 166,230 | ||||||||
Shares outstanding | 41,667 | 60,225 | 12,840 | 16,365 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.18 | $ | 10.14 | $ | 10.19 | $ | 10.16 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Maximum offering price per share | $ | 10.66 | $ | 10.62 | $ | 10.67 | $ | 10.64 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Net assets | $ | 700,251 | $ | 1,053,696 | $ | 1,943,364 | $ | 3,544,886 | ||||||||
Shares outstanding | 68,692 | 103,828 | 190,655 | 348,457 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.19 | $ | 10.15 | $ | 10.19 | $ | 10.17 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Net assets | $ | 25,454,847 | $ | 8,832,592 | $ | 65,984,914 | $ | 33,971,169 | ||||||||
Shares outstanding | 2,497,654 | 870,578 | 6,476,514 | 3,337,086 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.19 | $ | 10.15 | $ | 10.19 | $ | 10.18 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of Investments: | ||||||||||||||||
Investments in affiliated issuers | 26,513,776 | 10,222,721 | 68,721,094 | 37,780,642 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
34
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
June 30, 2016 (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 affiliated issuers, at value (Note 2) | $ | 66,820,773 | $ | 30,000,576 | $ | 51,999,469 | $ | 18,316,187 | ||||||||
Receivable for investments sold | 639,139 | 220,174 | 403,965 | 89,368 | ||||||||||||
Receivable for fund shares sold | 244,917 | – | 27 | – | ||||||||||||
Dividends receivable – affiliated issuers (Note 2) | 14,953 | 4,795 | 3,350 | 55 | ||||||||||||
Receivable from Adviser (Note 3) | 31,316 | 16,942 | 18,583 | 16,689 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 67,751,098 | 30,242,487 | 52,425,394 | 18,422,299 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | 1,381,639 | 475,722 | 670,557 | 171,300 | ||||||||||||
Payable for fund shares repurchased | 22,912 | 36,530 | 123,028 | 86,193 | ||||||||||||
Advisory fee payable (Note 5) | 2,650 | 1,180 | 2,083 | 728 | ||||||||||||
Custodian fees payable (Note 3) | 7,771 | 7,600 | 7,747 | 7,737 | ||||||||||||
Administration fees payable (Note 3) | 5,621 | 2,585 | 4,387 | 1,565 | ||||||||||||
Distribution fees payable (Note 3) | 34 | 103 | 30 | 68 | ||||||||||||
Transfer agent fees payable (Note 3) | 6,197 | 4,885 | 6,020 | 5,016 | ||||||||||||
Sub-transfer agent fee payable (Note 3) | 339 | 254 | 254 | 169 | ||||||||||||
Registration and filing fees payable | 193 | 1,670 | 3,162 | 3,672 | ||||||||||||
Professional fees payable | 15,360 | 15,360 | 15,360 | 15,360 | ||||||||||||
Printing and postage fees payable | 7,362 | 1,004 | 4,907 | 524 | ||||||||||||
Accrued expenses and other liabilities | 765 | 776 | 768 | 776 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 1,450,843 | 547,669 | 838,303 | 293,108 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 66,300,255 | $ | 29,694,818 | $ | 51,587,091 | $ | 18,129,191 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in Capital | $ | 66,807,594 | $ | 29,373,549 | $ | 52,017,996 | $ | 17,910,466 | ||||||||
Undistributed (distribution in excess of) net investment income (loss) | 157,570 | 43,084 | 54,209 | 11,734 | ||||||||||||
Accumulated net realized gain (loss) on investments | (182,025 | ) | 9,853 | (110,182 | ) | (46,099 | ) | |||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | (482,884 | ) | 268,332 | (374,932 | ) | 253,090 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 66,300,255 | $ | 29,694,818 | $ | 51,587,091 | $ | 18,129,191 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class A | ||||||||||||||||
Net assets | $ | 165,140 | $ | 507,540 | $ | 145,820 | $ | 332,567 | ||||||||
Shares outstanding | 16,264 | 50,000 | 14,503 | 33,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.15 | $ | 10.15 | $ | 10.05 | $ | 9.98 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Maximum offering price per share | $ | 10.63 | $ | 10.63 | $ | 10.52 | $ | 10.45 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Net assets | $ | 2,333,423 | $ | 1,606,105 | $ | 1,708,596 | $ | 937,486 | ||||||||
Shares outstanding | 229,637 | 158,115 | 169,656 | 93,843 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.16 | $ | 10.16 | $ | 10.07 | $ | 9.99 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Net assets | $ | 63,801,692 | $ | 27,581,173 | $ | 49,732,675 | $ | 16,859,138 | ||||||||
Shares outstanding | 6,276,537 | 2,712,873 | 4,935,437 | 1,688,236 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.17 | $ | 10.17 | $ | 10.08 | $ | 9.99 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of Investments: | ||||||||||||||||
Investments in affiliated issuers | 67,303,657 | 29,732,244 | 52,374,401 | 18,063,097 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
35
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
June 30, 2016 (Unaudited)
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | ||||||||||
Assets | ||||||||||||
Investments in affiliated issuers, at value (Note 2) | $ | 13,743,328 | $ | 5,664,077 | $ | 1,030,933 | ||||||
Cash | 5,040 | – | – | |||||||||
Receivable for investments sold | 83,175 | 29,412 | 6,776 | |||||||||
Receivable for fund shares sold | 1,562 | 2,892 | – | |||||||||
Dividends receivable – affiliated issuers (Note 2) | 43 | 25 | 4 | |||||||||
Receivable from Adviser (Note 3) | 16,797 | 16,132 | 15,819 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 13,849,945 | 5,712,538 | 1,053,532 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payable for investments purchased | 166,719 | 59,113 | 13,268 | |||||||||
Payable for fund shares repurchased | 9,442 | 878 | 2,045 | |||||||||
Advisory fee payable (Note 5) | 543 | 120 | 38 | |||||||||
Custodian fees payable (Note 3) | 7,747 | 7,570 | 7,722 | |||||||||
Administration fees payable (Note 3) | 1,139 | 495 | 140 | |||||||||
Distribution fees payable (Note 3) | 34 | 34 | 33 | |||||||||
Transfer agent fees payable (Note 3) | 5,025 | 5,014 | 4,975 | |||||||||
Sub-transfer agent fee payable (Note 3) | 85 | 140 | 167 | |||||||||
Registration and filing fees payable | 2,810 | 1,290 | 3,261 | |||||||||
Professional fees payable | 15,360 | 15,360 | 15,360 | |||||||||
Printing and postage fees payable | 2,723 | 2,862 | 3,391 | |||||||||
Accrued expenses and other liabilities | 775 | 779 | 786 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 212,402 | 93,655 | 51,186 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 13,637,543 | $ | 5,618,883 | $ | 1,002,346 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | �� | |||||||||||
Paid-in Capital | $ | 13,486,763 | $ | 5,622,443 | $ | 995,454 | ||||||
Undistributed (distribution in excess of) net investment income (loss) | 7,845 | 3,512 | 488 | |||||||||
Accumulated net realized gain (loss) on investments | (9,991 | ) | (966 | ) | (6,434 | ) | ||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||
Investments | 152,926 | (6,106 | ) | 12,838 | ||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 13,637,543 | $ | 5,618,883 | $ | 1,002,346 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net assets | $ | 165,923 | $ | 165,612 | $ | 163,651 | ||||||
Shares outstanding | 16,667 | 16,667 | 16,667 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 9.96 | $ | 9.94 | $ | 9.82 | ||||||
|
|
|
|
|
| |||||||
Maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | ||||||
Maximum offering price per share | $ | 10.43 | $ | 10.41 | $ | 10.28 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net assets | $ | 939,773 | $ | 260,607 | $ | 174,665 | ||||||
Shares outstanding | 94,364 | 26,196 | 17,766 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 9.96 | $ | 9.95 | $ | 9.83 | ||||||
|
|
|
|
|
| |||||||
Class K | ||||||||||||
Net assets | $ | 12,531,847 | $ | 5,192,664 | $ | 664,030 | ||||||
Shares outstanding | 1,258,470 | 522,320 | 67,572 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 9.96 | $ | 9.94 | $ | 9.83 | ||||||
|
|
|
|
|
| |||||||
Cost of Investments: | ||||||||||||
Investments in affiliated issuers | 13,590,402 | 5,670,183 | 1,018,095 | |||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
36
Table of Contents
State Street Institutional Investment Trust
Statements of Operations
For the Six Months Ended June 30, 2016 (Unaudited)
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | |||||||||||||
Investment Income | ||||||||||||||||
Dividend income – affiliated issuers (Note 2) | 150,554 | 53,494 | 322,112 | 131,090 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Advisory fee (Note 3) | 6,376 | 2,304 | 15,460 | 7,954 | ||||||||||||
Administration fees (Note 3) | 6,376 | 2,304 | 15,460 | 7,954 | ||||||||||||
Distribution fees (Note 3) | ||||||||||||||||
Class A | 510 | 731 | 156 | 198 | ||||||||||||
Custodian fees (Note 3) | 12,807 | 12,562 | 12,818 | 12,848 | ||||||||||||
Trustee’s fees and expenses (Note 4) | 7,654 | 7,652 | 7,659 | 7,655 | ||||||||||||
Transfer agent fees (Note 3) | 29,110 | 22,229 | 23,647 | 20,630 | ||||||||||||
Sub-transfer agent fee (Note 3) | – | – | 325 | 616 | ||||||||||||
Registration and filing fees | 24,273 | 33,365 | 33,518 | 32,835 | ||||||||||||
Professional fees | 20,580 | 20,579 | 20,579 | 20,579 | ||||||||||||
Printing and postage expenses | 9,311 | 1,434 | 8,365 | 3,104 | ||||||||||||
Insurance expense | 131 | 96 | 157 | 58 | ||||||||||||
Miscellaneous expenses | 2,642 | 2,661 | 2,924 | 2,664 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 119,770 | 105,917 | 141,068 | 117,095 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses waived/reimbursed by the Adviser (Note 3) | (115,193 | ) | (104,738 | ) | (137,046 | ) | (110,674 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 4,577 | 1,179 | 4,022 | 6,421 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 145,977 | 52,315 | 318,090 | 124,669 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investment transactions – affiliated issuers | (136,049 | ) | (41,684 | ) | (186,691 | ) | (30,325 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (136,049 | ) | (41,684 | ) | (186,691 | ) | (30,325 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||||||
Investment transactions – affiliated issuers | 1,119,663 | 543,203 | 2,998,230 | 1,616,293 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation | 1,119,663 | 543,203 | 2,998,230 | 1,616,293 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) | 983,614 | 501,519 | 2,811,539 | 1,585,968 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 1,129,591 | $ | 553,834 | $ | 3,129,629 | $ | 1,710,637 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
37
Table of Contents
State Street Institutional Investment Trust
Statements of Operations — (continued)
For the Six Months Ended June 30, 2016 (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 | |||||||||||||
Investment Income | ||||||||||||||||
Dividend income – affiliated issuers (Note 2) | 169,305 | 49,108 | 61,956 | 14,106 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Advisory fee (Note 3) | 14,513 | 6,201 | 11,158 | 3,532 | ||||||||||||
Administration fees (Note 3) | 14,513 | 6,201 | 11,158 | 3,532 | ||||||||||||
Distribution fees (Note 3) | ||||||||||||||||
Class A | 197 | 604 | 173 | 395 | ||||||||||||
Custodian fees (Note 3) | 12,839 | 12,752 | 12,853 | 12,600 | ||||||||||||
Trustee’s fees and expenses (Note 4) | 7,658 | 7,654 | 7,656 | 7,653 | ||||||||||||
Transfer agent fees (Note 3) | 20,326 | 19,555 | 20,694 | 19,031 | ||||||||||||
Sub-transfer agent fee (Note 3) | 227 | 82 | 216 | – | ||||||||||||
Registration and filing fees | 34,521 | 22,484 | 25,409 | 25,231 | ||||||||||||
Professional fees | 20,579 | 20,579 | 20,579 | 20,580 | ||||||||||||
Printing and postage expenses | 6,917 | 2,199 | 4,927 | 1,696 | ||||||||||||
Insurance expense | 130 | 66 | 123 | 78 | ||||||||||||
Miscellaneous expenses | 2,877 | 2,610 | 2,770 | 2,531 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 135,297 | 100,987 | 117,716 | 96,859 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses waived/reimbursed by the Adviser (Note 3) | (123,562 | ) | (94,963 | ) | (109,969 | ) | (94,487 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 11,735 | 6,024 | 7,747 | 2,372 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 157,570 | 43,084 | 54,209 | 11,734 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investment transactions – affiliated issuers | (143,668 | ) | (41,357 | ) | (69,580 | ) | (78,330 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (143,668 | ) | (41,357 | ) | (69,580 | ) | (78,330 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||||||
Investment transactions – affiliated issuers | 2,808,095 | 1,299,420 | 2,135,522 | 845,828 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation | 2,808,095 | 1,299,420 | 2,135,522 | 845,828 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (Loss) | 2,664,427 | 1,258,063 | 2,065,942 | 767,498 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 2,821,997 | $ | 1,301,147 | $ | 2,120,151 | $ | 779,232 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
38
Table of Contents
State Street Institutional Investment Trust
Statements of Operations — (continued)
For the Six Months Ended June 30, 2016 (Unaudited)
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | ||||||||||
Investment Income | ||||||||||||
Dividend income – affiliated issuers (Note 2) | 10,011 | 4,444 | 832 | |||||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Advisory fee (Note 3) | 2,536 | 1,136 | 203 | |||||||||
Administration fees (Note 3) | 2,536 | 1,098 | 203 | |||||||||
Distribution fees (Note 3) | ||||||||||||
Class A | 197 | 197 | 194 | |||||||||
Custodian fees (Note 3) | 12,622 | 12,467 | 12,325 | |||||||||
Trustee’s fees and expenses (Note 4) | 7,652 | 7,652 | 7,651 | |||||||||
Transfer agent fees (Note 3) | 19,010 | 19,032 | 19,012 | |||||||||
Sub-transfer agent fee (Note 3) | 230 | – | – | |||||||||
Registration and filing fees | 34,100 | 29,467 | 24,367 | |||||||||
Professional fees | 20,580 | 20,580 | 20,580 | |||||||||
Printing and postage expenses | 4,275 | 3,834 | 3,335 | |||||||||
Insurance expense | 22 | 101 | 110 | |||||||||
Miscellaneous expenses | 2,506 | 2,474 | 2,574 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 106,266 | 98,038 | 90,554 | |||||||||
|
|
|
|
|
| |||||||
Expenses waived/reimbursed by the Adviser (Note 3) | (104,100 | ) | (97,106 | ) | (90,210 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 2,166 | 932 | 344 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income (Loss) | 7,845 | 3,512 | 488 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions – affiliated issuers | (33,532 | ) | (12,340 | ) | (1,865 | ) | ||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (33,532 | ) | (12,340 | ) | (1,865 | ) | ||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investment transactions – affiliated issuers | 576,067 | 227,307 | 50,293 | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation | 576,067 | 227,307 | 50,293 | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) | 542,535 | 214,967 | 48,428 | |||||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 550,380 | $ | 218,479 | $ | 48,916 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
39
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 6/30/16 (Unaudited) | Year Ended 12/31/15 | Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 145,977 | $ | 388,431 | $ | 52,315 | $ | 83,158 | ||||||||
Net realized gain (loss) | (136,049 | ) | 21,502 | (41,684 | ) | 13,175 | ||||||||||
Net change in unrealized appreciation/depreciation | 1,119,663 | (951,858 | ) | 543,203 | (191,735 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 1,129,591 | (541,925 | ) | 553,834 | (95,402 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (6,875 | ) | – | (9,575 | ) | ||||||||||
Class I | – | (12,572 | ) | – | (19,256 | ) | ||||||||||
Class K | – | (423,184 | ) | – | (68,746 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (442,631 | ) | – | (97,577 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (446 | ) | – | (3,082 | ) | ||||||||||
Class I | – | (708 | ) | – | (5,356 | ) | ||||||||||
Class K | – | (23,832 | ) | – | (19,119 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (24,986 | ) | – | (27,557 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | – | (467,617 | ) | – | (125,134 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | – | – | 19,093 | ||||||||||||
Reinvestment of distributions | – | – | – | 389 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | – | – | – | 19,482 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 22,175 | 263,364 | 31,726 | 478,703 | ||||||||||||
Reinvestment of distributions | – | 4,918 | – | 10,886 | ||||||||||||
Shares redeemed | (2,983 | ) | (14,601 | ) | (52,532 | ) | (10,053 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 19,192 | 253,681 | (20,806 | ) | 479,536 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 4,757,774 | 25,201,323 | 5,802,441 | 3,479,044 | ||||||||||||
Reinvestment of distributions | – | 446,730 | – | 74,140 | ||||||||||||
Shares redeemed | (2,652,778 | ) | (3,960,380 | ) | (1,161,261 | ) | (1,419,489 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 2,104,996 | 21,687,673 | 4,641,180 | 2,133,695 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from beneficial interest transactions | 2,124,188 | 21,941,354 | 4,620,374 | 2,632,713 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 3,253,779 | 20,931,812 | 5,174,208 | 2,412,177 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets at beginning of period | 23,325,598 | 2,393,786 | 5,322,505 | 2,910,328 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 26,579,377 | $ | 23,325,598 | $ | 10,496,713 | $ | 5,322,505 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 145,977 | $ | – | $ | 52,315 | $ | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | – | – | 1,851 | ||||||||||||
Reinvestment of distributions | – | – | – | 40 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | – | – | – | 1,891 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 2,249 | 26,040 | 3,242 | 47,498 | ||||||||||||
Reinvestment of distributions | – | 503 | – | 1,119 | ||||||||||||
Shares redeemed | (296 | ) | (1,470 | ) | (5,349 | ) | (1,015 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 1,953 | 25,073 | (2,107 | ) | 47,602 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 488,726 | 2,466,852 | 606,678 | 341,849 | ||||||||||||
Reinvestment of distributions | – | 45,677 | – | 7,628 | ||||||||||||
Shares redeemed | (266,899 | ) | (392,094 | ) | (117,609 | ) | (141,333 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 221,827 | 2,120,435 | 489,069 | 208,144 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
40
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 6/30/16 (Unaudited) | Year Ended 12/31/15 | Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 318,090 | $ | 1,072,275 | $ | 124,669 | $ | 466,364 | ||||||||
Net realized gain (loss) | (186,691 | ) | (68,335 | ) | (30,325 | ) | 20,534 | |||||||||
Net change in unrealized appreciation/depreciation | 2,998,230 | (3,275,754 | ) | 1,616,293 | (1,307,490 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 3,129,629 | (2,277,214 | ) | 1,710,637 | (820,592 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (2,535 | ) | – | (2,911 | ) | ||||||||||
Class I | – | (40,101 | ) | – | (66,791 | ) | ||||||||||
Class K | – | (1,165,963 | ) | – | (443,353 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (1,208,599 | ) | – | (513,055 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (130 | ) | – | (469 | ) | ||||||||||
Class I | – | (1,820 | ) | – | (9,439 | ) | ||||||||||
Class K | – | (52,927 | ) | – | (62,650 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (54,877 | ) | – | (72,558 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | – | (1,263,476 | ) | – | (585,613 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares redeemed | – | (700,000 | ) | – | (500,000 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | – | (700,000 | ) | – | (500,000 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 155,266 | 2,095,038 | 358,210 | 3,545,478 | ||||||||||||
Reinvestment of distributions | – | 41,240 | – | 74,740 | ||||||||||||
Shares redeemed | (104,465 | ) | (1,074,819 | ) | (261,240 | ) | (819,957 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 50,801 | 1,061,459 | 96,970 | 2,800,261 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 14,737,832 | 54,305,605 | 12,255,267 | 20,290,732 | ||||||||||||
Reinvestment of distributions | – | 1,218,209 | – | 504,513 | ||||||||||||
Shares redeemed | (4,099,051 | ) | (6,198,744 | ) | (1,647,330 | ) | (3,374,698 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 10,638,781 | 49,325,070 | 10,607,937 | 17,420,547 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | – | 49,686,529 | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from beneficial interest transactions | 10,689,582 | – | 10,704,907 | 19,720,808 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 13,819,211 | 46,151,239 | 12,415,544 | 18,314,603 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets at beginning of period | 54,239,903 | 8,088,664 | 25,266,741 | 6,952,138 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 68,059,114 | $ | 54,239,903 | $ | 37,682,285 | $ | 25,266,741 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 318,090 | $ | – | $ | 124,669 | $ | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares redeemed | – | (70,493 | ) | – | (50,302 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | – | (70,493 | ) | – | (50,302 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 15,858 | 205,910 | 36,560 | 346,239 | ||||||||||||
Reinvestment of distributions | – | 4,212 | – | 7,627 | ||||||||||||
Shares redeemed | (10,943 | ) | (107,715 | ) | (26,115 | ) | (82,520 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 4,915 | 102,407 | 10,445 | 271,346 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 1,527,093 | 5,221,705 | 1,268,218 | 1,964,901 | ||||||||||||
Reinvestment of distributions | – | 124,434 | – | 51,429 | ||||||||||||
Shares redeemed | (418,149 | ) | (610,066 | ) | (169,158 | ) | (329,310 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 1,108,944 | 4,736,073 | 1,099,060 | 1,687,020 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
41
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 6/30/16 (Unaudited) | Year Ended 12/31/15 | Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 157,570 | $ | 948,522 | $ | 43,084 | $ | 313,006 | ||||||||
Net realized gain (loss) | (143,668 | ) | 44,459 | (41,357 | ) | 112,216 | ||||||||||
Net change in unrealized appreciation/depreciation | 2,808,095 | (3,292,644 | ) | 1,299,420 | (1,033,263 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 2,821,997 | (2,299,663 | ) | 1,301,147 | (608,041 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (2,903 | ) | – | (7,505 | ) | ||||||||||
Class I | – | (41,975 | ) | – | (24,736 | ) | ||||||||||
Class K | – | (980,918 | ) | – | (302,182 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (1,025,796 | ) | – | (334,423 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (39 | ) | – | (1,130 | ) | ||||||||||
Class I | – | (495 | ) | – | (3,189 | ) | ||||||||||
Class K | – | (11,563 | ) | – | (38,958 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (12,097 | ) | – | (43,277 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | – | (1,037,893 | ) | – | (377,700 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares redeemed | – | (500,000 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | – | (500,000 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 263,828 | 2,100,119 | 185,308 | 1,448,614 | ||||||||||||
Reinvestment of distributions | – | 41,171 | – | 18,030 | ||||||||||||
Shares redeemed | (88,185 | ) | (635,900 | ) | (59,130 | ) | (470,339 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 175,643 | 1,505,390 | 126,178 | 996,305 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 15,832,838 | 50,162,805 | 11,192,382 | 16,271,335 | ||||||||||||
Reinvestment of distributions | – | 991,182 | – | 331,244 | ||||||||||||
Shares redeemed | (2,869,748 | ) | (3,078,374 | ) | (2,052,888 | ) | (1,709,612 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 12,963,090 | 48,075,613 | 9,139,494 | 14,892,967 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from beneficial interest transactions | 13,138,733 | 49,081,003 | 9,265,672 | 15,889,272 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 15,960,730 | 45,743,447 | 10,566,819 | 14,903,531 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets at beginning of period | 50,339,525 | 4,596,078 | 19,127,999 | 4,224,468 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 66,300,255 | $ | 50,339,525 | $ | 29,694,818 | $ | 19,127,999 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 157,570 | $ | – | $ | 43,084 | $ | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares redeemed | – | (50,403 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | – | (50,403 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 26,868 | 204,851 | 19,232 | 141,478 | ||||||||||||
Reinvestment of distributions | – | (63,910 | ) | – | 1,832 | |||||||||||
Shares redeemed | (9,031 | ) | 4,193 | (6,055 | ) | (48,372 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 17,837 | 145,134 | 13,177 | 94,938 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 1,640,780 | 4,813,095 | 1,160,577 | 1,577,668 | ||||||||||||
Reinvestment of distributions | – | 100,832 | – | 33,629 | ||||||||||||
Shares redeemed | (294,355 | ) | (303,369 | ) | (208,591 | ) | (165,886 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 1,346,425 | 4,610,558 | 951,986 | 1,445,411 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
42
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 6/30/16 (Unaudited) | Year Ended 12/31/15 | Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 54,209 | $ | 681,524 | $ | 11,734 | $ | 161,917 | ||||||||
Net realized gain (loss) | (69,580 | ) | (14,716 | ) | (78,330 | ) | 41,536 | |||||||||
Net change in unrealized appreciation/depreciation | 2,135,522 | (2,515,873 | ) | 845,828 | (597,567 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 2,120,151 | (1,849,065 | ) | 779,232 | (394,114 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | – | (2,389 | ) | – | (4,950 | ) | ||||||||||
Class I | – | (28,489 | ) | – | (13,746 | ) | ||||||||||
Class K | – | (675,956 | ) | – | (146,988 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (706,834 | ) | – | (165,684 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (10 | ) | – | (233 | ) | ||||||||||
Class I | – | (105 | ) | – | (555 | ) | ||||||||||
Class K | – | (2,494 | ) | – | (5,937 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (2,609 | ) | – | (6,725 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | – | (709,443 | ) | – | (172,409 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares redeemed | – | (350,000 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | – | (350,000 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 208,239 | 1,480,464 | 176,249 | 522,915 | ||||||||||||
Reinvestment of distributions | – | 26,782 | – | 8,291 | ||||||||||||
Shares redeemed | (64,404 | ) | (442,151 | ) | (53,545 | ) | (49,329 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 143,835 | 1,065,095 | 122,704 | 481,877 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 14,874,187 | 38,333,743 | 9,360,071 | 8,858,523 | ||||||||||||
Reinvestment of distributions | – | 676,639 | – | 146,915 | ||||||||||||
Shares redeemed | (2,552,007 | ) | (2,690,187 | ) | (1,610,586 | ) | (449,038 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 12,322,180 | 36,320,195 | 7,749,485 | 8,556,400 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from beneficial interest transactions | 12,466,015 | 37,035,290 | 7,872,189 | 9,038,277 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 14,586,166 | 34,476,782 | 8,651,421 | 8,471,754 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets at beginning of period | 37,000,925 | 2,524,143 | 9,477,770 | 1,006,016 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 51,587,091 | $ | 37,000,925 | $ | 18,129,191 | $ | 9,477,770 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 54,209 | $ | – | $ | 11,734 | $ | – | ||||||||
|
|
|
|
|
|
|
| |||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares redeemed | – | (35,497 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | – | (35,497 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 21,678 | 146,414 | 18,267 | 51,774 | ||||||||||||
Reinvestment of distributions | – | 2,736 | – | 854 | ||||||||||||
Shares redeemed | (6,605 | ) | (44,567 | ) | (5,592 | ) | (4,793 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 15,073 | 104,583 | 12,675 | 47,835 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 1,559,567 | 3,684,709 | 987,184 | 865,612 | ||||||||||||
Reinvestment of distributions | – | 69,115 | – | 15,130 | ||||||||||||
Shares redeemed | (263,344 | ) | (263,882 | ) | (168,084 | ) | (44,939 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 1,296,223 | 3,489,942 | 819,100 | 835,803 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
43
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 6/30/16 (Unaudited) | Year Ended 12/31/15 | Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 7,845 | $ | 115,429 | $ | 3,512 | $ | 60,545 | ||||||||
Net realized gain (loss) | (33,532 | ) | 27,943 | (12,340 | ) | 17,083 | ||||||||||
Net change in unrealized appreciation/depreciation | 576,067 | (425,274 | ) | 227,307 | (235,545 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 550,380 | (281,902 | ) | 218,479 | (157,917 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | – | – | – | 1 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net investment income | ||||||||||||||||
Class A | – | (2,505 | ) | – | (2,587 | ) | ||||||||||
Class I | – | (13,951 | ) | – | (4,139 | ) | ||||||||||
Class K | – | (101,651 | ) | – | (55,216 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | – | (118,107 | ) | – | (61,942 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (63 | ) | – | (248 | ) | ||||||||||
Class I | – | (303 | ) | – | (343 | ) | ||||||||||
Class K | – | (2,207 | ) | – | (4,571 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (2,573 | ) | – | (5,162 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | – | (120,680 | ) | – | (67,104 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class I | ||||||||||||||||
Shares sold | 190,619 | 652,035 | 30,971 | 68,422 | ||||||||||||
Reinvestment of distributions | – | 11,274 | – | 1,233 | ||||||||||||
Shares redeemed | (80,972 | ) | (6,801 | ) | (2,013 | ) | (3,942 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 109,647 | 656,508 | 28,958 | 65,713 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 7,441,271 | 6,095,771 | 2,169,347 | 3,219,778 | ||||||||||||
Reinvestment of distributions | – | 100,879 | – | 56,539 | ||||||||||||
Shares redeemed | (1,155,554 | ) | (261,759 | ) | (223,793 | ) | (194,099 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 6,285,717 | 5,934,891 | 1,945,554 | 3,082,218 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from beneficial interest transactions | 6,395,364 | 6,591,399 | 1,974,512 | 3,147,931 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 6,945,744 | 6,188,817 | 2,192,991 | 2,922,910 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets at beginning of period | 6,691,799 | 502,982 | 3,425,892 | 502,982 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 13,637,543 | $ | 6,691,799 | $ | 5,618,883 | $ | 3,425,892 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 7,845 | $ | – | $ | 3,512 | $ | (1,397 | ) | |||||||
|
|
|
|
|
|
|
| |||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class I | ||||||||||||||||
Shares sold | 20,099 | 65,536 | 3,237 | 6,774 | ||||||||||||
Reinvestment of distributions | – | 1,164 | – | 128 | ||||||||||||
Shares redeemed | (8,417 | ) | (684 | ) | (205 | ) | (403 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 11,682 | 66,016 | 3,032 | 6,499 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 782,949 | 595,396 | 228,629 | 314,049 | ||||||||||||
Reinvestment of distributions | – | 10,411 | – | 5,847 | ||||||||||||
Shares redeemed | (121,143 | ) | (25,810 | ) | (23,532 | ) | (19,340 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 661,806 | 579,997 | 205,097 | 300,556 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
44
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2060 Fund | ||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 488 | $ | 11,218 | ||||
Net realized gain (loss) | (1,865 | ) | 1,717 | |||||
Net change in unrealized appreciation/depreciation | 50,293 | (39,623 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 48,916 | (26,688 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Class A | – | (2,828 | ) | |||||
Class I | – | (3,305 | ) | |||||
Class K | – | (5,351 | ) | |||||
|
|
|
| |||||
Total distributions from net investment income | – | (11,484 | ) | |||||
|
|
|
| |||||
Net realized gain on investments | ||||||||
Class A | – | (1,880 | ) | |||||
Class I | – | (1,917 | ) | |||||
Class K | – | (3,103 | ) | |||||
|
|
|
| |||||
Total distributions from net realized gain on investments | – | (6,900 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | – | (18,384 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Class I | ||||||||
Shares sold | 7,095 | 3,454 | ||||||
Reinvestment of distributions | – | 101 | ||||||
Shares redeemed | (9 | ) | (3 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 7,086 | 3,552 | ||||||
|
|
|
| |||||
Class K | ||||||||
Shares sold | 384,323 | 227,182 | ||||||
Reinvestment of distributions | – | 3,332 | ||||||
Shares redeemed | (26,965 | ) | (103,056 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 357,358 | 127,458 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 364,444 | 131,010 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 413,360 | 85,938 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 588,986 | 503,048 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 1,002,346 | $ | 588,986 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 488 | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Class I | ||||||||
Shares sold | 743 | 347 | ||||||
Reinvestment of distributions | – | 11 | ||||||
Shares redeemed | (1 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 742 | 358 | ||||||
|
|
|
| |||||
Class K | ||||||||
Shares sold | 42,101 | 22,197 | ||||||
Reinvestment of distributions | – | 348 | ||||||
Shares redeemed | (2,869 | ) | (10,872 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 39,232 | 11,673 | ||||||
|
|
|
| |||||
Shares sold | – | 9 |
See accompanying notes to financial statements.
45
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Target Retirement Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.79 | $ | 10.03 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.04 | 0.15 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.35 | (0.21 | ) | 0.01 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.39 | (0.06 | ) | 0.06 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.17 | ) | (0.03 | ) | |||||||
Net realized gains | – | (0.01 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.18 | ) | (0.03 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.18 | $ | 9.79 | $ | 10.03 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.98 | % | (0.64 | )% | 0.64 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 424 | $ | 408 | $ | 418 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 1.18 | %(d) | 1.40 | % | 21.65 | %(d) | ||||||
Net expenses | 0.28 | %(d) | 0.26 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 0.90 | %(d) | 1.48 | % | 1.82 | %(d) | ||||||
Portfolio turnover rate | 13 | %(e) | 31 | % | 8 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
46
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2015 Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.72 | $ | 10.03 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.04 | 0.17 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.38 | (0.27 | ) | 0.03 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.42 | (0.10 | ) | 0.08 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.16 | ) | (0.05 | ) | |||||||
Net realized gains | – | (0.05 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.21 | ) | (0.05 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.14 | $ | 9.72 | �� | $ | 10.03 | |||||
|
|
|
|
|
| |||||||
Total return(c) | 4.32 | % | (1.00 | )% | 0.81 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 610 | $ | 585 | $ | 585 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 2.53 | %(d) | 5.32 | % | 15.05 | %(d) | ||||||
Net expenses | 0.26 | %(d) | 0.27 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 0.87 | %(d) | 1.65 | % | 2.06 | %(d) | ||||||
Portfolio turnover rate | 18 | %(e) | 55 | % | 39 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
47
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2020 Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.76 | $ | 10.14 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.04 | 0.24 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.39 | (0.41 | ) | 0.12 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.43 | (0.17 | ) | 0.17 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.20 | ) | (0.03 | ) | |||||||
Net realized gains | – | (0.01 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.21 | ) | (0.03 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.19 | $ | 9.76 | $ | 10.14 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 4.41 | % | (1.71 | )% | 1.66 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 131 | $ | 125 | $ | 845 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.70 | %(d) | 0.80 | % | 9.36 | %(d) | ||||||
Net expenses | 0.26 | %(d) | 0.26 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 0.77 | %(d) | 2.30 | % | 2.32 | %(d) | ||||||
Portfolio turnover rate | 7 | %(e) | 39 | % | 5 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
48
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2025 Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.74 | $ | 10.16 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.03 | 0.23 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.39 | (0.44 | ) | 0.13 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.42 | (0.21 | ) | 0.19 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.18 | ) | (0.03 | ) | |||||||
Net realized gains | – | (0.03 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.21 | ) | (0.03 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.16 | $ | 9.74 | $ | 10.16 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 4.31 | % | (2.11 | )% | 1.93 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 166 | $ | 159 | $ | 677 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.98 | %(c) | 1.56 | % | 10.90 | %(c) | ||||||
Net expenses | 0.28 | %(c) | 0.28 | % | 0.62 | %(c) | ||||||
Net investment income (loss) | 0.53 | %(c) | 2.27 | % | 2.38 | %(c) | ||||||
Portfolio turnover rate | 6 | %(d) | 51 | % | 13 | %(d) |
* | 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) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
49
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2030 Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.76 | $ | 10.15 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.23 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.38 | (0.44 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.39 | (0.21 | ) | 0.21 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.18 | ) | (0.06 | ) | |||||||
Net realized gains | – | (0.00 | )(b) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.18 | ) | (0.06 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.15 | $ | 9.76 | $ | 10.15 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 4.00 | % | (2.07 | )% | 2.12 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 165 | $ | 159 | $ | 676 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.71 | %(d) | 0.84 | % | 12.85 | %(d) | ||||||
Net expenses | 0.29 | %(d) | 0.28 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 0.29 | %(d) | 2.21 | % | 2.05 | %(d) | ||||||
Portfolio turnover rate | 6 | %(e) | 33 | % | 18 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
50
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2035 Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.78 | $ | 10.17 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.00 | (b) | 0.17 | 0.06 | ||||||||
Net realized and unrealized gain (loss) | 0.37 | (0.39 | ) | 0.15 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.37 | (0.22 | ) | 0.21 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.15 | ) | (0.04 | ) | |||||||
Net realized gains | – | (0.02 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.17 | ) | (0.04 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.15 | $ | 9.78 | $ | 10.17 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.78 | % | (2.15 | )% | 2.13 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 508 | $ | 489 | $ | 508 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 1.06 | %(d) | 2.08 | % | 17.04 | %(d) | ||||||
Net expenses | 0.29 | %(d) | 0.28 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 0.10 | %(d) | 1.65 | % | 2.53 | %(d) | ||||||
Portfolio turnover rate | 9 | %(e) | 38 | % | 7 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
51
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2040 Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.71 | $ | 10.13 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.00 | (b) | 0.21 | 0.06 | ||||||||
Net realized and unrealized gain (loss) | 0.34 | (0.47 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.34 | (0.26 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.16 | ) | (0.09 | ) | |||||||
Net realized gains | – | (0.00 | )(b) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.16 | ) | (0.09 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.05 | $ | 9.71 | $ | 10.13 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.50 | % | (2.53 | )% | 2.17 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 146 | $ | 141 | $ | 506 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.78 | %(d) | 1.04 | % | 18.29 | %(d) | ||||||
Net expenses | 0.28 | %(d) | 0.27 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 0.00 | %(d)(e) | 2.07 | % | 2.28 | %(d) | ||||||
Portfolio turnover rate | 5 | %(f) | 38 | % | 5 | %(f) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Amount shown represents less than 0.5%. |
(f) | Not annualized. |
See accompanying notes to financial statements.
52
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2045 Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.64 | $ | 10.06 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.00 | (b) | 0.17 | 0.05 | ||||||||
Net realized and unrealized gain (loss) | 0.34 | (0.43 | ) | 0.17 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.34 | (0.26 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.15 | ) | (0.16 | ) | |||||||
Net realized gains | – | (0.01 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.16 | ) | (0.16 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.98 | $ | 9.64 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.53 | % | (2.64 | )% | 2.14 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 333 | $ | 321 | $ | 335 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 1.61 | %(d) | 3.50 | % | 30.47 | %(d) | ||||||
Net expenses | 0.27 | %(d) | 0.26 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | (0.07 | )%(d) | 1.63 | % | 2.07 | %(d) | ||||||
Portfolio turnover rate | 10 | %(e) | 35 | % | 5 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
53
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2050 Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.62 | $ | 10.06 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.00 | (b) | 0.16 | 0.05 | ||||||||
Net realized and unrealized gain (loss) | 0.34 | (0.45 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.34 | (0.29 | ) | 0.21 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.15 | ) | (0.15 | ) | |||||||
Net realized gains | – | (0.00 | )(b) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.15 | ) | (0.15 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.96 | $ | 9.62 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.53 | % | (2.85 | )% | 2.13 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 166 | $ | 160 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 2.34 | %(d) | 4.90 | % | 59.96 | %(d) | ||||||
Net expenses | 0.28 | %(d) | 0.27 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | (0.08 | )%(d) | 1.61 | % | 2.03 | %(d) | ||||||
Portfolio turnover rate | 8 | %(e) | 35 | % | 7 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
54
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2055 Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.60 | $ | 10.06 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.00 | (b) | 0.16 | 0.05 | ||||||||
Net realized and unrealized gain (loss) | 0.34 | (0.45 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.34 | (0.29 | ) | 0.21 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.16 | ) | (0.15 | ) | |||||||
Net realized gains | – | (0.01 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.17 | ) | (0.15 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.94 | $ | 9.60 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.54 | % | (2.90 | )% | 2.13 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 166 | $ | 160 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 4.71 | %(d) | 7.94 | % | 59.87 | %(d) | ||||||
Net expenses | 0.28 | %(d) | 0.27 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | (0.08 | )%(d) | 1.62 | % | 2.03 | %(d) | ||||||
Portfolio turnover rate | 5 | %(e) | 40 | % | 7 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
55
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2060 Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.50 | $ | 10.06 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.00 | (b) | 0.17 | 0.05 | ||||||||
Net realized and unrealized gain (loss) | 0.32 | (0.45 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.32 | (0.28 | ) | 0.21 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.17 | ) | (0.15 | ) | |||||||
Net realized gains | – | (0.11 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.28 | ) | (0.15 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.82 | $ | 9.50 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.37 | % | (2.78 | )% | 2.12 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 164 | $ | 158 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 22.56 | %(d) | 30.01 | % | 59.73 | %(d) | ||||||
Net expenses | 0.28 | %(d) | 0.27 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | (0.08 | )%(d) | 1.68 | % | 2.04 | %(d) | ||||||
Portfolio turnover rate | 17 | %(e) | 73 | % | 7 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
56
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.79 | $ | 10.03 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.06 | 0.19 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.34 | (0.23 | ) | 0.02 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.40 | (0.04 | ) | 0.07 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.19 | ) | (0.04 | ) | |||||||
Net realized gains | – | (0.01 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.20 | ) | (0.04 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.19 | $ | 9.79 | $ | 10.03 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 4.09 | % | (0.39 | )% | 0.70 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 700 | $ | 653 | $ | 418 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.93 | %(d) | 1.15 | % | 21.40 | %(d) | ||||||
Net expenses | 0.03 | %(d) | 0.01 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 1.15 | %(d) | 1.94 | % | 2.07 | %(d) | ||||||
Portfolio turnover rate | 13 | %(e) | 31 | % | 8 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
57
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2015 Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.72 | $ | 10.03 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.05 | 0.23 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.38 | (0.31 | ) | 0.03 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.43 | (0.08 | ) | 0.09 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.18 | ) | (0.06 | ) | |||||||
Net realized gains | – | (0.05 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.23 | ) | (0.06 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.15 | $ | 9.72 | $ | 10.03 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 4.42 | % | (0.75 | )% | 0.87 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 1,054 | $ | 1,030 | $ | 585 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 2.28 | %(d) | 5.07 | % | 14.80 | %(d) | ||||||
Net expenses | 0.01 | %(d) | 0.02 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 1.12 | %(d) | 2.32 | % | 2.31 | %(d) | ||||||
Portfolio turnover rate | 18 | %(e) | 55 | % | 39 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
58
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2020 Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.75 | $ | 10.14 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.05 | 0.33 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.39 | (0.49 | ) | 0.11 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.44 | (0.16 | ) | 0.17 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.22 | ) | (0.03 | ) | |||||||
Net realized gains | – | (0.01 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.23 | ) | (0.03 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.19 | $ | 9.75 | $ | 10.14 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 4.51 | % | (1.56 | )% | 1.72 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 1,943 | $ | 1,811 | $ | 845 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.49 | %(d) | 0.55 | % | 9.11 | %(d) | ||||||
Net expenses | 0.05 | %(d) | 0.01 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 0.99 | %(d) | 3.28 | % | 2.57 | %(d) | ||||||
Portfolio turnover rate | 7 | %(e) | 39 | % | 5 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
59
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2025 Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.74 | $ | 10.16 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.07 | 0.37 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.36 | (0.56 | ) | 0.14 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.43 | (0.19 | ) | 0.20 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.20 | ) | (0.04 | ) | |||||||
Net realized gains | – | (0.03 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.23 | ) | (0.04 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.17 | $ | 9.74 | $ | 10.16 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 4.41 | % | (1.87 | )% | 1.99 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 3,545 | $ | 3,293 | $ | 677 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.77 | %(c) | 1.31 | % | 10.65 | %(c) | ||||||
Net expenses | 0.07 | %(c) | 0.03 | % | 0.37 | %(c) | ||||||
Net investment income (loss) | 0.74 | %(c) | 3.71 | % | 5.10 | %(c) | ||||||
Portfolio turnover rate | 6 | %(d) | 51 | % | 13 | %(d) |
* | 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) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
60
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2030 Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.76 | $ | 10.15 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.03 | 0.35 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.37 | (0.54 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.40 | (0.19 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.20 | ) | (0.07 | ) | |||||||
Net realized gains | – | (0.00 | )(b) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.20 | ) | (0.07 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.16 | $ | 9.76 | $ | 10.15 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 4.10 | % | (1.83 | )% | 2.18 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 2,333 | $ | 2,066 | $ | 676 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.48 | %(d) | 0.59 | % | 12.59 | %(d) | ||||||
Net expenses | 0.06 | %(d) | 0.03 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 0.52 | %(d) | 3.52 | % | 2.30 | %(d) | ||||||
Portfolio turnover rate | 6 | %(e) | 33 | % | 18 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
61
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2035 Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.77 | $ | 10.17 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.02 | 0.31 | 0.07 | |||||||||
Net realized and unrealized gain (loss) | 0.37 | (0.51 | ) | 0.15 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.39 | (0.20 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.18 | ) | (0.05 | ) | |||||||
Net realized gains | – | (0.02 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.20 | ) | (0.05 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.16 | $ | 9.77 | $ | 10.17 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 3.99 | % | (2.00 | )% | 2.20 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 1,606 | $ | 1,416 | $ | 508 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.82 | %(c) | 1.83 | % | 16.79 | %(c) | ||||||
Net expenses | 0.05 | %(c) | 0.03 | % | 0.37 | %(c) | ||||||
Net investment income (loss) | 0.34 | %(c) | 3.07 | % | 2.78 | %(c) | ||||||
Portfolio turnover rate | 9 | %(d) | 38 | % | 7 | %(d) |
* | 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) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
62
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2040 Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.71 | $ | 10.13 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.40 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.35 | (0.63 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.36 | (0.23 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.19 | ) | (0.09 | ) | |||||||
Net realized gains | – | (0.00 | )(b) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.19 | ) | (0.09 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.07 | $ | 9.71 | $ | 10.13 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.71 | % | (2.28 | )% | 2.23 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 1,709 | $ | 1,501 | $ | 506 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.55 | %(d) | 0.79 | % | 18.04 | %(d) | ||||||
Net expenses | 0.06 | %(d) | 0.02 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 0.22 | %(d) | 4.02 | % | 2.53 | %(d) | ||||||
Portfolio turnover rate | 5 | %(e) | 38 | % | 5 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
63
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2045 Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.64 | $ | 10.06 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.30 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.34 | (0.54 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.35 | (0.24 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.17 | ) | (0.16 | ) | |||||||
Net realized gains | – | (0.01 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.18 | ) | (0.16 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.99 | $ | 9.64 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 3.63 | % | (2.40 | )% | 2.20 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 937 | $ | 782 | $ | 335 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 1.36 | %(c) | 3.25 | % | 30.22 | %(c) | ||||||
Net expenses | 0.03 | %(c) | 0.01 | % | 0.37 | %(c) | ||||||
Net investment income (loss) | 0.18 | %(c) | 2.97 | % | 2.32 | %(c) | ||||||
Portfolio turnover rate | 10 | %(d) | 35 | % | 5 | %(d) |
* | 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) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
64
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2050 Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.62 | $ | 10.06 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.43 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.33 | (0.69 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.34 | (0.26 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | 0.18 | (0.16 | ) | ||||||||
Net realized gains | – | (0.00 | )(b) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | 0.18 | (0.16 | ) | ||||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.96 | $ | 9.62 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.53 | % | (2.61 | )% | 2.20 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 940 | $ | 795 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 2.14 | %(d) | 4.65 | % | 59.71 | %(d) | ||||||
Net expenses | 0.09 | %(d) | 0.02 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 0.12 | %(d) | 4.40 | % | 2.28 | %(d) | ||||||
Portfolio turnover rate | 8 | %(e) | 35 | % | 7 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
65
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2055 Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.60 | $ | 10.06 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.22 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.34 | (0.50 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.35 | (0.28 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.18 | ) | (0.16 | ) | |||||||
Net realized gains | – | (0.01 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.19 | ) | (0.16 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.95 | $ | 9.60 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.65 | % | (2.65 | )% | 2.20 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 261 | $ | 222 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 4.45 | %(d) | 7.69 | % | 59.62 | %(d) | ||||||
Net expenses | 0.03 | %(d) | 0.02 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 0.17 | %(d) | 2.20 | % | 2.28 | %(d) | ||||||
Portfolio turnover rate | 5 | %(e) | 40 | % | 7 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
66
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2060 Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.50 | $ | 10.06 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.20 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.32 | (0.46 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.33 | (0.26 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.19 | ) | (0.16 | ) | |||||||
Net realized gains | – | (0.11 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.30 | ) | (0.16 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.83 | $ | 9.50 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.47 | % | (2.53 | )% | 2.18 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 175 | $ | 162 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 22.31 | %(d) | 29.76 | % | 59.48 | %(d) | ||||||
Net expenses | 0.03 | %(d) | 0.02 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 0.16 | %(d) | 1.96 | % | 2.29 | %(d) | ||||||
Portfolio turnover rate | 17 | %(e) | 73 | % | 7 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
67
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.78 | $ | 10.03 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.06 | 0.20 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.35 | (0.25 | ) | 0.02 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.41 | (0.05 | ) | 0.08 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.19 | ) | (0.05 | ) | |||||||
Net realized gains | – | (0.01 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.20 | ) | (0.05 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.19 | $ | 9.78 | $ | 10.03 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 4.19 | % | (0.49 | )% | 0.75 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 25,455 | $ | 22,265 | $ | 1,558 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.93 | %(d) | 1.15 | % | 25.06 | %(d) | ||||||
Net expenses | 0.03 | %(d) | 0.01 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 1.15 | %(d) | 1.99 | % | 2.59 | %(d) | ||||||
Portfolio turnover rate | 13 | %(e) | 31 | % | 8 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
68
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2015 Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.72 | $ | 10.03 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.06 | 0.22 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.37 | (0.30 | ) | 0.03 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.43 | (0.08 | ) | 0.09 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.18 | ) | (0.06 | ) | |||||||
Net realized gains | – | (0.05 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.23 | ) | (0.06 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.15 | $ | 9.72 | $ | 10.03 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 4.42 | % | (0.74 | )% | 0.92 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 8,833 | $ | 3,707 | $ | 1,740 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 2.28 | %(d) | 5.07 | % | 18.68 | %(d) | ||||||
Net expenses | 0.01 | %(d) | 0.02 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 1.16 | %(d) | 2.19 | % | 2.50 | %(d) | ||||||
Portfolio turnover rate | 18 | %(e) | 55 | % | 39 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
69
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2020 Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.74 | $ | 10.13 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.05 | 0.23 | 0.04 | |||||||||
Net realized and unrealized gain (loss) | 0.40 | (0.39 | ) | 0.13 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.45 | (0.16 | ) | 0.17 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.22 | ) | (0.04 | ) | |||||||
Net realized gains | – | (0.01 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.23 | ) | (0.04 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.19 | $ | 9.74 | $ | 10.13 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 4.62 | % | (1.57 | )% | 1.67 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 65,985 | $ | 52,303 | $ | 6,399 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.45 | %(d) | 0.55 | % | 11.13 | %(d) | ||||||
Net expenses | 0.01 | %(d) | 0.01 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 1.03 | %(d) | 2.29 | % | 1.62 | %(d) | ||||||
Portfolio turnover rate | 7 | %(e) | 39 | % | 5 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
70
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2025 Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.75 | $ | 10.16 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.02 | 0.29 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.41 | (0.47 | ) | 0.15 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.43 | (0.18 | ) | 0.20 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.20 | ) | (0.04 | ) | |||||||
Net realized gains | – | (0.03 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.23 | ) | (0.04 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.18 | $ | 9.75 | $ | 10.16 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 4.41 | % | (1.77 | )% | 2.04 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 33,971 | $ | 21,815 | $ | 5,597 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.73 | %(c) | 1.31 | % | 11.75 | %(c) | ||||||
Net expenses | 0.03 | %(c) | 0.03 | % | 0.17 | %(c) | ||||||
Net investment income (loss) | 0.79 | %(c) | 2.86 | % | 2.19 | %(c) | ||||||
Portfolio turnover rate | 6 | %(d) | 51 | % | 13 | %(d) |
* | 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) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
71
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2030 Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.76 | $ | 10.15 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.03 | 0.25 | 0.07 | |||||||||
Net realized and unrealized gain (loss) | 0.38 | (0.44 | ) | 0.15 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.41 | (0.19 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.20 | ) | (0.07 | ) | |||||||
Net realized gains | – | (0.00 | )(b) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.20 | ) | (0.07 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.17 | $ | 9.76 | $ | 10.15 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 4.20 | % | (1.83 | )% | 2.23 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 63,802 | $ | 48,114 | $ | 3,243 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.46 | %(d) | 0.59 | % | 14.05 | %(d) | ||||||
Net expenses | 0.04 | %(d) | 0.03 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 0.54 | %(d) | 2.42 | % | 2.64 | %(d) | ||||||
Portfolio turnover rate | 6 | %(e) | 33 | % | 18 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
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State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2035 Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.78 | $ | 10.17 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.02 | 0.32 | 0.03 | |||||||||
Net realized and unrealized gain (loss) | 0.37 | (0.51 | ) | 0.20 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.39 | (0.19 | ) | 0.23 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.18 | ) | (0.06 | ) | |||||||
Net realized gains | – | (0.02 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.20 | ) | (0.06 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.17 | $ | 9.78 | $ | 10.17 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 3.99 | % | (1.90 | )% | 2.25 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 27,581 | $ | 17,223 | $ | 3,208 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.81 | %(c) | 1.83 | % | 17.89 | %(c) | ||||||
Net expenses | 0.04 | %(c) | 0.03 | % | 0.17 | %(c) | ||||||
Net investment income (loss) | 0.35 | %(c) | 3.12 | % | 1.28 | %(c) | ||||||
Portfolio turnover rate | 9 | %(d) | 38 | % | 7 | %(d) |
* | 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) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
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Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2040 Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.72 | $ | 10.13 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.25 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.35 | (0.47 | ) | 0.18 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.36 | (0.22 | ) | 0.23 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.19 | ) | (0.10 | ) | |||||||
Net realized gains | – | (0.00 | )(b) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.19 | ) | (0.10 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.08 | $ | 9.72 | $ | 10.13 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.70 | % | (2.18 | )% | 2.28 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 49,733 | $ | 35,359 | $ | 1,512 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.52 | %(d) | 0.79 | % | 20.53 | %(d) | ||||||
Net expenses | 0.03 | %(d) | 0.02 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 0.24 | %(d) | 2.47 | % | 1.90 | %(d) | ||||||
Portfolio turnover rate | 5 | %(e) | 38 | % | 5 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
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State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2045 Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.63 | $ | 10.06 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.30 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.35 | (0.55 | ) | 0.17 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.36 | (0.25 | ) | 0.23 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.17 | ) | (0.17 | ) | |||||||
Net realized gains | – | (0.01 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.18 | ) | (0.17 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.99 | $ | 9.63 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 3.74 | % | (2.40 | )% | 2.25 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 16,859 | $ | 8,374 | $ | 335 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 1.36 | %(c) | 3.25 | % | 30.02 | %(c) | ||||||
Net expenses | 0.03 | %(c) | 0.01 | % | 0.17 | %(c) | ||||||
Net investment income (loss) | 0.17 | %(c) | 2.99 | % | 2.53 | %(c) | ||||||
Portfolio turnover rate | 10 | %(d) | 35 | % | 5 | %(d) |
* | 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) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
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Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2050 Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.61 | $ | 10.06 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.28 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.34 | (0.55 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.35 | (0.27 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | 0.18 | (0.16 | ) | ||||||||
Net realized gains | – | (0.00 | )(b) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | 0.18 | (0.16 | ) | ||||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.96 | $ | 9.61 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.64 | % | (2.71 | )% | 2.25 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 12,532 | $ | 5,736 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 2.09 | %(d) | 4.65 | % | 59.52 | %(d) | ||||||
Net expenses | 0.03 | %(d) | 0.02 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 0.16 | %(d) | 2.82 | % | 2.48 | %(d) | ||||||
Portfolio turnover rate | 8 | %(e) | 35 | % | 7 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
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Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2055 Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.59 | $ | 10.06 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.27 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.34 | (0.55 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.35 | (0.28 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.18 | ) | (0.16 | ) | |||||||
Net realized gains | – | (0.01 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.19 | ) | (0.16 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.94 | $ | 9.59 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.65 | % | (2.75 | )% | 2.25 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 5,193 | $ | 3,043 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 4.45 | %(d) | 7.69 | % | 59.42 | %(d) | ||||||
Net expenses | 0.03 | %(d) | 0.02 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 0.17 | %(d) | 2.64 | % | 2.48 | %(d) | ||||||
Portfolio turnover rate | 5 | %(e) | 40 | % | 7 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
77
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
State Street Target Retirement 2060 Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/30/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.49 | $ | 10.06 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.19 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.33 | (0.45 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.34 | (0.26 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.20 | ) | (0.16 | ) | |||||||
Net realized gains | – | (0.11 | ) | (0.00 | )(b) | |||||||
|
|
|
|
|
| |||||||
Total distributions | – | (0.31 | ) | (0.16 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.83 | $ | 9.49 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 3.58 | % | (2.53 | )% | 2.24 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 664 | $ | 269 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 22.31 | %(d) | 29.76 | % | 59.28 | %(d) | ||||||
Net expenses | 0.04 | %(d) | 0.02 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 0.17 | %(d) | 1.88 | % | 2.49 | %(d) | ||||||
Portfolio turnover rate | 17 | %(e) | 73 | % | 7 | %(e) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
78
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements
June 30, 2016 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on February 16, 2000.
As of June 30, 2016, the Trust consists of 47 series (and corresponding classes, each of which have the same rights and privileges, including voting rights), each of which represents a separate series of beneficial interest in the Trust (each a “Fund”, and collectively, the “Funds”). The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest at no par value. The financial statements herein relate to the following Funds:
Fund | Classes | Commencement of Operations | Diversification Classification | |||
State Street Target Retirement Fund | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified | |||
State Street Target Retirement Fund 2015 | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified | |||
State Street Target Retirement Fund 2020 | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified | |||
State Street Target Retirement Fund 2025 | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified | |||
State Street Target Retirement Fund 2030 | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified | |||
State Street Target Retirement Fund 2035 | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified | |||
State Street Target Retirement Fund 2040 | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified | |||
State Street Target Retirement Fund 2045 | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified | |||
State Street Target Retirement Fund 2050 | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified | |||
State Street Target Retirement Fund 2055 | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified | |||
State Street Target Retirement Fund 2060 | Class A Class I Class K | September 30, 2014 September 30, 2014 September 30, 2014 | Diversified |
79
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Each Fund is a “fund of funds” that invests 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 sales charge (as a percentage of offering price) and may be subject to a 4.50% contingent deferred sales charge (“CDSC”) if no initial sales charge was paid at the time of purchase 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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund’s investments are valued at fair value each day that the 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 the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value each 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. |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (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. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference between the prices used to calculate the 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 the Funds’ investments. These inputs are categorized into a fair value hierarchy consisting of three broad levels for financial reporting purposes.
The Funds 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 assets or liabilities either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of each Fund’s investments according to the fair value hierarchy as of June 30, 2016, is disclosed in each Fund’s respective Schedule 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 material transfers between levels for the period ended June 30, 2016.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes.
Distributions received by the Funds may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. 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 within the Trust. Class specific expenses are borne by each class.
Distributions
Distributions from net investment income, if any, are declared and paid 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Fees and Transactions with Affiliates |
Advisory Fee
Each Fund has entered into an Investment Advisory Agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). For its advisory services to the Funds, facilities furnished, and expenses borne by the Adviser, each Fund pays the Adviser a fee accrued daily and paid monthly at an annual rate of 0.05% of each Fund’s average daily net assets.
The Adviser is contractually obligated until April 30, 2017, to waive its management fee and/or to reimburse the Funds for expenses to the extent that Total Annual Operating 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 0.13% (prior to April 29, 2016, the Total Operating Expense was 0.17%) of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2017 except with the approval of the Board.
Pursuant to the Custody Agreement between the Trust on behalf of the Funds and State Street, 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 to State Street.
Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer agent and dividend disbursing agent for the Funds. For these services, the Funds pay annual account services fees, activity-based fees, charges related to compliance and regulatory services.
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Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street serves as custodian and sub-administrator to the Funds.
For its administration services, each Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets. The fees are accrued daily and paid monthly. For its services as custodian, each Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.
Distribution Fees
State Street Global Markets LLC (the “Distributor” or “SSGM”) serves as the distributor of the Fund’s. SSGM is a wholly owned subsidiary of State Street Corporation. The Fund’s have adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which a Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to 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 each Fund’s net assets attributable to its Class A shares. In addition to payments under the Plan, each 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.
Each Fund may also 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.
Other Transactions with Affiliates
From time to time, the Funds may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2016, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 10% of a Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 10% of the aggregate shares, and the aggregate percentage of net assets represented by such holdings were as follows:
Fund | Number of 10% Affiliated Account Holdings | Percentage of Affiliated Ownership | ||||||
State Street Target Retirement Fund 2015 | 1 | 16.91 | % | |||||
State Street Target Retirement Fund 2060 | 1 | 48.92 | % |
4. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
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5. | Investment Transactions |
Purchases and sales of investments (excluding short term investments) for the six months ended June 30, 2016, were as follows:
Purchases | Sales | |||||||
State Street Target Retirement Fund | $ | 5,598,045 | $ | 3,334,766 | ||||
State Street Target Retirement 2015 Fund | 6,270,291 | 1,614,997 | ||||||
State Street Target Retirement 2020 Fund | 15,574,878 | 4,558,852 | ||||||
State Street Target Retirement 2025 Fund | 12,863,708 | 1,852,426 | ||||||
State Street Target Retirement 2030 Fund | 16,554,234 | 3,544,991 | ||||||
State Street Target Retirement 2035 Fund | 11,461,295 | 2,166,008 | ||||||
State Street Target Retirement 2040 Fund | 14,894,484 | 2,291,160 | ||||||
State Street Target Retirement 2045 Fund | 9,293,341 | 1,337,175 | ||||||
State Street Target Retirement 2050 Fund | 7,230,435 | 821,806 | ||||||
State Street Target Retirement 2055 Fund | 2,185,719 | 223,431 | ||||||
State Street Target Retirement 2060 Fund | 504,623 | 142,151 |
6. | Income Tax Information |
The Funds have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed each Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2016, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
State Street Target Retirement Fund | $ | 26,615,004 | $ | 447,081 | $ | 387,571 | $ | 59,510 | ||||||||
State Street Target Retirement 2015 Fund | 10,259,779 | 350,922 | 46,779 | 304,143 | ||||||||||||
State Street Target Retirement 2020 Fund | 69,111,147 | 1,001,408 | 1,674,385 | (672,977 | ) | |||||||||||
State Street Target Retirement 2025 Fund | 37,983,594 | 754,847 | 655,713 | 99,134 | ||||||||||||
State Street Target Retirement 2030 Fund | 67,601,627 | 949,624 | 1,730,478 | (780,854 | ) | |||||||||||
State Street Target Retirement 2035 Fund | 29,780,919 | 612,036 | 392,379 | 219,657 |
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Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
State Street Target Retirement 2040 Fund | $ | 52,616,273 | $ | 737,543 | $ | 1,354,347 | $ | (616,804 | ) | |||||||
State Street Target Retirement 2045 Fund | 18,086,750 | 420,333 | 190,896 | 229,437 | ||||||||||||
State Street Target Retirement 2050 Fund | 13,603,543 | 296,039 | 156,254 | 139,785 | ||||||||||||
State Street Target Retirement 2055 Fund | 5,680,137 | �� | 91,015 | 107,075 | (16,060 | ) | ||||||||||
State Street Target Retirement 2060 Fund | 1,026,684 | 24,159 | 19,910 | 4,249 |
7. | Line of Credit |
Certain Funds and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The agreement expires in October 2016 unless extended or renewed. Prior to October 14, 2015, the participants could borrow up to $300 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreements. The following Funds participate in the credit facility:
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
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of the New York Fed Bank Rate plus 1%.
The Funds had no outstanding loans during the period ended June 30, 2016.
8. | Risks |
In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
Concentration Risk
As a result of the Funds’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or
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political development may affect the value of the Funds’ investments more than if the Funds were more broadly diversified.
9. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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Other Information
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Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Target Retirement Fund |
| |||||||||||||||||||
Class A | 0.28 | % | $ | 1,039.80 | $ | 1.42 | $ | 1,023.50 | $ | 1.41 | ||||||||||
Class I | 0.03 | 1,040.90 | 0.15 | 1,024.70 | 0.15 | |||||||||||||||
Class K | 0.03 | 1,041.90 | 0.15 | 1,024.70 | 0.15 | |||||||||||||||
State Street Target Retirement 2015 Fund |
| |||||||||||||||||||
Class A | 0.26 | 1,043.20 | 1.32 | 1,023.60 | 1.31 | |||||||||||||||
Class I | 0.01 | 1,044.20 | 0.05 | 1,024.80 | 0.05 | |||||||||||||||
Class K | 0.01 | 1,044.20 | 0.05 | 1,024.80 | 0.05 |
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Expense Example — (continued)
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Target Retirement 2020 Fund |
| |||||||||||||||||||
Class A | 0.26 | % | $ | 1,044.10 | $ | 1.32 | $ | 1,023.60 | $ | 1.31 | ||||||||||
Class I | 0.05 | 1,045.10 | 0.25 | 1,024.60 | 0.25 | |||||||||||||||
Class K | 0.01 | 1,046.20 | 0.05 | 1,024.80 | 0.05 | |||||||||||||||
State Street Target Retirement 2025 Fund |
| |||||||||||||||||||
Class A | 0.29 | 1,043.10 | 1.47 | 1,023.40 | 1.46 | |||||||||||||||
Class I | 0.07 | 1,044.10 | 0.36 | 1,024.50 | 0.35 | |||||||||||||||
Class K | 0.04 | 1,044.10 | 0.20 | 1,024.70 | 0.20 | |||||||||||||||
State Street Target Retirement 2030 Fund |
| |||||||||||||||||||
Class A | 0.29 | 1,040.00 | 1.47 | 1,023.40 | 1.46 | |||||||||||||||
Class I | 0.06 | 1,041.00 | 0.30 | 1,024.60 | 0.30 | |||||||||||||||
Class K | 0.04 | 1,042.00 | 0.20 | 1,024.70 | 0.20 | |||||||||||||||
State Street Target Retirement 2035 Fund |
| |||||||||||||||||||
Class A | 0.29 | 1,037.80 | 1.47 | 1,023.40 | 1.46 | |||||||||||||||
Class I | 0.05 | 1,039.90 | 0.25 | 1,024.60 | 0.25 | |||||||||||||||
Class K | 0.04 | 1,039.90 | 0.20 | 1,024.70 | 0.20 | |||||||||||||||
State Street Target Retirement 2040 Fund |
| |||||||||||||||||||
Class A | 0.28 | 1,035.00 | 1.42 | 1,023.50 | 1.41 | |||||||||||||||
Class I | 0.06 | 1,037.10 | 0.30 | 1,024.60 | 0.30 | |||||||||||||||
Class K | 0.03 | 1,037.00 | 0.15 | 1,024.70 | 0.15 | |||||||||||||||
State Street Target Retirement 2045 Fund |
| |||||||||||||||||||
Class A | 0.28 | 1,035.30 | 1.42 | 1,023.50 | 1.41 | |||||||||||||||
Class I | 0.03 | 1,036.30 | 0.15 | 1,024.70 | 0.15 | |||||||||||||||
Class K | 0.03 | 1,036.30 | 0.15 | 1,024.70 | 0.15 | |||||||||||||||
State Street Target Retirement 2050 Fund |
| |||||||||||||||||||
Class A | 0.28 | 1,035.30 | 1.42 | 1,023.50 | 1.41 | |||||||||||||||
Class I | 0.09 | 1,035.30 | 0.46 | 1,024.40 | 0.45 | |||||||||||||||
Class K | 0.03 | 1,036.40 | 0.15 | 1,024.70 | 0.15 | |||||||||||||||
State Street Target Retirement 2055 Fund |
| |||||||||||||||||||
Class A | 0.28 | 1,035.40 | 1.42 | 1,023.50 | 1.41 | |||||||||||||||
Class I | 0.03 | 1,036.50 | 0.15 | 1,024.70 | 0.15 | |||||||||||||||
Class K | 0.03 | 1,036.50 | 0.15 | 1,024.70 | 0.15 | |||||||||||||||
State Street Target Retirement 2060 Fund |
| |||||||||||||||||||
Class A | 0.29 | 1,033.70 | 1.47 | 1,023.50 | 1.41 | |||||||||||||||
Class I | 0.04 | 1,034.70 | 0.20 | 1,024.70 | 0.15 | |||||||||||||||
Class K | 0.04 | 1,034.70 | 0.20 | 1,024.70 | 0.20 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
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Proxy Voting Policies and Procedures and Record
A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ 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, at www.sec.gov.
Information regarding how the investment adviser 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 Funds’ website at www.ssgafunds.com.
Quarterly Portfolio Schedule
The Portfolios file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ 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 the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Funds’ website at www.ssgafunds.com.
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 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 on April 14-15, 2016 and May 19-20, 2016, including in Executive Sessions attended by the Independent Trustees, 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. (“SSGA FM” or the “Adviser”). Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of
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 Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
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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 who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 14-15, 2016 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 19-20, 2016 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, 2015, 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 |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
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; |
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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• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | 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 services provided to the Funds by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | 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, sub-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; |
• | Draft responses to a letter 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: |
• | SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to the Funds and its approximate profit margins 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, 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 SSGA FM and State Street with respect to State Street Master Funds and State Street Institutional Investment Trust, and the Distributor with respect to State Street Institutional Investment Trust, providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 19-20, 2016; |
• | Materials provided by Broadridge Financial Solutions, Inc., the successor by acquisition to the producer of Lipper materials used in previous years (“Broadridge”), 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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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 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 19-20, 2016 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, 2016, 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 SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each Fund’s securities lending activities.
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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, 2015. For purposes of these comparisons the Independent Trustees relied extensively on the “Performance Group,” “Performance Universe” and “Broadridge Index” constructed by Broadridge for each of the Funds and the analyses of the related data provided by Broadridge. 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 outperformed the medians of its Performance Group and Performance Universe and its Broadridge Index for the 1-year period.
State Street Target Retirement 2020 Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Broadridge Index for the 1-year period. 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 2025 Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Broadridge Index for the 1-year period. 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 2030 Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Broadridge Index for the 1-year period. 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 2035 Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Broadridge Index for the 1-year period. 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 2040 Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Broadridge Index for the 1-year period. 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 2045 Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Broadridge Index for the 1-year period. 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 2050 Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Broadridge Index for the 1-year
93
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2016 (Unaudited)
period. 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 2055 Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Broadridge Index for the 1-year period. 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 2060 Fund. The Board considered that the Fund underperformed the medians of its Performance Group and Performance Universe and its Broadridge Index for the 1-year period. 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 Fund. The Board considered that the Fund outperformed the medians of its Performance Group and Performance Universe and its Broadridge Index for the 1-year period.
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, including the portion attributable to administrative services provided by SSGA FM, and total expense ratio (both before and after giving effect to any expense caps), as compared to its “Expense Group” and “Expense Universe,” as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser 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.
94
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2016 (Unaudited)
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.
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 SSGA FM and Affiliated Service Providers, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
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,
95
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2016 (Unaudited)
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.
96
Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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
North Quincy, MA 02169
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of Fund shares.
State Street Institutional Investment Trust State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSIITTRETSAR IBG-20914 |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
Semi-Annual Report
30 June 2016
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
State Street Equity 500 Index II Portfolio
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
State Street Institutional Investment Trust
Semi-Annual Report
June 30, 2016 (Unaudited)
1 | ||||
3 | ||||
4 | ||||
6 | ||||
State Street Equity 500 Index II Portfolio | ||||
12 | ||||
13 | ||||
19 | ||||
20 | ||||
21 | ||||
22 | ||||
23 | ||||
31 |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investments in State Street Equity 500 Index II Portfolio | $ | 672,111,002 | ||
Receivable for investments sold | 76,799 | |||
Receivable for fund shares sold | 27,977 | |||
Receivable from Adviser (Note 4) | 79,979 | |||
|
| |||
Total assets | 672,295,757 | |||
|
| |||
Liabilities | ||||
Payable for fund shares repurchased | 100,167 | |||
Advisory fee payable (Note 4) | 10,790 | |||
Custodian fees payable (Note 4) | 4,210 | |||
Administration fees payable (Note 4) | 48,810 | |||
Distribution fees payable (Note 4) | 83,387 | |||
Transfer agent fees payable (Note 4) | 26,550 | |||
Sub-transfer agent fee payable (Note 4) | 387 | |||
Registration and filing fees payable | 24,496 | |||
Professional fees payable | 12,377 | |||
Printing and postage fees payable | 45,542 | |||
|
| |||
Total liabilities | 356,716 | |||
|
| |||
Net Assets | $ | 671,939,041 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 637,617,094 | ||
Undistributed (distribution in excess of) net investment income (loss) | (518,349 | ) | ||
Accumulated net realized gain (loss) on investments | 2,299,146 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 32,541,150 | |||
|
| |||
Net Assets | $ | 671,939,041 | ||
|
| |||
Administrative Shares | ||||
Net Assets | $ | 268,433,185 | ||
Shares outstanding | 15,070,121 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 17.81 | ||
|
| |||
Service Shares | ||||
Net Assets | $ | 110,034,075 | ||
Shares outstanding | 6,186,284 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 17.79 | ||
|
|
See Accompanying Notes to Financial Statements.
1
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statement of Assets and Liabilities — (continued)
June 30, 2016 (Unaudited)
R Shares | ||||
Net Assets | $ | 38,274,593 | ||
Shares outstanding | 2,154,952 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 17.76 | ||
|
| |||
Maximum sales charge | 5.25 | % | ||
Maximum offering price per share | $ | 18.74 | ||
|
| |||
Class A Shares | ||||
Net Assets | $ | 67,000 | ||
Shares outstanding | 3,767 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 17.79 | ||
|
| |||
Maximum sales charge | 5.25 | |||
Maximum offering price per share | $ | 18.78 | ||
|
| |||
Class I Shares | ||||
Net Assets | $ | 55,429 | ||
Shares outstanding | 3,111 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 17.82 | ||
|
| |||
Class K Shares | ||||
Net Assets | $ | 255,074,759 | ||
Shares outstanding | 14,307,180 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 17.83 | ||
|
| |||
Cost of Investments: | ||||
Investment in State Street Equity 500 Index II Portfolio | $ | 639,569,852 | ||
|
| |||
Shares of State Street Equity 500 Index II Portfolio | 62,580,208 | |||
|
|
See Accompanying Notes to Financial Statements.
2
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
For the Six Months Ended June 30, 2016 (Unaudited)
Investment Income | $ | — | ||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 54,338 | |||
Administration fees (Note 4) | 145,517 | |||
Distribution fees (Note 3) | ||||
Administrative Shares | 192,928 | |||
Service Shares | 129,680 | |||
R Shares | 110,408 | |||
Class A Shares | 81 | |||
Custodian fees (Note 4) | 6,347 | |||
Trustees’ fees and expenses (Note 5) | 7,709 | |||
Transfer agent fees (Note 4) | 63,895 | |||
Sub-transfer agent fee (Note 4) | 116 | |||
Registration and filing fees | 63,192 | |||
Professional fees | 20,685 | |||
Printing and postage fees | 48,693 | |||
Insurance expense | 3,520 | |||
Miscellaneous expenses | 3,513 | |||
|
| |||
Total expenses | 850,622 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 4) | (332,273 | ) | ||
|
| |||
Net expenses | 518,349 | |||
|
| |||
Net Investment Income (Loss) | (518,349 | ) | ||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment in State Street Equity 500 Index II Portfolio | (775,316 | ) | ||
|
| |||
Net realized gain (loss) | (775,316 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment in State Street Equity 500 Index II Portfolio | 22,974,251 | |||
|
| |||
Net change in unrealized appreciation/depreciation | 22,974,251 | |||
|
| |||
Net realized and unrealized gain (loss) | 22,198,935 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 21,680,586 | ||
|
|
See Accompanying Notes to Financial Statements.
3
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statement of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (518,349 | ) | $ | 7,607,546 | |||
Net realized gain (loss) | (775,316 | ) | 8,034,218 | |||||
Net change in unrealized appreciation/depreciation | 22,974,251 | (11,631,751 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 21,680,586 | 4,010,013 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Administrative Shares | – | (4,364,601 | ) | |||||
Service Shares | – | (1,622,598 | ) | |||||
R Shares | – | (461,399 | ) | |||||
Class A Shares | – | (829 | ) | |||||
Class I Shares | – | (827 | ) | |||||
Class K Shares | – | (1,121,491 | ) | |||||
|
|
|
| |||||
Total distributions from net investment income | – | (7,571,745 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Administrative Shares | ||||||||
Shares sold | 9,823,334 | 41,802,550 | ||||||
Reinvestment of distributions | – | 4,364,601 | ||||||
Shares redeemed | (12,248,591 | ) | (31,463,427 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (2,425,257 | ) | 14,703,724 | |||||
|
|
|
| |||||
Service Shares | ||||||||
Shares sold | 7,461,738 | 17,158,854 | ||||||
Reinvestment of distributions | – | 1,622,598 | ||||||
Shares redeemed | (6,156,162 | ) | (39,708,683 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 1,305,576 | (20,927,231 | ) | |||||
|
|
|
| |||||
R Shares | ||||||||
Shares sold | 4,243,247 | 10,803,830 | ||||||
Reinvestment of distributions | – | 461,399 | ||||||
Shares redeemed | (5,123,687 | ) | (14,403,865 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (880,440 | ) | (3,138,636 | ) | ||||
|
|
|
| |||||
Class A Shares | ||||||||
Shares sold | 14,227 | 9,470 | ||||||
Shares redeemed | (9,664 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 4,563 | 9,470 | ||||||
|
|
|
| |||||
Class I Shares | ||||||||
Shares sold | 7,600 | – | ||||||
Shares redeemed | (4,750 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 2,850 | – | ||||||
|
|
|
| |||||
Class K Shares | ||||||||
Shares sold | 192,635,604 | 61,692,390 | ||||||
Reinvestment of distributions | – | 1,120,561 | ||||||
Shares redeemed | (6,172,197 | ) | (3,875 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 186,463,407 | 62,809,076 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 184,470,699 | 53,456,403 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 206,151,285 | 49,894,671 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 465,787,756 | 415,893,085 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 671,939,041 | $ | 465,787,756 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | (518,349 | ) | $ | – | |||
|
|
|
|
See Accompanying Notes to Financial Statements.
4
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statement of Changes in Net Assets — (continued)
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Shares of Beneficial Interest: | ||||||||
Administrative Shares | ||||||||
Shares sold | 578,323 | 2,410,360 | ||||||
Reinvestment of distributions | – | 251,852 | ||||||
Shares redeemed | (715,360 | ) | (1,827,428 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (137,037 | ) | 834,784 | |||||
|
|
|
| |||||
Service Shares | ||||||||
Shares sold | 442,013 | 992,013 | ||||||
Reinvestment of distributions | – | 93,683 | ||||||
Shares redeemed | (362,751 | ) | (2,306,875 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 79,262 | (1,221,179 | ) | |||||
|
|
|
| |||||
R Shares | ||||||||
Shares sold | 250,366 | 620,202 | ||||||
Reinvestment of distributions | – | 26,640 | ||||||
Shares redeemed | (301,521 | ) | (825,254 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (51,155 | ) | (178,412 | ) | ||||
|
|
|
| |||||
Class A Shares | ||||||||
Shares sold | 823 | 547 | ||||||
Shares redeemed | (544 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 279 | 547 | ||||||
|
|
|
| |||||
Class I Shares | ||||||||
Shares sold | 454 | – | ||||||
Shares redeemed | (284 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 170 | – | ||||||
|
|
|
| |||||
Class K Shares | ||||||||
Shares sold | 11,041,175 | 3,547,720 | ||||||
Reinvestment of distributions | – | 64,623 | ||||||
Shares redeemed | (349,056 | ) | (223 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 10,692,119 | 3,612,120 | ||||||
|
|
|
|
See Accompanying Notes to Financial Statements.
5
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Selected data for a share outstanding throughout each period
Administrative Shares | ||||||||||||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.17 | $ | 17.27 | $ | 15.50 | $ | 11.94 | $ | 10.51 | $ | 10.52 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.02 | ) | 0.31 | 0.29 | 0.26 | 0.24 | 0.20 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.66 | (0.12 | ) | 1.79 | 3.56 | 1.42 | (0.01 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.64 | 0.19 | 2.08 | 3.82 | 1.66 | 0.19 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | – | (0.29 | ) | (0.31 | ) | (0.26 | ) | (0.23 | ) | (0.20 | ) | |||||||||||||
Net Asset Value, End of Period | $ | 17.81 | $ | 17.17 | $ | 17.27 | $ | 15.50 | $ | 11.94 | $ | 10.51 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(b) | 3.73 | % | 1.08 | % | 13.41 | % | 31.97 | % | 15.84 | % | 1.79 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 268,433 | $ | 261,038 | $ | 248,180 | $ | 230,330 | $ | 185,918 | $ | 161,813 | ||||||||||||
Ratios to average net assets:(c) | ||||||||||||||||||||||||
Total expenses | 0.30 | %(d) | 0.31 | % | 0.30 | %(e) | 0.25 | % | 0.25 | % | 0.25 | % | ||||||||||||
Net expenses | 0.18 | %(d) | 0.18 | % | 0.23 | %(e) | 0.25 | % | 0.25 | % | 0.25 | % | ||||||||||||
Net investment income (loss) | (0.18 | )%(d) | 1.76 | % | 1.78 | % | 1.84 | % | 2.06 | % | 1.83 | % | ||||||||||||
Portfolio turnover rate | 2 | %(f) | 5 | %(g) | 4 | %(h) | 4 | %(i) | 9 | %(i) | 15 | %(i) |
(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) | Prior to August 11, 2014, the per shares amounts and percentages included the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. |
(d) | Annualized. |
(e) | 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 500 Index II Portfolio from 8/11/2014 through 12/31/2014. |
(f) | Not annualized. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | 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). |
(i) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
See Accompanying Notes to Financial Statements.
6
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
Service Shares | ||||||||||||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.15 | $ | 17.25 | $ | 15.49 | $ | 11.92 | $ | 10.50 | $ | 10.51 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) From Investment Operations | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.02 | ) | 0.22 | 0.28 | 0.24 | 0.23 | 0.19 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.66 | (0.05 | ) | 1.77 | 3.57 | 1.41 | (0.01 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.64 | 0.17 | 2.05 | 3.81 | 1.64 | 0.18 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Net investment income | – | (0.27 | ) | (0.29 | ) | (0.24 | ) | (0.22 | ) | (0.19 | ) | |||||||||||||
Net Asset Value, End of Period | $ | 17.79 | $ | 17.15 | $ | 17.25 | $ | 15.49 | $ | 11.92 | $ | 10.50 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(b) | 3.73 | % | 0.98 | % | 13.24 | % | 31.97 | % | 15.64 | % | 1.69 | % | ||||||||||||
Ratios and Supplemental Data:(c) | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 110,034 | $ | 104,730 | $ | 126,412 | $ | 124,885 | $ | 88,416 | $ | 77,600 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.30 | %(d) | 0.41 | % | 0.40 | %(e) | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||||
Net expenses | 0.28 | %(d) | 0.28 | % | 0.33 | %(e) | 0.35 | % | 0.35 | % | 0.35 | % | ||||||||||||
Net investment income (loss) | (0.28 | )%(d) | 1.25 | % | 1.73 | % | 1.74 | % | 1.96 | % | 1.74 | % | ||||||||||||
Portfolio turnover rate | 2 | %(i) | 5 | %(f) | 4 | %(g) | 4 | %(h) | 9 | %(h) | 15 | %(h) |
(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) | Prior to August 11, 2014, the per shares amounts and percentages included the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. |
(d) | Annualized. |
(e) | 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 500 Index II Portfolio from 8/11/2014 through 12/31/2014. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | 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). |
(h) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
(i) | Not annualized. |
See Accompanying Notes to Financial Statements.
7
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
R Shares | ||||||||||||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 17.15 | $ | 17.26 | $ | 15.49 | $ | 11.93 | $ | 10.51 | $ | 10.51 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Income (Loss) From Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss)(a) | (0.05 | ) | 0.19 | 0.22 | 0.19 | 0.19 | 0.15 | |||||||||||||||||
Net realized and unrealized gain (loss) | 0.66 | (0.09 | ) | 1.78 | 3.56 | 1.41 | – | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total from investment operations | 0.61 | 0.10 | 2.00 | 3.75 | 1.60 | 0.15 | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | – | (0.21 | ) | (0.23 | ) | (0.19 | ) | (0.18 | ) | (0.15 | ) | |||||||||||||
Net Asset Value, End of Period | $ | 17.76 | $ | 17.15 | $ | 17.26 | $ | 15.49 | $ | 11.93 | $ | 10.51 | ||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||
Total Return(b) | 3.56 | % | 0.58 | % | 12.91 | % | 31.40 | % | 15.22 | % | 1.42 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 38,275 | $ | 37,845 | $ | 41,148 | $ | 32,555 | $ | 21,954 | $ | 16,363 | ||||||||||||
Ratios to average net assets:(c) | ||||||||||||||||||||||||
Total expenses | 0.75 | %(d) | 0.76 | % | 0.75 | %(e) | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||||
Net expenses | 0.63 | %(d) | 0.63 | % | 0.68 | %(e) | 0.70 | % | 0.70 | % | 0.70 | % | ||||||||||||
Net investment income (loss) | (0.63 | )%(d) | 1.09 | % | 1.37 | % | 1.40 | % | 1.62 | % | 1.40 | % | ||||||||||||
Portfolio turnover rate | 2 | %(f) | 5 | %(g) | 4 | %(h) | 4 | %(i) | 9 | %(i) | 15 | %(i) |
(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) | Prior to August 11, 2014, the per shares amounts and percentages included the Fund’s proportionate share of income and expenses of the State Street Equity 500 Index Portfolio. |
(d) | Annualized. |
(e) | 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 500 Index II Portfolio from 8/11/2014 through 12/31/2014. |
(f) | Not annualized. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | 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). |
(i) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
See Accompanying Notes to Financial Statements.
8
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
Class A Shares | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/17/14* - 12/31/14 | ||||||||||
Net Asset Value, Beginning of Period | $ | 17.17 | $ | 17.27 | $ | 17.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) From Investment Operations: | ||||||||||||
Net investment income (loss)(a) | (0.04 | ) | 0.25 | 0.11 | ||||||||
Net realized and unrealized gain (loss) | 0.66 | (0.11 | ) | 0.45 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.62 | 0.14 | 0.56 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | – | (0.24 | ) | (0.29 | ) | |||||||
Net Asset Value, End of Period | $ | 17.79 | $ | 17.17 | $ | 17.27 | ||||||
|
|
|
|
|
| |||||||
Total Return(b) | 3.61 | % | 0.78 | % | 3.28 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 67 | $ | 60 | $ | 51 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.60 | %(c) | 0.61 | % | 0.70 | %(c)(d) | ||||||
Net expenses | 0.48 | %(c) | 0.48 | % | 0.51 | %(c)(d) | ||||||
Net investment income (loss) | (0.48 | )%(c) | 1.43 | % | 2.32 | %(c) | ||||||
Portfolio turnover rate | 2 | %(f) | 5 | %(e) | 4 | %(e)(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) | Annualized. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(f) | Not annualized. |
See Accompanying Notes to Financial Statements.
9
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
Class I Shares | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/17/14* - 12/31/14 | ||||||||||
Net Asset Value, Beginning of Period | $ | 17.17 | $ | 17.27 | $ | 17.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) From Investment Operations | ||||||||||||
Net investment income (loss)(a) | (0.02 | ) | 0.29 | 0.13 | ||||||||
Net realized and unrealized gain (loss) | 0.67 | (0.11 | ) | 0.44 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.65 | 0.18 | 0.57 | |||||||||
|
|
|
|
|
| |||||||
Distributions to Shareholders From: | ||||||||||||
Net investment income | – | (0.28 | ) | (0.30 | ) | |||||||
Net Asset Value, End of Period | $ | 17.82 | $ | 17.17 | $ | 17.27 | ||||||
|
|
|
|
|
| |||||||
Total Return(b) | 3.79 | % | 1.03 | % | 3.35 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 55 | $ | 50 | $ | 51 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.35 | %(c) | 0.36 | % | 0.45 | %(c)(d) | ||||||
Net expenses | 0.23 | %(c) | 0.23 | % | 0.26 | %(c)(d) | ||||||
Net investment income (loss) | (0.23 | )%(c) | 1.66 | % | 2.57 | %(c) | ||||||
Portfolio turnover rate | 2 | %(f) | 5 | %(e) | 4 | %(e)(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) | Annualized. |
(d) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(f) | Not annualized. |
See Accompanying Notes to Financial Statements.
10
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Financial Highlights — (continued)
Selected data for a share outstanding throughout each period
Class K Shares | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/17/14* - 12/31/14 | ||||||||||
Net Asset Value, Beginning of Period | $ | 17.17 | $ | 17.27 | $ | 17.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) From Investment Operations | ||||||||||||
Net investment income (loss)(a) | (0.00 | )(b) | 1.45 | 0.14 | ||||||||
Net realized and unrealized gain (loss) | 0.66 | (1.23 | ) | 0.44 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.66 | 0.22 | 0.58 | |||||||||
|
|
|
|
|
| |||||||
Net investment income | – | (0.32 | ) | (0.31 | ) | |||||||
Net Asset Value, End of Period | $ | 17.83 | $ | 17.17 | $ | 17.27 | ||||||
|
|
|
|
|
| |||||||
Total Return(c) | 3.84 | % | 1.23 | % | 3.41 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 255,075 | $ | 62,064 | $ | 51 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.15 | %(d) | 0.16 | % | 0.27 | %(d)(e) | ||||||
Net expenses | 0.03 | %(d) | 0.03 | % | 0.06 | %(d)(e) | ||||||
Net investment income (loss) | (0.03 | )%(d) | 8.45 | %(f) | 2.78 | %(d) | ||||||
Portfolio turnover rate | 2 | %(h) | 5 | %(g) | 4 | %(g)(h) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | The calculation of the Net investment income ratio is affected by the timing and relative size of a class’ shareholder activity during the period. As a result, the Net investment income ratio may vary significantly from period to period. |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(h) | Not annualized. |
See Accompanying Notes to Financial Statements.
11
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Portfolio Summary (Unaudited)
Portfolio Composition* | June 30, 2016 | |||
Common Stocks | 97.3 | % | ||
Short-Term Investment | 2.7 | |||
Other Assets in Excess of Liabilities | 0.0 | ** | ||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | | % Of Net Assets | | |
Pharmaceuticals | 7.3 | |||
Retail | 6.4 | |||
Internet | 6.2 | |||
Banks | 6.1 | |||
Oil & Gas | 5.7 |
* | 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.
12
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 97.3% | ||||||||
Consumer Discretionary – 11.9% |
| |||||||
Advance Auto Parts, Inc. | 2,900 | $ | 468,727 | |||||
Amazon.com, Inc.(a) | 16,090 | 11,514,326 | ||||||
AutoNation, Inc.(a) | 2,994 | 140,658 | ||||||
AutoZone, Inc.(a) | 1,276 | 1,012,940 | ||||||
Bed Bath & Beyond, Inc. | 6,515 | 281,578 | ||||||
Best Buy Co., Inc. | 11,206 | 342,904 | ||||||
BorgWarner, Inc. | 8,677 | 256,145 | ||||||
CarMax, Inc.(a) | 7,803 | 382,581 | ||||||
Carnival Corp. | 18,001 | 795,644 | ||||||
CBS Corp. Class B | 16,842 | 916,878 | ||||||
Chipotle Mexican Grill, Inc.(a) | 1,186 | 477,673 | ||||||
Coach, Inc. | 11,028 | 449,281 | ||||||
Comcast Corp. Class A | 100,983 | 6,583,082 | ||||||
D.R. Horton, Inc. | 13,097 | 412,294 | ||||||
Darden Restaurants, Inc. | 4,571 | 289,527 | ||||||
Delphi Automotive PLC | 11,019 | 689,789 | ||||||
Discovery Communications, Inc. Class A(a) | 7,303 | 184,255 | ||||||
Discovery Communications, Inc. Class C(a) | 9,503 | 226,647 | ||||||
Dollar General Corp. | 11,613 | 1,091,622 | ||||||
Dollar Tree, Inc.(a) | 10,226 | 963,698 | ||||||
Expedia, Inc. | 4,734 | 503,224 | ||||||
Foot Locker, Inc. | 5,500 | 301,730 | ||||||
Ford Motor Co. | 160,338 | 2,015,449 | ||||||
Gap, Inc. | 9,034 | 191,701 | ||||||
Garmin, Ltd. | 4,340 | 184,103 | ||||||
General Motors Co. | 57,923 | 1,639,221 | ||||||
Genuine Parts Co. | 5,989 | 606,386 | ||||||
Goodyear Tire & Rubber Co. | 10,644 | 273,125 | ||||||
H&R Block, Inc. | 9,364 | 215,372 | ||||||
Hanesbrands, Inc. | 15,600 | 392,028 | ||||||
Harley-Davidson, Inc. | 7,316 | 331,415 | ||||||
Harman International Industries, Inc. | 2,816 | 202,245 | ||||||
Hasbro, Inc. | 4,497 | 377,703 | ||||||
Home Depot, Inc. | 51,602 | 6,589,059 | ||||||
Interpublic Group of Cos., Inc. | 16,066 | 371,125 | ||||||
Johnson Controls, Inc. | 27,180 | 1,202,987 | ||||||
Kohl’s Corp. | 7,545 | 286,106 | ||||||
L Brands, Inc. | 10,121 | 679,423 | ||||||
Leggett & Platt, Inc. | 5,454 | 278,754 | ||||||
Lennar Corp. Class A | 7,206 | 332,197 | ||||||
LKQ Corp.(a) | 12,400 | 393,080 | ||||||
Lowe’s Cos., Inc. | 37,450 | 2,964,916 | ||||||
Macy’s, Inc. | 12,362 | 415,487 | ||||||
Marriott International, Inc. Class A | 7,553 | 501,972 | ||||||
Mattel, Inc. | 13,533 | 423,448 | ||||||
McDonald’s Corp. | 36,810 | 4,429,715 | ||||||
Michael Kors Holdings, Ltd.(a) | 7,114 | 352,001 | ||||||
Mohawk Industries, Inc.(a) | 2,531 | 480,283 | ||||||
Netflix, Inc.(a) | 17,704 | 1,619,562 | ||||||
Newell Brands, Inc. | 19,741 | 958,820 | ||||||
News Corp. Class A | 15,088 | 171,249 | ||||||
News Corp. Class B | 4,700 | 54,849 | ||||||
NIKE, Inc. Class B | 55,206 | 3,047,371 | ||||||
Nordstrom, Inc. | 5,077 | 193,180 | ||||||
O’Reilly Automotive, Inc.(a) | 4,180 | 1,133,198 | ||||||
Omnicom Group, Inc. | 9,591 | 781,571 | ||||||
Priceline Group, Inc.(a) | 2,089 | 2,607,928 | ||||||
PulteGroup, Inc. | 12,662 | 246,782 | ||||||
PVH Corp. | 3,249 | 306,153 | ||||||
Ralph Lauren Corp. | 2,279 | 204,244 | ||||||
Ross Stores, Inc. | 17,256 | 978,243 | ||||||
Royal Caribbean Cruises, Ltd. | 6,800 | 456,620 | ||||||
Scripps Networks Interactive, Inc. Class A | 3,772 | 234,882 | ||||||
Signet Jewelers, Ltd. | 3,200 | 263,712 | ||||||
Staples, Inc. | 25,699 | 221,525 | ||||||
Starbucks Corp. | 61,430 | 3,508,882 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 6,703 | 495,687 | ||||||
Target Corp. | 24,772 | 1,729,581 | ||||||
TEGNA, Inc. | 8,722 | 202,089 | ||||||
Tiffany & Co. | 4,399 | 266,755 | ||||||
Time Warner, Inc. | 32,411 | 2,383,505 | ||||||
TJX Cos., Inc. | 27,537 | 2,126,683 | ||||||
Tractor Supply Co. | 5,326 | 485,625 | ||||||
TripAdvisor, Inc.(a) | 4,542 | 292,051 | ||||||
Twenty-First Century Fox, Inc. Class A | 46,800 | 1,265,940 | ||||||
Twenty-First Century Fox, Inc. Class B | 17,200 | 468,700 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 2,500 | 609,100 | ||||||
Under Armour, Inc. Class A(a) | 7,224 | 289,899 | ||||||
Under Armour, Inc. Class C(a) | 7,275 | 264,810 | ||||||
Urban Outfitters, Inc.(a) | 3,461 | 95,177 | ||||||
VF Corp. | 13,544 | 832,821 | ||||||
Viacom, Inc. Class B | 13,781 | 571,498 | ||||||
Walt Disney Co. | 62,352 | 6,099,273 | ||||||
Whirlpool Corp. | 3,102 | 516,917 | ||||||
Wyndham Worldwide Corp. | 4,453 | 317,187 | ||||||
Wynn Resorts, Ltd. | 3,241 | 293,764 | ||||||
Yum! Brands, Inc. | 17,102 | 1,418,098 | ||||||
|
| |||||||
92,428,435 | ||||||||
|
| |||||||
Consumer Staples – 10.3% | ||||||||
Altria Group, Inc. | 81,829 | 5,642,928 | ||||||
Archer-Daniels-Midland Co. | 23,732 | 1,017,865 | ||||||
Brown-Forman Corp. Class B | 4,021 | 401,135 | ||||||
Campbell Soup Co. | 7,182 | 477,818 | ||||||
Church & Dwight Co., Inc. | 5,200 | 535,028 | ||||||
Clorox Co. | 5,564 | 770,002 | ||||||
Coca-Cola Co. | 162,600 | 7,370,658 | ||||||
Colgate-Palmolive Co. | 37,623 | 2,754,004 | ||||||
ConAgra Foods, Inc. | 18,924 | 904,756 | ||||||
Constellation Brands, Inc. Class A | 7,550 | 1,248,770 | ||||||
Costco Wholesale Corp. | 18,055 | 2,835,357 | ||||||
CVS Health Corp. | 45,005 | 4,308,779 | ||||||
Dr. Pepper Snapple Group, Inc. | 7,497 | 724,435 | ||||||
Estee Lauder Cos., Inc. Class A | 9,641 | 877,524 | ||||||
General Mills, Inc. | 24,642 | 1,757,467 | ||||||
Hershey Co. | 5,667 | 643,148 | ||||||
Hormel Foods Corp. | 10,802 | 395,353 | ||||||
J.M. Smucker Co. | 4,805 | 732,330 | ||||||
Kellogg Co. | 10,928 | 892,271 |
See Accompanying Notes to Financial Statements.
13
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Consumer Staples – (continued) |
| |||||||
Kimberly-Clark Corp. | 14,827 | $ | 2,038,416 | |||||
Kraft Heinz Co. | 24,518 | 2,169,353 | ||||||
Kroger Co. | 40,542 | 1,491,540 | ||||||
McCormick & Co., Inc. | 4,592 | 489,829 | ||||||
Mead Johnson Nutrition Co. | 7,450 | 676,087 | ||||||
Molson Coors Brewing Co. Class B | 7,953 | 804,287 | ||||||
Mondelez International, Inc. Class A | 64,315 | 2,926,976 | ||||||
Monster Beverage Corp.(a) | 5,945 | 955,421 | ||||||
PepsiCo, Inc. | 60,316 | 6,389,877 | ||||||
Philip Morris International, Inc. | 64,812 | 6,592,677 | ||||||
Procter & Gamble Co. | 111,058 | 9,403,281 | ||||||
Reynolds American, Inc. | 34,208 | 1,844,837 | ||||||
Sysco Corp. | 22,474 | 1,140,331 | ||||||
Tyson Foods, Inc. Class A | 12,944 | 864,530 | ||||||
Wal-Mart Stores, Inc. | 64,003 | 4,673,499 | ||||||
Walgreens Boots Alliance, Inc. | 36,305 | 3,023,117 | ||||||
Whole Foods Market, Inc. | 12,979 | 415,588 | ||||||
|
| |||||||
80,189,274 | ||||||||
|
| |||||||
Energy – 7.2% | ||||||||
Anadarko Petroleum Corp. | 21,882 | 1,165,216 | ||||||
Apache Corp. | 16,355 | 910,483 | ||||||
Baker Hughes, Inc. | 18,979 | 856,522 | ||||||
Cabot Oil & Gas Corp. | 18,278 | 470,476 | ||||||
Chesapeake Energy Corp.(a) | 20,588 | 88,117 | ||||||
Chevron Corp. | 78,612 | 8,240,896 | ||||||
Cimarex Energy Co. | 3,758 | 448,405 | ||||||
Columbia Pipeline Group, Inc. | 15,904 | 405,393 | ||||||
Concho Resources, Inc.(a) | 5,700 | 679,839 | ||||||
ConocoPhillips | 52,227 | 2,277,097 | ||||||
Devon Energy Corp. | 22,401 | 812,036 | ||||||
Diamond Offshore Drilling, Inc. | 4,346 | 105,738 | ||||||
EOG Resources, Inc. | 22,671 | 1,891,215 | ||||||
EQT Corp. | 7,457 | 577,396 | ||||||
Exxon Mobil Corp. | 172,675 | 16,186,554 | ||||||
FMC Technologies, Inc.(a) | 8,991 | 239,790 | ||||||
Halliburton Co. | 35,667 | 1,615,358 | ||||||
Helmerich & Payne, Inc. | 4,326 | 290,404 | ||||||
Hess Corp. | 10,557 | 634,476 | ||||||
Kinder Morgan, Inc. | 76,550 | 1,433,016 | ||||||
Marathon Oil Corp. | 33,588 | 504,156 | ||||||
Marathon Petroleum Corp. | 23,074 | 875,889 | ||||||
Murphy Oil Corp. | 6,479 | 205,708 | ||||||
National Oilwell Varco, Inc. | 15,016 | 505,288 | ||||||
Newfield Exploration Co.(a) | 7,915 | 349,685 | ||||||
Noble Energy, Inc. | 17,125 | 614,274 | ||||||
Occidental Petroleum Corp. | 31,409 | 2,373,264 | ||||||
ONEOK, Inc. | 8,396 | 398,390 | ||||||
Phillips 66 | 19,373 | 1,537,054 | ||||||
Pioneer Natural Resources Co. | 6,876 | 1,039,720 | ||||||
Range Resources Corp. | 6,759 | 291,583 | ||||||
Schlumberger, Ltd. | 58,150 | 4,598,502 | ||||||
Southwestern Energy Co.(a) | 15,556 | 195,694 | ||||||
Spectra Energy Corp. | 29,057 | 1,064,358 | ||||||
Tesoro Corp. | 4,716 | 353,323 | ||||||
Transocean, Ltd. | 13,610 | 161,823 | ||||||
Valero Energy Corp. | 20,223 | 1,031,373 | ||||||
Williams Cos., Inc. | 27,158 | 587,428 | ||||||
|
| |||||||
56,015,939 | ||||||||
|
| |||||||
Financials – 15.3% | ||||||||
Affiliated Managers Group, Inc.(a) | 2,124 | 298,995 | ||||||
Aflac, Inc. | 17,753 | 1,281,056 | ||||||
Allstate Corp. | 16,139 | 1,128,923 | ||||||
American Express Co. | 33,712 | 2,048,341 | ||||||
American International Group, Inc. | 47,101 | 2,491,172 | ||||||
American Tower Corp. REIT | 17,518 | 1,990,220 | ||||||
Ameriprise Financial, Inc. | 6,744 | 605,948 | ||||||
Aon PLC | 10,765 | 1,175,861 | ||||||
Apartment Investment & Management Co. Class A REIT | 6,287 | 277,634 | ||||||
Arthur J Gallagher & Co. | 7,200 | 342,720 | ||||||
Assurant, Inc. | 2,585 | 223,111 | ||||||
AvalonBay Communities, Inc. REIT | 5,869 | 1,058,709 | ||||||
Bank of America Corp. | 429,305 | 5,696,877 | ||||||
Bank of New York Mellon Corp. | 44,394 | 1,724,707 | ||||||
BB&T Corp. | 33,631 | 1,197,600 | ||||||
Berkshire Hathaway, Inc. Class B(a) | 78,084 | 11,305,782 | ||||||
BlackRock, Inc. | 5,216 | 1,786,636 | ||||||
Boston Properties, Inc. REIT | 6,646 | 876,607 | ||||||
Capital One Financial Corp. | 21,795 | 1,384,200 | ||||||
CBRE Group, Inc. Class A(a) | 11,567 | 306,294 | ||||||
Charles Schwab Corp. | 50,104 | 1,268,132 | ||||||
Chubb, Ltd. | 19,553 | 2,555,773 | ||||||
Cincinnati Financial Corp. | 5,909 | 442,525 | ||||||
Citigroup, Inc. | 122,727 | 5,202,398 | ||||||
Citizens Financial Group, Inc. | 21,000 | 419,580 | ||||||
CME Group, Inc. | 14,063 | 1,369,736 | ||||||
Comerica, Inc. | 6,927 | 284,908 | ||||||
Crown Castle International Corp. REIT | 13,958 | 1,415,760 | ||||||
Digital Realty Trust, Inc. REIT | 5,900 | 643,041 | ||||||
Discover Financial Services | 17,828 | 955,403 | ||||||
E*TRADE Financial Corp.(a) | 11,242 | 264,075 | ||||||
Equinix, Inc. REIT | 2,943 | 1,141,089 | ||||||
Equity Residential REIT | 15,719 | 1,082,725 | ||||||
Essex Property Trust, Inc. REIT | 2,645 | 603,298 | ||||||
Extra Space Storage, Inc. REIT | 5,000 | 462,700 | ||||||
Federal Realty Investment Trust REIT | 2,800 | 463,540 | ||||||
Fifth Third Bancorp | 31,162 | 548,140 | ||||||
Franklin Resources, Inc. | 14,889 | 496,846 | ||||||
General Growth Properties, Inc. REIT | 25,258 | 753,194 | ||||||
Goldman Sachs Group, Inc. | 16,146 | 2,398,973 | ||||||
Hartford Financial Services Group, Inc. | 15,767 | 699,739 | ||||||
HCP, Inc. REIT | 20,223 | 715,490 | ||||||
Host Hotels & Resorts, Inc. REIT | 29,962 | 485,684 | ||||||
Huntington Bancshares, Inc. | 31,691 | 283,318 | ||||||
Intercontinental Exchange, Inc. | 4,937 | 1,263,675 | ||||||
Invesco, Ltd. | 16,611 | 424,245 | ||||||
Iron Mountain, Inc. REIT | 10,681 | 425,424 |
See Accompanying Notes to Financial Statements.
14
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Financials – (continued) | ||||||||
JPMorgan Chase & Co. | 152,443 | $ | 9,472,808 | |||||
KeyCorp | 33,296 | 367,921 | ||||||
Kimco Realty Corp. REIT | 18,353 | 575,917 | ||||||
Legg Mason, Inc. | 3,827 | 112,858 | ||||||
Leucadia National Corp. | 13,227 | 229,224 | ||||||
Lincoln National Corp. | 9,582 | 371,494 | ||||||
Loews Corp. | 10,619 | 436,335 | ||||||
M&T Bank Corp. | 6,363 | 752,297 | ||||||
Macerich Co. REIT | 5,055 | 431,646 | ||||||
Marsh & McLennan Cos., Inc. | 21,619 | 1,480,037 | ||||||
MetLife, Inc. | 45,170 | 1,799,121 | ||||||
Moody’s Corp. | 6,732 | 630,856 | ||||||
Morgan Stanley | 63,075 | 1,638,689 | ||||||
Nasdaq, Inc. | 4,575 | 295,865 | ||||||
Navient Corp. | 13,613 | 162,675 | ||||||
Northern Trust Corp. | 8,596 | 569,571 | ||||||
People’s United Financial, Inc. | 12,366 | 181,286 | ||||||
PNC Financial Services Group, Inc. | 20,675 | 1,682,738 | ||||||
Principal Financial Group, Inc. | 10,765 | 442,549 | ||||||
Progressive Corp. | 25,149 | 842,492 | ||||||
Prologis, Inc. REIT | 22,552 | 1,105,950 | ||||||
Prudential Financial, Inc. | 18,602 | 1,327,067 | ||||||
Public Storage REIT | 6,035 | 1,542,486 | ||||||
Realty Income Corp. REIT | 11,100 | 769,896 | ||||||
Regions Financial Corp. | 51,346 | 436,954 | ||||||
S&P Global, Inc. | 11,368 | 1,219,332 | ||||||
Simon Property Group, Inc. REIT | 13,080 | 2,837,052 | ||||||
SL Green Realty Corp. REIT | 4,000 | 425,880 | ||||||
State Street Corp.(b) | 15,978 | 861,534 | ||||||
SunTrust Banks, Inc. | 20,136 | 827,187 | ||||||
Synchrony Financial(a) | 36,076 | 912,001 | ||||||
T Rowe Price Group, Inc. | 10,855 | 792,089 | ||||||
Torchmark Corp. | 4,512 | 278,932 | ||||||
Travelers Cos., Inc. | 12,206 | 1,453,002 | ||||||
UDR, Inc. REIT | 10,600 | 391,352 | ||||||
Unum Group | 9,505 | 302,164 | ||||||
US Bancorp | 66,922 | 2,698,964 | ||||||
Ventas, Inc. REIT | 14,597 | 1,062,954 | ||||||
Vornado Realty Trust REIT | 7,668 | 767,720 | ||||||
Wells Fargo & Co. | 192,703 | 9,120,633 | ||||||
Welltower, Inc. REIT | 15,119 | 1,151,614 | ||||||
Weyerhaeuser Co. REIT | 31,487 | 937,368 | ||||||
Willis Towers Watson PLC | 6,076 | 755,308 | ||||||
XL Group PLC Class A | 11,648 | 387,995 | ||||||
Zions Bancorp | 8,195 | 205,940 | ||||||
|
| |||||||
119,318,557 | ||||||||
|
| |||||||
Health Care – 14.3% | ||||||||
Abbott Laboratories | 60,447 | 2,376,172 | ||||||
AbbVie, Inc. | 67,843 | 4,200,160 | ||||||
Aetna, Inc. | 14,544 | 1,776,259 | ||||||
Agilent Technologies, Inc. | 13,093 | 580,805 | ||||||
Alexion Pharmaceuticals, Inc.(a) | 9,373 | 1,094,391 | ||||||
Allergan PLC(a) | 16,606 | 3,837,481 | ||||||
AmerisourceBergen Corp. | 7,734 | 613,461 | ||||||
Amgen, Inc. | 31,454 | 4,785,726 | ||||||
Anthem, Inc. | 10,819 | 1,420,967 | ||||||
Baxter International, Inc. | 23,379 | 1,057,198 | ||||||
Becton Dickinson and Co. | 8,836 | 1,498,497 | ||||||
Biogen, Inc.(a) | 9,284 | 2,245,057 | ||||||
Boston Scientific Corp.(a) | 57,157 | 1,335,759 | ||||||
Bristol-Myers Squibb Co. | 69,904 | 5,141,439 | ||||||
C.R. Bard, Inc. | 2,935 | 690,195 | ||||||
Cardinal Health, Inc. | 13,933 | 1,086,913 | ||||||
Celgene Corp.(a) | 31,971 | 3,153,300 | ||||||
Centene Corp.(a) | 6,800 | 485,316 | ||||||
Cerner Corp.(a) | 12,037 | 705,368 | ||||||
Cigna Corp. | 10,585 | 1,354,774 | ||||||
DaVita HealthCare Partners, Inc.(a) | 6,628 | 512,477 | ||||||
DENTSPLY SIRONA, Inc. | 9,634 | 597,693 | ||||||
Edwards Lifesciences Corp.(a) | 8,510 | 848,702 | ||||||
Eli Lilly & Co. | 40,818 | 3,214,417 | ||||||
Endo International PLC(a) | 8,100 | 126,279 | ||||||
Express Scripts Holding Co.(a) | 26,567 | 2,013,779 | ||||||
Gilead Sciences, Inc. | 55,752 | 4,650,832 | ||||||
HCA Holdings, Inc.(a) | 12,200 | 939,522 | ||||||
Henry Schein, Inc.(a) | 3,300 | 583,440 | ||||||
Hologic, Inc.(a) | 9,800 | 339,080 | ||||||
Humana, Inc. | 6,290 | 1,131,445 | ||||||
Illumina, Inc.(a) | 6,300 | 884,394 | ||||||
Intuitive Surgical, Inc.(a) | 1,548 | 1,023,863 | ||||||
Johnson & Johnson | 114,608 | 13,901,950 | ||||||
Laboratory Corp. of America Holdings(a) | 4,075 | 530,850 | ||||||
Mallinckrodt PLC(a) | 4,500 | 273,510 | ||||||
McKesson Corp. | 9,424 | 1,758,990 | ||||||
Medtronic PLC | 58,893 | 5,110,146 | ||||||
Merck & Co., Inc. | 115,672 | 6,663,864 | ||||||
Mylan NV(a) | 18,302 | 791,378 | ||||||
Patterson Cos., Inc. | 3,135 | 150,135 | ||||||
PerkinElmer, Inc. | 4,386 | 229,914 | ||||||
Perrigo Co. PLC | 5,786 | 524,617 | ||||||
Pfizer, Inc. | 253,033 | 8,909,292 | ||||||
Quest Diagnostics, Inc. | 5,642 | 459,315 | ||||||
Regeneron Pharmaceuticals, Inc.(a) | 3,342 | 1,167,127 | ||||||
St. Jude Medical, Inc. | 12,273 | 957,294 | ||||||
Stryker Corp. | 12,994 | 1,557,071 | ||||||
Thermo Fisher Scientific, Inc. | 16,312 | 2,410,261 | ||||||
UnitedHealth Group, Inc. | 39,774 | 5,616,089 | ||||||
Universal Health Services, Inc. Class B | 3,600 | 482,760 | ||||||
Varian Medical Systems, Inc.(a) | 3,829 | 314,859 | ||||||
Vertex Pharmaceuticals, Inc.(a) | 10,752 | 924,887 | ||||||
Waters Corp.(a) | 3,250 | 457,113 | ||||||
Zimmer Biomet Holdings, Inc. | 8,625 | 1,038,278 | ||||||
Zoetis, Inc. | 19,720 | 935,911 | ||||||
|
| |||||||
111,470,772 | ||||||||
|
| |||||||
Industrials – 9.9% | ||||||||
3M Co. | 25,429 | 4,453,126 | ||||||
Acuity Brands, Inc. | 1,800 | 446,328 | ||||||
Alaska Air Group, Inc. | 5,000 | 291,450 | ||||||
Allegion PLC | 3,796 | 263,556 | ||||||
American Airlines Group, Inc. | 24,000 | 679,440 | ||||||
AMETEK, Inc. | 9,399 | 434,516 |
See Accompanying Notes to Financial Statements.
15
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Industrials – (continued) | ||||||||
Boeing Co. | 24,764 | $ | 3,216,101 | |||||
C.H. Robinson Worldwide, Inc. | 5,679 | 421,666 | ||||||
Caterpillar, Inc. | 24,024 | 1,821,259 | ||||||
Cintas Corp. | 3,466 | 340,119 | ||||||
CSX Corp. | 41,155 | 1,073,322 | ||||||
Cummins, Inc. | 6,414 | 721,190 | ||||||
Danaher Corp. | 25,194 | 2,544,594 | ||||||
Deere & Co. | 12,883 | 1,044,038 | ||||||
Delta Air Lines, Inc. | 32,534 | 1,185,214 | ||||||
Dover Corp. | 6,150 | 426,318 | ||||||
Dun & Bradstreet Corp. | 1,755 | 213,829 | ||||||
Eaton Corp. PLC | 19,625 | 1,172,201 | ||||||
Emerson Electric Co. | 26,679 | 1,391,577 | ||||||
Equifax, Inc. | 5,288 | 678,979 | ||||||
Expeditors International of Washington, Inc. | 7,276 | 356,815 | ||||||
Fastenal Co. | 11,458 | 508,621 | ||||||
FedEx Corp. | 10,650 | 1,616,457 | ||||||
Flowserve Corp. | 5,145 | 232,400 | ||||||
Fluor Corp. | 5,504 | 271,237 | ||||||
Fortune Brands Home & Security, Inc. | 6,300 | 365,211 | ||||||
General Dynamics Corp. | 12,072 | 1,680,905 | ||||||
General Electric Co. | 383,188 | 12,062,758 | ||||||
Honeywell International, Inc. | 31,978 | 3,719,681 | ||||||
Illinois Tool Works, Inc. | 13,600 | 1,416,576 | ||||||
Ingersoll-Rand PLC | 11,284 | 718,565 | ||||||
Jacobs Engineering Group, Inc.(a) | 4,843 | 241,230 | ||||||
JB Hunt Transport Services, Inc. | 3,500 | 283,255 | ||||||
Kansas City Southern | 4,296 | 387,027 | ||||||
L-3 Communications Holdings, Inc. | 3,138 | 460,313 | ||||||
Lockheed Martin Corp. | 10,803 | 2,680,981 | ||||||
Masco Corp. | 13,284 | 411,007 | ||||||
Nielsen Holdings PLC | 15,525 | 806,834 | ||||||
Norfolk Southern Corp. | 12,687 | 1,080,044 | ||||||
Northrop Grumman Corp. | 7,525 | 1,672,657 | ||||||
PACCAR, Inc. | 14,039 | 728,203 | ||||||
Parker-Hannifin Corp. | 5,389 | 582,281 | ||||||
Pentair PLC | 7,304 | 425,750 | ||||||
Pitney Bowes, Inc. | 7,606 | 135,387 | ||||||
Quanta Services, Inc.(a) | 6,407 | 148,130 | ||||||
Raytheon Co. | 12,446 | 1,692,034 | ||||||
Republic Services, Inc. | 9,489 | 486,881 | ||||||
Robert Half International, Inc. | 5,266 | 200,951 | ||||||
Rockwell Automation, Inc. | 5,226 | 600,049 | ||||||
Rockwell Collins, Inc. | 5,231 | 445,367 | ||||||
Roper Technologies, Inc. | 4,065 | 693,326 | ||||||
Ryder System, Inc. | 2,166 | 132,429 | ||||||
Snap-on, Inc. | 2,340 | 369,299 | ||||||
Southwest Airlines Co. | 27,459 | 1,076,667 | ||||||
Stanley Black & Decker, Inc. | 6,057 | 673,660 | ||||||
Stericycle, Inc.(a) | 3,396 | 353,592 | ||||||
Textron, Inc. | 10,833 | 396,054 | ||||||
TransDigm Group, Inc.(a) | 2,200 | 580,118 | ||||||
Tyco International PLC | 18,364 | 782,306 | ||||||
Union Pacific Corp. | 34,698 | 3,027,401 | ||||||
United Continental Holdings, Inc.(a) | 14,300 | 586,872 | ||||||
United Parcel Service, Inc. Class B | 28,991 | 3,122,911 | ||||||
United Rentals, Inc.(a) | 3,600 | 241,560 | ||||||
United Technologies Corp. | 32,651 | 3,348,360 | ||||||
Verisk Analytics, Inc.(a) | 6,200 | 502,696 | ||||||
W.W. Grainger, Inc. | 2,257 | 512,903 | ||||||
Waste Management, Inc. | 17,735 | 1,175,298 | ||||||
Xylem, Inc. | 7,158 | 319,605 | ||||||
|
| |||||||
77,131,487 | ||||||||
|
| |||||||
Information Technology – 19.2% |
| |||||||
Accenture PLC Class A | 25,718 | 2,913,592 | ||||||
Activision Blizzard, Inc. | 22,100 | 875,823 | ||||||
Adobe Systems, Inc.(a) | 20,544 | 1,967,910 | ||||||
Akamai Technologies, Inc.(a) | 7,090 | 396,544 | ||||||
Alliance Data Systems Corp.(a) | 2,396 | 469,424 | ||||||
Alphabet, Inc. Class A(a) | 12,267 | 8,630,203 | ||||||
Alphabet, Inc. Class C(a) | 12,287 | 8,503,833 | ||||||
Amphenol Corp. Class A | 12,320 | 706,306 | ||||||
Analog Devices, Inc. | 12,351 | 699,561 | ||||||
Apple, Inc. | 227,924 | 21,789,534 | ||||||
Applied Materials, Inc. | 45,054 | 1,079,944 | ||||||
Autodesk, Inc.(a) | 9,006 | 487,585 | ||||||
Automatic Data Processing, Inc. | 18,952 | 1,741,120 | ||||||
Broadcom, Ltd. | 15,691 | 2,438,381 | ||||||
CA, Inc. | 11,740 | 385,424 | ||||||
Cisco Systems, Inc. | 210,190 | 6,030,351 | ||||||
Citrix Systems, Inc.(a) | 6,789 | 543,731 | ||||||
Cognizant Technology Solutions Corp. Class A(a) | 25,241 | 1,444,795 | ||||||
Corning, Inc. | 44,326 | 907,797 | ||||||
CSRA, Inc. | 5,412 | 126,803 | ||||||
eBay, Inc.(a) | 43,245 | 1,012,365 | ||||||
Electronic Arts, Inc.(a) | 12,279 | �� | 930,257 | |||||
EMC Corp. | 82,210 | 2,233,646 | ||||||
F5 Networks, Inc.(a) | 2,741 | 312,035 | ||||||
Facebook, Inc. Class A(a) | 96,393 | 11,015,792 | ||||||
Fidelity National Information Services, Inc. | 11,991 | 883,497 | ||||||
First Solar, Inc.(a) | 3,021 | 146,458 | ||||||
Fiserv, Inc.(a) | 9,562 | 1,039,676 | ||||||
FLIR Systems, Inc. | 5,161 | 159,733 | ||||||
Global Payments, Inc. | 6,176 | 440,843 | ||||||
Harris Corp. | 5,002 | 417,367 | ||||||
Hewlett Packard Enterprise Co. | 68,353 | 1,248,809 | ||||||
HP, Inc. | 68,753 | 862,850 | ||||||
Intel Corp. | 197,236 | 6,469,341 | ||||||
International Business Machines Corp. | 36,895 | 5,599,923 | ||||||
Intuit, Inc. | 10,937 | 1,220,679 | ||||||
Juniper Networks, Inc. | 14,049 | 315,962 | ||||||
KLA-Tencor Corp. | 6,232 | 456,494 | ||||||
Lam Research Corp. | 6,377 | 536,051 | ||||||
Linear Technology Corp. | 9,542 | 443,989 | ||||||
MasterCard, Inc. Class A | 40,751 | 3,588,533 | ||||||
Microchip Technology, Inc. | 9,383 | 476,281 | ||||||
Micron Technology, Inc.(a) | 41,334 | 568,756 | ||||||
Microsoft Corp. | 327,258 | 16,745,792 | ||||||
Motorola Solutions, Inc. | 6,272 | 413,764 |
See Accompanying Notes to Financial Statements.
16
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Information Technology – (continued) |
| |||||||
NetApp, Inc. | 11,514 | $ | 283,129 | |||||
NVIDIA Corp. | 21,844 | 1,026,886 | ||||||
Oracle Corp. | 129,035 | 5,281,403 | ||||||
Paychex, Inc. | 13,807 | 821,517 | ||||||
PayPal Holdings, Inc.(a) | 45,945 | 1,677,452 | ||||||
Qorvo, Inc.(a) | 5,100 | 281,826 | ||||||
QUALCOMM, Inc. | 60,626 | 3,247,735 | ||||||
Red Hat, Inc.(a) | 7,270 | 527,802 | ||||||
salesforce.com, Inc.(a) | 26,895 | 2,135,732 | ||||||
Seagate Technology PLC | 11,824 | 288,033 | ||||||
Skyworks Solutions, Inc. | 7,600 | 480,928 | ||||||
Symantec Corp. | 25,960 | 533,218 | ||||||
TE Connectivity, Ltd. | 14,751 | 842,430 | ||||||
Teradata Corp.(a) | 5,307 | 133,047 | ||||||
Texas Instruments, Inc. | 41,293 | 2,587,006 | ||||||
Total System Services, Inc. | 6,676 | 354,562 | ||||||
VeriSign, Inc.(a) | 3,801 | 328,634 | ||||||
Visa, Inc. Class A | 79,560 | 5,900,965 | ||||||
Western Digital Corp. | 11,153 | 527,091 | ||||||
Western Union Co. | 20,045 | 384,463 | ||||||
Xerox Corp. | 37,909 | 359,756 | ||||||
Xilinx, Inc. | 10,160 | 468,681 | ||||||
Yahoo!, Inc.(a) | 36,282 | 1,362,752 | ||||||
|
| |||||||
149,512,602 | ||||||||
|
| |||||||
Materials – 2.8% |
| |||||||
Air Products & Chemicals, Inc. | 8,102 | 1,150,808 | ||||||
Albemarle Corp. | 4,700 | 372,757 | ||||||
Alcoa, Inc. | 52,360 | 485,377 | ||||||
Avery Dennison Corp. | 3,570 | 266,858 | ||||||
Ball Corp. | 5,666 | 409,595 | ||||||
CF Industries Holdings, Inc. | 9,320 | 224,612 | ||||||
Dow Chemical Co. | 47,338 | 2,353,172 | ||||||
E.I. du Pont de Nemours & Co. | 36,818 | 2,385,807 | ||||||
Eastman Chemical Co. | 5,936 | 403,054 | ||||||
Ecolab, Inc. | 11,101 | 1,316,579 | ||||||
FMC Corp. | 5,278 | 244,424 | ||||||
Freeport-McMoRan, Inc. | 49,840 | 555,218 | ||||||
International Flavors & Fragrances, Inc. | 3,151 | 397,247 | ||||||
International Paper Co. | 16,403 | 695,159 | ||||||
LyondellBasell Industries NV Class A | 14,548 | 1,082,662 | ||||||
Martin Marietta Materials, Inc. | 2,545 | 488,640 | ||||||
Monsanto Co. | 18,161 | 1,878,029 | ||||||
Mosaic Co. | 14,084 | 368,719 | ||||||
Newmont Mining Corp. | 23,133 | 904,963 | ||||||
Nucor Corp. | 12,648 | 624,938 | ||||||
Owens-Illinois, Inc.(a) | 6,437 | 115,930 | ||||||
PPG Industries, Inc. | 11,354 | 1,182,519 | ||||||
Praxair, Inc. | 11,811 | 1,327,438 | ||||||
Sealed Air Corp. | 7,823 | 359,623 | ||||||
Sherwin-Williams Co. | 3,409 | 1,001,121 | ||||||
Vulcan Materials Co. | 5,771 | 694,598 | ||||||
WestRock Co. | 10,136 | 393,986 | ||||||
|
| |||||||
21,683,833 | ||||||||
|
| |||||||
Telecommunication Services – 2.8% |
| |||||||
AT&T, Inc. | 256,587 | 11,087,124 | ||||||
CenturyLink, Inc. | 21,692 | 629,285 | ||||||
Frontier Communications Corp. | 46,506 | 229,740 | ||||||
Level 3 Communications, Inc.(a) | 11,500 | 592,135 | ||||||
Verizon Communications, Inc. | 170,015 | 9,493,637 | ||||||
|
| |||||||
22,031,921 | ||||||||
|
| |||||||
Utilities – 3.6% |
| |||||||
AES Corp. | 26,236 | 327,425 | ||||||
AGL Resources, Inc. | 4,798 | 316,524 | ||||||
Alliant Energy Corp. | 9,400 | 373,180 | ||||||
Ameren Corp. | 9,704 | 519,940 | ||||||
American Electric Power Co., Inc. | 21,009 | 1,472,521 | ||||||
American Water Works Co., Inc. | 7,100 | 600,021 | ||||||
CenterPoint Energy, Inc. | 17,176 | 412,224 | ||||||
CMS Energy Corp. | 11,055 | 506,982 | ||||||
Consolidated Edison, Inc. | 12,852 | 1,033,815 | ||||||
Dominion Resources, Inc. | 25,694 | 2,002,334 | ||||||
DTE Energy Co. | 7,745 | 767,685 | ||||||
Duke Energy Corp. | 28,992 | 2,487,224 | ||||||
Edison International | 14,014 | 1,088,467 | ||||||
Entergy Corp. | 7,098 | 577,422 | ||||||
Eversource Energy | 13,817 | 827,638 | ||||||
Exelon Corp. | 38,484 | 1,399,278 | ||||||
FirstEnergy Corp. | 16,893 | 589,735 | ||||||
NextEra Energy, Inc. | 18,964 | 2,472,906 | ||||||
NiSource, Inc. | 12,704 | 336,910 | ||||||
NRG Energy, Inc. | 12,502 | 187,405 | ||||||
PG&E Corp. | 20,614 | 1,317,647 | ||||||
Pinnacle West Capital Corp. | 4,404 | 356,988 | ||||||
PPL Corp. | 28,619 | 1,080,367 | ||||||
Public Service Enterprise Group, Inc. | 21,888 | 1,020,200 | ||||||
SCANA Corp. | 5,699 | 431,186 | ||||||
Sempra Energy | 10,062 | 1,147,269 | ||||||
Southern Co. | 39,159 | 2,100,097 | ||||||
TECO Energy, Inc. | 9,401 | 259,844 | ||||||
WEC Energy Group, Inc. | 13,682 | 893,435 | ||||||
Xcel Energy, Inc. | 21,951 | 982,966 | ||||||
|
| |||||||
27,889,635 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 757,672,455 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 2.7% |
| |||||||
MONEY MARKET FUND – 2.7% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25%(c)(d)(e) (Cost $21,284,920) | 21,284,920 | 21,284,920 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.0% |
| 778,957,375 | ||||||
Other Assets in Excess of Liabilities – 0.0%(f) | 260,403 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 779,217,778 | ||||||
|
|
(a) | Non-income producing security. |
(b) | The Fund invested in an affiliated entity, State Street Corp. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(c) | All or part of this security has been designated as collateral for futures contracts. |
See Accompanying Notes to Financial Statements.
17
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2016. |
(f) | Amount is less than 0.05% of net assets. |
REIT | Real Estate Investment Trust |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 92,428,435 | $ | – | $ | – | $ | 92,428,435 | ||||||||
Consumer Staples | 80,189,274 | – | – | 80,189,274 | ||||||||||||
Energy | 56,015,939 | – | – | 56,015,939 | ||||||||||||
Financials | 119,318,557 | – | – | 119,318,557 | ||||||||||||
Health Care | 111,470,772 | – | – | 111,470,772 | ||||||||||||
Industrials | 77,131,487 | – | – | 77,131,487 | ||||||||||||
Information Technology | 149,512,602 | – | – | 149,512,602 | ||||||||||||
Materials | 21,683,833 | – | – | 21,683,833 | ||||||||||||
Telecommunication Services | 22,031,921 | – | – | 22,031,921 | ||||||||||||
Utilities | 27,889,635 | – | – | 27,889,635 | ||||||||||||
Short-Term Investment | 21,284,920 | – | – | 21,284,920 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 778,957,375 | $ | – | $ | – | $ | 778,957,375 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: (a) | ||||||||||||||||
Futures Contracts (b) | 249,239 | – | – | 249,239 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments and Other Financial Instruments | $ | 779,206,614 | $ | – | $ | – | $ | 779,206,614 | ||||||||
|
|
|
|
|
|
|
|
(a) | Only unsettled receivable/payable for variation margin is reported on the Statement of Assets and Liabilities. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
At June 30, 2016, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation | ||||||||||||
S&P 500 Financial Futures Contracts (long) | 09/16/2016 | 207 | $ | 21,633,570 | $ | 249,239 |
During the period ended June 30, 2016, average notional value related to futures contracts was $15,366,106 or 2% of net assets.
Affiliate Table
Number of Shares Held at 12/31/15 | Value at 12/31/15 | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/16 | Value at 6/30/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Corp. | 12,078 | $ | 801,496 | 3,900 | – | 15,978 | $ | 861,534 | $ | 9,539 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 8,664,695 | 8,664,695 | 238,939,468 | 226,319,243 | 21,284,920 | 21,284,920 | 18,603 | – |
See Accompanying Notes to Financial Statements.
18
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Statement of Assets And Liabilities
June 30, 2016 (Unaudited)
Assets |
| |||
Investments in unaffiliated issuers, at value (Note 2) | $ | 756,810,921 | ||
Investments in affiliated issuers, at value (Note 2) | 22,146,454 | |||
|
| |||
Total investments | 778,957,375 | |||
Cash at broker | 869,400 | |||
Cash | 8,135 | |||
Receivable from broker – variation margin on open futures contracts | 242,190 | |||
Receivable for fund shares sold | 400,910 | |||
Dividends receivable – unaffiliated issuers (Note 2) | 839,805 | |||
Dividends receivable – affiliated issuers (Note 2) | 4,496 | |||
Receivable from Investment Adviser (Note 4) | 27,463 | |||
Receivable for foreign taxes recoverable | 2,698 | |||
|
| |||
Total assets | 781,352,472 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 1,987,720 | |||
Payable for fund shares repurchased | 86,144 | |||
Custodian fees payable (Note 4) | 13,477 | |||
Registration and filing fees payable | 2,189 | |||
Professional fees payable | 20,313 | |||
Printing and postage fees payable | 20,303 | |||
Accrued expenses and other liabilities | 4,548 | |||
|
| |||
Total liabilities | 2,134,694 | |||
|
| |||
Net Assets | $ | 779,217,778 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in capital | $ | 537,041,595 | ||
Undistributed (distribution in excess of) net investment income (loss) | 7,092,061 | |||
Accumulated net realized gain (loss) on investments and futures contracts | 3,889,370 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 230,945,513 | |||
Futures contracts | 249,239 | |||
|
| |||
Net Assets | $ | 779,217,778 | ||
|
| |||
Net Asset Value Per Share | ||||
Net asset value per share | $ | 10.74 | ||
|
| |||
Shares of beneficial interest | 72,575,157 | |||
|
| |||
Cost of Investments: | ||||
Investments in unaffiliated issuers | $ | 526,001,824 | ||
Investments in affiliated issuers | 22,010,038 | |||
|
| |||
Total cost of investments | $ | 548,011,862 | ||
|
|
See Accompanying Notes to Financial Statements.
19
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
For the Six Months Ended June 30, 2016 (Unaudited)
Investment Income | ||||
Dividend income – unaffiliated issuers (Note 2) | $ | 7,146,493 | ||
Dividend income – affiliated issuers (Note 2) | 28,142 | |||
Foreign taxes withheld | (2,024 | ) | ||
|
| |||
Total investment income (loss) | 7,172,611 | |||
|
| |||
Expenses | ||||
Administration and custody fees | 39,173 | |||
Trustees’ fees and expenses (Note 5) | 7,719 | |||
Registration and filing fees | 13,881 | |||
Professional fees | 63,852 | |||
Printing and postage fees | 21,723 | |||
Insurance expense | 4,084 | |||
Interest expense (Note 8) | 242 | |||
Miscellaneous expenses | 5,468 | |||
|
| |||
Total expenses | 156,142 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 4) | (75,592 | ) | ||
|
| |||
Net expenses | 80,550 | |||
|
| |||
Net Investment Income (Loss) | 7,092,061 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions – unaffiliated issuers | 2,880,006 | |||
Futures contracts | 623,400 | |||
|
| |||
Net realized gain (loss) | 3,503,406 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment transactions – unaffiliated issuers | 15,815,770 | |||
Investment transactions – affiliated issuers | 136,416 | |||
Futures contracts | 104,919 | |||
|
| |||
Net change in unrealized appreciation/depreciation | 16,057,105 | |||
|
| |||
Net realized and unrealized gain (loss) | 19,560,511 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 26,652,572 | ||
|
|
See Accompanying Notes to Financial Statements.
20
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Statement of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 7,092,061 | $ | 10,018,097 | ||||
Net realized gain (loss) | 3,503,406 | 7,475,080 | ||||||
Net change in unrealized appreciation/depreciation | 16,057,105 | (13,050,046 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 26,652,572 | 4,443,131 | ||||||
|
|
|
| |||||
Net investment income | – | (10,151,317 | ) | |||||
Net realized gains | – | (8,178,301 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | – | (18,329,618 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Proceeds from sale of shares sold | 233,964,304 | 169,454,825 | ||||||
Reinvestment of distributions | – | 18,329,618 | ||||||
Cost of shares redeemed | (22,734,059 | ) | (59,273,359 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 211,230,245 | 128,511,084 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 237,882,817 | 114,624,597 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 541,334,961 | 426,710,364 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 779,217,778 | $ | 541,334,961 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 7,092,061 | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Shares sold | 22,334,323 | 15,808,989 | ||||||
Reinvestment of distributions | – | 1,811,227 | ||||||
Shares redeemed | (2,196,578 | ) | (5,623,888 | ) | ||||
|
|
|
| |||||
Net increase (decrease) | 20,137,745 | 11,996,328 | ||||||
|
|
|
|
See Accompanying Notes to Financial Statements.
21
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Selected data for a share outstanding throughout each period
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 8/11/14 * - 12/31/14 | ||||||||||
Net Asset Value, Beginning of Period | $ | 10.32 | $ | 10.55 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) From Investment Operations: | ||||||||||||
Net investment income (loss)(a) | 0.11 | 0.22 | 0.08 | |||||||||
Net realized and unrealized gain (loss) | 0.31 | (0.09 | ) | 0.63 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.42 | 0.13 | 0.71 | |||||||||
|
|
|
|
|
| |||||||
Distributions to Shareholders From: | ||||||||||||
Net investment income | — | (0.20 | ) | (0.08 | ) | |||||||
Net realized gains | — | (0.16 | ) | (0.08 | ) | |||||||
|
|
|
|
|
| |||||||
Total distributions | — | (0.36 | ) | (0.16 | ) | |||||||
|
|
|
|
|
| |||||||
Net Asset Value, End of Period | $ | 10.74 | $ | 10.32 | $ | 10.55 | ||||||
|
|
|
|
|
| |||||||
Total Return(b) | 4.07 | % | 1.29 | % | 7.12 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 779,218 | $ | 541,335 | $ | 426,710 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.05 | %(c) | 0.04 | % | 0.04 | %(c) | ||||||
Net expenses | 0.03 | %(c) | 0.03 | % | 0.03 | %(c) | ||||||
Net investment income (loss) | 2.24 | %(c) | 2.05 | % | 2.06 | %(c) | ||||||
Portfolio turnover rate | 2 | %(d) | 5 | % | 4 | %(d)(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 are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
(e) | Portfolio turnover rate excludes in-kind security transactions (Note 7). |
See Accompanying Notes to Financial Statements.
22
Table of Contents
State Street Institutional Investment Trust
June 30, 2016 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”) is registered under the Investment Company Act of 1940, as amended (“1940 Act”), as an open-end management investment company, and was organized as a Massachusetts business trust on February 16, 2000. The Trust consists of fifty-one (51) series and corresponding classes, each of which have the same rights and privileges, including the same voting rights. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of 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 Equity 500 Index Fund (diversified) | April 11, 2001 March 10, 2003 September 17, 2014 September 17, 2014 September 17, 2014 June 7, 2005 | April 11, 2001 March 10, 2003 September 17, 2014 September 17, 2014 September 17, 2014 June 7, 2005 | ||
State Street Equity 500 Index II Portfolio (diversified) | N/A | August 11, 2014 |
The State Street Equity 500 Index Fund (the “Fund”) offers Administrative, Class A, I, K, R and Service Shares Class. Class A shares of the Funds 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% contingent deferred sales charge (“CDSC”) if no initial sales charge was paid at the time of purchase 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 only to certain eligible investors.
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 (86.23% at June 30, 2016), a separate series of the Trust. The performance of the Fund is 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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
23
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Security Valuation
The Fund records its investments in the Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolios is discussed below:
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 and 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 policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolios. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value the Portfolio’s investments by major category are as follows:
• | Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value 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 Investment Company Act of 1940, as amended, (“1940 Act”) and in accordance with their 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 the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
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 benchmarks. Various inputs are used in determining the value of the Portfolio’s investments.
The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical asset or liability (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market
24
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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. |
The value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2016, is disclosed in the Portfolio’s Schedule 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 Portfolio had no material transfers between levels for the six months ended June 30, 2016.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. Distributions received by the Portfolio and 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.
The Portfolio invests in Real Estate Investment Trusts (REITs). REITS determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolio’s policy is to record all REIT distributions initially as dividend income and re-designate to return of capital of capital gains distributions at year end based on information provided by the REIT and/or SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.
Expenses
Certain expenses, which are directly identifiable to a specific Fund or Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Fund or Portfolio 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 and Portfolios within the Trust. Class specific expenses are borne by each class.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Distributions
Distributions from net investment income, if any, are declared and paid 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Derivative Financial Instruments |
The Portfolio may enter into futures contracts to meet its objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Portfolio recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended June 30, 2016, the Portfolio entered into futures contracts for cash equalization and return enhancement.
The following tables summarize the value of the Portfolio’s derivative instruments as of June 30, 2016 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset Derivatives(a)
Equity Contracts Risk | Total | |||||||
State Street Equity 500 Index II Portfolio |
| |||||||
Futures Contracts | $ | 249,239 | $ | 249,239 |
(a) | Statement of Assets and Liabilities: Unrealized appreciation on open futures contracts. Only unsettled receivable/payable for variation margin is reported within the Statement of Assets and Liabilities. |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Net Realized Gain (Loss)(a)
Equity Contracts Risk | Total | |||||||
State Street Equity 500 Index II Portfolio |
| |||||||
Futures Contracts | $ | 623,400 | $ | 623,400 |
(a) | Statement of Operations location: Unrealized appreciation on open futures contracts. Only unsettled receivable/payable for variation margin is reported within the Statement of Assets and Liabilities. |
Net Change in Unrealized Appreciation (Depreciation)(a)
Equity Contracts Risk | Total | |||||||
State Street Equity 500 Index II Portfolio |
| |||||||
Futures Contracts | 104,919 | 104,919 |
(a) | Statement of Operations location: Net change in unrealized appreciation (depreciation) on: Futures contracts. |
4. Fees and Transactions with Affiliates
Advisory Fees
The Fund and Portfolio have entered into Investment Advisory Agreements with SSGA FM, 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 objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Fund pays the Adviser 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, 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, 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. This waiver and/or reimbursement may not be terminated during the relevant period except with the approval the Fund’s Board.
SSGA FM is contractually obligated until April 30, 2017, to waive its management fee and/or to reimburse the Portfolio 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 expenses) 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 the Portfolio’s Board.
For the six months ended June 30, 2016, SSGA FM reimbursed or waived the fees under these agreements as shown on the Statements of Operations.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street serves as custodian and sub-administrator to the Fund. For its administration services, the Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets. The fee is accrued daily and paid monthly. For its services as custodian, the Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.
Transfer Agent Fees
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.
Distribution and Shareholder Servicing Fees
State Street Global Markets LLC (“SSGM” or the “Distributor”) serves as the distributor of the Fund. SSGM is a wholly owned subsidiary of State Street Corporation. The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which the Fund may compensate the Distributor (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.
The Fund may also 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.
Other Transactions with Affiliates
The Portfolio may invest in affiliated entities, included securities issued by State Street, affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2016 are disclosed in the applicable Schedules of Investments.
5. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolios. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
6. | Investment Transactions |
For the six months ended June 30, 2016, purchases and sales of investment securities (excluding short-term investments) were $222,316,347 and $13,865,653, respectively.
7. | Income Tax Information |
The Fund and Portfolio have qualified and intend to continue to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. The Fund and Portfolio will not be subject to federal income taxes to the extent each distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Fund and Portfolio file federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed each Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
At June 30, 2016, the cost of investments and the unrealized appreciation and depreciation of investments for federal income tax purpose are as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
State Street Equity 500 Index II Portfolio | $ | 548,011,862 | $ | 237,734,656 | $ | 6,789,143 | $ | 230,945,513 | ||||||||
State Street Equity 500 Index Fund | $ | 639,569,852 | $ | 32,541,150 | $ | — | $ | 32,541,150 |
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
8. | Line of Credit |
The Portfolio and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The agreement expires in October 2016 unless extended or renewed. Prior to October 14, 2015, the participants could borrow up to $300 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreements.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses and are paid by the Adviser. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of the New York Fed Bank Rate plus 1%. The Portfolio had no outstanding loans during the period ended June 30, 2016.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
9. | Risks |
Concentration of Risk
As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.
Market and Credit Risk
In the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
10. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolios and Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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State Street Institutional Investment Trust
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Equity 500 Index Fund | ||||||||||||||||||||
Administrative Shares | 0.18 | % | $ | 1,037.30 | $ | 0.91 | $ | 1,024.00 | $ | 0.91 | ||||||||||
Service Shares | 0.28 | % | $ | 1,037.30 | $ | 1.42 | $ | 1,023.50 | $ | 1.41 | ||||||||||
R Shares | 0.63 | % | $ | 1,035.60 | $ | 3.19 | $ | 1,021.70 | $ | 3.17 | ||||||||||
Class A Shares | 0.48 | % | $ | 1,036.10 | $ | 2.43 | $ | 1,022.50 | $ | 2.41 | ||||||||||
Class I Shares | 0.23 | % | $ | 1,037.90 | $ | 1.17 | $ | 1,023.70 | $ | 1.16 | ||||||||||
Class K Shares | 0.03 | % | $ | 1,038.40 | $ | 0.15 | $ | 1,024.70 | $ | 0.15 | ||||||||||
State Street Equity 500 Index II Portfolio | 0.03 | % | $ | 1,040.70 | $ | 0.15 | $ | 1,024.70 | $ | 0.15 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s and the Portfolio’s investment adviser to vote proxies relating to the portfolio of securities are available (i) without charge, upon request by calling 1-877-521-4083 (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 adviser voted for the prior 12-month 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 Portfolios file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ 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 the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Funds’ website at www.ssgafunds.com.
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State Street Master Funds and State Street Institutional Investment Trust
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 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 on April 14-15, 2016 and May 19-20, 2016, including in Executive Sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to each portfolio series of each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). 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 who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 14-15, 2016 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 19-20, 2016 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 the Fund: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2015, 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; |
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 Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
2 | 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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• | 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 the Fund and (b) affiliates of the Adviser that provide services to the Fund (“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 |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
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 Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; 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 services provided to the Fund by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | Information concerning the nature, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, transfer agent and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Draft responses to a letter 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: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such |
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operations for the Fund’s last fiscal year; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the Fund’s 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 Funds, with respect to its operations relating to the Fund; 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 Fund, together with the Fund’s related distribution plans and arrangements under SEC Rule 12b-1; |
• | Information from SSGA FM and State Street with respect to State Street Master Funds and State Street Institutional Investment Trust, and the Distributor with respect to State Street Institutional Investment providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 19-20, 2016; |
• | Materials provided by Broadridge Financial Solutions, Inc., the successor by acquisition to the producer of Lipper materials used in previous years (“Broadridge”), circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund 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 the Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the 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 the Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 19-20, 2016 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, 2016, 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 the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the 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
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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 SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring the 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 the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2015. For purposes of these comparisons the Independent Trustees relied extensively on the “Performance Group,” “Performance Universe” and “Broadridge Index” constructed by Broadridge for the Fund and the analyses of the related data provided by Broadridge. 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’s performance was equal to the median of its Performance Group and outperformed the median of its Performance Universe and its Broadridge Index for the 1-year period.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the 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 the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee, including the portion attributable to administrative services provided by SSGA FM, and total expense ratio (both before and after giving effect to any expense caps), as compared to its “Expense Group” and “Expense Universe,” as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the 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:
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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.
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 the 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 the Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
The Board concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, 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 the 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 the Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with respect to the Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of the 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 the 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.
37
Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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
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 | SSIITEQTY500SAR IBG-20871 |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
Semi-Annual Report
30 June 2016
State Street Institutional Investment Trust
State Street Aggregate Bond Index Fund
State Street Global Equity ex-U.S. Index Fund
State Street Small/Mid Cap Equity Index Fund
State Street Aggregate Bond Index Portfolio
State Street Global Equity ex-U.S. Index Portfolio
State Street Small/Mid Cap Equity Index Portfolio
The information contained in this report with respect to the Fund is intended for the general information of shareholders of the Fund and the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
The information contained in this report with respect to the Portfolio is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Institutional Investment Trust
Semi-Annual Report
June 30, 2016 (Unaudited)
1 | ||||
2 | ||||
3 | ||||
7 | ||||
16 | ||||
17 | ||||
34 | ||||
35 | ||||
57 | ||||
58 | ||||
82 | ||||
83 | ||||
84 | ||||
86 | ||||
89 | ||||
100 | ||||
101 | ||||
101 |
The information contained in this report with respect to the Fund is intended for the general information of shareholders of the Fund and the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
The information contained in this report with respect to the Portfolio is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
June 30, 2016 (Unaudited)
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | ||||||||||
Assets | ||||||||||||
Investments in corresponding Portfolio, at value (Note 1) | $ | 59,167,175 | $ | 148,944,144 | $ | 4,237,930 | ||||||
Receivable for investments sold | 3,750 | 3,750 | 3,750 | |||||||||
Dividends receivable (Note 2) | 114,672 | — | — | |||||||||
Receivable from Adviser (Note 5) | 18,317 | 22,909 | 15,052 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 59,303,914 | 148,970,803 | 4,256,732 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payable for investments purchased | 114,672 | – | – | |||||||||
Advisory fee payable (Note 5) | 1,440 | 7,197 | 104 | |||||||||
Custodian fees payable (Note 5) | 2,340 | 2,317 | 2,315 | |||||||||
Administration fees payable (Note 5) | 5,849 | 12,775 | 751 | |||||||||
Distribution fees payable (Note 5) | 39 | 9 | 20 | |||||||||
Transfer agent fees payable | 11,933 | 11,843 | 2,759 | |||||||||
Sub-transfer agent fees payable (Note 5) | 947 | – | – | |||||||||
Registration and filing fees payable | 5,435 | 5,498 | 4,746 | |||||||||
Professional fees payable | 12,416 | 12,414 | 6,471 | |||||||||
Printing and postage fees payable | 2,661 | 1,867 | 6,138 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 157,732 | 53,920 | 23,304 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 59,146,182 | $ | 148,916,883 | $ | 4,233,428 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Paid-in Capital | $ | 57,683,669 | $ | 158,075,583 | $ | 4,425,061 | ||||||
Undistributed (distribution in excess of) net investment income (loss) | 111,648 | (32,307 | ) | (1,104 | ) | |||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 109,110 | (281,317 | ) | (12,745 | ) | |||||||
Net unrealized appreciation (depreciation) on: | 1,241,755 | (8,845,076 | ) | (177,784 | ) | |||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 59,146,182 | $ | 148,916,883 | $ | 4,233,428 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net assets | $ | 192,937 | $ | 42,351 | $ | 99,799 | ||||||
Shares outstanding | 18,978 | 5,000 | 10,471 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 10.17 | $ | 8.47 | $ | 9.53 | ||||||
|
|
|
|
|
| |||||||
Maximum sales charge | 3.75 | % | 4.50 | % | 4.50 | % | ||||||
Maximum offering price per share | $ | 10.57 | $ | 8.87 | $ | 9.98 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net assets | $ | 3,771,866 | $ | 312,384 | $ | 99,925 | ||||||
Shares outstanding | 370,981 | 36,843 | 10,471 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 10.17 | $ | 8.48 | $ | 9.54 | ||||||
|
|
|
|
|
| |||||||
Class K | ||||||||||||
Net assets | $ | 55,181,379 | $ | 148,562,148 | $ | 4,033,704 | ||||||
Shares outstanding | 5,429,171 | 17,520,714 | 422,677 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 10.16 | $ | 8.48 | $ | 9.54 | ||||||
|
|
|
|
|
| |||||||
Cost of Investments: | ||||||||||||
Investment in corresponding Portfolio | $ | 57,925,420 | $ | 157,789,220 | $ | 4,415,714 | ||||||
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
1
Table of Contents
State Street Institutional Investment Trust
For the Six Months Ended June 30, 2016 (Unaudited)
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | ||||||||||
Investment Income | ||||||||||||
Dividend income from corresponding Portfolio (Note 2) | $ | 646,621 | $ | – | $ | – | ||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Advisory fee (Note 5) | 8,637 | 25,628 | 594 | |||||||||
Administration fees (Note 5) | 17,019 | 23,978 | 1,821 | |||||||||
Distribution fees (Note 5) Class A | 234 | 51 | 117 | |||||||||
Custodian fees (Note 5) | 6,655 | 6,741 | 5,258 | |||||||||
Trustees’ fees and expenses (Note 6) | 7,659 | 7,659 | 7,652 | |||||||||
Transfer agent fees (Note 5) | 24,587 | 24,589 | 14,472 | |||||||||
Sub-transfer agent fee (Note 5) | 43 | 3 | – | |||||||||
Registration and filing fees | 26,207 | 23,689 | 17,164 | |||||||||
Professional fees | 18,794 | 18,793 | 9,945 | |||||||||
Printing and postage fees | 5,531 | 4,359 | 2,818 | |||||||||
Insurance expense | 3,130 | 3,122 | – | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 118,496 | 138,612 | 59,841 | |||||||||
|
|
|
|
|
| |||||||
Expenses waived/reimbursed by the Adviser (Note 5) | (100,947 | ) | (106,025 | ) | (58,737 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 17,549 | 32,587 | 1,104 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income (loss) | 629,072 | (32,587 | ) | (1,104 | ) | |||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (loss) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment in corresponding Portfolio | 15,189 | (250,342 | ) | (13,963 | ) | |||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 15,189 | (250,342 | ) | (13,963 | ) | |||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investment in corresponding Portfolio | 2,314,420 | (1,005,516 | ) | 123,549 | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation | 2,314,420 | (1,005,516 | ) | 123,549 | ||||||||
|
|
|
|
|
| |||||||
Net Realized And Unrealized Gain (loss) | 2,329,609 | (1,255,858 | ) | 109,586 | ||||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 2,958,681 | $ | (1,288,445 | ) | $ | 108,482 | |||||
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
2
Table of Contents
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 6/30/16 (Unaudited) | Year Ended 12/31/15 | Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||||||||
Increase (decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 629,072 | $ | 959,410 | $ | (32,587 | ) | $ | 1,177,991 | |||||||
Net realized gain (loss) | 15,189 | 1,389,887 | (250,342 | ) | (31,679 | ) | ||||||||||
Net change in unrealized appreciation/depreciation | 2,314,420 | (1,696,466 | ) | (1,005,516 | ) | (4,138,701 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 2,958,681 | 652,831 | (1,288,445 | ) | (2,992,389 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | (1,473 | ) | (3,397 | ) | – | (778 | ) | |||||||||
Class I | (39,047 | ) | (129,825 | ) | – | (885 | ) | |||||||||
Class K | (476,904 | ) | (1,347,561 | ) | – | (1,173,348 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (517,424 | ) | (1,480,783 | ) | – | (1,175,011 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | – | (2,642 | ) | – | – | |||||||||||
Class I | – | (64,302 | ) | – | – | |||||||||||
Class K | – | (708,038 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | – | (774,982 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Return of capital | ||||||||||||||||
Class A | – | (217 | ) | – | – | |||||||||||
Class I | – | (8,278 | ) | – | – | |||||||||||
Class K | – | (85,925 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total return of capital | – | (94,420 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (517,424 | ) | (2,350,185 | ) | – | (1,175,011 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
From Capital Share Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | 136,350 | – | – | ||||||||||||
Reinvestment of distributions | 1,084 | 4,126 | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share Transactions | 1,084 | 140,476 | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 45,000 | – | 244,000 | – | ||||||||||||
Reinvestment of distributions | 38,605 | 200,148 | – | – | ||||||||||||
Shares redeemed | (1,000,000 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | (916,395 | ) | 200,148 | 244,000 | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 2,923,784 | 10,758,828 | 93,896,020 | 19,529,351 | ||||||||||||
Reinvestment of distributions | 476,764 | 2,141,524 | – | 1,173,348 | ||||||||||||
Shares redeemed | (113,869 | ) | (32,694,391 | ) | (1,237,966 | ) | (124,042 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 3,286,679 | (19,794,039 | ) | 92,658,054 | 20,578,657 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets from capital share transactions | 2,371,368 | (19,453,415 | ) | 92,902,054 | 20,578,657 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 4,812,625 | (21,150,769 | ) | 91,613,609 | 16,411,257 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net assets at beginning of period | 54,333,557 | 75,484,326 | 57,303,274 | 40,892,017 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at end of Period | $ | 59,146,182 | $ | 54,333,557 | $ | 148,916,883 | $ | 57,303,274 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 111,648 | $ | – | $ | (32,307 | ) | $ | 280 | |||||||
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
3
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | |||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | $ | – | $ | 13,447 | $ | – | $ | – | ||||||||
Reinvestment of distributions | 109 | 422 | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 109 | 13,869 | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 4,497 | – | 31,843 | – | ||||||||||||
Reinvestment of distributions | 3,874 | 20,257 | – | – | ||||||||||||
Shares redeemed | (100,099 | ) | – | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | (91,728 | ) | 20,257 | 31,843 | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 296,215 | 1,072,582 | 10,901,317 | 2,194,817 | ||||||||||||
Reinvestment of distributions | 47,834 | 216,970 | – | 137,394 | ||||||||||||
Shares redeemed | (11,525 | ) | (3,192,297 | ) | (150,000 | ) | (14,296 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 332,524 | (1,902,745 | ) | 10,751,317 | 2,317,915 | |||||||||||
|
|
|
|
|
|
|
|
* | Inception date. |
See Accompanying Notes to Financial Statements.
4
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Small/Mid Cap Equity Index Fund | ||||||||
Six Months Ended 6/30/16 (Unaudited) | For the Period 8/11/15* – 12/31/15 | |||||||
Increase (decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (1,104 | ) | $ | 24,325 | |||
Net realized gain (loss) | (13,963 | ) | 4,525 | |||||
Net change in unrealized appreciation/depreciation | 123,549 | (301,333 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 108,482 | (272,483 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Class A | – | (606 | ) | |||||
Class I | – | (658 | ) | |||||
Class K | – | (26,368 | ) | |||||
|
|
|
| |||||
Total distributions from net investment income | – | (27,632 | ) | |||||
|
|
|
| |||||
Net realized gain on investments | ||||||||
Class A | – | – | ||||||
Class I | – | – | ||||||
Class K | – | – | ||||||
|
|
|
| �� | ||||
Total distributions from net realized gain on investments | – | – | ||||||
|
|
|
| |||||
Return of capital | ||||||||
Class A | – | – | ||||||
Class I | – | – | ||||||
Class K | – | – | ||||||
|
|
|
| |||||
Total return of capital | – | – | ||||||
|
|
|
| |||||
Total distributions to shareholders | – | – | ||||||
|
|
|
| |||||
From Capital Share Transactions: | ||||||||
Class A | ||||||||
Shares sold | – | 100,000 | ||||||
Reinvestment of distributions | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from capital share Transactions | – | 100,000 | ||||||
|
|
|
| |||||
Class I | ||||||||
Shares sold | – | 100,000 | ||||||
Reinvestment of distributions | – | – | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | – | 100,000 | ||||||
|
|
|
| |||||
Class K | ||||||||
Shares sold | – | 4,198,693 | ||||||
Reinvestment of distributions | – | 26,368 | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | – | 4,225,061 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital share transactions | – | 4,425,061 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 108,482 | 4,124,946 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 4,124,946 | – | ||||||
|
|
|
| |||||
Net Assets at end of Period | $ | 4,233,428 | $ | 4,124,946 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | (1,104 | ) | $ | – | |||
|
|
|
|
See Accompanying Notes to Financial Statements.
5
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Small/Mid Cap Equity Index Fund | ||||||||
Six Months Ended 6/30/16 (Unaudited) | For the Period 8/11/15* – 12/31/15 | |||||||
Shares of Beneficial Interest: | ||||||||
Class A | ||||||||
Shares sold | $ | – | $ | 10,471 | ||||
Reinvestment of distributions | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from share transactions | – | 10,471 | ||||||
|
|
|
| |||||
Class I | ||||||||
Shares sold | – | 10,471 | ||||||
Reinvestment of distributions | – | – | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from share transactions | – | 10,471 | ||||||
|
|
|
| |||||
Class K | ||||||||
Shares sold | – | 419,869 | ||||||
Reinvestment of distributions | – | 2,808 | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from share transactions | – | 422,677 | ||||||
|
|
|
|
* | Inception date. |
See Accompanying Notes to Financial Statements.
6
Table of Contents
State Street Institutional Investment Trust
Selected data for a share outstanding throughout each period
State Street Aggregate Bond Index Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/19/14 * – 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.75 | $ | 10.14 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.09 | 0.21 | 0.02 | |||||||||
Net realized and unrealized gain (loss) | 0.41 | (0.18 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.50 | 0.03 | 0.18 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.08 | ) | (0.26 | ) | (0.04 | ) | ||||||
Net realized gains | – | (0.14 | ) | – | ||||||||
Return of capital | – | (0.02 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | (0.08 | ) | (0.42 | ) | (0.04 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.17 | $ | 9.75 | $ | 10.14 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 5.13 | %(c) | 0.35 | % | 1.85 | %(c) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 193 | $ | 184 | $ | 51 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(d) | 0.71 | %(e) | 0.66 | % | 0.91 | %(e) | ||||||
Net expenses(d) | 0.36 | %(e) | 0.31 | % | 0.52 | %(e) | ||||||
Net investment income (loss) | 1.89 | %(e) | 2.11 | % | 0.58 | %(e) | ||||||
Portfolio turnover rate(f) | 111 | %(c) | 62 | % | 16 | %(c) |
* | 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) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
See Accompanying Notes to Financial Statements.
7
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Aggregate Bond Index Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/19/14 * – 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.74 | $ | 10.13 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.10 | 0.20 | 0.08 | |||||||||
Net realized and unrealized gain (loss) | 0.42 | (0.14 | ) | 0.09 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.52 | 0.06 | 0.17 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.09 | ) | (0.29 | ) | (0.04 | ) | ||||||
Net realized gains | – | (0.14 | ) | – | ||||||||
Return of capital | – | (0.02 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | (0.09 | ) | (0.45 | ) | (0.04 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.17 | $ | 9.74 | $ | 10.13 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 5.34 | %(c) | 0.60 | % | 1.82 | %(c) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 3,772 | $ | 4,508 | $ | 4,484 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(d) | 0.41 | %(e) | 0.41 | % | 0.88 | %(e) | ||||||
Net expenses(d) | 0.06 | %(e) | 0.06 | % | 0.28 | %(e) | ||||||
Net investment income (loss) | 2.11 | %(e) | 1.95 | % | 2.91 | %(e) | ||||||
Portfolio turnover rate(f) | 111 | %(c) | 62 | % | 16 | %(c) |
* | 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) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
See Accompanying Notes to Financial Statements.
8
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Aggregate Bond Index Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/19/14 * – 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.74 | $ | 10.14 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.11 | 0.20 | 0.04 | |||||||||
Net realized and unrealized gain (loss) | 0.40 | (0.15 | ) | 0.15 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.51 | (0.05 | ) | 0.19 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.09 | ) | (0.29 | ) | (0.05 | ) | ||||||
Net realized gains | – | (0.14 | ) | – | ||||||||
Return of capital | – | (0.02 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | (0.09 | ) | (0.45 | ) | (0.05 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.16 | $ | 9.74 | $ | 10.14 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 5.24 | %(c) | 0.54 | % | 1.97 | %(c) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 55,181 | $ | 49,641 | $ | 70,950 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(d) | 0.41 | %(e) | 0.41 | % | 0.50 | %(e) | ||||||
Net expenses(d) | 0.06 | %(e) | 0.06 | % | 0.09 | %(e) | ||||||
Net investment income (loss) | 2.19 | %(e) | 1.88 | % | 1.33 | %(e) | ||||||
Portfolio turnover rate(f) | 111 | %(c) | 62 | % | 16 | %(c) |
* | 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) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
See Accompanying Notes to Financial Statements.
9
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Global Equity ex-U.S. Index Fund | ||||||||||||
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/17/14 * – 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 8.45 | $ | 9.17 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.15 | 0.04 | ||||||||
Net realized and unrealized gain (loss) | 0.03 | (0.71 | ) | (0.83 | ) | |||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.02 | (0.56 | ) | (0.79 | ) | |||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | — | (0.16 | ) | (0.04 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 8.47 | $ | 8.45 | $ | 9.17 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 0.24 | %(c) | (6.17 | )% | (7.88 | )%(c) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 42 | $ | 42 | $ | 46 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(d) | 0.58 | %(e) | 0.70 | % | 1.17 | %(e) | ||||||
Net expenses(d) | 0.33 | %(e) | 0.32 | % | 0.60 | %(e) | ||||||
Net investment income (loss) | (0.33 | )%(e) | 1.64 | % | 1.55 | %(e) | ||||||
Portfolio turnover rate(f) | 1 | %(c) | 3 | % | 0 | %(c) |
* | 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) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
See Accompanying Notes to Financial Statements.
10
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Global Equity ex-U.S. Index Fund | ||||||||||||
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/17/14 * – 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 8.45 | $ | 9.17 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | (0.00 | )(b) | 0.18 | 0.05 | ||||||||
Net realized and unrealized gain (loss) | 0.03 | (0.72 | ) | (0.83 | ) | |||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.03 | (0.54 | ) | (0.78 | ) | |||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.18 | ) | (0.05 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 8.48 | $ | 8.45 | $ | 9.17 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 0.36 | %(d) | (5.94 | )% | (7.81 | )%(d) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 312 | $ | 42 | $ | 46 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(e) | 0.32 | %(f) | 0.45 | % | 0.92 | %(f) | ||||||
Net expenses(e) | 0.07 | %(f) | 0.06 | % | 0.35 | %(f) | ||||||
Net investment income (loss) | (0.07 | )%(f) | 1.89 | % | 1.81 | %(f) | ||||||
Portfolio turnover rate(g) | 1 | %(d) | 3 | % | 0 | %(d) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Not annualized. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
See Accompanying Notes to Financial Statements.
11
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Global Equity ex-U.S. Index Fund | ||||||||||||
Class K | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/17/14 * – 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 8.45 | $ | 9.17 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | (0.00 | )(b) | 0.24 | 0.05 | ||||||||
Net realized and unrealized gain (loss) | 0.03 | (0.78 | ) | (0.83 | ) | |||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.03 | (0.54 | ) | (0.78 | ) | |||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.18 | ) | (0.05 | ) | |||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 8.48 | $ | 8.45 | $ | 9.17 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 0.36 | %(d) | (5.94 | )% | (7.76 | )%(d) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 148,562 | $ | 57,219 | $ | 40,800 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(e) | 0.32 | %(f) | 0.45 | % | 0.73 | %(f) | ||||||
Net expenses(e) | 0.08 | %(f) | 0.06 | % | 0.15 | %(f) | ||||||
Net investment income (loss) | (0.08 | )%(f) | 2.59 | % | 2.00 | %(f) | ||||||
Portfolio turnover rate(g) | 1 | %(d) | 3 | % | 0 | %(d) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Not annualized. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
See Accompanying Notes to Financial Statements.
12
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Small/Mid Cap Equity Index Fund | ||||||||
Class A | ||||||||
Six Months Ended 6/30/16 (Unaudited) | For thePeriod 10/16/15 * – 12/31/15 | |||||||
Net asset value, beginning of period | $ | 9.30 | $ | 10.00 | ||||
|
|
|
| |||||
Income (loss) from investment operations: | ||||||||
Net investment income (loss)(a) | (0.01 | ) | 0.05 | |||||
Net realized and unrealized gain (loss) | 0.24 | (0.69 | ) | |||||
|
|
|
| |||||
Total from investment operations | 0.23 | (0.64 | ) | |||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | – | (0.06 | ) | |||||
|
|
|
| |||||
Net asset value, end of period | $ | 9.53 | $ | 9.30 | ||||
|
|
|
| |||||
Total return(b) | 2.25 | %(c) | (6.27 | )%(c) | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 100 | $ | 97 | ||||
Ratios to average net assets: | ||||||||
Total expenses(d) | 3.27 | %(e) | 5.08 | %(e) | ||||
Net expenses(d) | 0.30 | %(e) | 0.30 | %(e) | ||||
Net investment income (loss) | (0.30 | )%(e) | 2.55 | %(e) | ||||
Portfolio turnover rate(f) | 10 | %(c) | 8 | %(c) |
* | 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) | Ratio does not include the expenses of the corresponding Portfolio. |
(e) | Annualized. |
(f) | Portfolio turnover rate is from the corresponding Portfolio. |
See Accompanying Notes to Financial Statements.
13
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Small/Mid Cap Equity Index Fund | ||||||||
Class I | ||||||||
Six Months Ended 6/30/16 (Unaudited) | For the Period 10/16/15 * – 12/31/15 | |||||||
Net asset value, beginning of period | $ | 9.30 | $ | 10.00 | ||||
|
|
|
| |||||
Income (loss) from investment operations | ||||||||
Net investment income (loss)(a) | (0.00 | )(b) | 0.06 | |||||
Net realized and unrealized gain (loss) | 0.24 | (0.70 | ) | |||||
|
|
|
| |||||
Total from investment operations | 0.24 | (0.64 | ) | |||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | – | (0.06 | ) | |||||
|
|
|
| |||||
Net asset value, end of period | $ | 9.54 | $ | 9.30 | ||||
|
|
|
| |||||
Total return(c) | 2.36 | %(d) | (6.18 | )%(d) | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 100 | $ | 97 | ||||
Ratios to average net assets: | ||||||||
Total expenses(e) | 3.02 | %(f) | 4.83 | %(f) | ||||
Net expenses(e) | 0.05 | %(f) | 0.05 | %(f) | ||||
Net investment income (loss) | (0.05 | )%(f) | 2.80 | %(f) | ||||
Portfolio turnover rate(g) | 10 | %(d) | 8 | %(d) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Not annualized. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
See Accompanying Notes to Financial Statements.
14
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Small/Mid Cap Equity Index Fund | ||||||||
Class K | ||||||||
Six Months Ended 6/30/16 (Unaudited) | For the Period 8/12/15 * – 12/31/15 | |||||||
Net asset value, beginning of period | $ | 9.30 | $ | 10.00 | ||||
|
|
|
| |||||
Income (loss) from investment operations | ||||||||
Net investment income (loss)(a) | (0.00 | )(b) | 0.06 | |||||
Net realized and unrealized gain (loss) | 0.24 | (0.70 | ) | |||||
|
|
|
| |||||
Total from investment operations | 0.24 | (0.64 | ) | |||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | – | (0.06 | ) | |||||
|
|
|
| |||||
Net asset value, end of period | $ | 9.54 | $ | 9.30 | ||||
|
|
|
| |||||
Total return(c) | 2.58 | %(d) | (6.38 | )%(d) | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 4,034 | $ | 3,930 | ||||
Ratios to average net assets: | ||||||||
Total expenses(e) | 3.02 | %(f) | 4.71 | %(f) | ||||
Net expenses(e) | 0.05 | %(f) | 0.05 | %(f) | ||||
Net investment income (loss) | (0.05 | )%(f) | 1.49 | %(f) | ||||
Portfolio turnover rate(g) | 10 | %(d) | 8 | %(d) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Not annualized. |
(e) | Ratio does not include the expenses of the corresponding Portfolio. |
(f) | Annualized. |
(g) | Portfolio turnover rate is from the corresponding Portfolio. |
See Accompanying Notes to Financial Statements.
15
Table of Contents
State Street Aggregate Bond Index Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2016 | |||
U.S. Treasury Obligations | 36.6 | % | ||
U.S. Government Agency Obligations | 30.7 | |||
Corporate Bonds & Notes | 27.7 | |||
Short-Term Investment | 6.2 | |||
Foreign Government Obligations | 2.0 | |||
Mortgage-Backed Securities | 1.0 | |||
Municipal Bonds & Notes | 0.8 | |||
Asset-Backed Securities | 0.5 | |||
Liabilities in Excess of Other Assets | (5.5 | ) | ||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investment)* | June 30, 2016 | |||
Banks | 5.8 | % | ||
Oil & Gas | 1.9 | |||
Electric | 1.7 | |||
Telecommunications | 1.4 | |||
Multi-National | 1.3 | |||
Total | 12.1 | % |
* | 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.
16
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – 27.7% |
| |||||||
Advertising – 0.1% | ||||||||
Interpublic Group of Cos., Inc. | $ | 25,000 | $ | 26,721 | ||||
WPP Finance 2010 | 25,000 | 26,359 | ||||||
|
| |||||||
53,080 | ||||||||
|
| |||||||
Aerospace & Defense – 0.3% | ||||||||
Boeing Co.: | ||||||||
0.95%, 5/15/2018 | 25,000 | 25,004 | ||||||
2.60%, 10/30/2025 | 35,000 | 36,427 | ||||||
L-3 Communications Corp. | 25,000 | 27,235 | ||||||
Lockheed Martin Corp.: | ||||||||
3.60%, 3/1/2035 | 50,000 | 50,768 | ||||||
4.70%, 5/15/2046 | 35,000 | 40,853 | ||||||
Northrop Grumman Corp. | 25,000 | 29,426 | ||||||
Raytheon Co. | 25,000 | 26,740 | ||||||
United Technologies Corp.: | ||||||||
1.80%, 6/1/2017 | – | – | ||||||
6.13%, 2/1/2019 | 25,000 | 28,071 | ||||||
6.13%, 7/15/2038 | 50,000 | 67,656 | ||||||
|
| |||||||
332,180 | ||||||||
|
| |||||||
Agriculture – 0.3% | ||||||||
Altria Group, Inc.: | ||||||||
2.63%, 1/14/2020 | 50,000 | 51,775 | ||||||
4.00%, 1/31/2024 | 25,000 | 27,914 | ||||||
4.50%, 5/2/2043 | 25,000 | 28,222 | ||||||
Philip Morris International, Inc.: | ||||||||
1.88%, 1/15/2019 | 50,000 | 50,898 | ||||||
2.75%, 2/25/2026 | 25,000 | 25,702 | ||||||
4.13%, 3/4/2043 | 25,000 | 26,593 | ||||||
4.50%, 3/26/2020 | 25,000 | 27,797 | ||||||
Reynolds American, Inc.: | ||||||||
2.30%, 6/12/2018 | 25,000 | 25,396 | ||||||
5.70%, 8/15/2035 | 25,000 | 30,412 | ||||||
|
| |||||||
294,709 | ||||||||
|
| |||||||
Airlines – 0.1% | ||||||||
American Airlines 2014-1 Pass Through Trust, Class A | 22,835 | 23,697 | ||||||
Southwest Airlines Co. | 25,000 | 25,802 | ||||||
|
| |||||||
49,499 | ||||||||
|
| |||||||
Auto Manufacturers – 0.5% | ||||||||
American Honda Finance Corp.: | 25,000 | 25,923 | ||||||
Series MTN, 2.25%, 8/15/2019 | 25,000 | 25,759 | ||||||
Ford Motor Co. | 50,000 | 52,442 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.02%, 5/3/2019 | 50,000 | 50,366 | ||||||
6.63%, 8/15/2017 | 100,000 | 105,747 | ||||||
General Motors Co.: | ||||||||
3.50%, 10/2/2018 | 25,000 | 25,715 | ||||||
6.75%, 4/1/2046 | 25,000 | 29,453 | ||||||
General Motors Financial Co., Inc.: | ||||||||
3.15%, 1/15/2020 | 35,000 | 35,402 | ||||||
3.20%, 7/13/2020 | 25,000 | 25,264 | ||||||
4.00%, 1/15/2025 | 35,000 | 35,261 | ||||||
Toyota Motor Credit Corp.: | ||||||||
Series GMTN, 2.80%, 7/13/2022 | 25,000 | 26,299 | ||||||
Series MTN, 1.70%, 2/19/2019 | 25,000 | 25,287 | ||||||
Series MTN, 2.10%, 1/17/2019 | 50,000 | 51,092 | ||||||
|
| |||||||
514,010 | ||||||||
|
| |||||||
Auto Parts & Equipment – 0.1% | ||||||||
Delphi Automotive PLC | 25,000 | 27,317 | ||||||
Johnson Controls, Inc.: | ||||||||
1.40%, 11/2/2017 | 25,000 | 25,003 | ||||||
3.63%, 7/2/2024 | 25,000 | 26,350 | ||||||
|
| |||||||
78,670 | ||||||||
|
| |||||||
Banks – 5.8% | ||||||||
Bank of America Corp.: | ||||||||
5.70%, 1/24/2022 | 50,000 | 57,798 | ||||||
Series L, 2.60%, 1/15/2019 | 50,000 | 51,094 | ||||||
Series L, 2.65%, 4/1/2019 | 50,000 | 51,236 | ||||||
Series L, 3.95%, 4/21/2025 | 50,000 | 50,576 | ||||||
Series MTN, 4.00%, 4/1/2024 | 50,000 | 53,453 | ||||||
Series MTN, 4.13%, 1/22/2024 | 25,000 | 26,987 | ||||||
Series MTN, 4.20%, 8/26/2024 | 50,000 | 51,943 | ||||||
Series MTN, 4.88%, 4/1/2044 | 50,000 | 56,249 | ||||||
Series MTN, 5.00%, 5/13/2021 | 50,000 | 55,754 | ||||||
Series MTN, 5.63%, 7/1/2020 | 50,000 | 56,288 | ||||||
Bank of Montreal: | ||||||||
1.40%, 4/10/2018 | 25,000 | 25,082 | ||||||
Series MTN, 1.45%, 4/9/2018 | 25,000 | 25,108 | ||||||
Bank of New York Mellon Corp.: | ||||||||
Series G, 3.00%, 2/24/2025 | 100,000 | 104,664 | ||||||
Series MTN, 2.20%, 3/4/2019 | 25,000 | 25,548 | ||||||
Bank of Nova Scotia: | ||||||||
1.30%, 7/21/2017 | 50,000 | 50,135 | ||||||
2.35%, 10/21/2020 | 100,000 | 102,205 | ||||||
Barclays Bank PLC | 100,000 | 105,796 | ||||||
BB&T Corp.: | ||||||||
2.25%, 2/1/2019 | 25,000 | 25,530 | ||||||
Series MTN, 2.63%, 6/29/2020 | 50,000 | 51,753 | ||||||
BNP Paribas SA: | ||||||||
5.00%, 1/15/2021 | 25,000 | 28,014 | ||||||
Series MTN, 2.70%, 8/20/2018 | 50,000 | 51,244 | ||||||
Capital One Financial Corp.: | ||||||||
2.45%, 4/24/2019 | 50,000 | 50,721 | ||||||
6.75%, 9/15/2017 | 25,000 | 26,502 | ||||||
Citigroup, Inc.: | ||||||||
1.55%, 8/14/2017 | 50,000 | 50,087 | ||||||
2.50%, 9/26/2018 | 50,000 | 50,905 | ||||||
2.55%, 4/8/2019 | 50,000 | 51,069 | ||||||
3.75%, 6/16/2024 | 25,000 | 26,420 | ||||||
4.30%, 11/20/2026 | 50,000 | 51,718 | ||||||
4.45%, 9/29/2027 | 50,000 | 51,587 | ||||||
5.30%, 5/6/2044 | 50,000 | 54,098 | ||||||
Commonwealth Bank of Australia | 50,000 | 50,237 |
See Accompanying Notes to Financial Statements.
17
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Banks – (continued) | ||||||||
Cooperative Rabobank UA: | ||||||||
3.88%, 2/8/2022 | $ | 50,000 | $ | 54,158 | ||||
4.50%, 1/11/2021 | 50,000 | 55,214 | ||||||
Credit Suisse AG: | ||||||||
5.30%, 8/13/2019 | 100,000 | 110,543 | ||||||
6.00%, 2/15/2018 | 25,000 | 26,426 | ||||||
Deutsche Bank AG: | ||||||||
2.50%, 2/13/2019 | 25,000 | 24,996 | ||||||
2.95%, 8/20/2020 | 50,000 | 49,681 | ||||||
Fifth Third Bancorp | 50,000 | 50,773 | ||||||
Goldman Sachs Group, Inc.: | ||||||||
2.00%, 4/25/2019 | 50,000 | 50,245 | ||||||
2.55%, 10/23/2019 | 25,000 | 25,474 | ||||||
2.63%, 1/31/2019 | 50,000 | 51,054 | ||||||
2.88%, 2/25/2021 | 25,000 | 25,636 | ||||||
2.90%, 7/19/2018 | 50,000 | 51,232 | ||||||
3.50%, 1/23/2025 | 50,000 | 51,477 | ||||||
3.63%, 1/22/2023 | 25,000 | 26,206 | ||||||
4.00%, 3/3/2024 | 50,000 | 53,706 | ||||||
5.95%, 1/15/2027 | 50,000 | 57,415 | ||||||
Series MTN, 4.80%, 7/8/2044 | 50,000 | 54,737 | ||||||
HSBC Holdings PLC: | ||||||||
5.10%, 4/5/2021 | 50,000 | 55,056 | ||||||
6.50%, 9/15/2037 | 200,000 | 235,578 | ||||||
HSBC USA, Inc. | 100,000 | 99,747 | ||||||
Huntington Bancshares, Inc. | 50,000 | 50,910 | ||||||
International Finance Corp. | 25,000 | 25,626 | ||||||
JPMorgan Chase & Co.: | ||||||||
1.63%, 5/15/2018 | 50,000 | 50,141 | ||||||
2.35%, 1/28/2019 | 50,000 | 50,923 | ||||||
3.38%, 5/1/2023 | 75,000 | 76,518 | ||||||
3.88%, 2/1/2024 | 50,000 | 53,846 | ||||||
4.13%, 12/15/2026 | 50,000 | 52,206 | ||||||
4.85%, 2/1/2044 | 50,000 | 59,740 | ||||||
4.95%, 6/1/2045 | 50,000 | 54,343 | ||||||
5.40%, 1/6/2042 | 50,000 | 61,913 | ||||||
KeyCorp.: | ||||||||
Series MTN, 2.30%, 12/13/2018 | 25,000 | 25,351 | ||||||
Series MTN, 2.90%, 9/15/2020 | 50,000 | 51,612 | ||||||
KFW: | ||||||||
0.88%, 12/15/2017 | 75,000 | 75,137 | ||||||
1.00%, 6/11/2018 | 25,000 | 25,092 | ||||||
1.88%, 4/1/2019 | 25,000 | 25,662 | ||||||
2.00%, 5/2/2025 | 100,000 | 102,578 | ||||||
2.13%, 1/17/2023 | 100,000 | 104,086 | ||||||
2.50%, 11/20/2024 | 50,000 | 53,365 | ||||||
2.63%, 1/25/2022 | 50,000 | 53,358 | ||||||
4.50%, 7/16/2018 | 75,000 | 80,543 | ||||||
Landwirtschaftliche Rentenbank: | ||||||||
1.00%, 4/4/2018 | 50,000 | 50,214 | ||||||
2.25%, 10/1/2021 | 50,000 | 52,306 | ||||||
Lloyds Banking Group PLC | 50,000 | 50,291 | ||||||
Morgan Stanley: | ||||||||
2.13%, 4/25/2018 | 25,000 | 25,274 | ||||||
2.80%, 6/16/2020 | 50,000 | 51,179 | ||||||
3.75%, 2/25/2023 | 50,000 | 52,880 | ||||||
3.95%, 4/23/2027 | 25,000 | 25,143 | ||||||
Series GMTN, 2.38%, 7/23/2019 | 50,000 | 50,770 | ||||||
Series GMTN, 2.45%, 2/1/2019 | 50,000 | 50,937 | ||||||
Series GMTN, 3.88%, 1/27/2026 | 50,000 | 53,084 | ||||||
Series GMTN, 4.35%, 9/8/2026 | 50,000 | 52,112 | ||||||
Series MTN, 2.20%, 12/7/2018 | 50,000 | 50,663 | ||||||
Oesterreichische Kontrollbank AG: | ||||||||
1.13%, 5/29/2018 | 50,000 | 50,256 | ||||||
1.63%, 3/12/2019 | 25,000 | 25,431 | ||||||
PNC Financial Services Group, Inc. | 50,000 | 53,645 | ||||||
PNC Funding Corp. | 50,000 | 53,058 | ||||||
Regions Financial Corp. | 25,000 | 25,673 | ||||||
Royal Bank of Canada: | ||||||||
2.30%, 3/22/2021 | 25,000 | 25,705 | ||||||
2.50%, 1/19/2021 | 50,000 | 51,489 | ||||||
Series CB8, 1.20%, 9/19/2017 | 50,000 | 50,097 | ||||||
Series MTN, 1.50%, 1/16/2018 | 50,000 | 50,158 | ||||||
Santander Holdings USA, Inc. | 50,000 | 51,301 | ||||||
Santander UK Group Holdings PLC | 100,000 | 99,040 | ||||||
Santander UK PLC | 25,000 | 25,526 | ||||||
SunTrust Banks, Inc. | 25,000 | 25,390 | ||||||
Toronto-Dominion Bank: | ||||||||
Series GMTN, 2.50%, 12/14/2020 | 50,000 | 51,610 | ||||||
Series MTN, 1.95%, 1/22/2019 | 50,000 | 50,783 | ||||||
UBS AG | 50,000 | 49,782 | ||||||
US Bancorp: | ||||||||
Series MTN, 2.20%, 4/25/2019 | 25,000 | 25,619 | ||||||
Series MTN, 3.60%, 9/11/2024 | 25,000 | 26,828 | ||||||
Wells Fargo & Co.: | ||||||||
2.15%, 1/15/2019 | 25,000 | 25,482 | ||||||
2.50%, 3/4/2021 | 50,000 | 51,211 | ||||||
4.13%, 8/15/2023 | 25,000 | 26,800 | ||||||
4.48%, 1/16/2024 | 25,000 | 27,314 | ||||||
5.61%, 1/15/2044 | 50,000 | 59,435 | ||||||
Series GMTN, 4.30%, 7/22/2027 | 50,000 | 53,763 | ||||||
Series MTN, 3.00%, 1/22/2021 | 50,000 | 52,312 | ||||||
Series MTN, 3.55%, 9/29/2025 | 50,000 | 53,142 | ||||||
Wells Fargo Capital | 25,000 | 26,577 |
See Accompanying Notes to Financial Statements.
18
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Banks – (continued) | ||||||||
Westpac Banking Corp.: | ||||||||
1.55%, 5/25/2018 | $ | 100,000 | $ | 100,445 | ||||
2.25%, 1/17/2019 | 25,000 | 25,463 | ||||||
|
| |||||||
5,770,293 | ||||||||
|
| |||||||
Beverages – 0.7% | ||||||||
Anheuser-Busch InBev Finance, Inc.: | ||||||||
2.15%, 2/1/2019 | 25,000 | 25,407 | ||||||
2.65%, 2/1/2021 | 30,000 | 31,091 | ||||||
3.30%, 2/1/2023 | 50,000 | 52,579 | ||||||
3.65%, 2/1/2026 | 50,000 | 53,579 | ||||||
4.70%, 2/1/2036 | 75,000 | 84,373 | ||||||
4.90%, 2/1/2046 | 50,000 | 58,505 | ||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||
2.50%, 7/15/2022 | 50,000 | 50,378 | ||||||
3.75%, 7/15/2042 | 50,000 | 49,711 | ||||||
Coca-Cola Co.: | ||||||||
1.15%, 4/1/2018 | 25,000 | 25,142 | ||||||
1.65%, 11/1/2018 | 25,000 | 25,507 | ||||||
3.20%, 11/1/2023 | 25,000 | 26,958 | ||||||
Diageo Capital PLC | 25,000 | 25,889 | ||||||
Dr Pepper Snapple Group, Inc. | 25,000 | 25,115 | ||||||
PepsiCo, Inc.: | ||||||||
1.50%, 2/22/2019 | 35,000 | 35,359 | ||||||
1.85%, 4/30/2020 | 25,000 | 25,350 | ||||||
2.85%, 2/24/2026 | 35,000 | 36,365 | ||||||
3.60%, 3/1/2024 | 25,000 | 27,429 | ||||||
4.45%, 4/14/2046 | 25,000 | 28,652 | ||||||
4.60%, 7/17/2045 | 25,000 | 29,214 | ||||||
|
| |||||||
716,603 | ||||||||
|
| |||||||
Biotechnology – 0.3% | ||||||||
Amgen, Inc.: | ||||||||
2.20%, 5/22/2019 | 50,000 | 51,091 | ||||||
6.38%, 6/1/2037 | 50,000 | 64,094 | ||||||
Biogen, Inc. | 25,000 | 25,887 | ||||||
Celgene Corp.: | ||||||||
2.88%, 8/15/2020 | 25,000 | 25,776 | ||||||
3.63%, 5/15/2024 | 25,000 | 26,242 | ||||||
3.88%, 8/15/2025 | 25,000 | 26,664 | ||||||
Gilead Sciences, Inc.: | ||||||||
3.65%, 3/1/2026 | 35,000 | 38,008 | ||||||
4.40%, 12/1/2021 | 25,000 | 28,108 | ||||||
4.50%, 2/1/2045 | 25,000 | 27,119 | ||||||
4.75%, 3/1/2046 | 25,000 | 28,280 | ||||||
|
| |||||||
341,269 | ||||||||
|
| |||||||
Chemicals – 0.5% | ||||||||
Airgas, Inc. | 25,000 | 25,747 | ||||||
CF Industries, Inc. | 25,000 | 24,856 | ||||||
Dow Chemical Co.: | ||||||||
3.00%, 11/15/2022 | 25,000 | 25,727 | ||||||
4.25%, 11/15/2020 | 25,000 | 27,220 | ||||||
4.25%, 10/1/2034 | 50,000 | 50,842 | ||||||
Eastman Chemical Co. | 25,000 | 26,399 | ||||||
Ecolab, Inc. | 25,000 | 27,991 | ||||||
EI du Pont de Nemours & Co.: | ||||||||
3.63%, 1/15/2021 | 25,000 | 26,794 | ||||||
6.00%, 7/15/2018 | 25,000 | 27,318 | ||||||
Lubrizol Corp. | 25,000 | 29,707 | ||||||
LyondellBasell Industries NV | 25,000 | 24,000 | ||||||
Monsanto Co.: | ||||||||
3.60%, 7/15/2042 | 50,000 | 43,035 | ||||||
4.70%, 7/15/2064 | 25,000 | 22,739 | ||||||
PPG Industries, Inc. | 25,000 | 25,233 | ||||||
Praxair, Inc.: | ||||||||
3.20%, 1/30/2026 | 25,000 | 26,892 | ||||||
3.55%, 11/7/2042 | 25,000 | 24,935 | ||||||
|
| |||||||
459,435 | ||||||||
|
| |||||||
Commercial Services – 0.1% | ||||||||
Automatic Data Processing, Inc. | 20,000 | 20,764 | ||||||
Catholic Health Initiatives | 25,000 | 25,326 | ||||||
Massachusetts Institute of Technology | 50,000 | 57,306 | ||||||
Western Union Co. | 25,000 | 25,550 | ||||||
|
| |||||||
128,946 | ||||||||
|
| |||||||
Construction Materials – 0.0%(a) | ||||||||
Vulcan Materials Co. | 25,000 | 30,063 | ||||||
|
| |||||||
Diversified Financial Services – 1.2% |
| |||||||
Air Lease Corp. | 25,000 | 25,432 | ||||||
American Express Credit Corp.: | ||||||||
2.13%, 3/18/2019 | 50,000 | 50,821 | ||||||
Series GMTN, 2.25%, 8/15/2019 | 50,000 | 51,008 | ||||||
Ameriprise Financial, Inc. | 50,000 | 53,443 | ||||||
Bear Stearns Cos. LLC | 50,000 | 53,111 | ||||||
BlackRock, Inc. | 25,000 | 26,936 | ||||||
Credit Suisse USA, Inc. | 50,000 | 66,141 | ||||||
Discover Financial Services | 50,000 | 51,093 | ||||||
GE Capital International Funding Co. Unlimited Co. | 200,000 | 205,771 | ||||||
General Electric Co.: | ||||||||
3.45%, 5/15/2024 | 50,000 | 54,565 | ||||||
4.65%, 10/17/2021 | 50,000 | 57,124 | ||||||
5.30%, 2/11/2021 | 25,000 | 28,897 |
See Accompanying Notes to Financial Statements.
19
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Diversified Financial Services – (continued) |
| |||||||
Series GMTN, 2.30%, 1/14/2019 | $ | 25,000 | $ | 25,777 | ||||
Series GMTN, 5.63%, 9/15/2017 | 50,000 | 52,924 | ||||||
Series MTN, 5.88%, 1/14/2038 | 50,000 | 67,261 | ||||||
HSBC Finance Corp. | 25,000 | 27,955 | ||||||
Intercontinental Exchange, Inc. | 25,000 | 26,162 | ||||||
Invesco Finance PLC | 50,000 | 53,328 | ||||||
National Rural Utilities Cooperative Finance Corp. | 75,000 | 73,125 | ||||||
Synchrony Financial | 25,000 | 25,021 | ||||||
TD Ameritrade Holding Corp. | 25,000 | 27,821 | ||||||
Visa, Inc.: | ||||||||
1.20%, 12/14/2017 | 100,000 | 100,661 | ||||||
2.80%, 12/14/2022 | 25,000 | 26,305 | ||||||
|
| |||||||
1,230,682 | ||||||||
|
| |||||||
Electric – 1.7% | ||||||||
Alabama Power Co. | 75,000 | 78,768 | ||||||
Appalachian Power Co. | 25,000 | 26,374 | ||||||
Arizona Public Service Co. | 25,000 | 26,306 | ||||||
Baltimore Gas & Electric Co. | 50,000 | 68,196 | ||||||
Cleco Corporate Holdings LLC | 20,000 | 20,589 | ||||||
Consolidated Edison Co. of New York, Inc. | 25,000 | 33,067 | ||||||
Consolidated Edison, Inc. | 30,000 | 30,226 | ||||||
DTE Electric Co. | 25,000 | 26,411 | ||||||
DTE Energy Co. | 25,000 | 25,479 | ||||||
Duke Energy Carolinas LLC | 50,000 | 55,717 | ||||||
Duke Energy Corp. | 50,000 | 50,269 | ||||||
Duke Energy Florida LLC | 50,000 | 70,219 | ||||||
Entergy Corp. | 50,000 | 53,607 | ||||||
Entergy Mississippi, Inc. | 25,000 | 25,513 | ||||||
Exelon Corp.: | ||||||||
3.95%, 6/15/2025 | 50,000 | 53,997 | ||||||
5.10%, 6/15/2045 | 50,000 | 57,022 | ||||||
Florida Power & Light Co.: | ||||||||
3.25%, 6/1/2024 | 25,000 | 27,011 | ||||||
4.05%, 10/1/2044 | 50,000 | 56,144 | ||||||
Midamerican Funding LLC | 50,000 | 70,146 | ||||||
NiSource Finance Corp. | 25,000 | 28,151 | ||||||
NSTAR Electric Co. | 50,000 | 51,095 | ||||||
Oncor Electric Delivery Co. LLC | 50,000 | 72,117 | ||||||
Pacific Gas & Electric Co.: | ||||||||
3.25%, 6/15/2023 | 50,000 | 53,275 | ||||||
6.05%, 3/1/2034 | 50,000 | 66,181 | ||||||
PPL Capital Funding, Inc. | 75,000 | 79,549 | ||||||
Public Service Co. of Colorado | 25,000 | 26,676 | ||||||
Public Service Electric & Gas Co. | 50,000 | 52,878 | ||||||
Puget Sound Energy, Inc. | 50,000 | 67,739 | ||||||
South Carolina Electric & Gas Co.: | ||||||||
4.10%, 6/15/2046 | 50,000 | 52,326 | ||||||
4.50%, 6/1/2064 | 35,000 | 36,301 | ||||||
Southern California Edison Co. | 50,000 | 53,544 | ||||||
Southern Co. | 50,000 | 50,577 | ||||||
Southwestern Public Service Co. | 50,000 | 53,357 | ||||||
Virginia Electric & Power Co. | 50,000 | 54,005 | ||||||
WEC Energy Group, Inc. | 25,000 | 26,892 | ||||||
|
| |||||||
1,679,724 | ||||||||
|
| |||||||
Electrical Components & Equipment – 0.0%(a) |
| |||||||
Emerson Electric Co. | 25,000 | 25,727 | ||||||
|
| |||||||
Electronics – 0.1% | ||||||||
Corning, Inc. | 25,000 | 29,714 | ||||||
Honeywell International, Inc. | 25,000 | 26,784 | ||||||
Thermo Fisher Scientific, Inc.: | ||||||||
1.85%, 1/15/2018 | 50,000 | 50,195 | ||||||
4.15%, 2/1/2024 | 25,000 | 27,234 | ||||||
|
| |||||||
133,927 | ||||||||
|
| |||||||
Environmental Control – 0.1% | ||||||||
Republic Services, Inc.: | ||||||||
2.90%, 7/1/2026 | 20,000 | 20,385 | ||||||
3.55%, 6/1/2022 | 25,000 | 26,590 | ||||||
Waste Management, Inc. | 25,000 | 26,934 | ||||||
|
| |||||||
73,909 | ||||||||
|
| |||||||
Food – 0.4% | ||||||||
ConAgra Foods, Inc. | 25,000 | 25,185 | ||||||
General Mills, Inc. | 25,000 | 25,558 |
See Accompanying Notes to Financial Statements.
20
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Food – (continued) | ||||||||
Hershey Co. | $ | 25,000 | $ | 26,895 | ||||
JM Smucker Co. | 25,000 | 25,701 | ||||||
Kellogg Co. | 25,000 | 26,994 | ||||||
Kraft Heinz Foods Co.: | ||||||||
3.95%, 7/15/2025(b) | 50,000 | 54,517 | ||||||
6.13%, 8/23/2018 | 25,000 | 27,435 | ||||||
6.88%, 1/26/2039 | 50,000 | 68,077 | ||||||
Kroger Co. | 75,000 | 82,491 | ||||||
Mondelez International, Inc. | 25,000 | 27,597 | ||||||
Sysco Corp.: | ||||||||
3.75%, 10/1/2025 | 5,000 | 5,378 | ||||||
4.85%, 10/1/2045 | 5,000 | 5,616 | ||||||
Tyson Foods, Inc. | 25,000 | 27,791 | ||||||
|
| |||||||
429,235 | ||||||||
|
| |||||||
Forest Products & Paper – 0.1% | ||||||||
Georgia-Pacific LLC | 25,000 | 35,952 | ||||||
International Paper Co. | 25,000 | 26,209 | ||||||
|
| |||||||
62,161 | ||||||||
|
| |||||||
Gas – 0.3% | ||||||||
AGL Capital Corp. | 25,000 | 26,892 | ||||||
Atmos Energy Corp. | 25,000 | 27,023 | ||||||
CenterPoint Energy, Inc. | 100,000 | 108,017 | ||||||
Dominion Gas Holdings LLC: | ||||||||
3.60%, 12/15/2024 | 50,000 | 52,861 | ||||||
4.80%, 11/1/2043 | 25,000 | 27,335 | ||||||
Southern California Gas Co.: | ||||||||
3.15%, 9/15/2024 | 25,000 | 26,641 | ||||||
3.20%, 6/15/2025 | 50,000 | 53,638 | ||||||
|
| |||||||
322,407 | ||||||||
|
| |||||||
Hand & Machine Tools – 0.1% | ||||||||
Stanley Black & Decker, Inc. | 50,000 | 52,750 | ||||||
|
| |||||||
Health Care Products – 0.3% | ||||||||
Baxter International, Inc. | 25,000 | 25,662 | ||||||
Becton Dickinson and Co. | 50,000 | 51,315 | ||||||
Boston Scientific Corp. | 25,000 | 25,499 | ||||||
Covidien International Finance SA | 50,000 | 52,985 | ||||||
Danaher Corp. | 25,000 | 25,983 | ||||||
Medtronic, Inc.: | ||||||||
1.38%, 4/1/2018 | 25,000 | 25,101 | ||||||
4.38%, 3/15/2035 | 25,000 | 28,038 | ||||||
4.63%, 3/15/2045 | 25,000 | 29,140 | ||||||
5.55%, 3/15/2040 | 25,000 | 31,726 | ||||||
Stryker Corp. | 25,000 | 26,260 | ||||||
Zimmer Biomet Holdings, Inc. | 25,000 | 25,657 | ||||||
|
| |||||||
347,366 | ||||||||
|
| |||||||
Health Care Services – 0.6% | ||||||||
Aetna, Inc.: | ||||||||
2.20%, 3/15/2019 | 25,000 | 25,477 | ||||||
3.20%, 6/15/2026 | 20,000 | 20,600 | ||||||
4.13%, 11/15/2042 | 25,000 | 25,318 | ||||||
4.25%, 6/15/2036 | 30,000 | 31,151 | ||||||
Anthem, Inc.: | ||||||||
2.25%, 8/15/2019 | 50,000 | 50,489 | ||||||
3.50%, 8/15/2024 | 25,000 | 25,934 | ||||||
Cigna Corp. | 50,000 | 58,503 | ||||||
Howard Hughes Medical Institute | 25,000 | 27,502 | ||||||
Humana, Inc. | 25,000 | 25,366 | ||||||
Laboratory Corp. of America Holdings | 25,000 | 25,438 | ||||||
Memorial Sloan-Kettering Cancer Center | 25,000 | 27,556 | ||||||
Quest Diagnostics, Inc.: | ||||||||
2.70%, 4/1/2019 | 25,000 | 25,597 | ||||||
4.70%, 3/30/2045 | 25,000 | 26,350 | ||||||
UnitedHealth Group, Inc.: | ||||||||
1.70%, 2/15/2019 | 25,000 | 25,286 | ||||||
1.90%, 7/16/2018 | 25,000 | 25,381 | ||||||
2.70%, 7/15/2020 | 5,000 | 5,211 | ||||||
2.88%, 3/15/2022 | 25,000 | 26,066 | ||||||
3.75%, 7/15/2025 | 5,000 | 5,484 | ||||||
4.63%, 7/15/2035 | 25,000 | 29,018 | ||||||
4.75%, 7/15/2045 | 5,000 | 5,945 | ||||||
6.88%, 2/15/2038 | 25,000 | 36,431 | ||||||
|
| |||||||
554,103 | ||||||||
|
| |||||||
Holding Companies-divers – 0.0%(a) |
| |||||||
MUFG Americas Holdings Corp. | 25,000 | 25,199 | ||||||
|
| |||||||
Household Products – 0.1% | ||||||||
Colgate-Palmolive Co. | 25,000 | 25,597 | ||||||
Estee Lauder Cos., Inc. | 25,000 | 25,570 | ||||||
Procter & Gamble Co. | 50,000 | 68,735 | ||||||
|
| |||||||
119,902 | ||||||||
|
| |||||||
Household Products & Wares – 0.1% |
| |||||||
Kimberly-Clark Corp.: | ||||||||
1.40%, 2/15/2019 | 25,000 | 25,287 | ||||||
2.15%, 8/15/2020 | 25,000 | 25,784 | ||||||
2.75%, 2/15/2026 | 25,000 | 26,199 | ||||||
|
| |||||||
77,270 | ||||||||
|
|
See Accompanying Notes to Financial Statements.
21
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Housewares – 0.1% | ||||||||
Newell Brands, Inc. | $ | 50,000 | $ | 51,769 | ||||
|
| |||||||
Insurance – 0.8% | ||||||||
Allstate Corp. | 25,000 | 25,500 | ||||||
American International Group, Inc.: | ||||||||
2.30%, 7/16/2019 | 25,000 | 25,391 | ||||||
4.88%, 6/1/2022 | 50,000 | 55,663 | ||||||
Aon PLC | 25,000 | 24,941 | ||||||
Berkshire Hathaway Finance Corp. | 5,000 | 5,082 | ||||||
Berkshire Hathaway, Inc.: | ||||||||
2.20%, 3/15/2021 | 5,000 | 5,157 | ||||||
3.00%, 2/11/2023 | 25,000 | 26,202 | ||||||
3.13%, 3/15/2026 | 5,000 | 5,243 | ||||||
Chubb INA Holdings, Inc.: | ||||||||
4.15%, 3/13/2043 | 25,000 | 27,277 | ||||||
4.35%, 11/3/2045 | 25,000 | 28,615 | ||||||
CNA Financial Corp. | 25,000 | 26,651 | ||||||
First American Financial Corp. | 25,000 | 26,068 | ||||||
Hartford Financial Services Group, Inc. | 25,000 | 28,278 | ||||||
Lincoln National Corp. | 50,000 | 58,922 | ||||||
Marsh & McLennan Cos., Inc.: | ||||||||
3.75%, 3/14/2026 | 25,000 | 26,334 | ||||||
Series MTN, 2.55%, 10/15/2018 | 25,000 | 25,517 | ||||||
MetLife, Inc.: | ||||||||
1.76%, 12/15/2017 | 25,000 | 25,168 | ||||||
Series D, 4.37%, 9/15/2023 | 50,000 | 55,323 | ||||||
Principal Financial Group, Inc. | 25,000 | 24,313 | ||||||
Progressive Corp. | 50,000 | 54,731 | ||||||
Prudential Financial, Inc.: | ||||||||
6.63%, 6/21/2040 | 25,000 | 32,241 | ||||||
Series MTN, 3.50%, 5/15/2024 | 50,000 | 51,938 | ||||||
Travelers Cos., Inc. | 25,000 | 34,621 | ||||||
Voya Financial, Inc. | 20,000 | 20,226 | ||||||
XLIT, Ltd. | 25,000 | 24,695 | ||||||
|
| |||||||
744,097 | ||||||||
|
| |||||||
Internet – 0.1% | ||||||||
Alibaba Group Holding, Ltd. | 25,000 | 25,720 | ||||||
Amazon.com, Inc. | 25,000 | 25,920 | ||||||
eBay, Inc. | 25,000 | 25,527 | ||||||
|
| |||||||
77,167 | ||||||||
|
| |||||||
Iron/Steel – 0.1% | ||||||||
Nucor Corp. | 25,000 | 26,783 | ||||||
Vale Overseas, Ltd.: | ||||||||
4.38%, 1/11/2022 | 25,000 | 23,406 | ||||||
5.88%, 6/10/2021 | 20,000 | 20,150 | ||||||
8.25%, 1/17/2034 | 25,000 | 26,219 | ||||||
|
| |||||||
96,558 | ||||||||
|
| |||||||
IT Services – 0.7% | ||||||||
Apple, Inc.: | ||||||||
1.55%, 2/7/2020 | 25,000 | 25,171 | ||||||
1.70%, 2/22/2019 | 35,000 | 35,559 | ||||||
2.40%, 5/3/2023 | 25,000 | 25,436 | ||||||
2.85%, 5/6/2021 | 25,000 | 26,386 | ||||||
3.85%, 5/4/2043 | 25,000 | 25,020 | ||||||
4.38%, 5/13/2045 | 75,000 | 80,796 | ||||||
4.65%, 2/23/2046 | 25,000 | 28,082 | ||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | ||||||||
3.48%, 6/1/2019(b) | 20,000 | 20,482 | ||||||
4.42%, 6/15/2021(b) | 50,000 | 51,400 | ||||||
6.02%, 6/15/2026(b) | 20,000 | 20,767 | ||||||
8.35%, 7/15/2046(b) | 20,000 | 21,537 | ||||||
EMC Corp. | 25,000 | 24,313 | ||||||
Hewlett Packard Enterprise Co.: | ||||||||
2.85%, 10/5/2018(b) | 20,000 | 20,458 | ||||||
3.60%, 10/15/2020(b) | 10,000 | 10,414 | ||||||
4.90%, 10/15/2025(b) | 20,000 | 20,808 | ||||||
6.20%, 10/15/2035(b) | 10,000 | 10,093 | ||||||
6.35%, 10/15/2045(b) | 10,000 | 9,979 | ||||||
HP, Inc. | 25,000 | 26,309 | ||||||
International Business Machines Corp.: | ||||||||
2.88%, 11/9/2022 | 100,000 | 105,227 | ||||||
3.63%, 2/12/2024 | 50,000 | 54,513 | ||||||
5.88%, 11/29/2032 | 25,000 | 32,236 | ||||||
Seagate HDD Cayman | 50,000 | 42,000 | ||||||
|
| |||||||
716,986 | ||||||||
|
| |||||||
Lodging – 0.1% | ||||||||
Marriott International, Inc. | 50,000 | 51,541 | ||||||
Starwood Hotels & Resorts Worldwide, Inc. | 25,000 | 26,211 | ||||||
|
| |||||||
77,752 | ||||||||
|
| |||||||
Machinery, Construction & Mining – 0.1% |
| |||||||
Caterpillar Financial Services Corp.: | ||||||||
Series MTN, 1.30%, 3/1/2018 | 50,000 | 50,254 | ||||||
Series MTN, 3.75%, 11/24/2023 | 25,000 | 27,534 | ||||||
Caterpillar, Inc. | 25,000 | 27,844 | ||||||
|
| |||||||
105,632 | ||||||||
|
|
See Accompanying Notes to Financial Statements.
22
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Machinery-diversified – 0.1% | ||||||||
Deere & Co. | $ | 25,000 | $ | 25,810 | ||||
John Deere Capital Corp.: | ||||||||
Series MTN, 1.95%, 1/8/2019 | 50,000 | 50,984 | ||||||
Series MTN, 2.38%, 7/14/2020 | 25,000 | 25,739 | ||||||
Series MTN, 3.40%, 9/11/2025 | 25,000 | 27,085 | ||||||
|
| |||||||
129,618 | ||||||||
|
| |||||||
Media – 1.0% | ||||||||
21st Century Fox America, Inc.: | ||||||||
4.00%, 10/1/2023 | 25,000 | 27,569 | ||||||
5.40%, 10/1/2043 | 25,000 | 29,320 | ||||||
7.25%, 5/18/2018 | 25,000 | 27,610 | ||||||
CBS Corp. | 25,000 | 25,401 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital: | ||||||||
3.58%, 7/23/2020(b) | 15,000 | 15,676 | ||||||
4.91%, 7/23/2025(b) | 50,000 | 54,569 | ||||||
6.48%, 10/23/2045(b) | 10,000 | 11,931 | ||||||
Comcast Corp.: | ||||||||
2.75%, 3/1/2023 | 25,000 | 25,999 | ||||||
3.60%, 3/1/2024 | 25,000 | 27,319 | ||||||
4.25%, 1/15/2033 | 50,000 | 54,645 | ||||||
4.65%, 7/15/2042 | 25,000 | 28,651 | ||||||
Discovery Communications LLC | 25,000 | 24,561 | ||||||
NBCUniversal Media LLC: | ||||||||
5.15%, 4/30/2020 | 50,000 | 56,698 | ||||||
6.40%, 4/30/2040 | 50,000 | 69,136 | ||||||
Thomson Reuters Corp. | 25,000 | 26,639 | ||||||
Time Warner Cable, Inc.: | ||||||||
4.00%, 9/1/2021 | 25,000 | 26,375 | ||||||
5.50%, 9/1/2041 | 25,000 | 26,447 | ||||||
5.88%, 11/15/2040 | 50,000 | 54,473 | ||||||
6.75%, 7/1/2018 | 25,000 | 27,399 | ||||||
Time Warner, Inc.: | ||||||||
3.55%, 6/1/2024 | 25,000 | 26,296 | ||||||
4.65%, 6/1/2044 | 25,000 | 26,588 | ||||||
4.85%, 7/15/2045 | 50,000 | 54,192 | ||||||
6.50%, 11/15/2036 | 50,000 | 63,516 | ||||||
Viacom, Inc.: | ||||||||
2.20%, 4/1/2019 | 25,000 | 25,063 | ||||||
4.38%, 3/15/2043 | 25,000 | 20,292 | ||||||
4.88%, 6/15/2043 | 25,000 | 21,974 | ||||||
Walt Disney Co.: | ||||||||
3.00%, 2/13/2026 | 50,000 | 53,699 | ||||||
Series GMTN, 3.15%, 9/17/2025 | 25,000 | 27,266 | ||||||
Series MTN, 1.10%, 12/1/2017 | 25,000 | 25,115 | ||||||
Series MTN, 5.50%, 3/15/2019 | 25,000 | 27,892 | ||||||
|
| |||||||
1,012,311 | ||||||||
|
| |||||||
Metal Fabricate & Hardware – 0.0%(a) |
| |||||||
Precision Castparts Corp. | 25,000 | 25,729 | ||||||
|
| |||||||
Mining – 0.2% | ||||||||
Barrick Gold Corp. | 25,000 | 25,406 | ||||||
Barrick North America Finance LLC | 25,000 | 26,925 | ||||||
BHP Billiton Finance USA, Ltd.: | ||||||||
3.25%, 11/21/2021 | 25,000 | 26,438 | ||||||
4.13%, 2/24/2042 | 25,000 | 25,639 | ||||||
Newmont Mining Corp. | 25,000 | 25,860 | ||||||
Rio Tinto Finance USA PLC | 25,000 | 26,187 | ||||||
Rio Tinto Finance USA, Ltd. | 50,000 | 52,525 | ||||||
Southern Copper Corp. | 7,000 | 6,589 | ||||||
|
| |||||||
215,569 | ||||||||
|
| |||||||
Miscellaneous Manufacturer – 0.3% |
| |||||||
3M Co. | 25,000 | 25,450 | ||||||
Eaton Corp. | 25,000 | 25,095 | ||||||
General Electric Co. | 50,000 | 57,223 | ||||||
Illinois Tool Works, Inc. | 25,000 | 25,388 | ||||||
Ingersoll-Rand Global Holding Co., Ltd. | 25,000 | 27,756 | ||||||
Parker-Hannifin Corp. | 50,000 | 53,830 | ||||||
Tyco Electronics Group SA | 50,000 | 53,286 | ||||||
|
| |||||||
268,028 | ||||||||
|
| |||||||
Multi-National – 1.3% | ||||||||
African Development Bank | 50,000 | 50,098 | ||||||
Asian Development Bank: | ||||||||
1.75%, 9/11/2018 | 50,000 | 51,049 | ||||||
2.13%, 11/24/2021 | 75,000 | 78,207 | ||||||
Council of Europe Development Bank | 25,000 | 25,137 | ||||||
European Bank for Reconstruction & Development: | ||||||||
1.00%, 9/17/2018 | 50,000 | 50,225 | ||||||
1.63%, 11/15/2018 | 25,000 | 25,470 | ||||||
European Investment Bank: | ||||||||
1.00%, 6/15/2018 | 50,000 | 50,146 | ||||||
1.13%, 8/15/2018 | 75,000 | 75,434 | ||||||
1.75%, 6/17/2019 | 25,000 | 25,549 | ||||||
1.88%, 3/15/2019 | 50,000 | 51,223 | ||||||
1.88%, 2/10/2025 | 100,000 | 101,079 | ||||||
2.13%, 10/15/2021 | 50,000 | 51,850 | ||||||
2.50%, 4/15/2021 | 50,000 | 52,757 | ||||||
2.50%, 10/15/2024 | 25,000 | 26,604 | ||||||
Series MTN, 1.25%, 5/15/2019 | 100,000 | 100,724 |
See Accompanying Notes to Financial Statements.
23
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Multi-National – (continued) | ||||||||
Inter-American Development Bank: | ||||||||
1.13%, 8/28/2018 | $ | 50,000 | $ | 50,369 | ||||
1.25%, 1/16/2018 | 25,000 | 25,194 | ||||||
1.25%, 10/15/2019 | 100,000 | 100,860 | ||||||
1.88%, 6/16/2020 | 35,000 | 35,986 | ||||||
2.13%, 11/9/2020 | 25,000 | 26,000 | ||||||
International Bank for Reconstruction & Development: | ||||||||
1.00%, 10/5/2018 | 100,000 | 100,472 | ||||||
2.13%, 11/1/2020 | 25,000 | 26,071 | ||||||
Series GDIF, 2.50%, 11/25/2024 | 50,000 | 53,451 | ||||||
Series GDIF, 2.50%, 7/29/2025 | 50,000 | 53,458 | ||||||
Series GMTN, 4.75%, 2/15/2035 | 25,000 | 33,451 | ||||||
|
| |||||||
1,320,864 | ||||||||
|
| |||||||
Oil & Gas – 1.9% | ||||||||
Anadarko Petroleum Corp.: | ||||||||
3.45%, 7/15/2024 | 50,000 | 48,816 | ||||||
6.20%, 3/15/2040 | 25,000 | 27,779 | ||||||
Apache Corp. | 50,000 | 56,615 | ||||||
BP Capital Markets PLC: | ||||||||
1.38%, 5/10/2018 | 25,000 | 25,029 | ||||||
1.67%, 2/13/2018 | 25,000 | 25,192 | ||||||
2.24%, 5/10/2019 | 25,000 | 25,545 | ||||||
3.81%, 2/10/2024 | 25,000 | 26,825 | ||||||
Canadian Natural Resources, Ltd.: | ||||||||
3.45%, 11/15/2021 | 25,000 | 24,750 | ||||||
3.90%, 2/1/2025 | 25,000 | 24,660 | ||||||
Chevron Corp.: | ||||||||
1.56%, 5/16/2019 | 25,000 | 25,145 | ||||||
1.72%, 6/24/2018 | 25,000 | 25,246 | ||||||
2.42%, 11/17/2020 | 75,000 | 77,020 | ||||||
3.19%, 6/24/2023 | 25,000 | 26,311 | ||||||
ConocoPhillips Co.: | ||||||||
2.20%, 5/15/2020 | 50,000 | 50,336 | ||||||
5.75%, 2/1/2019 | 25,000 | 27,491 | ||||||
ConocoPhillips Holding Co. | 50,000 | 62,396 | ||||||
Devon Energy Corp. | 50,000 | 48,500 | ||||||
Ecopetrol SA | 50,000 | 49,938 | ||||||
Encana Corp. | 25,000 | 24,250 | ||||||
EOG Resources, Inc. | 25,000 | 24,623 | ||||||
Exxon Mobil Corp.: | ||||||||
1.31%, 3/6/2018 | 25,000 | 25,151 | ||||||
2.73%, 3/1/2023 | 50,000 | 52,056 | ||||||
Hess Corp. | 25,000 | 25,115 | ||||||
Marathon Oil Corp. | 25,000 | 22,500 | ||||||
Marathon Petroleum Corp. | 50,000 | 48,207 | ||||||
Nexen Energy ULC | 100,000 | 117,397 | ||||||
Noble Energy, Inc. | 25,000 | 25,305 | ||||||
Occidental Petroleum Corp. | 25,000 | 27,207 | ||||||
Petro-Canada | 25,000 | 27,778 | ||||||
Petroleos Mexicanos: | ||||||||
2.46%, 12/15/2025 | 23,750 | 24,653 | ||||||
3.50%, 7/18/2018 | 25,000 | 25,345 | ||||||
3.50%, 1/30/2023 | 25,000 | 23,542 | ||||||
4.25%, 1/15/2025 | 25,000 | 24,106 | ||||||
5.50%, 2/4/2019(b) | 50,000 | 52,754 | ||||||
5.50%, 6/27/2044 | 25,000 | 22,551 | ||||||
6.38%, 1/23/2045 | 100,000 | 100,388 | ||||||
Phillips 66 | 35,000 | 38,031 | ||||||
Shell International Finance B.V.: | ||||||||
1.38%, 5/10/2019 | 25,000 | 25,056 | ||||||
4.30%, 9/22/2019 | 25,000 | 27,216 | ||||||
4.38%, 5/11/2045 | 100,000 | 107,727 | ||||||
5.50%, 3/25/2040 | 25,000 | 30,428 | ||||||
Statoil ASA: | ||||||||
1.95%, 11/8/2018 | 25,000 | 25,351 | ||||||
2.65%, 1/15/2024 | 75,000 | 76,056 | ||||||
3.70%, 3/1/2024 | 25,000 | 27,000 | ||||||
Suncor Energy, Inc. | 25,000 | 26,182 | ||||||
Total Capital International SA | 25,000 | 27,298 | ||||||
Total Capital SA | 25,000 | 25,469 | ||||||
Valero Energy Corp. | 25,000 | 28,165 | ||||||
XTO Energy, Inc. | 25,000 | 37,213 | ||||||
|
| |||||||
1,871,714 | ||||||||
|
| |||||||
Oil & Gas Services – 0.2% | ||||||||
Baker Hughes, Inc. | 8,000 | 8,381 | ||||||
Halliburton Co.: | ||||||||
5.00%, 11/15/2045 | 35,000 | 38,200 | ||||||
7.45%, 9/15/2039 | 25,000 | 34,581 | ||||||
National Oilwell Varco, Inc. | 75,000 | 69,451 | ||||||
|
| |||||||
150,613 | ||||||||
|
| |||||||
Pharmaceuticals – 1.3% | ||||||||
Abbott Laboratories | 25,000 | 25,386 | ||||||
AbbVie, Inc.: | ||||||||
1.75%, 11/6/2017 | 25,000 | 25,152 | ||||||
2.50%, 5/14/2020 | 25,000 | 25,486 | ||||||
2.90%, 11/6/2022 | 25,000 | 25,385 | ||||||
4.40%, 11/6/2042 | 50,000 | 50,663 | ||||||
4.50%, 5/14/2035 | 50,000 | 51,937 |
See Accompanying Notes to Financial Statements.
24
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Pharmaceuticals – (continued) | ||||||||
Actavis Funding SCS: | ||||||||
2.35%, 3/12/2018 | $ | 25,000 | $ | 25,282 | ||||
3.00%, 3/12/2020 | 25,000 | 25,678 | ||||||
3.80%, 3/15/2025 | 25,000 | 26,020 | ||||||
3.85%, 6/15/2024 | 50,000 | 52,225 | ||||||
4.75%, 3/15/2045 | 25,000 | 26,217 | ||||||
Actavis, Inc. | 25,000 | 25,118 | ||||||
AstraZeneca PLC: | ||||||||
3.38%, 11/16/2025 | 35,000 | 36,724 | ||||||
4.00%, 9/18/2042 | 25,000 | 25,677 | ||||||
Baxalta, Inc.: | ||||||||
2.88%, 6/23/2020 | 25,000 | 25,407 | ||||||
4.00%, 6/23/2025 | 25,000 | 25,983 | ||||||
Bristol-Myers Squibb Co. | 25,000 | 25,442 | ||||||
Cardinal Health, Inc. | 25,000 | 25,150 | ||||||
Eli Lilly & Co. | 25,000 | 32,438 | ||||||
Express Scripts Holding Co.: | ||||||||
2.25%, 6/15/2019 | 25,000 | 25,340 | ||||||
3.30%, 2/25/2021 | 25,000 | 26,139 | ||||||
6.13%, 11/15/2041 | 25,000 | 29,766 | ||||||
GlaxoSmithKline Capital, Inc.: | ||||||||
2.80%, 3/18/2023 | 25,000 | 26,179 | ||||||
4.20%, 3/18/2043 | 25,000 | 27,950 | ||||||
Johnson & Johnson: | ||||||||
2.45%, 3/1/2026 | 30,000 | 30,960 | ||||||
3.38%, 12/5/2023 | 25,000 | 27,736 | ||||||
5.55%, 8/15/2017 | 25,000 | 26,355 | ||||||
McKesson Corp.: | ||||||||
2.28%, 3/15/2019 | 25,000 | 25,447 | ||||||
2.85%, 3/15/2023 | 25,000 | 25,527 | ||||||
Merck & Co., Inc.: | ||||||||
2.40%, 9/15/2022 | 25,000 | 25,495 | ||||||
3.60%, 9/15/2042 | 25,000 | 25,786 | ||||||
3.70%, 2/10/2045 | 50,000 | 52,375 | ||||||
Mylan NV | 30,000 | 30,455 | ||||||
Novartis Capital Corp.: | ||||||||
3.40%, 5/6/2024 | 25,000 | 27,256 | ||||||
4.00%, 11/20/2045 | 50,000 | 56,535 | ||||||
Novartis Securities Investment, Ltd. | 25,000 | 27,563 | ||||||
Pfizer, Inc.: | ||||||||
1.20%, 6/1/2018 | 30,000 | 30,164 | ||||||
2.10%, 5/15/2019 | 25,000 | 25,580 | ||||||
3.40%, 5/15/2024 | 25,000 | 27,262 | ||||||
Sanofi | 25,000 | 27,412 | ||||||
Teva Pharmaceutical Finance IV LLC | 25,000 | 25,209 | ||||||
Wyeth LLC | 25,000 | 32,496 | ||||||
Zoetis, Inc. | 25,000 | 24,756 | ||||||
|
| |||||||
1,291,113 | ||||||||
|
| |||||||
Pipelines – 0.8% | ||||||||
Buckeye Partners L.P. | 25,000 | 26,250 | ||||||
Enbridge Energy Partners L.P. | 25,000 | 25,318 | ||||||
Energy Transfer Partners L.P.: | ||||||||
4.75%, 1/15/2026 | 25,000 | 25,731 | ||||||
5.15%, 2/1/2043 | 25,000 | 22,299 | ||||||
6.70%, 7/1/2018 | 50,000 | 53,125 | ||||||
Enterprise Products Operating LLC: | ||||||||
2.85%, 4/15/2021 | 25,000 | 25,706 | ||||||
4.85%, 3/15/2044 | 50,000 | 53,011 | ||||||
Series N, 6.50%, 1/31/2019 | 25,000 | 27,980 | ||||||
Kinder Morgan Energy Partners L.P.: | ||||||||
3.50%, 3/1/2021 | 25,000 | 24,882 | ||||||
5.40%, 9/1/2044 | 25,000 | 24,589 | ||||||
Kinder Morgan, Inc.: | ||||||||
3.05%, 12/1/2019 | 25,000 | 25,193 | ||||||
4.30%, 6/1/2025 | 50,000 | 51,332 | ||||||
5.05%, 2/15/2046 | 50,000 | 47,673 | ||||||
Magellan Midstream Partners L.P. | 50,000 | 56,640 | ||||||
ONEOK Partners L.P. | 25,000 | 24,349 | ||||||
Plains All American Pipeline L.P./PAA Finance Corp. | 25,000 | 23,626 | ||||||
Spectra Energy Partners L.P. | 25,000 | 25,449 | ||||||
Sunoco Logistics Partners Operations L.P. | 25,000 | 24,762 | ||||||
TransCanada PipeLines, Ltd.: | ||||||||
4.63%, 3/1/2034 | 50,000 | 52,510 | ||||||
7.63%, 1/15/2039 | 25,000 | 35,474 | ||||||
Williams Partners L.P.: | ||||||||
3.90%, 1/15/2025 | 50,000 | 46,004 | ||||||
5.25%, 3/15/2020 | 25,000 | 25,500 | ||||||
|
| |||||||
747,403 | ||||||||
|
| |||||||
Real Estate – 0.1% | ||||||||
Prologis L.P. | 50,000 | 53,602 | ||||||
|
| |||||||
Real Estate Investment Trusts – 0.7% |
| |||||||
American Tower Corp.: | ||||||||
3.40%, 2/15/2019 | 25,000 | 26,016 | ||||||
3.50%, 1/31/2023 | 50,000 | 51,650 | ||||||
AvalonBay Communities, Inc. | 25,000 | 25,738 | ||||||
Boston Properties L.P. | 25,000 | 26,747 | ||||||
Brandywine Operating Partnership L.P. | 25,000 | 25,523 | ||||||
Crown Castle International Corp. | 15,000 | 15,401 |
See Accompanying Notes to Financial Statements.
25
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Real Estate Investment Trusts – (continued) |
| |||||||
DDR Corp. | $ | 25,000 | $ | 25,700 | ||||
Digital Realty Trust L.P. | 25,000 | 25,770 | ||||||
Duke Realty L.P. | 25,000 | 26,403 | ||||||
ERP Operating L.P. | 50,000 | 51,093 | ||||||
HCP, Inc.: | ||||||||
2.63%, 2/1/2020 | 25,000 | 25,191 | ||||||
3.88%, 8/15/2024 | 50,000 | 50,273 | ||||||
Hospitality Properties Trust | 25,000 | 25,287 | ||||||
Realty Income Corp. | 50,000 | 53,747 | ||||||
Simon Property Group L.P.: | ||||||||
2.15%, 9/15/2017 | 25,000 | 25,263 | ||||||
5.65%, 2/1/2020 | 25,000 | 28,261 | ||||||
Tanger Properties L.P. | 25,000 | 26,001 | ||||||
Ventas Realty L.P. / Ventas Capital Corp. | 50,000 | 50,233 | ||||||
Welltower, Inc. | 50,000 | 55,816 | ||||||
Weyerhaeuser Co. | 25,000 | 27,658 | ||||||
|
| |||||||
667,771 | ||||||||
|
| |||||||
Retail – 1.0% | ||||||||
AutoNation, Inc. | 25,000 | 25,504 | ||||||
AutoZone, Inc. | 25,000 | 25,463 | ||||||
Costco Wholesale Corp. | 25,000 | 25,146 | ||||||
CVS Health Corp.: | ||||||||
2.80%, 7/20/2020 | 20,000 | 20,759 | ||||||
2.88%, 6/1/2026 | 10,000 | 10,213 | ||||||
3.38%, 8/12/2024 | 25,000 | 26,655 | ||||||
3.88%, 7/20/2025 | 20,000 | 22,054 | ||||||
4.00%, 12/5/2023 | 25,000 | 27,668 | ||||||
4.88%, 7/20/2035 | 45,000 | 53,289 | ||||||
5.13%, 7/20/2045 | 10,000 | 12,367 | ||||||
Dollar General Corp. | 25,000 | 27,387 | ||||||
Home Depot, Inc.: | ||||||||
2.00%, 6/15/2019 | 25,000 | 25,681 | ||||||
2.25%, 9/10/2018 | 25,000 | 25,708 | ||||||
3.75%, 2/15/2024 | 25,000 | 27,905 | ||||||
4.25%, 4/1/2046 | 35,000 | 39,676 | ||||||
Kohl’s Corp. | 20,000 | 18,221 | ||||||
Lowe’s Cos., Inc.: | ||||||||
3.38%, 9/15/2025 | 25,000 | 27,282 | ||||||
4.25%, 9/15/2044 | 25,000 | 27,623 | ||||||
4.38%, 9/15/2045 | 25,000 | 28,230 | ||||||
Macy’s Retail Holdings, Inc. | 25,000 | 24,544 | ||||||
McDonald’s Corp.: | ||||||||
1.88%, 5/29/2019 | 25,000 | 25,334 | ||||||
2.75%, 12/9/2020 | 25,000 | 26,028 | ||||||
Series GMTN, 5.80%, 10/15/2017 | 25,000 | 26,518 | ||||||
Series MTN, 3.70%, 1/30/2026 | 25,000 | 26,955 | ||||||
QVC, Inc. | 50,000 | 45,618 | ||||||
Starbucks Corp. | 25,000 | 28,017 | ||||||
Target Corp.: | ||||||||
2.30%, 6/26/2019 | 25,000 | 25,838 | ||||||
6.00%, 1/15/2018 | 25,000 | 26,907 | ||||||
Wal-Mart Stores, Inc.: | ||||||||
1.13%, 4/11/2018 | 25,000 | 25,125 | ||||||
1.95%, 12/15/2018 | 25,000 | 25,641 | ||||||
4.00%, 4/11/2043 | 25,000 | 27,754 | ||||||
4.88%, 7/8/2040 | 50,000 | 61,431 | ||||||
5.25%, 9/1/2035 | 25,000 | 32,616 | ||||||
6.20%, 4/15/2038 | 25,000 | 35,157 | ||||||
Walgreen Co. | 25,000 | 25,690 | ||||||
Walgreens Boots Alliance, Inc. | 25,000 | 26,047 | ||||||
|
| |||||||
1,012,051 | ||||||||
|
| |||||||
Semiconductors – 0.3% | ||||||||
Applied Materials, Inc. | 25,000 | 27,647 | ||||||
Intel Corp.: | ||||||||
2.45%, 7/29/2020 | 50,000 | 51,902 | ||||||
2.60%, 5/19/2026 | 20,000 | 20,300 | ||||||
3.30%, 10/1/2021 | 25,000 | 27,073 | ||||||
4.10%, 5/19/2046 | 20,000 | 20,820 | ||||||
Lam Research Corp. | 25,000 | 25,639 | ||||||
QUALCOMM, Inc. | 50,000 | 51,516 | ||||||
Texas Instruments, Inc. | 25,000 | 26,200 | ||||||
|
| |||||||
251,097 | ||||||||
|
| |||||||
Software – 0.6% | ||||||||
Electronic Arts, Inc. | 25,000 | 26,464 | ||||||
Fidelity National Information Services, Inc.: | ||||||||
3.63%, 10/15/2020 | 50,000 | 52,857 | ||||||
3.88%, 6/5/2024 | 25,000 | 26,378 | ||||||
Microsoft Corp.: | ||||||||
2.00%, 11/3/2020 | 50,000 | 51,266 | ||||||
3.63%, 12/15/2023 | 25,000 | 27,600 | ||||||
4.20%, 11/3/2035 | 65,000 | 72,718 | ||||||
4.45%, 11/3/2045 | 25,000 | 28,282 | ||||||
5.20%, 6/1/2039 | 50,000 | 61,652 | ||||||
Oracle Corp.: | ||||||||
2.25%, 10/8/2019 | 75,000 | 77,260 | ||||||
2.38%, 1/15/2019 | 25,000 | 25,761 | ||||||
2.50%, 5/15/2022 | 50,000 | 51,030 | ||||||
2.65%, 7/15/2026 | 45,000 | 45,100 | ||||||
2.95%, 5/15/2025 | 10,000 | 10,399 |
See Accompanying Notes to Financial Statements.
26
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Software – (continued) | ||||||||
3.90%, 5/15/2035 | $ | 5,000 | $ | 5,056 | ||||
4.38%, 5/15/2055 | 10,000 | 10,225 | ||||||
|
| |||||||
572,048 | ||||||||
|
| |||||||
Telecommunications – 1.4% | ||||||||
AT&T, Inc.: | ||||||||
1.40%, 12/1/2017 | 50,000 | 50,076 | ||||||
2.30%, 3/11/2019 | 25,000 | 25,543 | ||||||
2.80%, 2/17/2021 | 25,000 | 25,673 | ||||||
3.60%, 2/17/2023 | 50,000 | 52,207 | ||||||
3.90%, 3/11/2024 | 25,000 | 26,638 | ||||||
4.45%, 4/1/2024 | 25,000 | 27,340 | ||||||
4.50%, 5/15/2035 | 50,000 | 51,099 | ||||||
4.75%, 5/15/2046 | 30,000 | 30,695 | ||||||
4.80%, 6/15/2044 | 50,000 | 51,510 | ||||||
6.30%, 1/15/2038 | 50,000 | 59,810 | ||||||
BellSouth LLC | 50,000 | 58,362 | ||||||
Cisco Systems, Inc.: | ||||||||
1.40%, 2/28/2018 | 35,000 | 35,309 | ||||||
2.13%, 3/1/2019 | 25,000 | 25,681 | ||||||
3.00%, 6/15/2022 | 25,000 | 26,738 | ||||||
3.50%, 6/15/2025 | 25,000 | 27,943 | ||||||
3.63%, 3/4/2024 | 25,000 | 28,020 | ||||||
Motorola Solutions, Inc. | 25,000 | 24,329 | ||||||
Orange SA | �� | 25,000 | 25,725 | |||||
Rogers Communications, Inc. | 30,000 | 30,990 | ||||||
Telefonica Europe B.V. | 25,000 | 35,599 | ||||||
Telefonos de Mexico SAB de CV | 100,000 | 110,661 | ||||||
Verizon Communications, Inc.: | ||||||||
3.50%, 11/1/2024 | 50,000 | 53,095 | ||||||
4.27%, 1/15/2036 | 28,000 | 28,700 | ||||||
4.40%, 11/1/2034 | 50,000 | 52,043 | ||||||
4.50%, 9/15/2020 | 50,000 | 55,518 | ||||||
4.52%, 9/15/2048 | 25,000 | 25,806 | ||||||
4.86%, 8/21/2046 | 50,000 | 54,585 | ||||||
5.05%, 3/15/2034 | 35,000 | 38,999 | ||||||
5.15%, 9/15/2023 | 50,000 | 58,204 | ||||||
6.55%, 9/15/2043 | 50,000 | 67,195 | ||||||
Vodafone Group PLC: | ||||||||
1.50%, 2/19/2018 | 25,000 | 24,995 | ||||||
2.95%, 2/19/2023 | 25,000 | 25,234 | ||||||
4.38%, 2/19/2043 | 50,000 | 47,217 | ||||||
|
| |||||||
1,361,539 | ||||||||
|
| |||||||
Toys/Games/Hobbies – 0.0%(a) |
| |||||||
Mattel, Inc. | 25,000 | 25,432 | ||||||
|
| |||||||
Transportation – 0.5% | ||||||||
Burlington Northern Santa Fe LLC: | ||||||||
3.75%, 4/1/2024 | 25,000 | 27,712 | ||||||
4.45%, 3/15/2043 | 50,000 | 56,120 | ||||||
4.55%, 9/1/2044 | 25,000 | 28,541 | ||||||
Canadian National Railway Co. | 50,000 | 53,380 | ||||||
Canadian Pacific Railway Co. | 30,000 | 33,924 | ||||||
CSX Corp.: | ||||||||
3.40%, 8/1/2024 | 25,000 | 26,694 | ||||||
4.10%, 3/15/2044 | 25,000 | 26,286 | ||||||
FedEx Corp.: | ||||||||
4.00%, 1/15/2024 | 25,000 | 27,572 | ||||||
4.75%, 11/15/2045 | 25,000 | 27,712 | ||||||
Norfolk Southern Corp.: | ||||||||
3.00%, 4/1/2022 | 25,000 | 26,117 | ||||||
4.80%, 8/15/2043 | 25,000 | 28,818 | ||||||
Ryder System, Inc. | 25,000 | 25,271 | ||||||
Union Pacific Corp. | 25,000 | 29,477 | ||||||
United Parcel Service, Inc. | 50,000 | 51,718 | ||||||
|
| |||||||
469,342 | ||||||||
|
| |||||||
Trucking & Leasing – 0.1% | ||||||||
GATX Corp. | 50,000 | 50,319 | ||||||
|
| |||||||
Water – 0.0%(a) | ||||||||
American Water Capital Corp. | 25,000 | 26,906 | ||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES |
| 27,296,149 | ||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS – 2.0% |
| |||||||
Canada – 0.4% | ||||||||
Canada Government International Bond | 25,000 | 25,550 | ||||||
Export Development Canada | 50,000 | 50,243 | ||||||
Province of British Columbia Canada | 50,000 | 53,351 | ||||||
Province of Manitoba Canada | 25,000 | 25,149 | ||||||
Province of Ontario Canada: | ||||||||
1.10%, 10/25/2017 | 50,000 | 50,251 | ||||||
1.25%, 6/17/2019 | 50,000 | 50,213 | ||||||
2.50%, 9/10/2021 | 25,000 | 26,184 | ||||||
4.40%, 4/14/2020 | 50,000 | 55,682 | ||||||
Province of Quebec Canada: | ||||||||
2.63%, 2/13/2023 | 50,000 | 52,632 | ||||||
2.75%, 8/25/2021 | 50,000 | 52,989 | ||||||
|
| |||||||
442,244 | ||||||||
|
| |||||||
Mexico – 0.2% | ||||||||
Mexico Government International Bond: | ||||||||
3.63%, 3/15/2022 | 100,000 | 105,645 | ||||||
6.05%, 1/11/2040 | 30,000 | 37,747 | ||||||
4.75%, 3/8/2044 | 100,000 | 107,661 | ||||||
|
| |||||||
251,053 | ||||||||
|
| |||||||
Panama – 0.1% | ||||||||
Panama Government International Bond | 50,000 | 66,800 | ||||||
|
|
See Accompanying Notes to Financial Statements.
27
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – (continued) |
| |||||||
Peru – 0.1% | ||||||||
Peruvian Government International Bond: | ||||||||
4.13%, 8/25/2027 | $ | 50,000 | $ | 55,125 | ||||
5.63%, 11/18/2050 | 50,000 | 62,310 | ||||||
|
| |||||||
117,435 | ||||||||
|
| |||||||
Philippines – 0.2% | ||||||||
Philippine Government International Bond | 100,000 | 155,125 | ||||||
|
| |||||||
Poland – 0.1% | ||||||||
Poland Government International Bond: | ||||||||
3.25%, 4/6/2026 | 25,000 | 25,443 | ||||||
5.00%, 3/23/2022 | 50,000 | 56,156 | ||||||
|
| |||||||
81,599 | ||||||||
|
| |||||||
Senegal – 0.1% | ||||||||
International Bank for Reconstruction & Development Series GDIF | 100,000 | 101,132 | ||||||
|
| |||||||
South Africa – 0.1% | ||||||||
South Africa Government International Bond | 100,000 | 111,242 | ||||||
|
| |||||||
South Korea – 0.2% | ||||||||
Export-Import Bank of Korea | 100,000 | 112,946 | ||||||
Korea International Bond | 100,000 | 116,121 | ||||||
|
| |||||||
229,067 | ||||||||
|
| |||||||
Supranational – 0.1% | ||||||||
Asian Development Bank | 75,000 | 75,996 | ||||||
|
| |||||||
Turkey – 0.3% | ||||||||
Turkey Government International Bond: | ||||||||
4.88%, 10/9/2026 | 200,000 | 210,824 | ||||||
6.88%, 3/17/2036 | 50,000 | 60,855 | ||||||
|
| |||||||
271,679 | ||||||||
|
| |||||||
Uruguay – 0.1% | ||||||||
Uruguay Government International Bond | 50,000 | 49,815 | ||||||
|
| |||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS |
| 1,953,187 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS – 30.7% |
| |||||||
Federal Farm Credit Banks: | ||||||||
0.71%, 10/20/2017 | 100,000 | 100,027 | ||||||
3.50%, 12/20/2023 | 50,000 | 56,641 | ||||||
Federal Home Loan Bank: | ||||||||
0.88%, 3/19/2018 | 125,000 | 125,448 | ||||||
0.88%, 6/29/2018 | 150,000 | 150,606 | ||||||
1.13%, 6/21/2019 | 25,000 | 25,240 | ||||||
1.88%, 3/8/2019 | 50,000 | 51,365 | ||||||
2.88%, 9/13/2024 | 50,000 | 54,005 | ||||||
Series 0000, 1.15%, 6/22/2018 | 50,000 | 50,069 | ||||||
Series 0000, 2.25%, 6/11/2021 | 75,000 | 78,534 | ||||||
Federal Home Loan Mortgage Corp.: | ||||||||
0.88%, 3/7/2018 | 75,000 | 75,244 | ||||||
1.00%, 9/29/2017 | 100,000 | 100,379 | ||||||
1.25%, 8/1/2019 | 100,000 | 101,262 | ||||||
1.25%, 10/2/2019 | 75,000 | 75,900 | ||||||
1.70%, 6/30/2021 | 25,000 | 24,993 | ||||||
2.38%, 1/13/2022 | 75,000 | 79,458 | ||||||
2.50%, 10/1/2029 | 77,879 | 80,567 | ||||||
2.50%, 1/1/2031 | 144,117 | 149,194 | ||||||
2.50%, 5/1/2031 | 223,877 | 231,686 | ||||||
3.00%, 12/1/2030 | 189,553 | 198,964 | ||||||
3.00%, 5/1/2035 | 100,149 | 105,033 | ||||||
3.00%, 6/1/2036 | 400,000 | 419,338 | ||||||
3.00%, 6/1/2045 | 141,720 | 146,951 | ||||||
3.00%, 8/1/2045 | 285,846 | 296,396 | ||||||
3.00%, 4/1/2046 | 621,393 | 644,472 | ||||||
3.00%, 6/1/2046 | 200,000 | 207,428 | ||||||
3.50%, 8/1/2043 | 1,026,678 | 1,083,935 | ||||||
3.50%, 11/1/2044 | 96,223 | 101,448 | ||||||
3.50%, 1/1/2045 | 122,949 | 129,669 | ||||||
3.50%, 7/1/2045 | 92,127 | 97,162 | ||||||
3.50%, 7/1/2045 | 95,587 | 101,589 | ||||||
3.50%, 10/1/2045 | 116,417 | 122,779 | ||||||
3.50%, 12/1/2045 | 191,980 | 202,473 | ||||||
3.50%, 12/1/2045 | 94,050 | 99,190 | ||||||
3.50%, 1/1/2046 | 169,763 | 179,361 | ||||||
4.00%, 4/1/2025 | 146,526 | 152,981 | ||||||
4.00%, 4/1/2042 | 72,009 | 77,444 | ||||||
4.00%, 6/1/2042 | 183,588 | 197,359 | ||||||
4.00%, 12/1/2044 | 105,429 | 112,843 | ||||||
4.00%, 4/1/2045 | 83,046 | 88,936 | ||||||
4.00%, 10/1/2045 | 181,878 | 194,776 | ||||||
4.00%, 12/1/2045 | 306,913 | 328,677 | ||||||
4.00%, 1/1/2046 | 168,566 | 180,624 | ||||||
4.50%, 5/1/2044 | 170,626 | 186,043 | ||||||
5.00%, 7/1/2041 | 329,074 | 363,204 | ||||||
6.25%, 7/15/2032 | 60,000 | 90,725 | ||||||
Series GMTN, 0.75%, 4/9/2018 | 50,000 | 50,068 | ||||||
Series K010, Class A1, 3.32%, 7/25/2020 | 46,097 | 47,241 | ||||||
Series K028, Class A2, 3.11%, 2/25/2023 | 100,000 | 108,205 | ||||||
Series K040, Class A2, 3.24%, 9/25/2024 | 75,000 | 82,018 | ||||||
TBA, 2.50%, 7/1/2031(d) | 425,000 | 439,510 | ||||||
TBA, 3.00%, 7/1/2031(d) | 500,000 | 524,551 | ||||||
TBA, 3.00%, 7/1/2046(d) | 225,000 | 233,183 | ||||||
Federal National Mortgage Association: | ||||||||
0.88%, 10/26/2017 | 75,000 | 75,174 | ||||||
0.88%, 5/21/2018 | 50,000 | 50,197 | ||||||
1.38%, 1/28/2019 | 200,000 | 202,962 | ||||||
1.50%, 6/22/2020 | 100,000 | 101,872 | ||||||
1.75%, 9/14/2018 | 200,000 | 200,488 | ||||||
1.75%, 9/12/2019 | 75,000 | 77,039 | ||||||
2.00%, 9/26/2017 | 75,000 | 75,253 | ||||||
2.50%, 2/1/2031 | 217,865 | 225,614 | ||||||
3.00%, 3/1/2028 | 100,000 | 100,284 | ||||||
3.00%, 10/1/2028 | 162,035 | 170,092 | ||||||
3.00%, 8/1/2029 | 82,845 | 86,889 | ||||||
3.00%, 6/1/2030 | 109,108 | 114,450 | ||||||
3.00%, 9/1/2030 | 88,054 | 92,365 | ||||||
3.00%, 11/1/2030 | 181,826 | 190,728 |
See Accompanying Notes to Financial Statements.
28
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS – (continued) |
| |||||||
3.00%, 12/1/2030 | $ | 116,437 | $ | 122,138 | ||||
3.00%, 6/1/2036 | 124,490 | 130,599 | ||||||
3.00%, 7/1/2043 | 124,592 | 129,590 | ||||||
3.00%, 9/1/2045 | 119,591 | 124,136 | ||||||
3.00%, 11/1/2045 | 282,394 | 293,127 | ||||||
3.00%, 11/1/2045 | 168,464 | 174,867 | ||||||
3.00%, 12/1/2045 | 165,471 | 171,760 | ||||||
3.50%, 11/1/2025 | 84,343 | 89,495 | ||||||
3.50%, 1/1/2027 | 99,051 | 105,101 | ||||||
3.50%, 5/1/2029 | 95,607 | 101,442 | ||||||
3.50%, 10/1/2029 | 73,380 | 77,859 | ||||||
3.50%, 12/1/2035 | 95,109 | 101,228 | ||||||
3.50%, 10/1/2044 | 77,293 | 81,540 | ||||||
3.50%, 1/1/2045 | 96,351 | 101,683 | ||||||
3.50%, 1/1/2045 | 124,086 | 130,904 | ||||||
3.50%, 5/1/2045 | 88,954 | 93,877 | ||||||
3.50%, 8/1/2045 | 117,114 | 123,595 | ||||||
3.50%, 8/1/2045 | 159,745 | 168,586 | ||||||
3.50%, 11/1/2045 | 117,473 | 123,974 | ||||||
3.50%, 12/1/2045 | 191,730 | 202,340 | ||||||
3.50%, 12/1/2045 | 192,074 | 202,704 | ||||||
3.50%, 2/1/2046 | 971,873 | 1,026,098 | ||||||
3.50%, 2/1/2046 | 244,737 | 258,392 | ||||||
4.00%, 8/1/2018 | 72,653 | 75,243 | ||||||
4.00%, 1/1/2019 | 64,762 | 67,067 | ||||||
4.00%, 9/1/2019 | 113,041 | 117,112 | ||||||
4.00%, 3/1/2021 | 79,668 | 82,749 | ||||||
4.00%, 12/1/2040 | 114,358 | 123,242 | ||||||
4.00%, 11/1/2043 | 602,451 | 645,806 | ||||||
4.00%, 10/1/2044 | 69,995 | 75,029 | ||||||
4.00%, 10/1/2044 | 59,430 | 63,704 | ||||||
4.00%, 3/1/2045 | 119,304 | 127,957 | ||||||
4.00%, 7/1/2045 | 111,908 | 120,025 | ||||||
4.00%, 9/1/2045 | 176,710 | 189,527 | ||||||
4.00%, 9/1/2045 | 116,314 | 124,751 | ||||||
4.00%, 9/1/2045 | 185,499 | 198,954 | ||||||
4.00%, 12/1/2045 | 140,874 | 151,091 | ||||||
4.00%, 12/1/2045 | 112,107 | 120,238 | ||||||
4.50%, 4/1/2018 | 38,907 | 40,351 | ||||||
4.50%, 5/1/2020 | 48,440 | 50,238 | ||||||
4.50%, 12/1/2040 | 279,939 | 306,838 | ||||||
4.50%, 1/1/2042 | 134,926 | 147,908 | ||||||
4.50%, 9/1/2043 | 66,138 | 72,174 | ||||||
4.50%, 9/1/2043 | 208,026 | 228,015 | ||||||
4.50%, 11/1/2043 | 135,621 | 147,997 | ||||||
4.50%, 6/1/2044 | 182,966 | 199,649 | ||||||
5.00%, 7/1/2041 | 111,253 | 123,703 | ||||||
5.00%, 5/1/2042 | 114,338 | 127,133 | ||||||
5.00%, 1/1/2045 | 156,161 | 173,382 | ||||||
5.50%, 2/1/2037 | 62,994 | 70,737 | ||||||
5.50%, 4/1/2038 | 310,143 | 348,262 | ||||||
5.50%, 9/1/2040 | 92,069 | 103,375 | ||||||
5.50%, 9/1/2041 | 151,536 | 170,160 | ||||||
6.63%, 11/15/2030 | 50,000 | 76,494 | ||||||
7.25%, 5/15/2030 | 75,000 | 119,283 | ||||||
Series 2011-M5, Class A2, 2.94%, 7/25/2021 | 140,000 | 149,124 | ||||||
Series 2011-M7, Class A2, 2.58%, 9/25/2018 | 148,627 | 151,935 | ||||||
Series 2013-M12, Class APT, 2.47%, 3/25/2023(c) | 43,023 | 44,562 | ||||||
Series 2014-M3, Class A2, VRN, 3.50%, 1/25/2024(c) | 50,000 | 55,163 | ||||||
TBA, 2.50%, 7/1/2031(d) | 565,000 | 584,643 | ||||||
TBA, 3.00%, 7/1/2046(d) | 1,100,000 | 1,141,250 | ||||||
TBA, 3.50%, 7/14/2046 | 500,000 | 527,500 | ||||||
TBA, 4.00%, 7/1/2046(d) | 175,000 | 187,660 | ||||||
Government National Mortgage Association: | ||||||||
3.00%, 12/20/2044 | 122,052 | 127,756 | ||||||
3.00%, 3/20/2045 | 66,589 | 69,635 | ||||||
3.00%, 4/20/2045 | 189,740 | 198,420 | ||||||
3.00%, 6/20/2045 | 92,687 | 96,927 | ||||||
3.00%, 7/20/2045 | 164,120 | 171,628 | ||||||
3.00%, 8/20/2045 | 141,799 | 148,286 | ||||||
3.00%, 4/20/2046 | 149,117 | 155,998 | ||||||
3.00%, 5/20/2046 | 249,435 | 260,946 | ||||||
3.50%, 10/20/2042 | 856,548 | 912,424 | ||||||
3.50%, 5/20/2043 | 127,715 | 135,813 | ||||||
3.50%, 9/20/2043 | 88,797 | 94,428 | ||||||
3.50%, 10/20/2044 | 103,028 | 109,405 | ||||||
3.50%, 12/20/2044 | 71,788 | 76,232 | ||||||
3.50%, 3/20/2045 | 69,022 | 73,274 | ||||||
3.50%, 4/20/2045 | 182,066 | 193,283 | ||||||
3.50%, 6/20/2045 | 133,091 | 141,291 | ||||||
3.50%, 10/20/2045 | 141,390 | 150,100 | ||||||
3.50%, 3/20/2046 | 122,685 | 130,346 | ||||||
3.50%, 4/20/2046 | 223,373 | 237,322 | ||||||
3.50%, 5/20/2046 | 224,450 | 238,467 | ||||||
4.00%, 4/15/2040 | 106,709 | 115,453 | ||||||
4.00%, 2/20/2042 | 45,471 | 48,742 | ||||||
4.00%, 7/20/2042 | 29,750 | 31,890 | ||||||
4.00%, 7/15/2044 | 112,798 | 121,299 | ||||||
4.00%, 8/20/2044 | 68,110 | 72,839 | ||||||
4.00%, 10/20/2044 | 85,171 | 91,085 | ||||||
4.00%, 5/15/2045 | 121,655 | 130,728 | ||||||
4.00%, 6/15/2045 | 274,123 | 294,567 | ||||||
4.00%, 8/20/2045 | 81,358 | 87,017 | ||||||
4.00%, 11/20/2045 | 280,300 | 299,799 | ||||||
4.50%, 1/20/2044 | 283,950 | 305,958 | ||||||
4.50%, 11/20/2044 | 101,113 | 108,816 | ||||||
4.50%, 12/20/2044 | 81,308 | 87,503 | ||||||
5.00%, 6/15/2040 | 82,347 | 92,350 | ||||||
5.00%, 10/15/2041 | 122,248 | 136,073 | ||||||
5.00%, 3/20/2044 | 140,957 | 155,840 | ||||||
5.50%, 10/20/2043 | 114,597 | 130,186 | ||||||
TBA, 3.00%, 7/1/2046(d) | 600,000 | 627,000 | ||||||
TBA, 3.50%, 7/1/2046(d) | 625,000 | 663,281 | ||||||
TBA, 4.50%, 7/1/2046(d) | 200,000 | 220,469 | ||||||
Tennessee Valley Authority | 50,000 | 53,983 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 30,330,526 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS – 36.6% |
| |||||||
Treasury Bonds: | ||||||||
2.50%, 2/15/2045 | 840,000 | 873,029 | ||||||
2.50%, 2/15/2046 | 100,000 | 103,949 | ||||||
2.50%, 5/15/2046 | 100,000 | 104,055 |
See Accompanying Notes to Financial Statements.
29
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS – (continued) |
| |||||||
2.75%, 8/15/2042 | $ | 150,000 | $ | 164,935 | ||||
2.75%, 11/15/2042 | 500,000 | 548,850 | ||||||
2.88%, 5/15/2043 | 75,000 | 84,164 | ||||||
2.88%, 8/15/2045 | 80,000 | 89,626 | ||||||
3.00%, 5/15/2042 | 200,000 | 230,542 | ||||||
3.00%, 11/15/2044 | 175,000 | 200,846 | ||||||
3.00%, 5/15/2045 | 375,000 | 430,305 | ||||||
3.13%, 11/15/2041 | 300,000 | 353,595 | ||||||
3.13%, 8/15/2044 | 500,000 | 587,445 | ||||||
3.63%, 8/15/2043 | 100,000 | 128,779 | ||||||
3.75%, 8/15/2041 | 50,000 | 65,114 | ||||||
4.38%, 2/15/2038 | 275,000 | 391,443 | ||||||
4.38%, 11/15/2039 | 250,000 | 354,800 | ||||||
4.38%, 5/15/2040 | 325,000 | 461,741 | ||||||
4.75%, 2/15/2037 | 25,000 | 37,133 | ||||||
5.25%, 11/15/2028 | 450,000 | 633,096 | ||||||
Treasury Notes: | ||||||||
0.63%, 8/31/2017 | 1,000,000 | 1,000,980 | ||||||
0.63%, 11/30/2017 | 500,000 | 500,450 | ||||||
0.75%, 1/31/2018 | 200,000 | 200,566 | ||||||
0.75%, 3/31/2018 | 250,000 | 250,710 | ||||||
0.75%, 4/15/2018 | 200,000 | 200,576 | ||||||
0.88%, 11/15/2017 | 750,000 | 753,255 | ||||||
0.88%, 1/15/2018 | 250,000 | 251,155 | ||||||
0.88%, 7/15/2018 | 350,000 | 351,928 | ||||||
0.88%, 10/15/2018 | 500,000 | 502,735 | ||||||
0.88%, 4/15/2019 | 150,000 | 150,720 | ||||||
1.00%, 2/15/2018 | 500,000 | 503,350 | ||||||
1.00%, 5/31/2018 | 500,000 | 503,945 | ||||||
1.00%, 8/15/2018 | 300,000 | 302,436 | ||||||
1.00%, 9/15/2018 | 100,000 | 100,824 | ||||||
1.00%, 8/31/2019 | 500,000 | 504,000 | ||||||
1.00%, 9/30/2019 | 750,000 | 755,767 | ||||||
1.00%, 6/30/2021 | 50,000 | 50,268 | ||||||
1.13%, 6/15/2018 | 150,000 | 151,535 | ||||||
1.13%, 1/15/2019 | 200,000 | 202,280 | ||||||
1.13%, 4/30/2020 | 100,000 | 100,989 | ||||||
1.25%, 12/15/2018 | 750,000 | 760,920 | ||||||
1.25%, 1/31/2020 | 250,000 | 253,660 | ||||||
1.25%, 3/31/2021 | 200,000 | 202,344 | ||||||
1.25%, 6/30/2023 | 750,000 | 753,900 | ||||||
1.38%, 9/30/2018 | 100,000 | 101,665 | ||||||
1.38%, 2/28/2019 | 500,000 | 509,180 | ||||||
1.38%, 2/29/2020 | 500,000 | 509,465 | ||||||
1.38%, 4/30/2020 | 350,000 | 356,625 | ||||||
1.38%, 5/31/2020 | 500,000 | 509,250 | ||||||
1.38%, 8/31/2020 | 200,000 | 203,682 | ||||||
1.38%, 9/30/2020 | 550,000 | 560,015 | ||||||
1.38%, 10/31/2020 | 1,100,000 | 1,119,921 | ||||||
1.38%, 1/31/2021 | 500,000 | 508,840 | ||||||
1.38%, 4/30/2021 | 525,000 | 534,077 | ||||||
1.38%, 5/31/2021 | 275,000 | 279,953 | ||||||
1.50%, 12/31/2018 | 750,000 | 765,608 | ||||||
1.50%, 5/31/2020 | 300,000 | 307,002 | ||||||
1.50%, 1/31/2022 | 500,000 | 510,105 | ||||||
1.63%, 8/31/2019 | 800,000 | 821,864 | ||||||
1.63%, 12/31/2019 | 750,000 | 770,745 | ||||||
1.63%, 6/30/2020 | 75,000 | 77,132 | ||||||
1.63%, 7/31/2020 | 100,000 | 102,839 | ||||||
1.63%, 5/31/2023 | 100,000 | 102,254 | ||||||
1.63%, 2/15/2026 | 375,000 | 379,099 | ||||||
1.63%, 5/15/2026 | 300,000 | 303,585 | ||||||
1.75%, 10/31/2018 | 500,000 | 512,835 | ||||||
1.75%, 10/31/2020 | 650,000 | 671,872 | ||||||
1.75%, 2/28/2022 | 300,000 | 310,062 | ||||||
1.75%, 3/31/2022 | 250,000 | 258,318 | ||||||
1.75%, 4/30/2022 | 300,000 | 309,993 | ||||||
1.75%, 1/31/2023 | 800,000 | 824,520 | ||||||
1.75%, 5/15/2023 | 250,000 | 257,882 | ||||||
1.88%, 9/30/2017 | 750,000 | 762,390 | ||||||
1.88%, 10/31/2017 | 500,000 | 508,655 | ||||||
1.88%, 5/31/2022 | 100,000 | 104,015 | ||||||
1.88%, 8/31/2022 | 150,000 | 155,916 | ||||||
2.00%, 2/28/2021 | 750,000 | 784,658 | ||||||
2.00%, 5/31/2021 | 350,000 | 366,538 | ||||||
2.00%, 8/31/2021 | 300,000 | 314,220 | ||||||
2.00%, 11/15/2021 | 500,000 | 524,235 | ||||||
2.00%, 7/31/2022 | 100,000 | 104,695 | ||||||
2.00%, 2/15/2023 | 500,000 | 523,760 | ||||||
2.00%, 2/15/2025 | 625,000 | 653,650 | ||||||
2.00%, 8/15/2025 | 500,000 | 522,505 | ||||||
2.13%, 8/31/2020 | 500,000 | 524,495 | ||||||
2.13%, 6/30/2022 | 150,000 | 158,170 | ||||||
2.13%, 12/31/2022 | 650,000 | 685,204 | ||||||
2.13%, 5/15/2025 | 300,000 | 316,752 | ||||||
2.25%, 11/15/2024 | 175,000 | 186,611 | ||||||
2.25%, 11/15/2025 | 400,000 | 426,592 | ||||||
2.63%, 8/15/2020 | 150,000 | 160,389 | ||||||
2.63%, 11/15/2020 | 250,000 | 267,897 | ||||||
2.75%, 2/15/2024 | 100,000 | 110,386 | ||||||
4.00%, 8/15/2018 | 250,000 | 268,315 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 36,061,176 | ||||||
|
| |||||||
MUNICIPAL BONDS & NOTES – 0.8% |
| |||||||
California – 0.5% | ||||||||
California, State General Obligation | 100,000 | 151,511 | ||||||
Los Angeles, CA, Department of Water & Power Revenue | 100,000 | 135,599 | ||||||
Los Angeles, CA, Unified School District, General Obligation | 25,000 | 33,091 | ||||||
San Francisco, CA, Bay Area Toll Authority, Toll Bridge Revenue | 25,000 | 40,115 | ||||||
University of California, Revenue | 50,000 | 73,023 | ||||||
|
| |||||||
433,339 | ||||||||
|
| |||||||
Illinois – 0.1% | ||||||||
State of Illinois: | ||||||||
5.10%, 6/1/2033 | 50,000 | 48,054 | ||||||
5.67%, 3/1/2018 | 50,000 | 52,685 | ||||||
|
| |||||||
100,739 | ||||||||
|
| |||||||
New Jersey – 0.1% | ||||||||
New Jersey, State Turnpike Authority Revenue | 50,000 | 75,622 | ||||||
|
|
See Accompanying Notes to Financial Statements.
30
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Principal Amount | Value | ||||||
MUNICIPAL BONDS & NOTES – (continued) |
| |||||||
New York – 0.1% | ||||||||
City of New York NY | $ | 25,000 | $ | 34,596 | ||||
New York, NY, City Municipal Water Finance Authority, Water & Sewer System Revenue | 25,000 | 34,944 | ||||||
New York, NY, Metropolitan Transportation Authority Revenue | 25,000 | 34,811 | ||||||
Port Authority of New York & New Jersey | 25,000 | 30,057 | ||||||
|
| |||||||
134,408 | ||||||||
|
| |||||||
Oregon – 0.0%(a) | ||||||||
Oregon School Boards Association | 25,000 | 28,995 | ||||||
|
| |||||||
Pennsylvania – 0.0%(a) | ||||||||
Pennsylvania, State General Obligation | 20,000 | 24,648 | ||||||
|
| |||||||
Texas – 0.0%(a) | ||||||||
Texas Transportation Commission State Highway Fund | 25,000 | 30,792 | ||||||
|
| |||||||
TOTAL MUNICIPAL BONDS & NOTES |
| 828,543 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES – 0.5% |
| |||||||
Automobile – 0.2% | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 | 50,000 | 50,340 | ||||||
CarMax Auto Owner Trust 2015-1 | 75,000 | 75,278 | ||||||
Fifth Third Auto Trust 2015-1 | 100,000 | 100,540 | ||||||
|
| |||||||
226,158 | ||||||||
|
| |||||||
Credit Card – 0.3% | ||||||||
Capital One Multi-Asset Execution Trust | 30,000 | 30,192 | ||||||
Citibank Credit Card Issuance Trust: | 100,000 | 106,890 | ||||||
Series 2014-A1, Class A1, 2.88%, 1/23/2023 | 100,000 | 106,280 | ||||||
|
| |||||||
243,362 | ||||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES |
| 469,520 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES – 1.0% |
| |||||||
Banc of America Commercial | 100,000 | 109,144 | ||||||
Citigroup Commercial | 75,000 | 79,381 | ||||||
COMM 2013-CCRE8 Mortgage Trust | 65,000 | 69,715 | ||||||
COMM 2013-LC6 Mortgage Trust | 75,000 | 75,349 | ||||||
COMM 2014-UBS6 Mortgage Trust | 100,000 | 108,593 | ||||||
COMM 2015-LC21 Mortgage Trust | 50,000 | 54,597 | ||||||
GS Mortgage Securities Trust 2013-GC13 | 80,000 | 90,344 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2007-CIBC20 | 44,182 | 45,406 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 | 60,000 | 67,835 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C18 | 50,000 | 55,939 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C33 | 100,000 | 109,737 | ||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 | 62,049 | 61,579 | ||||||
WFRBS Commercial Mortgage Trust 2014-C19 | 75,000 | 79,836 | ||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES |
| 1,007,455 | ||||||
|
|
See Accompanying Notes to Financial Statements.
31
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
SHORT-TERM INVESTMENT – 6.2% |
| |||||||
State Street Institutional Liquid | 6,119,299 | $ | 6,119,299 | |||||
|
| |||||||
TOTAL INVESTMENTS – 105.5% |
| 104,065,855 | ||||||
Liabilities in Excess of | (5,423,316 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 98,642,539 | ||||||
|
|
(a) | Amount is less than 0.05% of net assets. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 0.6% of net assets as of June 30, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Variable Rate Security – Interest rate shown is rate in effect at June 30, 2016. |
(d) | When-issued security. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2016. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||
Advertising | $ | – | $ | 53,080 | $ | – | $ | 53,080 | ||||||||
Aerospace & Defense | – | 332,180 | – | 332,180 | ||||||||||||
Agriculture | – | 294,709 | – | 294,709 | ||||||||||||
Airlines | – | 49,499 | – | 49,499 | ||||||||||||
Auto Manufacturers | – | 514,010 | – | 514,010 | ||||||||||||
Auto Parts & Equipment | – | 78,670 | – | 78,670 | ||||||||||||
Banks | – | 5,770,293 | – | 5,770,293 | ||||||||||||
Beverages | – | 716,603 | – | 716,603 | ||||||||||||
Biotechnology | – | 341,269 | – | 341,269 | ||||||||||||
Chemicals | – | 459,435 | – | 459,435 | ||||||||||||
Commercial Services | – | 128,946 | – | 128,946 | ||||||||||||
Construction Materials | – | 30,063 | – | 30,063 | ||||||||||||
Diversified Financial Services | – | 1,230,682 | – | 1,230,682 | ||||||||||||
Electric | – | 1,679,724 | – | 1,679,724 | ||||||||||||
Electrical Components & Equipment | – | 25,727 | – | 25,727 | ||||||||||||
Electronics | – | 133,927 | – | 133,927 | ||||||||||||
Environmental Control | – | 73,909 | – | 73,909 | ||||||||||||
Food | – | 429,235 | – | 429,235 | ||||||||||||
Forest Products & Paper | – | 62,161 | – | 62,161 | ||||||||||||
Gas | – | 322,407 | – | 322,407 | ||||||||||||
Hand & Machine Tools | – | 52,750 | – | 52,750 | ||||||||||||
Health Care Products | – | 347,366 | – | 347,366 | ||||||||||||
Health Care Services | – | 554,103 | – | 554,103 | ||||||||||||
Holding Companies-Divers | – | 25,199 | – | 25,199 | ||||||||||||
Household Products | – | 119,902 | – | 119,902 | ||||||||||||
Household Products & Wares | – | 77,270 | – | 77,270 | ||||||||||||
Housewares | – | 51,769 | – | 51,769 | ||||||||||||
Insurance | – | 744,097 | – | 744,097 | ||||||||||||
Internet | – | 77,167 | – | 77,167 | ||||||||||||
Iron/Steel | – | 96,558 | – | 96,558 | ||||||||||||
IT Services | – | 716,986 | – | 716,986 | ||||||||||||
Lodging | – | 77,752 | – | 77,752 | ||||||||||||
Machinery, Construction & Mining | – | 105,632 | – | 105,632 | ||||||||||||
Machinery-Diversified | – | 129,618 | – | 129,618 | ||||||||||||
Media | – | 1,012,311 | – | 1,012,311 | ||||||||||||
Metal Fabricate & Hardware | – | 25,729 | – | 25,729 | ||||||||||||
Mining | – | 215,569 | – | 215,569 |
See Accompanying Notes to Financial Statements.
32
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 Significant Unobservable Inputs | Total | ||||||||||||
Miscellaneous Manufacturer | $ | – | $ | 268,028 | $ | – | $ | 268,028 | ||||||||
Multi-National | – | 1,320,864 | – | 1,320,864 | ||||||||||||
Oil & Gas | – | 1,871,714 | – | 1,871,714 | ||||||||||||
Oil & Gas Services | – | 150,613 | – | 150,613 | ||||||||||||
Pharmaceuticals | – | 1,291,113 | – | 1,291,113 | ||||||||||||
Pipelines | – | 747,403 | – | 747,403 | ||||||||||||
Real Estate | – | 53,602 | – | 53,602 | ||||||||||||
Real Estate Investment Trusts | – | 667,771 | – | 667,771 | ||||||||||||
Retail | – | 1,012,051 | – | 1,012,051 | ||||||||||||
Semiconductors | – | 251,097 | – | 251,097 | ||||||||||||
Software | – | 572,048 | – | 572,048 | ||||||||||||
Telecommunications | – | 1,361,539 | – | 1,361,539 | ||||||||||||
Toys/Games/Hobbies | – | 25,432 | – | 25,432 | ||||||||||||
Transportation | – | 469,342 | – | 469,342 | ||||||||||||
Trucking & Leasing | – | 50,319 | – | 50,319 | ||||||||||||
Water | – | 26,906 | – | 26,906 | ||||||||||||
Foreign Government Obligations | – | 1,953,187 | – | 1,953,187 | ||||||||||||
U.S. Government Agency Obligations | – | 30,330,526 | – | 30,330,526 | ||||||||||||
U.S. Treasury Obligations | – | 36,061,176 | – | 36,061,176 | ||||||||||||
Municipal Bonds & Notes | – | 828,543 | – | 828,543 | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Automobile | – | 226,158 | – | 226,158 | ||||||||||||
Credit Card | – | 243,362 | – | 243,362 | ||||||||||||
Mortgage-Backed Securities | – | 1,007,455 | – | 1,007,455 | ||||||||||||
Short-Term Investment | 6,119,299 | – | – | 6,119,299 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 6,119,299 | $ | 97,946,556 | $ | – | $ | 104,065,855 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 12/31/15 | Value at 12/31/15 | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/16 | Value at 6/30/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 13,317,540 | $ | 13,317,540 | 10,984,619 | 18,182,860 | 6,119,299 | $ | 6,119,299 | $ | – | $ | – |
See Accompanying Notes to Financial Statements.
33
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2016 | |||
Common Stocks | 96.4 | % | ||
Short-Term Investment | 2.3 | |||
Rights | 0.0 | ** | ||
Other Assets in Excess of Liabilities | 1.3 | |||
Total | 100.0 | % |
** | Less than 0.05% of net assets. |
Top Five Sectors (excluding short-term investment)* | June 30, 2016 | |||
Banks | 12.8 | % | ||
Pharmaceuticals | 7.2 | |||
Oil, Gas & Consumable Fuels | 6.5 | |||
Insurance | 5.3 | |||
Food Products | 2.7 | |||
Total | 34.5 | % |
* | 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.
34
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 96.4% | ||||||||
Australia – 5.0% | ||||||||
AGL Energy, Ltd. | 8,934 | $ | 129,541 | |||||
Alumina, Ltd. | 30,979 | 30,402 | ||||||
Amcor, Ltd. | 14,935 | 167,653 | ||||||
AMP, Ltd. | 38,481 | 149,727 | ||||||
APA Group | 14,648 | 101,718 | ||||||
Aristocrat Leisure, Ltd. | 8,485 | 88,128 | ||||||
Asciano, Ltd. | 7,035 | 46,601 | ||||||
ASX, Ltd. | 2,635 | 90,579 | ||||||
Aurizon Holdings, Ltd. | 28,249 | 102,331 | ||||||
AusNet Services | 22,875 | 28,128 | ||||||
Australia & New Zealand Banking Group, Ltd. | 40,308 | 733,232 | ||||||
Bank of Queensland, Ltd. | 4,421 | 35,215 | ||||||
Bendigo & Adelaide Bank, Ltd. | 5,363 | 38,768 | ||||||
BHP Billiton PLC | 28,419 | 361,197 | ||||||
BHP Billiton, Ltd. | 44,493 | 619,067 | ||||||
Boral, Ltd. | 8,841 | 41,440 | ||||||
Brambles, Ltd. | 22,413 | 208,920 | ||||||
Caltex Australia, Ltd. | 3,622 | 87,186 | ||||||
Challenger, Ltd. | 8,200 | 53,486 | ||||||
CIMIC Group, Ltd. | 1,254 | 33,801 | ||||||
Coca-Cola Amatil, Ltd. | 6,539 | 40,300 | ||||||
Cochlear, Ltd. | 903 | 82,257 | ||||||
Commonwealth Bank of Australia | 23,147 | 1,297,155 | ||||||
Computershare, Ltd. | 5,374 | 37,101 | ||||||
Crown Resorts, Ltd. | 4,236 | 40,226 | ||||||
CSL, Ltd. | 6,214 | 523,199 | ||||||
Dexus Property Group REIT | 13,361 | 90,517 | ||||||
Domino’s Pizza Enterprises, Ltd. | 804 | 41,305 | ||||||
DUET Group | 29,705 | 55,625 | ||||||
Flight Centre Travel Group, Ltd. | 714 | 16,959 | ||||||
Fortescue Metals Group, Ltd. | 18,452 | 49,299 | ||||||
Goodman Group REIT | 22,969 | 122,996 | ||||||
GPT Group REIT | 24,100 | 97,849 | ||||||
Harvey Norman Holdings, Ltd. | 6,810 | 23,658 | ||||||
Healthscope, Ltd. | 21,817 | 46,873 | ||||||
Incitec Pivot, Ltd. | 19,003 | 42,618 | ||||||
Insurance Australia Group, Ltd. | 34,304 | 141,080 | ||||||
LendLease Group | 8,364 | 79,323 | ||||||
Macquarie Group, Ltd. | 4,315 | 224,254 | ||||||
Medibank Pvt, Ltd. | 40,637 | 89,970 | ||||||
Mirvac Group REIT | 56,169 | 85,287 | ||||||
National Australia Bank, Ltd. | 36,039 | 690,814 | ||||||
Newcrest Mining, Ltd.(a) | 11,050 | 191,209 | ||||||
Oil Search, Ltd. | 16,621 | 83,794 | ||||||
Orica, Ltd. | 4,199 | 38,998 | ||||||
Origin Energy, Ltd. | 23,498 | 102,500 | ||||||
Platinum Asset Management, Ltd. | 1,984 | 8,603 | ||||||
Qantas Airways, Ltd. | 7,923 | 16,756 | ||||||
QBE Insurance Group, Ltd. | 18,143 | 143,092 | ||||||
Ramsay Health Care, Ltd. | 2,139 | 115,417 | ||||||
REA Group, Ltd. | 651 | 29,168 | ||||||
Santos, Ltd. | 21,416 | 75,686 | ||||||
Scentre Group REIT | 72,696 | 268,829 | ||||||
SEEK, Ltd. | 3,788 | 43,415 | ||||||
Sonic Healthcare, Ltd. | 5,457 | 88,354 | ||||||
South32, Ltd.(a)(b) | 10,757 | 12,907 | ||||||
South32, Ltd.(a)(b) | 61,528 | 72,043 | ||||||
Stockland REIT | 31,585 | 111,804 | ||||||
Suncorp Group, Ltd. | 16,983 | 155,482 | ||||||
Sydney Airport | 13,736 | 71,609 | ||||||
Tabcorp Holdings, Ltd. | 8,832 | 30,375 | ||||||
Tatts Group, Ltd. | 16,569 | 47,604 | ||||||
Telstra Corp., Ltd. | 60,323 | 251,728 | ||||||
TPG Telecom, Ltd. | 3,884 | 34,771 | ||||||
Transurban Group Stapled Security | 27,811 | 250,084 | ||||||
Treasury Wine Estates, Ltd. | 11,211 | 77,778 | ||||||
Vicinity Centres REIT | 43,921 | 109,400 | ||||||
Vocus Communications, Ltd. | 5,093 | 33,069 | ||||||
Wesfarmers, Ltd. | 15,059 | 453,402 | ||||||
Westfield Corp. | 27,932 | 224,008 | ||||||
Westpac Banking Corp. | 45,335 | 1,003,710 | ||||||
Woodside Petroleum, Ltd. | 10,656 | 215,727 | ||||||
Woolworths, Ltd. | 17,270 | 271,195 | ||||||
|
| |||||||
11,698,302 | ||||||||
|
| |||||||
Austria – 0.1% | ||||||||
Andritz AG | 1,050 | 49,842 | ||||||
Erste Group Bank AG | 3,657 | 83,352 | ||||||
OMV AG | 1,947 | 54,790 | ||||||
Raiffeisen Bank International AG(a) | 1,758 | 22,232 | ||||||
Voestalpine AG | 1,496 | 50,403 | ||||||
|
| |||||||
260,619 | ||||||||
|
| |||||||
Belgium – 1.0% | ||||||||
Ageas | 2,936 | 102,164 | ||||||
Anheuser-Busch InBev SA | 11,024 | 1,459,349 | ||||||
Colruyt SA | 1,120 | 62,045 | ||||||
Delhaize Group | 1,378 | 145,721 | ||||||
Groupe Bruxelles Lambert SA | 1,081 | 88,744 | ||||||
KBC Group NV(a) | 3,509 | 172,762 | ||||||
Proximus SADP | 1,958 | 62,290 | ||||||
Solvay SA | 976 | 91,265 | ||||||
Telenet Group Holding NV(a) | 779 | 35,659 | ||||||
UCB SA | 1,690 | 127,035 | ||||||
Umicore SA | 1,228 | 63,500 | ||||||
|
| |||||||
2,410,534 | ||||||||
|
| |||||||
Brazil – 1.6% | ||||||||
AES Tiete Energia SA | 5,337 | 24,638 | ||||||
Ambev SA | 63,608 | 378,223 | ||||||
Banco Bradesco SA | 12,396 | 104,508 | ||||||
Banco Bradesco SA Preference Shares | 37,818 | 297,232 | ||||||
Banco do Brasil SA | 10,800 | 57,915 | ||||||
Banco Santander Brasil SA | 6,700 | 38,020 | ||||||
BB Seguridade Participacoes SA | 9,200 | 80,722 | ||||||
BM&FBovespa SA | 22,200 | 124,729 | ||||||
BR Malls Participacoes SA | 8,620 | 34,574 | ||||||
Braskem SA Class A, Preference Shares | 2,400 | 14,263 | ||||||
BRF SA | 9,300 | 131,006 | ||||||
CCR SA | 12,500 | 65,548 | ||||||
Centrais Eletricas Brasileiras SA Class B, Preference Shares(a) | 6,800 | 37,377 | ||||||
CETIP SA – Mercados Organizados | 3,100 | 42,372 | ||||||
Cia Brasileira de Distribuicao Preference Shares | 2,300 | 33,534 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 5,300 | 48,107 |
See Accompanying Notes to Financial Statements.
35
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Brazil – (continued) | ||||||||
Cia Energetica de Minas Gerais Preference Shares | 6,700 | $ | 15,225 | |||||
Cia Energetica de Sao Paulo Class B, Preference Shares | 1,600 | 5,943 | ||||||
Cia Paranaense de Energia Preference Shares | 1,300 | 11,857 | ||||||
Cia Siderurgica Nacional SA(a) | 9,900 | 24,165 | ||||||
Cielo SA | 14,416 | 152,361 | ||||||
Cosan SA Industria e Comercio | 1,500 | 15,596 | ||||||
CPFL Energia SA | 1,969 | 12,654 | ||||||
Duratex SA | 4,428 | 11,748 | ||||||
EDP – Energias do Brasil SA(a)(b) | 974 | 4,195 | ||||||
EDP – Energias do Brasil SA(b) | 3,500 | 14,879 | ||||||
Embraer SA | 8,500 | 46,430 | ||||||
Equatorial Energia SA | 2,400 | 36,445 | ||||||
Fibria Celulose SA | 3,500 | 23,521 | ||||||
Gerdau SA Preference Shares | 9,300 | 17,098 | ||||||
Hypermarcas SA | 5,500 | 40,069 | ||||||
Itau Unibanco Holding SA Preference Shares | 40,490 | 382,941 | ||||||
Itausa – Investimentos Itau SA Preference Shares | 49,439 | 117,126 | ||||||
JBS SA | 13,700 | 42,762 | ||||||
Klabin SA | 7,827 | 37,672 | ||||||
Kroton Educacional SA | 17,800 | 75,561 | ||||||
Localiza Rent a Car SA | 2,300 | 24,768 | ||||||
Lojas Americanas SA | 2,020 | 7,156 | ||||||
Lojas Americanas SA Preference Shares | 6,060 | 30,416 | ||||||
Lojas Renner SA | 7,300 | 53,980 | ||||||
M Dias Branco SA | 400 | 13,222 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 700 | 13,166 | ||||||
Natura Cosmeticos SA | 1,400 | 11,143 | ||||||
Odontoprev SA | 3,400 | 14,125 | ||||||
Petroleo Brasileiro SA(a) | 38,700 | 139,036 | ||||||
Petroleo Brasileiro SA Preference Shares(a) | 55,000 | 161,717 | ||||||
Porto Seguro SA | 900 | 7,515 | ||||||
Qualicorp SA | 1,794 | 10,421 | ||||||
Raia Drogasil SA | 2,900 | 57,154 | ||||||
Rumo Logistica Operadora Multimodal SA(a) | 16,140 | 24,685 | ||||||
Sul America SA | 2,500 | 12,204 | ||||||
Suzano Papel e Celulose SA Class A, Preference Shares | 8,200 | 28,999 | ||||||
Telefonica Brasil SA Preference Shares | 6,885 | 94,558 | ||||||
Tim Participacoes SA | 14,100 | 30,103 | ||||||
TOTVS SA | 1,100 | 10,486 | ||||||
Tractebel Energia SA | 2,500 | 29,895 | ||||||
Transmissora Alianca de Energia Eletrica SA | 300 | 1,798 | ||||||
Ultrapar Participacoes SA | 4,700 | 104,321 | ||||||
Vale SA | 16,900 | 85,825 | ||||||
Vale SA Preference Shares | 25,600 | 104,118 | ||||||
WEG SA | 8,800 | 37,741 | ||||||
|
| |||||||
3,709,568 | ||||||||
|
| |||||||
Canada – 6.5% | ||||||||
Agnico Eagle Mines, Ltd. | 3,100 | 165,037 | ||||||
Agrium, Inc. | 1,800 | 162,010 | ||||||
Alimentation Couche-Tard, Inc. Class B | 5,700 | 243,502 | ||||||
AltaGas, Ltd. | 2,600 | 62,863 | ||||||
ARC Resources, Ltd. | 5,300 | 90,231 | ||||||
Atco, Ltd. Class I | 900 | 31,407 | ||||||
Bank of Montreal | 8,800 | 555,294 | ||||||
Bank of Nova Scotia | 16,400 | 799,479 | ||||||
Barrick Gold Corp. | 15,800 | 335,539 | ||||||
BCE, Inc. | 2,079 | 97,875 | ||||||
BlackBerry, Ltd.(a) | 5,700 | 38,053 | ||||||
Bombardier, Inc. Class B(a) | 30,600 | 45,710 | ||||||
Brookfield Asset Management, Inc. Class A | 11,850 | 389,982 | ||||||
CAE, Inc. | 3,200 | 38,463 | ||||||
Cameco Corp. | 4,900 | 53,539 | ||||||
Canadian Imperial Bank of Commerce | 5,300 | 396,021 | ||||||
Canadian National Railway Co. | 10,600 | 622,680 | ||||||
Canadian Natural Resources, Ltd. | 14,700 | 451,176 | ||||||
Canadian Pacific Railway, Ltd. | 2,000 | 256,148 | ||||||
Canadian Tire Corp., Ltd. Class A | 900 | 97,540 | ||||||
Canadian Utilities, Ltd. Class A | 1,500 | 43,232 | ||||||
CCL Industries, Inc. Class B | 400 | 69,251 | ||||||
Cenovus Energy, Inc. | 10,800 | 148,607 | ||||||
CGI Group, Inc. Class A(a) | 3,300 | 140,238 | ||||||
CI Financial Corp. | 3,800 | 78,856 | ||||||
Constellation Software, Inc. | 300 | 115,502 | ||||||
Crescent Point Energy Corp. | 7,400 | 116,296 | ||||||
Dollarama, Inc. | 1,500 | 104,181 | ||||||
Eldorado Gold Corp. | 8,600 | 38,474 | ||||||
Element Financial Corp. | 4,600 | 48,525 | ||||||
Empire Co., Ltd. Class A | 1,900 | 28,104 | ||||||
Enbridge, Inc. | 12,700 | 535,205 | ||||||
Encana Corp. | 11,100 | 85,897 | ||||||
Fairfax Financial Holdings, Ltd. | 300 | 160,737 | ||||||
Finning International, Inc. | 2,000 | 32,402 | ||||||
First Capital Realty, Inc. | 1,700 | 29,007 | ||||||
First Quantum Minerals, Ltd. | 8,100 | 56,570 | ||||||
Fortis, Inc. | 3,700 | 124,416 | ||||||
Franco-Nevada Corp. | 2,500 | 189,112 | ||||||
George Weston, Ltd. | 600 | 51,656 | ||||||
Gildan Activewear, Inc. | 3,400 | 99,065 | ||||||
Goldcorp, Inc. | 11,900 | 226,510 | ||||||
Great-West Lifeco, Inc. | 4,600 | 120,711 | ||||||
H&R Real Estate Investment Trust | 1,700 | 29,466 | ||||||
Husky Energy, Inc. | 4,755 | 57,740 | ||||||
Hydro One, Ltd.(c) | 2,300 | 45,975 | ||||||
IGM Financial, Inc. | 1,200 | 32,497 | ||||||
Imperial Oil, Ltd. | 3,900 | 122,763 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. | 1,200 | 37,524 | ||||||
Intact Financial Corp. | 1,900 | 135,020 | ||||||
Inter Pipeline, Ltd. | 5,000 | 105,490 | ||||||
Jean Coutu Group PJC, Inc. Class A | 1,100 | 16,940 | ||||||
Keyera Corp. | 2,800 | 85,205 | ||||||
Kinross Gold Corp.(a) | 18,000 | 87,872 | ||||||
Linamar Corp. | 700 | 24,805 |
See Accompanying Notes to Financial Statements.
36
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Canada – (continued) | ||||||||
Loblaw Cos., Ltd. | 2,900 | $ | 154,323 | |||||
Magna International, Inc. | 5,600 | 195,549 | ||||||
Manulife Financial Corp. | 26,500 | 360,557 | ||||||
Methanex Corp. | 1,000 | 28,944 | ||||||
Metro, Inc. | 3,500 | 121,302 | ||||||
National Bank of Canada | 4,500 | 153,119 | ||||||
Onex Corp. | 1,000 | 60,830 | ||||||
Open Text Corp. | 1,800 | 105,877 | ||||||
Pembina Pipeline Corp. | 5,300 | 160,220 | ||||||
Peyto Exploration & Development Corp. | 2,500 | 66,759 | ||||||
Potash Corp. of Saskatchewan, Inc. | 12,100 | 195,657 | ||||||
Power Corp. of Canada | 5,600 | 118,580 | ||||||
Power Financial Corp. | 3,700 | 84,473 | ||||||
PrairieSky Royalty, Ltd. | 2,694 | 50,864 | ||||||
Restaurant Brands International, Inc. | 2,946 | 121,996 | ||||||
RioCan Real Estate Investment Trust | 1,900 | 42,910 | ||||||
Rogers Communications, Inc. Class B | 5,100 | 205,382 | ||||||
Royal Bank of Canada | 20,400 | 1,199,150 | ||||||
Saputo, Inc. | 3,700 | 109,316 | ||||||
Seven Generations Energy, Ltd. Class A(a) | 2,400 | 45,572 | ||||||
Shaw Communications, Inc. Class B | 5,400 | 103,119 | ||||||
Silver Wheaton Corp. | 5,800 | 135,811 | ||||||
Smart Real Estate Investment Trust REIT | 900 | 26,473 | ||||||
SNC-Lavalin Group, Inc. | 1,800 | 75,204 | ||||||
Sun Life Financial, Inc. | 8,300 | 271,234 | ||||||
Suncor Energy, Inc. | 23,064 | 636,493 | ||||||
Teck Resources, Ltd. Class B | 8,300 | 108,711 | ||||||
TELUS Corp. | 2,400 | 76,877 | ||||||
Toronto-Dominion Bank | 25,500 | 1,089,351 | ||||||
Tourmaline Oil Corp.(a) | 3,100 | 81,182 | ||||||
TransCanada Corp. | 9,500 | 427,635 | ||||||
Turquoise Hill Resources, Ltd.(a) | 11,800 | 39,706 | ||||||
Veresen, Inc. | 3,500 | 29,510 | ||||||
Vermilion Energy, Inc. | 1,300 | 41,181 | ||||||
Waste Connections, Inc. | 674 | 48,442 | ||||||
West Fraser Timber Co., Ltd. | 800 | 23,266 | ||||||
Yamana Gold, Inc. | 11,800 | 61,058 | ||||||
|
| |||||||
15,213,033 | ||||||||
|
| |||||||
Chile – 0.3% | ||||||||
AES Gener SA | 22,037 | 10,775 | ||||||
Aguas Andinas SA Class A | 22,213 | 12,738 | ||||||
Antofagasta PLC | 5,081 | 31,904 | ||||||
Banco de Chile | 333,832 | 35,765 | ||||||
Banco de Credito e Inversiones | 310 | 13,391 | ||||||
Banco Santander Chile | 881,305 | 42,490 | ||||||
Cencosud SA | 21,114 | 60,236 | ||||||
Cia Cervecerias Unidas SA | 1,255 | 14,678 | ||||||
Colbun SA | 127,526 | 30,898 | ||||||
Embotelladora Andina SA Class B, Preference Shares | 3,273 | 11,653 | ||||||
Empresa Nacional de Electricidad SA | 38,452 | 35,528 | ||||||
Empresa Nacional de Telecomunicaciones SA | 1,005 | 9,102 | ||||||
Empresas CMPC SA | 16,988 | 35,340 | ||||||
Empresas COPEC SA | 6,114 | 53,765 | ||||||
Endesa Americas SA | 38,452 | 17,705 | ||||||
Enersis Chile SA | 246,306 | 28,858 | ||||||
Enersis SA | 246,306 | 42,169 | ||||||
Itau CorpBanca | 3,102,407 | 26,326 | ||||||
Latam Airlines Group SA(a) | 3,417 | 22,609 | ||||||
SACI Falabella | 6,489 | 49,477 | ||||||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 1,548 | 38,285 | ||||||
|
| |||||||
623,692 | ||||||||
|
| |||||||
China – 5.5% | ||||||||
3SBio, Inc.(a)(c) | 24,500 | 25,282 | ||||||
58.com, Inc. ADR(a) | 1,300 | 59,657 | ||||||
AAC Technologies Holdings, Inc. | 11,000 | 94,114 | ||||||
Agricultural Bank of China, Ltd. Class H | 360,000 | 132,275 | ||||||
Air China, Ltd. Class H | 22,000 | 15,039 | ||||||
Alibaba Group Holding, Ltd. ADR(a) | 13,600 | 1,081,608 | ||||||
Alibaba Health Information Technology, Ltd.(a) | 59,500 | 43,993 | ||||||
Aluminum Corp. of China, Ltd. Class H(a) | 34,000 | 10,816 | ||||||
Anhui Conch Cement Co., Ltd. Class H | 14,000 | 33,934 | ||||||
ANTA Sports Products, Ltd. | 12,000 | 24,213 | ||||||
AviChina Industry & Technology Co., Ltd. Class H | 20,000 | 13,947 | ||||||
Baidu, Inc. ADR(a) | 3,700 | 611,055 | ||||||
Bank of China, Ltd. Class H | 1,066,000 | 429,829 | ||||||
Bank of Communications Co., Ltd. Class H | 120,000 | 76,335 | ||||||
Beijing Capital International Airport Co., Ltd. Class H | 14,000 | 15,230 | ||||||
Beijing Enterprises Holdings, Ltd. | 5,500 | 31,288 | ||||||
Beijing Enterprises Water Group, Ltd. | 50,000 | 30,345 | ||||||
Belle International Holdings, Ltd. | 105,000 | 61,936 | ||||||
Brilliance China Automotive Holdings, Ltd. | 32,000 | 32,832 | ||||||
Byd Co., Ltd. Class H(a) | 7,500 | 45,239 | ||||||
CGN Power Co., Ltd. Class H(c) | 178,600 | 49,918 | ||||||
China Cinda Asset Management Co., Ltd. Class H | 100,592 | 34,111 | ||||||
China CITIC Bank Corp., Ltd. Class H | 140,000 | 85,456 | ||||||
China Coal Energy Co., Ltd. Class H(a) | 30,000 | 15,758 | ||||||
China Communications Construction Co., Ltd. Class H | 62,000 | 67,215 | ||||||
China Communications Services Corp., Ltd. Class H | 28,000 | 14,675 | ||||||
China Conch Venture Holdings, Ltd. | 15,000 | 29,829 | ||||||
China Construction Bank Corp. Class H | 1,161,000 | 775,493 |
See Accompanying Notes to Financial Statements.
37
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
China – (continued) | ||||||||
China COSCO Holdings Co., Ltd. Class H(a) | 22,000 | $ | 7,811 | |||||
China Everbright Bank Co., Ltd. Class H | 42,300 | 19,322 | ||||||
China Everbright International, Ltd. | 28,000 | 31,309 | ||||||
China Everbright, Ltd. | 12,000 | 23,284 | ||||||
China Galaxy Securities Co., Ltd. Class H | 37,800 | 34,163 | ||||||
China Huishan Dairy Holdings Co., Ltd. | 66,000 | 26,947 | ||||||
China Jinmao Holdings Group, Ltd. | 44,000 | 12,450 | ||||||
China Life Insurance Co., Ltd. Class H | 102,000 | 219,929 | ||||||
China Longyuan Power Group Corp., Ltd. Class H | 41,000 | 34,068 | ||||||
China Medical System Holdings, Ltd. | 14,000 | 21,494 | ||||||
China Mengniu Dairy Co., Ltd. | 44,000 | 76,976 | ||||||
China Merchants Bank Co., Ltd. Class H | 59,500 | 133,932 | ||||||
China Merchants Holdings International Co., Ltd. | 14,090 | 37,720 | ||||||
China Minsheng Banking Corp., Ltd. Class H | 82,000 | 79,660 | ||||||
China Mobile, Ltd. | 83,500 | 965,883 | ||||||
China National Building Material Co., Ltd. Class H | 32,000 | 14,074 | ||||||
China Oilfield Services, Ltd. Class H | 18,000 | 13,985 | ||||||
China Overseas Land & Investment, Ltd. | 56,000 | 178,523 | ||||||
China Pacific Insurance Group Co., Ltd. Class H | 37,600 | 127,434 | ||||||
China Petroleum & Chemical Corp. Class H | 358,000 | 258,240 | ||||||
China Power International Development, Ltd. | 40,000 | 14,818 | ||||||
China Railway Construction Corp., Ltd. Class H | 23,000 | 29,036 | ||||||
China Railway Group, Ltd. Class H | 46,000 | 34,574 | ||||||
China Resources Beer Holdings Co., Ltd. | 14,041 | 30,618 | ||||||
China Resources Gas Group, Ltd. | 12,000 | 36,650 | ||||||
China Resources Land, Ltd. | 35,333 | 83,262 | ||||||
China Resources Power Holdings Co., Ltd. | 22,055 | 33,100 | ||||||
China Shenhua Energy Co., Ltd. Class H | 47,500 | 88,347 | ||||||
China Shipping Container Lines Co., Ltd. Class H(a) | 42,000 | 8,769 | ||||||
China Southern Airlines Co., Ltd. Class H | 16,000 | 9,073 | ||||||
China State Construction International Holdings, Ltd. | 20,000 | 26,590 | ||||||
China Taiping Insurance Holdings Co., Ltd.(a) | 18,000 | 33,874 | ||||||
China Telecom Corp., Ltd. Class H | 182,000 | 81,850 | ||||||
China Unicom Hong Kong, Ltd. | 78,000 | 81,538 | ||||||
China Vanke Co., Ltd. Class H | 15,200 | 30,018 | ||||||
Chongqing Changan Automobile Co., Ltd. Class B | 10,700 | 14,989 | ||||||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 32,000 | 16,340 | ||||||
CITIC Securities Co., Ltd. Class H | 30,000 | 66,725 | ||||||
CITIC, Ltd. | 59,000 | 86,402 | ||||||
CNOOC, Ltd. | 242,000 | 302,389 | ||||||
COSCO Pacific, Ltd. | 28,381 | 28,300 | ||||||
Country Garden Holdings Co., Ltd. | 69,000 | 29,181 | ||||||
CRRC Corp., Ltd. Class H | 68,350 | 61,554 | ||||||
CSPC Pharmaceutical Group, Ltd. | 58,000 | 51,597 | ||||||
Ctrip.com International, Ltd. ADR(a) | 4,400 | 181,280 | ||||||
Dalian Wanda Commercial Properties Co., Ltd. Class H(c) | 9,600 | 59,477 | ||||||
Dongfeng Motor Group Co., Ltd. Class H | 30,000 | 31,622 | ||||||
ENN Energy Holdings, Ltd. | 12,000 | 59,593 | ||||||
Evergrande Real Estate Group, Ltd. | 70,000 | 42,912 | ||||||
Far East Horizon, Ltd. | 23,000 | 17,964 | ||||||
Fosun International, Ltd. | 43,000 | 55,809 | ||||||
Geely Automobile Holdings, Ltd. | 65,000 | 35,370 | ||||||
GF Securities Co., Ltd. Class H | 15,600 | 35,780 | ||||||
GOME Electrical Appliances Holding, Ltd. | 142,000 | 16,799 | ||||||
Great Wall Motor Co., Ltd. Class H | 35,500 | 29,589 | ||||||
Guangdong Investment, Ltd. | 32,000 | 49,100 | ||||||
Guangzhou Automobile Group Co., Ltd. Class H | 26,000 | 31,099 | ||||||
Guangzhou R&F Properties Co., Ltd. Class H | 12,400 | 15,720 | ||||||
Haitian International Holdings, Ltd. | 5,000 | 8,912 | ||||||
Haitong Securities Co., Ltd. Class H | 45,600 | 77,698 | ||||||
Hengan International Group Co., Ltd. | 9,500 | 79,509 | ||||||
Huadian Power International Corp., Ltd. Class H | 14,000 | 6,710 | ||||||
Huaneng Power International, Inc. Class H | 62,000 | 38,591 | ||||||
Huaneng Renewables Corp., Ltd. Class H | 32,629 | 10,878 | ||||||
Huatai Securities Co., Ltd. Class H(c) | 19,200 | 41,249 | ||||||
Industrial & Commercial Bank of China, Ltd. Class H | 1,022,000 | 569,948 | ||||||
JD.com, Inc. ADR(a) | 9,000 | 191,070 | ||||||
Jiangsu Expressway Co., Ltd. Class H | 14,000 | 19,551 | ||||||
Jiangxi Copper Co., Ltd. Class H | 17,000 | 19,078 | ||||||
Kingsoft Corp., Ltd. | 10,000 | 19,430 | ||||||
Kunlun Energy Co., Ltd. | 38,000 | 31,673 |
See Accompanying Notes to Financial Statements.
38
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
China – (continued) | ||||||||
Lenovo Group, Ltd. | 96,000 | $ | 58,353 | |||||
Longfor Properties Co., Ltd. | 18,000 | 23,485 | ||||||
Luye Pharma Group, Ltd.(a) | 11,000 | 6,773 | ||||||
NetEase, Inc. ADR | 1,100 | 212,542 | ||||||
New China Life Insurance Co., Ltd. Class H | 8,900 | 31,868 | ||||||
New Oriental Education & Technology Group, Inc. ADR | 2,100 | 87,948 | ||||||
People’s Insurance Co. Group of China, Ltd. Class H | 75,000 | 28,971 | ||||||
PetroChina Co., Ltd. Class H | 274,000 | 188,855 | ||||||
PICC Property & Casualty Co., Ltd. Class H | 67,800 | 107,075 | ||||||
Ping An Insurance Group Co. of China, Ltd. Class H | 70,500 | 312,369 | ||||||
Qihoo 360 Technology Co., Ltd. ADR(a) | 1,200 | 87,660 | ||||||
Qinqin Foodstuffs Group Cayman Co., Ltd.(a) | 1,900 | 2,694 | ||||||
Qunar Cayman Islands, Ltd. ADR(a) | 500 | 14,895 | ||||||
Semiconductor Manufacturing International Corp.(a) | 313,000 | 25,212 | ||||||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 24,000 | 13,690 | ||||||
Shanghai Electric Group Co., Ltd. Class H(a) | 24,000 | 10,123 | ||||||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 3,500 | 8,569 | ||||||
Shanghai Industrial Holdings, Ltd. | 7,000 | 15,932 | ||||||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 6,120 | 9,578 | ||||||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 8,700 | 19,292 | ||||||
Shenzhou International Group Holdings, Ltd. | 6,000 | 29,015 | ||||||
Shui On Land, Ltd. | 45,500 | 11,685 | ||||||
Sino-Ocean Group Holding, Ltd. | 42,000 | 18,340 | ||||||
Sinopec Engineering Group Co., Ltd. Class H | 15,000 | 13,495 | ||||||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 50,000 | 23,136 | ||||||
Sinopharm Group Co., Ltd. Class H | 16,000 | 76,860 | ||||||
Sinotrans, Ltd. Class H | 16,000 | 7,144 | ||||||
SOHO China, Ltd. | 46,000 | 22,328 | ||||||
SouFun Holdings, Ltd. ADR(a) | 5,800 | 29,174 | ||||||
Sunac China Holdings, Ltd. | 15,000 | 9,377 | ||||||
TAL Education Group ADR(a) | 800 | 49,648 | ||||||
Tencent Holdings, Ltd. | 77,200 | 1,772,988 | ||||||
Tingyi Cayman Islands Holding Corp. | 20,000 | 19,044 | ||||||
TravelSky Technology, Ltd. Class H | 13,000 | 25,031 | ||||||
Tsingtao Brewery Co., Ltd. Class H | 6,000 | 20,860 | ||||||
Vipshop Holdings, Ltd. ADR(a) | 5,300 | 59,201 | ||||||
Want Want China Holdings, Ltd. | 66,000 | 46,554 | ||||||
Weichai Power Co., Ltd. Class H | 14,000 | 14,415 | ||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 21,000 | 14,097 | ||||||
Yanzhou Coal Mining Co., Ltd. Class H | 14,000 | 9,103 | ||||||
YY, Inc. ADR(a) | 300 | 10,161 | ||||||
Zhejiang Expressway Co., Ltd. Class H | 18,000 | 16,982 | ||||||
Zhuzhou CRRC Times Electric Co., Ltd. | 6,000 | 33,248 | ||||||
Zijin Mining Group Co., Ltd. Class H | 76,000 | 25,530 | ||||||
ZTE Corp. Class H | 9,400 | 11,981 | ||||||
|
| |||||||
12,949,912 | ||||||||
|
| |||||||
Colombia – 0.1% | ||||||||
Bancolombia SA ADR | 500 | 17,460 | ||||||
Bancolombia SA Preference Shares | 3,608 | 31,603 | ||||||
Cementos Argos SA | 9,003 | 36,891 | ||||||
Corp. Financiera Colombiana SA | 1,473 | 19,323 | ||||||
Ecopetrol SA(a) | 62,893 | 30,160 | ||||||
Ecopetrol SA ADR | 700 | 6,692 | ||||||
Grupo Argos SA | 6,676 | 42,456 | ||||||
Grupo Aval Acciones y Valores SA Preference Shares | 28,874 | 11,712 | ||||||
Grupo de Inversiones Suramericana SA | 4,370 | 57,536 | ||||||
Grupo de Inversiones Suramericana SA Preference Shares | 813 | 10,503 | ||||||
Interconexion Electrica SA ESP | 3,293 | 10,120 | ||||||
|
| |||||||
274,456 | ||||||||
|
| |||||||
Czech Republic – 0.0%(d) | ||||||||
CEZ A/S | 1,769 | 30,189 | ||||||
Komercni banka A/S | 995 | 37,319 | ||||||
O2 Czech Republic A/S | 227 | 2,021 | ||||||
|
| |||||||
69,529 | ||||||||
|
| |||||||
Denmark – 1.4% | ||||||||
AP Moeller – Maersk A/S Class A | 60 | 75,680 | ||||||
AP Moeller – Maersk A/S Class B | 91 | 118,951 | ||||||
Carlsberg A/S Class B | 1,408 | 134,438 | ||||||
Chr Hansen Holding A/S | 1,311 | 86,167 | ||||||
Coloplast A/S Class B | 1,752 | 131,246 | ||||||
Danske Bank A/S | 9,621 | 253,423 | ||||||
DSV A/S | 2,780 | 116,984 | ||||||
Genmab A/S(a) | 816 | 148,910 | ||||||
ISS A/S | 2,489 | 93,684 | ||||||
Novo Nordisk A/S Class B | 25,453 | 1,371,771 | ||||||
Novozymes A/S Class B | 3,057 | 146,913 | ||||||
Pandora A/S | 1,613 | 219,858 | ||||||
TDC A/S | 10,000 | 49,042 | ||||||
Tryg A/S | 1,485 | 26,609 | ||||||
Vestas Wind Systems A/S | 3,124 | 212,500 | ||||||
William Demant Holding A/S(a) | 1,515 | 29,513 | ||||||
|
| |||||||
3,215,689 | ||||||||
|
|
See Accompanying Notes to Financial Statements.
39
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Egypt – 0.0%(d) | ||||||||
Commercial International Bank Egypt SAE | 14,147 | $ | 63,161 | |||||
Global Telecom Holding SAE(a) | 22,280 | 7,878 | ||||||
Talaat Moustafa Group | 8,765 | 4,817 | ||||||
|
| |||||||
75,856 | ||||||||
|
| |||||||
Finland – 0.7% | ||||||||
Elisa Oyj | 2,183 | 83,969 | ||||||
Fortum Oyj | 6,621 | 106,491 | ||||||
Kone Oyj Class B | 4,702 | 217,233 | ||||||
Metso Oyj | 1,553 | 36,550 | ||||||
Neste Oyj | 2,031 | 72,908 | ||||||
Nokia Oyj(b) | 64,407 | 367,223 | ||||||
Nokia Oyj(b) | 12,886 | 72,611 | ||||||
Nokian Renkaat Oyj | 1,835 | 65,841 | ||||||
Orion Oyj Class B | 1,664 | 64,683 | ||||||
Sampo Oyj Class A | 6,098 | 249,655 | ||||||
Stora Enso Oyj Class R | 8,612 | 69,333 | ||||||
UPM-Kymmene Oyj | 7,108 | 130,721 | ||||||
Wartsila Oyj Abp | 1,990 | 81,282 | ||||||
|
| |||||||
1,618,500 | ||||||||
|
| |||||||
France – 6.4% | ||||||||
Accor SA | 2,746 | 105,330 | ||||||
Aeroports de Paris | 341 | 37,404 | ||||||
Air Liquide SA | 4,595 | 479,232 | ||||||
Airbus Group SE | 7,903 | 453,489 | ||||||
Alstom SA(a) | 2,134 | 49,324 | ||||||
Arkema SA | 1,014 | 77,607 | ||||||
Atos SE | 1,290 | 106,474 | ||||||
AXA SA | 26,206 | 518,721 | ||||||
BNP Paribas SA | 14,663 | 643,748 | ||||||
Bollore SA | 10,701 | 36,064 | ||||||
Bouygues SA | 2,718 | 77,950 | ||||||
Bureau Veritas SA | 3,614 | 75,958 | ||||||
Cap Gemini SA | 2,276 | 196,615 | ||||||
Carrefour SA | 7,949 | 195,722 | ||||||
Casino Guichard Perrachon SA | 657 | 36,508 | ||||||
Christian Dior SE | 721 | 115,623 | ||||||
Cie de Saint-Gobain | 6,474 | 245,666 | ||||||
Cie Generale des Etablissements Michelin | 2,545 | 240,101 | ||||||
CNP Assurances | 2,185 | 32,272 | ||||||
Credit Agricole SA | 13,693 | 115,241 | ||||||
Danone SA | 8,177 | 572,867 | ||||||
Dassault Systemes | 1,686 | 127,255 | ||||||
Edenred | 2,438 | 49,975 | ||||||
Eiffage SA | 750 | 53,375 | ||||||
Electricite de France SA | 2,751 | 33,393 | ||||||
Engie SA | 19,772 | 317,815 | ||||||
Essilor International SA | 2,800 | 368,399 | ||||||
Eurazeo SA | 528 | 31,358 | ||||||
Eutelsat Communications SA | 2,583 | 48,807 | ||||||
Fonciere Des Regions | 376 | 33,269 | ||||||
Gecina SA REIT | 532 | 72,136 | ||||||
Groupe Eurotunnel SE | 6,406 | 67,738 | ||||||
Hermes International | 349 | 130,240 | ||||||
ICADE | 422 | 29,686 | ||||||
Iliad SA | 366 | 73,962 | ||||||
Imerys SA | 458 | 29,255 | ||||||
Ingenico Group SA | 755 | 87,603 | ||||||
JCDecaux SA | 869 | 29,332 | ||||||
Kering | 1,100 | 177,272 | ||||||
Klepierre REIT | 2,870 | 126,776 | ||||||
L’Oreal SA | 3,505 | 671,769 | ||||||
Lagardere SCA | 1,354 | 29,484 | ||||||
Legrand SA | 3,711 | 190,176 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 3,865 | 583,219 | ||||||
Natixis SA | 11,800 | 44,450 | ||||||
Numericable-SFR SA | 1,226 | 30,671 | ||||||
Orange SA | 26,636 | 433,583 | ||||||
Pernod Ricard SA | 2,878 | 318,986 | ||||||
Peugeot SA(a) | 7,186 | 86,225 | ||||||
Publicis Groupe SA | 2,682 | 179,626 | ||||||
Remy Cointreau SA | 305 | 26,283 | ||||||
Renault SA | 2,628 | 198,622 | ||||||
Rexel SA | 4,715 | 59,343 | ||||||
Safran SA | 4,249 | 286,444 | ||||||
Sanofi | 16,115 | 1,340,325 | ||||||
Schneider Electric SE | 7,467 | 436,101 | ||||||
SCOR SE | 2,521 | 74,614 | ||||||
Societe BIC SA | 457 | 64,458 | ||||||
Societe Generale SA | 10,408 | 325,975 | ||||||
Sodexo SA | 1,246 | 133,628 | ||||||
Suez Environment Co. | 4,172 | 65,143 | ||||||
Technip SA | 1,505 | 81,546 | ||||||
Thales SA | 1,397 | 116,138 | ||||||
TOTAL SA | 29,933 | 1,437,018 | ||||||
Unibail-Rodamco SE | 1,111 | 287,719 | ||||||
Unibail-Rodamco SE REIT | 220 | 57,106 | ||||||
Valeo SA | 3,090 | 137,326 | ||||||
Veolia Environnement SA | 5,771 | 124,757 | ||||||
Vinci SA | 6,778 | 478,819 | ||||||
Vivendi SA | 15,774 | 295,430 | ||||||
Wendel SA | 356 | 36,844 | ||||||
Zodiac Aerospace | 3,126 | 73,004 | ||||||
|
| |||||||
15,004,394 | ||||||||
|
| |||||||
Germany – 5.9% | ||||||||
adidas AG | 2,641 | 379,523 | ||||||
Allianz SE | 6,161 | 879,862 | ||||||
Axel Springer SE | 565 | 29,697 | ||||||
BASF SE | 12,389 | 950,999 | ||||||
Bayer AG | 11,356 | 1,141,770 | ||||||
Bayerische Motoren Werke AG | 4,448 | 324,053 | ||||||
Bayerische Motoren Werke AG, Preference Shares | 883 | 56,349 | ||||||
Beiersdorf AG | 1,337 | 126,717 | ||||||
Brenntag AG | 2,209 | 107,124 | ||||||
Commerzbank AG | 15,103 | 98,462 | ||||||
Continental AG | 1,488 | 281,874 | ||||||
Covestro AG(c) | 929 | 41,423 | ||||||
Daimler AG | 13,109 | 785,268 | ||||||
Deutsche Bank AG(a) | 18,617 | 257,623 | ||||||
Deutsche Boerse AG | 2,673 | 219,837 | ||||||
Deutsche Lufthansa AG | 2,670 | 31,426 | ||||||
Deutsche Post AG | 13,043 | 367,851 | ||||||
Deutsche Telekom AG | 44,533 | 760,209 | ||||||
Deutsche Wohnen AG | 4,773 | 162,687 | ||||||
E.ON SE | 27,231 | 275,189 | ||||||
Evonik Industries AG | 1,766 | 52,699 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 522 | 27,979 |
See Accompanying Notes to Financial Statements.
40
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Germany – (continued) | ||||||||
Fresenius Medical Care AG & Co. KGaA | 2,986 | $ | 260,381 | |||||
Fresenius SE & Co. KGaA | 5,565 | 409,344 | ||||||
Fuchs Petrolub SE Preference Shares | 861 | 33,909 | ||||||
GEA Group AG | 2,630 | 124,274 | ||||||
Hannover Rueck SE | 795 | 83,388 | ||||||
HeidelbergCement AG | 1,823 | 137,479 | ||||||
Henkel AG & Co. KGaA | 1,491 | 161,453 | ||||||
Henkel AG & Co. KGaA, Preference Shares | 2,426 | 296,803 | ||||||
HOCHTIEF AG | 272 | 35,156 | ||||||
HUGO BOSS AG | 790 | 44,962 | ||||||
Infineon Technologies AG | 15,692 | 227,409 | ||||||
KS AG | 2,958 | 60,622 | ||||||
Lanxess AG | 1,411 | 61,972 | ||||||
Linde AG | 2,500 | 348,718 | ||||||
MAN SE | 404 | 41,276 | ||||||
Merck KGaA | 1,679 | 170,843 | ||||||
METRO AG | 2,241 | 68,999 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 2,241 | 376,211 | ||||||
OSRAM Licht AG | 1,390 | 72,298 | ||||||
Porsche Automobil Holding SE Preference Shares | 2,008 | 92,914 | ||||||
ProSiebenSat.1 Media SE | 2,842 | 124,449 | ||||||
RWE AG(a) | 6,584 | 104,965 | ||||||
SAP SE | 13,240 | 995,467 | ||||||
Schaeffler AG Preference Shares | 2,175 | 28,760 | ||||||
Siemens AG | 10,513 | 1,080,022 | ||||||
Symrise AG | 1,780 | 121,547 | ||||||
Telefonica Deutschland Holding AG | 10,384 | 42,819 | ||||||
ThyssenKrupp AG | 5,286 | 106,365 | ||||||
TUI AG | 7,285 | 83,263 | ||||||
United Internet AG | 1,681 | 69,953 | ||||||
Volkswagen AG | 533 | 70,732 | ||||||
Volkswagen AG, Preference Shares | 2,502 | 303,370 | ||||||
Vonovia SE | 6,470 | 236,501 | ||||||
Zalando SE(a)(c) | 1,009 | 26,733 | ||||||
|
| |||||||
13,861,978 | ||||||||
|
| |||||||
Greece – 0.1% | ||||||||
Alpha Bank AE(a) | 23,059 | 43,254 | ||||||
Eurobank Ergasias SA(a) | 24,580 | 15,577 | ||||||
FF Group | 122 | 2,273 | ||||||
Hellenic Telecommunications Organization SA | 2,975 | 27,211 | ||||||
JUMBO SA(a) | 867 | 11,418 | ||||||
National Bank of Greece SA(a) | 82,540 | 18,331 | ||||||
OPAP SA | 2,792 | 19,480 | ||||||
Piraeus Bank SA(a) | 86,012 | 16,068 | ||||||
Titan Cement Co. SA | 393 | 8,077 | ||||||
|
| |||||||
161,689 | ||||||||
|
| |||||||
Hong Kong – 2.3% | ||||||||
AIA Group, Ltd. | 163,800 | 982,942 | ||||||
Alibaba Pictures Group, Ltd.(a) | 140,000 | 32,761 | ||||||
ASM Pacific Technology, Ltd. | 3,500 | 25,212 | ||||||
Bank of East Asia, Ltd. | 14,635 | 56,503 | ||||||
BOC Hong Kong Holdings, Ltd. | 48,000 | 144,644 | ||||||
Cathay Pacific Airways, Ltd. | 17,000 | 24,941 | ||||||
Cheung Kong Infrastructure Holdings, Ltd. | 9,000 | 77,425 | ||||||
Cheung Kong Property Holdings, Ltd. | 36,524 | 230,605 | ||||||
China Gas Holdings, Ltd. | 20,000 | 30,614 | ||||||
CK Hutchison Holdings, Ltd. | 36,024 | 396,288 | ||||||
CLP Holdings, Ltd. | 21,500 | 219,909 | ||||||
First Pacific Co., Ltd. | 30,000 | 21,664 | ||||||
Galaxy Entertainment Group, Ltd. | 30,000 | 89,957 | ||||||
GCL-Poly Energy Holdings, Ltd. | 139,000 | 18,451 | ||||||
Haier Electronics Group Co., Ltd. | 15,000 | 22,958 | ||||||
Hanergy Thin Film Power Group, Ltd.(a)(e) | 68,000 | – | ||||||
Hang Lung Properties, Ltd. | 35,000 | 70,893 | ||||||
Hang Seng Bank, Ltd. | 11,000 | 188,827 | ||||||
Henderson Land Development Co., Ltd. | 17,097 | 96,579 | ||||||
HK Electric Investments & HK Electric Investments, Ltd.(c) | 32,164 | 29,972 | ||||||
HKT Trust & HKT, Ltd. | 31,000 | 44,754 | ||||||
Hong Kong & China Gas Co., Ltd. | 99,000 | 181,154 | ||||||
Hong Kong Exchanges and Clearing, Ltd. | 15,606 | 380,459 | ||||||
Hongkong Land Holdings, Ltd. | 15,000 | 91,804 | ||||||
Hysan Development Co., Ltd. | 8,000 | 35,625 | ||||||
Jardine Matheson Holdings, Ltd. | 3,200 | 187,084 | ||||||
Kerry Properties, Ltd. | 8,000 | 19,890 | ||||||
Li & Fung, Ltd. | 68,000 | 33,062 | ||||||
Link REIT | 32,000 | 218,827 | ||||||
Melco Crown Entertainment, Ltd. ADR | 3,341 | 42,030 | ||||||
MTR Corp., Ltd. | 19,550 | 99,437 | ||||||
New World Development Co., Ltd. | 86,705 | 88,411 | ||||||
Nine Dragons Paper Holdings, Ltd. | 14,000 | 10,770 | ||||||
Noble Group, Ltd.(a) | 178,500 | 27,054 | ||||||
NWS Holdings, Ltd. | 21,795 | 34,612 | ||||||
PCCW, Ltd. | 52,000 | 35,009 | ||||||
Power Assets Holdings, Ltd. | 18,000 | 165,505 | ||||||
Sands China, Ltd. | 32,400 | 109,430 | ||||||
Shangri-La Asia, Ltd. | 20,000 | 20,080 | ||||||
Shimao Property Holdings, Ltd. | 16,500 | 21,000 | ||||||
Sino Biopharmaceutical, Ltd. | 50,000 | 32,817 | ||||||
Sino Land Co., Ltd. | 48,429 | 79,739 | ||||||
SJM Holdings, Ltd. | 17,000 | 10,453 | ||||||
Sun Art Retail Group, Ltd. | 29,000 | 20,468 | ||||||
Sun Hung Kai Properties, Ltd. | 19,000 | 229,190 | ||||||
Swire Pacific, Ltd. Class A | 8,500 | 96,227 | ||||||
Swire Properties, Ltd. | 13,400 | 35,790 | ||||||
Techtronic Industries Co., Ltd. | 21,000 | 87,698 | ||||||
WH Group, Ltd.(c) | 81,500 | 64,549 | ||||||
Wharf Holdings, Ltd. | 18,000 | 109,731 | ||||||
Wheelock & Co., Ltd. | 14,000 | 66,040 | ||||||
Yue Yuen Industrial Holdings, Ltd. | 9,000 | 35,903 | ||||||
|
| |||||||
5,475,747 | ||||||||
|
|
See Accompanying Notes to Financial Statements.
41
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Hungary – 0.1% | ||||||||
MOL Hungarian Oil & Gas PLC | 661 | $ | 38,314 | |||||
OTP Bank PLC | 2,971 | 66,568 | ||||||
Richter Gedeon Nyrt | 2,055 | 40,926 | ||||||
|
| |||||||
145,808 | ||||||||
|
| |||||||
India – 1.8% | ||||||||
ACC, Ltd. | 889 | 21,434 | ||||||
Adani Ports & Special Economic Zone, Ltd. | 8,840 | 27,228 | ||||||
Ambuja Cements, Ltd. | 8,170 | 31,073 | ||||||
Apollo Hospitals Enterprise, Ltd. | 978 | 19,102 | ||||||
Ashok Leyland, Ltd. | 16,047 | 23,525 | ||||||
Asian Paints, Ltd. | 4,613 | 68,280 | ||||||
Aurobindo Pharma, Ltd. | 2,905 | 32,025 | ||||||
Axis Bank, Ltd. | 7,710 | 61,265 | ||||||
Bajaj Auto, Ltd. | 935 | 37,478 | ||||||
Bajaj Finance, Ltd. | 212 | 25,123 | ||||||
Bharat Forge, Ltd. | 1,403 | 15,854 | ||||||
Bharat Heavy Electricals, Ltd. | 7,316 | 13,945 | ||||||
Bharat Petroleum Corp., Ltd. | 1,734 | 27,715 | ||||||
Bharti Airtel, Ltd. | 14,870 | 80,405 | ||||||
Bharti Infratel, Ltd. | 6,155 | 31,644 | ||||||
Bosch, Ltd. | 90 | 30,188 | ||||||
Cadila Healthcare, Ltd. | 4,054 | 19,809 | ||||||
Cairn India, Ltd. | 8,551 | 17,919 | ||||||
Cipla, Ltd. | 3,760 | 27,974 | ||||||
Coal India, Ltd. | 7,519 | 34,966 | ||||||
Container Corp. Of India, Ltd. | 121 | 2,565 | ||||||
Dabur India, Ltd. | 6,256 | 28,614 | ||||||
Divi’s Laboratories, Ltd. | 1,231 | 20,492 | ||||||
Dr Reddy’s Laboratories, Ltd. | 1,478 | 74,619 | ||||||
Eicher Motors, Ltd. | 134 | 38,133 | ||||||
GAIL India, Ltd. | 1,393 | 7,967 | ||||||
GAIL India, Ltd. GDR | 400 | 12,860 | ||||||
GlaxoSmithKline Consumer Healthcare, Ltd. | 212 | 18,406 | ||||||
Glenmark Pharmaceuticals, Ltd. | 1,641 | 19,520 | ||||||
Godrej Consumer Products, Ltd. | 1,414 | 33,680 | ||||||
Havells India, Ltd. | 5,479 | 29,354 | ||||||
HCL Technologies, Ltd. | 7,416 | 80,415 | ||||||
Hero MotoCorp, Ltd. | 624 | 29,264 | ||||||
Hindalco Industries, Ltd. | 17,272 | 31,753 | ||||||
Hindustan Unilever, Ltd. | 8,505 | 113,362 | ||||||
Housing Development Finance Corp., Ltd. | 20,273 | 377,396 | ||||||
ICICI Bank, Ltd. | 8,502 | 30,411 | ||||||
ICICI Bank, Ltd. ADR | 3,576 | 25,676 | ||||||
Idea Cellular, Ltd. | 12,501 | 19,791 | ||||||
Indiabulls Housing Finance, Ltd. | 3,166 | 31,695 | ||||||
Infosys, Ltd. | 13,243 | 230,040 | ||||||
Infosys, Ltd. ADR | 11,029 | 196,868 | ||||||
ITC, Ltd. | 28,267 | 155,011 | ||||||
JSW Steel, Ltd. | 1,309 | 28,586 | ||||||
Larsen & Toubro, Ltd. | 2,122 | 47,308 | ||||||
Larsen & Toubro, Ltd. GDR(b) | 1,370 | 30,528 | ||||||
Larsen & Toubro, Ltd. GDR(b) | 750 | 16,612 | ||||||
LIC Housing Finance, Ltd. | 3,384 | 24,919 | ||||||
Lupin, Ltd. | 3,344 | 76,755 | ||||||
Mahindra & Mahindra Financial Services, Ltd. | 5,284 | 26,352 | ||||||
Mahindra & Mahindra, Ltd. | 3,267 | 69,302 | ||||||
Mahindra & Mahindra, Ltd. GDR | 1,651 | 35,168 | ||||||
Marico, Ltd. | 6,131 | 24,068 | ||||||
Maruti Suzuki India, Ltd. | 1,422 | 88,664 | ||||||
Motherson Sumi Systems, Ltd. | 5,201 | 22,533 | ||||||
Nestle India, Ltd. | 274 | 26,595 | ||||||
NTPC, Ltd. | 27,107 | 62,650 | ||||||
Oil & Natural Gas Corp., Ltd. | 9,512 | 30,620 | ||||||
Piramal Enterprises, Ltd. | 1,191 | 25,436 | ||||||
Power Finance Corp., Ltd. | 966 | 2,462 | ||||||
Reliance Industries, Ltd. | 10,801 | 155,561 | ||||||
Reliance Industries, Ltd. GDR(b)(c) | 1,500 | 42,825 | ||||||
Reliance Industries, Ltd. GDR(b)(c) | 1,942 | 55,444 | ||||||
Shree Cement, Ltd. | 111 | 23,887 | ||||||
Shriram Transport Finance Co., Ltd. | 2,627 | 46,930 | ||||||
Siemens, Ltd. | 956 | 18,661 | ||||||
State Bank of India | 11,510 | 37,580 | ||||||
State Bank of India GDR | 1,020 | 32,334 | ||||||
Sun Pharmaceutical Industries, Ltd. | 12,740 | 144,716 | ||||||
Tata Consultancy Services, Ltd. | 6,472 | 244,798 | ||||||
Tata Motors, Ltd.(a)(b) | 5,319 | 23,173 | ||||||
Tata Motors, Ltd.(a)(b) | 15,323 | 104,727 | ||||||
Tata Motors, Ltd. ADR(a) | 1,078 | 37,374 | ||||||
Tata Power Co., Ltd. | 19,125 | 20,882 | ||||||
Tata Steel, Ltd. | 1,102 | 5,303 | ||||||
Tata Steel, Ltd. GDR | 1,300 | 6,139 | ||||||
Tech Mahindra, Ltd. | 2,829 | 21,383 | ||||||
Titan Co., Ltd. | 6,250 | 37,802 | ||||||
UltraTech Cement, Ltd. | 478 | 24,225 | ||||||
United Spirits, Ltd.(a) | 658 | 24,276 | ||||||
UPL, Ltd. | 5,305 | 43,502 | ||||||
Vedanta, Ltd. | 14,916 | 29,463 | ||||||
Vedanta, Ltd. ADR | 1,433 | 11,278 | ||||||
Wipro, Ltd. | 4,212 | 35,033 | ||||||
Wipro, Ltd. ADR | 2,938 | 36,314 | ||||||
Yes Bank, Ltd. | 2,140 | 35,097 | ||||||
Zee Entertainment Enterprises, Ltd. | 9,526 | 64,568 | ||||||
|
| |||||||
4,256,677 | ||||||||
|
| |||||||
Indonesia – 0.6% | ||||||||
Adaro Energy Tbk PT | 52,500 | 3,412 | ||||||
AKR Corporindo Tbk PT | 22,500 | 10,926 | ||||||
Astra International Tbk PT | 286,500 | 161,518 | ||||||
Bank Central Asia Tbk PT | 161,000 | 163,022 | ||||||
Bank Danamon Indonesia Tbk PT | 28,500 | 7,658 | ||||||
Bank Mandiri Persero Tbk PT | 127,500 | 92,266 | ||||||
Bank Negara Indonesia Persero Tbk PT | 109,000 | 43,195 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 159,500 | 131,242 | ||||||
Bumi Serpong Damai Tbk PT | 103,500 | 16,655 | ||||||
Charoen Pokphand Indonesia Tbk PT | 118,000 | 33,779 | ||||||
Global Mediacom Tbk PT | 26,000 | 1,947 | ||||||
Gudang Garam Tbk PT | 8,000 | 41,857 | ||||||
Hanjaya Mandala Sampoerna Tbk PT | 125,000 | 35,986 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 22,500 | 28,936 |
See Accompanying Notes to Financial Statements.
42
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Indonesia – (continued) | ||||||||
Indofood CBP Sukses Makmur Tbk PT | 10,000 | $ | 13,146 | |||||
Indofood Sukses Makmur Tbk PT | 73,000 | 40,166 | ||||||
Jasa Marga Persero Tbk PT | 13,000 | 5,215 | ||||||
Kalbe Farma Tbk PT | 298,500 | 34,737 | ||||||
Lippo Karawaci Tbk PT | 368,500 | 32,013 | ||||||
Matahari Department Store Tbk PT | 33,500 | 51,058 | ||||||
Media Nusantara Citra Tbk PT | 105,000 | 17,616 | ||||||
Perusahaan Gas Negara Persero Tbk | 137,000 | 24,428 | ||||||
Semen Indonesia Persero Tbk PT | 32,500 | 23,149 | ||||||
Summarecon Agung Tbk PT | 87,500 | 12,100 | ||||||
Surya Citra Media Tbk PT | 50,000 | 12,564 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 653,500 | 198,824 | ||||||
Tower Bersama Infrastructure Tbk PT | 16,500 | 8,271 | ||||||
Unilever Indonesia Tbk PT | 20,000 | 68,354 | ||||||
United Tractors Tbk PT | 21,000 | 23,694 | ||||||
Waskita Karya Persero Tbk PT | 124,000 | 24,072 | ||||||
XL Axiata Tbk PT(a) | 78,125 | 21,719 | ||||||
|
| |||||||
1,383,525 | ||||||||
|
| |||||||
Ireland – 0.5% | ||||||||
Bank of Ireland(a) | 401,137 | 82,784 | ||||||
CRH PLC | 11,116 | 324,274 | ||||||
Experian PLC | 13,298 | 253,342 | ||||||
James Hardie Industries PLC | 6,142 | 94,970 | ||||||
Kerry Group PLC Class A | 2,220 | 197,102 | ||||||
Paddy Power Betfair PLC | 1,038 | 109,208 | ||||||
Ryanair Holdings PLC ADR | 400 | 27,816 | ||||||
|
| |||||||
1,089,496 | ||||||||
|
| |||||||
Israel – 0.5% | ||||||||
Azrieli Group, Ltd. | 493 | 21,010 | ||||||
Bank Hapoalim BM | 16,064 | 81,104 | ||||||
Bank Leumi Le-Israel BM(a) | 21,813 | 76,755 | ||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 25,649 | 50,919 | ||||||
Check Point Software Technologies, Ltd.(a) | 1,719 | 136,970 | ||||||
Israel Chemicals, Ltd. | 7,839 | 30,608 | ||||||
Mizrahi Tefahot Bank, Ltd. | 2,082 | 24,059 | ||||||
Nice-Systems, Ltd. | 730 | 46,553 | ||||||
Teva Pharmaceutical Industries, Ltd. | 12,722 | 645,259 | ||||||
|
| |||||||
1,113,237 | ||||||||
|
| |||||||
Italy – 1.2% | ||||||||
Assicurazioni Generali SpA | 16,131 | 190,429 | ||||||
Atlantia SpA | 5,364 | 134,164 | ||||||
Enel SpA | 102,113 | 453,815 | ||||||
Eni SpA | 35,313 | 569,407 | ||||||
EXOR SpA | 1,335 | 49,336 | ||||||
Ferrari NV | 1,494 | 61,398 | ||||||
Intesa Sanpaolo SpA | 169,801 | 323,771 | ||||||
Intesa Sanpaolo SpA | 14,345 | 25,708 | ||||||
Leonardo-Finmeccanica SpA(a) | 6,199 | 62,756 | ||||||
Luxottica Group SpA | 2,245 | 109,534 | ||||||
Mediobanca SpA | 7,121 | 41,074 | ||||||
Poste Italiane SpA(c) | 6,845 | 45,499 | ||||||
Prysmian SpA | 2,352 | 51,680 | ||||||
Saipem SpA(a) | 91,957 | 36,807 | ||||||
Snam SpA | 32,104 | 192,139 | ||||||
Telecom Italia SpA/Milano(a)(b) | 146,653 | 120,578 | ||||||
Telecom Italia SpA/Milano(b) | 75,792 | 48,816 | ||||||
Terna Rete Elettrica Nazionale SpA | 19,580 | 109,083 | ||||||
UniCredit SpA | 71,396 | 157,187 | ||||||
Unione di Banche Italiane SpA | 11,339 | 31,347 | ||||||
UnipolSai SpA | 14,077 | 21,267 | ||||||
|
| |||||||
2,835,795 | ||||||||
|
| |||||||
Japan – 15.9% | ||||||||
ABC-Mart, Inc. | 400 | 27,021 | ||||||
Acom Co., Ltd.(a) | 4,900 | 23,894 | ||||||
Aeon Co., Ltd. | 8,600 | 134,407 | ||||||
AEON Financial Service Co., Ltd. | 1,300 | 28,334 | ||||||
Aeon Mall Co., Ltd. | 1,400 | 18,438 | ||||||
Air Water, Inc. | 2,000 | 29,621 | ||||||
Aisin Seiki Co., Ltd. | 2,900 | 118,904 | ||||||
Ajinomoto Co., Inc. | 8,000 | 189,728 | ||||||
Alfresa Holdings Corp. | 2,100 | 44,162 | ||||||
Alps Electric Co., Ltd. | 2,000 | 38,247 | ||||||
Amada Holdings Co., Ltd. | 4,200 | 42,919 | ||||||
ANA Holdings, Inc. | 14,000 | 40,157 | ||||||
Aozora Bank, Ltd. | 19,000 | 66,344 | ||||||
Asahi Glass Co., Ltd. | 13,000 | 71,014 | ||||||
Asahi Group Holdings, Ltd. | 5,600 | 182,266 | ||||||
Asahi Kasei Corp. | 17,000 | 119,082 | ||||||
Asics Corp. | 2,000 | 34,012 | ||||||
Astellas Pharma, Inc. | 28,700 | 453,044 | ||||||
Bandai Namco Holdings, Inc. | 3,100 | 80,527 | ||||||
Bank of Kyoto, Ltd. | 6,000 | 37,044 | ||||||
Benesse Holdings, Inc. | 800 | 18,904 | ||||||
Bridgestone Corp. | 8,900 | 287,901 | ||||||
Brother Industries, Ltd. | 3,000 | 32,391 | ||||||
Calbee, Inc. | 1,400 | 58,956 | ||||||
Canon, Inc. | 14,500 | 416,702 | ||||||
Casio Computer Co., Ltd. | 3,800 | 55,081 | ||||||
Central Japan Railway Co. | 2,000 | 358,068 | ||||||
Chiba Bank, Ltd. | 9,000 | 42,812 | ||||||
Chubu Electric Power Co., Inc. | 8,700 | 124,624 | ||||||
Chugai Pharmaceutical Co., Ltd. | 2,900 | 104,031 | ||||||
Chugoku Bank, Ltd. | 1,400 | 14,379 | ||||||
Chugoku Electric Power Co., Inc. | 3,400 | 43,509 | ||||||
Concordia Financial Group, Ltd.(a) | 16,000 | 62,197 | ||||||
Credit Saison Co., Ltd. | 1,800 | 30,436 | ||||||
CYBERDYNE, Inc.(a) | 1,000 | 22,689 | ||||||
Dai Nippon Printing Co., Ltd. | 8,000 | 89,746 | ||||||
Dai-ichi Life Insurance Co., Ltd. | 15,700 | 176,908 | ||||||
Daicel Corp. | 3,200 | 33,377 | ||||||
Daihatsu Motor Co., Ltd. | 2,400 | 31,468 | ||||||
Daiichi Sankyo Co., Ltd. | 8,000 | 195,640 | ||||||
Daikin Industries, Ltd. | 3,300 | 279,173 | ||||||
Daito Trust Construction Co., Ltd. | 1,000 | 163,431 | ||||||
Daiwa House Industry Co., Ltd. | 7,600 | 224,658 | ||||||
Daiwa Securities Group, Inc. | 22,000 | 116,667 | ||||||
Denso Corp. | 6,600 | 233,751 |
See Accompanying Notes to Financial Statements.
43
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS (continued) | ||||||||
Japan – (continued) | ||||||||
Dentsu, Inc. | 2,800 | $ | 132,116 | |||||
Don Quijote Holdings Co., Ltd. | 1,800 | 67,333 | ||||||
East Japan Railway Co. | 4,500 | 419,774 | ||||||
Eisai Co., Ltd. | 3,600 | 202,332 | ||||||
Electric Power Development Co., Ltd. | 2,300 | 53,939 | ||||||
FamilyMart Co., Ltd. | 700 | 42,940 | ||||||
FANUC Corp. | 2,700 | 442,108 | ||||||
Fast Retailing Co., Ltd. | 700 | 189,173 | ||||||
Fuji Electric Co., Ltd. | 9,000 | 37,718 | ||||||
Fuji Heavy Industries, Ltd. | 8,000 | 276,796 | ||||||
FUJIFILM Holdings Corp. | 5,700 | 222,618 | ||||||
Fujitsu, Ltd. | 25,000 | 92,538 | ||||||
Fukuoka Financial Group, Inc. | 10,000 | 33,189 | ||||||
GungHo Online Entertainment, Inc. | 5,300 | 14,456 | ||||||
Hachijuni Bank, Ltd. | 3,500 | 15,344 | ||||||
Hakuhodo DY Holdings, Inc. | 3,000 | 36,194 | ||||||
Hamamatsu Photonics KK | 1,600 | 45,190 | ||||||
Hankyu Hanshin Holdings, Inc. | 18,000 | 135,101 | ||||||
Hikari Tsushin, Inc. | 300 | 25,297 | ||||||
Hino Motors, Ltd. | 3,200 | 32,082 | ||||||
Hirose Electric Co., Ltd. | 400 | 49,510 | ||||||
Hiroshima Bank, Ltd. | 6,000 | 20,180 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 800 | 46,433 | ||||||
Hitachi Chemical Co., Ltd. | 900 | 16,919 | ||||||
Hitachi Construction Machinery Co., Ltd. | 900 | 13,223 | ||||||
Hitachi High-Technologies Corp. | 1,000 | 27,548 | ||||||
Hitachi Metals, Ltd. | 2,700 | 27,610 | ||||||
Hitachi, Ltd. | 65,000 | 274,132 | ||||||
Hokuriku Electric Power Co. | 1,900 | 23,698 | ||||||
Honda Motor Co., Ltd. | 22,600 | 570,657 | ||||||
Hoshizaki Electric Co., Ltd. | 600 | 59,123 | ||||||
Hoya Corp. | 5,700 | 204,921 | ||||||
Hulic Co., Ltd. | 3,500 | 37,124 | ||||||
Idemitsu Kosan Co., Ltd. | 1,200 | 26,223 | ||||||
IHI Corp. | 17,000 | 46,125 | ||||||
Iida Group Holdings Co., Ltd. | 2,000 | 41,228 | ||||||
Inpex Corp. | 12,500 | 98,401 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 4,000 | 35,837 | ||||||
Isuzu Motors, Ltd. | 8,000 | 99,184 | ||||||
ITOCHU Corp. | 19,600 | 241,348 | ||||||
Iyo Bank, Ltd. | 2,100 | 12,946 | ||||||
J Front Retailing Co., Ltd. | 2,800 | 29,222 | ||||||
Japan Airlines Co., Ltd. | 2,000 | 64,769 | ||||||
Japan Airport Terminal Co., Ltd. | 400 | 14,608 | ||||||
Japan Exchange Group, Inc. | 6,900 | 79,966 | ||||||
Japan Post Bank Co., Ltd. | 5,000 | 59,180 | ||||||
Japan Post Holdings Co., Ltd. | 6,000 | 73,473 | ||||||
Japan Prime Realty Investment Corp. | 10 | 43,194 | ||||||
Japan Real Estate Investment Corp. | 18 | 111,910 | ||||||
Japan Retail Fund Investment Corp. REIT | 34 | 87,389 | ||||||
Japan Tobacco, Inc. | 14,800 | 600,397 | ||||||
JFE Holdings, Inc. | 6,500 | 85,352 | ||||||
JGC Corp. | 3,000 | 43,229 | ||||||
Joyo Bank, Ltd. | 7,000 | 26,341 | ||||||
JSR Corp. | 2,400 | 31,993 | ||||||
JTEKT Corp. | 2,400 | 27,382 | ||||||
JX Holdings, Inc. | 30,000 | 117,870 | ||||||
Kajima Corp. | 11,000 | 76,917 | ||||||
Kakaku.com, Inc. | 1,800 | 36,001 | ||||||
Kamigumi Co., Ltd. | 3,000 | 27,911 | ||||||
Kaneka Corp. | 3,000 | 20,148 | ||||||
Kansai Electric Power Co., Inc.(a) | 10,700 | 104,896 | ||||||
Kansai Paint Co., Ltd. | 2,600 | 52,838 | ||||||
Kao Corp. | 6,900 | 404,515 | ||||||
Kawasaki Heavy Industries, Ltd. | 16,000 | 45,411 | ||||||
KDDI Corp. | 25,600 | 783,611 | ||||||
Keihan Holdings Co., Ltd. | 6,000 | 41,850 | ||||||
Keikyu Corp. | 6,000 | 60,776 | ||||||
Keio Corp. | 8,000 | 75,959 | ||||||
Keisei Electric Railway Co., Ltd. | 3,000 | 38,924 | ||||||
Keyence Corp. | 600 | 412,091 | ||||||
Kikkoman Corp. | 2,000 | 74,286 | ||||||
Kintetsu Group Holdings Co., Ltd. | 24,000 | 103,382 | ||||||
Kirin Holdings Co., Ltd. | 11,800 | 200,330 | ||||||
Kobe Steel, Ltd. | 35,000 | 28,955 | ||||||
Koito Manufacturing Co., Ltd. | 1,700 | 78,791 | ||||||
Komatsu, Ltd. | 13,000 | 227,318 | ||||||
Konami Holdings Corp. | 1,100 | 42,241 | ||||||
Konica Minolta, Inc. | 5,100 | 37,396 | ||||||
Kose Corp. | 500 | 42,649 | ||||||
Kubota Corp. | 14,200 | 193,323 | ||||||
Kuraray Co., Ltd. | 4,000 | 48,040 | ||||||
Kurita Water Industries, Ltd. | 1,400 | 31,414 | ||||||
Kyocera Corp. | 4,600 | 220,321 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 4,200 | 72,106 | ||||||
Kyushu Electric Power Co., Inc. | 4,800 | 48,458 | ||||||
Kyushu Financial Group, Inc. | 4,000 | 19,957 | ||||||
Lawson, Inc. | 1,000 | 80,360 | ||||||
LIXIL Group Corp. | 3,400 | 56,202 | ||||||
M3, Inc. | 2,900 | 101,876 | ||||||
Mabuchi Motor Co., Ltd. | 600 | 25,580 | ||||||
Makita Corp. | 1,500 | 100,251 | ||||||
Marubeni Corp. | 22,100 | 100,499 | ||||||
Marui Group Co., Ltd. | 2,700 | 36,586 | ||||||
Maruichi Steel Tube, Ltd. | 700 | 24,626 | ||||||
Mazda Motor Corp. | 7,300 | 97,238 | ||||||
McDonald’s Holdings Co., Japan, Ltd. | 1,000 | 27,341 | ||||||
Medipal Holdings Corp. | 3,000 | 49,647 | ||||||
MEIJI Holdings Co., Ltd. | 1,700 | 175,833 | ||||||
Minebea Co., Ltd. | 5,500 | 37,612 | ||||||
Miraca Holdings, Inc. | 900 | 39,288 | ||||||
Mitsubishi Chemical Holdings Corp. | 18,000 | 83,055 | ||||||
Mitsubishi Corp. | 21,200 | 375,731 | ||||||
Mitsubishi Electric Corp. | 26,000 | 312,439 | ||||||
Mitsubishi Estate Co., Ltd. | 17,000 | 313,879 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 4,000 | 21,005 | ||||||
Mitsubishi Heavy Industries, Ltd. | 46,000 | 186,193 | ||||||
Mitsubishi Logistics Corp. | 1,000 | 14,082 | ||||||
Mitsubishi Materials Corp. | 13,000 | 31,331 | ||||||
Mitsubishi Motors Corp. | 11,800 | 54,831 |
See Accompanying Notes to Financial Statements.
44
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Mitsubishi Tanabe Pharma Corp. | 2,500 | $ | 45,468 | |||||
Mitsubishi UFJ Financial Group, Inc. | 171,200 | 772,514 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 6,200 | 23,981 | ||||||
Mitsui & Co., Ltd. | 23,200 | 278,764 | ||||||
Mitsui Chemicals, Inc. | 10,000 | 36,989 | ||||||
Mitsui Fudosan Co., Ltd. | 12,000 | 277,221 | ||||||
Mitsui OSK Lines, Ltd. | 13,000 | 27,826 | ||||||
Mixi, Inc. | 400 | 16,647 | ||||||
Mizuho Financial Group, Inc. | 320,000 | 463,528 | ||||||
MS&AD Insurance Group Holdings, Inc. | 6,500 | 169,524 | ||||||
Murata Manufacturing Co., Ltd. | 2,700 | 304,701 | ||||||
Nabtesco Corp. | 1,600 | 38,427 | ||||||
Nagoya Railroad Co., Ltd. | 15,000 | 85,072 | ||||||
NEC Corp. | 35,000 | 82,082 | ||||||
Nexon Co., Ltd. | 3,100 | 46,182 | ||||||
NGK Insulators, Ltd. | 4,000 | 81,401 | ||||||
NGK Spark Plug Co., Ltd. | 2,100 | 31,908 | ||||||
NH Foods, Ltd. | 3,000 | 73,965 | ||||||
NHK Spring Co., Ltd. | 2,200 | 17,972 | ||||||
Nidec Corp. | 3,400 | 260,521 | ||||||
Nikon Corp. | 5,200 | 70,870 | ||||||
Nintendo Co., Ltd. | 1,600 | 231,431 | ||||||
Nippon Building Fund, Inc. | 18 | 111,610 | ||||||
Nippon Electric Glass Co., Ltd. | 4,000 | 16,808 | ||||||
Nippon Express Co., Ltd. | 14,000 | 64,397 | ||||||
Nippon Paint Holdings Co., Ltd. | 2,100 | 52,257 | ||||||
Nippon Prologis, Inc. REIT | 19 | 46,722 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 11,400 | 222,152 | ||||||
Nippon Telegraph & Telephone Corp. | 9,400 | 443,712 | ||||||
Nippon Yusen KK | 18,000 | 31,875 | ||||||
Nissan Motor Co., Ltd. | 33,700 | 302,728 | ||||||
Nisshin Seifun Group, Inc. | 2,500 | 40,452 | ||||||
Nissin Foods Holdings Co., Ltd. | 700 | 38,479 | ||||||
Nitori Holdings Co., Ltd. | 1,200 | 146,498 | ||||||
Nitto Denko Corp. | 2,200 | 140,473 | ||||||
NOK Corp. | 800 | 13,694 | ||||||
Nomura Holdings, Inc. | 51,700 | 185,084 | ||||||
Nomura Real Estate Holdings, Inc. | 1,500 | 26,384 | ||||||
Nomura Real Estate Master Fund, Inc. | 53 | 84,334 | ||||||
Nomura Research Institute, Ltd. | 2,000 | 73,833 | ||||||
NSK, Ltd. | 5,600 | 41,261 | ||||||
NTT Data Corp. | 1,700 | 80,816 | ||||||
NTT DOCOMO, Inc. | 19,400 | 526,632 | ||||||
NTT Urban Development Corp. | 700 | 7,575 | ||||||
Obayashi Corp. | 8,200 | 87,879 | ||||||
Obic Co., Ltd. | 900 | 49,868 | ||||||
Odakyu Electric Railway Co., Ltd. | 9,000 | 106,228 | ||||||
Oji Holdings Corp. | 10,000 | 38,643 | ||||||
Olympus Corp. | 4,200 | 157,866 | ||||||
Omron Corp. | 2,600 | 85,424 | ||||||
Ono Pharmaceutical Co., Ltd. | 5,700 | 249,932 | ||||||
Oracle Corp. Japan | 400 | 21,470 | ||||||
Oriental Land Co., Ltd. | 2,900 | 189,009 | ||||||
ORIX Corp. | 18,100 | 235,763 | ||||||
Osaka Gas Co., Ltd. | 25,000 | 96,745 | ||||||
Otsuka Corp. | 600 | 28,241 | ||||||
Otsuka Holdings Co., Ltd. | 5,500 | 255,123 | ||||||
Panasonic Corp. | 30,100 | 260,670 | ||||||
Park24 Co., Ltd. | 1,100 | 38,050 | ||||||
Pola Orbis Holdings, Inc. | 300 | 28,419 | ||||||
Rakuten, Inc. | 11,900 | 130,004 | ||||||
Recruit Holdings Co., Ltd. | 4,000 | 147,098 | ||||||
Resona Holdings, Inc. | 29,900 | 110,001 | ||||||
Ricoh Co., Ltd. | 9,300 | 81,147 | ||||||
Rinnai Corp. | 400 | 35,578 | ||||||
Rohm Co., Ltd. | 1,100 | 43,703 | ||||||
Ryohin Keikaku Co., Ltd. | 300 | 73,590 | ||||||
Sankyo Co., Ltd. | 600 | 22,644 | ||||||
Santen Pharmaceutical Co., Ltd. | 4,700 | 74,357 | ||||||
SBI Holdings, Inc. | 2,300 | 23,054 | ||||||
Secom Co., Ltd. | 3,000 | 223,258 | ||||||
Sega Sammy Holdings, Inc. | 3,000 | 32,523 | ||||||
Seibu Holdings, Inc. | 2,000 | 34,097 | ||||||
Seiko Epson Corp. | 3,200 | 51,639 | ||||||
Sekisui Chemical Co., Ltd. | 5,200 | 64,490 | ||||||
Sekisui House, Ltd. | 7,800 | 137,493 | ||||||
Seven & i Holdings Co., Ltd. | 10,200 | 430,480 | ||||||
Seven Bank, Ltd. | 8,100 | 25,307 | ||||||
Shikoku Electric Power Co., Inc. | 2,300 | 27,424 | ||||||
Shimadzu Corp. | 3,000 | 45,397 | ||||||
Shimamura Co., Ltd. | 300 | 44,930 | ||||||
Shimano, Inc. | 1,000 | 153,903 | ||||||
Shimizu Corp. | 8,000 | 75,445 | ||||||
Shin-Etsu Chemical Co., Ltd. | 5,500 | 324,357 | ||||||
Shinsei Bank, Ltd. | 21,000 | 30,798 | ||||||
Shionogi & Co., Ltd. | 4,200 | 231,108 | ||||||
Shiseido Co., Ltd. | 5,200 | 136,392 | ||||||
Shizuoka Bank, Ltd. | 6,000 | 42,534 | ||||||
Showa Shell Sekiyu KK | 2,400 | 22,548 | ||||||
SMC Corp. | 800 | 198,116 | ||||||
SoftBank Group Corp. | 12,900 | 734,321 | ||||||
Sohgo Security Services Co., Ltd. | 900 | 44,784 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 5,200 | 139,294 | ||||||
Sony Corp. | 17,100 | 507,114 | ||||||
Sony Financial Holdings, Inc. | 2,100 | 23,901 | ||||||
Stanley Electric Co., Ltd. | 1,700 | 36,545 | ||||||
Start Today Co., Ltd. | 800 | 42,565 | ||||||
Sumitomo Chemical Co., Ltd. | 19,000 | 78,911 | ||||||
Sumitomo Corp. | 17,000 | 172,486 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 2,000 | 34,894 | ||||||
Sumitomo Electric Industries, Ltd. | 10,000 | 133,225 | ||||||
Sumitomo Heavy Industries, Ltd. | 9,000 | 39,796 | ||||||
Sumitomo Metal Mining Co., Ltd. | 6,000 | 61,436 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 18,300 | 531,890 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 43,000 | 140,834 | ||||||
Sumitomo Realty & Development Co., Ltd. | 5,000 | 136,479 | ||||||
Sumitomo Rubber Industries, Ltd. | 2,300 | 30,995 | ||||||
Sundrug Co., Ltd. | 500 | 47,256 |
See Accompanying Notes to Financial Statements.
45
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Suntory Beverage & Food, Ltd. | 2,000 | $ | 91,098 | |||||
Suruga Bank, Ltd. | 2,200 | 50,045 | ||||||
Suzuken Co., Ltd. | 800 | 25,347 | ||||||
Suzuki Motor Corp. | 4,700 | 128,104 | ||||||
Sysmex Corp. | 2,100 | 145,554 | ||||||
T&D Holdings, Inc. | 7,800 | 66,674 | ||||||
Taiheiyo Cement Corp. | 14,000 | 33,378 | ||||||
Taisei Corp. | 14,000 | 115,791 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 400 | 42,369 | ||||||
Taiyo Nippon Sanso Corp. | 1,600 | 14,802 | ||||||
Takashimaya Co., Ltd. | 3,000 | 21,629 | ||||||
Takeda Pharmaceutical Co., Ltd. | 9,900 | 429,778 | ||||||
TDK Corp. | 1,500 | 84,517 | ||||||
Teijin, Ltd. | 11,000 | 36,689 | ||||||
Terumo Corp. | 4,800 | 206,189 | ||||||
THK Co., Ltd. | 1,500 | 25,735 | ||||||
Tobu Railway Co., Ltd. | 12,000 | 66,296 | ||||||
Toho Co., Ltd. | 1,300 | 36,236 | ||||||
Toho Gas Co., Ltd. | 4,000 | 32,946 | ||||||
Tohoku Electric Power Co., Inc. | 6,300 | 80,032 | ||||||
Tokio Marine Holdings, Inc. | 9,200 | 308,293 | ||||||
Tokyo Electric Power Co. Holdings, Inc.(a) | 20,900 | 89,095 | ||||||
Tokyo Electron, Ltd. | 2,200 | 187,142 | ||||||
Tokyo Gas Co., Ltd. | 29,000 | 120,522 | ||||||
Tokyo Tatemono Co., Ltd. | 2,900 | 35,006 | ||||||
Tokyu Corp. | 14,000 | 123,724 | ||||||
Tokyu Fudosan Holdings Corp. | 5,900 | 37,050 | ||||||
TonenGeneral Sekiyu KK | 3,000 | 27,508 | ||||||
Toppan Printing Co., Ltd. | 6,000 | 51,932 | ||||||
Toray Industries, Inc. | 20,000 | 171,781 | ||||||
Toshiba Corp.(a) | 54,000 | 148,064 | ||||||
TOTO, Ltd. | 2,000 | 80,444 | ||||||
Toyo Seikan Group Holdings, Ltd. | 1,900 | 36,544 | ||||||
Toyo Suisan Kaisha, Ltd. | 1,000 | 40,830 | ||||||
Toyoda Gosei Co., Ltd. | 800 | 14,341 | ||||||
Toyota Industries Corp. | 2,200 | 88,047 | ||||||
Toyota Motor Corp. | 36,500 | 1,811,234 | ||||||
Toyota Tsusho Corp. | 3,400 | 73,681 | ||||||
Trend Micro, Inc. | 1,800 | 64,799 | ||||||
Tsuruha Holdings, Inc. | 500 | 60,943 | ||||||
Unicharm Corp. | 6,000 | 135,692 | ||||||
United Urban Investment Corp. | 46 | 83,408 | ||||||
USS Co., Ltd. | 2,700 | 44,915 | ||||||
West Japan Railway Co. | 2,200 | 140,339 | ||||||
Yahoo! Japan Corp. | 19,100 | 85,253 | ||||||
Yakult Honsha Co., Ltd. | 1,400 | 73,241 | ||||||
Yamada Denki Co., Ltd. | 9,800 | 52,073 | ||||||
Yamaguchi Financial Group, Inc. | 2,000 | 19,037 | ||||||
Yamaha Corp. | 2,600 | 70,540 | ||||||
Yamaha Motor Co., Ltd. | 4,100 | 62,956 | ||||||
Yamato Holdings Co., Ltd. | 4,500 | 104,004 | ||||||
Yamazaki Baking Co., Ltd. | 2,000 | 56,203 | ||||||
Yaskawa Electric Corp. | 3,000 | 39,427 | ||||||
Yokogawa Electric Corp. | 2,800 | 31,784 | ||||||
Yokohama Rubber Co., Ltd. | 900 | 11,362 | ||||||
|
| |||||||
37,366,511 | ||||||||
|
| |||||||
Jordan – 0.0%(d) | ||||||||
Hikma Pharmaceuticals PLC | 1,882 | 62,235 | ||||||
|
| |||||||
Luxembourg – 0.2% | ||||||||
ArcelorMittal(a) | 25,994 | 118,640 | ||||||
Millicom International Cellular SA SDR | 793 | 48,573 | ||||||
RTL Group SA | 446 | 36,463 | ||||||
SES SA | 5,370 | 115,083 | ||||||
Tenaris SA | 5,937 | 85,901 | ||||||
|
| |||||||
404,660 | ||||||||
|
| |||||||
Macau – 0.0%(d) | ||||||||
MGM China Holdings, Ltd. | 8,000 | 10,425 | ||||||
Wynn Macau, Ltd. | 22,400 | 32,577 | ||||||
|
| |||||||
43,002 | ||||||||
|
| |||||||
Malaysia – 0.6% | ||||||||
AirAsia Bhd | 4,600 | 2,978 | ||||||
Alliance Financial Group Bhd | 9,200 | 9,210 | ||||||
AMMB Holdings Bhd | 30,600 | 33,771 | ||||||
Astro Malaysia Holdings Bhd | 13,200 | 9,594 | ||||||
Axiata Group Bhd | 35,507 | 49,696 | ||||||
Berjaya Sports Toto Bhd | 2,500 | 1,885 | ||||||
British American Tobacco Malaysia Bhd | 2,800 | 36,602 | ||||||
CIMB Group Holdings Bhd | 39,107 | 42,537 | ||||||
Dialog Group Bhd | 31,000 | 11,867 | ||||||
DiGi.Com Bhd | 41,400 | 49,136 | ||||||
Felda Global Ventures Holdings Bhd | 4,700 | 1,767 | ||||||
Gamuda Bhd | 28,816 | 34,738 | ||||||
Genting Bhd | 30,500 | 62,125 | ||||||
Genting Malaysia Bhd | 39,300 | 43,453 | ||||||
Genting Plantations Bhd | 900 | 2,371 | ||||||
HAP Seng Consolidated Bhd | 9,700 | 18,575 | ||||||
Hartalega Holdings Bhd | 2,400 | 2,578 | ||||||
Hong Leong Bank Bhd | 10,232 | 33,563 | ||||||
Hong Leong Financial Group Bhd | 4,800 | 17,516 | ||||||
IHH Healthcare Bhd | 45,900 | 75,143 | ||||||
IJM Corp. Bhd | 41,600 | 36,032 | ||||||
IOI Corp. Bhd | 38,000 | 40,834 | ||||||
IOI Properties Group Bhd | 31,000 | 18,070 | ||||||
Kuala Lumpur Kepong Bhd | 6,500 | 37,593 | ||||||
Lafarge Malaysia Bhd | 3,500 | 6,798 | ||||||
Malayan Banking Bhd | 44,774 | 90,571 | ||||||
Malaysia Airports Holdings Bhd | 7,024 | 10,684 | ||||||
Maxis Bhd | 25,400 | 37,140 | ||||||
MISC Bhd | 16,700 | 30,902 | ||||||
Petronas Chemicals Group Bhd | 32,800 | 53,779 | ||||||
Petronas Dagangan Bhd | 2,100 | 12,189 | ||||||
Petronas Gas Bhd | 9,000 | 49,263 | ||||||
PPB Group Bhd | 7,800 | 32,045 | ||||||
Public Bank Bhd | 38,800 | 186,956 | ||||||
RHB Capital Bhd | 9,259 | 11,779 | ||||||
SapuraKencana Petroleum Bhd | 27,400 | 10,069 | ||||||
Sime Darby Bhd | 41,286 | 77,785 | ||||||
Telekom Malaysia Bhd | 14,103 | 23,738 | ||||||
Tenaga Nasional Bhd | 44,700 | 156,514 | ||||||
UMW Holdings Bhd | 4,900 | 6,983 | ||||||
Westports Holdings Bhd | 8,800 | 9,186 | ||||||
YTL Corp. Bhd | 80,400 | 33,370 |
See Accompanying Notes to Financial Statements.
46
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Malaysia – (continued) | ||||||||
YTL Power International Bhd | 7,400 | $ | 2,588 | |||||
|
| |||||||
1,513,973 | ||||||||
|
| |||||||
Mexico – 0.9% | ||||||||
Alfa SAB de CV Class A | 42,800 | 72,914 | ||||||
America Movil SAB de CV Series L | 427,500 | 260,450 | ||||||
Arca Continental SAB de CV | 5,600 | 39,827 | ||||||
Cemex SAB de CV(a) | 197,996 | 121,378 | ||||||
Coca-Cola Femsa SAB de CV Series L | 6,400 | 52,555 | ||||||
El Puerto de Liverpool SAB de CV Series C1 | 3,000 | 31,455 | ||||||
Fibra Uno Administracion SA de CV | 32,800 | 69,247 | ||||||
Fomento Economico Mexicano SAB de CV | 25,200 | 231,207 | ||||||
Fresnillo PLC | 2,812 | 62,183 | ||||||
Gentera SAB de CV | 17,100 | 30,355 | ||||||
Gruma SAB de CV Class B | 2,600 | 37,064 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 4,500 | 45,843 | ||||||
Grupo Aeroportuario del Sureste SAB de CV Class B | 3,500 | 55,266 | ||||||
Grupo Bimbo SAB de CV Series A | 21,000 | 65,268 | ||||||
Grupo Carso SAB de CV Series A1 | 7,100 | 30,279 | ||||||
Grupo Comercial Chedraui SA de CV | 4,300 | 10,623 | ||||||
Grupo Financiero Banorte SAB de CV Series O | 35,400 | 196,061 | ||||||
Grupo Financiero Inbursa SAB de CV Series O | 29,700 | 50,049 | ||||||
Grupo Financiero Santander Mexico SAB de CV Class B | 29,900 | 53,773 | ||||||
Grupo Lala SAB de CV | 5,300 | 11,580 | ||||||
Grupo Mexico SAB de CV Series B | 54,200 | 125,855 | ||||||
Grupo Televisa SAB Series CPO | 31,600 | 163,282 | ||||||
Industrias Penoles SAB de CV | 1,420 | 33,596 | ||||||
Kimberly-Clark de Mexico SAB de CV Class A | 18,100 | 42,372 | ||||||
Mexichem SAB de CV | 11,100 | 23,188 | ||||||
OHL Mexico SAB de CV(a) | 6,700 | 8,135 | ||||||
Promotora y Operadora de Infraestructura SAB de CV | 3,100 | 37,810 | ||||||
Wal-Mart de Mexico SAB de CV | 75,900 | 180,933 | ||||||
|
| |||||||
2,142,548 | ||||||||
|
| |||||||
Netherlands – 2.9% | ||||||||
ABN AMRO Group NV(c) | 3,079 | 50,676 | ||||||
Aegon NV | 24,284 | 96,325 | ||||||
AerCap Holdings NV(a) | 2,543 | 85,419 | ||||||
Akzo Nobel NV | 3,464 | 215,419 | ||||||
Altice NV Class A(a) | 4,935 | 73,766 | ||||||
Altice NV Class B(a) | 1,350 | 20,361 | ||||||
ASML Holding NV | 4,988 | 491,540 | ||||||
Boskalis Westminster | 1,051 | 35,902 | ||||||
Gemalto NV | 1,007 | 61,074 | ||||||
Heineken Holding NV | 1,317 | 106,821 | ||||||
Heineken NV | 3,130 | 287,400 | ||||||
ING Groep NV | 53,739 | 556,579 | ||||||
Koninklijke Ahold NV | 11,416 | 252,367 | ||||||
Koninklijke DSM NV | 2,382 | 137,567 | ||||||
Koninklijke KPN NV | 48,039 | 171,417 | ||||||
Koninklijke Philips NV | 13,297 | 330,605 | ||||||
Koninklijke Vopak NV | 822 | 40,963 | ||||||
NN Group NV | 4,326 | 119,217 | ||||||
NXP Semiconductors NV(a) | 4,141 | 324,406 | ||||||
OCI NV(a) | 1,015 | 13,765 | ||||||
Randstad Holding NV | 1,692 | 67,738 | ||||||
Royal Dutch Shell PLC Class A | 58,171 | 1,604,336 | ||||||
Royal Dutch Shell PLC Class B | 51,356 | 1,424,809 | ||||||
Steinhoff International Holdings NV | 39,615 | 228,546 | ||||||
Wolters Kluwer NV | 3,853 | 156,181 | ||||||
|
| |||||||
6,953,199 | ||||||||
|
| |||||||
New Zealand – 0.1% | ||||||||
Auckland International Airport, Ltd. | 12,200 | 56,610 | ||||||
Contact Energy, Ltd. | 8,582 | 31,780 | ||||||
Fletcher Building, Ltd. | 9,020 | 55,343 | ||||||
Meridian Energy, Ltd. | 19,410 | 36,540 | ||||||
Mighty River Power, Ltd. | 5,946 | 12,800 | ||||||
Ryman Healthcare, Ltd. | 4,313 | 28,715 | ||||||
Spark New Zealand, Ltd. | 23,403 | 59,332 | ||||||
|
| |||||||
281,120 | ||||||||
|
| |||||||
Norway – 0.4% | ||||||||
DNB ASA | 12,498 | 149,613 | ||||||
Gjensidige Forsikring ASA | 2,599 | 43,306 | ||||||
Marine Harvest ASA | 5,012 | 84,547 | ||||||
Norsk Hydro ASA | 16,652 | 60,966 | ||||||
Orkla ASA | 10,734 | 95,472 | ||||||
Schibsted ASA Class A | 782 | 23,443 | ||||||
Schibsted ASA Class B | 923 | 26,410 | ||||||
Statoil ASA | 15,374 | 265,664 | ||||||
Telenor ASA | 9,577 | 158,543 | ||||||
Yara International ASA | 2,364 | 75,104 | ||||||
|
| |||||||
983,068 | ||||||||
|
| |||||||
Peru – 0.1% | ||||||||
Cia de Minas Buenaventura SAA ADR(a) | 3,600 | 43,020 | ||||||
Credicorp, Ltd. | 1,000 | 154,330 | ||||||
Southern Copper Corp. | 1,100 | 29,678 | ||||||
|
| |||||||
227,028 | ||||||||
|
| |||||||
Philippines – 0.3% | ||||||||
Aboitiz Equity Ventures, Inc. | 28,700 | 47,655 | ||||||
Aboitiz Power Corp. | 12,500 | 12,270 | ||||||
Alliance Global Group, Inc. | 29,200 | 9,212 | ||||||
Ayala Corp. | 2,850 | 51,571 | ||||||
Ayala Land, Inc. | 98,500 | 81,708 | ||||||
Bank of the Philippine Islands | 6,680 | 13,832 | ||||||
BDO Unibank, Inc. | 21,350 | 51,007 | ||||||
DMCI Holdings, Inc. | 33,730 | 9,076 | ||||||
Energy Development Corp. | 79,600 | 9,395 | ||||||
Globe Telecom, Inc. | 280 | 14,154 | ||||||
GT Capital Holdings, Inc. | 1,210 | 37,198 |
See Accompanying Notes to Financial Statements.
47
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Philippines – (continued) | ||||||||
International Container Terminal Services, Inc. | 4,320 | $ | 5,666 | |||||
JG Summit Holdings, Inc. | 33,800 | 61,748 | ||||||
Jollibee Foods Corp. | 6,770 | 34,915 | ||||||
Megaworld Corp. | 95,000 | 9,452 | ||||||
Metro Pacific Investments Corp. | 165,000 | 24,571 | ||||||
Metropolitan Bank & Trust Co. | 14,550 | 28,023 | ||||||
Philippine Long Distance Telephone Co. | 1,360 | 62,161 | ||||||
Robinsons Land Corp. | 31,800 | 20,016 | ||||||
Security Bank Corp. | 5,920 | 24,219 | ||||||
SM Investments Corp. | 2,120 | 43,828 | ||||||
SM Prime Holdings, Inc. | 119,900 | 70,046 | ||||||
Universal Robina Corp. | 11,300 | 50,118 | ||||||
|
| |||||||
771,841 | ||||||||
|
| |||||||
Poland – 0.2% | ||||||||
Alior Bank SA(a)(b) | 596 | 7,900 | ||||||
Alior Bank SA(a)(b) | 463 | 6,123 | ||||||
Bank Handlowy w Warszawie SA | 120 | 2,177 | ||||||
Bank Millennium SA(a) | 5,244 | 6,195 | ||||||
Bank Pekao SA | 1,636 | 56,885 | ||||||
Bank Zachodni WBK SA | 357 | 23,776 | ||||||
CCC SA | 294 | 11,899 | ||||||
Cyfrowy Polsat SA(a) | 1,629 | 9,076 | ||||||
Enea SA | 1,909 | 4,780 | ||||||
Energa SA | 1,810 | 4,357 | ||||||
Eurocash SA | 1,382 | 16,127 | ||||||
Grupa Azoty SA | 626 | 10,899 | ||||||
Grupa Lotos SA(a) | 338 | 2,604 | ||||||
KGHM Polska Miedz SA | 2,087 | 35,077 | ||||||
LPP SA | 19 | 24,277 | ||||||
mBank SA(a) | 125 | 9,793 | ||||||
Orange Polska SA | 5,574 | 7,158 | ||||||
PGE Polska Grupa Energetyczna SA | 11,334 | 34,000 | ||||||
Polski Koncern Naftowy Orlen SA | 4,036 | 70,603 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 27,321 | 38,790 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA(a) | 13,173 | 77,761 | ||||||
Powszechny Zaklad Ubezpieczen SA | 7,210 | 52,325 | ||||||
Synthos SA(a) | 1,938 | 1,768 | ||||||
Tauron Polska Energia SA | 21,367 | 15,352 | ||||||
|
| |||||||
529,702 | ||||||||
|
| |||||||
Portugal – 0.1% | ||||||||
EDP – Energias de Portugal SA | 30,305 | 92,881 | ||||||
Galp Energia SGPS SA | 5,818 | 81,006 | ||||||
Jeronimo Martins SGPS SA | 3,229 | 50,982 | ||||||
|
| |||||||
224,869 | ||||||||
|
| |||||||
Qatar – 0.2% | ||||||||
Barwa Real Estate Co. | 826 | 7,509 | ||||||
Commercial Bank QSC | 2,112 | 21,527 | ||||||
Doha Bank QSC | 1,603 | 15,604 | ||||||
Ezdan Holding Group QSC | 11,137 | 54,970 | ||||||
Industries Qatar QSC | 1,994 | 53,849 | ||||||
Masraf Al Rayan QSC | 4,850 | 45,369 | ||||||
Ooredoo QSC | 1,309 | 31,779 | ||||||
Qatar Electricity & Water Co. QSC | 234 | 13,371 | ||||||
Qatar Gas Transport Co., Ltd. | 2,813 | 17,801 | ||||||
Qatar Insurance Co. SAQ | 1,400 | 28,336 | ||||||
Qatar Islamic Bank SAQ | 1,177 | 31,080 | ||||||
Qatar National Bank SAQ | 3,056 | 117,753 | ||||||
Vodafone Qatar QSC | 2,873 | 8,369 | ||||||
|
| |||||||
447,317 | ||||||||
|
| |||||||
Romania – 0.0%(d) | ||||||||
New Europe Property Investments PLC | 3,882 | 44,532 | ||||||
|
| |||||||
Russia – 0.8% | ||||||||
AK Transneft OAO Preference Shares(a) | 24 | 62,369 | ||||||
Alrosa PAO(a) | 33,598 | 36,229 | ||||||
Gazprom PAO(a) | 160,620 | 352,483 | ||||||
Lukoil PJSC(a) | 5,172 | 217,236 | ||||||
Lukoil PJSC ADR | 420 | 17,579 | ||||||
Magnit PJSC GDR | 3,720 | 124,021 | ||||||
MegaFon PJSC GDR | 2,186 | 22,828 | ||||||
MMC Norilsk Nickel PJSC(a) | 810 | 107,911 | ||||||
Mobile TeleSystems PJSC GDR ADR | 6,700 | 55,476 | ||||||
Moscow Exchange MICEX-RTS PJSC | 13,013 | 22,902 | ||||||
Novatek OJSC GDR | 1,188 | 121,546 | ||||||
PhosAgro OJSC GDR | 2,025 | 29,869 | ||||||
Rosneft PJSC | 17,480 | 90,290 | ||||||
Sberbank of Russia PJSC | 148,370 | 309,573 | ||||||
Severstal PAO | 3,720 | 40,736 | ||||||
Sistema JSFC GDR | 2,473 | 18,622 | ||||||
Surgutneftegas OAO(a) | 115,700 | 59,845 | ||||||
Surgutneftegas OAO Preference Share(a) | 107,900 | 64,864 | ||||||
Tatneft PAO(a) | 20,880 | 106,921 | ||||||
VTB Bank PJSC(a) | 78,750,000 | 84,262 | ||||||
|
| |||||||
1,945,562 | ||||||||
|
| |||||||
Singapore – 0.9% | ||||||||
Ascendas REIT | 27,375 | 50,709 | ||||||
CapitaLand Commercial Trust | 30,000 | 33,026 | ||||||
CapitaLand Mall Trust REIT | 31,000 | 49,335 | ||||||
CapitaLand, Ltd. | 39,000 | 89,623 | ||||||
City Developments, Ltd. | 5,000 | 30,411 | ||||||
ComfortDelGro Corp., Ltd. | 28,000 | 57,553 | ||||||
DBS Group Holdings, Ltd. | 24,128 | 284,745 | ||||||
Genting Singapore PLC | 79,000 | 42,892 | ||||||
Global Logistic Properties, Ltd. | 41,000 | 55,401 | ||||||
Golden Agri-Resources, Ltd. | 76,000 | 19,903 | ||||||
Hutchison Port Holdings Trust | 76,000 | 34,775 | ||||||
Jardine Cycle & Carriage, Ltd. | 2,111 | 57,800 | ||||||
Keppel Corp., Ltd. | 19,000 | 78,451 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 42,250 | 274,956 | ||||||
Sembcorp Industries, Ltd. | 15,000 | 31,793 | ||||||
Sembcorp Marine, Ltd. | 15,000 | 17,470 | ||||||
Singapore Airlines, Ltd. | 7,000 | 55,636 | ||||||
Singapore Exchange, Ltd. | 13,000 | 74,118 | ||||||
Singapore Press Holdings, Ltd. | 25,000 | 73,735 |
See Accompanying Notes to Financial Statements.
48
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Singapore – (continued) | ||||||||
Singapore Technologies Engineering, Ltd. | 21,000 | $ | 49,476 | |||||
Singapore Telecommunications, Ltd. | 108,000 | 333,868 | ||||||
StarHub, Ltd. | 9,000 | 25,418 | ||||||
Suntec Real Estate Investment Trust | 32,000 | 42,322 | ||||||
United Overseas Bank, Ltd. | 17,000 | 234,434 | ||||||
UOL Group, Ltd. | 7,040 | 28,722 | ||||||
Wilmar International, Ltd. | 26,000 | 63,348 | ||||||
|
| |||||||
2,189,920 | ||||||||
|
| |||||||
South Africa – 1.6% | ||||||||
Anglo American Platinum, Ltd.(a) | 458 | 11,515 | ||||||
AngloGold Ashanti, Ltd.(a) | 5,994 | 108,856 | ||||||
Aspen Pharmacare Holdings, Ltd. | 5,123 | 127,096 | ||||||
Barclays Africa Group, Ltd. | 6,813 | 67,202 | ||||||
Bid Corp., Ltd.(a) | 4,979 | 93,834 | ||||||
Bidvest Group, Ltd. | 4,174 | 39,601 | ||||||
Brait SE(a) | 4,342 | 41,624 | ||||||
Capitec Bank Holdings, Ltd. | 832 | 33,941 | ||||||
Coronation Fund Managers, Ltd. | 1,931 | 8,809 | ||||||
Discovery, Ltd. | 4,702 | 39,501 | ||||||
Exxaro Resources, Ltd. | 1,216 | 5,634 | ||||||
FirstRand, Ltd. | 44,631 | 136,981 | ||||||
Fortress Income Fund, Ltd. | 7,127 | 17,533 | ||||||
Fortress Income Fund, Ltd. Class A | 16,870 | 18,227 | ||||||
Foschini Group, Ltd. | 3,294 | 31,275 | ||||||
Gold Fields, Ltd. | 9,752 | 47,611 | ||||||
Growthpoint Properties, Ltd. REIT | 32,569 | 57,222 | ||||||
Hyprop Investments, Ltd. | 4,463 | 39,513 | ||||||
Impala Platinum Holdings, Ltd.(a) | 9,757 | 31,615 | ||||||
Imperial Holdings, Ltd. | 2,948 | 30,275 | ||||||
Investec PLC | 9,746 | 60,831 | ||||||
Investec, Ltd. | 4,815 | 29,687 | ||||||
Liberty Holdings, Ltd. | 972 | 7,978 | ||||||
Life Healthcare Group Holdings, Ltd. | 10,924 | 27,029 | ||||||
Massmart Holdings, Ltd. | 923 | 7,929 | ||||||
Mediclinic International PLC(b) | 2,408 | 35,400 | ||||||
Mediclinic International PLC(b) | 2,421 | 34,999 | ||||||
MMI Holdings, Ltd. | 17,750 | 27,539 | ||||||
Mondi PLC | 5,425 | 101,993 | ||||||
Mondi, Ltd. | 1,837 | 33,632 | ||||||
Mr. Price Group, Ltd. | 4,022 | 56,830 | ||||||
MTN Group, Ltd. | 23,077 | 225,542 | ||||||
Naspers, Ltd. Class N | 6,032 | 926,276 | ||||||
Nedbank Group, Ltd. | 2,279 | 29,094 | ||||||
Netcare, Ltd. | 14,797 | 31,601 | ||||||
Pick n Pay Stores, Ltd. | 3,133 | 15,341 | ||||||
Pioneer Foods Group, Ltd. | 1,601 | 18,893 | ||||||
PSG Group, Ltd. | 765 | 10,166 | ||||||
Rand Merchant Investment Holdings, Ltd. | 10,911 | 30,771 | ||||||
Redefine Properties, Ltd. REIT | 53,748 | 41,488 | ||||||
Remgro, Ltd. | 6,905 | 120,495 | ||||||
Resilient REIT, Ltd. | 3,945 | 35,546 | ||||||
RMB Holdings, Ltd. | 8,415 | 32,434 | ||||||
Sanlam, Ltd. | 21,235 | 88,223 | ||||||
Sappi, Ltd.(a) | 7,339 | 34,360 | ||||||
Sasol, Ltd. | 7,673 | 208,760 | ||||||
Shoprite Holdings, Ltd. | 6,026 | 68,637 | ||||||
Sibanye Gold, Ltd. | 8,207 | 28,102 | ||||||
SPAR Group, Ltd. | 2,749 | 37,917 | ||||||
Standard Bank Group, Ltd. | 17,094 | 149,723 | ||||||
Telkom SA SOC, Ltd. | 2,001 | 9,080 | ||||||
Tiger Brands, Ltd. | 2,330 | 57,728 | ||||||
Truworths International, Ltd. | 5,953 | 34,839 | ||||||
Tsogo Sun Holdings, Ltd. | 1,344 | 2,447 | ||||||
Vodacom Group, Ltd. | 5,815 | 66,636 | ||||||
Woolworths Holdings, Ltd. | 13,285 | 76,502 | ||||||
|
| |||||||
3,792,313 | ||||||||
|
| |||||||
South Korea – 3.2% | ||||||||
Amorepacific Corp. | 467 | 176,054 | ||||||
Amorepacific Corp. Preference Shares | 150 | 32,384 | ||||||
AMOREPACIFIC Group | 318 | 46,664 | ||||||
BGF retail Co., Ltd. | 110 | 20,481 | ||||||
BNK Financial Group, Inc. | 3,127 | 22,037 | ||||||
Celltrion, Inc.(a) | 1,148 | 96,508 | ||||||
Cheil Worldwide, Inc. | 680 | 10,037 | ||||||
CJ CheilJedang Corp. | 99 | 33,530 | ||||||
CJ Corp. | 178 | 31,427 | ||||||
CJ E&M Corp. | 257 | 15,548 | ||||||
CJ Korea Express Corp.(a) | 100 | 18,908 | ||||||
Coway Co., Ltd. | 860 | 78,305 | ||||||
Daelim Industrial Co., Ltd. | 436 | 29,085 | ||||||
Daewoo Engineering & Construction Co., Ltd.(a) | 380 | 1,866 | ||||||
DGB Financial Group, Inc. | 2,699 | 20,438 | ||||||
Dongbu Insurance Co., Ltd. | 630 | 37,920 | ||||||
Dongsuh Cos., Inc. | 874 | 25,426 | ||||||
Doosan Heavy Industries & Construction Co., Ltd. | 457 | 8,482 | ||||||
E-MART, Inc. | 307 | 46,327 | ||||||
GS Engineering & Construction Corp.(a) | 422 | 10,300 | ||||||
GS Holdings Corp. | 759 | 31,520 | ||||||
GS Retail Co., Ltd. | 360 | 17,118 | ||||||
Hana Financial Group, Inc. | 4,570 | 92,912 | ||||||
Hankook Tire Co., Ltd. | 980 | 43,601 | ||||||
Hanmi Pharm Co., Ltd. | 70 | 43,323 | ||||||
Hanmi Science Co., Ltd. | 172 | 23,125 | ||||||
Hanon Systems | 1,580 | 14,460 | ||||||
Hanssem Co., Ltd. | 80 | 11,142 | ||||||
Hanwha Chemical Corp. | 1,630 | 34,058 | ||||||
Hanwha Corp. | 620 | 19,261 | ||||||
Hanwha Life Insurance Co., Ltd. | 1,840 | 9,272 | ||||||
Hotel Shilla Co., Ltd. | 540 | 32,039 | ||||||
Hyosung Corp. | 338 | 36,995 | ||||||
Hyundai Department Store Co., Ltd. | 192 | 21,600 | ||||||
Hyundai Development Co-Engineering & Construction | 880 | 30,529 | ||||||
Hyundai Engineering & Construction Co., Ltd. | 1,336 | 39,087 | ||||||
Hyundai Glovis Co., Ltd. | 260 | 38,947 | ||||||
Hyundai Heavy Industries Co., Ltd.(a) | 588 | 54,440 |
See Accompanying Notes to Financial Statements.
49
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS (continued) | ||||||||
South Korea – (continued) | ||||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 530 | $ | 13,515 | |||||
Hyundai Mobis Co., Ltd. | 965 | 212,303 | ||||||
Hyundai Motor Co.(a) | 1,876 | 221,915 | ||||||
Hyundai Motor Co. Preference Shares(b) | 428 | 35,947 | ||||||
Hyundai Motor Co. Preference Shares(b) | 377 | 31,063 | ||||||
Hyundai Steel Co. | 981 | 39,472 | ||||||
Hyundai Wia Corp. | 139 | 10,836 | ||||||
Industrial Bank of Korea | 4,680 | 45,599 | ||||||
Kakao Corp. | 368 | 29,945 | ||||||
Kangwon Land, Inc. | 1,420 | 51,525 | ||||||
KB Financial Group, Inc. | 5,021 | 142,777 | ||||||
KCC Corp. | 90 | 29,935 | ||||||
KEPCO Plant Service & Engineering Co., Ltd. | 180 | 10,177 | ||||||
Kia Motors Corp. | 3,429 | 129,203 | ||||||
Korea Aerospace Industries, Ltd. | 710 | 45,520 | ||||||
Korea Electric Power Corp. | 3,710 | 194,745 | ||||||
Korea Gas Corp. | 340 | 11,821 | ||||||
Korea Investment Holdings Co., Ltd. | 790 | 29,125 | ||||||
Korea Zinc Co., Ltd. | 104 | 46,119 | ||||||
Korean Air Lines Co., Ltd.(a) | 303 | 6,854 | ||||||
KT Corp. | 110 | 2,841 | ||||||
KT&G Corp. | 1,664 | 197,076 | ||||||
Kumho Petrochemical Co., Ltd. | 118 | 6,165 | ||||||
LG Chem, Ltd. | 591 | 134,966 | ||||||
LG Chem, Ltd. Preference Shares | 93 | 15,524 | ||||||
LG Corp. | 1,117 | 62,118 | ||||||
LG Display Co., Ltd. | 3,570 | 82,658 | ||||||
LG Electronics, Inc. | 1,608 | 75,731 | ||||||
LG Household & Health Care, Ltd. | 122 | 119,140 | ||||||
LG Household & Health Care, Ltd. Preference Shares | 50 | 28,792 | ||||||
LG Innotek Co., Ltd. | 115 | 7,930 | ||||||
LG Uplus Corp. | 3,380 | 32,102 | ||||||
Lotte Chemical Corp. | 187 | 46,542 | ||||||
Lotte Chilsung Beverage Co., Ltd. | 9 | 13,991 | ||||||
Lotte Confectionery Co., Ltd. | 60 | 10,184 | ||||||
Lotte Shopping Co., Ltd. | 183 | 32,369 | ||||||
Mirae Asset Daewoo Co., Ltd. | 1,530 | 10,463 | ||||||
Mirae Asset Securities Co., Ltd. | 780 | 15,769 | ||||||
NAVER Corp. | 395 | 244,709 | ||||||
NCSoft Corp. | 203 | 41,800 | ||||||
NH Investment & Securities Co., Ltd. | 1,200 | 9,629 | ||||||
OCI Co., Ltd.(a) | 142 | 11,257 | ||||||
Orion Corp. | 47 | 38,579 | ||||||
Ottogi Corp. | 17 | 12,202 | ||||||
Paradise Co., Ltd. | 575 | 7,621 | ||||||
POSCO | 1,012 | 179,276 | ||||||
Posco Daewoo Corp. | 570 | 12,521 | ||||||
S-1 Corp. | 162 | 15,189 | ||||||
S-Oil Corp. | 558 | 36,978 | ||||||
Samsung C&T Corp. | 981 | 105,613 | ||||||
Samsung Card Co., Ltd. | 501 | 18,155 | ||||||
Samsung Electro-Mechanics Co., Ltd. | 686 | 30,058 | ||||||
Samsung Electronics Co., Ltd. | 1,390 | 1,731,038 | ||||||
Samsung Electronics Co., Ltd. Preference Shares | 240 | 247,581 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 461 | 105,882 | ||||||
Samsung Heavy Industries Co., Ltd.(a) | 1,240 | 9,981 | ||||||
Samsung Life Insurance Co., Ltd. | 1,046 | 91,536 | ||||||
Samsung SDI Co., Ltd. | 767 | 72,619 | ||||||
Samsung SDS Co., Ltd. | 560 | 70,136 | ||||||
Samsung Securities Co., Ltd. | 1,028 | 31,899 | ||||||
Shinhan Financial Group Co., Ltd. | 6,140 | 201,816 | ||||||
Shinsegae Co., Ltd. | 84 | 14,294 | ||||||
SK Holdings Co., Ltd. | 599 | 105,873 | ||||||
SK Hynix, Inc. | 8,250 | 234,770 | ||||||
SK Innovation Co., Ltd. | 970 | 119,518 | ||||||
SK Networks Co., Ltd. | 410 | 2,127 | ||||||
SK Telecom Co., Ltd. | 262 | 49,221 | ||||||
Woori Bank | 3,960 | 32,925 | ||||||
Yuhan Corp. | 127 | 33,938 | ||||||
|
| |||||||
7,506,654 | ||||||||
|
| |||||||
Spain – 2.0% | ||||||||
Abertis Infraestructuras SA | 7,191 | 106,387 | ||||||
ACS Actividades de Construccion y Servicios SA | 2,608 | 71,613 | ||||||
Aena SA(c) | 874 | 115,974 | ||||||
Amadeus IT Holding SA Class A | 5,980 | 263,756 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 86,645 | 496,965 | ||||||
Banco de Sabadell SA | 69,486 | 92,116 | ||||||
Banco Popular Espanol SA | 51,497 | 66,996 | ||||||
Banco Santander SA | 196,450 | 763,182 | ||||||
Bankia SA | 72,991 | 53,193 | ||||||
Bankinter SA | 10,270 | 66,366 | ||||||
CaixaBank SA | 34,869 | 76,933 | ||||||
Distribuidora Internacional de Alimentacion SA | 10,167 | 59,408 | ||||||
Enagas SA | 2,846 | 87,040 | ||||||
Endesa SA | 4,290 | 86,174 | ||||||
Ferrovial SA | 6,242 | 122,334 | ||||||
Gas Natural SDG SA | 4,619 | 91,914 | ||||||
Grifols SA | 3,940 | 89,599 | ||||||
Iberdrola SA | 73,373 | 501,060 | ||||||
Industria de Diseno Textil SA | 14,604 | 491,136 | ||||||
Mapfre SA | 12,616 | 27,737 | ||||||
Red Electrica Corp. SA | 1,431 | 128,003 | ||||||
Repsol SA | 14,168 | 181,814 | ||||||
Telefonica SA | 59,922 | 569,503 | ||||||
Zardoya Otis SA | 2,108 | 19,928 | ||||||
|
| |||||||
4,629,131 | ||||||||
|
| |||||||
Sweden – 1.9% | ||||||||
Alfa Laval AB | 4,542 | 71,484 | ||||||
Assa Abloy AB Class B | 13,630 | 280,011 | ||||||
Atlas Copco AB Class A | 9,325 | 241,847 | ||||||
Atlas Copco AB Class B | 5,563 | 131,669 | ||||||
Boliden AB | 4,212 | 82,203 |
See Accompanying Notes to Financial Statements.
50
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS (continued) | ||||||||
Sweden – (continued) | ||||||||
Electrolux AB Series B | 3,248 | $ | 88,431 | |||||
Getinge AB Class B | 3,178 | 65,520 | ||||||
Hennes & Mauritz AB Class B | 12,722 | 373,761 | ||||||
Hexagon AB Class B | 3,654 | 133,532 | ||||||
Husqvarna AB Class B | 5,212 | 38,756 | ||||||
ICA Gruppen AB | 919 | 30,757 | ||||||
Industrivarden AB Class C | 2,055 | 33,386 | ||||||
Investor AB Class B | 6,349 | 212,998 | ||||||
Kinnevik AB Class B | 3,118 | 74,429 | ||||||
Lundin Petroleum AB(a) | 2,533 | 46,094 | ||||||
Nordea Bank AB | 40,845 | 346,023 | ||||||
Sandvik AB | 13,848 | 138,449 | ||||||
Securitas AB Class B | 4,803 | 74,043 | ||||||
Skandinaviska Enskilda Banken AB Class A | 19,659 | 171,491 | ||||||
Skanska AB Class B | 4,964 | 103,794 | ||||||
SKF AB Class B | 5,253 | 84,049 | ||||||
Svenska Cellulosa AB SCA Class B | 8,270 | 265,344 | ||||||
Svenska Handelsbanken AB Class A | 20,406 | 247,388 | ||||||
Swedbank AB Class A | 12,351 | 259,042 | ||||||
Swedish Match AB | 2,636 | 91,861 | ||||||
Tele2 AB Class B | 3,704 | 32,473 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 41,149 | 315,682 | ||||||
Telia Co. AB | 37,806 | 178,776 | ||||||
Volvo AB Class B | 21,128 | 209,595 | ||||||
|
| |||||||
4,422,888 | ||||||||
|
| |||||||
Switzerland – 6.6% | ||||||||
ABB, Ltd. | 26,766 | 531,006 | ||||||
Actelion, Ltd. | 1,428 | 241,039 | ||||||
Adecco Group AG | 2,156 | 109,001 | ||||||
Aryzta AG | 992 | 36,747 | ||||||
Baloise Holding AG | 675 | 75,359 | ||||||
Barry Callebaut AG | 28 | 34,556 | ||||||
Chocoladefabriken Lindt & Spruengli AG(b) | 13 | 77,717 | ||||||
Chocoladefabriken Lindt & Spruengli AG(b) | 2 | 143,264 | ||||||
Cie Financiere Richemont SA | 6,990 | 410,123 | ||||||
Coca-Cola HBC AG | 2,245 | 45,616 | ||||||
Credit Suisse Group AG | 26,331 | 281,151 | ||||||
Dufry AG(a) | 613 | 73,490 | ||||||
EMS-Chemie Holding AG | 94 | 48,648 | ||||||
Galenica AG | 48 | 64,861 | ||||||
Geberit AG | 533 | 202,357 | ||||||
Givaudan SA | 126 | 254,303 | ||||||
Glencore PLC | 164,580 | 340,633 | ||||||
Julius Baer Group, Ltd. | 2,957 | 119,295 | ||||||
Kuehne + Nagel International AG | 795 | 111,650 | ||||||
LafargeHolcim, Ltd.(b) | 5,317 | 222,975 | ||||||
LafargeHolcim, Ltd.(b) | 852 | 35,010 | ||||||
Lonza Group AG | 711 | 118,384 | ||||||
Nestle SA | 43,502 | 3,378,419 | ||||||
Novartis AG | 31,080 | 2,571,353 | ||||||
Pargesa Holding SA | 405 | 26,841 | ||||||
Partners Group Holding AG | 218 | 93,648 | ||||||
Roche Holding AG | 9,597 | 2,538,433 | ||||||
Schindler Holding AG(b) | 577 | 104,711 | ||||||
Schindler Holding AG(b) | 236 | 43,050 | ||||||
SGS SA | 71 | 163,027 | ||||||
Sika AG | 31 | 130,292 | ||||||
Sonova Holding AG | 702 | 93,393 | ||||||
STMicroelectronics NV | 10,372 | 60,621 | ||||||
Swatch Group AG(b) | 402 | 117,259 | ||||||
Swatch Group AG(b) | 572 | 32,834 | ||||||
Swiss Life Holding AG | 463 | 107,251 | ||||||
Swiss Prime Site AG | 920 | 83,483 | ||||||
Swiss Re AG | 4,668 | 408,668 | ||||||
Swisscom AG | 375 | 186,742 | ||||||
Syngenta AG | 1,243 | 478,250 | ||||||
UBS Group AG | 50,604 | 658,167 | ||||||
Wolseley PLC | 3,281 | 170,610 | ||||||
Zurich Insurance Group AG | 2,015 | 499,653 | ||||||
|
| |||||||
15,523,890 | ||||||||
|
| |||||||
Taiwan – 2.5% | ||||||||
Acer, Inc.(a) | 24,000 | 11,337 | ||||||
Advanced Semiconductor Engineering, Inc. | 83,000 | 94,429 | ||||||
Advantech Co., Ltd. | 3,000 | 22,876 | ||||||
Asia Cement Corp. | 34,000 | 29,556 | ||||||
Asia Pacific Telecom Co., Ltd.(a) | 7,000 | 2,337 | ||||||
Asustek Computer, Inc. | 9,000 | 74,492 | ||||||
AU Optronics Corp. | 129,000 | 44,658 | ||||||
Catcher Technology Co., Ltd. | 10,000 | 74,562 | ||||||
Cathay Financial Holding Co., Ltd. | 110,000 | 120,568 | ||||||
Chailease Holding Co., Ltd. | 16,480 | 26,869 | ||||||
Chang Hwa Commercial Bank, Ltd. | 70,400 | 36,759 | ||||||
Cheng Shin Rubber Industry Co., Ltd. | 22,000 | 46,385 | ||||||
Chicony Electronics Co., Ltd. | 4,010 | 9,075 | ||||||
China Airlines, Ltd.(a) | 23,000 | 6,923 | ||||||
China Development Financial Holding Corp. | 201,000 | 48,752 | ||||||
China Life Insurance Co., Ltd. | 49,400 | 38,457 | ||||||
China Steel Corp. | 154,000 | 100,343 | ||||||
Chunghwa Telecom Co., Ltd. | 49,000 | 177,217 | ||||||
Compal Electronics, Inc. | 54,000 | 34,161 | ||||||
CTBC Financial Holding Co., Ltd. | 242,342 | 127,463 | ||||||
Delta Electronics, Inc. | 25,630 | 125,057 | ||||||
E.Sun Financial Holding Co., Ltd. | 94,608 | 56,046 | ||||||
Eclat Textile Co., Ltd. | 2,022 | 19,609 | ||||||
Eva Airways Corp.(a) | 16,000 | 7,305 | ||||||
Evergreen Marine Corp. Taiwan, Ltd. | 23,170 | 8,628 | ||||||
Far Eastern New Century Corp. | 43,620 | 32,643 | ||||||
Far EasTone Telecommunications Co., Ltd. | 20,000 | 48,428 | ||||||
Feng TAY Enterprise Co., Ltd. | 2,030 | 8,440 | ||||||
First Financial Holding Co., Ltd. | 129,313 | 67,999 | ||||||
Formosa Chemicals & Fibre Corp. | 42,000 | 106,038 | ||||||
Formosa Petrochemical Corp. | 15,000 | 40,898 | ||||||
Formosa Plastics Corp. | 59,000 | 143,082 | ||||||
Formosa Taffeta Co., Ltd. | 3,000 | 2,905 | ||||||
Foxconn Technology Co., Ltd. | 14,040 | 33,165 |
See Accompanying Notes to Financial Statements.
51
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Taiwan – (continued) | ||||||||
Fubon Financial Holding Co., Ltd. | 99,000 | $ | 116,724 | |||||
Giant Manufacturing Co., Ltd. | 4,000 | 24,952 | ||||||
Hermes Microvision, Inc. | 1,000 | 41,464 | ||||||
Highwealth Construction Corp. | 6,900 | 11,415 | ||||||
Hiwin Technologies Corp. | 2,030 | 9,441 | ||||||
Hon Hai Precision Industry Co., Ltd. | 192,500 | 495,935 | ||||||
Hotai Motor Co., Ltd. | 3,000 | 29,567 | ||||||
HTC Corp. | 13,000 | 42,085 | ||||||
Hua Nan Financial Holdings Co., Ltd. | 86,860 | 45,136 | ||||||
Innolux Corp. | 107,000 | 36,154 | ||||||
Inotera Memories, Inc.(a) | 36,000 | 28,193 | ||||||
Inventec Corp. | 50,000 | 35,750 | ||||||
Largan Precision Co., Ltd. | 1,000 | 92,483 | ||||||
Lite-On Technology Corp. | 30,045 | 41,381 | ||||||
MediaTek, Inc. | 19,000 | 145,189 | ||||||
Mega Financial Holding Co., Ltd. | 142,601 | 107,859 | ||||||
Merida Industry Co., Ltd. | 2,000 | 8,468 | ||||||
Nan Ya Plastics Corp. | 68,000 | 129,542 | ||||||
Nanya Technology Corp. | 18,000 | 21,985 | ||||||
Nien Made Enterprise Co., Ltd.(a) | 3,000 | 27,370 | ||||||
Novatek Microelectronics Corp. | 7,000 | 26,235 | ||||||
OBI Pharma, Inc.(a) | 1,000 | 15,915 | ||||||
Pegatron Corp. | 31,000 | 65,842 | ||||||
Phison Electronics Corp. | 2,000 | 17,335 | ||||||
Pou Chen Corp. | 28,000 | 37,688 | ||||||
Powertech Technology, Inc. | 9,000 | 20,095 | ||||||
President Chain Store Corp. | 9,000 | 70,320 | ||||||
Quanta Computer, Inc. | 35,000 | 66,695 | ||||||
Realtek Semiconductor Corp. | 4,000 | 12,475 | ||||||
Ruentex Development Co., Ltd. | 8,280 | 9,685 | ||||||
Ruentex Industries, Ltd. | 5,000 | 7,548 | ||||||
Shin Kong Financial Holding Co., Ltd. | 69,551 | 13,691 | ||||||
Siliconware Precision Industries Co., Ltd. | 25,135 | 38,330 | ||||||
Simplo Technology Co., Ltd. | 2,000 | 7,039 | ||||||
SinoPac Financial Holdings Co., Ltd. | 101,563 | 30,141 | ||||||
Standard Foods Corp. | 4,000 | 9,844 | ||||||
Synnex Technology International Corp. | 11,000 | 11,934 | ||||||
TaiMed Biologics, Inc.(a) | 4,000 | 26,963 | ||||||
Taishin Financial Holding Co., Ltd. | 89,000 | 34,409 | ||||||
Taiwan Business Bank(a) | 61,066 | 15,550 | ||||||
Taiwan Cement Corp. | 41,000 | 41,008 | ||||||
Taiwan Cooperative Financial Holding Co., Ltd. | 102,350 | 45,236 | ||||||
Taiwan Fertilizer Co., Ltd. | 7,000 | 9,345 | ||||||
Taiwan Mobile Co., Ltd. | 23,000 | 80,391 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 337,000 | 1,698,378 | ||||||
Teco Electric and Machinery Co., Ltd. | 16,000 | 13,530 | ||||||
Transcend Information, Inc. | 1,000 | 3,041 | ||||||
Uni-President Enterprises Corp. | 62,880 | 124,191 | ||||||
United Microelectronics Corp. | 168,000 | 65,886 | ||||||
Vanguard International Semiconductor Corp. | 7,000 | 11,571 | ||||||
Wistron Corp. | 20,338 | 14,227 | ||||||
WPG Holdings, Ltd. | 12,000 | 14,015 | ||||||
Yuanta Financial Holding Co., Ltd. | 113,022 | 36,700 | ||||||
Yulon Motor Co., Ltd. | 7,000 | 5,975 | ||||||
Zhen Ding Technology Holding, Ltd. | 3,000 | 5,429 | ||||||
|
| |||||||
6,025,212 | ||||||||
|
| |||||||
Thailand – 0.6% | ||||||||
Advanced Info Service PCL | 16,100 | 72,390 | ||||||
Airports of Thailand PCL | 6,600 | 73,250 | ||||||
Bangkok Bank PCL NVDR | 5,100 | 23,088 | ||||||
Bangkok Dusit Medical Services PCL | 39,500 | 26,865 | ||||||
Bangkok Expressway & Metro PCL | 94,400 | 18,536 | ||||||
BEC World PCL | 4,700 | 3,049 | ||||||
BTS Group Holdings PCL | 118,600 | 32,401 | ||||||
Bumrungrad Hospital PCL | 4,400 | 22,851 | ||||||
Central Pattana PCL | 16,500 | 28,056 | ||||||
Charoen Pokphand Foods PCL | 36,400 | 29,781 | ||||||
CP ALL PCL | 66,000 | 94,380 | ||||||
Delta Electronics Thailand PCL | 5,400 | 10,488 | ||||||
Energy Absolute PCL | 14,513 | 8,797 | ||||||
Glow Energy PCL | 11,100 | 27,087 | ||||||
Home Product Center PCL | 68,100 | 19,186 | ||||||
Indorama Ventures PCL | 32,500 | 26,821 | ||||||
IRPC PCL | 207,000 | 28,040 | ||||||
Kasikornbank PCL | 17,700 | 87,175 | ||||||
Kasikornbank PCL NVDR | 8,600 | 41,761 | ||||||
Krung Thai Bank PCL | 67,900 | 31,496 | ||||||
Minor International PCL | 33,550 | 38,429 | ||||||
PTT Exploration & Production PCL | 15,700 | 37,418 | ||||||
PTT Global Chemical PCL | 33,300 | 56,147 | ||||||
PTT PCL | 14,300 | 127,373 | ||||||
Robinson Department Store PCL NVDR | 12,700 | 24,578 | ||||||
Siam Cement PCL | 10,800 | 146,683 | ||||||
Siam Commercial Bank PCL | 23,300 | 92,166 | ||||||
Thai Oil PCL | 16,600 | 28,344 | ||||||
Thai Union Group PCL | 43,700 | 27,359 | ||||||
TMB Bank PCL | 63,300 | 3,891 | ||||||
True Corp. PCL | 216,512 | 44,362 | ||||||
|
| |||||||
1,332,248 | ||||||||
|
| |||||||
Turkey – 0.3% | ||||||||
Akbank TAS | 27,021 | 77,468 | ||||||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 1,760 | 11,904 | ||||||
Arcelik A/S | 4,778 | 31,469 | ||||||
BIM Birlesik Magazalar A/S | 2,719 | 53,042 | ||||||
Coca-Cola Icecek A/S | 648 | 7,918 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S | 30,919 | 30,803 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 21,527 | 30,461 | ||||||
Ford Otomotiv Sanayi A/S | 1,307 | 13,915 | ||||||
Haci Omer Sabanci Holding A/S | 10,418 | 34,200 |
See Accompanying Notes to Financial Statements.
52
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Turkey – (continued) | ||||||||
KOC Holding A/S | 8,524 | $ | 38,994 | |||||
Petkim Petrokimya Holding A/S | 11,722 | 15,668 | ||||||
TAV Havalimanlari Holding A/S | 1,388 | 5,963 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 2,262 | 18,605 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S | 1,643 | 36,485 | ||||||
Turk Hava Yollari AO(a) | 4,688 | 9,342 | ||||||
Turk Telekomunikasyon A/S | 4,204 | 8,864 | ||||||
Turkcell Iletisim Hizmetleri A/S(a) | 11,442 | 42,079 | ||||||
Turkiye Garanti Bankasi A/S | 30,541 | 80,696 | ||||||
Turkiye Halk Bankasi A/S | 6,970 | 20,750 | ||||||
Turkiye Is Bankasi | 18,381 | 29,208 | ||||||
Turkiye Sise ve Cam Fabrikalari A/S | 5,732 | 7,089 | ||||||
Turkiye Vakiflar Bankasi TAO Class D | 6,370 | 10,006 | ||||||
Ulker Biskuvi Sanayi A/S | 1,307 | 9,554 | ||||||
Yapi ve Kredi Bankasi A/S(a) | 7,385 | 10,242 | ||||||
|
| |||||||
634,725 | ||||||||
|
| |||||||
United Arab Emirates – 0.2% |
| |||||||
Abu Dhabi Commercial Bank PJSC | 31,787 | 52,562 | ||||||
Aldar Properties PJSC | 47,482 | 35,007 | ||||||
Arabtec Holding PJSC(a) | 19,209 | 7,173 | ||||||
DP World, Ltd. | 2,228 | 37,033 | ||||||
Dubai Financial Market PJSC | 30,999 | 10,707 | ||||||
Dubai Islamic Bank PJSC | 10,495 | 14,666 | ||||||
Emaar Malls Group PJSC | 24,972 | 19,230 | ||||||
Emaar Properties PJSC | 44,332 | 75,401 | ||||||
Emirates Telecommunications Group Co. PJSC | 25,764 | 132,920 | ||||||
First Gulf Bank PJSC | 12,276 | 42,201 | ||||||
National Bank of Abu Dhabi PJSC | 5,752 | 15,161 | ||||||
|
| |||||||
442,061 | ||||||||
|
| |||||||
United Kingdom – 11.7% | ||||||||
3i Group PLC | 13,070 | 96,296 | ||||||
Aberdeen Asset Management PLC | 10,376 | 39,092 | ||||||
Admiral Group PLC | 3,169 | 86,525 | ||||||
Aggreko PLC | 3,140 | 53,927 | ||||||
Anglo American PLC | 18,172 | 178,869 | ||||||
ARM Holdings PLC | 19,175 | 292,477 | ||||||
Ashtead Group PLC | 7,440 | 106,715 | ||||||
Associated British Foods PLC | 4,975 | 182,037 | ||||||
AstraZeneca PLC | 17,044 | 1,023,198 | ||||||
Auto Trader Group PLC(c) | 15,317 | 72,710 | ||||||
Aviva PLC | 54,636 | 289,203 | ||||||
Babcock International Group PLC | 2,882 | 34,989 | ||||||
BAE Systems PLC | 42,960 | 301,998 | ||||||
Barclays PLC | 223,970 | 418,295 | ||||||
Barratt Developments PLC | 13,575 | 74,074 | ||||||
Berkeley Group Holdings PLC | 1,803 | 61,137 | ||||||
BP PLC | 250,418 | 1,471,937 | ||||||
British American Tobacco PLC | 25,530 | 1,661,985 | ||||||
British Land Co. PLC REIT | 12,775 | 104,156 | ||||||
BT Group PLC | 117,231 | 647,058 | ||||||
Bunzl PLC | 4,419 | 136,533 | ||||||
Burberry Group PLC | 6,454 | 100,813 | ||||||
Capita PLC | 8,690 | 112,442 | ||||||
Centrica PLC | 78,214 | 237,504 | ||||||
CNH Industrial NV | 12,836 | 93,208 | ||||||
Cobham PLC | 19,176 | 40,569 | ||||||
Coca-Cola European Partners PLC(a) | 3,169 | 113,680 | ||||||
Compass Group PLC | 22,118 | 422,558 | ||||||
Croda International PLC | 1,795 | 75,665 | ||||||
DCC PLC | 1,160 | 102,505 | ||||||
Diageo PLC | 34,235 | 960,365 | ||||||
Direct Line Insurance Group PLC | 20,263 | 94,070 | ||||||
Dixons Carphone PLC | 13,310 | 57,366 | ||||||
easyJet PLC | 1,793 | 26,164 | ||||||
Fiat Chrysler Automobiles NV | 11,033 | 67,987 | ||||||
G4S PLC | 24,567 | 60,449 | ||||||
GKN PLC | 25,643 | 93,098 | ||||||
GlaxoSmithKline PLC | 66,764 | 1,439,734 | ||||||
Hammerson PLC | 10,552 | 76,318 | ||||||
Hargreaves Lansdown PLC | 3,685 | 61,726 | ||||||
HSBC Holdings PLC | 266,272 | 1,656,580 | ||||||
ICAP PLC | 6,255 | 35,342 | ||||||
IMI PLC | 3,112 | 40,497 | ||||||
Imperial Brands PLC | 13,253 | 721,743 | ||||||
Inmarsat PLC | 5,413 | 58,578 | ||||||
InterContinental Hotels Group PLC | 2,803 | 103,806 | ||||||
International Consolidated Airlines Group SA | 10,954 | 54,295 | ||||||
Intertek Group PLC | 2,156 | 100,874 | ||||||
Intu Properties PLC | 14,976 | 58,466 | ||||||
ITV PLC | 48,720 | 117,302 | ||||||
J Sainsbury PLC | 20,228 | 63,277 | ||||||
Johnson Matthey PLC | 2,828 | 106,513 | ||||||
Kingfisher PLC | 29,733 | 128,238 | ||||||
Land Securities Group PLC REIT | 10,073 | 140,755 | ||||||
Legal & General Group PLC | 81,152 | 208,623 | ||||||
Lloyds Banking Group PLC | 860,836 | 626,094 | ||||||
London Stock Exchange Group PLC | 3,997 | 136,378 | ||||||
Marks & Spencer Group PLC | 21,499 | 92,454 | ||||||
Meggitt PLC | 12,235 | 66,780 | ||||||
Merlin Entertainments PLC(c) | 8,935 | 52,837 | ||||||
National Grid PLC | 49,710 | 734,049 | ||||||
Next PLC | 1,888 | 125,271 | ||||||
Old Mutual PLC | 71,450 | 193,825 | ||||||
Pearson PLC | 10,850 | 141,726 | ||||||
Persimmon PLC | 4,389 | 85,465 | ||||||
Petrofac, Ltd. | 3,203 | 33,433 | ||||||
Provident Financial PLC | 1,783 | 55,206 | ||||||
Prudential PLC | 35,668 | 607,770 | ||||||
Randgold Resources, Ltd. | 1,213 | 136,687 | ||||||
Reckitt Benckiser Group PLC | 8,762 | 882,243 | ||||||
RELX NV | 13,777 | 238,608 | ||||||
RELX PLC | 15,161 | 280,345 | ||||||
Rio Tinto PLC | 16,548 | 516,232 | ||||||
Rio Tinto, Ltd. | 6,102 | 210,732 | ||||||
Rolls-Royce Holdings PLC | 25,198 | 241,517 | ||||||
Royal Bank of Scotland Group PLC(a) | 45,106 | 102,643 | ||||||
Royal Mail PLC | 13,463 | 90,829 | ||||||
RSA Insurance Group PLC | 13,644 | 91,828 |
See Accompanying Notes to Financial Statements.
53
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS (continued) | ||||||||
United Kingdom – (continued) |
| |||||||
SABMiller PLC | 13,250 | $ | 775,949 | |||||
Sage Group PLC | 14,276 | 123,910 | ||||||
Schroders PLC | 1,927 | 61,148 | ||||||
Segro PLC | 11,645 | 64,815 | ||||||
Severn Trent PLC | 3,448 | 112,975 | ||||||
Sky PLC | 14,456 | 164,955 | ||||||
Smith & Nephew PLC | 12,503 | 213,201 | ||||||
Smiths Group PLC | 5,365 | 83,252 | ||||||
SSE PLC | 13,651 | 285,305 | ||||||
St James’s Place PLC | 7,029 | 74,435 | ||||||
Standard Chartered PLC | 44,172 | 336,529 | ||||||
Standard Life PLC | 26,047 | 103,193 | ||||||
Tate & Lyle PLC | 7,399 | 66,430 | ||||||
Taylor Wimpey PLC | 46,643 | 83,094 | ||||||
Tesco PLC(a) | 110,816 | 261,347 | ||||||
Travis Perkins PLC | 3,303 | 65,440 | ||||||
Unilever NV | 22,139 | 1,030,789 | ||||||
Unilever PLC | 17,695 | 851,394 | ||||||
United Utilities Group PLC | 9,027 | 125,639 | ||||||
Vodafone Group PLC | 364,862 | 1,117,050 | ||||||
Weir Group PLC | 2,493 | 48,349 | ||||||
Whitbread PLC | 2,390 | 112,292 | ||||||
William Hill PLC | 14,162 | 48,985 | ||||||
Wm Morrison Supermarkets PLC | 32,968 | 83,108 | ||||||
Worldpay Group PLC(a)(c) | 18,847 | 68,883 | ||||||
WPP PLC | 17,398 | 364,110 | ||||||
|
| |||||||
27,633,850 | ||||||||
|
| |||||||
United States – 0.6% | ||||||||
Ball Corp. | 102 | 7,377 | ||||||
Carnival PLC | 2,471 | 110,070 | ||||||
Mobileye NV(a) | 2,298 | 106,030 | ||||||
QIAGEN NV(a) | 3,386 | 73,868 | ||||||
Shire PLC | 12,135 | 753,100 | ||||||
Taro Pharmaceutical Industries, Ltd.(a) | 281 | 40,913 | ||||||
Thomson Reuters Corp. | 5,000 | 201,240 | ||||||
Valeant Pharmaceuticals International, Inc.(a) | 4,200 | 84,246 | ||||||
|
| |||||||
1,376,844 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 226,898,939 | |||||||
|
| |||||||
RIGHTS – 0.0%(d) | ||||||||
Chile – 0.0%(d) | ||||||||
Empresa Nacional de Telecomunicaciones SA (expiring 7/22/16)(a) | 275 | 266 | ||||||
|
| |||||||
Hong Kong – 0.0%(d) | ||||||||
Noble Group, Ltd. (expiring 7/20/16)(a) | 38,000 | 2,541 | ||||||
|
| |||||||
Spain – 0.0%(d) | ||||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/18/16)(a) | 2,608 | 1,834 | ||||||
Repsol SA (expiring 7/8/16)(a) | 14,168 | 4,612 | ||||||
|
| |||||||
6,446 | ||||||||
|
| |||||||
TOTAL RIGHTS | 9,253 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT – 2.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.25%(f)(g) | 5,417,303 | 5,417,303 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 98.7% |
| 232,325,495 | ||||||
Other Assets in Excess of |
| 2,988,282 | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 235,313,777 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 0.4% of net assets as of June 30, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Amount is less than 0.05% of net assets. |
(e) | Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with policy and procedures approved by the Board of Trustees. Security value is determined based on Level 3 inputs. As of June 30, 2016, total aggregate fair value of security is $0, representing 0.0% of the Portfolio’s net assets. |
(f) | The rate shown is the annualized seven-day yield at June 30, 2016. |
(g) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the six months ended June 30, 2016 are shown in the Affiliate Table below. |
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
NVDR | Non Voting Depositary Receipt | |
REIT | Real Estate Investment Trust | |
SDR | Swedish Depositary Receipt |
See Accompanying Notes to Financial Statements.
54
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
At June 30, 2016, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation | ||||||||||||
Mini MSCI EAFE (long) | 09/16/2016 | 37 | $ | 2,988,120 | $ | 38,026 | ||||||||||
Mini MSCI Emerging Markets (long) | 09/16/2016 | 63 | 2,629,305 | 87,566 | ||||||||||||
|
| |||||||||||||||
Total unrealized appreciation on open futures contracts purchased |
| $ | 125,592 | |||||||||||||
|
|
During the period ended June 30, 2016, average notional value related to futures contracts was $5,083,361 or 2% of net assets.
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | – | $ | 11,698,302 | $ | – | $ | 11,698,302 | ||||||||
Austria | – | 260,619 | – | 260,619 | ||||||||||||
Belgium | – | 2,410,534 | – | 2,410,534 | ||||||||||||
Brazil | 3,709,568 | – | – | 3,709,568 | ||||||||||||
Canada | 15,213,033 | – | – | 15,213,033 | ||||||||||||
Chile | 591,788 | 31,904 | – | 623,692 | ||||||||||||
China | 2,675,899 | 10,274,013 | – | 12,949,912 | ||||||||||||
Colombia | 274,456 | – | – | 274,456 | ||||||||||||
Czech Republic | 2,021 | 67,508 | – | 69,529 | ||||||||||||
Denmark | – | 3,215,689 | – | 3,215,689 | ||||||||||||
Egypt | 12,695 | 63,161 | – | 75,856 | ||||||||||||
Finland | – | 1,618,500 | – | 1,618,500 | ||||||||||||
France | 57,106 | 14,947,288 | – | 15,004,394 | ||||||||||||
Germany | – | 13,861,978 | – | 13,861,978 | ||||||||||||
Greece | 10,350 | 151,339 | – | 161,689 | ||||||||||||
Hong Kong | 86,784 | 5,388,963 | 0 | (a) | 5,475,747 | |||||||||||
Hungary | – | 145,808 | – | 145,808 | ||||||||||||
India | 511,427 | 3,745,250 | – | 4,256,677 | ||||||||||||
Indonesia | – | 1,383,525 | – | 1,383,525 | ||||||||||||
Ireland | 27,816 | 1,061,680 | – | 1,089,496 | ||||||||||||
Israel | 136,970 | 976,267 | – | 1,113,237 | ||||||||||||
Italy | – | 2,835,795 | – | 2,835,795 | ||||||||||||
Japan | 62,197 | 37,304,314 | – | 37,366,511 | ||||||||||||
Jordan | – | 62,235 | – | 62,235 | ||||||||||||
Luxembourg | – | 404,660 | – | 404,660 | ||||||||||||
Macau | – | 43,002 | – | 43,002 | ||||||||||||
Malaysia | 305,812 | 1,208,161 | – | 1,513,973 | ||||||||||||
Mexico | 2,080,365 | 62,183 | – | 2,142,548 | ||||||||||||
Netherlands | 409,825 | 6,543,374 | – | 6,953,199 | ||||||||||||
New Zealand | – | 281,120 | – | 281,120 | ||||||||||||
Norway | – | 983,068 | – | 983,068 | ||||||||||||
Peru | 227,028 | – | – | 227,028 | ||||||||||||
Philippines | – | 771,841 | – | 771,841 | ||||||||||||
Poland | 12,318 | 517,384 | – | 529,702 | ||||||||||||
Portugal | – | 224,869 | – | 224,869 | ||||||||||||
Qatar | 60,115 | 387,202 | – | 447,317 | ||||||||||||
Romania | 44,532 | – | – | 44,532 | ||||||||||||
Russia | 1,659,588 | 285,974 | – | 1,945,562 | ||||||||||||
Singapore | – | 2,189,920 | – | 2,189,920 | ||||||||||||
South Africa | 165,383 | 3,626,930 | – | 3,792,313 | ||||||||||||
South Korea | 25,373 | 7,481,281 | – | 7,506,654 | ||||||||||||
Spain | – | 4,629,131 | – | 4,629,131 | ||||||||||||
Sweden | – | 4,422,888 | – | 4,422,888 | ||||||||||||
Switzerland | – | 15,523,890 | – | 15,523,890 | ||||||||||||
Taiwan | 21,985 | 6,003,227 | – | 6,025,212 | ||||||||||||
Thailand | – | 1,332,248 | – | 1,332,248 | ||||||||||||
Turkey | 11,904 | 622,821 | – | 634,725 |
See Accompanying Notes to Financial Statements.
55
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
United Arab Emirates | $ | 132,920 | $ | 309,141 | $ | – | $ | 442,061 | ||||||||
United Kingdom | 1,144,469 | 26,489,381 | – | 27,633,850 | ||||||||||||
United States | 439,806 | 937,038 | – | 1,376,844 | ||||||||||||
Rights | ||||||||||||||||
Chile | 266 | – | – | 266 | ||||||||||||
Hong Kong | – | 2,541 | – | 2,541 | ||||||||||||
Spain | 6,446 | – | – | 6,446 | ||||||||||||
Short-Term Investment | 5,417,303 | – | – | 5,417,303 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 35,537,548 | $ | 196,787,947 | $ | 0 | $ | 232,325,495 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts(b) | 125,592 | – | – | 125,592 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investments and Other Financial Instruments | $ | 35,663,140 | $ | 196,787,947 | $ | 0 | $ | 232,451,087 | ||||||||
|
|
|
|
|
|
|
|
(a) | Fund held a Level 3 security that was valued at $0 at June 30, 2016. |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
Number of Shares Held at 12/31/15 | Value at 12/31/15 | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/16 | Value at 6/30/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund Premier Class | 2,440,800 | $ | 2,440,800 | 103,279,408 | 100,302,905 | 5,417,303 | $ | 5,417,303 | $ | 5,686 | $ | – |
See Accompanying Notes to Financial Statements.
56
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | June 30, 2016 | |||
Common Stocks | 97.4 | % | ||
Short-Term Investment | 2.8 | |||
Rights | 0.0 | ** | ||
Liabilities in Excess of Other Assets | (0.2 | ) | ||
Total | 100.0 | % |
** | Less than 0.05% of net assets. |
Top Five Sectors (excluding short-term investment)* | June 30, 2016 | |||
Real Estate Investment Trusts (REITs) | 11.0 | % | ||
Banks | 5.8 | |||
Software | 4.5 | |||
Insurance | 4.0 | |||
Media | 3.8 | |||
Total | 29.1 | % |
* | 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.
57
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 97.4% | ||||||||
Aerospace & Defense – 1.5% | ||||||||
AAR Corp. | 360 | $ | 8,402 | |||||
Aerojet Rocketdyne Holdings, Inc.(a) | 600 | 10,968 | ||||||
Aerovironment, Inc.(a) | 200 | 5,560 | ||||||
American Science & Engineering, Inc. | 39 | 1,459 | ||||||
Astronics Corp.(a) | 226 | 7,517 | ||||||
B/E Aerospace, Inc. | 1,001 | 46,221 | ||||||
BWX Technologies, Inc. | 895 | 32,014 | ||||||
Cubic Corp. | 300 | 12,048 | ||||||
Curtiss-Wright Corp. | 434 | 36,564 | ||||||
DigitalGlobe, Inc.(a) | 600 | 12,834 | ||||||
Ducommun, Inc.(a) | 100 | 1,978 | ||||||
Engility Holdings, Inc.(a) | 200 | 4,224 | ||||||
Esterline Technologies Corp.(a) | 300 | 18,612 | ||||||
HEICO Corp. | 181 | 12,093 | ||||||
HEICO Corp. Class A | 384 | 20,602 | ||||||
Hexcel Corp. | 947 | 39,433 | ||||||
Huntington Ingalls Industries, Inc. | 463 | 77,798 | ||||||
KEYW Holding Corp.(a) | 200 | 1,988 | ||||||
KLX, Inc.(a) | 543 | 16,833 | ||||||
Kratos Defense & Security Solutions, Inc.(a) | 300 | 1,230 | ||||||
Mercury Systems, Inc.(a) | 400 | 9,944 | ||||||
Moog, Inc. Class A(a) | 351 | 18,926 | ||||||
National Presto Industries, Inc. | 51 | 4,812 | ||||||
Orbital ATK, Inc. | 578 | 49,211 | ||||||
Sparton Corp.(a) | 100 | 2,177 | ||||||
Spirit AeroSystems Holdings, Inc. Class A(a) | 1,265 | 54,395 | ||||||
TASER International, Inc.(a) | 492 | 12,241 | ||||||
Teledyne Technologies, Inc.(a) | 330 | 32,686 | ||||||
Triumph Group, Inc. | 445 | 15,798 | ||||||
Vectrus, Inc.(a) | 100 | 2,849 | ||||||
|
| |||||||
571,417 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.2% |
| |||||||
Air Transport Services Group, Inc.(a) | 500 | 6,480 | ||||||
Atlas Air Worldwide Holdings, Inc.(a) | 282 | 11,681 | ||||||
Echo Global Logistics, Inc.(a) | 300 | 6,726 | ||||||
Forward Air Corp. | 300 | 13,359 | ||||||
Hub Group, Inc. Class A(a) | 317 | 12,163 | ||||||
Park-Ohio Holdings Corp. | 146 | 4,129 | ||||||
Radiant Logistics, Inc.(a) | 200 | 600 | ||||||
XPO Logistics, Inc.(a) | 1,000 | 26,260 | ||||||
|
| |||||||
81,398 | ||||||||
|
| |||||||
Airlines – 0.4% | ||||||||
Allegiant Travel Co. | 122 | 18,483 | ||||||
Copa Holdings SA Class A | 309 | 16,148 | ||||||
Hawaiian Holdings, Inc.(a) | 545 | 20,688 | ||||||
JetBlue Airways Corp.(a) | 3,136 | 51,932 | ||||||
SkyWest, Inc. | 500 | 13,230 | ||||||
Spirit Airlines, Inc.(a) | 758 | 34,012 | ||||||
Virgin America, Inc.(a) | 235 | 13,209 | ||||||
|
| |||||||
167,702 | ||||||||
|
| |||||||
Auto Components – 0.8% |
| |||||||
American Axle & Manufacturing Holdings, Inc.(a) | 700 | 10,136 | ||||||
Cooper Tire & Rubber Co. | 600 | 17,892 | ||||||
Cooper-Standard Holding, Inc.(a) | 129 | 10,190 | ||||||
Dana Holding Corp. | 1,494 | 15,777 | ||||||
Dorman Products, Inc.(a) | 254 | 14,529 | ||||||
Drew Industries, Inc. | 239 | 20,277 | ||||||
Federal-Mogul Holdings Corp.(a) | 200 | 1,662 | ||||||
Fox Factory Holding Corp.(a) | 200 | 3,474 | ||||||
Gentex Corp. | 2,766 | 42,735 | ||||||
Gentherm, Inc.(a) | 354 | 12,124 | ||||||
Horizon Global Corp.(a) | 174 | 1,975 | ||||||
Lear Corp. | 721 | 73,369 | ||||||
Metaldyne Performance Group, Inc. | 100 | 1,375 | ||||||
Modine Manufacturing Co.(a) | 383 | 3,370 | ||||||
Motorcar Parts of America, Inc.(a) | 200 | 5,436 | ||||||
Spartan Motors, Inc. | 300 | 1,878 | ||||||
Standard Motor Products, Inc. | 208 | 8,274 | ||||||
Stoneridge, Inc.(a) | 282 | 4,213 | ||||||
Strattec Security Corp. | 19 | 775 | ||||||
Superior Industries International, Inc. | 188 | 5,035 | ||||||
Tenneco, Inc.(a) | 535 | 24,936 | ||||||
Tower International, Inc. | 161 | 3,313 | ||||||
Visteon Corp. | 378 | 24,876 | ||||||
|
| |||||||
307,621 | ||||||||
|
| |||||||
Automobiles – 0.7% |
| |||||||
Tesla Motors, Inc.(a) | 1,146 | 243,273 | ||||||
Thor Industries, Inc. | 470 | 30,428 | ||||||
Winnebago Industries, Inc. | 300 | 6,876 | ||||||
|
| |||||||
280,577 | ||||||||
|
| |||||||
Banks – 5.8% |
| |||||||
1st Source Corp. | 200 | 6,478 | ||||||
Access National Corp. | 100 | 1,951 | ||||||
ACNB Corp. | 100 | 2,511 | ||||||
Allegiance Bancshares, Inc.(a) | 100 | 2,488 | ||||||
American National Bankshares, Inc. | 100 | 2,518 | ||||||
Ameris Bancorp | 300 | 8,910 | ||||||
Ames National Corp. | 100 | 2,682 | ||||||
Arrow Financial Corp. | 102 | 3,090 | ||||||
Associated Banc-Corp | 1,500 | 25,725 | ||||||
Atlantic Capital Bancshares, Inc.(a) | 200 | 2,892 | ||||||
Avenue Financial Holdings, Inc.(a) | 100 | 1,965 | ||||||
Banc of California, Inc. | 500 | 9,050 | ||||||
BancFirst Corp. | 76 | 4,584 | ||||||
Banco Latinoamericano de Comercio Exterior SA | 300 | 7,950 | ||||||
Bancorp, Inc.(a) | 200 | 1,204 | ||||||
BancorpSouth, Inc. | 970 | 22,009 | ||||||
Bank of Hawaii Corp. | 421 | 28,965 | ||||||
Bank of Marin Bancorp | 72 | 3,483 | ||||||
Bank of the Ozarks, Inc. | 804 | 30,166 | ||||||
BankUnited, Inc. | 972 | 29,860 | ||||||
Banner Corp. | 300 | 12,762 | ||||||
Bar Harbor Bankshares | 39 | 1,369 | ||||||
BBCN Bancorp, Inc. | 700 | 10,444 | ||||||
Berkshire Hills Bancorp, Inc. | 300 | 8,076 | ||||||
Blue Hills Bancorp, Inc. | 226 | 3,336 | ||||||
BNC Bancorp | 400 | 9,084 | ||||||
BOK Financial Corp. | 284 | 17,807 | ||||||
Boston Private Financial Holdings, Inc. | 800 | 9,424 | ||||||
Bridge Bancorp, Inc. | 200 | 5,680 |
See Accompanying Notes to Financial Statements.
58
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Brookline Bancorp, Inc. | 600 | $ | 6,618 | |||||
Bryn Mawr Bank Corp. | 200 | 5,840 | ||||||
C1 Financial, Inc.(a) | 100 | 2,333 | ||||||
Camden National Corp. | 88 | 3,696 | ||||||
Capital Bank Financial Corp. Class A | 237 | 6,826 | ||||||
Capital City Bank Group, Inc. | 100 | 1,392 | ||||||
Cardinal Financial Corp. | 300 | 6,582 | ||||||
Carolina Financial Corp. | 100 | 1,868 | ||||||
Cascade Bancorp(a) | 301 | 1,668 | ||||||
Cathay General Bancorp | 754 | 21,263 | ||||||
CenterState Banks, Inc. | 400 | 6,300 | ||||||
Central Pacific Financial Corp. | 279 | 6,584 | ||||||
Century Bancorp, Inc. Class A | 36 | 1,524 | ||||||
Chemical Financial Corp. | 400 | 14,916 | ||||||
CIT Group, Inc. | 1,911 | 60,980 | ||||||
Citizens & Northern Corp. | 100 | 2,022 | ||||||
City Holding Co. | 149 | 6,775 | ||||||
CNB Financial Corp. | 100 | 1,780 | ||||||
CoBiz Financial, Inc. | 400 | 4,680 | ||||||
Codorus Valley Bancorp, Inc. | 100 | 2,037 | ||||||
Columbia Banking System, Inc. | 600 | 16,836 | ||||||
Commerce Bancshares, Inc. | 875 | 41,912 | ||||||
Community Bank System, Inc. | 400 | 16,436 | ||||||
Community Trust Bancorp, Inc. | 200 | 6,932 | ||||||
CommunityOne Bancorp(a) | 123 | 1,555 | ||||||
ConnectOne Bancorp, Inc. | 323 | 5,068 | ||||||
CU Bancorp(a) | 200 | 4,546 | ||||||
Cullen/Frost Bankers, Inc. | 526 | 33,522 | ||||||
Customers Bancorp, Inc.(a) | 300 | 7,539 | ||||||
CVB Financial Corp. | 1,000 | 16,390 | ||||||
Eagle Bancorp, Inc.(a) | 300 | 14,433 | ||||||
East West Bancorp, Inc. | 1,385 | 47,339 | ||||||
Enterprise Bancorp, Inc. | 78 | 1,871 | ||||||
Enterprise Financial Services Corp. | 200 | 5,578 | ||||||
Farmers Capital Bank Corp. | 49 | 1,340 | ||||||
Farmers National Banc Corp. | 200 | 1,760 | ||||||
FCB Financial Holdings, Inc. Class A(a) | 282 | 9,588 | ||||||
Fidelity Southern Corp. | 200 | 3,134 | ||||||
Financial Institutions, Inc. | 100 | 2,607 | ||||||
First BanCorp(a) | 1,300 | 5,161 | ||||||
First Bancorp, Inc. | 100 | 2,154 | ||||||
First Bancorp/Southern Pines | 200 | 3,516 | ||||||
First Busey Corp. | 333 | 7,123 | ||||||
First Business Financial Services, Inc. | 100 | 2,347 | ||||||
First Citizens BancShares, Inc. Class A | 75 | 19,418 | ||||||
First Commonwealth Financial Corp. | 800 | 7,360 | ||||||
First Community Bancshares, Inc. | 100 | 2,244 | ||||||
First Connecticut Bancorp, Inc. | 100 | 1,656 | ||||||
First Financial Bancorp | 600 | 11,670 | ||||||
First Financial Bankshares, Inc. | 651 | 21,346 | ||||||
First Financial Corp. | 100 | 3,662 | ||||||
First Foundation, Inc.(a) | 100 | 2,150 | ||||||
First Horizon National Corp. | 2,315 | 31,901 | ||||||
First Interstate BancSystem, Inc. Class A | 200 | 5,620 | ||||||
First Merchants Corp. | 378 | 9,424 | ||||||
First Midwest Bancorp, Inc. | 700 | 12,292 | ||||||
First NBC Bank Holding Co.(a) | 100 | 1,679 | ||||||
First Niagara Financial Group, Inc. | 3,450 | 33,603 | ||||||
First of Long Island Corp. | 100 | 2,867 | ||||||
First Republic Bank | 1,425 | 99,736 | ||||||
FirstMerit Corp. | 1,600 | 32,432 | ||||||
Flushing Financial Corp. | 300 | 5,964 | ||||||
FNB Corp. | 1,937 | 24,290 | ||||||
Franklin Financial Network, Inc.(a) | 55 | 1,725 | ||||||
Fulton Financial Corp. | 1,700 | 22,950 | ||||||
German American Bancorp, Inc. | 143 | 4,572 | ||||||
Glacier Bancorp, Inc. | 700 | 18,606 | ||||||
Great Southern Bancorp, Inc. | 168 | 6,211 | ||||||
Great Western Bancorp, Inc. | 600 | 18,924 | ||||||
Green Bancorp, Inc.(a) | 100 | 872 | ||||||
Guaranty Bancorp | 100 | 1,670 | ||||||
Hancock Holding Co. | 800 | 20,888 | ||||||
Hanmi Financial Corp. | 300 | 7,047 | ||||||
Heartland Financial USA, Inc. | 200 | 7,058 | ||||||
Heritage Commerce Corp. | 200 | 2,106 | ||||||
Heritage Financial Corp. | 300 | 5,274 | ||||||
Heritage Oaks Bancorp | 200 | 1,588 | ||||||
Hilltop Holdings, Inc.(a) | 700 | 14,693 | ||||||
Home BancShares, Inc. | 1,200 | 23,748 | ||||||
HomeTrust Bancshares, Inc.(a) | 200 | 3,700 | ||||||
Horizon Bancorp | 100 | 2,514 | ||||||
IBERIABANK Corp. | 447 | 26,699 | ||||||
Independent Bank Corp.(b) | 233 | 10,648 | ||||||
Independent Bank Corp.(b) | 200 | 2,902 | ||||||
Independent Bank Group, Inc. | 151 | 6,479 | ||||||
International Bancshares Corp. | 552 | 14,402 | ||||||
Investors Bancorp, Inc. | 3,100 | 34,348 | ||||||
Lakeland Bancorp, Inc. | 400 | 4,552 | ||||||
Lakeland Financial Corp. | 152 | 7,146 | ||||||
LegacyTexas Financial Group, Inc. | 448 | 12,056 | ||||||
Live Oak Bancshares, Inc. | 200 | 2,822 | ||||||
Macatawa Bank Corp. | 300 | 2,226 | ||||||
MainSource Financial Group, Inc. | 270 | 5,953 | ||||||
MB Financial, Inc. | 700 | 25,396 | ||||||
Mercantile Bank Corp. | 200 | 4,772 | ||||||
Merchants Bancshares, Inc. | 51 | 1,554 | ||||||
MidWestOne Financial Group, Inc. | 51 | 1,457 | ||||||
National Bank Holdings Corp. Class A | 300 | 6,108 | ||||||
National Bankshares, Inc. | 37 | 1,292 | ||||||
National Commerce Corp.(a) | 63 | 1,469 | ||||||
NBT Bancorp, Inc. | 400 | 11,452 | ||||||
Nicolet Bankshares, Inc.(a) | 100 | 3,808 | ||||||
Northrim BanCorp, Inc. | 100 | 2,629 | ||||||
OFG Bancorp | 500 | 4,150 | ||||||
Old Line Bancshares, Inc. | 100 | 1,800 | ||||||
Old National Bancorp | 1,461 | 18,306 | ||||||
Old Second Bancorp, Inc. | 200 | 1,366 | ||||||
Opus Bank | 200 | 6,760 | ||||||
Pacific Continental Corp. | 200 | 3,142 | ||||||
Pacific Premier Bancorp, Inc.(a) | 300 | 7,200 | ||||||
PacWest Bancorp | 1,179 | 46,901 | ||||||
Park National Corp. | 116 | 10,646 | ||||||
Park Sterling Corp. | 500 | 3,545 | ||||||
Peapack Gladstone Financial Corp. | 100 | 1,851 | ||||||
Penns Woods Bancorp, Inc. | 47 | 1,974 |
See Accompanying Notes to Financial Statements.
59
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
People’s Utah Bancorp | 100 | $ | 1,660 | |||||
Peoples Bancorp, Inc. | 200 | 4,358 | ||||||
Peoples Financial Services Corp. | 139 | 5,440 | ||||||
Pinnacle Financial Partners, Inc. | 452 | 22,080 | ||||||
Popular, Inc. | 1,000 | 29,300 | ||||||
Preferred Bank | 100 | 2,887 | ||||||
PrivateBancorp, Inc. | 772 | 33,991 | ||||||
Prosperity Bancshares, Inc. | 674 | 34,367 | ||||||
QCR Holdings, Inc. | 100 | 2,719 | ||||||
Renasant Corp. | 361 | 11,671 | ||||||
Republic Bancorp, Inc. Class A | 100 | 2,763 | ||||||
S&T Bancorp, Inc. | 353 | 8,631 | ||||||
Sandy Spring Bancorp, Inc. | 200 | 5,812 | ||||||
Seacoast Banking Corp. of Florida(a) | 200 | 3,248 | ||||||
ServisFirst Bancshares, Inc. | 200 | 9,878 | ||||||
Sierra Bancorp | 100 | 1,669 | ||||||
Signature Bank(a) | 516 | 64,459 | ||||||
Simmons First National Corp. Class A | 300 | 13,855 | ||||||
South State Corp. | 238 | 16,196 | ||||||
Southside Bancshares, Inc. | 256 | 7,916 | ||||||
Southwest Bancorp, Inc. | 200 | 3,386 | ||||||
State Bank Financial Corp. | 300 | 6,105 | ||||||
Sterling Bancorp | 1,200 | 18,840 | ||||||
Stock Yards Bancorp, Inc. | 300 | 8,469 | ||||||
Stonegate Bank | 100 | 3,227 | ||||||
Suffolk Bancorp | 100 | 3,131 | ||||||
Sun Bancorp, Inc.(a) | 100 | 2,066 | ||||||
SVB Financial Group(a) | 493 | 46,914 | ||||||
Synovus Financial Corp. | 1,200 | 34,788 | ||||||
Talmer Bancorp, Inc. Class A | 500 | 9,585 | ||||||
TCF Financial Corp. | 1,600 | 20,240 | ||||||
Texas Capital Bancshares, Inc.(a) | 446 | 20,855 | ||||||
Tompkins Financial Corp. | 151 | 9,815 | ||||||
Towne Bank | 500 | 10,825 | ||||||
TriCo Bancshares | 276 | 7,618 | ||||||
TriState Capital Holdings, Inc.(a) | 200 | 2,746 | ||||||
Triumph Bancorp, Inc.(a) | 100 | 1,600 | ||||||
Trustmark Corp. | 677 | 16,823 | ||||||
UMB Financial Corp. | 428 | 22,774 | ||||||
Umpqua Holdings Corp. | 2,100 | 32,487 | ||||||
Union Bankshares Corp. | 400 | 9,884 | ||||||
United Bankshares, Inc. | 651 | 24,419 | ||||||
United Community Banks, Inc. | 685 | 12,529 | ||||||
Univest Corp. of Pennsylvania | 200 | 4,204 | ||||||
Valley National Bancorp | 2,300 | 20,976 | ||||||
Washington Trust Bancorp, Inc. | 153 | 5,802 | ||||||
WashingtonFirst Bankshares, Inc. | 100 | 2,161 | ||||||
Webster Financial Corp. | 900 | 30,555 | ||||||
WesBanco, Inc. | 350 | 10,867 | ||||||
West Bancorp, Inc. | 100 | 1,859 | ||||||
Westamerica Bancorporation | 285 | 14,039 | ||||||
Western Alliance Bancorp(a) | 896 | 29,254 | ||||||
Wilshire Bancorp, Inc. | 600 | 6,252 | ||||||
Wintrust Financial Corp. | 508 | 25,908 | ||||||
Yadkin Financial Corp. | 500 | 12,545 | ||||||
Your Community Bankshares, Inc. | 100 | 3,716 | ||||||
|
| |||||||
2,272,269 | ||||||||
|
| |||||||
Beverages – 0.1% | ||||||||
Boston Beer Co., Inc. Class A(a) | 91 | 15,564 | ||||||
Coca-Cola Bottling Co. Consolidated | 48 | 7,078 | ||||||
MGP Ingredients, Inc. | 100 | 3,823 | ||||||
National Beverage Corp.(a) | 100 | 6,281 | ||||||
Primo Water Corp.(a) | 200 | 2,362 | ||||||
|
| |||||||
35,108 | ||||||||
|
| |||||||
Biotechnology – 3.7% | ||||||||
ACADIA Pharmaceuticals, Inc.(a) | 918 | 29,798 | ||||||
Acceleron Pharma, Inc.(a) | 300 | 10,194 | ||||||
Achillion Pharmaceuticals, Inc.(a) | 1,100 | 8,580 | ||||||
Acorda Therapeutics, Inc.(a) | 400 | 10,202 | ||||||
Adamas Pharmaceuticals, Inc.(a) | 100 | 1,514 | ||||||
Aduro Biotech, Inc.(a) | 354 | 4,004 | ||||||
Advaxis, Inc.(a) | 200 | 1,618 | ||||||
Adverum Biotechnologies, Inc.(a) | 100 | 316 | ||||||
Agenus, Inc.(a) | 700 | 2,835 | ||||||
Agios Pharmaceuticals, Inc.(a) | 268 | 11,228 | ||||||
Aimmune Therapeutics, Inc.(a) | 300 | 3,246 | ||||||
Akebia Therapeutics, Inc.(a) | 200 | 1,496 | ||||||
Alder Biopharmaceuticals, Inc.(a) | 452 | 11,286 | ||||||
Alkermes PLC(a) | 1,511 | 65,305 | ||||||
Alnylam Pharmaceuticals, Inc.(a) | 709 | 39,342 | ||||||
AMAG Pharmaceuticals, Inc.(a) | 300 | 7,176 | ||||||
Amicus Therapeutics, Inc.(a) | 1,141 | 6,230 | ||||||
Anavex Life Sciences Corp.(a) | 300 | 1,833 | ||||||
Anthera Pharmaceuticals, Inc.(a) | 200 | 618 | ||||||
Applied Genetic Technologies Corp.(a) | 87 | 1,229 | ||||||
Ardelyx, Inc.(a) | 100 | 873 | ||||||
Arena Pharmaceuticals, Inc.(a) | 2,400 | 4,104 | ||||||
ARIAD Pharmaceuticals, Inc.(a) | 1,600 | 11,824 | ||||||
Array BioPharma, Inc.(a) | 1,083 | 3,856 | ||||||
Arrowhead Pharmaceuticals, Inc. (a) | 600 | 3,192 | ||||||
Atara Biotherapeutics, Inc.(a) | 200 | 4,502 | ||||||
Athersys, Inc.(a) | 700 | 1,519 | ||||||
Avexis, Inc.(a) | 100 | 3,802 | ||||||
Axovant Sciences, Ltd.(a) | 137 | 1,759 | ||||||
Bellicum Pharmaceuticals, Inc.(a) | 182 | 2,359 | ||||||
BioCryst Pharmaceuticals, Inc.(a) | 700 | 1,988 | ||||||
BioMarin Pharmaceutical, Inc.(a) | 1,586 | 123,391 | ||||||
BioSpecifics Technologies Corp.(a) | 26 | 1,038 | ||||||
BioTime, Inc.(a) | 500 | 1,305 | ||||||
Bluebird Bio, Inc.(a) | 348 | 15,065 | ||||||
Blueprint Medicines Corp.(a) | 200 | 4,050 | ||||||
Cara Therapeutics, Inc.(a) | 100 | 481 | ||||||
Celator Pharmaceuticals, Inc.(a) | 311 | 9,386 | ||||||
Celldex Therapeutics, Inc.(a) | 700 | 3,073 | ||||||
Cellular Biomedicine Group, Inc.(a) | 100 | 1,199 | ||||||
Cepheid(a) | 700 | 21,525 | ||||||
ChemoCentryx, Inc.(a) | 300 | 1,347 | ||||||
Chimerix, Inc.(a) | 297 | 1,167 | ||||||
Clovis Oncology, Inc.(a) | 280 | 3,842 | ||||||
Coherus Biosciences, Inc.(a) | 200 | 3,378 | ||||||
Concert Pharmaceuticals, Inc.(a) | 100 | 1,123 | ||||||
Curis, Inc.(a) | 600 | 936 | ||||||
Cytokinetics, Inc.(a) | 200 | 1,898 | ||||||
CytomX Therapeutics, Inc.(a) | 76 | 776 | ||||||
CytRx Corp.(a) | 657 | 1,465 | ||||||
Dynavax Technologies Corp.(a) | 338 | 4,928 |
See Accompanying Notes to Financial Statements.
60
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Biotechnology – (continued) | ||||||||
Eagle Pharmaceuticals, Inc.(a) | 64 | $ | 2,483 | |||||
Edge Therapeutics, Inc.(a) | 200 | 2,022 | ||||||
Editas Medicine, Inc.(a) | 100 | 2,440 | ||||||
Emergent BioSolutions, Inc.(a) | 300 | 8,436 | ||||||
Enanta Pharmaceuticals, Inc.(a) | 200 | 4,410 | ||||||
Epizyme, Inc.(a) | 438 | 4,485 | ||||||
Esperion Therapeutics, Inc.(a) | 100 | 988 | ||||||
Exact Sciences Corp.(a) | 1,005 | 12,311 | ||||||
Exelixis, Inc.(a) | 2,209 | 17,252 | ||||||
FibroGen, Inc.(a) | 500 | 8,205 | ||||||
Five Prime Therapeutics, Inc.(a) | 247 | 10,213 | ||||||
Flexion Therapeutics, Inc.(a) | 100 | 1,497 | ||||||
Foundation Medicine, Inc.(a) | 100 | 1,866 | ||||||
Galena Biopharma, Inc.(a) | 2,200 | 1,025 | ||||||
Genomic Health, Inc.(a) | 200 | 5,179 | ||||||
Geron Corp.(a) | 1,183 | 3,170 | ||||||
Global Blood Therapeutics, Inc.(a) | 138 | 2,289 | ||||||
Halozyme Therapeutics, Inc.(a) | 952 | 8,216 | ||||||
Heron Therapeutics, Inc.(a) | 317 | 5,722 | ||||||
Idera Pharmaceuticals, Inc.(a) | 600 | 918 | ||||||
Ignyta, Inc.(a) | 100 | 542 | ||||||
Immune Design Corp.(a) | 100 | 816 | ||||||
ImmunoGen, Inc.(a) | 800 | 2,464 | ||||||
Immunomedics, Inc.(a) | 1,100 | 2,552 | ||||||
Incyte Corp.(a) | 1,590 | 127,168 | ||||||
Infinity Pharmaceuticals, Inc.(a) | 300 | 399 | ||||||
Inovio Pharmaceuticals, Inc.(a) | 811 | 7,494 | ||||||
Insmed, Inc.(a) | 633 | 6,241 | ||||||
Insys Therapeutics, Inc.(a) | 153 | 1,980 | ||||||
Intellia Therapeutics, Inc.(a) | 100 | 2,135 | ||||||
Intercept Pharmaceuticals, Inc.(a) | 160 | 22,829 | ||||||
Intrexon Corp.(a) | 541 | 13,314 | ||||||
Invitae Corp.(a) | 200 | 1,478 | ||||||
Ionis Pharmaceuticals, Inc.(a) | 1,173 | 27,319 | ||||||
Ironwood Pharmaceuticals, Inc.(a) | 1,300 | 16,998 | ||||||
Juno Therapeutics, Inc.(a) | 602 | 23,141 | ||||||
Karyopharm Therapeutics, Inc.(a) | 100 | 671 | ||||||
Keryx Biopharmaceuticals, Inc.(a) | 803 | 5,316 | ||||||
Kite Pharma, Inc.(a) | 373 | 18,650 | ||||||
La Jolla Pharmaceutical Co.(a) | 100 | 1,600 | ||||||
Lexicon Pharmaceuticals, Inc.(a) | 321 | 4,606 | ||||||
Ligand Pharmaceuticals, Inc.(a) | 185 | 22,065 | ||||||
Lion Biotechnologies, Inc.(a) | 400 | 3,240 | ||||||
Loxo Oncology, Inc.(a) | 77 | 1,785 | ||||||
MacroGenics, Inc.(a) | 300 | 8,097 | ||||||
MannKind Corp.(a) | 2,400 | 2,784 | ||||||
Medgenics, Inc.(a) | 300 | 1,665 | ||||||
MediciNova, Inc.(a) | 300 | 2,265 | ||||||
Medivation, Inc.(a) | 1,615 | 97,385 | ||||||
Merrimack Pharmaceuticals, Inc.(a) | 1,105 | 5,956 | ||||||
MiMedx Group, Inc.(a) | 993 | 7,924 | ||||||
Minerva Neurosciences, Inc.(a) | 200 | 2,042 | ||||||
Mirati Therapeutics, Inc.(a) | 100 | 546 | ||||||
Momenta Pharmaceuticals, Inc.(a) | 600 | 6,480 | ||||||
Myriad Genetics, Inc.(a) | 651 | 19,921 | ||||||
Natera, Inc.(a) | 200 | 2,413 | ||||||
Neurocrine Biosciences, Inc.(a) | 834 | 37,905 | ||||||
NewLink Genetics Corp.(a) | 158 | 1,779 | ||||||
Novavax, Inc.(a) | 2,700 | 19,629 | ||||||
OncoMed Pharmaceuticals, Inc.(a) | 100 | 1,231 | ||||||
Ophthotech Corp.(a) | 354 | 18,065 | ||||||
OPKO Health, Inc.(a) | 3,123 | 29,169 | ||||||
Organovo Holdings, Inc.(a) | 500 | 1,860 | ||||||
Osiris Therapeutics, Inc.(a) | 100 | 509 | ||||||
Otonomy, Inc.(a) | 200 | 3,176 | ||||||
OvaScience, Inc.(a) | 100 | 521 | ||||||
PDL BioPharma, Inc. | 1,255 | 3,941 | ||||||
Pfenex, Inc.(a) | 100 | 837 | ||||||
PharmAthene, Inc.(a) | 600 | 1,464 | ||||||
Portola Pharmaceuticals, Inc.(a) | 441 | 10,408 | ||||||
Progenics Pharmaceuticals, Inc.(a) | 800 | 3,376 | ||||||
Prothena Corp. PLC(a) | 300 | 10,488 | ||||||
PTC Therapeutics, Inc.(a) | 300 | 2,106 | ||||||
Puma Biotechnology, Inc.(a) | 262 | 7,805 | ||||||
Radius Health, Inc.(a) | 315 | 11,576 | ||||||
Raptor Pharmaceutical Corp.(a) | 800 | 4,296 | ||||||
REGENXBIO, Inc.(a) | 200 | 1,600 | ||||||
Regulus Therapeutics, Inc.(a) | 300 | 867 | ||||||
Repligen Corp.(a) | 300 | 8,208 | ||||||
Retrophin, Inc.(a) | 400 | 7,124 | ||||||
Rigel Pharmaceuticals, Inc.(a) | 700 | 1,561 | ||||||
Sage Therapeutics, Inc.(a) | 300 | 9,039 | ||||||
Sangamo BioSciences, Inc.(a) | 700 | 4,053 | ||||||
Sarepta Therapeutics, Inc.(a) | 400 | 7,628 | ||||||
Seattle Genetics, Inc.(a) | 1,000 | 40,410 | ||||||
Seres Therapeutics, Inc.(a) | 146 | 4,241 | ||||||
Sorrento Therapeutics, Inc.(a) | 100 | 560 | ||||||
Spark Therapeutics, Inc.(a) | 142 | 7,261 | ||||||
Spectrum Pharmaceuticals, Inc.(a) | 600 | 3,942 | ||||||
Stemline Therapeutics, Inc.(a) | 200 | 1,354 | ||||||
Synergy Pharmaceuticals, Inc.(a) | 1,800 | 6,840 | ||||||
TESARO, Inc.(a) | 249 | 20,929 | ||||||
TG Therapeutics, Inc.(a) | 400 | 2,424 | ||||||
Trevena, Inc.(a) | 400 | 2,520 | ||||||
Trovagene, Inc.(a) | 200 | 906 | ||||||
Ultragenyx Pharmaceutical, Inc.(a) | 365 | 17,852 | ||||||
United Therapeutics Corp.(a) | 445 | 47,134 | ||||||
Vanda Pharmaceuticals, Inc.(a) | 400 | 4,476 | ||||||
Versartis, Inc.(a) | 300 | 3,318 | ||||||
Vitae Pharmaceuticals, Inc.(a) | 130 | 1,403 | ||||||
Vital Therapies, Inc.(a) | 100 | 620 | ||||||
XBiotech, Inc.(a) | 200 | 4,184 | ||||||
Xencor, Inc.(a) | 285 | 5,412 | ||||||
Zafgen, Inc.(a) | 100 | 599 | ||||||
ZIOPHARM Oncology, Inc.(a) | 1,000 | 5,490 | ||||||
|
| |||||||
1,426,705 | ||||||||
|
| |||||||
Building Products – 1.1% | ||||||||
AAON, Inc. | 400 | 11,004 | ||||||
Advanced Drainage Systems, Inc. | 300 | 8,211 | ||||||
American Woodmark Corp.(a) | 116 | 7,700 | ||||||
AO Smith Corp. | 708 | 62,382 | ||||||
Apogee Enterprises, Inc. | 309 | 14,322 | ||||||
Armstrong Flooring, Inc.(a) | 177 | 3,000 | ||||||
Armstrong World Industries, Inc.(a) | 455 | 17,813 | ||||||
Builders FirstSource, Inc.(a) | 900 | 10,125 | ||||||
Caesarstone, Ltd.(a) | 227 | 7,890 | ||||||
Continental Building Products, Inc.(a) | 300 | 6,669 | ||||||
CSW Industrials, Inc.(a) | 137 | 4,467 | ||||||
Gibraltar Industries, Inc.(a) | 300 | 9,471 | ||||||
Griffon Corp. | 300 | 5,058 |
See Accompanying Notes to Financial Statements.
61
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Building Products – (continued) |
| |||||||
Insteel Industries, Inc. | 200 | $ | 5,718 | |||||
Lennox International, Inc. | 386 | 55,044 | ||||||
Masonite International Corp.(a) | 300 | 19,842 | ||||||
NCI Building Systems, Inc.(a) | 228 | 3,646 | ||||||
Nortek, Inc.(a) | 99 | 5,872 | ||||||
Owens Corning | 1,136 | 58,527 | ||||||
Patrick Industries, Inc.(a) | 200 | 12,058 | ||||||
PGT, Inc.(a) | 400 | 4,120 | ||||||
Ply Gem Holdings, Inc.(a) | 200 | 2,914 | ||||||
Quanex Building Products Corp. | 368 | 6,841 | ||||||
Simpson Manufacturing Co., Inc. | 400 | 15,988 | ||||||
Trex Co., Inc.(a) | 300 | 13,476 | ||||||
Universal Forest Products, Inc. | 200 | 18,538 | ||||||
USG Corp.(a) | 900 | 24,264 | ||||||
|
| |||||||
414,960 | ||||||||
|
| |||||||
Capital Markets – 1.4% | ||||||||
Arlington Asset Investment Corp. Class A | 300 | 3,903 | ||||||
Artisan Partners Asset Management, Inc. Class A | 355 | 9,826 | ||||||
Associated Capital Group, Inc. Class A | 33 | 946 | ||||||
BGC Partners, Inc. Class A | 2,100 | 18,291 | ||||||
Calamos Asset Management, Inc. Class A | 100 | 731 | ||||||
Cohen & Steers, Inc. | 209 | 8,452 | ||||||
Cowen Group, Inc. Class A(a) | 1,200 | 3,552 | ||||||
Diamond Hill Investment Group, Inc. | 34 | 6,406 | ||||||
Eaton Vance Corp. | 1,052 | 37,178 | ||||||
Evercore Partners, Inc. Class A | 343 | 15,157 | ||||||
Federated Investors, Inc. Class B | 900 | 25,902 | ||||||
Financial Engines, Inc. | 466 | 12,055 | ||||||
GAMCO Investors, Inc. Class A | 33 | 1,081 | ||||||
Greenhill & Co., Inc. | 317 | 5,104 | ||||||
Houlihan Lokey, Inc. | 100 | 2,237 | ||||||
Interactive Brokers Group, Inc. Class A | 600 | 21,240 | ||||||
INTL. FCStone, Inc.(a) | 200 | 5,458 | ||||||
Investment Technology Group, Inc. | 300 | 5,016 | ||||||
Janus Capital Group, Inc. | 1,400 | 19,488 | ||||||
KCG Holdings, Inc. Class A(a) | 400 | 5,320 | ||||||
Ladenburg Thalmann Financial Services, Inc.(a) | 1,000 | 2,360 | ||||||
Lazard, Ltd. Class A | 1,202 | 35,796 | ||||||
LPL Financial Holdings, Inc. | 850 | 19,151 | ||||||
Moelis & Co. Class A | 200 | 4,500 | ||||||
NorthStar Asset Management Group, Inc. | 1,800 | 18,378 | ||||||
OM Asset Management PLC | 300 | 4,005 | ||||||
Oppenheimer Holdings, Inc. Class A | 100 | 1,546 | ||||||
Piper Jaffray Cos.(a) | 200 | 7,540 | ||||||
PJT Partners, Inc. Class A | 169 | 3,887 | ||||||
Raymond James Financial, Inc. | 1,238 | 61,033 | ||||||
Safeguard Scientifics, Inc.(a) | 200 | 2,498 | ||||||
SEI Investments Co. | 1,225 | 58,935 | ||||||
Stifel Financial Corp.(a) | 654 | 20,568 | ||||||
TD Ameritrade Holding Corp. | 2,387 | 67,970 | ||||||
Virtu Financial, Inc. Class A | 200 | 3,600 | ||||||
Virtus Investment Partners, Inc. | 60 | 4,271 | ||||||
Waddell & Reed Financial, Inc. Class A | 839 | 14,448 | ||||||
Westwood Holdings Group, Inc. | 80 | 4,144 | ||||||
WisdomTree Investments, Inc. | 1,000 | 9,790 | ||||||
|
| |||||||
551,763 | ||||||||
|
| |||||||
Chemicals – 2.4% | ||||||||
A Schulman, Inc. | 290 | 7,082 | ||||||
American Vanguard Corp. | 252 | 3,808 | ||||||
Ashland, Inc. | 601 | 68,977 | ||||||
Axalta Coating Systems, Ltd.(a) | 1,580 | 41,917 | ||||||
Axiall Corp. | 691 | 22,534 | ||||||
Balchem Corp. | 300 | 17,895 | ||||||
Cabot Corp. | 588 | 26,848 | ||||||
Calgon Carbon Corp. | 500 | 6,575 | ||||||
Celanese Corp. Series A | 1,441 | 94,314 | ||||||
Chase Corp. | 73 | 4,312 | ||||||
Chemours Co. | 1,700 | 14,008 | ||||||
Chemtura Corp.(a) | 671 | 17,701 | ||||||
Ferro Corp.(a) | 709 | 9,486 | ||||||
Flotek Industries, Inc.(a) | 600 | 7,920 | ||||||
FutureFuel Corp. | 200 | 2,176 | ||||||
GCP Applied Technologies, Inc.(a) | 697 | 18,150 | ||||||
Hawkins, Inc. | 100 | 4,341 | ||||||
HB Fuller Co. | 499 | 21,951 | ||||||
Huntsman Corp. | 1,900 | 25,555 | ||||||
Ingevity Corp.(a) | 400 | 13,616 | ||||||
Innophos Holdings, Inc. | 200 | 8,442 | ||||||
Innospec, Inc. | 274 | 12,601 | ||||||
KMG Chemicals, Inc. | 100 | 2,599 | ||||||
Koppers Holdings, Inc.(a) | 200 | 6,146 | ||||||
Kraton Performance Polymers, Inc.(a) | 300 | 8,379 | ||||||
Kronos Worldwide, Inc. | 300 | 1,575 | ||||||
LSB Industries, Inc.(a) | 200 | 2,416 | ||||||
Minerals Technologies, Inc. | 343 | 19,482 | ||||||
NewMarket Corp. | 71 | 29,421 | ||||||
Olin Corp. | 1,600 | 39,744 | ||||||
OMNOVA Solutions, Inc.(a) | 500 | 3,625 | ||||||
Platform Specialty Products Corp.(a) | 1,600 | 14,208 | ||||||
PolyOne Corp. | 859 | 30,271 | ||||||
Quaker Chemical Corp. | 126 | 11,239 | ||||||
Rayonier Advanced Materials, Inc. | 400 | 5,436 | ||||||
RPM International, Inc. | 1,313 | 65,584 | ||||||
Scotts Miracle-Gro Co. Class A | 435 | 30,411 | ||||||
Sensient Technologies Corp. | 433 | 30,760 | ||||||
Stepan Co. | 182 | 10,835 | ||||||
TerraVia Holdings, Inc.(a) | 400 | 1,048 | ||||||
Trecora Resources(a) | 100 | 1,043 | ||||||
Tredegar Corp. | 207 | 3,337 | ||||||
Trinseo SA(a) | 274 | 11,763 | ||||||
Tronox, Ltd. Class A | 769 | 3,391 | ||||||
Valspar Corp. | 771 | 83,291 | ||||||
Westlake Chemical Corp. | 380 | 16,310 | ||||||
WR Grace & Co. | 694 | 50,808 | ||||||
|
| |||||||
933,331 | ||||||||
|
| |||||||
Commercial Services & Supplies – 1.5% |
| |||||||
ABM Industries, Inc. | 600 | 21,888 | ||||||
ACCO Brands Corp.(a) | 1,016 | 10,495 |
See Accompanying Notes to Financial Statements.
62
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Commercial Services & Supplies – (continued) |
| |||||||
ARC Document Solutions, Inc.(a) | 200 | $ | 778 | |||||
Brady Corp. Class A | 500 | 15,280 | ||||||
Brink’s Co. | 454 | 12,935 | ||||||
Casella Waste Systems, Inc. Class A(a) | 500 | 3,925 | ||||||
CECO Environmental Corp. | 156 | 1,363 | ||||||
Clean Harbors, Inc.(a) | 544 | 28,348 | ||||||
Copart, Inc.(a) | 938 | 45,971 | ||||||
Covanta Holding Corp. | 1,100 | 18,095 | ||||||
Deluxe Corp. | 481 | 31,924 | ||||||
Ennis, Inc. | 200 | 3,836 | ||||||
Essendant, Inc. | 349 | 10,666 | ||||||
G&K Services, Inc. Class A | 191 | 14,625 | ||||||
Healthcare Services Group, Inc. | 665 | 27,518 | ||||||
Heritage-Crystal Clean, Inc.(a) | 100 | 1,221 | ||||||
Herman Miller, Inc. | 600 | 17,934 | ||||||
HNI Corp. | 489 | 22,734 | ||||||
InnerWorkings, Inc.(a) | 400 | 3,308 | ||||||
Interface, Inc. | 600 | 9,150 | ||||||
KAR Auction Services, Inc. | 1,373 | 57,309 | ||||||
Kimball International, Inc. Class B | 400 | 4,552 | ||||||
Knoll, Inc. | 490 | 11,897 | ||||||
Matthews International Corp. Class A | 331 | 18,417 | ||||||
McGrath RentCorp | 200 | 6,118 | ||||||
Mobile Mini, Inc. | 500 | 17,320 | ||||||
MSA Safety, Inc. | 279 | 14,656 | ||||||
Multi-Color Corp. | 121 | 7,671 | ||||||
Quad/Graphics, Inc. | 300 | 6,987 | ||||||
Rollins, Inc. | 963 | 28,187 | ||||||
RR Donnelley & Sons Co. | 2,000 | 33,840 | ||||||
SP Plus Corp.(a) | 200 | 4,516 | ||||||
Steelcase, Inc. Class A | 800 | 10,856 | ||||||
Team, Inc.(a) | 300 | 7,449 | ||||||
Tetra Tech, Inc. | 600 | 18,447 | ||||||
TRC Cos., Inc.(a) | 100 | 632 | ||||||
UniFirst Corp. | 146 | 16,895 | ||||||
US Ecology, Inc. | 196 | 9,006 | ||||||
Viad Corp. | 254 | 7,874 | ||||||
VSE Corp. | 40 | 2,672 | ||||||
West Corp. | 473 | 9,299 | ||||||
|
| |||||||
596,594 | ||||||||
|
| |||||||
Communications Equipment – 1.4% |
| |||||||
ADTRAN, Inc. | 500 | 9,325 | ||||||
Aerohive Networks, Inc.(a) | 400 | 2,648 | ||||||
Applied Optoelectronics, Inc.(a) | 100 | 1,115 | ||||||
Arista Networks, Inc.(a) | 435 | 28,005 | ||||||
ARRIS International PLC(a) | 1,800 | 37,728 | ||||||
Bel Fuse, Inc. Class B | 100 | 1,778 | ||||||
Black Box Corp. | 100 | 1,308 | ||||||
Brocade Communications Systems, Inc. | 4,481 | 41,136 | ||||||
CalAmp Corp.(a) | 300 | 4,443 | ||||||
Calix, Inc.(a) | 500 | 3,455 | ||||||
Ciena Corp.(a) | 1,300 | 24,375 | ||||||
Clearfield, Inc.(a) | 100 | 1,789 | ||||||
CommScope Holding Co., Inc.(a) | 1,226 | 38,043 | ||||||
Comtech Telecommunications Corp. | 200 | 2,568 | ||||||
Digi International, Inc.(a) | 200 | 2,146 | ||||||
EchoStar Corp. Class A Class A(a) | 421 | 16,714 | ||||||
EMCORE Corp.(a) | 300 | 1,782 | ||||||
Extreme Networks, Inc.(a) | 1,100 | 3,729 | ||||||
Finisar Corp.(a) | 1,000 | 17,510 | ||||||
Harmonic, Inc.(a) | 500 | 1,425 | ||||||
Infinera Corp.(a) | 1,400 | 15,792 | ||||||
InterDigital, Inc. | 338 | 18,820 | ||||||
Ixia(a) | 600 | 5,892 | ||||||
KVH Industries, Inc.(a) | 166 | 1,278 | ||||||
Lumentum Holdings, Inc.(a) | 500 | 12,100 | ||||||
NETGEAR, Inc.(a) | 300 | 14,262 | ||||||
NetScout Systems, Inc.(a) | 900 | 20,025 | ||||||
Oclaro, Inc.(a) | 900 | 4,392 | ||||||
Palo Alto Networks, Inc.(a) | 850 | 104,244 | ||||||
Plantronics, Inc. | 348 | 15,312 | ||||||
Polycom, Inc.(a) | 1,200 | 13,500 | ||||||
ShoreTel, Inc.(a) | 490 | 3,278 | ||||||
Silicom, Ltd. | 100 | 2,990 | ||||||
Sonus Networks, Inc.(a) | 600 | 5,214 | ||||||
Ubiquiti Networks, Inc.(a) | 300 | 11,598 | ||||||
ViaSat, Inc.(a) | 411 | 29,345 | ||||||
Viavi Solutions, Inc.(a) | 2,300 | 15,249 | ||||||
|
| |||||||
534,313 | ||||||||
|
| |||||||
Construction & Engineering – 0.7% |
| |||||||
AECOM(a) | 1,510 | 47,973 | ||||||
Aegion Corp.(a) | 300 | 5,853 | ||||||
Argan, Inc. | 100 | 4,172 | ||||||
Chicago Bridge & Iron Co. NV | 1,057 | 36,604 | ||||||
Comfort Systems USA, Inc. | 343 | 11,171 | ||||||
Dycom Industries, Inc.(a) | 291 | 26,120 | ||||||
EMCOR Group, Inc. | 607 | 29,901 | ||||||
Granite Construction, Inc. | 356 | 16,216 | ||||||
Great Lakes Dredge & Dock Corp.(a) | 700 | 3,052 | ||||||
KBR, Inc. | 1,400 | 18,536 | ||||||
MasTec, Inc.(a) | 600 | 13,392 | ||||||
MYR Group, Inc.(a) | 200 | 4,816 | ||||||
NV5 Global, Inc.(a) | 100 | 2,844 | ||||||
Orion Group Holdings, Inc.(a) | 400 | 2,124 | ||||||
Primoris Services Corp. | 386 | 7,307 | ||||||
Tutor Perini Corp.(a) | 400 | 9,420 | ||||||
Valmont Industries, Inc. | 229 | 30,977 | ||||||
|
| |||||||
270,478 | ||||||||
|
| |||||||
Construction Materials – 0.2% |
| |||||||
Eagle Materials, Inc. | 482 | 37,186 | ||||||
Headwaters, Inc.(a) | 700 | 12,558 | ||||||
Summit Materials, Inc. Class A(a) | 603 | 12,337 | ||||||
US Concrete, Inc.(a) | 140 | 8,528 | ||||||
|
| |||||||
70,609 | ||||||||
|
| |||||||
Consumer Finance – 0.6% | ||||||||
Ally Financial, Inc.(a) | 4,261 | 72,735 | ||||||
Cash America International, Inc. | 300 | 12,786 | ||||||
Credit Acceptance Corp.(a) | 84 | 15,547 | ||||||
Encore Capital Group, Inc.(a) | 292 | 6,871 | ||||||
Enova International, Inc.(a) | 100 | 736 | ||||||
EZCORP, Inc. Class A(a) | 600 | 4,536 | ||||||
First Cash Financial Services, Inc. | 306 | 15,707 | ||||||
Green Dot Corp. (Class A)(a) | 400 | 9,196 | ||||||
LendingClub Corp.(a) | 3,133 | 13,472 | ||||||
Nelnet, Inc. Class A | 214 | 7,436 | ||||||
OneMain Holdings, Inc.(a) | 462 | 10,543 |
See Accompanying Notes to Financial Statements.
63
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Consumer Finance – (continued) |
| |||||||
PRA Group, Inc.(a) | 514 | $ | 12,408 | |||||
Regional Management Corp.(a) | 100 | 1,466 | ||||||
Santander Consumer USA Holdings, Inc.(a) | 1,000 | 10,330 | ||||||
SLM Corp.(a) | 4,200 | 25,956 | ||||||
World Acceptance Corp.(a) | 85 | 3,876 | ||||||
|
| |||||||
223,601 | ||||||||
|
| |||||||
Containers & Packaging – 1.0% |
| |||||||
AEP Industries, Inc. | 21 | 1,690 | ||||||
AptarGroup, Inc. | 598 | 47,320 | ||||||
Bemis Co., Inc. | 940 | 48,400 | ||||||
Berry Plastics Group, Inc.(a) | 1,222 | 47,475 | ||||||
Crown Holdings, Inc.(a) | 1,352 | 68,506 | ||||||
Graphic Packaging Holding Co. | 3,100 | 38,874 | ||||||
Greif, Inc. Class A | 300 | 11,181 | ||||||
Greif, Inc. Class B | 100 | 5,475 | ||||||
Multi Packaging Solutions International, Ltd.(a) | 200 | 2,670 | ||||||
Myers Industries, Inc. | 300 | 4,320 | ||||||
Packaging Corp. of America | 897 | 60,036 | ||||||
Silgan Holdings, Inc. | 384 | 19,760 | ||||||
Sonoco Products Co. | 995 | 49,412 | ||||||
|
| |||||||
405,119 | ||||||||
|
| |||||||
Distributors – 0.2% | ||||||||
Core-Mark Holding Co., Inc. | 452 | 21,181 | ||||||
Pool Corp. | 418 | 39,304 | ||||||
Weyco Group, Inc. | 43 | 1,195 | ||||||
|
| |||||||
61,680 | ||||||||
|
| |||||||
Diversified Consumer Services – 0.7% |
| |||||||
American Public Education, Inc.(a) | 200 | 5,620 | ||||||
Apollo Education Group, Inc.(a) | 1,004 | 9,156 | ||||||
Ascent Capital Group, Inc. Class A(a) | 100 | 1,539 | ||||||
Bridgepoint Education, Inc.(a) | 100 | 724 | ||||||
Bright Horizons Family Solutions, Inc.(a) | 442 | 29,309 | ||||||
Capella Education Co. | 100 | 5,264 | ||||||
Career Education Corp.(a) | 700 | 4,165 | ||||||
Carriage Services, Inc. | 100 | 2,368 | ||||||
Chegg, Inc.(a) | 800 | 4,000 | ||||||
Collectors Universe, Inc. | 100 | 1,975 | ||||||
DeVry Education Group, Inc. | 600 | 10,704 | ||||||
Graham Holdings Co. Class B | 42 | 20,561 | ||||||
Grand Canyon Education, Inc.(a) | 506 | 20,199 | ||||||
Houghton Mifflin Harcourt Co.(a) | 1,200 | 18,756 | ||||||
K12, Inc.(a) | 400 | 4,996 | ||||||
LifeLock, Inc.(a) | 1,000 | 15,810 | ||||||
Regis Corp.(a) | 307 | 3,822 | ||||||
Service Corp. International | 1,800 | 48,672 | ||||||
ServiceMaster Global Holdings, Inc.(a) | 1,301 | 51,780 | ||||||
Sotheby’s | 500 | 13,700 | ||||||
Strayer Education, Inc.(a) | 114 | 5,601 | ||||||
Weight Watchers International, Inc.(a) | 200 | 2,326 | ||||||
|
| |||||||
281,047 | ||||||||
|
| |||||||
Diversified Financial Services – 0.8% |
| |||||||
CBOE Holdings, Inc. | 804 | 53,563 | ||||||
FactSet Research Systems, Inc. | 398 | 64,245 | ||||||
FNFV Group(a) | 600 | 6,882 | ||||||
GAIN Capital Holdings, Inc. | 200 | 1,264 | ||||||
MarketAxess Holdings, Inc. | 357 | 51,908 | ||||||
Marlin Business Services Corp. | 100 | 1,630 | ||||||
Morningstar, Inc. | 192 | 15,702 | ||||||
MSCI, Inc. | 920 | 70,950 | ||||||
NewStar Financial, Inc.(a) | 300 | 2,526 | ||||||
On Deck Capital, Inc.(a) | 500 | 2,575 | ||||||
PICO Holdings, Inc.(a) | 100 | 946 | ||||||
Resource America, Inc. Class A | 100 | 972 | ||||||
Tiptree Financial, Inc. Class A | 200 | 1,096 | ||||||
Voya Financial, Inc. | 1,950 | 48,282 | ||||||
|
| |||||||
322,541 | ||||||||
|
| |||||||
Diversified Telecommunication Services – 0.8% |
| |||||||
8x8, Inc.(a) | 800 | 11,688 | ||||||
ATN International, Inc. | 99 | 7,703 | ||||||
Cincinnati Bell, Inc.(a) | 2,069 | 9,455 | ||||||
Cogent Communications Holdings, Inc. | 396 | 15,864 | ||||||
Consolidated Communications Holdings, Inc. | 500 | 13,620 | ||||||
FairPoint Communications, Inc.(a) | 200 | 2,936 | ||||||
General Communication, Inc. Class A(a) | 300 | 4,740 | ||||||
Globalstar, Inc.(a) | 4,600 | 5,566 | ||||||
Hawaiian Telcom Holdco, Inc.(a) | 100 | 2,119 | ||||||
IDT Corp. Class B | 100 | 1,419 | ||||||
Inteliquent, Inc. | 300 | 5,967 | ||||||
Intelsat SA(a) | 147 | 379 | ||||||
Iridium Communications, Inc.(a) | 819 | 7,273 | ||||||
Lumos Networks Corp.(a) | 300 | 3,630 | ||||||
ORBCOMM, Inc.(a) | 600 | 5,970 | ||||||
pdvWireless, Inc.(a) | 100 | 2,139 | ||||||
SBA Communications Corp. Class A Class A(a) | 1,216 | 131,255 | ||||||
Straight Path Communications, Inc. Class B(a) | 100 | 2,767 | ||||||
Vonage Holdings Corp.(a) | 1,800 | 10,980 | ||||||
Windstream Holdings, Inc. | 958 | 8,881 | ||||||
Zayo Group Holdings, Inc.(a) | 1,633 | 45,610 | ||||||
|
| |||||||
299,961 | ||||||||
|
| |||||||
Electric Utilities – 1.3% |
| |||||||
ALLETE, Inc. | 482 | 31,152 | ||||||
Avangrid, Inc. | 600 | 27,636 | ||||||
El Paso Electric Co. | 363 | 17,159 | ||||||
Empire District Electric Co. | 400 | 13,588 | ||||||
Great Plains Energy, Inc. | 1,463 | 44,475 | ||||||
Hawaiian Electric Industries, Inc. | 1,055 | 34,593 | ||||||
IDACORP, Inc. | 484 | 39,373 | ||||||
ITC Holdings Corp. | 1,518 | 71,073 | ||||||
MGE Energy, Inc. | 346 | 19,554 | ||||||
OGE Energy Corp. | 1,969 | 64,485 | ||||||
Otter Tail Corp. | 376 | 12,592 | ||||||
PNM Resources, Inc. | 756 | 26,793 | ||||||
Portland General Electric Co. | 883 | 38,958 | ||||||
Spark Energy, Inc. Class A | 100 | 3,305 | ||||||
Westar Energy, Inc. | 1,367 | 76,675 | ||||||
|
| |||||||
521,411 | ||||||||
|
|
See Accompanying Notes to Financial Statements.
64
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Electrical Equipment – 0.5% |
| |||||||
Allied Motion Technologies, Inc. | 62 | $ | 1,442 | |||||
AZZ, Inc. | 248 | 14,875 | ||||||
Babcock & Wilcox Enterprises, Inc.(a) | 487 | 7,154 | ||||||
Encore Wire Corp. | 254 | 9,469 | ||||||
Energous Corp.(a) | 100 | 1,295 | ||||||
EnerSys | 431 | 25,632 | ||||||
FuelCell Energy, Inc.(a) | 116 | 721 | ||||||
Generac Holdings, Inc.(a) | 649 | 22,689 | ||||||
General Cable Corp. | 400 | 5,084 | ||||||
Hubbell, Inc. | 551 | 58,114 | ||||||
LSI Industries, Inc. | 200 | 2,214 | ||||||
Plug Power, Inc.(a) | 1,900 | 3,534 | ||||||
Powell Industries, Inc. | 100 | 3,934 | ||||||
Regal Beloit Corp. | 433 | 23,837 | ||||||
SolarCity Corp.(a) | 600 | 14,358 | ||||||
Sunrun, Inc.(a) | 600 | 3,558 | ||||||
Thermon Group Holdings, Inc.(a) | 300 | 5,763 | ||||||
Vicor Corp.(a) | 170 | 1,712 | ||||||
|
| |||||||
205,385 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 2.6% |
| |||||||
Agilysys, Inc.(a) | 157 | 1,644 | ||||||
Anixter International, Inc.(a) | 286 | 15,238 | ||||||
Arrow Electronics, Inc.(a) | 912 | 56,453 | ||||||
Avnet, Inc. | 1,230 | 49,827 | ||||||
AVX Corp. | 500 | 6,790 | ||||||
Badger Meter, Inc. | 138 | 10,078 | ||||||
Belden, Inc. | 413 | 24,933 | ||||||
Benchmark Electronics, Inc.(a) | 480 | 10,152 | ||||||
CDW Corp. | 1,561 | 62,565 | ||||||
Cognex Corp. | 866 | 37,325 | ||||||
Coherent, Inc.(a) | 232 | 21,293 | ||||||
Control4 Corp.(a) | 212 | 1,730 | ||||||
CTS Corp. | 300 | 5,376 | ||||||
Daktronics, Inc. | 445 | 2,781 | ||||||
Dolby Laboratories, Inc. Class A | 479 | 22,920 | ||||||
DTS, Inc.(a) | 200 | 5,290 | ||||||
Electro Rent Corp. | 171 | 2,635 | ||||||
Electro Scientific Industries, Inc.(a) | 300 | 1,752 | ||||||
ePlus, Inc.(a) | 58 | 4,744 | ||||||
Fabrinet(a) | 400 | 14,848 | ||||||
FARO Technologies, Inc.(a) | 200 | 6,766 | ||||||
FEI Co. | 393 | 42,004 | ||||||
Fitbit, Inc. Class A(a) | 1,209 | 14,774 | ||||||
II-VI, Inc.(a) | 584 | 10,956 | ||||||
Ingram Micro, Inc. Class A | 1,415 | 49,214 | ||||||
Insight Enterprises, Inc.(a) | 352 | 9,152 | ||||||
InvenSense, Inc.(a) | 575 | 3,525 | ||||||
IPG Photonics Corp.(a) | 345 | 27,600 | ||||||
Itron, Inc.(a) | 350 | 15,085 | ||||||
Jabil Circuit, Inc. | 1,900 | 35,093 | ||||||
Keysight Technologies, Inc.(a) | 1,661 | 48,318 | ||||||
Kimball Electronics, Inc.(a) | 244 | 3,038 | ||||||
Knowles Corp.(a) | 768 | 10,506 | ||||||
Littelfuse, Inc. | 217 | 25,647 | ||||||
Maxwell Technologies, Inc.(a) | �� | 300 | 1,584 | |||||
Mesa Laboratories, Inc. | 28 | 3,444 | ||||||
Methode Electronics, Inc. | 349 | 11,946 | ||||||
MTS Systems Corp. | 143 | 6,269 | ||||||
Multi-Fineline Electronix, Inc.(a) | 92 | 2,134 | ||||||
National Instruments Corp. | 1,072 | 29,373 | ||||||
Novanta, Inc.(a) | 300 | 4,545 | ||||||
OSI Systems, Inc.(a) | 175 | 10,173 | ||||||
Park Electrochemical Corp. | 200 | 2,906 | ||||||
PC Connection, Inc. | 100 | 2,380 | ||||||
Plexus Corp.(a) | 300 | 12,960 | ||||||
QLogic Corp.(a) | 800 | 11,792 | ||||||
Radisys Corp.(a) | 300 | 1,344 | ||||||
Rofin-Sinar Technologies, Inc.(a) | 300 | 9,582 | ||||||
Rogers Corp.(a) | 176 | 10,754 | ||||||
Sanmina Corp.(a) | 710 | 19,035 | ||||||
ScanSource, Inc.(a) | 309 | 11,467 | ||||||
SYNNEX Corp. | 284 | 26,929 | ||||||
Tech Data Corp.(a) | 339 | 24,357 | ||||||
Trimble Navigation, Ltd.(a) | 2,478 | 60,364 | ||||||
TTM Technologies, Inc.(a) | 600 | 4,518 | ||||||
Universal Display Corp.(a) | 384 | 26,035 | ||||||
VeriFone Systems, Inc.(a) | 1,128 | 20,913 | ||||||
Vishay Intertechnology, Inc. | 1,400 | 17,346 | ||||||
Vishay Precision Group, Inc.(a) | 100 | 1,342 | ||||||
Zebra Technologies Corp. Class A(a) | 478 | 23,948 | ||||||
|
| |||||||
1,017,492 | ||||||||
|
| |||||||
Energy Equipment & Services – 1.1% |
| |||||||
Archrock, Inc. | 700 | 6,594 | ||||||
Atwood Oceanics, Inc. | 700 | 8,764 | ||||||
Bristow Group, Inc. | 300 | 3,423 | ||||||
CARBO Ceramics, Inc. | 231 | 3,026 | ||||||
Dawson Geophysical Co.(a) | 300 | 2,445 | ||||||
Dril-Quip, Inc.(a) | 375 | 21,911 | ||||||
Ensco PLC Class A | 2,800 | 27,188 | ||||||
Era Group, Inc.(a) | 100 | 940 | ||||||
Exterran Corp.(a) | 300 | 3,855 | ||||||
Fairmount Santrol Holdings, Inc.(a) | 800 | 6,168 | ||||||
Forum Energy Technologies, Inc.(a) | 539 | 9,330 | ||||||
Frank’s International NV | 300 | 4,383 | ||||||
Geospace Technologies Corp.(a) | 100 | 1,637 | ||||||
Helix Energy Solutions Group, Inc.(a) | 1,009 | 6,821 | ||||||
Hornbeck Offshore Services, Inc.(a) | 200 | 1,668 | ||||||
Independence Contract Drilling, Inc.(a) | 400 | 2,172 | ||||||
Matrix Service Co.(a) | 200 | 3,298 | ||||||
McDermott International, Inc.(a) | 2,300 | 11,362 | ||||||
Nabors Industries, Ltd. | 2,787 | 28,009 | ||||||
Natural Gas Services Group, Inc.(a) | 100 | 2,290 | ||||||
Newpark Resources, Inc.(a) | 900 | 5,211 | ||||||
Noble Corp. PLC | 2,300 | 18,952 | ||||||
Oceaneering International, Inc. | 981 | 29,293 | ||||||
Oil States International, Inc.(a) | 467 | 15,355 | ||||||
Parker Drilling Co.(a) | 1,300 | 2,977 | ||||||
Patterson-UTI Energy, Inc. | 1,400 | 29,848 | ||||||
PHI, Inc. NVDR(a) | 100 | 1,788 | ||||||
Pioneer Energy Services Corp.(a) | 500 | 2,300 | ||||||
RigNet, Inc.(a) | 100 | 1,339 | ||||||
Rowan Cos. PLC Class A | 1,212 | 21,404 | ||||||
RPC, Inc. | 532 | 8,262 | ||||||
SEACOR Holdings, Inc.(a) | 168 | 9,735 | ||||||
Seadrill, Ltd.(a) | 3,383 | 10,961 | ||||||
Superior Energy Services, Inc. | 1,500 | 27,615 | ||||||
Tesco Corp. | 400 | 2,676 |
See Accompanying Notes to Financial Statements.
65
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Energy Equipment & Services – (continued) |
| |||||||
TETRA Technologies, Inc.(a) | 818 | $ | 5,211 | |||||
Tidewater, Inc. | 300 | 1,323 | ||||||
Unit Corp.(a) | 548 | 8,527 | ||||||
US Silica Holdings, Inc. | 588 | 20,268 | ||||||
Weatherford International PLC(a) | 8,536 | 47,375 | ||||||
|
| |||||||
425,704 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.7% |
| |||||||
Andersons, Inc. | 285 | 10,129 | ||||||
Casey’s General Stores, Inc. | 372 | 48,922 | ||||||
Chefs’ Warehouse, Inc.(a) | 200 | 3,200 | ||||||
Ingles Markets, Inc. Class A Class A | 100 | 3,730 | ||||||
Natural Grocers by Vitamin Cottage, Inc.(a) | 100 | 1,305 | ||||||
Performance Food Group Co.(a) | 357 | 9,607 | ||||||
PriceSmart, Inc. | 191 | 17,872 | ||||||
Rite Aid Corp.(a) | 10,010 | 74,975 | ||||||
Smart & Final Stores, Inc.(a) | 195 | 2,904 | ||||||
SpartanNash Co. | 400 | 12,232 | ||||||
Sprouts Farmers Market, Inc.(a) | 1,475 | 33,777 | ||||||
SUPERVALU, Inc.(a) | 2,300 | 10,856 | ||||||
United Natural Foods, Inc.(a) | 548 | 25,646 | ||||||
US Foods Holding Corp.(a) | 428 | 10,375 | ||||||
Village Super Market, Inc. Class A | 69 | 1,993 | ||||||
Weis Markets, Inc. | 115 | 5,813 | ||||||
|
| |||||||
273,336 | ||||||||
|
| |||||||
Food Products – 1.9% |
| |||||||
Amplify Snack Brands, Inc.(a) | 247 | 3,643 | ||||||
B&G Foods, Inc. | 600 | 28,920 | ||||||
Blue Buffalo Pet Products, Inc.(a) | 592 | 13,817 | ||||||
Bunge, Ltd. | 1,334 | 78,906 | ||||||
Cal-Maine Foods, Inc. | 300 | 13,296 | ||||||
Calavo Growers, Inc. | 142 | 9,514 | ||||||
Darling Ingredients, Inc.(a) | 1,600 | 23,840 | ||||||
Dean Foods Co. | 900 | 16,281 | ||||||
Farmer Brothers Co.(a) | 50 | 1,603 | ||||||
Flowers Foods, Inc. | 1,631 | 30,581 | ||||||
Fresh Del Monte Produce, Inc. | 334 | 18,180 | ||||||
Freshpet, Inc.(a) | 100 | 933 | ||||||
Hain Celestial Group, Inc.(a) | 979 | 48,705 | ||||||
Ingredion, Inc. | 701 | 90,717 | ||||||
Inventure Foods, Inc.(a) | 200 | 1,562 | ||||||
J&J Snack Foods Corp. | 148 | 17,652 | ||||||
John B Sanfilippo & Son, Inc. | 78 | 3,325 | ||||||
Lancaster Colony Corp. | 180 | 22,970 | ||||||
Landec Corp.(a) | 300 | 3,228 | ||||||
Limoneira Co. | 100 | 1,762 | ||||||
Omega Protein Corp.(a) | 171 | 3,419 | ||||||
Pilgrim’s Pride Corp. | 600 | 15,288 | ||||||
Pinnacle Foods, Inc. | 1,100 | 50,919 | ||||||
Post Holdings, Inc.(a) | 626 | 51,764 | ||||||
Sanderson Farms, Inc. | 219 | 18,974 | ||||||
Seaboard Corp.(a) | 3 | 8,612 | ||||||
Seneca Foods Corp. Class A(a) | 49 | 1,774 | ||||||
Snyder’s-Lance, Inc. | 772 | 26,163 | ||||||
Tootsie Roll Industries, Inc. | 206 | 7,937 | ||||||
TreeHouse Foods, Inc.(a) | 539 | 55,329 | ||||||
WhiteWave Foods Co.(a) | 1,762 | 82,708 | ||||||
|
| |||||||
752,322 | ||||||||
|
| |||||||
Gas Utilities – 1.3% |
| |||||||
Atmos Energy Corp. | 998 | 81,157 | ||||||
Chesapeake Utilities Corp. | 138 | 9,133 | ||||||
Delta Natural Gas Co., Inc. | 100 | 2,694 | ||||||
National Fuel Gas Co. | 707 | 40,214 | ||||||
New Jersey Resources Corp. | 803 | 30,956 | ||||||
Northwest Natural Gas Co. | 260 | 16,853 | ||||||
ONE Gas, Inc. | 487 | 32,429 | ||||||
Piedmont Natural Gas Co., Inc. | 842 | 50,621 | ||||||
Questar Corp. | 1,700 | 43,129 | ||||||
South Jersey Industries, Inc. | 785 | 24,822 | ||||||
Southwest Gas Corp. | 459 | 36,128 | ||||||
Spire, Inc. | 439 | 31,099 | ||||||
UGI Corp. | 1,682 | 76,110 | ||||||
WGL Holdings, Inc. | 483 | 34,192 | ||||||
|
| |||||||
509,537 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 2.9% |
| |||||||
Abaxis, Inc. | 200 | 9,446 | ||||||
Abiomed, Inc.(a) | 402 | 43,935 | ||||||
Accuray, Inc.(a) | 800 | 4,152 | ||||||
Alere, Inc.(a) | 899 | 37,470 | ||||||
Align Technology, Inc.(a) | 693 | 55,821 | ||||||
Analogic Corp. | 112 | 8,897 | ||||||
AngioDynamics, Inc.(a) | 300 | 4,311 | ||||||
Anika Therapeutics, Inc.(a) | 147 | 7,887 | ||||||
AtriCure, Inc.(a) | 300 | 4,239 | ||||||
Atrion Corp. | 12 | 5,134 | ||||||
AxoGen, Inc.(a) | 200 | 1,376 | ||||||
Cantel Medical Corp. | 340 | �� | 23,368 | |||||
Cardiovascular Systems, Inc.(a) | 350 | 6,431 | ||||||
Cerus Corp.(a) | 900 | 5,616 | ||||||
ConforMIS, Inc.(a) | 300 | 2,106 | ||||||
CONMED Corp. | 301 | 14,367 | ||||||
Cooper Cos., Inc. | 459 | 78,751 | ||||||
CryoLife, Inc. | 200 | 2,362 | ||||||
Cutera, Inc.(a) | 100 | 1,121 | ||||||
Cynosure, Inc. Class A(a) | 226 | 10,994 | ||||||
DexCom, Inc.(a) | 864 | 68,541 | ||||||
Endologix, Inc.(a) | 723 | 9,009 | ||||||
Exactech, Inc.(a) | 100 | 2,674 | ||||||
GenMark Diagnostics, Inc.(a) | 500 | 4,350 | ||||||
Glaukos Corp.(a) | 168 | 4,899 | ||||||
Globus Medical, Inc. Class A(a) | 658 | 15,680 | ||||||
Haemonetics Corp.(a) | 466 | 13,509 | ||||||
Halyard Health, Inc.(a) | 500 | 16,260 | ||||||
HeartWare International, Inc.(a) | 200 | 11,550 | ||||||
Hill-Rom Holdings, Inc. | 658 | 33,196 | ||||||
ICU Medical, Inc.(a) | 143 | 16,123 | ||||||
IDEXX Laboratories, Inc.(a) | 852 | 79,117 | ||||||
Inogen, Inc.(a) | 200 | 10,022 | ||||||
Insulet Corp.(a) | 600 | 18,144 | ||||||
Integer Holdings Corp.(a) | 283 | 8,753 | ||||||
Integra LifeSciences Holdings Corp.(a) | 277 | 22,099 | ||||||
Invacare Corp. | 400 | 4,852 | ||||||
InVivo Therapeutics Holdings Corp.(a) | 300 | 1,734 | ||||||
K2M Group Holdings, Inc.(a) | 200 | 3,104 | ||||||
LDR Holding Corp.(a) | 236 | 8,720 | ||||||
LeMaitre Vascular, Inc. | 100 | 1,427 | ||||||
Masimo Corp.(a) | 430 | 22,581 | ||||||
Meridian Bioscience, Inc. | 400 | 7,800 |
See Accompanying Notes to Financial Statements.
66
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Health Care Equipment & Supplies – (continued) |
| |||||||
Merit Medical Systems, Inc.(a) | 400 | $ | 7,932 | |||||
Natus Medical, Inc.(a) | 334 | 12,625 | ||||||
Neogen Corp.(a) | 341 | 19,181 | ||||||
Nevro Corp.(a) | 246 | 18,145 | ||||||
Novocure, Ltd.(a) | 555 | 6,477 | ||||||
NuVasive, Inc.(a) | 480 | 28,666 | ||||||
NxStage Medical, Inc.(a) | 600 | 13,008 | ||||||
OraSure Technologies, Inc.(a) | 600 | 3,546 | ||||||
Orthofix International NV(a) | 186 | 7,886 | ||||||
Oxford Immunotec Global PLC(a) | 100 | 900 | ||||||
Penumbra, Inc.(a) | 242 | 14,399 | ||||||
Quidel Corp.(a) | 200 | 3,572 | ||||||
ResMed, Inc. | 1,355 | 85,677 | ||||||
Rockwell Medical, Inc.(a) | 500 | 3,785 | ||||||
RTI Surgical, Inc.(a) | 300 | 1,077 | ||||||
Second Sight Medical Products, Inc.(a) | 117 | 417 | ||||||
Spectranetics Corp.(a) | 422 | 7,896 | ||||||
STAAR Surgical Co.(a) | 200 | 1,102 | ||||||
SurModics, Inc.(a) | 100 | 2,348 | ||||||
Tandem Diabetes Care, Inc.(a) | 100 | 754 | ||||||
Teleflex, Inc. | 419 | 74,293 | ||||||
TransEnterix, Inc.(a) | 400 | 488 | ||||||
Utah Medical Products, Inc. | 37 | 2,331 | ||||||
Vascular Solutions, Inc.(a) | 200 | 8,332 | ||||||
West Pharmaceutical Services, Inc. | 687 | 52,130 | ||||||
Wright Medical Group NV(a) | 1,009 | 17,526 | ||||||
Zeltiq Aesthetics, Inc.(a) | 300 | 8,199 | ||||||
|
| |||||||
1,114,620 | ||||||||
|
| |||||||
Health Care Providers & Services – 2.0% |
| |||||||
AAC Holdings, Inc.(a) | 100 | 2,282 | ||||||
Acadia Healthcare Co., Inc.(a) | 699 | 38,725 | ||||||
Aceto Corp. | 300 | 6,567 | ||||||
Addus HomeCare Corp.(a) | 67 | 1,168 | ||||||
Adeptus Health, Inc. Class A(a) | 168 | 8,679 | ||||||
Air Methods Corp.(a) | 355 | 12,720 | ||||||
Almost Family, Inc.(a) | 85 | 3,622 | ||||||
Amedisys, Inc.(a) | 305 | 15,396 | ||||||
American Renal Associates Holdings, Inc.(a) | 100 | 2,897 | ||||||
AMN Healthcare Services, Inc.(a) | 448 | 17,907 | ||||||
Amsurg Corp.(a) | 517 | 40,088 | ||||||
BioScrip, Inc.(a) | 900 | 2,295 | ||||||
BioTelemetry, Inc.(a) | 300 | 4,890 | ||||||
Brookdale Senior Living, Inc.(a) | 1,760 | 27,174 | ||||||
Capital Senior Living Corp.(a) | 300 | 5,301 | ||||||
Chemed Corp. | 159 | 21,673 | ||||||
Civitas Solutions, Inc.(a) | 100 | 2,083 | ||||||
Community Health Systems, Inc.(a) | 1,067 | 12,857 | ||||||
CorVel Corp.(a) | 94 | 4,059 | ||||||
Cross Country Healthcare, Inc.(a) | 400 | 5,568 | ||||||
Diplomat Pharmacy, Inc.(a) | 463 | 16,205 | ||||||
Ensign Group, Inc. | 470 | 9,875 | ||||||
Envision Healthcare Holdings, Inc.(a) | 1,776 | 45,057 | ||||||
ExamWorks Group, Inc.(a) | 400 | 13,940 | ||||||
Genesis Healthcare, Inc.(a) | 200 | 354 | ||||||
HealthEquity, Inc.(a) | 463 | 14,068 | ||||||
HealthSouth Corp. | 900 | 34,938 | ||||||
Healthways, Inc.(a) | 400 | 4,620 | ||||||
Kindred Healthcare, Inc. | 800 | 9,032 | ||||||
Landauer, Inc. | 100 | 4,116 | ||||||
LHC Group, Inc.(a) | 200 | 8,656 | ||||||
LifePoint Health, Inc.(a) | 412 | 26,932 | ||||||
Magellan Health, Inc.(a) | 262 | 17,232 | ||||||
MEDNAX, Inc.(a) | 879 | 63,666 | ||||||
Molina Healthcare, Inc.(a) | 454 | 22,655 | ||||||
National HealthCare Corp. | 100 | 6,474 | ||||||
National Research Corp. Class A | 100 | 1,370 | ||||||
Owens & Minor, Inc. | 638 | 23,848 | ||||||
PharMerica Corp.(a) | 300 | 7,398 | ||||||
Premier, Inc. Class A(a) | 445 | 14,551 | ||||||
Providence Service Corp.(a) | 100 | 4,488 | ||||||
Quorum Health Corp.(a) | 266 | 2,849 | ||||||
RadNet, Inc.(a) | 200 | 1,068 | ||||||
Select Medical Holdings Corp.(a) | 1,100 | 11,957 | ||||||
Surgery Partners, Inc.(a) | 100 | 1,790 | ||||||
Surgical Care Affiliates, Inc.(a) | 309 | 14,730 | ||||||
Team Health Holdings, Inc.(a) | 646 | 26,273 | ||||||
Teladoc, Inc.(a) | 292 | 4,678 | ||||||
Tenet Healthcare Corp.(a) | 769 | 21,255 | ||||||
Triple-S Management Corp. Class B(a) | 189 | 4,617 | ||||||
Universal American Corp. | 600 | 4,548 | ||||||
US Physical Therapy, Inc. | 100 | 6,021 | ||||||
VCA, Inc.(a) | 791 | 53,480 | ||||||
WellCare Health Plans, Inc.(a) | 429 | 46,023 | ||||||
|
| |||||||
784,715 | ||||||||
|
| |||||||
Health Care Technology – 0.6% |
| |||||||
Allscripts Healthcare Solutions, Inc.(a) | 1,900 | 24,130 | ||||||
athenahealth, Inc.(a) | 372 | 51,340 | ||||||
Castlight Health, Inc. Class B(a) | 200 | 792 | ||||||
Computer Programs & Systems, Inc. | 113 | 4,511 | ||||||
Cotiviti Holdings, Inc.(a) | 100 | 2,113 | ||||||
Evolent Health, Inc. Class A(a) | 100 | 1,920 | ||||||
HealthStream, Inc.(a) | 200 | 5,304 | ||||||
HMS Holdings Corp.(a) | 841 | 14,810 | ||||||
Imprivata, Inc.(a) | 100 | 1,400 | ||||||
IMS Health Holdings, Inc.(a) | 1,500 | 38,040 | ||||||
Inovalon Holdings, Inc. Class A(a) | 600 | 10,806 | ||||||
Medidata Solutions, Inc.(a) | 559 | 26,200 | ||||||
Omnicell, Inc.(a) | 364 | 12,460 | ||||||
Press Ganey Holdings, Inc.(a) | 211 | 8,303 | ||||||
Quality Systems, Inc. | 500 | 5,955 | ||||||
Veeva Systems, Inc. Class A(a) | 921 | 31,424 | ||||||
Vocera Communications, Inc.(a) | 234 | 3,007 | ||||||
|
| |||||||
242,515 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 3.5% |
| |||||||
Aramark | 2,425 | 81,043 | ||||||
Belmond, Ltd. Class A(a) | 900 | 8,910 | ||||||
Biglari Holdings, Inc.(a) | 10 | 4,033 | ||||||
BJ’s Restaurants, Inc.(a) | 200 | 8,766 | ||||||
Bloomin’ Brands, Inc. | 1,100 | 19,657 | ||||||
Bob Evans Farms, Inc. | 200 | 7,590 | ||||||
Bojangles’, Inc.(a) | 100 | 1,695 | ||||||
Boyd Gaming Corp.(a) | 800 | 14,720 | ||||||
Brinker International, Inc. | 530 | 24,131 | ||||||
Buffalo Wild Wings, Inc.(a) | 176 | 24,455 | ||||||
Caesars Acquisition Co. Class A(a) | 500 | 5,610 | ||||||
Caesars Entertainment Corp.(a) | 500 | 3,845 |
See Accompanying Notes to Financial Statements.
67
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Hotels, Restaurants & Leisure – (continued) |
| |||||||
Carrols Restaurant Group, Inc.(a) | 300 | $ | 3,570 | |||||
Cheesecake Factory, Inc. | 455 | 21,904 | ||||||
Choice Hotels International, Inc. | 349 | 16,619 | ||||||
Churchill Downs, Inc. | 125 | 15,795 | ||||||
Chuy’s Holdings, Inc.(a) | 200 | 6,922 | ||||||
ClubCorp Holdings, Inc. | 600 | 7,800 | ||||||
Cracker Barrel Old Country Store, Inc. | 183 | 31,379 | ||||||
Dave & Buster’s Entertainment, Inc.(a) | 348 | 16,283 | ||||||
Del Frisco’s Restaurant Group, Inc.(a) | 200 | 2,864 | ||||||
Del Taco Restaurants, Inc.(a) | 200 | 1,820 | ||||||
Denny’s Corp.(a) | 800 | 8,584 | ||||||
Diamond Resorts International, Inc.(a) | 400 | 11,984 | ||||||
DineEquity, Inc. | 163 | 13,819 | ||||||
Domino’s Pizza, Inc. | 478 | 62,800 | ||||||
Dunkin’ Brands Group, Inc. | 880 | 38,386 | ||||||
El Pollo Loco Holdings, Inc.(a) | 100 | 1,300 | ||||||
Eldorado Resorts, Inc.(a) | 200 | 3,039 | ||||||
Extended Stay America, Inc. | 700 | 10,465 | ||||||
Fiesta Restaurant Group, Inc.(a) | 299 | 6,521 | ||||||
Habit Restaurants, Inc. Class A(a) | 100 | 1,638 | ||||||
Hilton Worldwide Holdings, Inc. | 5,117 | 115,286 | ||||||
Hyatt Hotels Corp. Class A(a) | 229 | 11,253 | ||||||
International Game Technology PLC | 900 | 16,866 | ||||||
International Speedway Corp. Class A | 306 | 10,236 | ||||||
Interval Leisure Group, Inc. | 1,099 | 17,474 | ||||||
Intrawest Resorts Holdings, Inc.(a) | 200 | 2,596 | ||||||
Isle of Capri Casinos, Inc.(a) | 200 | 3,664 | ||||||
J Alexander’s Holdings, Inc.(a) | 69 | 685 | ||||||
Jack in the Box, Inc. | 323 | 27,752 | ||||||
Jamba, Inc.(a) | 100 | 1,029 | ||||||
Kona Grill, Inc.(a) | 100 | 1,072 | ||||||
Krispy Kreme Doughnuts, Inc.(a) | 600 | 12,576 | ||||||
La Quinta Holdings, Inc.(a) | 800 | 9,120 | ||||||
Las Vegas Sands Corp. | 3,603 | 156,694 | ||||||
Marcus Corp. | 200 | 4,220 | ||||||
Marriott Vacations Worldwide Corp. | 268 | 18,355 | ||||||
MGM Resorts International(a) | 4,595 | 103,985 | ||||||
Monarch Casino & Resort, Inc.(a) | 100 | 2,197 | ||||||
Noodles & Co.(a) | 100 | 978 | ||||||
Norwegian Cruise Line Holdings, Ltd.(a) | 1,526 | 60,796 | ||||||
Panera Bread Co. Class A(a) | 221 | 46,839 | ||||||
Papa John’s International, Inc. | 288 | 19,584 | ||||||
Penn National Gaming, Inc.(a) | 700 | 9,765 | ||||||
Pinnacle Entertainment, Inc.(a) | 600 | 6,648 | ||||||
Planet Fitness, Inc. Class A(a) | 100 | 1,888 | ||||||
Popeyes Louisiana Kitchen, Inc.(a) | 217 | 11,857 | ||||||
Potbelly Corp.(a) | 200 | 2,508 | ||||||
Red Robin Gourmet Burgers, Inc.(a) | 136 | 6,450 | ||||||
Red Rock Resorts, Inc. Class A(a) | 286 | 6,286 | ||||||
Ruby Tuesday, Inc.(a) | 300 | 1,083 | ||||||
Ruth’s Hospitality Group, Inc. | 300 | 4,785 | ||||||
Scientific Games Corp. Class A(a) | 500 | 4,595 | ||||||
SeaWorld Entertainment, Inc. | 590 | 8,455 | ||||||
Shake Shack, Inc. Class A(a) | 130 | 4,736 | ||||||
Six Flags Entertainment Corp. | 688 | 39,870 | ||||||
Sonic Corp. | 470 | 12,714 | ||||||
Speedway Motorsports, Inc. | 100 | 1,775 | ||||||
Texas Roadhouse, Inc. | 655 | 29,868 | ||||||
Vail Resorts, Inc. | 348 | 48,104 | ||||||
Wendy’s Co. | 1,927 | 18,538 | ||||||
Wingstop, Inc.(a) | 170 | 4,633 | ||||||
Zoe’s Kitchen, Inc.(a) | 200 | 7,254 | ||||||
|
| |||||||
1,363,016 | ||||||||
|
| |||||||
Household Durables – 1.0% |
| |||||||
Bassett Furniture Industries, Inc. | 100 | 2,394 | ||||||
Beazer Homes USA, Inc.(a) | 200 | 1,550 | ||||||
CalAtlantic Group, Inc. | 766 | 28,120 | ||||||
Cavco Industries, Inc.(a) | 88 | 8,246 | ||||||
Century Communities, Inc.(a) | 100 | 1,734 | ||||||
CSS Industries, Inc. | 100 | 2,681 | ||||||
Ethan Allen Interiors, Inc. | 300 | 9,912 | ||||||
Flexsteel Industries, Inc. | 100 | 3,962 | ||||||
GoPro, Inc. Class A(a) | 1,000 | 10,810 | ||||||
Green Brick Partners, Inc.(a) | 100 | 727 | ||||||
Helen of Troy, Ltd.(a) | 272 | 27,972 | ||||||
Hooker Furniture Corp. | 100 | 2,149 | ||||||
Hovnanian Enterprises, Inc. Class A(a) | 600 | 1,008 | ||||||
Installed Building Products, Inc.(a) | 200 | 7,258 | ||||||
iRobot Corp.(a) | 300 | 10,524 | ||||||
KB Home | 800 | 12,168 | ||||||
La-Z-Boy, Inc. | 533 | 14,828 | ||||||
LGI Homes, Inc.(a) | 100 | 3,194 | ||||||
Libbey, Inc. | 142 | 2,256 | ||||||
Lifetime Brands, Inc. | 100 | 1,459 | ||||||
M/I Homes, Inc.(a) | 200 | 3,766 | ||||||
MDC Holdings, Inc. | 400 | 9,736 | ||||||
Meritage Homes Corp.(a) | 358 | 13,439 | ||||||
NACCO Industries, Inc. Class A | 41 | 2,296 | ||||||
NVR, Inc.(a) | 34 | 60,532 | ||||||
Taylor Morrison Home Corp. Class A(a) | 300 | 4,452 | ||||||
Tempur Sealy International, Inc.(a) | 511 | 28,268 | ||||||
Toll Brothers, Inc.(a) | 1,483 | 39,908 | ||||||
TopBuild Corp.(a) | 352 | 12,742 | ||||||
TRI Pointe Group, Inc.(a) | 1,583 | 18,711 | ||||||
Tupperware Brands Corp. | 481 | 27,071 | ||||||
Universal Electronics, Inc.(a) | 139 | 10,047 | ||||||
WCI Communities, Inc.(a) | 200 | 3,380 | ||||||
William Lyon Homes Class A(a) | 200 | 3,224 | ||||||
ZAGG, Inc.(a) | 200 | 1,050 | ||||||
|
| |||||||
391,574 | ||||||||
|
| |||||||
Household Products – 0.3% |
| |||||||
Central Garden & Pet Co.(a) | 100 | 2,283 | ||||||
Central Garden & Pet Co. Class A(a) | 400 | 8,684 | ||||||
Energizer Holdings, Inc. | 612 | 31,512 | ||||||
HRG Group, Inc.(a) | 1,200 | 16,476 | ||||||
Oil-Dri Corp. of America | 48 | 1,657 | ||||||
Orchids Paper Products Co. | 60 | 2,134 | ||||||
Spectrum Brands Holdings, Inc. | 241 | 28,754 | ||||||
WD-40 Co. | 146 | 17,148 | ||||||
|
| |||||||
108,648 | ||||||||
|
|
See Accompanying Notes to Financial Statements.
68
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Independent Power Producers & Energy Traders – 0.4% |
| |||||||
Atlantic Power Corp. | 1,400 | $ | 3,472 | |||||
Atlantica Yield PLC | 500 | 9,290 | ||||||
Calpine Corp.(a) | 3,554 | 52,422 | ||||||
Dynegy, Inc.(a) | 1,184 | 20,412 | ||||||
NRG Yield, Inc. Class A | 400 | 6,088 | ||||||
NRG Yield, Inc. Class C | 600 | 9,354 | ||||||
Ormat Technologies, Inc. | 342 | 14,966 | ||||||
Pattern Energy Group, Inc. | 500 | 11,485 | ||||||
Talen Energy Corp.(a) | 831 | 11,260 | ||||||
TerraForm Global, Inc. Class A(a) | 900 | 2,934 | ||||||
TerraForm Power, Inc. Class A(a) | 800 | 8,720 | ||||||
Vivint Solar, Inc.(a) | 100 | 307 | ||||||
|
| |||||||
150,710 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.2% |
| |||||||
Carlisle Cos., Inc. | 619 | 65,416 | ||||||
Raven Industries, Inc. | 400 | 7,576 | ||||||
|
| |||||||
72,992 | ||||||||
|
| |||||||
Insurance – 4.0% | ||||||||
Alleghany Corp.(a) | 143 | 78,590 | ||||||
Allied World Assurance Co. Holdings AG | 869 | 30,537 | ||||||
Ambac Financial Group, Inc.(a) | 400 | 6,584 | ||||||
American Equity Investment Life Holding Co. | 768 | 10,944 | ||||||
American Financial Group, Inc. | 659 | 48,720 | ||||||
American National Insurance Co. | 71 | 8,034 | ||||||
AMERISAFE, Inc. | 181 | 11,081 | ||||||
AmTrust Financial Services, Inc. | 870 | 21,315 | ||||||
Arch Capital Group, Ltd.(a) | 1,100 | 79,200 | ||||||
Argo Group International Holdings, Ltd. | 310 | 16,089 | ||||||
Aspen Insurance Holdings, Ltd. | 588 | 27,271 | ||||||
Assured Guaranty, Ltd. | 1,319 | 33,463 | ||||||
Atlas Financial Holdings, Inc.(a) | 100 | 1,722 | ||||||
Axis Capital Holdings, Ltd. | 899 | 49,445 | ||||||
Baldwin & Lyons, Inc. Class B | 100 | 2,466 | ||||||
Brown & Brown, Inc. | 1,153 | 43,203 | ||||||
Citizens, Inc.(a) | 500 | 3,800 | ||||||
CNA Financial Corp. | 299 | 9,395 | ||||||
CNO Financial Group, Inc. | 1,808 | 31,568 | ||||||
Crawford & Co. Class B | 291 | 2,471 | ||||||
Donegal Group, Inc. Class A | 100 | 1,649 | ||||||
eHealth, Inc.(a) | 100 | 1,402 | ||||||
EMC Insurance Group, Inc. | 100 | 2,772 | ||||||
Employers Holdings, Inc. | 300 | 8,706 | ||||||
Endurance Specialty Holdings, Ltd. | 624 | 41,908 | ||||||
Enstar Group, Ltd.(a) | 108 | 17,495 | ||||||
Erie Indemnity Co. Class A | 238 | 23,643 | ||||||
Everest Re Group, Ltd. | 422 | 77,087 | ||||||
FBL Financial Group, Inc. Class A | 78 | 4,732 | ||||||
Federated National Holding Co. | 100 | 1,904 | ||||||
Fidelity & Guaranty Life | 100 | 2,318 | ||||||
First American Financial Corp. | 1,048 | 42,150 | ||||||
FNF Group | 2,620 | 98,250 | ||||||
Genworth Financial, Inc. Class A(a) | 4,900 | 12,642 | ||||||
Global Indemnity PLC(a) | 54 | 1,487 | ||||||
Greenlight Capital Re, Ltd. Class A(a) | 300 | 6,048 | ||||||
Hallmark Financial Services, Inc.(a) | 141 | 1,634 | ||||||
Hanover Insurance Group, Inc. | 426 | 36,048 | ||||||
HCI Group, Inc. | 45 | 1,228 | ||||||
Heritage Insurance Holdings, Inc. | 200 | 2,394 | ||||||
Horace Mann Educators Corp. | 400 | 13,516 | ||||||
Infinity Property & Casualty Corp. | 117 | 9,437 | ||||||
James River Group Holdings, Ltd. | 100 | 3,396 | ||||||
Kemper Corp. | 383 | 11,865 | ||||||
Maiden Holdings, Ltd. | 500 | 6,120 | ||||||
Markel Corp.(a) | 134 | 127,672 | ||||||
MBIA, Inc.(a) | 1,200 | 8,196 | ||||||
Mercury General Corp. | 237 | 12,599 | ||||||
National General Holdings Corp. | 499 | 10,689 | ||||||
National Interstate Corp. | 46 | 1,391 | ||||||
National Western Life Group, Inc. Class A | 22 | 4,296 | ||||||
Navigators Group, Inc. | 96 | 8,829 | ||||||
Old Republic International Corp. | 2,494 | 48,109 | ||||||
OneBeacon Insurance Group, Ltd. Class A | 300 | 4,140 | ||||||
Primerica, Inc. | 477 | 27,303 | ||||||
ProAssurance Corp. | 542 | 29,024 | ||||||
Reinsurance Group of America, Inc. | 630 | 61,104 | ||||||
RenaissanceRe Holdings, Ltd. | 416 | 48,855 | ||||||
RLI Corp. | 405 | 27,856 | ||||||
Safety Insurance Group, Inc. | 138 | 8,498 | ||||||
Selective Insurance Group, Inc. | 600 | 22,926 | ||||||
State Auto Financial Corp. | 100 | 2,191 | ||||||
State National Cos., Inc. | 200 | 2,106 | ||||||
Stewart Information Services Corp. | 249 | 10,311 | ||||||
Third Point Reinsurance, Ltd.(a) | 800 | 9,376 | ||||||
Trupanion, Inc.(a) | 169 | 2,239 | ||||||
United Fire Group, Inc. | 198 | 8,401 | ||||||
United Insurance Holdings Corp. | 100 | 1,638 | ||||||
Universal Insurance Holdings, Inc. | 300 | 5,574 | ||||||
Validus Holdings, Ltd. | 792 | 38,483 | ||||||
White Mountains Insurance Group, Ltd. | 45 | 37,890 | ||||||
WMIH Corp.(a) | 1,934 | 4,293 | ||||||
WR Berkley Corp. | 967 | 57,943 | ||||||
|
| |||||||
1,577,661 | ||||||||
|
| |||||||
Internet & Catalog Retail – 0.7% |
| |||||||
1-800-Flowers.com, Inc. Class A(a) | 200 | 1,804 | ||||||
Blue Nile, Inc. | 100 | 2,738 | ||||||
Duluth Holdings, Inc.(a) | 99 | 2,422 | ||||||
Etsy, Inc.(a) | 1,000 | 9,590 | ||||||
FTD Cos., Inc.(a) | 200 | 4,992 | ||||||
Groupon, Inc.(a) | 3,922 | 12,746 | ||||||
HSN, Inc. | 310 | 15,168 | ||||||
Lands’ End, Inc.(a) | 100 | 1,642 | ||||||
Liberty Interactive Corp. QVC Group Class A(a) | 4,362 | 110,664 | ||||||
Liberty TripAdvisor Holdings, Inc. Class A Class A(a) | 700 | 15,316 | ||||||
Liberty Ventures Series A(a) | 1,368 | 50,712 | ||||||
Nutrisystem, Inc. | 251 | 6,365 | ||||||
Overstock.com, Inc.(a) | 100 | 1,611 | ||||||
PetMed Express, Inc. | 200 | 3,752 | ||||||
Shutterfly, Inc.(a) | 351 | 16,360 | ||||||
Travelport Worldwide, Ltd. | 1,100 | 14,179 | ||||||
Wayfair, Inc. Class A Class A(a) | 351 | 13,689 | ||||||
|
| |||||||
283,750 | ||||||||
|
|
See Accompanying Notes to Financial Statements.
69
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Internet Software & Services – 2.6% |
| |||||||
2U, Inc.(a) | 305 | $ | 8,970 | |||||
Actua Corp.(a) | 400 | 3,612 | ||||||
Alarm.com Holdings, Inc.(a) | 100 | 2,563 | ||||||
Angie’s List, Inc.(a) | 435 | 2,832 | ||||||
Apigee Corp.(a) | 100 | 1,222 | ||||||
Bankrate, Inc.(a) | 500 | 3,740 | ||||||
Bazaarvoice, Inc.(a) | 800 | 3,208 | ||||||
Benefitfocus, Inc.(a) | 141 | 5,375 | ||||||
Blucora, Inc.(a) | 500 | 5,180 | ||||||
Box, Inc. Class A(a) | 465 | 4,808 | ||||||
Brightcove, Inc.(a) | 326 | 2,869 | ||||||
Carbonite, Inc.(a) | 100 | 973 | ||||||
Care.com, Inc.(a) | 300 | 3,504 | ||||||
ChannelAdvisor Corp.(a) | 200 | 2,898 | ||||||
Cimpress NV(a) | 239 | 22,103 | ||||||
comScore, Inc.(a) | 459 | 10,961 | ||||||
Cornerstone OnDemand, Inc.(a) | 551 | 20,971 | ||||||
CoStar Group, Inc.(a) | 309 | 67,566 | ||||||
Cvent, Inc.(a) | 252 | 9,001 | ||||||
Demandware, Inc.(a) | 417 | 31,233 | ||||||
DHI Group, Inc.(a) | 400 | 2,492 | ||||||
EarthLink Holdings Corp. | 1,100 | 7,040 | ||||||
Endurance International Group Holdings, Inc.(a) | 635 | 5,709 | ||||||
Envestnet, Inc.(a) | 452 | 15,056 | ||||||
Everyday Health, Inc.(a) | 100 | 788 | ||||||
Five9, Inc.(a) | 227 | 2,701 | ||||||
GoDaddy, Inc. Class A Class A(a) | 453 | 14,129 | ||||||
Gogo, Inc.(a) | 610 | 5,118 | ||||||
GrubHub, Inc.(a) | 800 | 24,856 | ||||||
GTT Communications, Inc.(a) | 195 | 3,604 | ||||||
Hortonworks, Inc.(a) | 378 | 4,041 | ||||||
IAC/InterActiveCorp | 711 | 40,029 | ||||||
inContact, Inc.(a) | 673 | 9,321 | ||||||
Instructure, Inc.(a) | 100 | 1,900 | ||||||
Intralinks Holdings, Inc.(a) | 400 | 2,600 | ||||||
j2 Global, Inc. | 469 | 29,627 | ||||||
LinkedIn Corp. Class A(a) | 1,149 | 217,448 | ||||||
Liquidity Services, Inc.(a) | 200 | 1,568 | ||||||
LivePerson, Inc.(a) | 600 | 3,804 | ||||||
LogMeIn, Inc.(a) | 260 | 16,492 | ||||||
Marketo, Inc.(a) | 418 | 14,555 | ||||||
Match Group, Inc.(a) | 400 | 6,030 | ||||||
MeetMe, Inc.(a) | 400 | 2,132 | ||||||
MINDBODY, Inc. Class A(a) | 100 | 1,614 | ||||||
Monster Worldwide, Inc.(a) | 500 | 1,195 | ||||||
New Relic, Inc.(a) | 231 | 6,787 | ||||||
NIC, Inc. | 600 | 13,164 | ||||||
Pandora Media, Inc.(a) | 2,102 | 26,170 | ||||||
Q2 Holdings, Inc.(a) | 200 | 5,604 | ||||||
QuinStreet, Inc.(a) | 200 | 710 | ||||||
Quotient Technology, Inc.(a) | 600 | 8,046 | ||||||
Rackspace Hosting, Inc.(a) | 1,100 | 22,946 | ||||||
Reis, Inc. | 100 | 2,490 | ||||||
RetailMeNot, Inc.(a) | 200 | 1,542 | ||||||
SciQuest, Inc.(a) | 226 | 3,991 | ||||||
Shutterstock, Inc.(a) | 250 | 11,450 | ||||||
SPS Commerce, Inc.(a) | 151 | 9,150 | ||||||
Stamps.com, Inc.(a) | 157 | 13,725 | ||||||
TechTarget, Inc.(a) | 200 | 1,620 | ||||||
TrueCar, Inc.(a) | 566 | 4,443 | ||||||
Twitter, Inc.(a) | 6,186 | 104,605 | ||||||
United Online, Inc.(a) | 100 | 1,100 | ||||||
Web.com Group, Inc.(a) | 400 | 7,272 | ||||||
WebMD Health Corp.(a) | 344 | 19,990 | ||||||
Xactly Corp.(a) | 200 | 2,562 | ||||||
XO Group, Inc.(a) | 211 | 3,678 | ||||||
Yelp, Inc.(a) | 658 | 19,977 | ||||||
Zillow Group, Inc. Class A(a) | 529 | 19,388 | ||||||
Zillow Group, Inc. Class C Class C(a) | 983 | 35,663 | ||||||
|
| |||||||
993,511 | ||||||||
|
| |||||||
IT Services – 3.2% |
| |||||||
Acxiom Corp.(a) | 700 | 15,393 | ||||||
Amdocs, Ltd. | 1,421 | 82,020 | ||||||
Black Knight Financial Services, Inc. Class A(a) | 197 | 7,407 | ||||||
Blackhawk Network Holdings, Inc.(a) | 553 | 18,520 | ||||||
Booz Allen Hamilton Holding Corp. | 1,100 | 32,604 | ||||||
Broadridge Financial Solutions, Inc. | 1,140 | 74,328 | ||||||
CACI International, Inc. Class A(a) | 220 | 19,890 | ||||||
Cardtronics, Inc.(a) | 428 | 17,039 | ||||||
Cass Information Systems, Inc. | 117 | 6,049 | ||||||
Computer Sciences Corp. | 1,354 | 67,226 | ||||||
Convergys Corp. | 942 | 23,550 | ||||||
CoreLogic, Inc.(a) | 900 | 34,632 | ||||||
CSG Systems International, Inc. | 300 | 12,093 | ||||||
Datalink Corp.(a) | 213 | 1,598 | ||||||
DST Systems, Inc. | 332 | 38,655 | ||||||
EPAM Systems, Inc.(a) | 474 | 30,483 | ||||||
Euronet Worldwide, Inc.(a) | 497 | 34,387 | ||||||
EVERTEC, Inc. | 600 | 9,324 | ||||||
ExlService Holdings, Inc.(a) | 337 | 17,662 | ||||||
First Data Corp. Class A(a) | 3,002 | 33,232 | ||||||
FleetCor Technologies, Inc.(a) | 885 | 126,670 | ||||||
Forrester Research, Inc. | 100 | 3,686 | ||||||
Gartner, Inc.(a) | 789 | 76,856 | ||||||
Genpact, Ltd.(a) | 1,517 | 40,716 | ||||||
Hackett Group, Inc. | 190 | 2,635 | ||||||
Jack Henry & Associates, Inc. | 778 | 67,896 | ||||||
Leidos Holdings, Inc. | 648 | 31,020 | ||||||
Lionbridge Technologies, Inc.(a) | 700 | 2,765 | ||||||
ManTech International Corp. Class A | 258 | 9,758 | ||||||
MAXIMUS, Inc. | 634 | 35,105 | ||||||
MoneyGram International, Inc.(a) | 153 | 1,048 | ||||||
NeuStar, Inc. Class A(a) | 500 | 11,755 | ||||||
Perficient, Inc.(a) | 300 | 6,093 | ||||||
PFSweb, Inc.(a) | 100 | 950 | ||||||
Planet Payment, Inc.(a) | 400 | 1,796 | ||||||
Sabre Corp. | 1,988 | 53,259 | ||||||
Science Applications International Corp. | 447 | 26,082 | ||||||
ServiceSource International, Inc.(a) | 300 | 1,209 | ||||||
Square, Inc. Class A(a) | 341 | 3,086 | ||||||
Sykes Enterprises, Inc.(a) | 353 | 10,223 | ||||||
Syntel, Inc.(a) | 300 | 13,578 | ||||||
TeleTech Holdings, Inc. | 200 | 5,426 | ||||||
Unisys Corp.(a) | 500 | 3,640 | ||||||
Vantiv, Inc. Class A(a) | 1,514 | 85,692 |
See Accompanying Notes to Financial Statements.
70
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
IT Services – (continued) |
| |||||||
Virtusa Corp.(a) | 300 | $ | 8,664 | |||||
WEX, Inc.(a) | 373 | 33,074 | ||||||
|
| |||||||
1,238,774 | ||||||||
|
| |||||||
Leisure Equipment & Products – 0.4% |
| |||||||
Arctic Cat, Inc. | 100 | 1,700 | ||||||
Brunswick Corp. | 933 | 42,284 | ||||||
Callaway Golf Co. | 812 | 8,291 | ||||||
Escalade, Inc. | 100 | 1,024 | ||||||
JAKKS Pacific, Inc.(a) | 196 | 1,550 | ||||||
Johnson Outdoors, Inc. Class A | 100 | 2,570 | ||||||
Malibu Boats, Inc. Class A(a) | 100 | 1,208 | ||||||
Nautilus, Inc.(a) | 300 | 5,352 | ||||||
Performance Sports Group, Ltd.(a) | 362 | 1,086 | ||||||
Polaris Industries, Inc. | 578 | 47,257 | ||||||
Smith & Wesson Holding Corp.(a) | 488 | 13,264 | ||||||
Sturm Ruger & Co., Inc. | 165 | 10,562 | ||||||
Vista Outdoor, Inc.(a) | 621 | 29,640 | ||||||
|
| |||||||
165,788 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.2% |
| |||||||
Accelerate Diagnostics, Inc.(a) | 300 | 4,317 | ||||||
Albany Molecular Research, Inc.(a) | 196 | 2,634 | ||||||
Bio-Rad Laboratories, Inc. Class A(a) | 197 | 28,175 | ||||||
Bio-Techne Corp. | 359 | 40,484 | ||||||
Bruker Corp. | 1,073 | 24,400 | ||||||
Cambrex Corp.(a) | 300 | 15,519 | ||||||
Charles River Laboratories International, Inc.(a) | 458 | 37,758 | ||||||
Enzo Biochem, Inc.(a) | 400 | 2,388 | ||||||
Fluidigm Corp.(a) | 244 | 2,203 | ||||||
INC Research Holdings, Inc. Class A(a) | 394 | 15,023 | ||||||
Luminex Corp.(a) | 400 | 8,092 | ||||||
Mettler-Toledo International, Inc.(a) | 256 | 93,420 | ||||||
NanoString Technologies, Inc.(a) | 100 | 1,260 | ||||||
NeoGenomics, Inc.(a) | 600 | 4,824 | ||||||
Pacific Biosciences of California, Inc.(a) | 700 | 4,925 | ||||||
PAREXEL International Corp.(a) | 531 | 33,389 | ||||||
PRA Health Sciences, Inc.(a) | 294 | 12,277 | ||||||
QIAGEN NV(a) | 2,208 | 48,157 | ||||||
Quintiles Transnational Holdings, Inc.(a) | 855 | 55,849 | ||||||
VWR Corp.(a) | 748 | 21,617 | ||||||
|
| |||||||
456,711 | ||||||||
|
| |||||||
Machinery – 3.2% |
| |||||||
Actuant Corp. Class A | 600 | 13,566 | ||||||
AGCO Corp. | 688 | 32,425 | ||||||
Alamo Group, Inc. | 92 | 6,069 | ||||||
Albany International Corp. Class A | 248 | 9,903 | ||||||
Allison Transmission Holdings, Inc. | 1,357 | 38,308 | ||||||
Altra Industrial Motion Corp. | 274 | 7,392 | ||||||
American Railcar Industries, Inc. | 96 | 3,789 | ||||||
Astec Industries, Inc. | 186 | 10,444 | ||||||
Barnes Group, Inc. | 556 | 18,415 | ||||||
Briggs & Stratton Corp. | 400 | 8,472 | ||||||
Chart Industries, Inc.(a) | 300 | 7,239 | ||||||
CIRCOR International, Inc. | 200 | 11,398 | ||||||
CLARCOR, Inc. | 484 | 29,442 | ||||||
Colfax Corp.(a) | 938 | 24,819 | ||||||
Columbus McKinnon Corp. | 200 | 2,830 | ||||||
Crane Co. | 448 | 25,411 | ||||||
Donaldson Co., Inc. | 1,300 | 44,668 | ||||||
Douglas Dynamics, Inc. | 177 | 4,554 | ||||||
Energy Recovery, Inc.(a) | 300 | 2,667 | ||||||
EnPro Industries, Inc. | 245 | 10,876 | ||||||
ESCO Technologies, Inc. | 290 | 11,583 | ||||||
ExOne Co.(a) | 100 | 1,057 | ||||||
Federal Signal Corp. | 600 | 7,728 | ||||||
Franklin Electric Co., Inc. | 449 | 14,839 | ||||||
FreightCar America, Inc. | 100 | 1,405 | ||||||
Global Brass & Copper Holdings, Inc. | 200 | 5,458 | ||||||
Gorman-Rupp Co. | 200 | 5,482 | ||||||
Graco, Inc. | 532 | 42,023 | ||||||
Graham Corp. | 100 | 1,842 | ||||||
Greenbrier Cos., Inc. | 294 | 8,564 | ||||||
Harsco Corp. | 600 | 3,984 | ||||||
Hillenbrand, Inc. | 600 | 18,024 | ||||||
Hurco Cos., Inc. | 66 | 1,837 | ||||||
Hyster-Yale Materials Handling, Inc. | 89 | 5,295 | ||||||
IDEX Corp. | 742 | 60,918 | ||||||
ITT, Inc. | 860 | 27,503 | ||||||
John Bean Technologies Corp. | 290 | 17,754 | ||||||
Joy Global, Inc. | 900 | 19,026 | ||||||
Kadant, Inc. | 100 | 5,151 | ||||||
Kennametal, Inc. | 800 | 17,688 | ||||||
Lincoln Electric Holdings, Inc. | 586 | 34,621 | ||||||
Lindsay Corp. | 108 | 7,329 | ||||||
Lydall, Inc.(a) | 200 | 7,712 | ||||||
Manitowoc Co., Inc. | 1,100 | 5,995 | ||||||
Manitowoc Foodservice, Inc.(a) | 1,300 | 22,906 | ||||||
Meritor, Inc.(a) | 1,000 | 7,200 | ||||||
Middleby Corp.(a) | 546 | 62,926 | ||||||
Milacron Holdings Corp.(a) | 100 | 1,451 | ||||||
Miller Industries, Inc. | 100 | 2,059 | ||||||
Mueller Industries, Inc. | 600 | 19,128 | ||||||
Mueller Water Products, Inc. Class A | 1,600 | 18,272 | ||||||
Navistar International Corp.(a) | 500 | 5,845 | ||||||
NN, Inc. | 216 | 3,022 | ||||||
Nordson Corp. | 546 | 45,651 | ||||||
Oshkosh Corp. | 708 | 33,779 | ||||||
Proto Labs, Inc.(a) | 233 | 13,411 | ||||||
RBC Bearings, Inc.(a) | 230 | 16,675 | ||||||
Rexnord Corp.(a) | 790 | 15,508 | ||||||
SPX Corp.(a) | 400 | 5,940 | ||||||
SPX FLOW, Inc.(a) | 400 | 10,428 | ||||||
Standex International Corp. | 115 | 9,502 | ||||||
Sun Hydraulics Corp. | 248 | 7,363 | ||||||
Supreme Industries, Inc. Class A | 100 | 1,370 | ||||||
Tennant Co. | 176 | 9,481 | ||||||
Terex Corp. | 1,000 | 20,310 | ||||||
Timken Co. | 700 | 21,462 | ||||||
Titan International, Inc. | 500 | 3,100 | ||||||
Toro Co. | 537 | 47,363 | ||||||
TriMas Corp.(a) | 400 | 7,200 | ||||||
Trinity Industries, Inc. | 1,469 | 27,279 | ||||||
Wabash National Corp.(a) | 700 | 8,890 | ||||||
WABCO Holdings, Inc.(a) | 520 | 47,616 | ||||||
Wabtec Corp. | 860 | 60,398 |
See Accompanying Notes to Financial Statements.
71
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Machinery – (continued) |
| |||||||
Watts Water Technologies, Inc. Class A | 283 | $ | 16,488 | |||||
Woodward, Inc. | 504 | 29,051 | ||||||
|
| |||||||
1,246,579 | ||||||||
|
| |||||||
Marine – 0.1% |
| |||||||
Costamare, Inc. | 300 | 2,301 | ||||||
Kirby Corp.(a) | 540 | 33,690 | ||||||
Matson, Inc. | 482 | 15,564 | ||||||
Scorpio Bulkers, Inc.(a) | 133 | 371 | ||||||
|
| |||||||
51,926 | ||||||||
|
| |||||||
Media – 3.8% |
| |||||||
AMC Entertainment Holdings, Inc. Class A | 200 | 5,522 | ||||||
AMC Networks, Inc. Class A(a) | 586 | 35,406 | ||||||
Cable One, Inc. | 47 | 24,036 | ||||||
Carmike Cinemas, Inc.(a) | 200 | 6,024 | ||||||
Central European Media Enterprises, Ltd. Class A(a) | 700 | 1,477 | ||||||
Charter Communications, Inc. Class A(a) | 1,962 | 448,592 | ||||||
Cinemark Holdings, Inc. | 1,016 | 37,043 | ||||||
Clear Channel Outdoor Holdings, Inc. Class A | 200 | 1,244 | ||||||
Daily Journal Corp.(a) | 11 | 2,607 | ||||||
DISH Network Corp. Class A(a) | 2,195 | 115,018 | ||||||
DreamWorks Animation SKG, Inc. Class A(a) | 800 | 32,696 | ||||||
Entercom Communications Corp. Class A | 200 | 2,714 | ||||||
Entravision Communications Corp. Class A | 600 | 4,032 | ||||||
Eros International PLC(a) | 347 | 5,646 | ||||||
EW Scripps Co. Class A(a) | 500 | 7,920 | ||||||
Gannett Co., Inc. | 1,100 | 15,191 | ||||||
Global Eagle Entertainment, Inc.(a) | 300 | 1,992 | ||||||
Gray Television, Inc.(a) | 600 | 6,510 | ||||||
Hemisphere Media Group, Inc.(a) | 100 | 1,180 | ||||||
IMAX Corp.(a) | 600 | 17,688 | ||||||
John Wiley & Sons, Inc. Class A | 450 | 23,481 | ||||||
Liberty Braves Group Class A(a) | 94 | 1,414 | ||||||
Liberty Braves Group Class C(a) | 510 | 7,477 | ||||||
Liberty Broadband Corp. Class A(a) | 230 | 13,662 | ||||||
Liberty Broadband Corp. Class C(a) | 991 | 59,460 | ||||||
Liberty Media Group Class A(a) | 236 | 4,517 | ||||||
Liberty Media Group Class C(a) | 450 | 8,537 | ||||||
Liberty SiriusXM Group Class A(a) | 872 | 27,346 | ||||||
Liberty SiriusXM Group Class C(a) | 1,759 | 54,300 | ||||||
Lions Gate Entertainment Corp. | 949 | 19,198 | ||||||
Live Nation Entertainment, Inc.(a) | 1,359 | 31,937 | ||||||
Loral Space & Communications, Inc.(a) | 100 | 3,527 | ||||||
Madison Square Garden Co. Class A(a) | 199 | 34,329 | ||||||
MDC Partners, Inc. Class A | 500 | 9,145 | ||||||
Media General, Inc.(a) | 1,100 | 18,909 | ||||||
Meredith Corp. | 347 | 18,013 | ||||||
MSG Networks, Inc. Class A(a) | 621 | 9,526 | ||||||
National CineMedia, Inc. | 600 | 9,288 | ||||||
New Media Investment Group, Inc. | 400 | 7,228 | ||||||
New York Times Co. Class A | 1,300 | 15,730 | ||||||
Nexstar Broadcasting Group, Inc. Class A | 300 | 14,274 | ||||||
Reading International, Inc. Class A(a) | 100 | 1,249 | ||||||
Regal Entertainment Group Class A | 800 | 17,632 | ||||||
Saga Communications, Inc. Class A | 44 | 1,740 | ||||||
Scholastic Corp. | 295 | 11,685 | ||||||
Sinclair Broadcast Group, Inc. Class A | 662 | 19,767 | ||||||
Sirius XM Holdings, Inc.(a) | 17,090 | 67,505 | ||||||
Starz Class A(a) | 799 | 23,906 | ||||||
Thomson Reuters Corp. | 2,982 | 120,532 | ||||||
Time, Inc. | 1,000 | 16,460 | ||||||
Tribune Media Co. Class A | 832 | 32,598 | ||||||
tronc, Inc. | 300 | 4,140 | ||||||
World Wrestling Entertainment, Inc. Class A | 327 | 6,020 | ||||||
|
| |||||||
1,487,070 | ||||||||
|
| |||||||
Metals & Mining – 1.2% |
| |||||||
AK Steel Holding Corp.(a) | 2,300 | 10,718 | ||||||
Allegheny Technologies, Inc. | 1,000 | 12,750 | ||||||
Carpenter Technology Corp. | 455 | 14,983 | ||||||
Century Aluminum Co.(a) | 500 | 3,165 | ||||||
Cliffs Natural Resources, Inc.(a) | 1,742 | 9,877 | ||||||
Coeur Mining, Inc.(a) | 1,500 | 15,990 | ||||||
Commercial Metals Co. | 1,100 | 18,590 | ||||||
Compass Minerals International, Inc. | 314 | 23,296 | ||||||
Ferroglobe PLC | 500 | 4,305 | ||||||
Gold Resource Corp. | 500 | 1,795 | ||||||
Haynes International, Inc. | 100 | 3,208 | ||||||
Hecla Mining Co. | 3,484 | 17,768 | ||||||
Kaiser Aluminum Corp. | 172 | 15,551 | ||||||
Materion Corp. | 155 | 3,838 | ||||||
Olympic Steel, Inc. | 100 | 2,731 | ||||||
Real Industry, Inc.(a) | 128 | 995 | ||||||
Reliance Steel & Aluminum Co. | 709 | 54,522 | ||||||
Royal Gold, Inc. | 621 | 44,724 | ||||||
Ryerson Holding Corp.(a) | 200 | 3,500 | ||||||
Schnitzer Steel Industries, Inc. Class A | 272 | 4,787 | ||||||
Southern Copper Corp. | 803 | 21,665 | ||||||
Steel Dynamics, Inc. | 2,300 | 56,350 | ||||||
Stillwater Mining Co.(a) | 1,100 | 13,046 | ||||||
SunCoke Energy, Inc. | 600 | 3,492 | ||||||
Tahoe Resources, Inc. | 2,884 | 43,173 | ||||||
TimkenSteel Corp. | 400 | 3,848 | ||||||
United States Steel Corp. | 1,400 | 23,604 | ||||||
Worthington Industries, Inc. | 500 | 21,150 | ||||||
|
| |||||||
453,421 | ||||||||
|
| |||||||
Multi-Utilities – 0.5% |
| |||||||
Avista Corp. | 600 | 26,880 | ||||||
Black Hills Corp. | 493 | 31,079 | ||||||
MDU Resources Group, Inc. | 1,900 | 45,600 | ||||||
NorthWestern Corp. | 455 | 28,697 | ||||||
Unitil Corp. | 200 | 8,534 | ||||||
Vectren Corp. | 792 | 41,714 | ||||||
|
| |||||||
182,504 | ||||||||
|
|
See Accompanying Notes to Financial Statements.
72
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Multiline Retail – 0.2% |
| |||||||
Big Lots, Inc. | 473 | $ | 23,702 | |||||
Dillard’s, Inc. Class A Class A | 205 | 12,423 | ||||||
Fred’s, Inc. Class A | 400 | 6,444 | ||||||
JC Penney Co., Inc.(a) | 3,000 | 26,640 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 202 | 5,028 | ||||||
Sears Holdings Corp.(a) | 100 | 1,361 | ||||||
Tuesday Morning Corp.(a) | 500 | 3,510 | ||||||
|
| |||||||
79,108 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 2.6% |
| |||||||
Alon USA Energy, Inc. | 200 | 1,296 | ||||||
Antero Resources Corp.(a) | 1,574 | 40,893 | ||||||
Ardmore Shipping Corp. | 100 | 677 | ||||||
Bill Barrett Corp.(a) | 500 | 3,195 | ||||||
California Resources Corp. | 402 | 4,904 | ||||||
Callon Petroleum Co.(a) | 1,104 | 12,398 | ||||||
Carrizo Oil & Gas, Inc.(a) | 600 | 21,510 | ||||||
Cheniere Energy, Inc.(a) | 1,915 | 71,908 | ||||||
Clayton Williams Energy, Inc.(a) | 38 | 1,043 | ||||||
Clean Energy Fuels Corp.(a) | 800 | 2,776 | ||||||
Cobalt International Energy, Inc.(a) | 3,200 | 4,288 | ||||||
CONSOL Energy, Inc. | 2,200 | 35,398 | ||||||
Contango Oil & Gas Co.(a) | 100 | 1,224 | ||||||
Continental Resources, Inc.(a) | 847 | 38,344 | ||||||
CVR Energy, Inc. | 100 | 1,550 | ||||||
Delek US Holdings, Inc. | 500 | 6,605 | ||||||
Denbury Resources, Inc. | 3,415 | 12,260 | ||||||
DHT Holdings, Inc. | 696 | 3,501 | ||||||
Diamondback Energy, Inc.(a) | 700 | 63,847 | ||||||
Dorian LPG, Ltd.(a) | 300 | 2,115 | ||||||
Eclipse Resources Corp.(a) | 400 | 1,336 | ||||||
Energen Corp. | 1,012 | 48,789 | ||||||
EP Energy Corp. Class A(a) | 200 | 1,036 | ||||||
Evolution Petroleum Corp. | 200 | 1,094 | ||||||
EXCO Resources, Inc.(a) | 1,556 | 2,023 | ||||||
Frontline, Ltd. | 520 | 4,092 | ||||||
GasLog, Ltd. | 400 | 5,192 | ||||||
Gener8 Maritime, Inc.(a) | 400 | 2,560 | ||||||
Golar LNG, Ltd. | 800 | 12,400 | ||||||
Green Plains, Inc. | 347 | 6,843 | ||||||
Gulfport Energy Corp.(a) | 1,200 | 37,512 | ||||||
HollyFrontier Corp. | 1,555 | 36,962 | ||||||
Jones Energy, Inc. Class A(a) | 400 | 1,648 | ||||||
Kosmos Energy, Ltd.(a) | 1,500 | 8,175 | ||||||
Laredo Petroleum, Inc.(a) | 1,300 | 13,624 | ||||||
Matador Resources Co.(a) | 800 | 15,840 | ||||||
Memorial Resource Development Corp.(a) | 1,000 | 15,880 | ||||||
Navios Maritime Acquisition Corp. | 400 | 628 | ||||||
Nordic American Tankers, Ltd. | 840 | 11,668 | ||||||
Northern Oil and Gas, Inc.(a) | 700 | 3,234 | ||||||
Oasis Petroleum, Inc.(a) | 1,800 | 16,812 | ||||||
Overseas Shipholding Group, Inc. Class A | 300 | 3,297 | ||||||
Pacific Ethanol, Inc.(a) | 200 | 1,090 | ||||||
Panhandle Oil and Gas, Inc. Class A | 100 | 1,667 | ||||||
Par Pacific Holdings, Inc.(a) | 300 | 4,602 | ||||||
Parsley Energy, Inc. Class A(a) | 1,449 | 39,210 | ||||||
PBF Energy, Inc. Class A | 949 | 22,567 | ||||||
PDC Energy, Inc.(a) | 460 | 26,501 | ||||||
QEP Resources, Inc. | 2,100 | 37,023 | ||||||
Renewable Energy Group, Inc.(a) | 400 | 3,532 | ||||||
REX American Resources Corp.(a) | 34 | 2,034 | ||||||
Rice Energy, Inc.(a) | 1,142 | 25,170 | ||||||
Ring Energy, Inc.(a) | 200 | 1,764 | ||||||
RSP Permian, Inc.(a) | 761 | 26,551 | ||||||
Sanchez Energy Corp.(a) | 600 | 4,236 | ||||||
Scorpio Tankers, Inc. | 1,600 | 6,720 | ||||||
SemGroup Corp. Class A | 429 | 13,968 | ||||||
Ship Finance International, Ltd. | 500 | 7,370 | ||||||
SM Energy Co. | 656 | 17,712 | ||||||
Synergy Resources Corp.(a) | 1,700 | 11,322 | ||||||
Targa Resources Corp. | 1,571 | 66,202 | ||||||
Teekay Corp. | 343 | 2,446 | ||||||
Teekay Tankers, Ltd. Class A | 700 | 2,086 | ||||||
Western Refining, Inc. | 662 | 13,657 | ||||||
Westmoreland Coal Co.(a) | 100 | 952 | ||||||
Whiting Petroleum Corp.(a) | 1,900 | 17,594 | ||||||
World Fuel Services Corp. | 701 | 33,290 | ||||||
WPX Energy, Inc.(a) | 2,700 | 25,137 | ||||||
|
| |||||||
994,780 | ||||||||
|
| |||||||
Paper & Forest Products – 0.3% |
| |||||||
Boise Cascade Co.(a) | 400 | 9,180 | ||||||
Clearwater Paper Corp.(a) | 179 | 11,701 | ||||||
Deltic Timber Corp. | 108 | 7,250 | ||||||
Domtar Corp. | 614 | 21,496 | ||||||
KapStone Paper and Packaging Corp. | 798 | 10,382 | ||||||
Louisiana-Pacific Corp.(a) | 1,426 | 24,741 | ||||||
Neenah Paper, Inc. | 146 | 10,566 | ||||||
PH Glatfelter Co. | 400 | 7,824 | ||||||
Schweitzer-Mauduit International, Inc. | 300 | 10,584 | ||||||
|
| |||||||
113,724 | ||||||||
|
| |||||||
Personal Products – 0.4% |
| |||||||
Avon Products, Inc. | 4,200 | 15,876 | ||||||
Coty, Inc. Class A | 434 | 11,280 | ||||||
Edgewell Personal Care Co.(a) | 594 | 50,139 | ||||||
Elizabeth Arden, Inc.(a) | 200 | 2,752 | ||||||
Herbalife, Ltd.(a) | 702 | 41,088 | ||||||
Inter Parfums, Inc. | 200 | 5,714 | ||||||
Lifevantage Corp.(a) | 100 | 1,360 | ||||||
Medifast, Inc. | 100 | 3,327 | ||||||
Natural Health Trends Corp. | 51 | 1,438 | ||||||
Nature’s Sunshine Products, Inc. | 100 | 953 | ||||||
Nu Skin Enterprises, Inc. Class A | 600 | 27,714 | ||||||
Nutraceutical International Corp.(a) | 100 | 2,315 | ||||||
Revlon, Inc. Class A(a) | 100 | 3,218 | ||||||
USANA Health Sciences, Inc.(a) | 53 | 5,906 | ||||||
|
| |||||||
173,080 | ||||||||
|
| |||||||
Pharmaceuticals – 0.8% |
| |||||||
Aclaris Therapeutics, Inc.(a) | 58 | 1,071 | ||||||
Aerie Pharmaceuticals, Inc.(a) | 200 | 3,520 | ||||||
Akorn, Inc.(a) | 844 | 24,041 | ||||||
Amphastar Pharmaceuticals, Inc.(a) | 300 | 4,836 | ||||||
ANI Pharmaceuticals, Inc.(a) | 86 | 4,801 | ||||||
Aratana Therapeutics, Inc.(a) | 200 | 1,264 | ||||||
Bio-Path Holdings, Inc.(a) | 800 | 1,592 | ||||||
Catalent, Inc.(a) | 982 | 22,576 | ||||||
Cempra, Inc.(a) | 400 | 6,596 | ||||||
Collegium Pharmaceutical, Inc.(a) | 67 | 794 |
See Accompanying Notes to Financial Statements.
73
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Pharmaceuticals – (continued) |
| |||||||
Corcept Therapeutics, Inc.(a) | 700 | $ | 3,822 | |||||
Depomed, Inc.(a) | 600 | 11,772 | ||||||
Dermira, Inc.(a) | 200 | 5,850 | ||||||
Durect Corp.(a) | 600 | 732 | ||||||
Endocyte, Inc.(a) | 400 | 1,284 | ||||||
Heska Corp.(a) | 58 | 2,156 | ||||||
Horizon Pharma PLC(a) | 1,537 | 25,314 | ||||||
Impax Laboratories, Inc.(a) | 666 | 19,194 | ||||||
Innoviva, Inc. | 800 | 8,424 | ||||||
Intersect ENT, Inc.(a) | 200 | 2,586 | ||||||
Intra-Cellular Therapies, Inc.(a) | 356 | 13,820 | ||||||
Lannett Co., Inc.(a) | 297 | 7,066 | ||||||
Medicines Co.(a) | 659 | 22,162 | ||||||
Nektar Therapeutics(a) | 1,200 | 17,076 | ||||||
Ocular Therapeutix, Inc.(a) | 100 | 495 | ||||||
Omeros Corp.(a) | 300 | 3,156 | ||||||
Pacira Pharmaceuticals, Inc.(a) | 337 | 11,367 | ||||||
Paratek Pharmaceuticals, Inc.(a) | 100 | 1,391 | ||||||
Phibro Animal Health Corp. Class A | 200 | 3,732 | ||||||
Prestige Brands Holdings, Inc.(a) | 516 | 28,587 | ||||||
Relypsa, Inc.(a) | 300 | 5,550 | ||||||
Revance Therapeutics, Inc.(a) | 200 | 2,720 | ||||||
Sagent Pharmaceuticals, Inc.(a) | 200 | 2,996 | ||||||
SciClone Pharmaceuticals, Inc.(a) | 500 | 6,530 | ||||||
Sucampo Pharmaceuticals, Inc. Class A(a) | 162 | 1,777 | ||||||
Supernus Pharmaceuticals, Inc.(a) | 500 | 10,185 | ||||||
Teligent, Inc.(a) | 500 | 3,570 | ||||||
Tetraphase Pharmaceuticals, Inc.(a) | 200 | 860 | ||||||
TherapeuticsMD, Inc.(a) | 1,300 | 11,050 | ||||||
Theravance Biopharma, Inc.(a) | 304 | 6,898 | ||||||
WaVe Life Sciences, Ltd.(a) | 100 | 2,069 | ||||||
XenoPort, Inc.(a) | 700 | 4,928 | ||||||
Zogenix, Inc.(a) | 300 | 2,415 | ||||||
|
| |||||||
322,625 | ||||||||
|
| |||||||
Professional Services – 0.9% |
| |||||||
Acacia Research Corp. | 300 | 1,320 | ||||||
Advisory Board Co.(a) | 428 | 15,147 | ||||||
Barrett Business Services, Inc. | 39 | 1,611 | ||||||
CBIZ, Inc.(a) | 500 | 5,205 | ||||||
CEB, Inc. | 332 | 20,478 | ||||||
CRA International, Inc.(a) | 100 | 2,522 | ||||||
Exponent, Inc. | 231 | 13,493 | ||||||
Franklin Covey Co.(a) | 83 | 1,272 | ||||||
FTI Consulting, Inc.(a) | 400 | 16,272 | ||||||
GP Strategies Corp.(a) | 100 | 2,169 | ||||||
Heidrick & Struggles International, Inc. | 200 | 3,376 | ||||||
Hill International, Inc.(a) | 500 | 2,035 | ||||||
Huron Consulting Group, Inc.(a) | 220 | 13,292 | ||||||
ICF International, Inc.(a) | 202 | 8,262 | ||||||
IHS, Inc. Class A(a) | 653 | 75,493 | ||||||
Insperity, Inc. | 143 | 11,044 | ||||||
Kelly Services, Inc. Class A | 300 | 5,691 | ||||||
Kforce, Inc. | 200 | 3,378 | ||||||
Korn/Ferry International | 555 | 11,488 | ||||||
ManpowerGroup, Inc. | 702 | 45,167 | ||||||
Mistras Group, Inc.(a) | 187 | 4,464 | ||||||
Navigant Consulting, Inc.(a) | 400 | 6,460 | ||||||
On Assignment, Inc.(a) | 560 | 20,692 | ||||||
Resources Connection, Inc. | 300 | 4,434 | ||||||
RPX Corp.(a) | 500 | 4,585 | ||||||
TransUnion(a) | 500 | 16,720 | ||||||
TriNet Group, Inc.(a) | 400 | 8,316 | ||||||
TrueBlue, Inc.(a) | 400 | 7,568 | ||||||
WageWorks, Inc.(a) | 354 | 21,173 | ||||||
|
| |||||||
353,127 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) – 11.0% |
| |||||||
Acadia Realty Trust | 647 | 22,981 | ||||||
AG Mortgage Investment Trust, Inc. REIT | 200 | 2,888 | ||||||
Agree Realty Corp. | 256 | 12,349 | ||||||
Alexander’s, Inc. REIT | 22 | 9,003 | ||||||
Alexandria Real Estate Equities, Inc. | 713 | 73,810 | ||||||
Altisource Residential Corp. REIT | 627 | 5,762 | ||||||
American Assets Trust, Inc. | 442 | 18,759 | ||||||
American Campus Communities, Inc. | 1,272 | 67,251 | ||||||
American Capital Agency Corp. | 3,193 | 63,285 | ||||||
American Capital Mortgage Investment Corp. REIT | 500 | 7,895 | ||||||
American Homes 4 Rent Class A | 1,597 | 32,707 | ||||||
Annaly Capital Management, Inc. | 9,172 | 101,534 | ||||||
Anworth Mortgage Asset Corp. REIT | 1,000 | 4,700 | ||||||
Apollo Commercial Real Estate Finance, Inc. REIT | 500 | 8,035 | ||||||
Apollo Residential Mortgage, Inc. REIT | 355 | 4,757 | ||||||
Apple Hospitality REIT, Inc. | 1,700 | 31,977 | ||||||
Ares Commercial Real Estate Corp. REIT | 300 | 3,687 | ||||||
Armada Hoffler Properties, Inc. REIT | 400 | 5,496 | ||||||
ARMOUR Residential REIT, Inc. | 300 | 6,000 | ||||||
Ashford Hospitality Prime, Inc. | 223 | 3,153 | ||||||
Ashford Hospitality Trust, Inc. | 651 | 3,496 | ||||||
Bluerock Residential Growth REIT, Inc. | 100 | 1,300 | ||||||
Brandywine Realty Trust | 1,700 | 28,560 | ||||||
Brixmor Property Group, Inc. | 1,891 | 50,036 | ||||||
Camden Property Trust | 820 | 72,504 | ||||||
Capstead Mortgage Corp. | 910 | 8,827 | ||||||
Care Capital Properties, Inc. | 852 | 22,331 | ||||||
CareTrust REIT, Inc. | 600 | 8,268 | ||||||
CatchMark Timber Trust, Inc. Class A | 400 | 4,888 | ||||||
CBL & Associates Properties, Inc. | 1,600 | 14,896 | ||||||
Cedar Realty Trust, Inc. | 853 | 6,338 | ||||||
Chatham Lodging Trust REIT | 383 | 8,418 | ||||||
Chesapeake Lodging Trust | 600 | 13,950 | ||||||
Chimera Investment Corp. | 1,815 | 28,496 | ||||||
City Office REIT, Inc. REIT | 200 | 2,596 | ||||||
Colony Capital, Inc. Class A | 1,082 | 16,609 | ||||||
Colony Starwood Homes | 619 | 18,830 | ||||||
Columbia Property Trust, Inc. | 1,169 | 25,017 | ||||||
Communications Sales & Leasing, Inc.(a) | 1,200 | 34,680 | ||||||
Community Healthcare Trust, Inc. REIT | 100 | 2,114 | ||||||
CorEnergy Infrastructure Trust, Inc. | 160 | 4,616 | ||||||
CoreSite Realty Corp. | 341 | 30,243 |
See Accompanying Notes to Financial Statements.
74
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Real Estate Investment Trusts (REITS) – (continued) |
| |||||||
Corporate Office Properties Trust | 900 | $ | 26,613 | |||||
Corrections Corp. of America | 1,125 | 39,398 | ||||||
Cousins Properties, Inc. | 2,000 | 20,800 | ||||||
CubeSmart REIT | 1,742 | 53,793 | ||||||
CyrusOne, Inc. REIT | 746 | 41,522 | ||||||
CYS Investments, Inc. REIT | 1,400 | 11,718 | ||||||
DCT Industrial Trust, Inc. REIT | 884 | 42,467 | ||||||
DDR Corp. REIT | 3,003 | 54,474 | ||||||
DiamondRock Hospitality Co. | 2,000 | 18,060 | ||||||
Douglas Emmett, Inc. | 1,437 | 51,042 | ||||||
Duke Realty Corp. | 3,358 | 89,524 | ||||||
DuPont Fabros Technology, Inc. | 753 | 35,798 | ||||||
Dynex Capital, Inc. REIT | 600 | 4,164 | ||||||
Easterly Government Properties, Inc. | 200 | 3,946 | ||||||
EastGroup Properties, Inc. | 328 | 22,606 | ||||||
Education Realty Trust, Inc. | 696 | 32,113 | ||||||
Empire State Realty Trust, Inc. Class A | 1,224 | 23,244 | ||||||
EPR Properties | 605 | 48,811 | ||||||
Equity Commonwealth(a) | 1,243 | 36,209 | ||||||
Equity LifeStyle Properties, Inc. | 733 | 58,677 | ||||||
Equity One, Inc. | 900 | 28,962 | ||||||
FelCor Lodging Trust, Inc. | 1,300 | 8,099 | ||||||
First Industrial Realty Trust, Inc. | 1,173 | 32,633 | ||||||
First Potomac Realty Trust | 446 | 4,103 | ||||||
Forest City Realty Trust, Inc. Class A | 2,201 | 49,104 | ||||||
Four Corners Property Trust, Inc. | 609 | 12,539 | ||||||
Franklin Street Properties Corp. | 861 | 10,565 | ||||||
Gaming and Leisure Properties, Inc. | 1,796 | 61,926 | ||||||
GEO Group, Inc. | 700 | 23,926 | ||||||
Getty Realty Corp. | 205 | 4,397 | ||||||
Gladstone Commercial Corp. | 200 | 3,378 | ||||||
Global Net Lease, Inc. | 1,625 | 12,919 | ||||||
Government Properties Income Trust | 657 | 15,150 | ||||||
Gramercy Property Trust REIT | 4,075 | 37,572 | ||||||
Great Ajax Corp. | 100 | 1,387 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 397 | 8,575 | ||||||
Hatteras Financial Corp. | 1,000 | 16,400 | ||||||
Healthcare Realty Trust, Inc. REIT | 1,053 | 36,845 | ||||||
Healthcare Trust of America, Inc. Class A | 1,366 | 44,177 | ||||||
Hersha Hospitality Trust | 400 | 6,860 | ||||||
Highwoods Properties, Inc. | 945 | 49,896 | ||||||
Hospitality Properties Trust | 1,500 | 43,200 | ||||||
Hudson Pacific Properties, Inc. REIT | 800 | 23,344 | ||||||
Independence Realty Trust, Inc. | 373 | 3,051 | ||||||
InfraREIT, Inc.(a) | 400 | 7,016 | ||||||
Invesco Mortgage Capital, Inc. REIT | 1,100 | 15,059 | ||||||
Investors Real Estate Trust | 1,200 | 7,764 | ||||||
iStar, Inc.(a) | 800 | 7,672 | ||||||
Kilroy Realty Corp. REIT | 888 | 58,866 | ||||||
Kite Realty Group Trust | 783 | 21,948 | ||||||
Ladder Capital Corp. REIT | 419 | 5,112 | ||||||
Lamar Advertising Co. Class A | 801 | 53,106 | ||||||
LaSalle Hotel Properties | 1,076 | 25,372 | ||||||
Lexington Realty Trust | 2,200 | 22,242 | ||||||
Liberty Property Trust REIT | 1,470 | 58,388 | ||||||
LTC Properties, Inc. | 354 | 18,312 | ||||||
Mack-Cali Realty Corp. | 900 | 24,300 | ||||||
Medical Properties Trust, Inc. | 2,277 | 34,633 | ||||||
MFA Financial, Inc. | 3,700 | 26,899 | ||||||
Mid-America Apartment Communities, Inc. | 736 | 78,310 | ||||||
Monmouth Real Estate Investment Corp. | 679 | 9,004 | ||||||
Monogram Residential Trust, Inc. | 1,600 | 16,336 | ||||||
National Health Investors, Inc. | 362 | 27,183 | ||||||
National Retail Properties, Inc. | 1,368 | 70,753 | ||||||
National Storage Affiliates Trust | 200 | 4,164 | ||||||
New Residential Investment Corp. REIT | 2,300 | 31,832 | ||||||
New Senior Investment Group, Inc. | 800 | 8,544 | ||||||
New York Mortgage Trust, Inc. REIT | 900 | 5,490 | ||||||
New York REIT, Inc. | 1,600 | 14,800 | ||||||
NexPoint Residential Trust, Inc. | 200 | 3,640 | ||||||
NorthStar Realty Europe Corp. REIT | 600 | 5,550 | ||||||
NorthStar Realty Finance Corp. | 1,700 | 19,431 | ||||||
Omega Healthcare Investors, Inc. | 1,832 | 62,196 | ||||||
One Liberty Properties, Inc. | 100 | 2,385 | ||||||
Orchid Island Capital, Inc. | 100 | 1,029 | ||||||
Outfront Media, Inc. | 1,367 | 33,040 | ||||||
Owens Realty Mortgage, Inc. REIT | 100 | 1,664 | ||||||
Paramount Group, Inc. REIT | 1,700 | 27,098 | ||||||
Parkway Properties, Inc. | 800 | 13,384 | ||||||
Pebblebrook Hotel Trust | 700 | 18,375 | ||||||
Pennsylvania Real Estate Investment Trust | 692 | 14,843 | ||||||
PennyMac Mortgage Investment Trust REIT | 741 | 12,026 | ||||||
Physicians Realty Trust REIT | 1,300 | 27,313 | ||||||
Piedmont Office Realty Trust, Inc. Class A | 1,405 | 30,264 | ||||||
Post Properties, Inc. REIT | 526 | 32,112 | ||||||
Potlatch Corp. | 400 | 13,640 | ||||||
Preferred Apartment Communities, Inc. Class A | 200 | 2,944 | ||||||
PS Business Parks, Inc. | 191 | 20,261 | ||||||
QTS Realty Trust, Inc. Class A, REIT | 448 | 25,079 | ||||||
RAIT Financial Trust | 1,093 | 3,421 | ||||||
Ramco-Gershenson Properties Trust | 700 | 13,727 | ||||||
Rayonier, Inc. | 1,262 | 33,115 | ||||||
Redwood Trust, Inc. | 800 | 11,048 | ||||||
Regency Centers Corp. | 941 | 78,790 | ||||||
Resource Capital Corp. REIT | 375 | 4,823 | ||||||
Retail Opportunity Investments Corp. | 1,000 | 21,670 | ||||||
Retail Properties of America, Inc. Class A | 2,300 | 38,870 | ||||||
Rexford Industrial Realty, Inc. | 607 | 12,802 | ||||||
RLJ Lodging Trust REIT | 1,200 | 25,740 | ||||||
Rouse Properties, Inc. | 300 | 5,475 | ||||||
Ryman Hospitality Properties, Inc. | 427 | 21,628 | ||||||
Sabra Health Care REIT, Inc. | 600 | 12,381 | ||||||
Saul Centers, Inc. | 112 | 6,912 | ||||||
Select Income REIT | 600 | 15,594 |
See Accompanying Notes to Financial Statements.
75
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Real Estate Investment Trusts (REITS) – (continued) |
| |||||||
Senior Housing Properties Trust | 2,300 | $ | 47,909 | |||||
Seritage Growth Properties Class A REIT | 238 | 11,862 | ||||||
Silver Bay Realty Trust Corp. REIT | 300 | 5,109 | ||||||
Sovran Self Storage, Inc. | 438 | 45,955 | ||||||
Spirit Realty Capital, Inc. REIT | 4,577 | 58,448 | ||||||
STAG Industrial, Inc. REIT | 700 | 16,667 | ||||||
Starwood Property Trust, Inc. | 2,300 | 47,656 | ||||||
STORE Capital Corp. | 1,447 | 42,614 | ||||||
Summit Hotel Properties, Inc. | 800 | 10,592 | ||||||
Sun Communities, Inc. REIT | 599 | 45,907 | ||||||
Sunstone Hotel Investors, Inc. REIT | 2,043 | 24,659 | ||||||
Tanger Factory Outlet Centers, Inc. | 958 | 38,492 | ||||||
Taubman Centers, Inc. | 592 | 43,926 | ||||||
Terreno Realty Corp. | 400 | 10,348 | ||||||
Tier REIT, Inc. | 455 | 6,975 | ||||||
Two Harbors Investment Corp. | 3,400 | 29,104 | ||||||
UMH Properties, Inc. | 300 | 3,375 | ||||||
United Development Funding IV | 200 | 640 | ||||||
Universal Health Realty Income Trust | 100 | 5,718 | ||||||
Urban Edge Properties | 900 | 26,874 | ||||||
Urstadt Biddle Properties, Inc. Class A | 300 | 7,434 | ||||||
VEREIT, Inc. | 8,784 | 89,070 | ||||||
Washington Real Estate Investment Trust | 702 | 22,085 | ||||||
Weingarten Realty Investors REIT | 1,117 | 45,596 | ||||||
Western Asset Mortgage Capital Corp. | 400 | 3,756 | ||||||
Whitestone REIT | 300 | 4,524 | ||||||
WP Carey, Inc. | 1,002 | 69,559 | ||||||
WP Glimcher, Inc. | 1,800 | 20,142 | ||||||
Xenia Hotels & Resorts, Inc. | 1,100 | 18,458 | ||||||
|
| |||||||
4,275,858 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.5% |
| |||||||
Alexander & Baldwin, Inc. | 518 | 18,721 | ||||||
Altisource Portfolio Solutions SA(a) | 100 | 2,784 | ||||||
AV Homes, Inc.(a) | 100 | 1,222 | ||||||
Consolidated-Tomoka Land Co. | 23 | 1,092 | ||||||
Forestar Group, Inc.(a) | 400 | 4,756 | ||||||
FRP Holdings, Inc.(a) | 45 | 1,553 | ||||||
HFF, Inc. Class A | 346 | 9,992 | ||||||
Howard Hughes Corp.(a) | 347 | 39,669 | ||||||
Jones Lang LaSalle, Inc. | 432 | 42,098 | ||||||
Kennedy-Wilson Holdings, Inc. | 900 | 17,064 | ||||||
Marcus & Millichap, Inc.(a) | 100 | 2,541 | ||||||
RE/MAX Holdings, Inc. Class A | 200 | 8,052 | ||||||
Realogy Holdings Corp.(a) | 1,425 | 41,353 | ||||||
RMR Group, Inc. Class A(a) | 46 | 1,425 | ||||||
St. Joe Co.(a) | 500 | 8,860 | ||||||
Tejon Ranch Co.(a) | 100 | 2,364 | ||||||
|
| |||||||
203,546 | ||||||||
|
| |||||||
Road & Rail – 0.7% |
| |||||||
AMERCO | 68 | 25,469 | ||||||
ArcBest Corp. | 200 | 3,250 | ||||||
Avis Budget Group, Inc.(a) | 802 | 25,848 | ||||||
Celadon Group, Inc. | 300 | 2,451 | ||||||
Covenant Transportation Group, Inc. Class A(a) | 100 | 1,807 | ||||||
Genesee & Wyoming, Inc. Class A(a) | 546 | 32,187 | ||||||
Heartland Express, Inc. | 400 | 6,956 | ||||||
Hertz Global Holdings, Inc.(a) | 3,580 | 39,631 | ||||||
Knight Transportation, Inc. | 600 | 15,948 | ||||||
Landstar System, Inc. | 429 | 29,455 | ||||||
Marten Transport, Ltd. | 193 | 3,821 | ||||||
Old Dominion Freight Line, Inc.(a) | 668 | 40,287 | ||||||
Roadrunner Transportation Systems, Inc.(a) | 200 | 1,492 | ||||||
Saia, Inc.(a) | 200 | 5,028 | ||||||
Swift Transportation Co.(a) | 831 | 12,806 | ||||||
USA Truck, Inc.(a) | 100 | 1,751 | ||||||
Werner Enterprises, Inc. | 400 | 9,188 | ||||||
YRC Worldwide, Inc.(a) | 200 | 1,760 | ||||||
|
| |||||||
259,135 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 2.1% |
| |||||||
Acacia Communications, Inc.(a) | 100 | 3,994 | ||||||
Advanced Energy Industries, Inc.(a) | 400 | 15,184 | ||||||
Advanced Micro Devices, Inc.(a) | 6,200 | 31,868 | ||||||
Alpha & Omega Semiconductor, Ltd.(a) | 187 | 2,605 | ||||||
Ambarella, Inc.(a) | 300 | 15,243 | ||||||
Amkor Technology, Inc.(a) | 1,052 | 6,049 | ||||||
Applied Micro Circuits Corp.(a) | 800 | 5,136 | ||||||
Axcelis Technologies, Inc.(a) | 1,100 | 2,959 | ||||||
Brooks Automation, Inc. | 700 | 7,854 | ||||||
Cabot Microelectronics Corp. | 281 | 11,898 | ||||||
Cavium, Inc.(a) | 527 | 20,342 | ||||||
CEVA, Inc.(a) | 200 | 5,434 | ||||||
Cirrus Logic, Inc.(a) | 640 | 24,826 | ||||||
Cohu, Inc. | 200 | 2,170 | ||||||
Cree, Inc.(a) | 1,000 | 24,440 | ||||||
Cypress Semiconductor Corp. | 3,039 | 32,061 | ||||||
Diodes, Inc.(a) | 392 | 7,366 | ||||||
DSP Group, Inc.(a) | 300 | 3,183 | ||||||
Entegris, Inc.(a) | 1,400 | 20,258 | ||||||
Exar Corp.(a) | 500 | 4,025 | ||||||
Fairchild Semiconductor International, Inc.(a) | 1,100 | 21,835 | ||||||
FormFactor, Inc.(a) | 665 | 5,981 | ||||||
Inphi Corp.(a) | 449 | 14,381 | ||||||
Integrated Device Technology, Inc.(a) | 1,311 | 26,390 | ||||||
Intersil Corp. Class A | 1,300 | 17,602 | ||||||
IXYS Corp. | 130 | 1,332 | ||||||
Kopin Corp.(a) | 400 | 888 | ||||||
Lattice Semiconductor Corp.(a) | 1,080 | 5,778 | ||||||
MACOM Technology Solutions Holdings, Inc.(a) | 252 | 8,311 | ||||||
Marvell Technology Group, Ltd. | 3,862 | 36,805 | ||||||
Maxim Integrated Products, Inc. | 2,825 | 100,824 | ||||||
MaxLinear, Inc. Class A(a) | 500 | 8,990 | ||||||
Microsemi Corp.(a) | 1,147 | 37,484 | ||||||
MKS Instruments, Inc. | 547 | 23,554 | ||||||
Monolithic Power Systems, Inc. | 377 | 25,757 | ||||||
Nanometrics, Inc.(a) | 200 | 4,158 | ||||||
NeoPhotonics Corp.(a) | 200 | 1,906 | ||||||
NVE Corp. | 26 | 1,525 | ||||||
ON Semiconductor Corp.(a) | 4,107 | 36,224 |
See Accompanying Notes to Financial Statements.
76
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Semiconductors & Semiconductor Equipment – (continued) |
| |||||||
PDF Solutions, Inc.(a) | 300 | $ | 4,197 | |||||
Photronics, Inc.(a) | 600 | 5,346 | ||||||
Power Integrations, Inc. | 300 | 15,021 | ||||||
Rambus, Inc.(a) | 1,200 | 14,496 | ||||||
Rudolph Technologies, Inc.(a) | 353 | 5,482 | ||||||
Semtech Corp.(a) | 632 | 15,080 | ||||||
Sigma Designs, Inc.(a) | 200 | 1,286 | ||||||
Silicon Laboratories, Inc.(a) | 429 | 20,909 | ||||||
SunPower Corp.(a) | 555 | 8,597 | ||||||
Synaptics, Inc.(a) | 338 | 18,167 | ||||||
Teradyne, Inc. | 1,975 | 38,888 | ||||||
Tessera Technologies, Inc. | 542 | 16,607 | ||||||
Ultra Clean Holdings, Inc.(a) | 200 | 1,138 | ||||||
Ultratech, Inc.(a) | 222 | 5,099 | ||||||
Veeco Instruments, Inc.(a) | 401 | 6,641 | ||||||
Xcerra Corp.(a) | 600 | 3,450 | ||||||
|
| |||||||
807,024 | ||||||||
|
| |||||||
Software – 4.5% |
| |||||||
A10 Networks, Inc.(a) | 400 | 2,588 | ||||||
ACI Worldwide, Inc.(a) | 1,100 | 21,461 | ||||||
American Software, Inc. Class A | 200 | 2,096 | ||||||
ANSYS, Inc.(a) | 844 | 76,593 | ||||||
Aspen Technology, Inc.(a) | 855 | 34,405 | ||||||
Atlassian Corp. PLC Class A(a) | 200 | 5,180 | ||||||
AVG Technologies NV(a) | 400 | 7,596 | ||||||
Barracuda Networks, Inc.(a) | 200 | 3,028 | ||||||
Blackbaud, Inc. | 453 | 30,759 | ||||||
Bottomline Technologies de, Inc.(a) | 400 | 8,612 | ||||||
BroadSoft, Inc.(a) | 312 | 12,801 | ||||||
Cadence Design Systems, Inc.(a) | 2,902 | 70,519 | ||||||
Callidus Software, Inc.(a) | 503 | 10,050 | ||||||
CDK Global, Inc. | 1,535 | 85,177 | ||||||
CommVault Systems, Inc.(a) | 442 | 19,090 | ||||||
Digimarc Corp.(a) | 40 | 1,278 | ||||||
Ebix, Inc. | 300 | 14,370 | ||||||
Ellie Mae, Inc.(a) | 290 | 26,578 | ||||||
EnerNOC, Inc.(a) | 200 | 1,264 | ||||||
Epiq Systems, Inc. | 300 | 4,380 | ||||||
Exa Corp.(a) | 100 | 1,445 | ||||||
Fair Isaac Corp. | 301 | 34,016 | ||||||
FireEye, Inc.(a) | 1,453 | 23,931 | ||||||
Fleetmatics Group PLC(a) | 400 | 17,332 | ||||||
Fortinet, Inc.(a) | 1,382 | 43,657 | ||||||
Gigamon, Inc.(a) | 300 | 11,217 | ||||||
Globant SA(a) | 300 | 11,805 | ||||||
Glu Mobile, Inc.(a) | 1,300 | 2,860 | ||||||
Guidewire Software, Inc.(a) | 706 | 43,603 | ||||||
HubSpot, Inc.(a) | 275 | 11,940 | ||||||
Imperva, Inc.(a) | 273 | 11,742 | ||||||
Infoblox, Inc.(a) | 517 | 9,699 | ||||||
Interactive Intelligence Group, Inc.(a) | 191 | 7,829 | ||||||
Jive Software, Inc.(a) | 250 | 940 | ||||||
Manhattan Associates, Inc.(a) | 706 | 45,276 | ||||||
Mentor Graphics Corp. | 1,000 | 21,260 | ||||||
MicroStrategy, Inc. Class A(a) | 92 | 16,102 | ||||||
Mitek Systems, Inc.(a) | 300 | 2,133 | ||||||
MobileIron, Inc.(a) | 404 | 1,232 | ||||||
Model N, Inc.(a) | 200 | 2,670 | ||||||
Monotype Imaging Holdings, Inc. | 393 | 9,680 | ||||||
NetSuite, Inc.(a) | 377 | 27,446 | ||||||
Nuance Communications, Inc.(a) | 2,123 | 33,182 | ||||||
Park City Group, Inc.(a) | 100 | 897 | ||||||
Paycom Software, Inc.(a) | 500 | 21,605 | ||||||
Paylocity Holding Corp.(a) | 200 | 8,640 | ||||||
Pegasystems, Inc. | 361 | 9,729 | ||||||
Progress Software Corp.(a) | 500 | 13,730 | ||||||
Proofpoint, Inc.(a) | 396 | 24,984 | ||||||
PROS Holdings, Inc.(a) | 200 | 3,486 | ||||||
PTC, Inc.(a) | 1,093 | 41,075 | ||||||
QAD, Inc. Class A | 100 | 1,927 | ||||||
Qlik Technologies, Inc.(a) | 900 | 26,622 | ||||||
Qualys, Inc.(a) | 264 | 7,870 | ||||||
Rapid7, Inc.(a) | 200 | 2,516 | ||||||
RealPage, Inc.(a) | 481 | 10,741 | ||||||
RingCentral, Inc. Class A(a) | 585 | 11,536 | ||||||
Rovi Corp.(a) | 800 | 12,512 | ||||||
Rubicon Project, Inc.(a) | 407 | 5,555 | ||||||
Sapiens International Corp. NV | 300 | 3,513 | ||||||
ServiceNow, Inc.(a) | 1,541 | 102,322 | ||||||
Silver Spring Networks, Inc.(a) | 300 | 3,645 | ||||||
Splunk, Inc.(a) | 1,284 | 69,567 | ||||||
SS&C Technologies Holdings, Inc. | 1,652 | 46,388 | ||||||
Synchronoss Technologies, Inc.(a) | 352 | 11,215 | ||||||
Synopsys, Inc.(a) | 1,483 | 80,201 | ||||||
Tableau Software, Inc. Class A(a) | 585 | 28,618 | ||||||
Take-Two Interactive Software, Inc.(a) | 850 | 32,232 | ||||||
Tangoe, Inc.(a) | 400 | 3,088 | ||||||
Telenav, Inc.(a) | 152 | 775 | ||||||
TiVo, Inc.(a) | 917 | 9,078 | ||||||
TubeMogul, Inc.(a) | 158 | 1,880 | ||||||
Tyler Technologies, Inc.(a) | 322 | 53,681 | ||||||
Ultimate Software Group, Inc.(a) | 275 | 57,830 | ||||||
Varonis Systems, Inc.(a) | 90 | 2,162 | ||||||
VASCO Data Security International, Inc.(a) | 300 | 4,917 | ||||||
Verint Systems, Inc.(a) | 629 | 20,839 | ||||||
VirnetX Holding Corp.(a) | 500 | 2,000 | ||||||
VMware, Inc. Class A(a) | 783 | 44,803 | ||||||
Workday, Inc. Class A(a) | 1,118 | 83,481 | ||||||
Workiva, Inc.(a) | 200 | 2,732 | ||||||
Xura, Inc.(a) | 174 | 4,251 | ||||||
Zendesk, Inc.(a) | 787 | 20,761 | ||||||
Zix Corp.(a) | 300 | 1,125 | ||||||
Zynga, Inc. Class A(a) | 6,500 | 16,185 | ||||||
|
| |||||||
1,739,536 | ||||||||
|
| |||||||
Specialty Retail – 1.9% |
| |||||||
Aaron’s, Inc. | 638 | 13,966 | ||||||
Abercrombie & Fitch Co. Class A | 696 | 12,396 | ||||||
America’s Car-Mart, Inc.(a) | 44 | 1,243 | ||||||
American Eagle Outfitters, Inc. | 1,750 | 27,877 | ||||||
Asbury Automotive Group, Inc.(a) | 222 | 11,708 | ||||||
Ascena Retail Group, Inc.(a) | 1,763 | 12,323 | ||||||
Barnes & Noble Education, Inc.(a) | 400 | 4,060 | ||||||
Barnes & Noble, Inc. | 554 | 6,288 | ||||||
Big 5 Sporting Goods Corp. | 100 | 927 | ||||||
Boot Barn Holdings, Inc.(a) | 100 | 862 | ||||||
Buckle, Inc. | 284 | 7,381 | ||||||
Build-A-Bear Workshop, Inc.(a) | 100 | 1,342 | ||||||
Burlington Stores, Inc.(a) | 678 | 45,229 | ||||||
Cabela’s, Inc.(a) | 553 | 27,683 |
See Accompanying Notes to Financial Statements.
77
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Specialty Retail – (continued) |
| |||||||
Caleres, Inc. | 400 | $ | 9,684 | |||||
Cato Corp. Class A | 300 | 11,316 | ||||||
Chico’s FAS, Inc. | 1,200 | 12,852 | ||||||
Children’s Place, Inc. | 181 | 14,513 | ||||||
Citi Trends, Inc. | 100 | 1,553 | ||||||
Conn’s, Inc.(a) | 143 | 1,075 | ||||||
Container Store Group, Inc.(a) | 100 | 535 | ||||||
CST Brands, Inc. | 783 | 33,732 | ||||||
Destination XL Group, Inc.(a) | 200 | 914 | ||||||
Dick’s Sporting Goods, Inc. | 877 | 39,518 | ||||||
DSW, Inc. Class A | 700 | 14,826 | ||||||
Express, Inc.(a) | 749 | 10,868 | ||||||
Finish Line, Inc. Class A | 400 | 8,076 | ||||||
Five Below, Inc.(a) | 554 | 25,711 | ||||||
Francesca’s Holdings Corp.(a) | 375 | 4,144 | ||||||
GameStop Corp. Class A | 1,000 | 26,580 | ||||||
Genesco, Inc.(a) | 205 | 13,183 | ||||||
GNC Holdings, Inc. Class A Class A | 703 | 17,076 | ||||||
Group 1 Automotive, Inc. | 252 | 12,439 | ||||||
Guess?, Inc. | 600 | 9,030 | ||||||
Haverty Furniture Cos., Inc. | 200 | 3,606 | ||||||
Hibbett Sports, Inc.(a) | 234 | 8,141 | ||||||
Kirkland’s, Inc.(a) | 100 | 1,468 | ||||||
Lithia Motors, Inc. Class A | 223 | 15,849 | ||||||
Lumber Liquidators Holdings, Inc.(a) | 176 | 2,714 | ||||||
MarineMax, Inc.(a) | 278 | 4,718 | ||||||
Mattress Firm Holding Corp.(a) | 251 | 8,421 | ||||||
Michaels Cos., Inc.(a) | 891 | 25,340 | ||||||
Monro Muffler Brake, Inc. | 298 | 18,941 | ||||||
Murphy USA, Inc.(a) | 394 | 29,219 | ||||||
Office Depot, Inc.(a) | 5,300 | 17,543 | ||||||
Outerwall, Inc. | 234 | 9,828 | ||||||
Party City Holdco, Inc.(a) | 200 | 2,782 | ||||||
Penske Automotive Group, Inc. | 377 | 11,860 | ||||||
Pier 1 Imports, Inc. | 800 | 4,112 | ||||||
Rent-A-Center, Inc. | 500 | 6,140 | ||||||
Restoration Hardware Holdings, Inc.(a) | 329 | 9,436 | ||||||
Sally Beauty Holdings, Inc.(a) | 1,385 | 40,733 | ||||||
Select Comfort Corp.(a) | 476 | 10,177 | ||||||
Shoe Carnival, Inc. | 100 | 2,506 | ||||||
Sonic Automotive, Inc. Class A | 300 | 5,133 | ||||||
Sportsman’s Warehouse Holdings, Inc.(a) | 100 | 806 | ||||||
Stage Stores, Inc. | 200 | 976 | ||||||
Stein Mart, Inc. | 153 | 1,181 | ||||||
Tailored Brands, Inc. | 452 | 5,722 | ||||||
Tile Shop Holdings, Inc.(a) | 319 | 6,342 | ||||||
Vitamin Shoppe, Inc.(a) | 300 | 9,171 | ||||||
West Marine, Inc.(a) | 182 | 1,527 | ||||||
Williams-Sonoma, Inc. | 848 | 44,206 | ||||||
Winmark Corp. | 12 | 1,196 | ||||||
Zumiez, Inc.(a) | 200 | 2,862 | ||||||
|
| |||||||
753,566 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.4% |
| |||||||
3D Systems Corp.(a) | 1,000 | 13,690 | ||||||
Avid Technology, Inc.(a) | 200 | 1,162 | ||||||
CPI Card Group, Inc. | 169 | 847 | ||||||
Cray, Inc.(a) | 366 | 10,951 | ||||||
Diebold, Inc. | 651 | 16,164 | ||||||
Eastman Kodak Co.(a) | 100 | 1,608 | ||||||
Electronics For Imaging, Inc.(a) | 505 | 21,735 | ||||||
Immersion Corp.(a) | 235 | 1,725 | ||||||
Lexmark International, Inc. Class A | 600 | 22,650 | ||||||
NCR Corp.(a) | 1,267 | 35,185 | ||||||
Nimble Storage, Inc.(a) | 600 | 4,776 | ||||||
Pure Storage, Inc. Class A(a) | 600 | 6,540 | ||||||
Silicon Graphics International Corp.(a) | 333 | 1,675 | ||||||
Stratasys, Ltd.(a) | 482 | 11,033 | ||||||
Super Micro Computer, Inc.(a) | 372 | 9,244 | ||||||
USA Technologies, Inc.(a) | 500 | 2,135 | ||||||
|
| |||||||
161,120 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.9% |
| |||||||
Carter’s, Inc. | 501 | 53,341 | ||||||
Columbia Sportswear Co. | 287 | 16,514 | ||||||
Crocs, Inc.(a) | 700 | 7,896 | ||||||
Culp, Inc. | 100 | 2,763 | ||||||
Deckers Outdoor Corp.(a) | 320 | 18,406 | ||||||
Delta Apparel, Inc.(a) | 100 | 2,255 | ||||||
Fossil Group, Inc.(a) | 400 | 11,412 | ||||||
G-III Apparel Group, Ltd.(a) | 481 | 21,991 | ||||||
Iconix Brand Group, Inc.(a) | 600 | 4,056 | ||||||
Kate Spade & Co.(a) | 1,200 | 24,732 | ||||||
lululemon athletica, Inc.(a) | 932 | 68,838 | ||||||
Movado Group, Inc. | 200 | 4,336 | ||||||
Oxford Industries, Inc. | 130 | 7,361 | ||||||
Perry Ellis International, Inc.(a) | 100 | 2,012 | ||||||
Sequential Brands Group, Inc.(a) | 310 | 2,474 | ||||||
Skechers U.S.A., Inc. Class A(a) | 1,247 | 37,061 | ||||||
Steven Madden, Ltd.(a) | 600 | 20,508 | ||||||
Superior Uniform Group, Inc. | 100 | 1,909 | ||||||
Tumi Holdings, Inc.(a) | 528 | 14,119 | ||||||
Unifi, Inc.(a) | 100 | 2,723 | ||||||
Vera Bradley, Inc.(a) | 200 | 2,834 | ||||||
Wolverine World Wide, Inc. | 1,000 | 20,320 | ||||||
|
| |||||||
347,861 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.0% |
| |||||||
Astoria Financial Corp. | 800 | 12,264 | ||||||
Bank Mutual Corp. | 500 | 3,840 | ||||||
BankFinancial Corp. | 100 | 1,199 | ||||||
Bear State Financial, Inc. | 200 | 1,886 | ||||||
Beneficial Bancorp, Inc.(a) | 800 | 10,176 | ||||||
BofI Holding, Inc.(a) | 600 | 10,626 | ||||||
BSB Bancorp, Inc.(a) | 79 | 1,789 | ||||||
Capitol Federal Financial, Inc. | 1,400 | 19,530 | ||||||
Charter Financial Corp. | 100 | 1,328 | ||||||
Clifton Bancorp, Inc. | 220 | 3,315 | ||||||
Dime Community Bancshares, Inc. | 300 | 5,103 | ||||||
Essent Group, Ltd.(a) | 700 | 15,267 | ||||||
EverBank Financial Corp. | 1,000 | 14,860 | ||||||
Federal Agricultural Mortgage Corp. Class C | 100 | 3,482 | ||||||
First Defiance Financial Corp. | 148 | 5,750 | ||||||
Flagstar Bancorp, Inc.(a) | 200 | 4,882 | ||||||
Fox Chase Bancorp, Inc. | 100 | 2,034 | ||||||
Hingham Institution for Savings | 13 | 1,598 | ||||||
Home Bancorp, Inc. | 100 | 2,747 | ||||||
HomeStreet, Inc.(a) | 274 | 5,458 |
See Accompanying Notes to Financial Statements.
78
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Thrifts & Mortgage Finance – (continued) |
| |||||||
Impac Mortgage Holdings, Inc.(a) | 89 | $ | 1,396 | |||||
Kearny Financial Corp. | 900 | 11,322 | ||||||
LendingTree, Inc.(a) | 48 | 4,240 | ||||||
Meridian Bancorp, Inc. | 500 | 7,390 | ||||||
Meta Financial Group, Inc. | 81 | 4,128 | ||||||
MGIC Investment Corp.(a) | 3,200 | 19,040 | ||||||
Nationstar Mortgage Holdings, Inc.(a) | 400 | 4,504 | ||||||
New York Community Bancorp, Inc. | 4,623 | 69,299 | ||||||
NMI Holdings, Inc. Class A(a) | 300 | 1,644 | ||||||
Northfield Bancorp, Inc. | 400 | 5,932 | ||||||
Northwest Bancshares, Inc. | 900 | 13,347 | ||||||
OceanFirst Financial Corp. | 200 | 3,634 | ||||||
Ocwen Financial Corp.(a) | 800 | 1,368 | ||||||
Oritani Financial Corp. | 400 | 6,396 | ||||||
PennyMac Financial Services, Inc. Class A(a) | 100 | 1,249 | ||||||
PHH Corp.(a) | 500 | 6,660 | ||||||
Provident Financial Services, Inc. | 600 | 11,784 | ||||||
Radian Group, Inc. | 2,100 | 21,882 | ||||||
SI Financial Group, Inc. | 100 | 1,324 | ||||||
Territorial Bancorp, Inc. | 55 | 1,456 | ||||||
TFS Financial Corp. | 629 | 10,831 | ||||||
TrustCo Bank Corp. NY | 900 | 5,769 | ||||||
United Community Financial Corp. | 300 | 1,824 | ||||||
United Financial Bancorp, Inc. | 500 | 6,490 | ||||||
Walker & Dunlop, Inc.(a) | 300 | 6,834 | ||||||
Walter Investment Management Corp.(a) | 200 | 552 | ||||||
Washington Federal, Inc. | 900 | 21,834 | ||||||
Waterstone Financial, Inc. | 200 | 3,066 | ||||||
WSFS Financial Corp. | 300 | 9,657 | ||||||
|
| |||||||
391,986 | ||||||||
|
| |||||||
Tobacco – 0.1% | ||||||||
Universal Corp. | 241 | 13,915 | ||||||
Vector Group, Ltd. | 800 | 17,936 | ||||||
|
| |||||||
31,851 | ||||||||
|
| |||||||
Trading Companies & Distributors – 0.9% |
| |||||||
Air Lease Corp. | 1,000 | 26,780 | ||||||
Aircastle, Ltd. | 600 | 11,736 | ||||||
Applied Industrial Technologies, Inc. | 361 | 16,296 | ||||||
Beacon Roofing Supply, Inc.(a) | 549 | 24,963 | ||||||
BMC Stock Holdings, Inc.(a) | 525 | 9,355 | ||||||
CAI International, Inc.(a) | 100 | 750 | ||||||
DXP Enterprises, Inc.(a) | 100 | 1,493 | ||||||
GATX Corp. | 385 | 16,928 | ||||||
GMS, Inc.(a) | 100 | 2,225 | ||||||
H&E Equipment Services, Inc. | 300 | 5,709 | ||||||
HD Supply Holdings, Inc.(a) | 1,930 | 67,203 | ||||||
Kaman Corp. | 299 | 12,713 | ||||||
MRC Global, Inc.(a) | 1,000 | 14,210 | ||||||
MSC Industrial Direct Co., Inc. Class A | 458 | 32,316 | ||||||
NOW, Inc.(a) | 1,000 | 18,140 | ||||||
Rush Enterprises, Inc. Class A(a) | 300 | 6,465 | ||||||
SiteOne Landscape Supply, Inc.(a) | 100 | 3,399 | ||||||
TAL International Group, Inc. | 300 | 4,023 | ||||||
Textainer Group Holdings, Ltd. | 200 | 2,228 | ||||||
Titan Machinery, Inc.(a) | 100 | 1,115 | ||||||
Univar, Inc.(a) | 401 | $ | 7,583 | |||||
Veritiv Corp.(a) | 91 | 3,420 | ||||||
Watsco, Inc. | 253 | 35,595 | ||||||
WESCO International, Inc.(a) | 428 | 22,038 | ||||||
|
| |||||||
346,683 | ||||||||
|
| |||||||
Transportation Infrastructure – 0.2% |
| |||||||
Macquarie Infrastructure Corp. | 716 | 53,020 | ||||||
Wesco Aircraft Holdings, Inc.(a) | 600 | 8,052 | ||||||
|
| |||||||
61,072 | ||||||||
|
| |||||||
Water Utilities – 0.3% | ||||||||
American States Water Co. | 346 | 15,162 | ||||||
Aqua America, Inc. | 1,715 | 61,157 | ||||||
Artesian Resources Corp. Class A | 51 | 1,730 | ||||||
California Water Service Group | 476 | 16,626 | ||||||
Connecticut Water Service, Inc. | 100 | 5,620 | ||||||
Consolidated Water Co., Ltd. | 100 | 1,306 | ||||||
Middlesex Water Co. | 200 | 8,676 | ||||||
SJW Corp. | 200 | 7,876 | ||||||
York Water Co. | 100 | 3,204 | ||||||
|
| |||||||
121,357 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.5% |
| |||||||
Boingo Wireless, Inc.(a) | 400 | 3,568 | ||||||
NII Holdings, Inc.(a) | 500 | 1,590 | ||||||
Shenandoah Telecommunications Co. | 450 | 17,577 | ||||||
Spok Holdings, Inc. | 200 | 3,833 | ||||||
Sprint Corp.(a) | 7,374 | 33,404 | ||||||
T-Mobile US, Inc.(a) | 2,841 | 122,930 | ||||||
Telephone & Data Systems, Inc. | 900 | 26,694 | ||||||
United States Cellular Corp.(a) | 100 | 3,927 | ||||||
|
| |||||||
213,523 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 37,931,028 | |||||||
|
| |||||||
RIGHTS – 0.0% | ||||||||
Dyax Corp. (CVR)(a) | 1,009 | 1,120 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 2.8% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(c)(d) | 1,096,938 | 1,096,938 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.2% | 39,029,086 | |||||||
Liabilities in Excess of | (82,080 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 38,947,006 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at June 30, 2016. |
Abbreviations:
CVR | Contingent Value Rights |
See Accompanying Notes to Financial Statements.
79
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
At June 30, 2016, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation | ||||||||||||
S&P 400 (long) | 09/16/2016 | 5 | $ | 746,500 | $ | 3,499 | ||||||||||
Russell 2000 (long) | 09/16/2016 | 3 | 344,220 | 953 | ||||||||||||
|
| |||||||||||||||
Total unrealized appreciation on open futures contracts purchased |
| $ | 4,452 | |||||||||||||
|
|
During the period ended June 30, 2016, average notional value related to futures contracts was $1,100,443 or 3% of net assets.
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 571,417 | $ | – | $ | – | $ | 571,417 | ||||||||
Air Freight & Logistics | 81,398 | – | – | 81,398 | ||||||||||||
Airlines | 167,702 | – | – | 167,702 | ||||||||||||
Auto Components | 307,621 | – | – | 307,621 | ||||||||||||
Automobiles | 280,577 | – | – | 280,577 | ||||||||||||
Banks | 2,272,269 | – | – | 2,272,269 | ||||||||||||
Beverages | 35,108 | – | – | 35,108 | ||||||||||||
Biotechnology | 1,426,705 | – | – | 1,426,705 | ||||||||||||
Building Products | 414,960 | – | – | 414,960 | ||||||||||||
Capital Markets | 551,763 | – | – | 551,763 | ||||||||||||
Chemicals | 933,331 | – | – | 933,331 | ||||||||||||
Commercial Services & Supplies | 596,594 | – | – | 596,594 | ||||||||||||
Communications Equipment | 534,313 | – | – | 534,313 | ||||||||||||
Construction & Engineering | 270,478 | – | – | 270,478 | ||||||||||||
Construction Materials | 70,609 | – | – | 70,609 | ||||||||||||
Consumer Finance | 223,601 | – | – | 223,601 | ||||||||||||
Containers & Packaging | 405,119 | – | – | 405,119 | ||||||||||||
Distributors | 61,680 | – | – | 61,680 | ||||||||||||
Diversified Consumer Services | 281,047 | – | – | 281,047 | ||||||||||||
Diversified Financial Services | 322,541 | – | – | 322,541 | ||||||||||||
Diversified Telecommunication Services | 299,961 | – | – | 299,961 | ||||||||||||
Electric Utilities | 521,411 | – | – | 521,411 | ||||||||||||
Electrical Equipment | 205,385 | – | – | 205,385 | ||||||||||||
Electronic Equipment, Instruments & Components | 1,017,492 | – | – | 1,017,492 | ||||||||||||
Energy Equipment & Services | 425,704 | – | – | 425,704 | ||||||||||||
Food & Staples Retailing | 273,336 | – | – | 273,336 | ||||||||||||
Food Products | 752,322 | – | – | 752,322 | ||||||||||||
Gas Utilities | 509,537 | – | – | 509,537 | ||||||||||||
Health Care Equipment & Supplies | 1,114,620 | – | – | 1,114,620 | ||||||||||||
Health Care Providers & Services | 784,715 | – | – | 784,715 | ||||||||||||
Health Care Technology | 242,515 | – | – | 242,515 | ||||||||||||
Hotels, Restaurants & Leisure | 1,363,016 | – | – | 1,363,016 | ||||||||||||
Household Durables | 391,574 | – | – | 391,574 | ||||||||||||
Household Products | 108,648 | – | – | 108,648 | ||||||||||||
Independent Power Producers & Energy Traders | 150,710 | – | – | 150,710 | ||||||||||||
Industrial Conglomerates | 72,992 | – | – | 72,992 | ||||||||||||
Insurance | 1,577,661 | – | – | 1,577,661 | ||||||||||||
Internet & Catalog Retail | 283,750 | – | – | 283,750 | ||||||||||||
Internet Software & Services | 993,511 | – | – | 993,511 | ||||||||||||
IT Services | 1,238,774 | – | – | 1,238,774 | ||||||||||||
Leisure Equipment & Products | 165,788 | – | – | 165,788 | ||||||||||||
Life Sciences Tools & Services | 456,711 | – | – | 456,711 | ||||||||||||
Machinery | 1,246,579 | – | – | 1,246,579 | ||||||||||||
Marine | 51,926 | – | – | 51,926 |
See Accompanying Notes to Financial Statements.
80
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Media | $ | 1,487,070 | $ | – | $ | – | $ | 1,487,070 | ||||||||
Metals & Mining | 453,421 | – | – | 453,421 | ||||||||||||
Multi-Utilities | 182,504 | – | – | 182,504 | ||||||||||||
Multiline Retail | 79,108 | – | – | 79,108 | ||||||||||||
Oil, Gas & Consumable Fuels | 994,780 | – | – | 994,780 | ||||||||||||
Paper & Forest Products | 113,724 | – | – | 113,724 | ||||||||||||
Personal Products | 173,080 | – | – | 173,080 | ||||||||||||
Pharmaceuticals | 322,625 | – | – | 322,625 | ||||||||||||
Professional Services | 353,127 | – | – | 353,127 | ||||||||||||
Real Estate Investment Trusts (REITs) | 4,275,218 | 640 | – | 4,275,858 | ||||||||||||
Real Estate Management & Development | 203,546 | – | – | 203,546 | ||||||||||||
Road & Rail | 259,135 | – | – | 259,135 | ||||||||||||
Semiconductors & Semiconductor Equipment | 807,024 | – | – | 807,024 | ||||||||||||
Software | 1,739,536 | – | – | 1,739,536 | ||||||||||||
Specialty Retail | 753,566 | – | – | 753,566 | ||||||||||||
Technology Hardware, Storage & Peripherals | 161,120 | – | – | 161,120 | ||||||||||||
Textiles, Apparel & Luxury Goods | 347,861 | – | – | 347,861 | ||||||||||||
Thrifts & Mortgage Finance | 391,986 | – | – | 391,986 | ||||||||||||
Tobacco | 31,851 | – | – | 31,851 | ||||||||||||
Trading Companies & Distributors | 346,683 | – | – | 346,683 | ||||||||||||
Transportation Infrastructure | 61,072 | – | – | 61,072 | ||||||||||||
Water Utilities | 121,357 | – | – | 121,357 | ||||||||||||
Wireless Telecommunication Services | 213,523 | – | – | 213,523 | ||||||||||||
Rights | ||||||||||||||||
Biotechnology | – | 1,120 | – | 1,120 | ||||||||||||
Short-Term Investment | 1,096,938 | – | – | 1,096,938 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 39,027,326 | $ | 1,760 | $ | – | $ | 39,029,086 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts (a) | 4,452 | – | – | 4,452 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments and Other Financial Instruments | $ | 39,031,778 | $ | 1,760 | $ | – | $ | 39,033,538 | ||||||||
|
|
|
|
|
|
|
|
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 976,457 | $ | 976,457 | 13,897,514 | 13,777,033 | 1,096,938 | $ | 1,096,938 | $ | 2,610 | $ | – |
See Accompanying Notes to Financial Statements.
81
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
June 30, 2016 (Unaudited)
State Street Aggregate Bond Index Portfolio | State Street Global Equity ex-U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | ||||||||||
Assets | ||||||||||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 97,946,556 | $ | 226,908,192 | $ | 37,932,148 | ||||||
Investments in affiliated issuers, at value (Note 2) | 6,119,299 | 5,417,303 | 1,096,938 | |||||||||
|
|
|
|
|
| |||||||
Total Investments | 104,065,855 | 232,325,495 | 39,029,086 | |||||||||
Foreign currency, at value | – | 1,493,915 | – | |||||||||
Cash at broker | – | 326,750 | 47,200 | |||||||||
Cash | 19,643 | – | 15,318 | |||||||||
Receivable from broker – variation margin on open futures contracts | – | 401,152 | 19,740 | |||||||||
Receivable for investments sold | 1,002,394 | 56,545 | 175,125 | |||||||||
Receivable for fund shares sold | 285,200 | 2,594,074 | 16,740 | |||||||||
Dividends and interest receivable – unaffiliated issuers (Note 2) | 516,113 | 671,352 | 48,024 | |||||||||
Dividends receivable – affiliated issuers (Note 2) | 2,195 | 841 | 521 | |||||||||
Receivable from Adviser (Note 5) | 31,411 | 56,498 | 16,180 | |||||||||
Receivable for foreign taxes recoverable | – | 253,806 | – | |||||||||
|
|
|
|
|
| |||||||
Total assets | 105,922,811 | 238,180,428 | 39,367,934 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Payable for investments purchased | 1,272,470 | 2,766,030 | 277,383 | |||||||||
Payable for when issued/delayed securities purchased | 5,750,450 | – | – | |||||||||
Payable for fund shares repurchased | 221,390 | 3,750 | 130,691 | |||||||||
Deferred foreign taxes payable | – | 18,956 | – | |||||||||
Advisory fee payable (Note 5) | 1,400 | 16 | 1 | |||||||||
Custodian fees payable (Note 5) | – | 38,413 | – | |||||||||
Registration and filing fees payable | 6,660 | 6,195 | 5,105 | |||||||||
Professional fees payable | 22,338 | 21,213 | 4,685 | |||||||||
Printing and postage fees payable | 5,114 | 5,626 | 139 | |||||||||
Accrued expenses and other liabilities | 450 | 6,452 | 2,924 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 7,280,272 | 2,866,651 | 420,928 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 98,642,539 | $ | 235,313,777 | $ | 38,947,006 | ||||||
|
|
|
|
|
| |||||||
Net assets consist of: | ||||||||||||
Paid-in Capital | $ | 95,891,312 | $ | 250,536,481 | $ | 39,236,216 | ||||||
Undistributed (distribution in excess of) net investment income (loss) | 5,814 | 3,216,825 | 287,964 | |||||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 34,088 | (1,606,424 | ) | 22,745 | ||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||
Investments** | 2,711,325 | (16,961,693 | ) | (604,371 | ) | |||||||
Foreign currency transactions | – | 2,768 | – | |||||||||
Futures contracts | – | 125,820 | 4,452 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 98,642,539 | $ | 235,313,777 | $ | 38,947,006 | ||||||
|
|
|
|
|
| |||||||
Net asset value per share | ||||||||||||
Net asset value per share | $ | 10.30 | $ | 8.48 | $ | 9.56 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding | 9,579,610 | 27,762,591 | 4,075,473 | |||||||||
|
|
|
|
|
| |||||||
Cost of Investments: | ||||||||||||
Investments in unaffiliated issuers | $ | 95,235,231 | $ | 243,850,929 | $ | 38,536,519 | ||||||
Investments in affiliated issuers | 6,119,299 | 5,417,303 | 1,096,938 | |||||||||
|
|
|
|
|
| |||||||
Total cost of investments | $ | 101,354,530 | $ | 249,268,232 | $ | 39,633,457 | ||||||
|
|
|
|
|
| |||||||
Foreign currency, at cost | $ | – | $ | 1,483,572 | $ | – | ||||||
|
|
|
|
|
| |||||||
**Includes deferred foreign taxes | $ | – | $ | 18,956 | $ | – | ||||||
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
82
Table of Contents
State Street Institutional Investment Trust
For the Six Months Ended June 30, 2016 (Unaudited)
State Street Aggregate Bond Index Portfolio | State Street Global Equity ex-U.S. Index Portfolio | State Street Small/Mid Cap Equity Index Portfolio | ||||||||||
Investment Income | ||||||||||||
Interest income | $ | 1,070,495 | $ | – | $ | 15 | ||||||
Dividend income – unaffiliated issuers (Note 2) | – | 3,700,111 | 291,421 | |||||||||
Dividend income – affiliated issuers (Note 2) | 19,952 | 5,686 | 2,610 | |||||||||
Foreign taxes withheld | – | (355,527 | ) | (453 | ) | |||||||
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Total investment income (loss) | 1,090,447 | 3,350,270 | 293,593 | |||||||||
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Expenses | ||||||||||||
Administration fees (Note 5) | 5,786 | 19,083 | 2,136 | |||||||||
Custodian fees (Note 5) | – | 127,362 | – | |||||||||
Trustees’ fees and expenses (Note 6) | 7,663 | 7,666 | 7,655 | |||||||||
Registration and filing fees | 2,749 | 5,027 | 5,613 | |||||||||
Professional fees | 63,815 | 62,688 | 38,779 | |||||||||
Printing and postage expenses | 5,787 | 5,811 | 2,797 | |||||||||
Insurance expense | 7,587 | 7,598 | – | |||||||||
Interest expense | – | 28 | 19 | |||||||||
Miscellaneous expenses | 1,083 | 3,900 | 1,477 | |||||||||
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Total expenses | 94,470 | 239,163 | 58,476 | |||||||||
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Expenses waived/reimbursed by the Adviser (Note 5) | (89,134 | ) | (180,285 | ) | (53,290 | ) | ||||||
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Net expenses | 5,336 | 58,878 | 5,186 | |||||||||
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Net Investment Income (loss) | 1,085,111 | 3,291,392 | 288,407 | |||||||||
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Realized and Unrealized Gain (loss) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions – unaffiliated issuers* | 163,057 | (674,739 | ) | 41,677 | ||||||||
Foreign currency transactions | – | (174,576 | ) | – | ||||||||
Futures contracts | – | 245,394 | 90,555 | |||||||||
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Net realized gain (loss) | 163,057 | (603,921 | ) | 132,232 | ||||||||
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Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investment transactions – unaffiliated issuers** | 3,551,645 | (3,048,449 | ) | 1,130,580 | ||||||||
Foreign currency transactions | – | 15,223 | – | |||||||||
Futures contracts | – | 62,370 | (12,890 | ) | ||||||||
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Net change in unrealized appreciation/depreciation | 3,551,645 | (2,970,856 | ) | 1,117,690 | ||||||||
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Net Realized and Unrealized Gain (loss) | 3,714,702 | (3,574,777 | ) | 1,249,922 | ||||||||
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Net Increase (Decrease) in Net Assets from Operations | $ | 4,799,813 | $ | (283,385 | ) | $ | 1,538,329 | |||||
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* Includes foreign capital gain taxes | $ | – | $ | (222 | ) | $ | – | |||||
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**Includes foreign deferred taxes | $ | – | $ | (18,956 | ) | $ | – | |||||
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See Accompanying Notes to Financial Statements.
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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 6/30/16 (Unaudited) | Year Ended 12/31/15 | Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||||||||||
Net investment income (loss) | $ | 1,085,111 | $ | 1,450,870 | $ | 3,291,392 | $ | 2,457,575 | ||||||||
Net realized gain (loss) | 163,057 | 516,297 | (603,921 | ) | (999,233 | ) | ||||||||||
Net change in unrealized appreciation/depreciation | 3,551,645 | (1,351,934 | ) | (2,970,856 | ) | (10,001,735 | ) | |||||||||
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Net increase (decrease) in net assets resulting from operations | 4,799,813 | 615,233 | (283,385 | ) | (8,543,393 | ) | ||||||||||
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Distributions to Shareholders From: | ||||||||||||||||
Net investment income | (1,054,049 | ) | (1,321,087 | ) | – | (2,500,924 | ) | |||||||||
Net realized gains | – | (939,187 | ) | – | – | |||||||||||
Return of capital | – | (143,433 | ) | – | – | |||||||||||
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Total distributions to shareholders | (1,054,049 | ) | (2,403,707 | ) | – | (2,500,924 | ) | |||||||||
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From Beneficial Interest Transactions: | ||||||||||||||||
Proceeds from sale of shares sold | 13,177,966 | 43,053,139 | 121,763,411 | 88,218,101 | ||||||||||||
Reinvestment of distributions | 1,054,049 | 2,403,707 | – | 2,500,924 | ||||||||||||
Cost of shares redeemed | (3,177,221 | ) | (39,871,948 | ) | (3,627,501 | ) | (11,674,037 | ) | ||||||||
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Net increase (decrease) in net assets from beneficial interest transactions | 11,054,794 | 5,584,898 | 118,135,910 | 79,044,988 | ||||||||||||
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Voluntary contribution from Adviser | – | 1,087 | – | 670 | ||||||||||||
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Net increase (decrease) in net assets during the period | 14,800,558 | 3,797,511 | 117,852,525 | 68,001,341 | ||||||||||||
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Net assets at beginning of period | 83,841,981 | 80,044,470 | 117,461,252 | 49,459,911 | ||||||||||||
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Net Assets at end of Period | $ | 98,642,539 | $ | 83,841,981 | $ | 235,313,777 | $ | 117,461,252 | ||||||||
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Undistributed (distribution in excess of) net investment income (loss) | $ | 5,814 | $ | (25,248 | ) | $ | 3,216,825 | $ | (74,567 | ) | ||||||
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Shares of Beneficial Interest: | ||||||||||||||||
Shares sold | 1,312,781 | 4,249,283 | 14,301,388 | 9,497,332 | ||||||||||||
Reinvestment of distributions | 103,916 | 239,374 | – | 300,231 | ||||||||||||
Shares redeemed | (314,311 | ) | (3,906,083 | ) | (441,511 | ) | (1,291,303 | ) | ||||||||
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Net increase (decrease) | 1,102,386 | 582,574 | 13,859,877 | 8,506,260 | ||||||||||||
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* | Inception date. |
See Accompanying Notes to Financial Statements.
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State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Small/Mid Cap Equity Index Portfolio | ||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15* | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 288,407 | $ | 159,432 | ||||
Net realized gain (loss) | 132,232 | (72,317 | ) | |||||
Net change in unrealized appreciation/depreciation | 1,117,690 | (1,717,609 | ) | |||||
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Net increase (decrease) in net assets resulting from operations | 1,538,329 | (1,630,494 | ) | |||||
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Distributions to Shareholders From: | ||||||||
Net investment income | – | (170,569 | ) | |||||
Net realized gains | – | (37,397 | ) | |||||
Return of capital | – | – | ||||||
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Total distributions to shareholders | – | (207,966 | ) | |||||
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From Beneficial Interest Transactions: | ||||||||
Proceeds from sale of shares sold | 10,303,964 | 32,157,103 | ||||||
Reinvestment of distributions | – | 207,966 | ||||||
Cost of shares redeemed | (1,046,583 | ) | (2,375,313 | ) | ||||
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Net increase (decrease) in net assets from beneficial interest transactions | 9,257,381 | 29,989,756 | ||||||
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Voluntary contribution from Adviser | – | – | ||||||
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Net increase (decrease) in net assets during the period | 10,795,710 | 28,151,296 | ||||||
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Net assets at beginning of period | 28,151,296 | – | ||||||
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Net Assets at end of Period | $ | 38,947,006 | $ | 28,151,296 | ||||
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Undistributed (distribution in excess of) net investment income (loss) | $ | 287,964 | $ | (443 | ) | |||
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Shares of Beneficial Interest: | ||||||||
Shares sold | 1,165,282 | 3,259,393 | ||||||
Reinvestment of distributions | – | 22,778 | ||||||
Shares redeemed | (118,109 | ) | (253,871 | ) | ||||
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Net increase (decrease) | 1,047,173 | 3,028,300 | ||||||
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* | Inception date. |
See Accompanying Notes to Financial Statements.
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State Street Institutional Investment Trust
Selected data for a share outstanding throughout each period
State Street Aggregate Bond Index Portfolio | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For thePeriod 9/19/14* – 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.89 | $ | 10.14 | $ | 10.00 | ||||||
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Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.12 | 0.20 | 0.04 | |||||||||
Net realized and unrealized gain (loss) | 0.40 | (0.13 | ) | 0.16 | ||||||||
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Total from investment operations | 0.52 | 0.07 | 0.20 | |||||||||
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Voluntary contribution from Adviser | – | 0.00 | (b) | 0.00 | (b) | |||||||
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Distributions to shareholders from: | ||||||||||||
Net investment income | (0.11 | ) | (0.19 | ) | (0.04 | ) | ||||||
Net realized gains | – | (0.11 | ) | (0.02 | ) | |||||||
Return of capital | – | (0.02 | ) | – | ||||||||
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Total distributions | (0.11 | ) | (0.32 | ) | (0.06 | ) | ||||||
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Net asset value, end of period | $ | 10.30 | $ | 9.89 | $ | 10.14 | ||||||
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Total return(c) | 5.31 | %(d) | 0.65 | %(e) | 2.00 | %(d)(f) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 98,643 | $ | 83,842 | $ | 80,044 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.20 | %(g) | 0.17 | % | 0.25 | %(g) | ||||||
Net expenses | 0.01 | %(g) | 0.03 | % | 0.04 | %(g) | ||||||
Net investment income (loss) | 2.32 | %(g) | 2.00 | % | 1.52 | %(g) | ||||||
Portfolio turnover rate | 111 | %(d) | 62 | % | 16 | %(d) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Not annualized. |
(e) | If the Adviser had not made a voluntary contribution during the year ended 12/31/15, the total return would have decreased by less than 0.005%. |
(f) | 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%. |
(g) | Annualized. |
See Accompanying Notes to Financial Statements.
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State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Global Equity ex-U.S. Index Portfolio | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 9/17/14* – 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 8.45 | $ | 9.17 | $ | 10.00 | ||||||
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Income (loss) from investment operations: | ||||||||||||
Net investment income (loss)(a) | 0.17 | 0.25 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | (0.14 | ) | (0.79 | ) | (0.82 | ) | ||||||
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Total from investment operations | 0.03 | (0.54 | ) | (0.77 | ) | |||||||
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Voluntary contribution from Adviser | – | 0.00 | (b) | 0.00 | (b) | |||||||
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Distributions to shareholders from: | ||||||||||||
Net investment income | – | (0.18 | ) | (0.06 | ) | |||||||
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Net asset value, end of period | $ | 8.48 | $ | 8.45 | $ | 9.17 | ||||||
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Total return(c) | 0.36 | %(d) | (5.84 | )%(e) | (7.72 | )%(d)(f) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 235,314 | $ | 117,461 | $ | 49,460 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.30 | %(g) | 0.48 | % | 0.73 | %(g) | ||||||
Net expenses | 0.07 | %(g) | 0.08 | % | 0.31 | %(g) | ||||||
Net investment income (loss) | 4.17 | %(g) | 2.73 | % | 1.77 | %(g) | ||||||
Portfolio turnover rate | 1 | %(d) | 3 | % | 0 | %(d) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Not annualized. |
(e) | If the Adviser had not made a voluntary contribution during the year ended 12/31/15, the total return would have decreased by less than 0.005%. |
(f) | 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%. |
(g) | Annualized. |
See Accompanying Notes to Financial Statements.
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Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Small/Mid Cap Equity Index Portfolio | ||||||||
Six Months Ended 6/30/16 (Unaudited) | For the Period 8/12/15* – 12/31/15 | |||||||
Net asset value, beginning of period | $ | 9.30 | $ | 10.00 | ||||
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Income (loss) from investment operations: | ||||||||
Net investment income (loss)(a) | 0.08 | 0.06 | ||||||
Net realized and unrealized gain (loss) | 0.18 | (0.69 | ) | |||||
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Total from investment operations | 0.26 | (0.63 | ) | |||||
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Distributions to shareholders from: | ||||||||
Net investment income | – | (0.06 | ) | |||||
Net realized gains | – | (0.01 | ) | |||||
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Total distributions | – | (0.07 | ) | |||||
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Net asset value, end of period | $ | 9.56 | $ | 9.30 | ||||
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Total return(b) | 2.80 | %(c) | 6.30 | %(c) | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 38,947 | $ | 28,151 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.36 | %(d) | 0.41 | %(d) | ||||
Net expenses | 0.03 | %(d) | 0.03 | %(d) | ||||
Net investment income (loss) | 1.75 | %(d) | 1.61 | %(d) | ||||
Portfolio turnover rate | 10 | %(c) | 8 | %(c) |
* | 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 Accompanying Notes to Financial Statements.
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State Street Institutional Investment Trust
Notes to Financial Statements
June 30, 2016 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on February 16, 2000.
As of June 30, 2016, the Trust consists of forty-seven (47) series and corresponding classes, each of which have the same rights and privileges, including voting rights (each a “Fund” or “Portfolio”, and collectively, the “Funds” or “Portfolios”). The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate to the following funds:
Fund | Classes | Commencement of Operations | Diversification Classification | |||
State Street Aggregate Bond Index Fund | Class A Class I Class K Class C | September 19, 2014 September 19, 2014 September 19, 2014 Not commenced | Diversified Diversified Diversified Diversified | |||
State Street Global Equity ex-U.S. Index Fund | Class A Class I Class K Class C | September 17, 2014 September 17, 2014 September 17, 2014 Not commenced | Diversified Diversified Diversified Diversified | |||
State Street Small/Mid Cap Equity Index Fund | Class A Class I Class K Class C | October 16, 2015 October 16, 2015 August 12, 2015 Not commenced | Diversified Diversified Diversified Diversified | |||
State Street Aggregate Bond Index Portfolio | September 19, 2014 | Diversified | ||||
State Street Global Equity ex-U.S. Index Portfolio | September 17, 2014 | Diversified | ||||
State Street Small/Mid Cap Equity Index Portfolio | August 12, 2015 | Diversified |
Each Fund is part of a master-feeder structure and invests substantially all of its assets in its respective master portfolio: the State Street Aggregate Bond Index Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Index Portfolio. Each Portfolio is a separate series of State Street Institutional Investment Trust (the “Trust”). The performance of each Fund is directly affected by the performance of its respective Portfolio.
Feeder Fund | % Investment in Master | Master Fund | ||||
State Street Aggregate Bond Index Fund | 59.98 | % | State Street Aggregate Bond Index Portfolio | |||
State Street Global Equity ex-U.S. Index Fund | 63.30 | % | State Street Global Equity ex-U.S. Index Portfolio | |||
State Street Small/Mid Cap Equity Index Fund | 10.88 | % | State Street Small/Mid Cap Equity Index Portfolio |
89
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Class A shares are available to the general public for investment through transaction-based financial intermediaries. Class A shares impose a sales charge (as a percentage of offering price) and may be subject to a 1% contingent deferred sales charge (“CDSC”) if no initial sales charge was paid at the time of purchase of an investment of $1,000,000 or more and the shares are redeemed within 18 months of purchase. Class I shares, Class K shares and Class C 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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund and Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund records its investments in its respective Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolios is discussed below:
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 each Portfolio’s listing exchange is not open. Fair value is generally defined as the price a fund would receive to sell and 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 Portfolios are valued pursuant to policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolios. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value each Portfolio’s investments by major category are as follows:
• | Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
• | Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no prices are obtained from pricing services or brokers, valuation will be based upon the intrinsic value, pursuant to the valuation policy and procedures approved by the Board. |
• | 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. |
• | Debt obligations (both governmental and non-governmental) that are short term in nature (with a maturity of sixty days or less at purchase) and investment grade are valued using the amortized cost method as long as the amortized cost value of a particular portfolio instrument is reasonably determined to approximate the fair value of that investment established using market-based and issuer-specific factors or at a price obtained from an independent pricing service. |
• | 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 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. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
Fair value pricing could result in a difference between the prices used to calculate a Portfolio’s net asset value and the prices used by the Portfolios’ underlying benchmarks. Various inputs are used in determining the value of the Portfolios’ investments.
The Portfolios value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
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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 assets or liabilities either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of each Portfolio’s investments according to the fair value hierarchy as of June 30, 2016, is disclosed in each Portfolio’s respective Schedule 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.
For the six months ended June 30, 2016, there were no transfers between levels for the State Street Aggregate Bond Index Portfolio and the State Street Small/Mid Cap Equity Index Portfolio. The State Street Global Equity ex-U.S. Index Portfolio had transfers from Level 2 to Level 1 during the period ended June 30, 2016 in the amount of $3,995,998. At June 30, 2016, these investments were value at exchange closing prices in accordance with Portfolio’s valuation policy. At prior period ended December 31, 2015, these investments applied factor prices provided by an independent third party in accordance with the Portfolio’s valuation policy and procedures.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. Distributions received by the Portfolios may include a return of capital that is estimated by management. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.
Certain Portfolios invest in Real Estate Investment Trusts (REITs). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolios’ policy is to record all REIT distributions initially as dividend income and re-designate the prior calendar year’s return of capital or capital gains distributions at year end based on information provided by the REIT and/or SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.
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Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Expenses
Certain expenses, which are directly identifiable to a specific fund or portfolio, are applied to that fund within the Trust. Other expenses which cannot be attributed to a specific fund or portfolio 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 and Portfolios within the Trust. Class specific expenses are borne by each class.
Foreign Currency Translation
The accounting records of the Portfolios are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes
The Portfolios may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolios invest. These foreign taxes, if any, are paid by the Portfolios and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2016, if any, are disclosed in the Portfolios’ Statements of Assets and Liabilities.
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, the State Street Global Equity ex-U.S. Index Portfolio, the State Street Small/Mid Cap Equity Index Fund, and the State Street Small/Mid Cap Equity Index Portfolio.
Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Securities and Other Investments |
Delayed Delivery Transactions and When-Issued Securities
During the period, certain Portfolios transacted in securities on a delayed delivery or when-issued basis. Payment and delivery may take place after the customary settlement period for that security. The price
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Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
of the underlying securities and the date when the securities will be delivered and paid for are fixed at the time the transaction is negotiated. The securities purchased on a delayed delivery or when-issued basis are identified as such in each applicable Portfolio’s Schedule of Investments. The Portfolios may receive compensation for interest forgone in the purchase of a delayed delivery or when-issued security. With respect to purchase commitments, the Portfolios identify securities as segregated in its records with a value at least equal to the amount of the commitment. Losses may arise due to changes in the value of the underlying securities or if the counterparty does not perform under the contract’s terms, or if the issuer does not issue the securities due to political, economic or other factors.
4. | Derivative Financial Instruments |
Futures Contracts
Certain Portfolios may enter into futures contracts to meet the Portfolios’ objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Portfolios equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Portfolios recognize a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended June 30, 2016, the following Portfolios entered into futures contracts for the strategies listed below:
Portfolio | Strategies | |
State Street Global Equity ex-U.S. Index Portfolio | Cash equalization and return enhancement | |
State Street Small/Mid Cap Equity Index Portfolio | Cash equalization and return enhancement |
The following tables summarize the value of the Portfolios’ derivative instruments as of June 30, 2016, and the related location in the accompanying Statements of Assets and Liabilities and Statements of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Equity Contracts Risk | Total | |||||||
State Street Global Equity ex-U.S. Index Portfolio | ||||||||
Futures Contracts(a) | $ | 125,592 | $ | 125,592 | ||||
State Street Small/Mid Cap Equity Index Portfolio | ||||||||
Futures Contracts(a) | 4,452 | 4,452 |
(a) | Unrealized appreciation on open futures contracts. Only unsettled receivable/payable for variation margin is reported within the Statement of Assets and Liabilities. |
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Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Net Realized Gain (Loss)
Equity Contracts Risk | Total | |||||||
State Street Global Equity ex-U.S. Index Portfolio | ||||||||
Futures Contracts(a) | $ | 245,394 | $ | 245,394 | ||||
State Street Small/Mid Cap Equity Index Portfolio | ||||||||
Futures Contracts(a) | 90,555 | 90,555 |
(a) | Net realized gain/loss on futures contracts. |
Net Change in Unrealized Appreciation (Depreciation)
Equity Contracts Risk | Total | |||||||
State Street Global Equity ex-U.S. Index Portfolio | ||||||||
Futures Contracts(a) | $ | 62,370 | $ | 62,370 | ||||
State Street Small/Mid Cap Equity Index Portfolio | ||||||||
Futures Contracts(a) | (12,890 | ) | (12,890 | ) |
(a) | Net change in unrealized appreciation (depreciation) on futures contracts. |
5. | Fees and Transactions with Affiliates |
Advisory Fee
The Funds and Portfolios retained SSGA FM as their investment adviser. Each Fund has entered into an Investment Advisory Agreement with the Adviser. For its advisory services, each Fund pays the Adviser a fee accrued daily and paid monthly, based on a percentage of each Fund’s average daily net assets as shown in the following table:
Fund | ||||
State Street Aggregate Bond Index Fund | 0.03 | % | ||
State Street Global Equity ex-U.S. Index Fund | 0.06 | % | ||
State Street Small/Mid Cap Equity Index Fund | 0.03 | % |
The Portfolios pay no investment advisory fees to SSGA FM.
SSGA FM is contractually obligated until April 30, 2017, to waive its management fee and/or to reimburse the State Street Aggregate Bond Index Fund, the State Street Global Equity ex-U.S. Index Fund and the State Street Small/Mid Cap Equity Index Fund for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and expenses and any class-specific expenses, such as distribution, shareholder servicing, sub-transfer agency and administration fees) exceed 0.04%, 0.10% and 0.03%, 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’ Board.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
SSGA FM is contractually obligated until April 30, 2017, to waive its management fee and/or to reimburse State Street Aggregate Bond Index Portfolio, the State Street Global Equity ex-U.S. Index Portfolio and the State Street Small/Mid Equity Index Portfolio for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and expenses and any class specific expenses such as, distribution, shareholder servicing and sub transfer agency expenses) exceed 0.04%, 0.08% and 0.03%, 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.
For the period ended June 30, 2016, SSGA FM reimbursed or waived the fees under these agreements as shown on the respective Statements of Operations.
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”) serves as custodian and sub-administrator to the Funds. For its administration services, each Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets. The fees are accrued daily and paid monthly. For its services as custodian, each Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.
SSGA FM serves as administrator and State Street serves as the custodian, sub-administrator and transfer agent to the Portfolios. For its administration services, each Portfolio pays SSGA FM an annual fee. The fees are accrued daily and paid monthly. SSGA FM pays State Street for its services as custodian, sub-administrator and transfer agent to the Portfolios.
Transfer Agent Fees
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.
Distribution Fees
State Street Global Markets LLC (the “Distributor” or “SSGM”) 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 the Distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to 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. 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 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.
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Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Other Transactions with Affiliates
The Portfolios may invest in affiliated entities, including securities issued by State Street Corp., affiliated funds, or entities deemed to be affiliates as a result of a Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2016 are disclosed in the applicable Schedules of Investments.
6. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Portfolios. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
7. | Investment Transactions |
Purchases and sales of investments (excluding in-kind transactions, short term investments and derivative contracts) for the period ended June 30, 2016, were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
State Street Aggregate Bond Index Portfolio | $ | 109,089,025 | $ | 101,450,737 | $ | 5,973,622 | $ | 1,773,725 | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | – | – | 118,651,894 | 2,127,839 | ||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | – | – | 12,815,041 | 3,134,012 |
8. | Income Tax Information |
The Funds and the Portfolios have qualified and intend to continue to qualify for as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund and each Portfolio will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds and Portfolios file federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Funds’ and Portfolios’ tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
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Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
At June 30, 2016, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
State Street Aggregate Bond Index Portfolio | $ | 101,354,530 | $ | 2,847,167 | $ | 135,842 | $ | 2,711,325 | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | 249,268,232 | 7,383,296 | 24,326,033 | (16,942,737 | ) | |||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 39,646,285 | 2,790,382 | 3,407,581 | (617,199 | ) |
9. | Line of Credit |
Certain Portfolios and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The agreement expires in October 2016 unless extended or renewed. Prior to October 14, 2015, the participants could borrow up to $300 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreements. The following Funds participate in the credit facility:
State Street Global Equity ex-U.S. Index Portfolio
State Street Aggregate Bond Index Portfolio
State Street Small/Mid Cap Equity Index Fund
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses and are paid by the Adviser. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of the New York Fed Bank Rate plus 1%. The Portfolios had no outstanding loans during the period ended June 30, 2016.
10. | Risks |
Concentration Risk
As a result of the Portfolios’ ability to invest a large percentage of their assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolios’ investments more than if the Portfolios were more broadly diversified.
Foreign and Emerging Markets Risks
Investing in foreign markets involve risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolios’ invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Market and Credit Risk
In the normal course of business, the Portfolios trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
11. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Funds and Portfolios through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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Other Information
June 30, 2016 (Unaudited)
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Aggregate Bond Index Fund | ||||||||||||||||||||
Class A | 0.36 | % | $ | 1,051.30 | $ | 1.84 | $ | 1,023.10 | $ | 1.81 | ||||||||||
Class I | 0.06 | 1,053.40 | 0.31 | 1,024.60 | 0.30 | |||||||||||||||
Class K | 0.06 | 1,052.40 | 0.31 | 1,024.60 | 0.30 | |||||||||||||||
State Street Global Equity ex-U.S. Index Fund | ||||||||||||||||||||
Class A | 0.33 | 1,002.40 | 1.64 | 1,023.20 | 1.66 | |||||||||||||||
Class I | 0.07 | 1,003.60 | 0.35 | 1,024.50 | 0.35 | |||||||||||||||
Class K | 0.08 | 1,003.60 | 0.40 | 1,024.50 | 0.40 |
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Other Information — (continued)
June 30, 2016 (Unaudited)
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Small/Mid Cap Equity Index Fund | ||||||||||||||||||||
Class A | 0.30 | % | $ | 1,022.50 | $ | 1.51 | $ | 1,023.40 | $ | 1.51 | ||||||||||
Class I | 0.05 | 1,023.60 | 0.25 | 1,024.60 | 0.25 | |||||||||||||||
Class K | 0.05 | 1,025.80 | 0.25 | 1,024.60 | 0.25 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Aggregate Bond Index Portfolio | 0.01 | % | $ | 1,053.10 | $ | 0.05 | $ | 1,024.80 | $ | 0.05 | ||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 0.07 | 1,003.60 | 0.35 | 1,024.50 | 0.35 | |||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 0.03 | 1,028.00 | 0.15 | 1,024.70 | 0.15 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ 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, at www.sec.gov.
Information regarding how the investment adviser 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 Funds’ website at www.ssgafunds.com.
The Portfolios file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ 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 the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Funds’ website at www.ssgafunds.com.
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State Street Master Funds and State Street Institutional Investment Trust
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 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 on April 14-15, 2016 and May 19-20, 2016, including in Executive Sessions attended by the Independent Trustees, 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. (“SSGA FM” or 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 who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 14-15, 2016 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 19-20, 2016 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, 2015, 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; |
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 Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
2 | 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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• | 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 |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
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; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | 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 services provided to the Funds by SSGA FM in its capacity as the Fund’s administrator (the “Administrator”); |
• | 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, sub-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; |
• | Draft responses to a letter 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: |
• | SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to the Funds and its approximate profit margins before taxes from such |
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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, 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 SSGA FM and State Street with respect to State Street Master Funds and State Street Institutional Investment Trust, and the Distributor with respect to State Street Institutional Investment providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 19-20, 2016; |
• | Materials provided by Broadridge Financial Solutions, Inc., the successor by acquisition to the producer of Lipper materials used in previous years (“Broadridge”), 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 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 19-20, 2016 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, 2016, 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
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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 SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the 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, 2015. For purposes of these comparisons the Independent Trustees relied extensively on the “Performance Group,” “Performance Universe” and “Broadridge Index” constructed by Broadridge for each of the Funds and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of your Fund(s):
State Street Global Equity ex-U.S. Index Fund. The Board considered that the Fund underperformed the median of its Performance Universe and its Broadridge Index for the 1-year period. The Board took into account management’s discussion of the Fund’s performance and noted the Fund’s limited performance history.
State Street Aggregate Bond Index Fund. The Board considered that the Fund’s outperformed the medians of its Performance Group and Performance Universe and its Broadridge Index for the 1-year period.
State Street Small/Mid Cap Equity Index Fund. The Board considered that the Fund’s performance was equal to the median of its Performance Group and underperformed the median of its Performance Universe and its Broadridge Index since its inception on August 11, 2015. The Board took into account management’s discussion of the Fund’s performance and its 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, including the portion attributable to administrative services provided by SSGA FM, and total
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expense ratio (both before and after giving effect to any expense caps), as compared to its “Expense Group” and “Expense Universe,” as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser 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 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 below the medians of its Expense Group and Expense Universe.
State Street Global Equity ex-U.S. Index Portfolio. The Board considered that the Fund does not pay a management fee to the Adviser.
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 below the medians of its Expense Group and 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 Small/Mid Cap Equity 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 Small/Mid Cap Equity Index Portfolio. The Board considered that the Fund does not pay a management fee to the Adviser.
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 SSGA FM and Affiliated Service Providers, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
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,
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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
Michael F. Holland
Michael A. Jessee
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 02119
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
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 | SSITCORESAR IBG-20866 |
The information contained in this report with respect to the Fund is intended for the general information of shareholders of the Fund and the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
The information contained in this report with respect to the Portfolio is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
Semi-Annual Report
30 June 2016
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Semi-Annual Report
June 30, 2016 (Unaudited)
1 | ||||
2 | ||||
4 | ||||
5 | ||||
6 | ||||
7 | ||||
9 | ||||
16 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Portfolio Composition* | June 30, 2016 | |||
Common Stocks | 100.0 | % | ||
Short-Term Investment | 2.2 | |||
Liabilities in Excess of Other Assets | (2.2 | ) | ||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investment)* | June 30, 2016 | |||
REITS – Diversified | 24.1 | % | ||
REITS – Shopping Centers | 15.8 | |||
REITS – Regional Malls | 11.1 | |||
REITS – Health Care | 8.9 | |||
REITS – Apartments | 8.4 | |||
Total | 68.3 | % |
* | As a percentage of net assets as of the date indicated. The Fund’s composition will vary over time. |
See accompanying notes to financial statements.
1
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 100.0% | ||||||||
Australia – 5.8% | ||||||||
GPT Group REIT(a) | 13,079 | $ | 53,102 | |||||
Mirvac Group REIT(a) | 18,853 | 28,626 | ||||||
Scentre Group REIT(a) | 30,008 | 110,970 | ||||||
Westfield Corp.(a) | 14,985 | 120,176 | ||||||
|
| |||||||
312,874 | ||||||||
|
| |||||||
Canada – 0.9% | ||||||||
Smart Real Estate Investment Trust REIT | 1,600 | 47,062 | ||||||
|
| |||||||
France – 6.1% | ||||||||
Gecina SA REIT(a) | 463 | 62,780 | ||||||
Klepierre REIT(a) | 2,568 | 113,436 | ||||||
Unibail-Rodamco SE REIT | 586 | 152,110 | ||||||
|
| |||||||
328,326 | ||||||||
|
| |||||||
Germany – 3.3% | ||||||||
Deutsche EuroShop AG(a) | 1,399 | 64,110 | ||||||
LEG Immobilien AG(a)(b) | 1,215 | 113,808 | ||||||
|
| |||||||
177,918 | ||||||||
|
| |||||||
Hong Kong – 2.0% | ||||||||
Link REIT(a) | 15,900 | 108,730 | ||||||
|
| |||||||
Japan – 9.0% | ||||||||
Daito Trust Construction Co., Ltd.(a) | 140 | 22,880 | ||||||
Fukuoka Corp. REIT(a) | 36 | 71,695 | ||||||
Hulic, Inc. REIT(a) | 10 | 18,352 | ||||||
Invincible Investment Corp. REIT(a) | 11 | 6,999 | ||||||
Japan Retail Fund Investment Corp. REIT(a) | 33 | 84,819 | ||||||
Kenedix Office Investment Corp. REIT(a) | 17 | 101,985 | ||||||
Mori Hills Investment Corp. REIT(a) | 31 | 48,991 | ||||||
Nippon Prologis, Inc. REIT(a) | 30 | 73,771 | ||||||
Orix JREIT, Inc. REIT(a) | 34 | 58,940 | ||||||
|
| |||||||
488,432 | ||||||||
|
| |||||||
Netherlands – 0.8% | ||||||||
Eurocommercial Properties NV(a) | 1,015 | 43,272 | ||||||
|
| |||||||
Singapore – 0.8% | ||||||||
Ascendas REIT(a) | 24,700 | 45,754 | ||||||
|
| |||||||
Spain – 0.8% | ||||||||
Hispania Activos Inmobiliarios SOCIMI SA(a) | 3,919 | 45,897 | ||||||
|
| |||||||
Sweden – 0.7% | ||||||||
Hufvudstaden AB Class A(a) | 2,396 | 37,553 | ||||||
|
| |||||||
United Kingdom – 4.9% | ||||||||
Big Yellow Group PLC REIT(a) | 2,940 | 30,742 | ||||||
British Land Co. PLC REIT(a) | 13,006 | 106,040 | ||||||
Hammerson PLC(a) | 3,157 | 22,833 | ||||||
Land Securities Group PLC REIT(a) | 6,378 | 89,123 | ||||||
ST Modwen Properties PLC(a) | 3,991 | 14,384 | ||||||
|
| |||||||
263,122 | ||||||||
|
| |||||||
United States – 64.9% | ||||||||
AvalonBay Communities, Inc. REIT | 1,000 | 180,390 | ||||||
Boston Properties, Inc. REIT | 200 | 26,380 | ||||||
Crown Castle International Corp. REIT | 500 | 50,715 | ||||||
CubeSmart REIT | 3,400 | 104,992 | ||||||
DDR Corp. REIT | 5,300 | 96,142 | ||||||
Digital Realty Trust, Inc. REIT | 1,100 | 119,889 | ||||||
Equity Residential REIT | 3,300 | 227,304 | ||||||
Gaming and Leisure Properties, Inc. | 2,400 | 82,752 | ||||||
General Growth Properties, Inc. REIT | 6,016 | 179,397 | ||||||
Healthcare Realty Trust, Inc. REIT | 2,200 | 76,978 | ||||||
Host Hotels & Resorts, Inc. REIT | 3,900 | 63,219 | ||||||
Kilroy Realty Corp. REIT | 1,400 | 92,806 | ||||||
Kimco Realty Corp. REIT | 4,400 | 138,072 | ||||||
Liberty Property Trust REIT | 2,300 | 91,356 | ||||||
MGM Growth Properties LLC Class A, REIT | 1,609 | 42,928 | ||||||
Paramount Group, Inc. REIT | 2,300 | 36,662 | ||||||
Post Properties, Inc. REIT | 738 | 45,055 | ||||||
Prologis, Inc. REIT | 2,700 | 132,408 | ||||||
Public Storage REIT | 700 | 178,913 | ||||||
QTS Realty Trust, Inc. Class A, REIT | 1,119 | 62,641 | ||||||
Senior Housing Properties Trust | 4,000 | 83,320 | ||||||
Simon Property Group, Inc. REIT | 1,950 | 422,955 | ||||||
SL Green Realty Corp. REIT | 1,500 | 159,705 | ||||||
Spirit Realty Capital, Inc. REIT | 8,900 | 113,653 | ||||||
STORE Capital Corp. | 700 | 20,615 | ||||||
Sun Communities, Inc. REIT | 1,200 | 91,968 | ||||||
Sunstone Hotel Investors, Inc. REIT | 5,211 | 62,897 | ||||||
Ventas, Inc. REIT | 1,300 | 94,666 | ||||||
Vornado Realty Trust REIT | 1,300 | 130,156 | ||||||
Weingarten Realty Investors REIT | 1,800 | 73,476 | ||||||
Welltower, Inc. REIT | 3,000 | 228,510 | ||||||
|
| |||||||
3,510,920 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 5,409,860 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 2.2% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(c)(d) | 121,727 | 121,727 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 102.2% |
| 5,531,587 | ||||||
Liabilities in Excess of | (121,057 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 5,410,530 | ||||||
|
|
(a) | Security is fair valued at year end by applying factors provided by independent third party in accordance with Fund’s valuation policy and procedures. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy. Total market value of such securities represent 1,699,768 and 31.4% of net assets of the Fund at June 30, 2016. |
(b) | Non-income producing security. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2016. |
See accompanying notes to financial statements.
2
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | – | $ | 312,874 | $ | – | $ | 312,874 | ||||||||
Canada | 47,062 | – | – | 47,062 | ||||||||||||
France | 152,110 | 176,216 | – | 328,326 | ||||||||||||
Germany | – | 177,918 | – | 177,918 | ||||||||||||
Hong Kong | – | 108,730 | – | 108,730 | ||||||||||||
Japan | – | 488,432 | – | 488,432 | ||||||||||||
Netherlands | – | 43,272 | – | 43,272 | ||||||||||||
Singapore | – | 45,754 | – | 45,754 | ||||||||||||
Spain | – | 45,897 | – | 45,897 | ||||||||||||
Sweden | – | 37,553 | – | 37,553 | ||||||||||||
United Kingdom | – | 263,122 | – | 263,122 | ||||||||||||
United States | 3,510,920 | – | – | 3,510,920 | ||||||||||||
Short-Term Investment | 121,727 | – | – | 121,727 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,831,819 | $ | 1,699,768 | $ | – | $ | 5,531,587 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 12/31/15 | Value At 12/31/15 | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/16 | Value at 6/30/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 49,258 | $ | 49,258 | 675,123 | 602,654 | 121,727 | $ | 121,727 | $ | 106 | $ | – |
See accompanying notes to financial statements.
3
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 5,409,860 | ||
Investments in affiliated issuers, at value (Notes 2 and 3) | 121,727 | |||
|
| |||
Total Investments | 5,531,587 | |||
Foreign currency, at value | 2,961 | |||
Receivable for investments sold | 9,230 | |||
Dividends receivable – unaffiliated issuers (Note 2) | 21,509 | |||
Dividends receivable – affiliated issuers (Note 2) | 13 | |||
Receivable from Adviser (Note 3) | 15,956 | |||
Receivable for foreign taxes recoverable | 4,119 | |||
|
| |||
Total assets | 5,585,375 | |||
|
| |||
Liabilities | ||||
Due to custodian | 157 | |||
Payable for investments purchased | 100,141 | |||
Advisory fee payable (Note 3) | 3,678 | |||
Custodian fees payable (Note 3) | 16,852 | |||
Administration fees payable (Note 3) | 1,037 | |||
Distribution fees payable (Note 3) | 384 | |||
Transfer agent fees payable (Note 3) | 3,384 | |||
Sub-transfer agent fee payable (Note 3) | 2,373 | |||
Registration and filing fees payable | 10,938 | |||
Professional fees payable | 24,589 | |||
Printing and postage fees payable | 10,808 | |||
Accrued expenses and other liabilities | 504 | |||
|
| |||
Total liabilities | 174,845 | |||
|
| |||
Net Assets | $ | 5,410,530 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 4,992,270 | ||
Undistributed (distribution in excess of) net investment income (loss) | 36,396 | |||
Accumulated net realized gain (loss) on investments and foreign currency transactions | (110,145 | ) | ||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 492,081 | |||
Foreign currency transactions | (72 | ) | ||
|
| |||
Net Assets | $ | 5,410,530 | ||
|
| |||
Class A | ||||
Net assets | $ | 2,704,372 | ||
Shares outstanding | 250,000 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 10.82 | ||
|
| |||
Maximum sales charge | 5.25 | % | ||
Maximum offering price per share | $ | 11.42 | ||
|
| |||
Class I | ||||
Net assets | $ | 2,706,158 | ||
Shares outstanding | 250,000 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 10.82 | ||
|
| |||
Cost of Investments: | ||||
Investments in unaffiliated issuers | $ | 4,917,779 | ||
Investments in affiliated issuers | 121,727 | |||
|
| |||
Total cost of investments | $ | 5,039,506 | ||
|
| |||
Foreign currency, at cost | $ | 2,966 | ||
|
|
See accompanying notes to financial statements.
4
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
For the Six Months Ended June 30, 2016 (Unaudited)
Investment Income | ||||
Dividend income – unaffiliated issuers (Note 2) | $ | 120,504 | ||
Dividend income – affiliated issuers (Note 2) | 106 | |||
Foreign taxes withheld | (3,000 | ) | ||
|
| |||
Total investment income (loss) | 117,610 | |||
|
| |||
Expenses | ||||
Advisory fee (Note 3) | 21,508 | |||
Administration fees (Note 3) | 1,265 | |||
Distribution fees (Note 3) | ||||
Class A | 3,162 | |||
Custodian fees (Note 3) | 29,343 | |||
Trustees’ fees and expenses (Note 4) | 7,652 | |||
Transfer agent fees (Note 3) | 12,379 | |||
Registration and filing fees | 17,993 | |||
Professional fees | 28,545 | |||
Printing and postage fees | 5,274 | |||
Insurance expense | 3,081 | |||
Miscellaneous expenses | 1,471 | |||
|
| |||
Total expenses | 131,673 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 3) | (101,908 | ) | ||
|
| |||
Net expenses | 29,765 | |||
|
| |||
Net Investment Income (Loss) | 87,845 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions – unaffiliated issuers | (89,033 | ) | ||
Foreign currency transactions | 586 | |||
|
| |||
Net realized gain (loss) | (88,447 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment transactions – unaffiliated issuers | 400,986 | |||
Foreign currency translations | (72 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation | 400,914 | |||
|
| |||
Net realized and unrealized gain (loss) | 312,467 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 400,312 | ||
|
|
See accompanying notes to financial statements.
5
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Statement of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 87,845 | $ | 97,157 | ||||
Net realized gain (loss) | (88,447 | ) | 113,400 | |||||
Net change in unrealized appreciation/depreciation | 400,914 | (222,917 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 400,312 | (12,360 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (19,775 | ) | (57,025 | ) | ||||
Class I | (21,425 | ) | (63,075 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (41,200 | ) | (120,100 | ) | ||||
|
|
|
| |||||
Class A | – | (66,875 | ) | |||||
Class I | – | (66,875 | ) | |||||
|
|
|
| |||||
Total distributions from net realized gain on investments | – | (133,750 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | (41,200 | ) | (253,850 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 359,112 | (266,210 | ) | |||||
|
|
|
| |||||
Net assets at beginning of period | 5,051,418 | 5,317,628 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 5,410,530 | $ | 5,051,418 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 36,396 | $ | (10,249 | ) | |||
|
|
|
|
See accompanying notes to financial statements.
6
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Selected data for a share outstanding throughout each period
Class A | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 10/9/14* – 12/31/14 | ||||||||||
Net Asset Value, Beginning of Period | $ | 10.10 | $ | 10.64 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations: | ||||||||||||
Net investment income (loss)(a) | 0.17 | 0.18 | 0.04 | |||||||||
Net realized and unrealized gain (loss) | 0.63 | (0.22 | ) | 0.72 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.80 | (0.04 | ) | 0.76 | ||||||||
|
|
|
|
|
| |||||||
Distributions to Shareholders from: | ||||||||||||
Net investment income | (0.08 | ) | (0.23 | ) | (0.11 | ) | ||||||
Net realized gains | — | (0.27 | ) | (0.01 | ) | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.08 | ) | (0.50 | ) | (0.12 | ) | ||||||
|
|
|
|
|
| |||||||
Net Asset Value, End of Period | $ | 10.82 | $ | 10.10 | $ | 10.64 | ||||||
|
|
|
|
|
| |||||||
Total Return(b) | 7.83 | % | (0.32 | )% | 7.52 | %(c) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 2,704 | $ | 2,526 | $ | 2,659 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 5.33 | %(d) | 4.71 | % | 6.51 | %(d) | ||||||
Net expenses | 1.30 | %(d) | 1.30 | % | 1.50 | %(d) | ||||||
Net investment income (loss) | 3.35 | %(d) | 1.74 | % | 1.76 | %(d) | ||||||
Portfolio turnover rate | 29 | %(c) | 93 | % | 11 | %(c) |
* | 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 distribution. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
See accompanying notes to financial statements.
7
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Financial Highlights
Selected data for a share outstanding throughout each period
Class I | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 10/9/14* – 12/31/14 | ||||||||||
Net Asset Value, Beginning of Period | $ | 10.10 | $ | 10.63 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (Loss) from Investment Operations | ||||||||||||
Net investment income (loss)(a) | 0.18 | 0.20 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.63 | (0.21 | ) | 0.70 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.81 | (0.01 | ) | 0.75 | ||||||||
|
|
|
|
|
| |||||||
Distributions to Shareholders From: | ||||||||||||
Net investment income | (0.09 | ) | (0.25 | ) | (0.11 | ) | ||||||
Net realized gains | — | (0.27 | ) | (0.01 | ) | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.09 | ) | (0.52 | ) | (0.12 | ) | ||||||
|
|
|
|
|
| |||||||
Net Asset Value, End of Period | $ | 10.82 | $ | 10.10 | $ | 10.63 | ||||||
|
|
|
|
|
| |||||||
Total Return(b) | 7.90 | % | 0.01 | % | 7.49 | %(c) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 2,706 | $ | 2,526 | $ | 2,659 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 5.08 | %(d) | 4.46 | % | 6.26 | %(d) | ||||||
Net expenses | 1.05 | %(d) | 1.05 | % | 1.25 | %(d) | ||||||
Net investment income (loss) | 3.60 | %(d) | 1.93 | % | 2.01 | %(d) | ||||||
Portfolio turnover rate | 29 | %(c) | 93 | % | 11 | %(c) |
* | 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 distribution. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
See accompanying notes to financial statements.
8
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
June 30, 2016 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on February 16, 2000.
As of June 30, 2016, the Trust consists of forty-seven (47) series and corresponding classes, each of which have the same rights and privileges, including voting rights. State Street Clarion Global Real Estate Income Fund (the “Fund”) is authorized to issue an unlimited number of shares, with no par value.
Fund | Class | Commencement of Operation | Diversification Classification | |||||||
State Street Clarion Global Real Estate Income Fund | Class A | October 9, 2014 | Diversified | |||||||
State Street Clarion Global Real Estate Income Fund | Class C | Not commenced | Diversified | |||||||
State Street Clarion Global Real Estate Income Fund | Class I | October 9, 2014 | Diversified | |||||||
State Street Clarion Global Real Estate Income Fund | Class K | Not commenced | Diversified |
Class A shares of the Fund 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% contingent deferred sales charge (“CDSC”) if no initial sales charge was paid at the time of purchase of an investment of $1,000,000 or more and the shares are 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 that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
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
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State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 Fund are valued pursuant to the policy 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 Fund. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value the Fund’s investments by major category are as follows:
• | Equity investments 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. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
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 benchmarks. Various inputs are used in determining the value of the Fund’s investments.
The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the assets or liabilities 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 Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
The value of the Fund’s investments according to the fair value hierarchy as of June 30, 2016, is disclosed in the Fund’s Schedule 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, 2016.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. 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. The Fund invests in Real Estate Investment Trusts (REITs). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital of capital gain. The Fund’s policy is to record all REIT distributions initially as dividend income and re-designate to return of capital of capital gains distributions at year end based on information provided by the REIT and/or SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.
Expenses
Certain expenses, which are directly identifiable to a specific fund, are applied to that fund within the Trust. 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 within the Trust. Class specific expenses are borne by each class.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions.
11
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2016, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions
Distributions from net investment income, if any, 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Fees and Transactions with Affiliates |
Advisory Fee
The Trust, on behalf of the Fund, has entered into an Investment Advisory Agreement with SSGA FM. For its advisory 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 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, 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 expenses, 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 prior to April 30, 2017 except with the approval of the Board. Fees waived and expenses reimbursed by SSGA FM are shown on the Statement of Operations.
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”) serves as custodian and sub-administrator to the Fund. For its administration services, the Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets. The fees are accrued daily and paid monthly. For its services as custodian, the Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.
Distribution Fees
State Street Global Markets LLC (the “Distributor” or “SSGM”) serves as the distributor of the Fund. SSGM is a wholly owned subsidiary of State Street Corporation. The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which the Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services
12
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
provided to 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. 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 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.
Transfer Agent
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, and charges related to compliance and regulatory services.
Other Transactions with Affiliates
The Fund may invest in affiliated entities, included securities issued by State Street, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2016 are disclosed in the applicable Schedules of Investments.
From time to time, the Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of June 30, 2016, based on management’s evaluation of the shareholder account base, the Fund had accounts representing controlling ownership of more than 10% of a Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 10% of the aggregated shares of the Fund and the aggregate percentage of net assets represented by such holdings were as follows:
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||||||
State Street Clarion Global Real Estate Income Fund | 1 | 100 | % |
Due to Custodian
In certain circumstances, the Fund may have cash overdraft with the custodian. The Due to custodian if any, reflects cash overdrawn with SSB as custodian who is an affiliate of the Fund.
4. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
13
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
5. | Investment Transactions |
Purchases and sales of investments (excluding short term investments) for the period ended June 30, 2016, were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
State Street Clarion Global Real Estate Income Fund | $ | – | $ | – | $ | 1,553,590 | $ | 1,489,886 |
6. | Income Tax Information |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. 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. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2016, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
State Street Clarion Global Real Estate Income Fund | $ | 5,053,054 | $ | 626,835 | $ | 148,302 | $ | 478,533 |
7. | Line of Credit |
The Fund and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The agreement expires in October 2016 unless extended or renewed. The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of the New York Fed Bank Rate plus 1%.
14
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
8. | Risks |
Concentration of Risk
As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Foreign and Emerging Markets Risks
Investing in foreign markets involve risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk
In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
9. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements other than below.
On May 19, 2016, the Board unanimously voted to close and liquidate the State Street Global Clarion Real Estate Income Fund. After the close of business on August 17, 2016, the Fund stopped accepting orders for any additional share purchases.
15
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Clarion Global Real Estate Income Fund |
| |||||||||||||||||||
Class A | 1.30 | 1,078.30 | 6.72 | 1,018.40 | 6.52 | |||||||||||||||
Class I | 1.05 | 1,079.00 | 5.43 | 1,019.60 | 5.27 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
16
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Real Estate Income Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s investment adviser to vote proxies relating to the Fund’s portfolio of securities are available (i) without charge, upon request by calling 1-877-521-4083 (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 adviser voted for the prior 12-month 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 investments 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 the Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll free) and on the Fund’s website at www.ssgafunds.com.
17
Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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
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 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
SSIITCGLREINSAR
IBG-20867
Table of Contents
Semi-Annual Report
30 June 2016
State Street Institutional
Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Semi-Annual Report
June 30, 2016
1 | ||||
2 | ||||
3 | ||||
4 | ||||
6 | ||||
11 | ||||
Financial Statements of the State Street Clarion Global Infrastructure & MLP Portfolio | 15 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investment in State Street Clarion Global Infrastructure & MLP Portfolio | $ | 17,243,535 | ||
Receivable for investments sold | 3,750 | |||
Receivable from Adviser (Note 3) | 16,670 | |||
|
| |||
Total assets | 17,263,955 | |||
|
| |||
Liabilities | ||||
Advisory fee payable (Note 3) | 12,393 | |||
Custodian fees payable (Note 3) | 3,740 | |||
Administration fees payable (Note 3) | 2,076 | |||
Distribution fees payable (Note 3) | 461 | |||
Transfer agent fees payable (Note 3) | 3,083 | |||
Registration and filing fees payable | 608 | |||
Professional fees payable | 8,359 | |||
Printing and postage fees payable | 3,731 | |||
|
| |||
Total liabilities | 34,451 | |||
|
| |||
Net Assets | $ | 17,229,504 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 16,695,909 | ||
Undistributed (distribution in excess of) net investment income (loss) | (17,037 | ) | ||
Accumulated net realized gain (loss) on investments and foreign currency transactions | (39,228 | ) | ||
Net unrealized appreciation (depreciation) on: | ||||
Investment in State Street Clarion Global Infrastructure & MLP Portfolio | 589,860 | |||
|
| |||
Net Assets | $ | 17,229,504 | ||
|
| |||
Class A | ||||
Net assets | $ | 2,354,264 | ||
Shares outstanding | 229,133 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 10.27 | ||
|
| |||
Maximum sales charge | 5.25 | % | ||
Maximum offering price per share | $ | 10.84 | ||
|
| |||
Class I | ||||
Net assets | $ | 14,875,240 | ||
Shares outstanding | 1,447,182 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 10.28 | ||
|
| |||
Cost of Investments: | ||||
Investment in State Street Clarion Global Infrastructure & MLP Portfolio | $ | 16,653,675 | ||
|
| |||
Shares of State Street Clarion Global Infrastructure & MLP Portfolio | 1,675,757 | |||
|
|
See accompanying notes to financial statements and financial statements of the Master Portfolio.
1
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Statement of Operations
For the Six Months Ended June 30, 2016 (Unaudited)
Investment Income |
| |||
Dividend income from State Street Clarion Global Infrastructure & MLP Portfolio (Note 2) | $ | 228,046 | ||
|
| |||
Expenses | ||||
Advisory fee (Note 3) | 69,447 | |||
Administration fees (Note 3) | 5,484 | |||
Distribution fees (Note 3) | ||||
Class A | 2,531 | |||
Custodian fees (Note 3) | 6,129 | |||
Trustees’ fees and expenses (Note 4) | 7,653 | |||
Transfer agent fees (Note 3) | 11,514 | |||
Sub-transfer agent fee (Note 3) | 27 | |||
Registration and filing fees | 16,878 | |||
Professional fees | 11,118 | |||
Printing and postage expenses | 17,772 | |||
Insurance expense | 3,091 | |||
|
| |||
Total expenses | 151,644 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 3) | (56,496 | ) | ||
|
| |||
Net expenses | 95,148 | |||
|
| |||
Net Investment Income (Loss) | 132,898 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment in State Street Clarion Global Infrastructure & MLP Portfolio | (9,452 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment in State Street Clarion Global Infrastructure & MLP Portfolio | 2,213,669 | |||
|
| |||
Net realized and unrealized gain (loss) | 2,204,217 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 2,337,115 | ||
|
|
See accompanying notes to financial statements and financial statements of the Master Portfolio.
2
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Statements of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | For the Period 1/20/15* - 12/31/15 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 132,898 | $ | 288,483 | ||||
Net realized gain (loss) | (9,452 | ) | 388,943 | |||||
Net change in unrealized appreciation/depreciation | 2,213,669 | (1,623,809 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 2,337,115 | (946,383 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (17,784 | ) | (88,991 | ) | ||||
Class I | (132,151 | ) | (612,792 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (149,935 | ) | (701,783 | ) | ||||
|
|
|
| |||||
Net realized gain on investments | ||||||||
Class A | – | (773 | ) | |||||
Class I | – | (5,021 | ) | |||||
|
|
|
| |||||
Total distributions from net realized gain on investments | – | (5,794 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | (149,935 | ) | (707,577 | ) | ||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Class A | ||||||||
Contribution from SSGA FM** | – | 2,000,000 | ||||||
Shares sold | 194,951 | 161,054 | ||||||
Reinvestment of distributions | 1,364 | 5,144 | ||||||
Shares redeemed | (51,081 | ) | (23,813 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 145,234 | 2,142,385 | ||||||
|
|
|
| |||||
Class I | ||||||||
In-kind transfer from CBRE Clarion Global Listed Infrastructure Fund, LP (Note 1) | – | 11,569,962 | ||||||
Contribution from SSGA FM** | – | 2,000,000 | ||||||
Shares sold | – | 196,001 | ||||||
Reinvestment of distributions | 113,771 | 528,931 | ||||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 113,771 | 14,294,894 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 259,005 | 16,437,279 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 2,446,185 | 14,783,319 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 14,783,319 | – | ||||||
|
|
|
| |||||
Net assets at end of period | $ | 17,229,504 | $ | 14,783,319 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | (17,037 | ) | $ | (413,300 | ) | ||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Class A | ||||||||
Shares sold | 19,391 | 216,521 | ||||||
Reinvestment of distributions | 141 | 583 | ||||||
Shares redeemed | (5,102 | ) | (2,401 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 14,430 | 214,703 | ||||||
|
|
|
| |||||
Class I | ||||||||
In-kind transfer from CBRE Clarion Global Listed Infrastructure Fund, LP (Note 1) | – | 1,176,596 | ||||||
Shares sold | – | 200,000 | ||||||
Reinvestment of distributions | 11,772 | 58,814 | ||||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 11,772 | 1,435,410 | ||||||
|
|
|
|
* | Inception date. |
** | See Financial Statements of the Master Portfolio. |
See accompanying notes to financial statements and financial statements of the Master Portfolio.
3
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Financial Highlights
Selected data for a share outstanding throughout each period
Class A | ||||||||
Six Months Ended 6/30/16 (Unaudited) | For the Period 1/21/15* - 12/31/15 | |||||||
Net Asset Value, Beginning of Period | $ | 8.96 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations: | ||||||||
Net investment income (loss)(a) | 0.07 | 0.16 | ||||||
Net realized and unrealized gain (loss) | 1.32 | (0.78 | ) | |||||
|
|
|
| |||||
Total from investment operations | 1.39 | (0.62 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders From: | ||||||||
Net investment income | (0.08 | ) | (0.42 | ) | ||||
Net realized gains | – | (0.00 | )(b) | |||||
|
|
|
| |||||
Total distributions | (0.08 | ) | (0.42 | ) | ||||
|
|
|
| |||||
Net Asset Value, End of Period | $ | 10.27 | $ | 8.96 | ||||
|
|
|
| |||||
Total Return(c) | 15.47 | % | (6.13 | )% | ||||
Ratios and Supplemental Data: | ||||||||
Net Assets, End of Period (in 000s) | $ | 2,354 | $ | 1,923 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 2.19 | %(d) | 1.99 | %(d) | ||||
Net expenses | 1.45 | %(d) | 1.45 | %(d) | ||||
Net investment income (loss) | 1.53 | %(d) | 1.73 | %(d) | ||||
Portfolio turnover rate(e) | 103 | %(f) | 54 | %(f) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
(f) | Not annualized. |
See accompanying notes to financial statements and financial statements of the Master Portfolio.
4
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Financial Highlights
Selected data for a share outstanding throughout each period
Class I | ||||||||
Six Months Ended 6/30/16 (Unaudited) | For the Period 1/21/15* - 12/31/15 | |||||||
Net Asset Value, Beginning of Period | $ | 8.96 | $ | 10.00 | ||||
|
|
|
| |||||
Income (Loss) from Investment Operations | ||||||||
Net investment income (loss)(a) | 0.08 | 0.18 | ||||||
Net realized and unrealized gain (loss) | 1.33 | (0.78 | ) | |||||
|
|
|
| |||||
Total from investment operations | 1.41 | (0.60 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders From: | ||||||||
Net investment income | (0.09 | ) | (0.44 | ) | ||||
Net realized gains | – | (0.00 | )(b) | |||||
|
|
|
| |||||
Total distributions | (0.09 | ) | (0.44 | ) | ||||
|
|
|
| |||||
Net Asset Value, End of Period | $ | 10.28 | $ | 8.96 | ||||
|
|
|
| |||||
Total Return(c) | 15.70 | % | (5.91 | )% | ||||
Ratios and Supplemental Data: | ||||||||
Net Assets, End of Period (in 000s) | $ | 14,875 | $ | 12,860 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 1.93 | %(d) | 1.74 | %(d) | ||||
Net expenses | 1.20 | %(d) | 1.20 | %(d) | ||||
Net investment income (loss) | 1.75 | %(d) | 1.97 | %(d) | ||||
Portfolio turnover rate(e) | 103 | %(f) | 54 | %(f) |
* | 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. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
(f) | Not annualized. |
See accompanying 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
Notes to Financial Statements (Unaudited)
June 30, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), is as an open-end management investment company, and was organized as a Massachusetts business trust on February 16, 2000. As of June 30, 2016, the Trust consists of fifty-one (51) series and corresponding classes, each of which have the same rights and privileges, including voting rights State Street Clarion Global Infrastructure & MLP Fund (the “Fund”) is authorized to issue an unlimited number of shares with no par value. The Fund has registered Class A, Class C, Class I and Class K Shares. The Fund’s Class C and Class K Shares were not operational at June 30, 2016. The financial statements herein relate only to:
Fund | Classes | Commencement of Operations | ||||
State Street Clarion Global Infrastructure & MLP Fund | Class A Class I |
| July 21, 2015 July 21, 2015 |
|
The Fund is part of a master-feeder structure and invests substantially all of its assets in the State Street Clarion Global Infrastructure & MLP Portfolio (the “Portfolio”), a separate series of the SSGA Active Trust. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio, (100.00% at June 30, 2016). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.
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% contingent deferred sales charge (“CDSC”) if no initial sales charge was paid at the time of purchase of an investment of $1,000,000 or more and the shares are redeemed within 18 months of purchase. Class I shares are sold without a sales charge and only to certain eligible investors.
The Portfolio of the State Street Clarion Global Infrastructure & MLP Fund commenced operations on January 21, 2015, after it acquired the net assets of the CBRE Clarion Global Listed Infrastructure Fund, LP (the “Partnership”), in exchange for Fund shares. The Partnership commenced operations on March 1, 2012. 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 Partnership elected to make a deemed sale election pursuant to the subscription agreement. SSGA FM contributed initial capital of $4,000,100 to the Fund in exchange for its shares. The fund substantially invested all of its assets into the MLP Portfolio as part of commencement of its operations. Immediately prior to the acquisition, 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.
6
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Fund records its investment in its Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements.
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 policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments. The summary of the inputs used for the Portfolio, as of June 30, 2016, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report. The investment in the Portfolio is categorized as Level 1 for financial reporting purposes.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date 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, if any.
Realized gains and losses from the sale or disposition of investments are determined using the identified cost method.
Expenses
Certain expenses, which are directly identifiable to a specific fund, are applied to the fund within the Trust. 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 relative net assets of the Funds within the Trust.
7
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 Portfolio currently intends to pay distributions out of its distributable cash flow, which generally consists of cash and paid-in-kind distributions from MLPs or their affiliates, dividends from common stocks and income from other investments held by the Portfolio less current or accrued operating expenses of the Portfolio, including taxes on Portfolio taxable income. 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.
3. | Fees and Transactions with Affiliates |
Advisory Fee
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”), serves as the investment adviser and CBRE Clarion Securities LLC (the “Sub-Adviser”) serves as the subadviser. 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 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, 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 expenses, and any class specific expenses such as 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 prior to April 30, 2017, except with the approval of the Board. Fees waived and expenses reimbursed by SSGA FM are shown on the Statement of Operations.
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street serves as custodian and sub-administrator to the Fund. For its administration services, the Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets. The fees are accrued daily and paid monthly. For its services as custodian, the Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.
Transfer Agent Fees
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.
8
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Distribution and Shareholder Servicing Fees
State Street Global Markets LLC (“SSGM” or the “Distributor”) serves as the distributor of the Fund. SSGM is a wholly owned subsidiary of State Street Corporation. 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”) 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. 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 fee at an annual rate of up to 0.20% of the Fund’s average daily net assets attributable to Class A and I for recordkeeping, shareholder servicing, or administrative services provided by financial intermediaries.
Due to Custodian
In certain circumstances, a fund may have cash overdraft with the custodian. The Due to custodian if any, reflects cash overdrawn with SSB as custodian who is an affiliate of the fund.
Other Transactions with Affiliates
From time to time, the Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of June 30, 2016, based on management’s evaluation of the shareholder account base, the Fund had accounts representing controlling ownership of more than 10% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 10% of the aggregate shares of the Fund and the aggregate percentage of net assets represented by such holdings were as follows:
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated | ||||||
State Street Clarion Global Infrastructure & MLP Fund | 1 | 23.86 | % |
4. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
5. | Income Tax Information |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. 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. Therefore, no provision for federal income tax is required.
9
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions.
6. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
10
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Other Information
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Clarion Global Infrastructure & MLP Fund | ||||||||||||||||||||
Class A | 1.45 | 1,154.70 | 7.77 | 1,017.70 | 7.27 | |||||||||||||||
Class I | 1.20 | 1,157.00 | 6.44 | 1,018.90 | 6.02 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
11
Table of Contents
State Street Institutional Investment Trust
State Street Clarion Global Infrastructure & MLP Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s and 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 adviser voted for the prior 12-month 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 Portfolios file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ 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 the Form N-Q is available upon request, without charge, by calling 1(866) 787 2257 (toll free) and on the Funds’ website at www.ssgafunds.com.
12
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Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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
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-20933
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
Annual Report
30 June 2016
SSGA Active Trust
State Street Clarion Global Infrastructure & MLP Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or any private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
Management Discussion of Portfolio Performance & Performance Summary | 17 | |||
20 | ||||
21 | ||||
23 | ||||
26 | ||||
27 | ||||
33 | ||||
34 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or any private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
STATE STREET CLARION GLOBAL INFRASTRUCTURE & MLP PORTFOLIO ���
MANAGEMENT DISCUSSIONOF PORTFOLIO PERFORMANCE (UNAUDITED)
The State Street Clarion Global Infrastructure & MLP Portfolio (the “Portfolio”) seeks to provide long-term total return. The Portfolio’s benchmark is the MSCI ACWI IMI Index (the “Index”).
For the 12-month period ended June 30, 2016 (the “Reporting Period”), the total return for the Portfolio was 9.75%, and the total return for the Index was -3.87%. The Portfolio’s secondary benchmark, the State Street Clarion Global Infrastructure & MLP Composite Index (the “Secondary Index”), yielded a return of 5.59% for the Reporting Period. The returns of the Portfolio and both the Index and the Secondary Index reflect the reinvestment of dividends and other income. The Portfolio’s performance reflects the expenses of managing the Portfolio, including brokerage and advisory expenses. Both the Index and the Secondary Index are unmanaged and their returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The Portfolio outperformed both the Index and Secondary Index during the Reporting Period. Global listed infrastructure saw positive returns helped by an environment of declining interest rates leading investors to seek safety and yield in more stable equities. Master Limited Partnership (“MLP”) securities were not as fortunate as they declined alongside falling commodity prices during the Reporting Period. By geography, the Portfolio’s absolute performance benefited from every region except Emerging Markets. Americas were the main driver of the positive performance. Investments in American utilities were the best contributor, followed by the tower sector. Their performance more than offset the negative returns of MLPs and renewable energy equities. MLPs showed a strong correlation with oil prices and regained some of their losses after oil bottomed in February. Asia was the next best region with all sectors seeing positive gains. Transportation and utilities led the way as the yield-seeking trade was a global theme, especially in 2016. The Portfolio’s attribution benefitted from Continental Europe where the two best performing sectors, transportation and utilities, were also the Portfolio’s biggest allocations in the region. The U.K. showed great resilience despite the uncertainty due to the “Brexit” vote. While renewable energy investments saw slight losses, U.K. utilities reinforced the safety trade and saw positive returns in U.S. dollar terms, even after the British pound depreciated following the Brexit Referendum.
On an individual security level, the top positive contributors to the Portfolio’s performance were Crown Castle International Corp., NextEra Energy Inc., and Transurban Group Ltd. Crown Castle International, a U.S. listed tower company, beat and raised guidance in the first quarter due to M&A and lower than expected carrier non-renewals. Transurban Group is an Australian toll road company. Positive traffic growth, completed and potential acquisitions, and U.S. organic growth helped drive its strong performance. NextEra Energy is a U.S. integrated utility. The Florida based utility benefited as being one of the premier U.S. utilities with a strong presence in renewable energy and one of the best growth stories in a sector that continued to be bid up during the period. The top detractors from the Portfolio’s performance were Williams Companies, TerraForm Power Inc., and Summit Midstream Partners LP. Williams Companies is an energy infrastructure company operating in the U.S. The Energy Transfer Equity acquisition drama that led to a termination of the deal damaged Williams Companies in an already sold off market with decreasing commodity prices. TerraForm Power is a renewable energy infrastructure company that suffered from the lack of corporate governance of its parent, SunEdison, who was greatly over leveraged before declaring bankruptcy. Summit Midstream is a gathering and processing MLP that suffered from worse than expected volumes due to timing of well completions.
The Portfolio did not invest in derivatives during the Reporting Period.
The views expressed above reflect those of the Portfolio’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
17
Table of Contents
STATE STREET CLARION GLOBAL INFRASTRUCTURE & MLP PORTFOLIO —
PERFORMANCE SUMMARY (UNAUDITED)
The following performance chart of the Portfolio’s total return at net asset value, the total return based on market price and its benchmark index is provided for comparative purposes only and represents the periods noted. The Portfolio’s per share net asset value (“NAV”) is the value of one share of the Portfolio and is calculated by dividing the value of total assets less total liabilities by the number of shares outstanding. The NAV return is based on the NAV of the Portfolio and the market return is based on the market price per share of the Portfolio. The market price used to calculate the market return is determined by using the midpoint between the highest bid and the lowest offer on the exchange on which the shares of the Portfolio are listed for trading, as of the time that the Portfolio’s NAV is calculated. Since shares of the Portfolio did not trade in the secondary market until the day after the Portfolio’s inception, for the period from inception to the first day of secondary market trading in shares of the Portfolio (1/20/15, 1/21/15, respectively), the NAV of the Portfolio is used as a proxy for the secondary market trading price to calculate market returns. NAV and market returns assume that dividends and capital gain distributions have been reinvested in the Portfolio at NAV. Market returns do not include brokerage commissions that may be payable on secondary market transactions. If brokerage commissions were included market returns would be lower.
An index is a statistical measure of a specified financial market or sector. An index does not actually hold a portfolio of securities and therefore does not reflect deductions for fees or expenses. In comparison, the Portfolio’s performance is negatively impacted by these deductions.
Performance quoted represents past performance, which is no guarantee of future results. Investment return and principal value will fluctuate, so you may have a gain or loss when shares are sold. Current performance may be higher or lower than that quoted. The returns do not reflect the deduction of taxes that a shareholder would pay on Fund distributions or on the redemption or sale of Fund shares. The total expense ratio for State Street Clarion Global Infrastructure & MLP Portfolio as stated in the Fees and Expenses table of the prospectus dated October 31, 2015 is 0.30%.
PERFORMANCE AS OF JUNE 30, 2016
CUMULATIVE TOTAL RETURN | AVERAGE ANNUAL TOTAL RETURN | |||||||||||||||||||||||||||||
NET ASSET VALUE | PRIMARY BENCHMARK: MSCI ACWI IMI Index | SECONDARY State Street Clarion Global | NET ASSET VALUE | PRIMARY BENCHMARK: MSCI ACWI IMI Index | SECONDARY State Street Clarion Global | |||||||||||||||||||||||||
ONE YEAR | 9.75% | –3.87% | 5.59% | 9.75% | –3.87% | 5.59% | ||||||||||||||||||||||||
SINCE INCEPTION (1) | 64.46% | 32.39% | 42.66% | 12.16% | 6.69% | 8.55% | ||||||||||||||||||||||||
(1) | For the period March 1, 2012 to June 30, 2016 |
MSCI ACWI IMI INDEX
The MSCI ACWI IMI Index is a free float-adjusted market capitalization-weighted index that is designed to measure the combined equity market performance of developed and emerging markets. The Index covers approximately 99% of the global equity investment opportunity set.
STATE STREET CLARION GLOBAL INFRASTRUCTURE & MLP COMPOSITE INDEX
The State Street Clarion Global Infrastructure & MLP Composite Index is a blended benchmark consisting of 85% FTSE Global Core Infrastructure 50/50 Index and 15% Alerian MLP Index. Prior to 3/2/2015, the blended benchmark consisted of 85% UBS Global 50/50 Infrastructure & Utilities Index and 15% Alerian MLP Index.
18
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STATE STREET CLARION GLOBAL INFRASTRUCTURE & MLP PORTFOLIO —
PERFORMANCE SUMMARY (CONTINUED) (UNAUDITED)
Past Performance is not indicative of future results.
Index Returns are unmanaged and do not reflect the deduction of any fees or expenses. Index returns reflect all items of income, gain and loss and the reinvestment of dividends and other income.
Line graph is based on cumulative total return.
19
Table of Contents
STATE STREET CLARION GLOBAL INFRASTRUCTURE & MLP PORTFOLIO —
PORTFOLIO SUMMARY (UNAUDITED)
TOP FIVE HOLDINGS AS OF JUNE 30, 2016
DESCRIPTION | CROWN CASTLE INTERNATIONAL CORP. REIT | AMERICAN TOWER CORP. REIT | VINCI SA | ENBRIDGE, INC. | NEXTERA ENERGY, INC. | |||||||||
MARKET VALUE | $804,847 | 681,660 | 662,491 | 640,561 | 562,024 | |||||||||
% OF NET ASSETS | 4.7 | 4.0 | 3.8 | 3.7 | 3.3 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular
security.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2016*
% OF NET ASSETS | ||||||||
Oil, Gas & Consumable Fuels | 27.4 | % | ||||||
Electric Utilities | 20.8 | |||||||
Multi-Utilities | 11.6 | |||||||
Real Estate Investment Trusts (REITs) | 8.7 | |||||||
Transportation Infrastructure | 7.9 | |||||||
Road & Rail | 6.6 | |||||||
Construction & Engineering | 6.2 | |||||||
Independent Power Producers & Energy Traders | 3.3 | |||||||
Gas Utilities | 1.4 | |||||||
Communications Equipment | 1.0 | |||||||
Water Utilities | 0.9 | |||||||
Short-Term Investment | 4.6 | |||||||
Liabilities in Excess of Other Assets | (0.4 | ) | ||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
20
Table of Contents
SSGA Active Trust
State Street Clarion Global Infrastructure & MLP Portfolio
June 30, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS — 95.8% | ||||||||
AUSTRALIA — 3.7% | ||||||||
DUET Group (a) | 93,124 | $ | 174,383 | |||||
Transurban Group Stapled Security (a) | 51,741 | 465,269 | ||||||
|
| |||||||
639,652 | ||||||||
|
| |||||||
CANADA — 8.2% | ||||||||
Canadian Pacific Railway, Ltd. | 2,600 | 332,993 | ||||||
Enbridge, Inc. | 15,200 | 640,561 | ||||||
Pembina Pipeline Corp. | 9,600 | 290,210 | ||||||
Veresen, Inc. | 18,600 | 156,826 | ||||||
|
| |||||||
1,420,590 | ||||||||
|
| |||||||
FRANCE — 5.5% | ||||||||
Aeroports de Paris (a) | 1,312 | 143,912 | ||||||
Groupe Eurotunnel SE (a) | 13,776 | 145,669 | ||||||
Vinci SA (a) | 9,378 | 662,491 | ||||||
|
| |||||||
952,072 | ||||||||
|
| |||||||
HONG KONG — 1.3% | ||||||||
CLP Holdings, Ltd. (a) | 21,000 | 214,523 | ||||||
|
| |||||||
ITALY — 1.4% | ||||||||
Ei Towers SpA (a) (b) | 3,418 | 173,629 | ||||||
Snam SpA (a) | 10,515 | 62,931 | ||||||
|
| |||||||
236,560 | ||||||||
|
| |||||||
JAPAN — 4.6% | ||||||||
Central Japan Railway Co. (a) | 1,500 | 268,551 | ||||||
East Japan Railway Co. (a) | 3,600 | 335,819 | ||||||
Hokkaido Electric Power Co., Inc. (a) | 23,200 | 189,697 | ||||||
|
| |||||||
794,067 | ||||||||
|
| |||||||
SOUTH KOREA — 1.0% | ||||||||
Korea Electric Power Corp. (a) | 3,230 | 169,549 | ||||||
|
| |||||||
SPAIN — 7.2% | ||||||||
Abertis Infraestructuras SA (a) | 24,584 | 363,685 | ||||||
Enagas SA (a) | 5,769 | 176,435 | ||||||
Ferrovial SA (a) | 20,844 | 408,524 | ||||||
Red Electrica Corp. SA (a) | 3,248 | 290,534 | ||||||
|
| |||||||
1,239,178 | ||||||||
|
| |||||||
SWITZERLAND — 1.4% | ||||||||
Flughafen Zuerich AG (a) | 1,370 | 243,023 | ||||||
|
| |||||||
UNITED KINGDOM — 3.4% | ||||||||
National Grid PLC (a) | 24,662 | 364,175 | ||||||
Renewables Infrastructure Group, Ltd. | 56,821 | 73,870 | ||||||
United Utilities Group PLC (a) | 10,464 | 145,639 | ||||||
|
| |||||||
583,684 | ||||||||
|
| |||||||
UNITED STATES — 58.1% | ||||||||
American Electric Power Co., Inc. | 4,100 | 287,369 | ||||||
American Tower Corp. REIT | 6,000 | 681,660 | ||||||
Avangrid, Inc. | 1,500 | 69,090 | ||||||
Boardwalk Pipeline Partners L.P. (c) | 8,600 | 150,070 | ||||||
Crown Castle International Corp. REIT | 7,935 | 804,847 | ||||||
Delek Logistics Partners L.P. | 2,900 | 77,459 | ||||||
Dominion Resources, Inc. | 3,368 | 262,468 | ||||||
DTE Energy Co. | 5,484 | 543,574 | ||||||
Edison International | 4,009 | 311,379 | ||||||
Enbridge Energy Partners L.P. | 6,100 | 141,520 | ||||||
Energy Transfer Partners L.P. (c) | 6,729 | 256,173 | ||||||
Enterprise Products Partners L.P. (c) | 17,400 | 509,124 | ||||||
Eversource Energy | 4,862 | 291,234 | ||||||
Exelon Corp. | 2,398 | 87,191 | ||||||
ITC Holdings Corp. | 3,700 | 173,234 | ||||||
Kinder Morgan, Inc. | 20,900 | 391,248 | ||||||
Magellan Midstream Partners L.P. (c) | 4,100 | 311,600 | ||||||
MPLX L.P. | 8,700 | 292,581 | ||||||
NextEra Energy Partners L.P. | 4,031 | 122,462 | ||||||
NextEra Energy, Inc. | 4,310 | 562,024 | ||||||
NiSource, Inc. | 4,519 | 119,844 | ||||||
Norfolk Southern Corp. | 2,500 | 212,825 | ||||||
NRG Yield, Inc. Class A | 16,600 | 252,652 | ||||||
Pattern Energy Group, Inc. | 5,500 | 126,335 | ||||||
PG&E Corp. | 7,900 | 504,968 | ||||||
Sempra Energy | 4,805 | 547,866 | ||||||
Shell Midstream Partners L.P. (c) | 3,886 | 131,308 | ||||||
Tallgrass Energy Partners L.P. | 6,000 | 276,120 | ||||||
Targa Resources Corp. | 8,900 | 375,046 | ||||||
Tesoro Logistics L.P. (c) | 1,800 | 89,154 | ||||||
Valero Energy Partners L.P. (c) | 3,700 | 173,937 | ||||||
Westar Energy, Inc. | 2,200 | 123,398 | ||||||
Williams Cos., Inc. | 13,500 | 292,005 | ||||||
Williams Partners L.P. (c) | 5,200 | 180,128 | ||||||
Xcel Energy, Inc. | 6,400 | 286,592 | ||||||
|
| |||||||
10,018,485 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 16,511,383 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 4.6% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47% (d) (e) | 789,440 | 789,440 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 100.4% | 17,300,823 | |||||||
LIABILITIES IN EXCESS OF OTHER | (62,764 | ) | ||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 17,238,059 | ||||||
|
|
(a) | Security is fair valued at year end by applying factors provided by independent third party in accordance with Portfolio’s valuation policy and procedures. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy.Total market value of such securities represents 4,998,438 and 29.0% of net assets of the Portfolio at June 30, 2016. |
(b) | Non-income producing security. |
(c) | Master Limited Partnership. Total market value of such securities represents $1,801,494 or 10.5% of net assets |
(d) | The Portfolio may invest in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2016. |
REIT Real Estate Investment Trust
See accompanying notes to financial statements.
21
Table of Contents
SSGA Active Trust
State Street Clarion Global Infrastructure & MLP Portfolio
SCHEDULE OF INVESTMENTS (continued)
June 30, 2016
The following table summarizes the value of the Portfolio’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 639,652 | $ | — | $ | 639,652 | ||||||||
Canada | 1,420,590 | — | — | 1,420,590 | ||||||||||||
France | — | 952,072 | — | 952,072 | ||||||||||||
Hong Kong | — | 214,523 | — | 214,523 | ||||||||||||
Italy | — | 236,560 | — | 236,560 | ||||||||||||
Japan | — | 794,067 | — | 794,067 | ||||||||||||
South Korea | — | 169,549 | — | 169,549 | ||||||||||||
Spain | — | 1,239,178 | — | 1,239,178 | ||||||||||||
Switzerland | — | 243,023 | — | 243,023 | ||||||||||||
United Kingdom | 73,870 | 509,814 | — | 583,684 | ||||||||||||
United States | 10,018,485 | — | — | 10,018,485 | ||||||||||||
Short-Term Investment | 789,440 | — | — | 789,440 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 12,302,385 | $ | 4,998,438 | $ | — | $ | 17,300,823 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 6/30/15 | Value at 6/30/15 | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/16 | Value at 6/30/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 284,165 | $ | 284,165 | 7,459,882 | 6,954,607 | 789,440 | $ | 789,440 | $ | 523 | $ | — |
See accompanying notes to financial statements.
22
Table of Contents
SSGA Active Trust
State Street Clarion Global Infrastructure & MLP Portfolio
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2016
ASSETS | ||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 16,511,383 | ||
Investments in affiliated issuers, at value (Note 2) | 789,440 | |||
|
| |||
Total Investments | 17,300,823 | |||
Foreign currency, at value | 16,669 | |||
Receivable for investments sold | 127,410 | |||
Dividends receivable — unaffiliated issuers (Note 2) | 62,098 | |||
Dividend receivable — affiliated issuers (Note 2) | 56 | |||
Receivable from Adviser (Note 3) | 4,134 | |||
Receivable for foreign taxes recoverable | 13,771 | |||
|
| |||
TOTAL ASSETS | 17,524,961 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 279,018 | |||
Payable for fund shares repurchased | 3,750 | |||
Advisory fee payable (Note 3) | 4,134 | |||
|
| |||
TOTAL LIABILITIES | 286,902 | |||
|
| |||
NET ASSETS | $ | 17,238,059 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Paid-in Capital | $ | 16,648,027 | ||
Undistributed (distribution in excess of) net investment income (loss) | — | |||
Accumulated net realized gain (loss) on investments, foreign currency transactions, and futures contracts | (1,665,724 | ) | ||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 2,257,322 | |||
Foreign currency transactions | (1,566 | ) | ||
|
| |||
NET ASSETS | $ | 17,238,059 | ||
|
| |||
NET ASSET VALUE PER SHARE | ||||
Net asset value per share | $ | 10.29 | ||
|
| |||
Shares outstanding | 1,675,757 | |||
|
| |||
COST OF INVESTMENTS: | ||||
Investments in unaffiliated issuers | $ | 14,254,061 | ||
Investments in affiliated issuers | 789,440 | |||
|
| |||
Total cost of investments | $ | 15,043,501 | ||
|
| |||
Foreign currency, at cost | $ | 16,538 | ||
|
|
See accompanying notes to financial statements.
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SSGA Active Trust
State Street Clarion Global Infrastructure & MLP Portfolio
STATEMENT OF OPERATIONS
For the Year Ended June 30, 2016
INVESTMENT INCOME | ||||
Dividend income — unaffiliated issuers (Note 2) | $ | 448,506 | ||
Dividend income — affiliated issuers (Note 2) | 523 | |||
Dividend income from master limited partnership and related companies | 134,028 | |||
Return of capital from master limited partnerships and related companies | (138,518 | ) | ||
Foreign taxes withheld | (22,812 | ) | ||
|
| |||
TOTAL INVESTMENT INCOME (LOSS) | 421,727 | |||
|
| |||
EXPENSES | ||||
Advisory fee (Note 3) | 46,227 | |||
Trustees’ fees and expenses (Note 4) | 422 | |||
Miscellaneous expenses | 1,667 | |||
|
| |||
TOTAL EXPENSES | 48,316 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 3) | (46,227 | ) | ||
|
| |||
NET EXPENSES | 2,089 | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 419,638 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investment transactions — unaffiliated issuers | (1,638,134 | ) | ||
Foreign currency transactions | (2,226 | ) | ||
|
| |||
Net realized gain (loss) | (1,640,360 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment transactions — unaffiliated issuers | 2,734,296 | |||
Foreign currency transactions | (1,611 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation | 2,732,685 | |||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 1,092,325 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | 1,511,963 | ||
|
|
See accompanying notes to financial statements.
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SSGA Active Trust
State Street Clarion Global Infrastructure & MLP Portfolio
STATEMENTS OF CHANGES IN NET ASSETS
Year Ended 6/30/16 | For the Period 1/20/15* - 6/30/15 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 419,638 | $ | 213,493 | ||||
Net realized gain (loss) | (1,640,360 | ) | 415,237 | |||||
Net change in unrealized appreciation/depreciation | 2,732,685 | (476,929 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 1,511,963 | 151,801 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | (480,070 | ) | (180,817 | ) | ||||
Net realized gains | (413,049 | ) | — | |||||
Return of capital | (39,003 | ) | — | |||||
|
|
|
| |||||
Total distributions to shareholders | (932,122 | ) | (180,817 | ) | ||||
|
|
|
| |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | ||||||||
In-kind transfer from CBRE Clarion Global Listed Infrastructure Fund, LP (Note 1) | — | 11,569,962 | ||||||
Contribution from SSGA Funds Management, Inc. (Note 1) | — | 4,000,100 | ||||||
Proceeds from sale of shares sold | 321,021 | 348,304 | ||||||
Reinvestment of distributions | 932,122 | 180,817 | ||||||
Cost of shares redeemed | (505,870 | ) | (159,222 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 747,273 | 15,939,961 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 1,327,114 | 15,910,945 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 15,910,945 | — | ||||||
|
|
|
| |||||
NET ASSETS AT END OF PERIOD | $ | 17,238,059 | $ | 15,910,945 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | — | $ | 26,377 | ||||
|
|
|
| |||||
SHARES OF BENEFICIAL INTEREST: | ||||||||
In-kind transfer from CBRE Clarion Global Listed Infrastructure Fund, LP (Note 1) | — | 1,176,596 | ||||||
Shares sold | 33,009 | 414,875 | ||||||
Reinvestment of distributions | 103,757 | 17,385 | ||||||
Shares redeemed | (54,490 | ) | (15,375 | ) | ||||
|
|
|
| |||||
Net increase (decrease) | 82,276 | 1,593,481 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
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Selected data for a share outstanding throughout each period
Year Ended 6/30/16 | For the Period 1/21/15* - 6/30/15 | |||||||
Net asset value, beginning of period | $ | 9.99 | $ | 10.00 | ||||
|
|
|
| |||||
Income (loss) from investment operations: | ||||||||
Net investment income (loss) (a) | 0.26 | 0.14 | ||||||
Net realized and unrealized gain (loss) | 0.62 | (0.04 | ) | |||||
|
|
|
| |||||
Total from investment operations | 0.88 | 0.10 | ||||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | (0.30 | ) | (0.11 | ) | ||||
Net realized gains | (0.26 | ) | — | |||||
Return of capital | (0.02 | ) | — | |||||
|
|
|
| |||||
Total distributions | (0.58 | ) | (0.11 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 10.29 | $ | 9.99 | ||||
|
|
|
| |||||
Total return (b) | 9.75 | % | 1.00 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 17,238 | $ | 15,911 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.31 | % | 0.30 | %(c) | ||||
Net expenses | 0.01 | % | 0.00 | %(c)(d) | ||||
Net investment income (loss) | 2.72 | % | 2.97 | %(c) | ||||
Portfolio turnover rate | 103 | % | 37 | %(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 of each distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
(c) | Annualized. |
(d) | Amount shown represents less than 0.005%. |
(e) | Not annualized. |
See accompanying notes to financial statements.
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SSGA Active Trust
State Street Clarion Global Infrastructure & MLP Portfolio
June 30, 2016
1. | Organization |
SSGA Active Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on March 30, 2011.
As of June 30, 2016, the Trust offered fourteen (14) funds, each of which represents a separate series of beneficial interest in the Trust (each a “Fund” and collectively, the “Funds”). The financial statements herein relate to the State Street Clarion Global Infrastructure & MLP Portfolio (the “Portfolio”), a separate nondiversified series of the Trust. The Portfolio operates as the master portfolio in a master feeder structure.
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 Feeder 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 Feeder 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 Feeder Fund in exchange for the Feeder Fund’s shares. Immediately prior to the acquisition, 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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
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 the policy 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 Portfolio. The Board has responsibility for determining the fair value of investments. Valuation techniques used to value the Portfolio’s investments by major category are as follows:
• | Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations are readily available are valued at the last sale price or official closing price, as applicable, on the primary market or exchange on which they trade. Equity investments traded on a recognized exchange for which there were no sales on that day are valued at the last published sale price or at fair value. |
• | Investments in registered investment companies (including money market funds) or other unitized pooled investment vehicles that are not traded on an exchange are valued at that day’s published net asset value per share or unit. |
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NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2016
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
A “significant event” is an event that the Trustee believes, with a reasonably high degree of certainty, has caused the closing market prices of a Portfolio’s securities to no longer reflect their value at the time of the Portfolio net asset value calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Trustee. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy. At June 30, 2016, the independent fair value service was used for certain foreign securities in the Portfolio’s, and these securities were classified within Level 2 of the fair value hierarchy.
Various inputs are used in determining the value of the Portfolio’s investments. These inputs are categorized into a 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 assets or liabilities either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 — Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2016, is disclosed in the Schedule 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 Portfolio had transfers from Level 1 to Level 2 during the year ended June 30, 2016 in the amount of $3,117,437. At June 30, 2016 these investments applied factor prices provided by an independent third party in accordance with the Portfolio’s valuation policy and procedures. At June 30, 2015 these investments were valued at exchange closing prices in accordance with the Portfolio’s valuation policy.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. Such amounts are recorded as a reduction of the cost of investments or reclassified to capital gains.
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SSGA Active Trust
State Street Clarion Global Infrastructure & MLP Portfolio
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2016
Distributions received from the Portfolio’s investments in master limited partnerships or limited liability companies that have economic characteristics substantially similar to master limited partnerships (collectively, “MLPs”) generally are comprised of ordinary income and return of capital from the MLPs. The Portfolio records distributions from MLPs as dividend income and redesignates between income and return of capital at year end. Such estimates are based on information provided by each MLP and other industry sources. These estimates may subsequently be revised based on actual allocations received from MLPs after their tax reporting periods are concluded, as the actual character of these distributions is not known until after the fiscal year end of the Portfolio. For the period ended June 30, 2016, the Portfolio estimated the allocation of investment income and return of capital for the distributions received from MLPs within the Statement of Operations. For this period, the Portfolio has estimated approximately 0.04% as income and approximately 99.6% as return of capital.
Expenses
Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed directly to a specific Portfolio 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 Portfolio within the Trust.
Foreign Currency Translation
The accounting records of the Portfolio are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes
The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2016, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.
Distributions
Distributions from net investment income, if any, 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 Portfolio currently intends to pay distributions out of its distributable cash flow, which generally consists of cash and paid-in-kind distributions from MLPs or their affiliates, dividends from common stocks and income from other investments held by the Portfolio less current or accrued operating expenses of the Portfolio, including taxes on Portfolio taxable income. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Fees and Transactions with Affiliates |
Advisory Fee
The Trust on behalf of the Portfolio has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services to the Portfolio, the Adviser is paid a management fee by the Portfolio at an annual rate of 0.30% of
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SSGA Active Trust
State Street Clarion Global Infrastructure & MLP Portfolio
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2016
its average daily net assets. The Adviser has contractually agreed to waive the entire amount of this fee until the later of April 30, 2017 or such time as the shares of the Portfolio cease to be the only investment security held by the State Street Clarion Global Infrastructure & MLP Fund series of State Street Institutional Investment Trust. The waiver may be terminated only by the Portfolio’s Board of Trustees.
The Adviser pays all operating expenses of the Portfolio other than management fee, distribution fee pursuant to the Portfolio’s Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustees’ counsel fees), litigation expenses, and other extraordinary expenses.
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street, an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, included securities issued by State Street, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2016 are disclosed in the Schedule of Investments.
4. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Funds. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
5. | Investment Transactions |
Purchases and sales of investments (excluding short term investments) for the year ended June 30, 2016 aggregated to $15,881,867 and $16,019,327, respectively.
6. | Income Tax Information |
The Portfolio has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Portfolio will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book-tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for character of distributions, nontaxable dividend adjustments to income, foreign currencies, distributions from MLPs and wash sale loss deferrals.
The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
As a limited partner in the MLPs, the Portfolio reports its allocable share of the MLP’s taxable income in computing its own taxable income. The distributions paid by the MLPs generally do not constitute income for tax purposes. Each MLP may allocate losses to the Portfolio which are generally not deductible in computing the Portfolio’s taxable income until such time as that particular MLP either generates income to offset those losses or the Portfolio disposes of units in that
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SSGA Active Trust
State Street Clarion Global Infrastructure & MLP Portfolio
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2016
MLP. This may result in the Portfolio’s taxable income being substantially different than its book income in any given year. As a result, the Portfolio may have insufficient taxable income to support its distributions paid resulting in a return of capital to shareholders. A return of capital distribution is generally not treated as taxable income to shareholders and instead reduces a shareholder’s basis in their shares of the Portfolio.
Under the applicable foreign tax laws, a withholding tax may be imposed on interest, dividends and realized and unrealized capital gains at various rates.
The tax character of distributions paid during the period ended June 30, 2016 was as follows:
Ordinary Income | Long-Term Capital Gain | Tax Return of Capital | Total | |||
$893,119 | $— | $39,003 | $932,122 |
The tax character of distributions paid during the period ended June 30, 2015 was as follows:
Ordinary Income | Long-Term Capital Gain | Tax Return of Capital | Total | |||
$180,817 | $— | $— | $180,817 |
As of June 30, 2016, the components of distributable earnings on a tax basis were as follows:
Undistributed | Capital Loss | Undistributed | Net Unrealized | Qualified | Total | |||||
$— | $(1,284,055) | $— | $1,874,085 | $— | $590,030 |
* | The Portfolio has elected to defer certain qualified late year losses and recognize such losses in the next taxable year. |
As of June 30, 2016, the Portfolio had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates as follows:
Non-Expiring Short Term | Non-Expiring Long Term | |
$1,222,696 | $61,359 |
As of June 30, 2016, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized (Depreciation) | |||
$15,425,172 | $2,005,676 | $130,025 | $1,875,651 |
7. | Risks |
Concentration Risk
As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.
Foreign and Emerging Markets Risks
Investing in foreign markets involve risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
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SSGA Active Trust
State Street Clarion Global Infrastructure & MLP Portfolio
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2016
Market and Credit Risk
In the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
8. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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SSGA Active Trust
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of
SSGA Active Trust
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of State Street Clarion Global Infrastructure & MLP Portfolio (the “Portfolio”) (one of the portfolios constituting SSGA Active Trust) as of June 30, 2016, and the related statement of operations for the year then ended and the statement of changes in net assets and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.
We conducted our audits in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audits included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers or others were not received. We believe that our audits provide a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Clarion Global Infrastructure & MLP Portfolio (one of the portfolios constituting SSGA Active Trust) at June 30, 2016, the results of its operations for the year then ended and the changes in its net assets and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
August 26, 2016
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June 30, 2016 (Unaudited)
Tax Information
Dividend Received Deduction
For federal income tax purposes, the following information is furnished with respect to the distributions of the Portfolio for its fiscal period ended June 30, 2016. For U.S. federal income tax purposes, the percentage of distributions that qualify for the corporate dividends received deduction for the fiscal period ended June 30, 2016 is 25.41%.
Qualified Dividend Income
A portion of dividends distributed by the Portfolio during the fiscal period ended June 30, 2016, are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. These amounts were $404,463 for the fiscal period ended June 30, 2016.
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Clarion Global Infrastructure & MLP Portfolio | 0.03 | % | $ | 1,165.00 | $ | 0.16 | (a) | $ | 1,024.70 | $ | 0.15 |
(a) | Hypothetical expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
34
Table of Contents
SSGA Active Trust
State Street Clarion Global Infrastructure & MLP Portfolio
OTHER INFORMATION (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Funds’ investment adviser to vote proxies relating to the Funds’ 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, at www.sec.gov.
Information regarding how the investment adviser 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 Funds’ website at www.spdrs.com.
Quarterly Portfolio Schedule
The Portfolios file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ 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 the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Funds’ website at www.spdrs.com.
35
Table of Contents
SSGA ACTIVE TRUST
State Street Clarion Global Infrastructure & MLP Portfolio
OTHER INFORMATION (continued)
June 30, 2016
TRUSTEES
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios In Fund Complex Overseen By Trustee | Other Directorships Held By Trustee During The | |||||||
Independent Trustees | ||||||||||||
FRANK NESVET | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since September 2000 | Chief Executive Officer, Libra Group, Inc. (a financial services consulting company) (1998-present). | 218 | SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Master Trust (Trustee). | |||||||
DAVID M. KELLY | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since September 2000 | Retired. | 218 | Chicago Stock Exchange (Former Director, retired); Penson Worldwide Inc. (Former Director, retired); SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Master Trust (Trustee). | |||||||
BONNY EUGENIA BOATMAN | Independent Trustee | Term: Unlimited Served: since April 2010 | Retired. | 218 | SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Master Trust (Trustee). | |||||||
DWIGHT D. CHURCHILL | Independent Trustee | Term: Unlimited Served: since April 2010 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). | 218 | SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Master Trust (Trustee); Affiliated Managers Group, Inc. (Director). | |||||||
CARL G. VERBONCOEUR | Independent Trustee | Term: Unlimited Served: since April 2010 | Self-employed consultant since 2009. | 218 | The Motley Fool Funds Trust (Trustee); SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Master Trust (Trustee). |
36
Table of Contents
SSGA ACTIVE TRUST
State Street Clarion Global Infrastructure & MLP Portfolio
OTHER INFORMATION (continued)
June 30, 2016
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During Past 5 Years | Number of Portfolios In Fund Complex Overseen By Trustee | Other Directorships Held By Trustee During The | |||||||
Interested Trustee | ||||||||||||
JAMES E. ROSS* | Interested Trustee | Term: Unlimited Served as Trustee: since April 2010 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Senior Managing Director and Principal, State Street Global Advisors (2006-present); President, SSGA Funds Management, Inc. (2005-2012). | 299 | SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Master Trust (Trustee); Select Sector SPDR Trust (Trustee); State Street Master Funds (Trustee); and State Street Institutional Investment Trust (Trustee). |
* | Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. |
OFFICERS
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During The Past 5 Years | |||
ELLEN M. NEEDHAM | President | Term: Unlimited Served: since October 2012 | President and Director, SSGA Funds Management, Inc. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present).* | |||
ANN M. CARPENTER | Vice President; Deputy Treasurer | Term: Unlimited Served: since August 2012; Term: Unlimited Served: since February 2016 | Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).* | |||
MICHAEL P. RILEY | Vice President | Term: Unlimited Served: since February 2005 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (February 2015-present); Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (2008-February 2015); Principal, State Street Global Advisors and SSGA Funds Management, Inc. (2005-2008). |
37
Table of Contents
SSGA ACTIVE TRUST
State Street Clarion Global Infrastructure & MLP Portfolio
OTHER INFORMATION (continued)
June 30, 2016
Name, Address and Year of Birth | Position(s) with Funds | Term of Office and Length of Time Served | Principal Occupation(s) During The Past 5 Years | |||
JOSHUA A. WEINBERG | Chief Legal Officer | Term: Unlimited Served: since February 2015 | Vice President and Managing Counsel, State Street Global Advisors (2011-present); Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2006-2011). | |||
CHRISTOPHER A. MADDEN | Secretary | Term: Unlimited Served: since August 2013 | Vice President and Senior Counsel, State Street Bank and Trust Company (2013-present); Counsel, Atlantic Fund Services (2009-2013); Vice President.* | |||
PATRICIA A. MORISETTE | Assistant Secretary | Term: Unlimited Served: since February 2015 | Vice President and Counsel, State Street Bank and Trust Company (2014-present); Assistant Vice President and Counsel, John Hancock Financial Services (2011-2013); Independent legal consultant (2009-2011); Associate, Bingham McCutchen LLP (2003-2009).*,** | |||
BRUCE S. ROSENBERG | Treasurer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present; Director, Credit Suisse (April 2008-July 2015)). | |||
CHAD C. HALLETT | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014-present); Vice President, State Street Bank and Trust Company (2001-November 2014).* | |||
SUJATA UPRETI | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present; Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012)). | |||
DANIEL FOLEY | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).* | |||
BRIAN HARRIS | Chief Compliance Officer and Anti-Money Laundering Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013-present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010-2013); Director of Compliance, AARP Financial Inc. (2008-2010). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
** | Served in various capacities and/or with unaffiliated mutual funds or closed-end funds for which State Street Bank and Trust Company or its affiliates act as a provider of services during the noted time period. |
Statement of Additional information (SAI) includes additional information about Fund directors and is available, without charge, upon request and by calling 1-866-787-2257.
38
Table of Contents
SSGA Active Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
Officers
Ellen M. Needham, President
Bruce Rosenburg, Treasurer
Ann Carpenter, Vice President and Deputy Treasurer
Michael P. Riley, Vice President
Chad C. Hallett, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
Daniel Foley, Assistant Treasurer
Christopher A. Madden, Secretary
Patricia A. Morisette, Assistant Secretary
Brian Harris, Chief Compliance Officer and Anti-Money Laundering Officer
Joshua A. Weinberg, Chief Legal Officer
Investment Manager and Administrator
SSGA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Distributor
State Street Global Markets, LLC
One Lincoln Street
Boston, MA 02111
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20006
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
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.
Fund Shares are distributed by State Street Global Markets, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Markets, LLC; member FINRA, SIPC.
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or any private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-866-787-2257. Please read the offering document carefully before investing in the Portfolio.
Not FDIC Insured — No Bank Guarantee — May Lose Value | © 2016 State Street Corporation — All Rights Reserved SSITCGSAR IBG-20864 |
Table of Contents
Semi-Annual Report
30 June 2016
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest. |
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Semi-Annual Report
June 30, 2016 (Unaudited)
1 | ||||
2 | ||||
5 | ||||
6 | ||||
7 | ||||
8 | ||||
9 | ||||
18 |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
State Street Hedged International Developed Equity Index Fund
Portfolio Composition* | June 30, 2016 | |||
Mutual Funds and Exchange Traded Products | 96.6 | % | ||
Short-Term Investment | 3.0 | |||
Other Assets in Excess of Liabilities | 0.4 | |||
Total | 100.0 | % |
* | As a percentage of net assets as of the date indicated. The Fund’s composition will vary over time. |
See accompanying notes to financial statements.
1
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
MUTUAL FUND AND EXCHANGE TRADED PRODUCTS – 96.6% |
| |||||||
State Street International Developed Equity Index Portfolio | $ | 1,312,739,423 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 3.0% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(a)(b) | 40,627,270 | 40,627,270 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.6% |
| 1,353,366,693 | ||||||
Other Assets in Excess of Liabilities – 0.4% | 5,797,303 | |||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 1,359,163,996 | |||||
|
|
(a) | The Fund invested in affiliated funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(b) | The rate shown is the annualized seven-day yield at June 30, 2016. |
At June 30, 2016, open forward foreign currency contracts were as follows:
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
BNP Paribas SA | USD | 17,998,588 | SGD | 24,224,299 | 07/05/2016 | $ | – | |||||||||||||||||
BNP Paribas SA | SGD | 23,919,299 | USD | 17,364,119 | 07/05/2016 | (407,855 | ) | |||||||||||||||||
BNP Paribas SA | USD | 171,685,923 | JPY | 17,612,743,805 | 07/06/2016 | 72 | ||||||||||||||||||
BNP Paribas SA | USD | 39,004,402 | SEK | 330,459,531 | 07/06/2016 | 3 | ||||||||||||||||||
BNP Paribas SA | USD | 28,341,954 | DKK | 189,797,566 | 07/06/2016 | 574 | ||||||||||||||||||
BNP Paribas SA | USD | 9,299,888 | ILS | 35,814,174 | 07/06/2016 | 4 | ||||||||||||||||||
BNP Paribas SA | USD | 8,153,787 | NOK | 68,230,520 | 07/06/2016 | (2 | ) | |||||||||||||||||
BNP Paribas SA | USD | 2,603,384 | NZD | 3,655,581 | 07/06/2016 | (5 | ) | |||||||||||||||||
BNP Paribas SA | NZD | 3,258,581 | USD | 2,200,705 | 07/06/2016 | (119,944 | ) | |||||||||||||||||
BNP Paribas SA | NOK | 63,231,520 | USD | 7,560,000 | 07/06/2016 | 3,613 | ||||||||||||||||||
BNP Paribas SA | ILS | 34,083,174 | USD | 8,855,282 | 07/06/2016 | 4,880 | ||||||||||||||||||
BNP Paribas SA | DKK | 176,038,566 | USD | 26,375,782 | 07/06/2016 | 87,889 | ||||||||||||||||||
BNP Paribas SA | SEK | 321,462,531 | USD | 38,535,658 | 07/06/2016 | 593,176 | ||||||||||||||||||
BNP Paribas SA | JPY | 16,703,075,305 | USD | 150,783,118 | 07/06/2016 | (12,035,585 | ) | |||||||||||||||||
BNP Paribas SA | USD | 30,250,557 | EUR | 27,197,000 | 08/04/2016 | (3,453 | ) | |||||||||||||||||
BNP Paribas SA | NZD | 3,655,581 | USD | 2,599,425 | 08/04/2016 | (49 | ) | |||||||||||||||||
BNP Paribas SA | GBP | 5,384,000 | USD | 7,198,047 | 08/04/2016 | (841 | ) | |||||||||||||||||
BNP Paribas SA | NOK | 68,230,520 | USD | 8,153,414 | 08/04/2016 | (142 | ) | |||||||||||||||||
BNP Paribas SA | ILS | 35,814,174 | USD | 9,304,473 | 08/04/2016 | (395 | ) | |||||||||||||||||
BNP Paribas SA | SGD | 24,224,299 | USD | 17,991,236 | 08/04/2016 | (3,263 | ) | |||||||||||||||||
BNP Paribas SA | DKK | 189,797,566 | USD | 28,368,643 | 08/04/2016 | (3,591 | ) | |||||||||||||||||
BNP Paribas SA | SEK | 330,459,531 | USD | 39,052,741 | 08/04/2016 | (750 | ) | |||||||||||||||||
BNP Paribas SA | JPY | 17,612,743,805 | USD | 171,823,265 | 08/04/2016 | (17,239 | ) | |||||||||||||||||
Bank of America | USD | 171,672,536 | JPY | 17,612,743,805 | 07/06/2016 | 13,459 | ||||||||||||||||||
Bank of America | USD | 101,703,709 | AUD | 136,592,050 | 07/06/2016 | (1,175 | ) | |||||||||||||||||
Bank of America | DKK | 1,081,000 | USD | 162,285 | 07/06/2016 | 859 | ||||||||||||||||||
Bank of America | SEK | 1,883,000 | USD | 223,653 | 07/06/2016 | 1,401 | ||||||||||||||||||
Bank of America | GBP | 1,069,000 | USD | 1,504,646 | 07/06/2016 | 75,601 | ||||||||||||||||||
Bank of America | AUD | 127,349,050 | USD | 92,140,858 | 07/06/2016 | (2,679,602 | ) | |||||||||||||||||
Bank of America | JPY | 16,703,075,305 | USD | 150,783,118 | 07/06/2016 | (12,035,585 | ) | |||||||||||||||||
Bank of America | AUD | 136,592,050 | USD | 101,590,337 | 08/04/2016 | (3,693 | ) | |||||||||||||||||
Bank of America | JPY | 17,612,743,805 | USD | 171,846,736 | 08/04/2016 | 6,232 | ||||||||||||||||||
Citibank N.A. | USD | 125,486,228 | GBP | 93,869,273 | 07/06/2016 | (1,238 | ) | |||||||||||||||||
Citibank N.A. | USD | 44,718,783 | HKD | 346,918,035 | 07/06/2016 | (1,038 | ) | |||||||||||||||||
Citibank N.A. | HKD | 1,977,000 | USD | 254,775 | 07/06/2016 | (60 | ) | |||||||||||||||||
Citibank N.A. | AUD | 778,000 | USD | 568,205 | 07/06/2016 | (11,071 | ) | |||||||||||||||||
Citibank N.A. | JPY | 200,748,000 | USD | 1,930,305 | 07/06/2016 | (26,552 | ) | |||||||||||||||||
Citibank N.A. | HKD | 347,236,035 | USD | 44,718,156 | 07/06/2016 | (40,580 | ) |
See accompanying notes to financial statements.
2
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
Citibank N.A. | GBP | 91,269,274 | USD | 132,870,265 | 07/06/2016 | $ | 10,860,969 | |||||||||||||||||
Citibank N.A. | USD | 29,367,140 | JPY | 3,009,524,000 | 08/04/2016 | (4,417 | ) | |||||||||||||||||
Citibank N.A. | ILS | 3,884,000 | USD | 1,008,907 | 08/04/2016 | (194 | ) | |||||||||||||||||
Citibank N.A. | HKD | 346,918,035 | USD | 44,733,603 | 08/04/2016 | (1,198 | ) | |||||||||||||||||
Citibank N.A. | GBP | 93,869,273 | USD | 125,508,005 | 08/04/2016 | (3,592 | ) | |||||||||||||||||
Goldman Sachs Bank | DKK | 1,261,000 | USD | 189,559 | 07/06/2016 | 1,254 | ||||||||||||||||||
Goldman Sachs Bank | SEK | 2,195,000 | USD | 264,734 | 07/06/2016 | 5,656 | ||||||||||||||||||
Goldman Sachs Bank | CHF | 844,000 | USD | 855,138 | 07/06/2016 | (11,267 | ) | |||||||||||||||||
Goldman Sachs Bank | GBP | 1,247,000 | USD | 1,797,326 | 07/06/2016 | 130,329 | ||||||||||||||||||
HSBC Bank USA | USD | 212,249,850 | EUR | 191,044,657 | 07/06/2016 | (1,807 | ) | |||||||||||||||||
HSBC Bank USA | EUR | 185,640,657 | USD | 206,902,082 | 07/06/2016 | 657,810 | ||||||||||||||||||
HSBC Bank USA | EUR | 191,044,657 | USD | 212,461,718 | 08/04/2016 | (8,318 | ) | |||||||||||||||||
JP Morgan Chase Bank, N.A. | SGD | 305,000 | USD | 221,345 | 07/05/2016 | (5,269 | ) | |||||||||||||||||
JP Morgan Chase Bank, N.A. | USD | 592,459 | HKD | 4,600,000 | 07/06/2016 | 481 | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | NZD | 397,000 | USD | 268,081 | 07/06/2016 | (14,649 | ) | |||||||||||||||||
JP Morgan Chase Bank, N.A. | ILS | 1,731,000 | USD | 450,010 | 07/06/2016 | 520 | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | SEK | 4,919,000 | USD | 589,707 | 07/06/2016 | 9,114 | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | NOK | 4,999,000 | USD | 597,702 | 07/06/2016 | 304 | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | DKK | 11,417,000 | USD | 1,710,515 | 07/06/2016 | 5,611 | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | GBP | 2,884,000 | USD | 4,198,945 | 07/06/2016 | 343,597 | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | AUD | 7,558,000 | USD | 5,468,394 | 07/06/2016 | (159,076 | ) | |||||||||||||||||
JP Morgan Chase Bank, N.A. | CHF | 5,659,000 | USD | 5,700,029 | 07/06/2016 | (109,198 | ) | |||||||||||||||||
JP Morgan Chase Bank, N.A. | EUR | 6,092,000 | USD | 6,789,175 | 07/06/2016 | 21,045 | ||||||||||||||||||
JP Morgan Chase Bank, N.A. | JPY | 1,384,510,000 | USD | 12,494,867 | 07/06/2016 | (1,001,098 | ) | |||||||||||||||||
Morgan Stanley Bank, N.A. | EUR | 2,539,000 | USD | 2,839,668 | 07/06/2016 | 18,874 | ||||||||||||||||||
Royal Bank of Canada | USD | 212,249,659 | EUR | 191,044,657 | 07/06/2016 | (1,616 | ) | |||||||||||||||||
Royal Bank of Canada | EUR | 185,640,657 | USD | 206,905,794 | 07/06/2016 | 661,523 | ||||||||||||||||||
Royal Bank of Canada | USD | 5,604,121 | AUD | 7,534,000 | 08/04/2016 | (505 | ) | |||||||||||||||||
Royal Bank of Canada | USD | 822,139 | HKD | 6,375,000 | 08/04/2016 | (88 | ) | |||||||||||||||||
Royal Bank of Canada | EUR | 191,044,657 | USD | 212,462,674 | 08/04/2016 | (7,363 | ) | |||||||||||||||||
Standard Chartered Bank | CHF | 724,000 | USD | 749,630 | 07/06/2016 | 6,410 | ||||||||||||||||||
Standard Chartered Bank | EUR | 2,177,000 | USD | 2,430,237 | 07/06/2016 | 11,620 | ||||||||||||||||||
Toronto Dominion Bank | USD | 130,533,926 | CHF | 127,146,571 | 07/06/2016 | (12,060 | ) | |||||||||||||||||
Toronto Dominion Bank | CHF | 119,919,571 | USD | 120,803,855 | 07/06/2016 | (2,299,160 | ) | |||||||||||||||||
Toronto Dominion Bank | CHF | 127,146,571 | USD | 130,741,975 | 08/04/2016 | (27,622 | ) | |||||||||||||||||
Westpac Banking Corp. | USD | 125,485,384 | GBP | 93,869,274 | 07/06/2016 | (393 | ) | |||||||||||||||||
Westpac Banking Corp. | HKD | 2,305,000 | USD | 296,742 | 07/06/2016 | (373 | ) | |||||||||||||||||
Westpac Banking Corp. | AUD | 907,000 | USD | 655,960 | 07/06/2016 | (19,367 | ) | |||||||||||||||||
Westpac Banking Corp. | JPY | 234,079,000 | USD | 2,138,561 | 07/06/2016 | (143,201 | ) | |||||||||||||||||
Westpac Banking Corp. | GBP | 91,269,273 | USD | 132,873,002 | 07/06/2016 | 10,863,707 | ||||||||||||||||||
Westpac Banking Corp. | USD | 6,240,291 | CHF | 6,066,000 | 08/04/2016 | (1,441 | ) | |||||||||||||||||
Westpac Banking Corp. | USD | 2,191,430 | SEK | 18,542,000 | 08/04/2016 | (149 | ) | |||||||||||||||||
Westpac Banking Corp. | USD | 2,019,474 | DKK | 13,508,000 | 08/04/2016 | (206 | ) | |||||||||||||||||
Westpac Banking Corp. | NOK | 3,940,000 | USD | 470,866 | 08/04/2016 | 36 | ||||||||||||||||||
Westpac Banking Corp. | GBP | 93,869,274 | USD | 125,509,321 | 08/04/2016 | (2,276 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total | $ | (6,842,988 | ) | |||||||||||||||||||||
|
|
During the period ended June 30, 2016, average notional value related to foreign currency exchange contracts was $3,630,415,678 or 267% of net assets.
AUD | – Australian dollar | |
CHF | – Swiss franc | |
DKK | – Danish krone | |
EUR | – Euro | |
GBP | – British pound | |
HKD | – Hong Kong dollar | |
ILS | – Israeli New shekel |
See accompanying notes to financial statements.
3
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
JPY | – Japanese yen | |
NOK | – Norwegian krone | |
NZD | – New Zealand dollar | |
SEK | – Swedish krona | |
SGD | – Singapore dollar | |
USD | – U.S. dollar |
At June 30, 2016, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Depreciation | ||||||||||||
Mini MSCI EAFE (long) | 09/16/2016 | 552 | $ | 44,579,520 | $ | (41,919 | ) |
During the period ended June 30, 2016, average notional value related to futures contracts was $29,333,778 or 2.2% of net assets.
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Investments: | ||||||||||||||||
Mutual Fund and Exchange Traded Products | $ | 1,312,739,423 | $ | – | $ | – | $ | 1,312,739,423 | ||||||||
Short-Term Investment | 40,627,270 | – | – | 40,627,270 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,353,366,693 | $ | – | $ | – | $ | 1,353,366,693 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | – | 24,386,623 | – | 24,386,623 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments and Other Financial Instruments | $ | 1,353,366,693 | $ | 24,386,623 | $ | – | $ | 1,377,753,316 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | (31,229,611 | ) | $ | – | $ | (31,229,611 | ) | ||||||
Futures Contracts(b) | (41,919 | ) | – | – | (41,919 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (41,919 | ) | $ | (31,229,611 | ) | $ | – | $ | (31,271,530 | ) | |||||
|
|
|
|
|
|
|
|
(a) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 30,478,470 | $ | 30,478,470 | 162,211,750 | 152,062,950 | 40,627,270 | $ | 40,627,270 | $ | 52,100 | $ | – |
See accompanying notes to financial statements.
4
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investment in corresponding Portfolio, at value (Note 1) | $ | 1,312,739,423 | ||
Investments in affiliated issuers, at value (Note 2) | 40,627,270 | |||
|
| |||
Total investments | 1,353,366,693 | |||
Foreign currency, at value | 413,236 | |||
Cash at broker | 2,760,000 | |||
Receivable from broker – variation margin on open futures contracts | 2,602,107 | |||
Receivable for investments sold | 18,013 | |||
Receivable for fund shares sold | 7,646,546 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 24,386,623 | |||
Dividends receivable – affiliated issuers (Note 2) | 14,784 | |||
Receivable from Adviser (Note 4) | 176,250 | |||
Receivable for foreign taxes recoverable | 1,141,989 | |||
|
| |||
Total assets | 1,392,526,241 | |||
|
| |||
Liabilities | ||||
Unrealized depreciation on forward foreign currency exchange contracts | 31,229,611 | |||
Payable for fund shares repurchased | 1,983,224 | |||
Administration fees payable (Note 4) | 110,911 | |||
Transfer agent fees payable (Note 4) | 920 | |||
Registration and filing fees payable | 21,825 | |||
Professional fees payable | 10,973 | |||
Printing and postage fees payable | 3,892 | |||
Accrued expenses and other liabilities | 889 | |||
|
| |||
Total liabilities | 33,362,245 | |||
|
| |||
Net Assets | $ | 1,359,163,996 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 1,444,283,648 | ||
Undistributed (distribution in excess of) net investment income (loss) | 25,383,280 | |||
Accumulated net realized gain (loss) on investments, foreign currency transactions, and futures contracts | (18,485,785 | ) | ||
Net unrealized appreciation (depreciation) on: | ||||
Investments | (84,942,156 | ) | ||
Foreign currency transactions | (6,793,669 | ) | ||
Foreign currency transactions allocated from Portfolio | (102,629 | ) | ||
Futures contracts | (41,919 | ) | ||
Futures contracts allocated from Portfolio | (136,774 | ) | ||
|
| |||
Net Assets | $ | 1,359,163,996 | ||
|
| |||
Class K | ||||
Net Assets | $ | 1,359,163,996 | ||
Shares outstanding | 160,176,548 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 8.49 | ||
|
| |||
Cost of Investments | ||||
Investment in Portfolio | $ | 1,397,681,579 | ||
Investments in affiliated issuers | 40,627,270 | |||
|
| |||
Total cost of investments | $ | 1,438,308,849 | ||
|
| |||
Foreign currency, at cost | $ | 409,968 | ||
|
|
See accompanying notes to financial statements and financial statements of the master portfolio.
5
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
For the Six Months Ended June 30, 2016 (Unaudited)
Investment Income | ||||
Dividend income allocated from the Portfolio (Note 2) | $ | 12,907,979 | ||
Expenses allocated from the Portfolio (Note 2) | (269,251 | ) | ||
Dividend income – unaffiliated issuers (Note 2) | 16,278,195 | |||
Dividend income – affiliated issuers (Note 2) | 52,100 | |||
Foreign taxes withheld | (2,607,069 | ) | ||
|
| |||
Total Investment Income (Loss) | 26,361,954 | |||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 814,026 | |||
Administration fees (Note 4) | 290,723 | |||
Custodian fees (Note 4) | 313,358 | |||
Trustees’ fees and expenses (Note 5) | 7,778 | |||
Transfer agent fees (Note 4) | 4,873 | |||
Registration and filing fees | 31,640 | |||
Professional fees | 15,796 | |||
Printing and postage expenses | 9,469 | |||
Insurance expense | 2,912 | |||
Miscellaneous expenses | 8,434 | |||
|
| |||
Total expenses | 1,499,009 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 4) | (597,838 | ) | ||
|
| |||
Net expenses | 901,171 | |||
|
| |||
Net Investment Income (Loss) | 25,460,783 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions allocated from the Portfolio | (3,009,030 | ) | ||
Investment transactions – unaffiliated issuers | (997,158 | ) | ||
Foreign currency transactions allocated from the Portfolio | (21,180 | ) | ||
Foreign currency and forward foreign currency exchange contract transactions | (32,968,144 | ) | ||
Futures contracts | (1,023,151 | ) | ||
Futures contracts allocated from the Portfolio | (284,928 | ) | ||
|
| |||
Net realized gain (loss) | (38,303,591 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment transactions | (40,626,012 | ) | ||
Foreign currency transactions allocated from the Portfolio | (102,629 | ) | ||
Foreign currency and forward foreign currency exchange contract transactions | 4,381,902 | |||
Futures contracts | (98,828 | ) | ||
Futures contracts allocated from the Portfolio | (136,774 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation | (36,580,341 | ) | ||
|
| |||
Net realized and unrealized gain (loss) | (74,883,932 | ) | ||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | (49,423,149 | ) | |
|
|
See accompanying notes to financial statements and financial statements of the master portfolio.
6
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Statement of Changes in Net Assets
Six Months Ended 6/30/16** (Unaudited) | For the Period 5/29/15* - 12/31/15 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 25,460,783 | $ | 5,051,671 | ||||
Net realized gain (loss) | (38,303,591 | ) | 22,806,665 | |||||
Net change in unrealized appreciation/depreciation | (36,580,341 | ) | (55,436,806 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (49,423,149 | ) | (27,578,470 | ) | ||||
|
|
|
| |||||
Distributions to Shareholder from: | ||||||||
Net investment Income | ||||||||
Class K | – | (5,281,836 | ) | |||||
Net realized gain on investments | ||||||||
Class K | – | (2,836,197 | ) | |||||
|
|
|
| |||||
Total distributions to shareholders | – | (8,118,033 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Class K | ||||||||
Shares sold | 522,212,313 | 1,035,865,022 | ||||||
Reinvestment of distributions | – | 8,118,033 | ||||||
Shares redeemed | (72,168,842 | ) | (49,742,878 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 450,043,471 | 994,240,177 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 400,620,322 | 958,543,674 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 958,543,674 | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 1,359,163,996 | $ | 958,543,674 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 25,383,280 | $ | (77,503 | ) | |||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Class K | ||||||||
Shares sold | 62,248,916 | 110,940,307 | ||||||
Reinvestment of distributions | – | 916,257 | ||||||
Shares redeemed | (8,520,888 | ) | (5,408,044 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 53,728,028 | 106,448,520 | ||||||
|
|
|
|
* | Inception date. |
** | Effective April 29, 2016, the fund substantially invested its assets in the State Street International Developed Equity Portfolio (Note 1). |
See accompanying notes to financial statements and financial statements of the master portfolio.
7
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Selected data for a share outstanding throughout each period
Class K | ||||||||
Six Months Ended 6/30/16(a) (Unaudited) | For the Period 5/29/15* - 12/31/15 | |||||||
Net Asset Value, Beginning of Period | $ | 9.00 | $ | 10.00 | ||||
|
|
|
| |||||
Income (loss) from Investment Operations | ||||||||
Net investment income (loss)(b) | 0.19 | 0.09 | ||||||
Net realized and unrealized gain (loss) | (0.70 | ) | (1.00 | ) | ||||
|
|
|
| |||||
Total from investment operations | (0.51 | ) | (0.91 | ) | ||||
|
|
|
| |||||
Distributions to Shareholders From: | ||||||||
Net investment income | – | (0.06 | ) | |||||
Net realized gains | – | (0.03 | ) | |||||
|
|
|
| |||||
Total distributions | – | (0.09 | ) | |||||
|
|
|
| |||||
Net Asset Value, End of Period | $ | 8.49 | $ | 9.00 | ||||
|
|
|
| |||||
Total Return(c) | (5.77 | )% | (9.01 | )% | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 1,359,164 | $ | 958,544 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.30 | %(d)(g) | 0.38 | %(d) | ||||
Net expenses | 0.20 | %(d)(g) | 0.20 | %(d) | ||||
Net investment income (loss) | 4.38 | %(d)(g) | 1.60 | %(d) | ||||
Portfolio turnover rate | 1 | %(e) | 1 | % |
* | Commencement of operations. |
(a) | Prior to April 29, 2016, the per share amounts and ratios included the Fund’s standalone performance. Effective April 29, 2016, the per share amounts and ratios include the Fund’s proportionate share of the income and expenses of the Portfolio. |
(b) | Net investment income per share is calculated using the average shares method, which more appropriately presents the per share data for the period. |
(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 distribution. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the Portfolio. |
See accompanying notes to financial statements and financial statements of the master portfolio.
8
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
June 30, 2016 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on February 16, 2000.
As of June 30, 2016, the Trust consists of fifty-one (51) series and corresponding classes, each of which has the same rights and privileges, including voting rights. The State Street Hedged International Developed Equity Index Fund is authorized to the issue an unlimited number of shares of beneficial interest at no par value. The financial statements herein relate only to:
Fund | Classes | Commencement of Operations | Diversification Classification | |||
State Street Hedged International Developed Equity Index Fund | Class K | 5/29/15 | Diversified |
Effective April 29, 2016, the State Street Hedged International Developed Equity Index Fund (the “Fund”) invests substantially all of its investable assets in the State Street International Developed Equity Index Portfolio (the “Portfolio”). The Fund made an in-kind contribution of 929 equity securities totaling $1,275,794,840 at market value into the State Street International Developed Equity Index Portfolio (the “Portfolio”). The Fund now 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, a separate series of Master Trust, that has a substantially identical investment objective, investment policies, and risks as the Fund. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in the net assets of the Portfolio (100% at June 30, 2016). 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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Fund records its investment in the Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements which are attached to this report.
9
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments. The summary of the inputs used for the Portfolio, as of June 30, 2016, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report. The investment in the Portfolio is categorized as Level 1 for financial reporting purposes.
Additionally, valuation techniques used to value the Fund’s investments, other than investment in the Portfolio, by major category are as follows:
• | 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. |
• | Forward foreign currency exchange 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. |
• | 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. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical asset or liability (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; |
10
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market corroborated inputs; and |
• | Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments according to the fair value hierarchy as of June 30, 2016, is disclosed in the Schedule 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 material transfers between levels for the period ended June 30, 2016.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date 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, if any. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method.
Effective April 29, 2016, realized gains and losses from investment in Portfolio consist of the Fund’s share of the Portfolio’s realized gains and losses, and net investment income consists of the Fund’s share of the net investment income of the Portfolio.
Expenses
Certain expenses, which are directly identifiable to a specific fund, are applied to the fund within the Trust. 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 relative net assets of the Funds within the Trust.
Distributions
Distributions 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
11
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions. The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invest. These foreign taxes, if any, are paid by the Fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2016, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
3. | Derivative Financial Instruments |
Futures Contracts
The Fund may enter into futures contracts to meet its objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended June 30, 2016, the Fund entered into futures contracts for cash equalization and return enhancement.
Forward Foreign Currency Exchange 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 exchange contract is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and the change in market value is recorded by the Fund as an unrealized gain or loss. When the contract is closed, the
12
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 exchange 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 exchange contracts to hedge, the Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.
For the period ended June 30, 2016, the Fund entered into forward foreign currency exchange contracts to offset the Fund’s exposure to the component currencies.
The following tables summarize the value of the Fund’s derivative instruments as of June 30, 2016 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk(a) | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||
Forward Foreign Currency Exchange Contracts | $– | $ | 24,386,623 | $ | – | $ | – | $ | – | $ | 24,386,623 |
(a) | Unrealized appreciation on forward foreign currency exchange contracts. |
Liability Derivatives
State Street Hedged International Developed Equity Index Fund
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | (31,229,611 | ) | $ | – | $ | – | $ | – | $ | (31,271,530 | ) | ||||||||||
Futures Contracts(b) | – | – | – | (41,919 | ) | – | (41,919 | ) |
(a) | Unrealized depreciation on forward foreign currency exchange contracts. |
(b) | Unrealized depreciation on open futures contracts. |
Net Realized Gain (Loss)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | (33,327,585 | ) | $ | – | $ | – | $ | – | $ | (33,327,585 | ) | ||||||||||
Futures Contracts(b) | – | – | – | (1,023,151 | ) | – | (1,023,151 | ) |
(a) | Net realized gain (loss) on forward foreign currency exchange contracts. |
(b) | Net realized gain (loss) on futures contracts. |
13
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk(a) | Credit Contracts Risk | Equity Contracts Risk(b) | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Hedged International Developed Equity Index Fund |
| |||||||||||||||||||||||
Forward Foreign Currency Exchange Contracts | $ | – | $ | 4,313,390 | $ | – | $ | – | $ | – | $ | 4,313,390 | ||||||||||||
Futures Contracts | – | – | – | (96,828 | ) | – | (96,828 | ) |
(a) | Net change in unrealized appreciation (depreciation) on forward foreign currency exchange contracts. |
(b) | Net change in unrealized appreciation (depreciation) on futures contracts. |
For financial reporting purposes, the Fund does not offset derivative assets or liabilities, including those that may be subject to an enforceable Foreign Exchange Master Agreement that allows for net settlement between counterparties, on its Statement of Assets and Liabilities. The following tables set forth the Fund’s net exposure to derivative assets and liabilities available for offset and net of collateral at June 30, 2016.
Offsetting of Financial Assets and Derivative Assets |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Counterparty | Gross Amounts of Assets | Amount Eligible to Offset | Collateral (Received)/ Pledged | Net Amount | ||||||||||||
Bank of America | $ | 97,552 | $ | (97,552 | ) | $ | – | $ | – | |||||||
BNP Paribas SA | 690,211 | (690,211 | ) | – | – | |||||||||||
Citibank N.A. | 10,860,969 | (89,940 | ) | – | 10,771,029 | |||||||||||
Goldman Sachs Bank | 137,239 | (11,267 | ) | – | 125,972 | |||||||||||
HSBC Bank USA | 657,810 | (10,125 | ) | – | 647,685 | |||||||||||
JP Morgan Chase Bank, N.A. | 380,672 | (380,671 | ) | – | – | |||||||||||
Morgan Stanley Bank, N.A. | 18,874 | – | – | 18,874 | ||||||||||||
Royal Bank of Canada | 661,523 | (9,572 | ) | – | 651,951 | |||||||||||
Standard Chartered Bank | 18,030 | – | – | 18,030 | ||||||||||||
Westpac Banking Corp. | 10,863,743 | (167,406 | ) | – | 10,696,337 | |||||||||||
$ | 24,386,623 | $ | (1,456,744 | ) | $ | – | $ | 22,929,879 | ||||||||
Offsetting of Financial Liabilities and Derivative Liabilities |
| |||||||||||||||
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Counterparty | Gross Amounts of Liabilities | Amount Eligible to Offset | Collateral (Received)/ Pledged | Net Amount | ||||||||||||
Bank of America | (14,720,055 | ) | $ | 97,552 | $ | – | (14,622,503 | ) | ||||||||
BNP Paribas SA | (12,593,114 | ) | 690,211 | – | (11,902,903 | ) | ||||||||||
Citibank N.A. | (89,940 | ) | 89,940 | – | – | |||||||||||
Goldman Sachs Bank | (11,267 | ) | 11,267 | – | – | |||||||||||
HSBC Bank USA | (10,125 | ) | 10,125 | – | – | |||||||||||
JP Morgan Chase Bank, N.A. | (1,289,290 | ) | 380,672 | – | (908,619 | ) | ||||||||||
Royal Bank of Canada | (9,572 | ) | 9,572 | – | – | |||||||||||
Toronto Dominion Bank | (2,338,842 | ) | – | – | (2,338,842 | ) | ||||||||||
Westpac Banking Corp. | (167,406 | ) | 167,406 | – | – | |||||||||||
$ | (31,229,611 | ) | $ | 1,456,744 | $ | – | $ | (29,772,867 | ) |
14
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
4. | Fees and Transactions with Affiliates |
Advisory Fee
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 Fund’s investment adviser, SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), has agreed to reduce its advisory fee by an amount equal to the amount of any advisory fee paid by State Street International Developed Equity Index Portfolio, a separate series of State Street Master Funds (the “Portfolio”), with respect to the assets of the Fund invested in the Portfolio. This arrangement may not be terminated except with the approval of the Fund’s Board of Trustees.
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 expenses other than the fees of the Portfolio, and any class specific expenses, such as distribution, shareholder servicing, administration, 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 six months ended June 30, 2016, SSGA FM reimbursed or waived the fees under these agreements as shown on the respective Statements of Operations.
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street serves as custodian and sub-administrator to the Fund. For its administration services, the Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets. The fees are accrued daily and paid monthly. For its services as custodian, the Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.
Transfer Agent Fees
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.
Other Transactions with Affiliates
The Fund may invest in affiliated entities, included securities issued by State Street, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2016 are disclosed in the Schedule of Investments.
In certain circumstances, the Fund may have cash overdraft with the custodian. The Due to custodian if any, reflects cash overdrawn with SSB as custodian who is an affiliate of the fund.
5. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees, who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are
15
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6. | Income Tax Information |
The Fund has qualified and intends to continue to qualify for as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. 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. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2016, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
State Street Hedged International Developed Equity Index Fund | $ | 1,438,308,849 | $ | – | $ | 84,942,156 | $ | (84,942,156 | ) |
7. | Line of Credit |
The Fund and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The agreement expires in October 2016 unless extended or renewed. Prior to October 14, 2015, the participants could borrow up to $300 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreements.
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of the New York Fed Bank Rate plus 1%. The Fund had no outstanding loans during the period ended June 30, 2016.
8. | Risks |
Concentration Risk
As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political
16
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Foreign and Emerging Markets Risk
Investing in foreign markets involve risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
9. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
17
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period (a) | Ending Account Value | Expenses Paid During Period (a) | ||||||
State Street Hedged International Developed Equity Index Fund | ||||||||||
Class K | 0.20% | $942.30 | $0.97 | $1,023.90 | $1.01 |
(a) | Hypothetical Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
18
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Fund’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 adviser voted for the prior 12-month 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 Portfolio files a complete schedule of investments 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 the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Funds’ website at www.ssgafunds.com.
19
Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Micheal A. Jessee
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 02119
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
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 |
The information contained in this report is intended for the general information of shareholders of the Trust. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Trust prospectus which contains important information concerning the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest. | IBG-20872 |
Table of Contents
Semi-Annual Report
30 June 2016
State Street Master Funds
State Street International Developed Equity Index Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio. |
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Semi-Annual Report
June 30, 2016 (Unaudited)
23 | ||||
24 | ||||
35 | ||||
36 | ||||
37 | ||||
38 | ||||
39 | ||||
46 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
TOP FIVE HOLDINGS
AS OF JUNE 30, 2016
DESCRIPTION | | MARKET VALUE | | | % OF NET ASSETS | | ||
Nestle SA | $ | 26,770,833 | 2.0 | |||||
Novartis AG | 20,365,561 | 1.6 | ||||||
Roche Holding AG | 20,102,740 | 1.5 | ||||||
Toyota Motor Corp. | 14,365,819 | 1.1 | ||||||
HSBC Holdings PLC | 13,265,278 | 1.0 |
(The five largest holdings are subject to change, and there are no guarantees the Fund will continue to remain invested in any particular security.)
Top Five Sectors (excluding short-term investments)* | June 30, 2016 | |||
Banks | 10.9 | % | ||
Pharmaceuticals | 9.7 | |||
Telecommunications | 5.4 | |||
Insurance | 5.2 | |||
Food | 4.9 | |||
Total | 36.1 | % |
* | 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.
23
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 97.6% | ||||||||
Australia – 7.2% | ||||||||
AGL Energy, Ltd. | 73,011 | $ | 1,058,641 | |||||
Alumina, Ltd. | 261,099 | 256,239 | ||||||
Amcor, Ltd. | 125,120 | 1,404,535 | ||||||
AMP, Ltd. | 320,020 | 1,245,177 | ||||||
APA Group | 124,527 | 864,737 | ||||||
Aristocrat Leisure, Ltd. | 57,439 | 596,579 | ||||||
Asciano, Ltd. | 68,941 | 456,673 | ||||||
ASX, Ltd. | 20,256 | 696,304 | ||||||
Aurizon Holdings, Ltd. | 213,920 | 774,914 | ||||||
AusNet Services | 160,085 | 196,846 | ||||||
Australia & New Zealand Banking Group, Ltd. | 314,066 | 5,713,090 | ||||||
Bank of Queensland, Ltd. | 35,333 | 281,442 | ||||||
Bendigo & Adelaide Bank, Ltd. | 56,169 | 406,036 | ||||||
BHP Billiton PLC | 230,029 | 2,923,599 | ||||||
BHP Billiton, Ltd. | 347,540 | 4,835,602 | ||||||
Boral, Ltd. | 80,999 | 379,664 | ||||||
Brambles, Ltd. | 174,302 | 1,624,732 | ||||||
Caltex Australia, Ltd. | 27,381 | 659,092 | ||||||
Challenger, Ltd. | 67,607 | 440,981 | ||||||
CIMIC Group, Ltd. | 9,421 | 253,935 | ||||||
Coca-Cola Amatil, Ltd. | 63,261 | 389,882 | ||||||
Cochlear, Ltd. | 6,685 | 608,954 | ||||||
Commonwealth Bank of Australia | 185,170 | 10,376,900 | ||||||
Computershare, Ltd. | 45,320 | 312,879 | ||||||
Crown Resorts, Ltd. | 37,579 | 356,857 | ||||||
CSL, Ltd. | 50,086 | 4,217,085 | ||||||
Dexus Property Group REIT | 102,308 | 693,111 | ||||||
Domino’s Pizza Enterprises, Ltd. | 6,544 | 336,196 | ||||||
DUET Group | 278,306 | 521,152 | ||||||
Flight Centre Travel Group, Ltd. | 6,354 | 150,922 | ||||||
Fortescue Metals Group, Ltd. | 179,739 | 480,215 | ||||||
Goodman Group REIT | 196,658 | 1,053,079 | ||||||
GPT Group REIT | 194,446 | 789,471 | ||||||
Harvey Norman Holdings, Ltd. | 74,061 | 257,287 | ||||||
Healthscope, Ltd. | 187,756 | 403,388 | ||||||
Incitec Pivot, Ltd. | 182,522 | 409,341 | ||||||
Insurance Australia Group, Ltd. | 257,155 | 1,057,586 | ||||||
LendLease Group | 59,749 | 566,652 | ||||||
Macquarie Group, Ltd. | 33,434 | 1,737,588 | ||||||
Medibank Pvt, Ltd. | 289,731 | 641,462 | ||||||
Mirvac Group REIT | 424,681 | 644,834 | ||||||
National Australia Bank, Ltd. | 287,302 | 5,507,153 | ||||||
Newcrest Mining, Ltd.(a) | 83,974 | 1,453,081 | ||||||
Oil Search, Ltd. | 154,082 | 776,795 | ||||||
Orica, Ltd. | 39,912 | 370,684 | ||||||
Origin Energy, Ltd. | 200,573 | 874,919 | ||||||
Platinum Asset Management, Ltd. | 15,476 | 67,105 | ||||||
Qantas Airways, Ltd. | 64,362 | 136,120 | ||||||
QBE Insurance Group, Ltd. | 150,969 | 1,190,675 | ||||||
Ramsay Health Care, Ltd. | 14,620 | 788,874 | ||||||
REA Group, Ltd. | 5,701 | 255,437 | ||||||
Santos, Ltd. | 182,034 | 643,325 | ||||||
Scentre Group REIT | 584,842 | 2,162,744 | ||||||
SEEK, Ltd. | 32,044 | 367,262 | ||||||
Sonic Healthcare, Ltd. | 44,318 | 717,554 | ||||||
South32, Ltd.(a) | 612,049 | 716,647 | ||||||
Stockland REIT | 245,445 | 868,825 | ||||||
Suncorp Group, Ltd. | 137,681 | 1,260,491 | ||||||
Sydney Airport | 118,214 | 616,278 | ||||||
Tabcorp Holdings, Ltd. | 79,768 | 274,340 | ||||||
Tatts Group, Ltd. | 174,270 | 500,695 | ||||||
Telstra Corp., Ltd. | 464,846 | 1,939,804 | ||||||
TPG Telecom, Ltd. | 36,726 | 328,787 | ||||||
Transurban Group Stapled Security | 218,519 | 1,964,983 | ||||||
Treasury Wine Estates, Ltd. | 76,398 | 530,025 | ||||||
Vicinity Centres REIT | 373,102 | 929,335 | ||||||
Vocus Communications, Ltd. | 49,224 | 319,610 | ||||||
Wesfarmers, Ltd. | 122,157 | 3,677,945 | ||||||
Westfield Corp. | 213,628 | 1,713,243 | ||||||
Westpac Banking Corp. | 362,279 | 8,020,805 | ||||||
Woodside Petroleum, Ltd. | 80,939 | 1,638,578 | ||||||
Woolworths, Ltd. | 137,529 | 2,159,651 | ||||||
|
| |||||||
93,845,429 | ||||||||
|
| |||||||
Austria – 0.2% | ||||||||
Andritz AG | 7,493 | 355,680 | ||||||
Erste Group Bank AG | 29,268 | 667,093 | ||||||
OMV AG | 15,751 | 443,250 | ||||||
Raiffeisen Bank International AG(a) | 10,655 | 134,744 | ||||||
Voestalpine AG | 13,453 | 453,254 | ||||||
|
| |||||||
2,054,021 | ||||||||
|
| |||||||
Belgium – 1.5% | ||||||||
Ageas | 22,463 | 781,641 | ||||||
Anheuser-Busch InBev SA | 87,167 | 11,539,102 | ||||||
Colruyt SA | 7,584 | 420,136 | ||||||
Delhaize Group | 11,732 | 1,240,641 | ||||||
Groupe Bruxelles Lambert SA | 8,304 | 681,712 | ||||||
KBC Group NV(a) | 27,048 | 1,331,682 | ||||||
Proximus SADP | 16,647 | 529,588 | ||||||
Solvay SA | 8,330 | 778,929 | ||||||
Telenet Group Holding NV(a) | 4,871 | 222,974 | ||||||
UCB SA | 13,814 | 1,038,378 | ||||||
Umicore SA | 11,096 | 573,775 | ||||||
|
| |||||||
19,138,558 | ||||||||
|
| |||||||
Chile – 0.0%(b) | ||||||||
Antofagasta PLC | 41,058 | 257,806 | ||||||
|
| |||||||
China – 0.0%(b) | ||||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 256,000 | 171,854 | ||||||
|
| |||||||
Denmark – 1.9% | ||||||||
AP Moeller – Maersk A/S Class A | 415 | 523,452 | ||||||
AP Moeller – Maersk A/S Class B | 681 | 890,175 | ||||||
Carlsberg A/S Class B | 11,459 | 1,094,120 | ||||||
Chr Hansen Holding A/S | 10,882 | 715,228 | ||||||
Coloplast A/S Class B | 12,934 | 968,914 | ||||||
Danske Bank A/S | 75,181 | 1,980,314 | ||||||
DSV A/S | 21,463 | 903,173 | ||||||
Genmab A/S(a) | 5,840 | 1,065,727 | ||||||
ISS A/S | 17,832 | 671,183 | ||||||
Novo Nordisk A/S Class B | 201,211 | 10,844,125 |
See accompanying notes to financial statements.
24
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Denmark – (continued) |
| |||||||
Novozymes A/S Class B | 24,995 | $ | 1,201,204 | |||||
Pandora A/S | 12,398 | 1,689,898 | ||||||
TDC A/S | 87,400 | 428,630 | ||||||
Tryg A/S | 12,407 | 222,312 | ||||||
Vestas Wind Systems A/S | 24,004 | 1,632,793 | ||||||
William Demant Holding A/S(a) | 13,515 | 263,282 | ||||||
|
| |||||||
25,094,530 | ||||||||
|
| |||||||
Finland – 0.9% | ||||||||
Elisa Oyj | 15,994 | 615,204 | ||||||
Fortum Oyj | 47,073 | 757,113 | ||||||
Kone Oyj Class B | 35,351 | 1,633,223 | ||||||
Metso Oyj | 11,543 | 271,668 | ||||||
Neste Oyj | 13,218 | 474,495 | ||||||
Nokia Oyj | 539,688 | 3,077,083 | ||||||
Nokia Oyj | 75,703 | 426,577 | ||||||
Nokian Renkaat Oyj | 13,319 | 477,894 | ||||||
Orion Oyj Class B | 11,232 | 436,607 | ||||||
Sampo Oyj Class A | 47,683 | 1,952,167 | ||||||
Stora Enso Oyj Class R | 60,592 | 487,813 | ||||||
UPM-Kymmene Oyj | 58,628 | 1,078,205 | ||||||
Wartsila Oyj Abp | 15,595 | 636,984 | ||||||
|
| |||||||
12,325,033 | ||||||||
|
| |||||||
France – 9.2% | ||||||||
Accor SA | 18,828 | 722,196 | ||||||
Aeroports de Paris | 3,598 | 394,661 | ||||||
Air Liquide SA | 37,477 | 3,908,635 | ||||||
Airbus Group SE | 63,269 | 3,630,495 | ||||||
Alstom SA(a) | 18,221 | 421,151 | ||||||
Arkema SA | 7,317 | 560,009 | ||||||
Atos SE | 10,122 | 835,450 | ||||||
AXA SA | 210,723 | 4,171,048 | ||||||
BNP Paribas SA | 114,848 | 5,042,162 | ||||||
Bollore SA | 99,747 | 336,163 | ||||||
Bouygues SA | 23,330 | 669,087 | ||||||
Bureau Veritas SA | 30,864 | 648,691 | ||||||
Cap Gemini SA | 17,447 | 1,507,177 | ||||||
Carrefour SA | 63,291 | 1,558,365 | ||||||
Casino Guichard Perrachon SA | 6,952 | 386,312 | ||||||
Christian Dior SE | 6,058 | 971,490 | ||||||
Cie de Saint-Gobain | 50,858 | 1,929,886 | ||||||
Cie Generale des Etablissements Michelin | 19,978 | 1,884,773 | ||||||
CNP Assurances | 19,774 | 292,056 | ||||||
Credit Agricole SA | 112,307 | 945,178 | ||||||
Danone SA | 64,094 | 4,490,315 | ||||||
Dassault Systemes | 14,096 | 1,063,931 | ||||||
Edenred | 24,748 | 507,290 | ||||||
Eiffage SA | 6,108 | 434,687 | ||||||
Electricite de France SA | 29,829 | 362,074 | ||||||
Engie SA | 160,489 | 2,579,703 | ||||||
Essilor International SA | 22,171 | 2,917,062 | ||||||
Eurazeo SA | 4,906 | 291,367 | ||||||
Eutelsat Communications SA | 21,533 | 406,877 | ||||||
Fonciere Des Regions | 4,166 | 368,615 | ||||||
Gecina SA REIT | 4,785 | 648,820 | ||||||
Groupe Eurotunnel SE | 54,050 | 571,531 | ||||||
Hermes International | 2,931 | 1,093,794 | ||||||
ICADE | 4,148 | 291,796 | ||||||
Iliad SA | 2,788 | 563,405 | ||||||
Imerys SA | 4,261 | 272,171 | ||||||
Ingenico Group SA | 6,162 | 714,978 | ||||||
JCDecaux SA | 7,586 | 256,052 | ||||||
Kering | 8,455 | 1,362,574 | ||||||
Klepierre REIT | 24,793 | 1,095,179 | ||||||
L’Oreal SA | 27,241 | 5,221,015 | ||||||
Lagardere SCA | 14,870 | 323,803 | ||||||
Legrand SA | 28,732 | 1,472,419 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 30,290 | 4,570,686 | ||||||
Natixis SA | 97,747 | 368,206 | ||||||
Numericable-SFR SA | 13,448 | 336,426 | ||||||
Orange SA | 216,527 | 3,524,644 | ||||||
Pernod Ricard SA | 22,730 | 2,519,301 | ||||||
Peugeot SA(a) | 55,390 | 664,627 | ||||||
Publicis Groupe SA | 20,380 | 1,364,944 | ||||||
Remy Cointreau SA | 2,648 | 228,189 | ||||||
Renault SA | 20,511 | 1,550,202 | ||||||
Rexel SA | 33,543 | 422,171 | ||||||
Safran SA | 33,849 | 2,281,915 | ||||||
Sanofi | 126,940 | 10,557,915 | ||||||
Schneider Electric SE | 59,887 | 3,497,624 | ||||||
SCOR SE | 19,112 | 565,658 | ||||||
Societe BIC SA | 3,479 | 490,701 | ||||||
Societe Generale SA | 83,605 | 2,618,483 | ||||||
Sodexo SA | 10,612 | 1,138,086 | ||||||
Suez Environment Co. | 38,119 | 595,204 | ||||||
Technip SA | 11,530 | 624,735 | ||||||
Thales SA | 11,711 | 973,582 | ||||||
TOTAL SA | 242,248 | 11,629,800 | ||||||
Unibail-Rodamco SE | 10,797 | 2,796,136 | ||||||
Valeo SA | 25,281 | 1,123,540 | ||||||
Veolia Environnement SA | 49,058 | 1,060,533 | ||||||
Vinci SA | 54,536 | 3,852,591 | ||||||
Vivendi SA | 125,632 | 2,352,953 | ||||||
Wendel SA | 3,558 | 368,236 | ||||||
Zodiac Aerospace | 21,299 | 497,410 | ||||||
|
| |||||||
120,698,941 | ||||||||
|
| |||||||
Germany – 8.4% | ||||||||
adidas AG | 20,376 | 2,928,120 | ||||||
Allianz SE | 49,452 | 7,062,320 | ||||||
Axel Springer SE | 5,227 | 274,733 | ||||||
BASF SE | 99,389 | 7,629,259 | ||||||
Bayer AG | 89,744 | 9,023,164 | ||||||
Bayerische Motoren Werke AG | 35,828 | 2,610,203 | ||||||
Bayerische Motoren Werke AG, Preference Shares Preference Shares | 6,277 | 400,570 | ||||||
Beiersdorf AG | 11,348 | 1,075,527 | ||||||
Brenntag AG | 16,508 | 800,544 | ||||||
Commerzbank AG | 120,298 | 784,269 | ||||||
Continental AG | 11,904 | 2,254,989 | ||||||
Covestro AG(c) | 7,560 | 337,089 | ||||||
Daimler AG | 104,191 | 6,241,353 | ||||||
Deutsche Bank AG(a) | 149,252 | 2,065,358 | ||||||
Deutsche Boerse AG | 21,007 | 1,727,689 | ||||||
Deutsche Lufthansa AG | 27,196 | 320,103 | ||||||
Deutsche Post AG | 104,271 | 2,940,749 | ||||||
Deutsche Telekom AG | 348,943 | 5,956,698 | ||||||
Deutsche Wohnen AG | 36,038 | 1,228,350 |
See accompanying notes to financial statements.
25
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Germany – (continued) |
| |||||||
E.ON SE | 213,278 | $ | 2,155,328 | |||||
Evonik Industries AG | 14,287 | 426,335 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 4,261 | 228,384 | ||||||
Fresenius Medical Care AG & Co. KGaA | 23,699 | 2,066,566 | ||||||
Fresenius SE & Co. KGaA | 44,291 | 3,257,908 | ||||||
Fuchs Petrolub SE Preference Shares | 8,355 | 329,048 | ||||||
GEA Group AG | 20,690 | 977,651 | ||||||
Hannover Rueck SE | 6,314 | 662,280 | ||||||
HeidelbergCement AG | 14,952 | 1,127,582 | ||||||
Henkel AG & Co. KGaA | 11,132 | 1,205,426 | ||||||
Henkel AG & Co. KGaA, Preference Shares Preference Shares | 19,279 | 2,358,643 | ||||||
HOCHTIEF AG | 2,218 | 286,677 | ||||||
HUGO BOSS AG | 7,164 | 407,728 | ||||||
Infineon Technologies AG | 123,149 | 1,784,681 | ||||||
KS AG | 21,991 | 450,691 | ||||||
Lanxess AG | 10,468 | 459,758 | ||||||
Linde AG | 20,098 | 2,803,413 | ||||||
MAN SE | 3,977 | 406,328 | ||||||
Merck KGaA | 14,137 | 1,438,479 | ||||||
METRO AG | 19,290 | 593,926 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 17,926 | 3,009,350 | ||||||
OSRAM Licht AG | 9,442 | 491,107 | ||||||
Porsche Automobil Holding SE Preference Shares | 16,675 | 771,582 | ||||||
ProSiebenSat.1 Media SE | 24,012 | 1,051,469 | ||||||
RWE AG(a) | 52,725 | 840,564 | ||||||
SAP SE | 106,350 | 7,996,065 | ||||||
Schaeffler AG Preference Shares | 17,706 | 234,123 | ||||||
Siemens AG | 83,025 | 8,529,330 | ||||||
Symrise AG | 13,200 | 901,360 | ||||||
Telefonica Deutschland Holding AG | 79,661 | 328,485 | ||||||
ThyssenKrupp AG | 38,455 | 773,794 | ||||||
TUI AG | 56,693 | 647,965 | ||||||
United Internet AG | 13,253 | 551,508 | ||||||
Volkswagen AG | 3,793 | 503,353 | ||||||
Volkswagen AG, Preference Shares Preference Shares | 20,082 | 2,434,966 | ||||||
Vonovia SE | 51,350 | 1,877,019 | ||||||
Zalando SE(a)(c) | 9,253 | 245,158 | ||||||
|
| |||||||
110,275,117 | ||||||||
|
| |||||||
Hong Kong – 3.2% | ||||||||
AIA Group, Ltd. | 1,308,800 | 7,853,933 | ||||||
ASM Pacific Technology, Ltd. | 24,600 | 177,207 | ||||||
Bank of East Asia, Ltd. | 134,377 | 518,800 | ||||||
BOC Hong Kong Holdings, Ltd. | 403,000 | 1,214,405 | ||||||
Cathay Pacific Airways, Ltd. | 112,000 | 164,314 | ||||||
Cheung Kong Infrastructure Holdings, Ltd. | 76,000 | 653,815 | ||||||
Cheung Kong Property Holdings, Ltd. | 297,265 | 1,876,868 | ||||||
CK Hutchison Holdings, Ltd. | 290,000 | 3,190,195 | ||||||
CLP Holdings, Ltd. | 175,000 | 1,789,955 | ||||||
First Pacific Co., Ltd. | 184,000 | 132,872 | ||||||
Galaxy Entertainment Group, Ltd. | 256,000 | 767,637 | ||||||
Hang Lung Properties, Ltd. | 265,000 | 536,761 | ||||||
Hang Seng Bank, Ltd. | 82,000 | 1,407,620 | ||||||
Henderson Land Development Co., Ltd. | 115,868 | 654,524 | ||||||
HK Electric Investments & HK Electric Investments, Ltd.(c) | 283,990 | 264,635 | ||||||
HKT Trust & HKT, Ltd. | 256,000 | 369,582 | ||||||
Hong Kong & China Gas Co., Ltd. | 847,000 | 1,549,875 | ||||||
Hong Kong Exchanges and Clearing, Ltd. | 124,432 | 3,033,530 | ||||||
Hongkong Land Holdings, Ltd. | 125,000 | 765,033 | ||||||
Hysan Development Co., Ltd. | 68,000 | 302,813 | ||||||
Jardine Matheson Holdings, Ltd. | 26,800 | 1,566,827 | ||||||
Kerry Properties, Ltd. | 63,000 | 156,633 | ||||||
Li & Fung, Ltd. | 554,000 | 269,356 | ||||||
Link REIT | 238,500 | 1,630,944 | ||||||
Melco Crown Entertainment, Ltd. ADR | 20,305 | 255,437 | ||||||
MTR Corp., Ltd. | 147,827 | 751,890 | ||||||
New World Development Co., Ltd. | 592,779 | 604,445 | ||||||
Noble Group, Ltd.(a) | 631,000 | 95,637 | ||||||
NWS Holdings, Ltd. | 156,961 | 249,266 | ||||||
PCCW, Ltd. | 533,000 | 358,845 | ||||||
Power Assets Holdings, Ltd. | 144,500 | 1,328,634 | ||||||
Sands China, Ltd. | 266,000 | 898,404 | ||||||
Shangri-La Asia, Ltd. | 162,000 | 162,652 | ||||||
Sino Land Co., Ltd. | 321,556 | 529,447 | ||||||
SJM Holdings, Ltd. | 256,000 | 157,416 | ||||||
Sun Hung Kai Properties, Ltd. | 154,000 | 1,857,646 | ||||||
Swire Pacific, Ltd. Class A | 58,500 | 662,267 | ||||||
Swire Properties, Ltd. | 126,800 | 338,675 | ||||||
Techtronic Industries Co., Ltd. | 160,500 | 670,260 | ||||||
WH Group, Ltd.(c) | 635,000 | 502,926 | ||||||
Wharf Holdings, Ltd. | 148,000 | 902,229 | ||||||
Wheelock & Co., Ltd. | 87,000 | 410,394 | ||||||
Yue Yuen Industrial Holdings, Ltd. | 70,500 | 281,243 | ||||||
|
| |||||||
41,865,847 | ||||||||
|
| |||||||
Ireland – 0.6% | ||||||||
Bank of Ireland(a) | 2,986,011 | 616,230 | ||||||
CRH PLC | 88,290 | 2,575,581 | ||||||
Experian PLC | 104,102 | 1,983,264 | ||||||
James Hardie Industries PLC | 45,284 | 700,201 | ||||||
Kerry Group PLC Class A | 16,456 | 1,461,039 | ||||||
Paddy Power Betfair PLC | 8,801 | 925,952 | ||||||
Ryanair Holdings PLC ADR | 3,179 | 221,068 | ||||||
|
| |||||||
8,483,335 | ||||||||
|
| |||||||
Israel – 0.7% | ||||||||
Azrieli Group, Ltd. | 4,911 | 209,290 | ||||||
Bank Hapoalim BM | 114,784 | 579,523 | ||||||
Bank Leumi Le-Israel BM(a) | 162,504 | 571,815 |
See accompanying notes to financial statements.
26
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Israel – (continued) |
| |||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 221,837 | $ | 440,396 | |||||
Check Point Software Technologies, Ltd.(a) | 13,992 | 1,114,882 | ||||||
Israel Chemicals, Ltd. | 66,773 | 260,717 | ||||||
Mizrahi Tefahot Bank, Ltd. | 12,796 | 147,868 | ||||||
Nice-Systems, Ltd. | 6,463 | 412,151 | ||||||
Teva Pharmaceutical Industries, Ltd. | 98,325 | 4,987,039 | ||||||
|
| |||||||
8,723,681 | ||||||||
|
| |||||||
Italy – 1.7% | ||||||||
Assicurazioni Generali SpA | 122,179 | 1,442,338 | ||||||
Atlantia SpA | 43,908 | 1,098,224 | ||||||
Enel SpA | 816,227 | 3,627,511 | ||||||
Eni SpA | 272,318 | 4,391,013 | ||||||
EXOR SpA | 12,043 | 445,054 | ||||||
Ferrari NV | 13,604 | 559,079 | ||||||
Intesa Sanpaolo SpA | 1,362,027 | 2,597,071 | ||||||
Intesa Sanpaolo SpA | 85,993 | 154,110 | ||||||
Leonardo-Finmeccanica SpA(a) | 44,010 | 445,540 | ||||||
Luxottica Group SpA | 18,566 | 905,841 | ||||||
Mediobanca SpA | 65,318 | 376,756 | ||||||
Poste Italiane SpA(c) | 55,726 | 370,417 | ||||||
Prysmian SpA | 23,011 | 505,618 | ||||||
Saipem SpA(a) | 705,226 | 282,275 | ||||||
Snam SpA | 261,374 | 1,564,295 | ||||||
Telecom Italia SpA/Milano(a) | 1,079,964 | 887,942 | ||||||
Telecom Italia SpA/Milano | 679,330 | 437,539 | ||||||
Terna Rete Elettrica Nazionale SpA | 167,286 | 931,970 | ||||||
UniCredit SpA | 549,486 | 1,209,764 | ||||||
Unione di Banche Italiane SpA | 107,263 | 296,532 | ||||||
UnipolSai SpA | 126,413 | 190,979 | ||||||
|
| |||||||
22,719,868 | ||||||||
|
| |||||||
Japan – 22.9% | ||||||||
ABC-Mart, Inc. | 3,300 | 222,926 | ||||||
Acom Co., Ltd.(a) | 52,500 | 256,012 | ||||||
Aeon Co., Ltd. | 73,300 | 1,145,586 | ||||||
AEON Financial Service Co., Ltd. | 12,600 | 274,622 | ||||||
Aeon Mall Co., Ltd. | 16,200 | 213,356 | ||||||
Air Water, Inc. | 16,000 | 236,970 | ||||||
Aisin Seiki Co., Ltd. | 20,300 | 832,326 | ||||||
Ajinomoto Co., Inc. | 59,000 | 1,399,242 | ||||||
Alfresa Holdings Corp. | 19,700 | 414,282 | ||||||
Alps Electric Co., Ltd. | 19,800 | 378,642 | ||||||
Amada Holdings Co., Ltd. | 41,000 | 418,976 | ||||||
ANA Holdings, Inc. | 112,000 | 321,256 | ||||||
Aozora Bank, Ltd. | 118,000 | 412,034 | ||||||
Asahi Glass Co., Ltd. | 102,000 | 557,185 | ||||||
Asahi Group Holdings, Ltd. | 42,000 | 1,366,997 | ||||||
Asahi Kasei Corp. | 143,000 | 1,001,689 | ||||||
Asics Corp. | 19,400 | 329,918 | ||||||
Astellas Pharma, Inc. | 228,900 | 3,613,306 | ||||||
Bandai Namco Holdings, Inc. | 21,300 | 553,295 | ||||||
Bank of Kyoto, Ltd. | 28,000 | 172,873 | ||||||
Benesse Holdings, Inc. | 7,800 | 184,316 | ||||||
Bridgestone Corp. | 71,000 | 2,296,735 | ||||||
Brother Industries, Ltd. | 27,900 | 301,233 | ||||||
Calbee, Inc. | 10,000 | 421,112 | ||||||
Canon, Inc. | 115,700 | 3,324,992 | ||||||
Casio Computer Co., Ltd. | 24,400 | 353,677 | ||||||
Central Japan Railway Co. | 15,600 | 2,792,927 | ||||||
Chiba Bank, Ltd. | 85,000 | 404,332 | ||||||
Chubu Electric Power Co., Inc. | 72,800 | 1,042,834 | ||||||
Chugai Pharmaceutical Co., Ltd. | 24,000 | 860,945 | ||||||
Chugoku Bank, Ltd. | 18,200 | 186,922 | ||||||
Chugoku Electric Power Co., Inc. | 28,300 | 362,149 | ||||||
Concordia Financial Group, Ltd.(a) | 137,000 | 532,563 | ||||||
Credit Saison Co., Ltd. | 14,000 | 236,726 | ||||||
CYBERDYNE, Inc.(a) | 11,000 | 249,576 | ||||||
Dai Nippon Printing Co., Ltd. | 56,000 | 628,222 | ||||||
Dai-ichi Life Insurance Co., Ltd. | 114,500 | 1,290,191 | ||||||
Daicel Corp. | 29,800 | 310,821 | ||||||
Daihatsu Motor Co., Ltd. | 22,900 | 300,258 | ||||||
Daiichi Sankyo Co., Ltd. | 64,300 | 1,572,454 | ||||||
Daikin Industries, Ltd. | 25,700 | 2,174,162 | ||||||
Daito Trust Construction Co., Ltd. | 7,700 | 1,258,416 | ||||||
Daiwa House Industry Co., Ltd. | 60,400 | 1,785,438 | ||||||
Daiwa Securities Group, Inc. | 180,000 | 954,546 | ||||||
Denso Corp. | 52,200 | 1,848,759 | ||||||
Dentsu, Inc. | 23,600 | 1,113,549 | ||||||
Don Quijote Holdings Co., Ltd. | 14,200 | 531,183 | ||||||
East Japan Railway Co. | 36,200 | 3,376,847 | ||||||
Eisai Co., Ltd. | 27,500 | 1,545,596 | ||||||
Electric Power Development Co., Ltd. | 15,700 | 368,190 | ||||||
FamilyMart Co., Ltd. | 5,600 | 343,517 | ||||||
FANUC Corp. | 21,200 | 3,471,364 | ||||||
Fast Retailing Co., Ltd. | 5,800 | 1,567,432 | ||||||
Fuji Electric Co., Ltd. | 60,000 | 251,456 | ||||||
Fuji Heavy Industries, Ltd. | 62,600 | 2,165,931 | ||||||
FUJIFILM Holdings Corp. | 46,700 | 1,823,902 | ||||||
Fujitsu, Ltd. | 212,000 | 784,720 | ||||||
Fukuoka Financial Group, Inc. | 97,000 | 321,937 | ||||||
GungHo Online Entertainment, Inc. | 58,900 | 160,648 | ||||||
Hachijuni Bank, Ltd. | 56,700 | 248,568 | ||||||
Hakuhodo DY Holdings, Inc. | 27,200 | 328,159 | ||||||
Hamamatsu Photonics KK | 15,200 | 429,304 | ||||||
Hankyu Hanshin Holdings, Inc. | 131,000 | 983,235 | ||||||
Hikari Tsushin, Inc. | 2,000 | 168,649 | ||||||
Hino Motors, Ltd. | 24,300 | 243,619 | ||||||
Hirose Electric Co., Ltd. | 3,700 | 457,967 | ||||||
Hiroshima Bank, Ltd. | 47,000 | 158,078 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 7,500 | 435,306 | ||||||
Hitachi Chemical Co., Ltd. | 14,100 | 265,070 | ||||||
Hitachi Construction Machinery Co., Ltd. | 11,300 | 166,020 | ||||||
Hitachi High-Technologies Corp. | 7,200 | 198,344 | ||||||
Hitachi Metals, Ltd. | 20,000 | 204,520 |
See accompanying notes to financial statements.
27
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) |
| |||||||
Hitachi, Ltd. | 529,000 | $ | 2,231,017 | |||||
Hokuriku Electric Power Co. | 17,500 | 218,272 | ||||||
Honda Motor Co., Ltd. | 176,700 | 4,461,727 | ||||||
Hoshizaki Electric Co., Ltd. | 5,400 | 532,107 | ||||||
Hoya Corp. | 43,100 | 1,549,488 | ||||||
Hulic Co., Ltd. | 30,200 | 320,329 | ||||||
Idemitsu Kosan Co., Ltd. | 11,800 | 257,864 | ||||||
IHI Corp. | 171,000 | 463,962 | ||||||
Iida Group Holdings Co., Ltd. | 14,000 | 288,593 | ||||||
Inpex Corp. | 97,900 | 770,674 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 35,800 | 320,745 | ||||||
Isuzu Motors, Ltd. | 67,800 | 840,586 | ||||||
ITOCHU Corp. | 159,600 | 1,965,267 | ||||||
Iyo Bank, Ltd. | 25,600 | 157,823 | ||||||
J Front Retailing Co., Ltd. | 24,600 | 256,740 | ||||||
Japan Airlines Co., Ltd. | 13,000 | 420,996 | ||||||
Japan Airport Terminal Co., Ltd. | 5,500 | 200,860 | ||||||
Japan Exchange Group, Inc. | 55,600 | 644,361 | ||||||
Japan Post Bank Co., Ltd. | 43,800 | 518,417 | ||||||
Japan Post Holdings Co., Ltd. | 52,400 | 641,660 | ||||||
Japan Prime Realty Investment Corp. | 81 | 349,871 | ||||||
Japan Real Estate Investment Corp. | 141 | 876,628 | ||||||
Japan Retail Fund Investment Corp. REIT | 284 | 729,956 | ||||||
Japan Tobacco, Inc. | 119,200 | 4,835,628 | ||||||
JFE Holdings, Inc. | 55,800 | 732,711 | ||||||
JGC Corp. | 23,000 | 331,425 | ||||||
Joyo Bank, Ltd. | 73,000 | 274,701 | ||||||
JSR Corp. | 24,000 | 319,926 | ||||||
JTEKT Corp. | 27,700 | 316,031 | ||||||
JX Holdings, Inc. | 228,600 | 898,169 | ||||||
Kajima Corp. | 92,000 | 643,304 | ||||||
Kakaku.com, Inc. | 18,200 | 364,007 | ||||||
Kamigumi Co., Ltd. | 23,000 | 213,983 | ||||||
Kaneka Corp. | 26,000 | 174,620 | ||||||
Kansai Electric Power Co., Inc.(a) | 80,900 | 793,090 | ||||||
Kansai Paint Co., Ltd. | 24,100 | 489,772 | ||||||
Kao Corp. | 54,600 | 3,200,943 | ||||||
Kawasaki Heavy Industries, Ltd. | 155,000 | 439,920 | ||||||
KDDI Corp. | 205,000 | 6,275,011 | ||||||
Keihan Holdings Co., Ltd. | 56,000 | 390,597 | ||||||
Keikyu Corp. | 48,000 | 486,206 | ||||||
Keio Corp. | 65,000 | 617,170 | ||||||
Keisei Electric Railway Co., Ltd. | 30,000 | 389,237 | ||||||
Keyence Corp. | 4,900 | 3,365,407 | ||||||
Kikkoman Corp. | 15,000 | 557,141 | ||||||
Kintetsu Group Holdings Co., Ltd. | 206,000 | 887,365 | ||||||
Kirin Holdings Co., Ltd. | 90,100 | 1,529,640 | ||||||
Kobe Steel, Ltd. | 363,000 | 300,303 | ||||||
Koito Manufacturing Co., Ltd. | 12,000 | 556,169 | ||||||
Komatsu, Ltd. | 98,700 | 1,725,865 | ||||||
Konami Holdings Corp. | 10,200 | 391,689 | ||||||
Konica Minolta, Inc. | 46,800 | 343,161 | ||||||
Kose Corp. | 2,800 | 238,832 | ||||||
Kubota Corp. | 112,900 | 1,537,056 | ||||||
Kuraray Co., Ltd. | 41,900 | 503,218 | ||||||
Kurita Water Industries, Ltd. | 10,800 | 242,335 | ||||||
Kyocera Corp. | 35,300 | 1,690,724 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 27,700 | 475,553 | ||||||
Kyushu Electric Power Co., Inc. | 50,700 | 511,837 | ||||||
Kyushu Financial Group, Inc. | 42,000 | 209,548 | ||||||
Lawson, Inc. | 7,500 | 602,701 | ||||||
LIXIL Group Corp. | 28,100 | 464,490 | ||||||
M3, Inc. | 21,600 | 758,799 | ||||||
Mabuchi Motor Co., Ltd. | 6,500 | 277,117 | ||||||
Makita Corp. | 11,900 | 795,324 | ||||||
Marubeni Corp. | 186,400 | 847,646 | ||||||
Marui Group Co., Ltd. | 20,500 | 277,785 | ||||||
Maruichi Steel Tube, Ltd. | 6,200 | 218,117 | ||||||
Mazda Motor Corp. | 60,900 | 811,209 | ||||||
McDonald’s Holdings Co., Japan, Ltd. | 8,000 | 218,732 | ||||||
Medipal Holdings Corp. | 17,900 | 296,227 | ||||||
MEIJI Holdings Co., Ltd. | 12,700 | 1,313,578 | ||||||
Minebea Co., Ltd. | 41,000 | 280,383 | ||||||
Miraca Holdings, Inc. | 6,100 | 266,286 | ||||||
Mitsubishi Chemical Holdings Corp. | 149,400 | 689,354 | ||||||
Mitsubishi Corp. | 163,800 | 2,903,057 | ||||||
Mitsubishi Electric Corp. | 211,000 | 2,535,565 | ||||||
Mitsubishi Estate Co., Ltd. | 136,000 | 2,511,034 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 39,000 | 204,798 | ||||||
Mitsubishi Heavy Industries, Ltd. | 355,000 | 1,436,926 | ||||||
Mitsubishi Logistics Corp. | 15,000 | 211,236 | ||||||
Mitsubishi Materials Corp. | 137,000 | 330,185 | ||||||
Mitsubishi Motors Corp. | 83,400 | 387,535 | ||||||
Mitsubishi Tanabe Pharma Corp. | 22,900 | 416,484 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 1,386,700 | 6,257,273 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 47,800 | 184,883 | ||||||
Mitsui & Co., Ltd. | 181,800 | 2,184,456 | ||||||
Mitsui Chemicals, Inc. | 98,000 | 362,496 | ||||||
Mitsui Fudosan Co., Ltd. | 95,000 | 2,194,669 | ||||||
Mitsui OSK Lines, Ltd. | 136,000 | 291,107 | ||||||
Mixi, Inc. | 5,600 | 233,057 | ||||||
Mizuho Financial Group, Inc. | 2,563,300 | 3,713,007 | ||||||
MS&AD Insurance Group Holdings, Inc. | 56,000 | 1,460,513 | ||||||
Murata Manufacturing Co., Ltd. | 20,400 | 2,302,186 | ||||||
Nabtesco Corp. | 11,800 | 283,402 | ||||||
Nagoya Railroad Co., Ltd. | 109,000 | 618,194 | ||||||
NEC Corp. | 296,000 | 694,177 | ||||||
Nexon Co., Ltd. | 18,600 | 277,092 | ||||||
NGK Insulators, Ltd. | 30,000 | 610,508 | ||||||
NGK Spark Plug Co., Ltd. | 18,500 | 281,091 | ||||||
NH Foods, Ltd. | 21,000 | 517,758 | ||||||
NHK Spring Co., Ltd. | 18,200 | 148,681 | ||||||
Nidec Corp. | 25,400 | 1,946,246 |
See accompanying notes to financial statements.
28
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) |
| |||||||
Nikon Corp. | 38,700 | $ | 527,438 | |||||
Nintendo Co., Ltd. | 12,100 | 1,750,199 | ||||||
Nippon Building Fund, Inc. | 159 | 985,890 | ||||||
Nippon Electric Glass Co., Ltd. | 40,000 | 168,078 | ||||||
Nippon Express Co., Ltd. | 95,000 | 436,979 | ||||||
Nippon Paint Holdings Co., Ltd. | 16,700 | 415,570 | ||||||
Nippon Prologis, Inc. REIT | 190 | 467,219 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 88,900 | 1,732,396 | ||||||
Nippon Telegraph & Telephone Corp. | 74,300 | 3,507,215 | ||||||
Nippon Yusen KK | 200,000 | 354,162 | ||||||
Nissan Motor Co., Ltd. | 265,200 | 2,382,301 | ||||||
Nisshin Seifun Group, Inc. | 21,100 | 341,412 | ||||||
Nissin Foods Holdings Co., Ltd. | 6,900 | 379,295 | ||||||
Nitori Holdings Co., Ltd. | 8,700 | 1,062,114 | ||||||
Nitto Denko Corp. | 17,900 | 1,142,942 | ||||||
NOK Corp. | 13,100 | 224,240 | ||||||
Nomura Holdings, Inc. | 382,500 | 1,369,333 | ||||||
Nomura Real Estate Holdings, Inc. | 13,600 | 239,212 | ||||||
Nomura Real Estate Master Fund, Inc. | 384 | 611,027 | ||||||
Nomura Research Institute, Ltd. | 14,400 | 531,599 | ||||||
NSK, Ltd. | 53,300 | 392,719 | ||||||
NTT Data Corp. | 13,800 | 656,040 | ||||||
NTT DOCOMO, Inc. | 155,100 | 4,210,341 | ||||||
NTT Urban Development Corp. | 8,900 | 96,310 | ||||||
Obayashi Corp. | 73,400 | 786,624 | ||||||
Obic Co., Ltd. | 7,900 | 437,727 | ||||||
Odakyu Electric Railway Co., Ltd. | 63,000 | 743,594 | ||||||
Oji Holdings Corp. | 104,000 | 401,884 | ||||||
Olympus Corp. | 31,100 | 1,168,964 | ||||||
Omron Corp. | 22,000 | 722,822 | ||||||
Ono Pharmaceutical Co., Ltd. | 44,700 | 1,959,991 | ||||||
Oracle Corp. Japan | 3,400 | 182,491 | ||||||
Oriental Land Co., Ltd. | 23,300 | 1,518,587 | ||||||
ORIX Corp. | 141,300 | 1,840,519 | ||||||
Osaka Gas Co., Ltd. | 194,000 | 750,738 | ||||||
Otsuka Corp. | 5,700 | 268,293 | ||||||
Otsuka Holdings Co., Ltd. | 42,200 | 1,957,493 | ||||||
Panasonic Corp. | 236,800 | 2,050,723 | ||||||
Park24 Co., Ltd. | 10,100 | 349,364 | ||||||
Pola Orbis Holdings, Inc. | 2,400 | 227,350 | ||||||
Rakuten, Inc. | 99,000 | 1,081,550 | ||||||
Recruit Holdings Co., Ltd. | 30,000 | 1,103,234 | ||||||
Resona Holdings, Inc. | 249,900 | 919,372 | ||||||
Ricoh Co., Ltd. | 71,500 | 623,874 | ||||||
Rinnai Corp. | 3,600 | 320,200 | ||||||
Rohm Co., Ltd. | 9,300 | 369,487 | ||||||
Ryohin Keikaku Co., Ltd. | 2,800 | 686,843 | ||||||
Sankyo Co., Ltd. | 5,100 | 192,473 | ||||||
Santen Pharmaceutical Co., Ltd. | 39,000 | 617,003 | ||||||
SBI Holdings, Inc. | 25,100 | 251,593 | ||||||
Secom Co., Ltd. | 22,400 | 1,666,991 | ||||||
Sega Sammy Holdings, Inc. | 20,800 | 225,492 | ||||||
Seibu Holdings, Inc. | 18,000 | 306,877 | ||||||
Seiko Epson Corp. | 28,800 | 464,748 | ||||||
Sekisui Chemical Co., Ltd. | 48,000 | 595,289 | ||||||
Sekisui House, Ltd. | 63,600 | 1,121,096 | ||||||
Seven & i Holdings Co., Ltd. | 80,900 | 3,414,301 | ||||||
Seven Bank, Ltd. | 69,300 | 216,516 | ||||||
Shikoku Electric Power Co., Inc. | 16,900 | 201,504 | ||||||
Shimadzu Corp. | 25,000 | 378,305 | ||||||
Shimamura Co., Ltd. | 2,400 | 359,437 | ||||||
Shimano, Inc. | 7,900 | 1,215,838 | ||||||
Shimizu Corp. | 59,000 | 556,408 | ||||||
Shin-Etsu Chemical Co., Ltd. | 41,500 | 2,447,418 | ||||||
Shinsei Bank, Ltd. | 225,000 | 329,978 | ||||||
Shionogi & Co., Ltd. | 32,400 | 1,782,833 | ||||||
Shiseido Co., Ltd. | 41,200 | 1,080,643 | ||||||
Shizuoka Bank, Ltd. | 64,000 | 453,693 | ||||||
Showa Shell Sekiyu KK | 20,300 | 190,720 | ||||||
SMC Corp. | 6,100 | 1,510,634 | ||||||
SoftBank Group Corp. | 104,100 | 5,925,800 | ||||||
Sohgo Security Services Co., Ltd. | 7,600 | 378,178 | ||||||
Sompo Japan Nipponkoa Holdings, Inc. | 37,500 | 1,004,523 | ||||||
Sony Corp. | 138,000 | 4,092,503 | ||||||
Sony Financial Holdings, Inc. | 22,800 | 259,493 | ||||||
Stanley Electric Co., Ltd. | 16,100 | 346,098 | ||||||
Start Today Co., Ltd. | 6,300 | 335,201 | ||||||
Sumitomo Chemical Co., Ltd. | 168,000 | 697,739 | ||||||
Sumitomo Corp. | 125,400 | 1,272,335 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 17,000 | 296,597 | ||||||
Sumitomo Electric Industries, Ltd. | 80,500 | 1,072,463 | ||||||
Sumitomo Heavy Industries, Ltd. | 62,000 | 274,152 | ||||||
Sumitomo Metal Mining Co., Ltd. | 50,000 | 511,966 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 145,600 | 4,231,868 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 354,000 | 1,159,428 | ||||||
Sumitomo Realty & Development Co., Ltd. | 38,000 | 1,037,240 | ||||||
Sumitomo Rubber Industries, Ltd. | 19,200 | 258,739 | ||||||
Sundrug Co., Ltd. | 3,900 | 368,600 | ||||||
Suntory Beverage & Food, Ltd. | 16,000 | 728,782 | ||||||
Suruga Bank, Ltd. | 18,600 | 423,110 | ||||||
Suzuken Co., Ltd. | 7,900 | 250,298 | ||||||
Suzuki Motor Corp. | 40,300 | 1,098,420 | ||||||
Sysmex Corp. | 16,700 | 1,157,502 | ||||||
T&D Holdings, Inc. | 59,600 | 509,455 | ||||||
Taiheiyo Cement Corp. | 147,000 | 350,470 | ||||||
Taisei Corp. | 114,000 | 942,866 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 3,900 | 413,097 | ||||||
Taiyo Nippon Sanso Corp. | 12,000 | 111,017 | ||||||
Takashimaya Co., Ltd. | 29,000 | 209,080 | ||||||
Takeda Pharmaceutical Co., Ltd. | 77,100 | 3,347,061 |
See accompanying notes to financial statements.
29
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) |
| |||||||
TDK Corp. | 14,100 | $ | 794,458 | |||||
Teijin, Ltd. | 115,000 | 383,565 | ||||||
Terumo Corp. | 36,500 | 1,567,898 | ||||||
THK Co., Ltd. | 12,900 | 221,319 | ||||||
Tobu Railway Co., Ltd. | 114,000 | 629,809 | ||||||
Toho Co., Ltd. | 14,000 | 390,230 | ||||||
Toho Gas Co., Ltd. | 40,000 | 329,462 | ||||||
Tohoku Electric Power Co., Inc. | 50,200 | 637,718 | ||||||
Tokio Marine Holdings, Inc. | 72,700 | 2,436,184 | ||||||
Tokyo Electric Power Co. Holdings, Inc.(a) | 165,300 | 704,658 | ||||||
Tokyo Electron, Ltd. | 16,700 | 1,420,580 | ||||||
Tokyo Gas Co., Ltd. | 217,000 | 901,835 | ||||||
Tokyo Tatemono Co., Ltd. | 23,400 | 282,466 | ||||||
Tokyu Corp. | 113,000 | 998,633 | ||||||
Tokyu Fudosan Holdings Corp. | 62,300 | 391,220 | ||||||
TonenGeneral Sekiyu KK | 29,000 | 265,914 | ||||||
Toppan Printing Co., Ltd. | 57,000 | 493,352 | ||||||
Toray Industries, Inc. | 159,000 | 1,365,657 | ||||||
Toshiba Corp.(a) | 439,000 | 1,203,704 | ||||||
TOTO, Ltd. | 15,200 | 611,377 | ||||||
Toyo Seikan Group Holdings, Ltd. | 19,900 | 382,752 | ||||||
Toyo Suisan Kaisha, Ltd. | 8,600 | 351,138 | ||||||
Toyoda Gosei Co., Ltd. | 9,700 | 173,887 | ||||||
Toyota Industries Corp. | 17,300 | 692,371 | ||||||
Toyota Motor Corp. | 289,500 | 14,365,819 | ||||||
Toyota Tsusho Corp. | 23,300 | 504,934 | ||||||
Trend Micro, Inc. | 13,400 | 482,390 | ||||||
Tsuruha Holdings, Inc. | 3,900 | 475,353 | ||||||
Unicharm Corp. | 43,800 | 990,554 | ||||||
United Urban Investment Corp. | 300 | 543,964 | ||||||
USS Co., Ltd. | 26,600 | 442,500 | ||||||
West Japan Railway Co. | 18,100 | 1,154,604 | ||||||
Yahoo! Japan Corp. | 157,100 | 701,221 | ||||||
Yakult Honsha Co., Ltd. | 8,900 | 465,604 | ||||||
Yamada Denki Co., Ltd. | 63,200 | 335,817 | ||||||
Yamaguchi Financial Group, Inc. | 27,000 | 257,000 | ||||||
Yamaha Corp. | 19,000 | 515,484 | ||||||
Yamaha Motor Co., Ltd. | 28,000 | 429,942 | ||||||
Yamato Holdings Co., Ltd. | 39,000 | 901,371 | ||||||
Yamazaki Baking Co., Ltd. | 14,000 | 393,419 | ||||||
Yaskawa Electric Corp. | 25,400 | 333,815 | ||||||
Yokogawa Electric Corp. | 24,200 | 274,701 | ||||||
Yokohama Rubber Co., Ltd. | 11,800 | 148,969 | ||||||
|
| |||||||
300,241,785 | ||||||||
|
| |||||||
Jordan – 0.0%(b) | ||||||||
Hikma Pharmaceuticals PLC | 15,320 | 506,606 | ||||||
|
| |||||||
Luxembourg – 0.3% | ||||||||
ArcelorMittal(a) | 196,200 | 895,482 | ||||||
Millicom International Cellular SA SDR | 7,772 | 476,054 | ||||||
RTL Group SA | 4,145 | 338,883 | ||||||
SES SA | 41,509 | 889,566 | ||||||
Tenaris SA | 47,906 | 693,139 | ||||||
|
| |||||||
3,293,124 | ||||||||
|
| |||||||
Macau – 0.0%(b) | ||||||||
MGM China Holdings, Ltd. | 98,400 | 128,228 | ||||||
Wynn Macau, Ltd. | 201,200 | 292,608 | ||||||
|
| |||||||
420,836 | ||||||||
|
| |||||||
Mexico – 0.0% | ||||||||
Fresnillo PLC | 27,315 | 604,025 | ||||||
|
| |||||||
Netherlands – 4.1% | ||||||||
ABN AMRO Group NV(c) | 25,066 | 412,547 | ||||||
Aegon NV | 211,377 | 838,449 | ||||||
AerCap Holdings NV(a) | 18,164 | 610,129 | ||||||
Akzo Nobel NV | 26,412 | 1,642,507 | ||||||
Altice NV Class A(a) | 39,020 | 583,254 | ||||||
Altice NV Class B(a) | 13,715 | 206,856 | ||||||
ASML Holding NV | 39,288 | 3,871,618 | ||||||
Boskalis Westminster | 9,346 | 319,255 | ||||||
Gemalto NV | 8,318 | 504,482 | ||||||
Heineken Holding NV | 11,400 | 924,645 | ||||||
Heineken NV | 24,919 | 2,288,086 | ||||||
ING Groep NV | 412,766 | 4,275,052 | ||||||
Koninklijke Ahold NV | 88,866 | 1,964,510 | ||||||
Koninklijke DSM NV | 20,331 | 1,174,172 | ||||||
Koninklijke KPN NV | 364,551 | 1,300,823 | ||||||
Koninklijke Philips NV | 104,931 | 2,608,912 | ||||||
Koninklijke Vopak NV | 7,234 | 360,494 | ||||||
NN Group NV | 36,268 | 999,480 | ||||||
NXP Semiconductors NV(a) | 31,951 | 2,503,041 | ||||||
OCI NV(a) | 6,946 | 94,198 | ||||||
Randstad Holding NV | 12,689 | 507,994 | ||||||
Royal Dutch Shell PLC Class A | 465,296 | 12,832,704 | ||||||
Royal Dutch Shell PLC Class B | 406,246 | 11,270,795 | ||||||
Wolters Kluwer NV | 32,035 | 1,298,537 | ||||||
|
| |||||||
53,392,540 | ||||||||
|
| |||||||
New Zealand – 0.2% | ||||||||
Auckland International Airport, Ltd. | 103,603 | 480,735 | ||||||
Contact Energy, Ltd. | 76,046 | 281,608 | ||||||
Fletcher Building, Ltd. | 66,430 | 407,584 | ||||||
Meridian Energy, Ltd. | 159,311 | 299,903 | ||||||
Mighty River Power, Ltd. | 44,790 | 96,422 | ||||||
Ryman Healthcare, Ltd. | 46,924 | 312,412 | ||||||
Spark New Zealand, Ltd. | 194,727 | 493,680 | ||||||
|
| |||||||
2,372,344 | ||||||||
|
| |||||||
Norway – 0.6% | ||||||||
DNB ASA | 103,915 | 1,243,960 | ||||||
Gjensidige Forsikring ASA | 18,324 | 305,323 | ||||||
Marine Harvest ASA | 40,807 | 688,368 | ||||||
Norsk Hydro ASA | 150,690 | 551,703 | ||||||
Orkla ASA | 85,725 | 762,473 | ||||||
Schibsted ASA Class A | 7,687 | 230,446 | ||||||
Schibsted ASA Class B | 8,517 | 243,695 | ||||||
Statoil ASA | 118,029 | 2,039,553 | ||||||
Telenor ASA | 84,158 | 1,393,201 | ||||||
Yara International ASA | 20,748 | 659,161 | ||||||
|
| |||||||
8,117,883 | ||||||||
|
| |||||||
Portugal – 0.1% | ||||||||
EDP – Energias de Portugal SA | 248,371 | 761,227 | ||||||
Galp Energia SGPS SA | 48,398 | 673,863 |
See accompanying notes to financial statements.
30
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Portugal – (continued) |
| |||||||
Jeronimo Martins SGPS SA | 26,758 | $ | 422,476 | |||||
|
| |||||||
1,857,566 | ||||||||
|
| |||||||
Singapore – 1.3% | ||||||||
Ascendas REIT | 235,950 | 437,067 | ||||||
CapitaLand Commercial Trust | 210,000 | 231,181 | ||||||
CapitaLand Mall Trust REIT | 296,000 | 471,066 | ||||||
CapitaLand, Ltd. | 270,000 | 620,467 | ||||||
City Developments, Ltd. | 50,000 | 304,113 | ||||||
ComfortDelGro Corp., Ltd. | 218,000 | 448,091 | ||||||
DBS Group Holdings, Ltd. | 190,000 | 2,242,271 | ||||||
Genting Singapore PLC | 654,000 | 355,082 | ||||||
Global Logistic Properties, Ltd. | 284,000 | 383,756 | ||||||
Golden Agri-Resources, Ltd. | 741,000 | 194,056 | ||||||
Hutchison Port Holdings Trust | 627,000 | 286,896 | ||||||
Jardine Cycle & Carriage, Ltd. | 12,333 | 337,681 | ||||||
Keppel Corp., Ltd. | 150,000 | 619,348 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 342,026 | 2,225,846 | ||||||
Sembcorp Industries, Ltd. | 117,000 | 247,988 | ||||||
Sembcorp Marine, Ltd. | 90,000 | 104,822 | ||||||
Singapore Airlines, Ltd. | 58,000 | 460,984 | ||||||
Singapore Exchange, Ltd. | 87,000 | 496,020 | ||||||
Singapore Press Holdings, Ltd. | 173,000 | 510,247 | ||||||
Singapore Technologies Engineering, Ltd. | 187,000 | 440,569 | ||||||
Singapore Telecommunications, Ltd. | 863,000 | 2,667,854 | ||||||
StarHub, Ltd. | 71,000 | 200,518 | ||||||
Suntec Real Estate Investment Trust | 242,000 | 320,057 | ||||||
United Overseas Bank, Ltd. | 140,000 | 1,930,632 | ||||||
UOL Group, Ltd. | 42,000 | 171,355 | ||||||
Wilmar International, Ltd. | 208,000 | 506,786 | ||||||
|
| |||||||
17,214,753 | ||||||||
|
| |||||||
South Africa – 0.1% | ||||||||
Investec PLC | 73,909 | 461,316 | ||||||
Mediclinic International PLC | 40,142 | 590,123 | ||||||
Mondi PLC | 41,908 | 787,892 | ||||||
|
| |||||||
1,839,331 | ||||||||
|
| |||||||
Spain – 2.8% | ||||||||
Abertis Infraestructuras SA | 58,254 | 861,784 | ||||||
ACS Actividades de Construccion y Servicios SA | 20,153 | 553,377 | ||||||
Aena SA(c) | 7,467 | 990,824 | ||||||
Amadeus IT Holding SA Class A | 46,974 | 2,071,851 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 693,857 | 3,979,715 | ||||||
Banco de Sabadell SA | 593,950 | 787,391 | ||||||
Banco Popular Espanol SA | 359,461 | 467,645 | ||||||
Banco Santander SA | 1,568,780 | 6,094,503 | ||||||
Bankia SA | 510,293 | 371,879 | ||||||
Bankinter SA | 76,450 | 494,028 | ||||||
CaixaBank SA | 277,465 | 612,186 | ||||||
Distribuidora Internacional de Alimentacion SA | 75,755 | 442,651 | ||||||
Enagas SA | 23,006 | 703,599 | ||||||
Endesa SA | 32,697 | 656,790 | ||||||
Ferrovial SA | 54,405 | 1,066,293 | ||||||
Gas Natural SDG SA | 36,694 | 730,178 | ||||||
Grifols SA | 30,438 | 692,188 | ||||||
Iberdrola SA | 588,118 | 4,016,221 | ||||||
Industria de Diseno Textil SA | 116,769 | 3,926,972 | ||||||
Mapfre SA | 125,941 | 276,886 | ||||||
Red Electrica Corp. SA | 12,200 | 1,091,294 | ||||||
Repsol SA | 119,505 | 1,533,574 | ||||||
Telefonica SA | 482,421 | 4,584,965 | ||||||
Zardoya Otis SA | 21,672 | 204,876 | ||||||
|
| |||||||
37,211,670 | ||||||||
|
| |||||||
Sweden – 2.7% | ||||||||
Alfa Laval AB | 32,121 | 505,536 | ||||||
Assa Abloy AB Class B | 109,798 | 2,255,657 | ||||||
Atlas Copco AB Class A | 72,834 | 1,888,975 | ||||||
Atlas Copco AB Class B | 43,992 | 1,041,235 | ||||||
Boliden AB | 29,666 | 578,974 | ||||||
Electrolux AB Series B | 26,094 | 710,441 | ||||||
Getinge AB Class B | 23,802 | 490,720 | ||||||
Hennes & Mauritz AB Class B | 103,154 | 3,030,576 | ||||||
Hexagon AB Class B | 28,967 | 1,058,574 | ||||||
Husqvarna AB Class B | 41,457 | 308,271 | ||||||
ICA Gruppen AB | 8,727 | 292,073 | ||||||
Industrivarden AB Class C | 17,805 | 289,268 | ||||||
Investor AB Class B | 50,206 | 1,684,321 | ||||||
Kinnevik AB Class B | 24,583 | 586,815 | ||||||
Lundin Petroleum AB(a) | 19,908 | 362,272 | ||||||
Nordea Bank AB | 329,452 | 2,790,993 | ||||||
Sandvik AB | 113,632 | 1,136,064 | ||||||
Securitas AB Class B | 35,249 | 543,397 | ||||||
Skandinaviska Enskilda Banken AB Class A | 164,756 | 1,437,217 | ||||||
Skanska AB Class B | 36,271 | 758,402 | ||||||
SKF AB Class B | 44,665 | 714,652 | ||||||
Svenska Cellulosa AB SCA Class B | 66,478 | 2,132,957 | ||||||
Svenska Handelsbanken AB Class A | 162,416 | 1,969,020 | ||||||
Swedbank AB Class A | 96,631 | 2,026,673 | ||||||
Swedish Match AB | 20,703 | 721,472 | ||||||
Tele2 AB Class B | 31,279 | 274,220 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 330,084 | 2,532,296 | ||||||
Telia Co. AB | 280,399 | 1,325,942 | ||||||
Volvo AB Class B | 167,227 | 1,658,932 | ||||||
|
| |||||||
35,105,945 | ||||||||
|
| |||||||
Switzerland – 9.5% | ||||||||
ABB, Ltd. | 212,643 | 4,218,585 | ||||||
Actelion, Ltd. | 11,282 | 1,904,346 | ||||||
Adecco Group AG | 18,548 | 937,734 | ||||||
Aryzta AG | 10,583 | 392,027 | ||||||
Baloise Holding AG | 5,768 | 643,958 | ||||||
Barry Callebaut AG | 278 | 343,096 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 114 | 681,515 | ||||||
Chocoladefabriken Lindt & Spruengli AG | 12 | 859,585 | ||||||
Cie Financiere Richemont SA | 56,629 | 3,322,586 | ||||||
Coca-Cola HBC AG | 22,195 | 450,977 | ||||||
Credit Suisse Group AG | 202,442 | 2,161,586 |
See accompanying notes to financial statements.
31
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Switzerland – (continued) |
| |||||||
Dufry AG(a) | 5,281 | $ | 633,115 | |||||
EMS-Chemie Holding AG | 979 | 506,658 | ||||||
Galenica AG | 444 | 599,961 | ||||||
Geberit AG | 4,171 | 1,583,547 | ||||||
Givaudan SA | 1,013 | 2,044,516 | ||||||
Glencore PLC | 1,334,681 | 2,762,405 | ||||||
Julius Baer Group, Ltd. | 25,080 | 1,011,810 | ||||||
Kuehne + Nagel International AG | 6,134 | 861,461 | ||||||
LafargeHolcim, Ltd. | 44,069 | 1,848,091 | ||||||
LafargeHolcim, Ltd. | 4,070 | 167,242 | ||||||
Lonza Group AG | 5,904 | 983,039 | ||||||
Nestle SA | 344,713 | 26,770,833 | ||||||
Novartis AG | 246,159 | 20,365,561 | ||||||
Pargesa Holding SA | 4,490 | 297,576 | ||||||
Partners Group Holding AG | 1,977 | 849,274 | ||||||
Roche Holding AG | 76,002 | 20,102,740 | ||||||
Schindler Holding AG | 5,001 | 907,558 | ||||||
Schindler Holding AG | 2,455 | 447,832 | ||||||
SGS SA | 609 | 1,398,361 | ||||||
Sika AG | 239 | 1,004,507 | ||||||
Sonova Holding AG | 6,084 | 809,406 | ||||||
STMicroelectronics NV | 66,604 | 389,281 | ||||||
Swatch Group AG | 3,468 | 1,011,576 | ||||||
Swatch Group AG | 6,082 | 349,124 | ||||||
Swiss Life Holding AG | 3,564 | 825,577 | ||||||
Swiss Prime Site AG | 8,047 | 730,204 | ||||||
Swiss Re AG | 36,218 | 3,170,763 | ||||||
Swisscom AG | 2,875 | 1,431,687 | ||||||
Syngenta AG | 10,057 | 3,869,478 | ||||||
UBS Group AG | 394,088 | 5,125,595 | ||||||
Wolseley PLC | 28,206 | 1,466,698 | ||||||
Zurich Insurance Group AG | 16,281 | 4,037,147 | ||||||
|
| |||||||
124,278,618 | ||||||||
|
| |||||||
United Kingdom – 16.8% | ||||||||
3i Group PLC | 110,403 | 813,415 | ||||||
Aberdeen Asset Management PLC | 102,650 | 386,737 | ||||||
Admiral Group PLC | 23,492 | 641,412 | ||||||
Aggreko PLC | 30,813 | 529,192 | ||||||
Anglo American PLC | 149,542 | 1,471,958 | ||||||
ARM Holdings PLC | 154,124 | 2,350,860 | ||||||
Ashtead Group PLC | 57,400 | 823,315 | ||||||
Associated British Foods PLC | 38,163 | 1,396,394 | ||||||
AstraZeneca PLC | 137,122 | 8,231,807 | ||||||
Auto Trader Group PLC(c) | 109,847 | 521,443 | ||||||
Aviva PLC | 439,139 | 2,324,478 | ||||||
Babcock International Group PLC | 27,736 | 336,732 | ||||||
BAE Systems PLC | 345,995 | 2,432,258 | ||||||
Barclays PLC | 1,822,932 | 3,404,580 | ||||||
Barratt Developments PLC | 112,673 | 614,820 | ||||||
Berkeley Group Holdings PLC | 14,920 | 505,914 | ||||||
BP PLC | 2,005,029 | 11,785,396 | ||||||
British American Tobacco PLC | 201,996 | 13,149,801 | ||||||
British Land Co. PLC REIT | 109,324 | 891,334 | ||||||
BT Group PLC | 918,431 | 5,069,293 | ||||||
Bunzl PLC | 35,542 | 1,098,135 | ||||||
Burberry Group PLC | 47,571 | 743,072 | ||||||
Capita PLC | 74,574 | 964,930 | ||||||
Centrica PLC | 602,938 | 1,830,880 | ||||||
CNH Industrial NV | 101,497 | 737,019 | ||||||
Cobham PLC | 209,526 | 443,276 | ||||||
Coca-Cola European Partners PLC(a) | 23,100 | 828,656 | ||||||
Compass Group PLC | 178,335 | 3,407,038 | ||||||
Croda International PLC | 15,227 | 641,869 | ||||||
DCC PLC | 9,442 | 834,356 | ||||||
Diageo PLC | 272,944 | 7,656,660 | ||||||
Direct Line Insurance Group PLC | 150,518 | 698,769 | ||||||
Dixons Carphone PLC | 111,832 | 481,992 | ||||||
easyJet PLC | 19,322 | 281,950 | ||||||
Fiat Chrysler Automobiles NV | 97,526 | 600,966 | ||||||
G4S PLC | 163,916 | 403,328 | ||||||
GKN PLC | 183,596 | 666,550 | ||||||
GlaxoSmithKline PLC | 528,223 | 11,390,878 | ||||||
Hammerson PLC | 90,069 | 651,433 | ||||||
Hargreaves Lansdown PLC | 29,495 | 494,058 | ||||||
HSBC Holdings PLC | 2,132,208 | 13,265,278 | ||||||
ICAP PLC | 60,820 | 343,643 | ||||||
IMI PLC | 31,902 | 415,151 | ||||||
Imperial Brands PLC | 103,984 | 5,662,847 | ||||||
Inmarsat PLC | 53,077 | 574,388 | ||||||
InterContinental Hotels Group PLC | 21,078 | 780,603 | ||||||
International Consolidated Airlines Group SA | 92,503 | 458,503 | ||||||
Intertek Group PLC | 18,367 | 859,347 | ||||||
Intu Properties PLC | 112,609 | 439,625 | ||||||
ITV PLC | 387,053 | 931,896 | ||||||
J Sainsbury PLC | 144,253 | 451,249 | ||||||
Johnson Matthey PLC | 21,107 | 794,966 | ||||||
Kingfisher PLC | 243,289 | 1,049,303 | ||||||
Land Securities Group PLC REIT | 87,626 | 1,224,441 | ||||||
Legal & General Group PLC | 634,529 | 1,631,228 | ||||||
Lloyds Banking Group PLC | 6,967,250 | 5,067,342 | ||||||
London Stock Exchange Group PLC | 33,900 | 1,156,672 | ||||||
Marks & Spencer Group PLC | 183,261 | 788,092 | ||||||
Meggitt PLC | 91,634 | 500,147 | ||||||
Merlin Entertainments PLC(c) | 80,718 | 477,328 | ||||||
National Grid PLC | 403,826 | 5,963,151 | ||||||
Next PLC | 15,891 | 1,054,389 | ||||||
Old Mutual PLC | 532,186 | 1,443,677 | ||||||
Pearson PLC | 87,964 | 1,149,016 | ||||||
Persimmon PLC | 34,573 | 673,224 | ||||||
Petrofac, Ltd. | 32,331 | 337,469 | ||||||
Provident Financial PLC | 16,972 | 525,494 | ||||||
Prudential PLC | 277,437 | 4,727,429 | ||||||
Randgold Resources, Ltd. | 10,372 | 1,168,772 | ||||||
Reckitt Benckiser Group PLC | 66,488 | 6,694,653 | ||||||
RELX NV | 108,258 | 1,874,955 | ||||||
RELX PLC | 114,276 | 2,113,100 | ||||||
Rio Tinto PLC | 134,130 | 4,184,325 | ||||||
Rio Tinto, Ltd. | 44,851 | 1,548,925 | ||||||
Rolls-Royce Holdings PLC | 189,785 | 1,819,044 | ||||||
Royal Bank of Scotland Group PLC(a) | 370,380 | 842,837 | ||||||
Royal Mail PLC | 102,840 | 693,816 |
See accompanying notes to financial statements.
32
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
United Kingdom – (continued) |
| |||||||
RSA Insurance Group PLC | 110,275 | $ | 742,185 | |||||
SABMiller PLC | 105,485 | 6,177,436 | ||||||
Sage Group PLC | 118,957 | 1,032,498 | ||||||
Schroders PLC | 15,828 | 502,260 | ||||||
Segro PLC | 87,200 | 485,351 | ||||||
Severn Trent PLC | 26,534 | 869,393 | ||||||
Sky PLC | 112,957 | 1,288,931 | ||||||
Smith & Nephew PLC | 96,263 | 1,641,472 | ||||||
Smiths Group PLC | 41,723 | 647,442 | ||||||
SSE PLC | 109,137 | 2,280,955 | ||||||
St James’s Place PLC | 59,961 | 634,971 | ||||||
Standard Chartered PLC | 353,306 | 2,691,698 | ||||||
Standard Life PLC | 221,102 | 875,963 | ||||||
Tate & Lyle PLC | 49,965 | 448,597 | ||||||
Taylor Wimpey PLC | 363,309 | 647,228 | ||||||
Tesco PLC(a) | 872,093 | 2,056,731 | ||||||
Travis Perkins PLC | 28,595 | 566,530 | ||||||
Unilever NV | 176,906 | 8,236,724 | ||||||
Unilever PLC | 139,207 | 6,697,934 | ||||||
United Utilities Group PLC | 76,721 | 1,067,811 | ||||||
Vodafone Group PLC | 2,881,028 | 8,820,466 | ||||||
Weir Group PLC | 23,478 | 455,332 | ||||||
Whitbread PLC | 19,518 | 917,040 | ||||||
William Hill PLC | 102,096 | 353,140 | ||||||
Wm Morrison Supermarkets PLC | 255,089 | 643,046 | ||||||
Worldpay Group PLC(a)(c) | 161,116 | 588,858 | ||||||
WPP PLC | 140,533 | 2,941,114 | ||||||
|
| |||||||
220,534,385 | ||||||||
|
| |||||||
United States – 0.7% | ||||||||
Ball Corp. | 830 | 59,981 | ||||||
Carnival PLC | 21,296 | 948,624 | ||||||
Mobileye NV(a) | 18,707 | 863,141 | ||||||
QIAGEN NV(a) | 22,689 | 494,979 | ||||||
Shire PLC | 65,616 | 4,072,137 | ||||||
Shire PLC ADR | 10,670 | 1,964,134 | ||||||
Taro Pharmaceutical Industries, Ltd.(a) | 1,599 | 232,815 | ||||||
|
| |||||||
8,635,811 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,281,281,242 | ||||||
|
| |||||||
RIGHTS – 0.0%(b) | ||||||||
Hong Kong – 0.0%(b) | ||||||||
Noble Group, Ltd. (expiring 7/20/16)(a) | 631,000 | 42,195 | ||||||
|
| |||||||
Spain – 0.0%(b) | ||||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/18/16)(a) | 20,153 | 14,172 | ||||||
Repsol SA (expiring 7/8/16)(a) | 119,505 | 38,900 | ||||||
|
| |||||||
53,072 | ||||||||
|
| |||||||
TOTAL RIGHTS |
| 95,267 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.2% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(d)(e) | 25,807,291 | 25,807,291 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 97.8% |
| 1,307,183,800 | ||||||
Other Assets in Excess of | 29,210,899 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 1,312,749,066 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Amount is less than 0.05% of net assets. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 0.4% of net assets as of June 30, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2016. |
ADR | American Depositary Receipt | |
REIT | Real Estate Investment Trust | |
SDR | Swedish Depositary Receipt |
At June 30, 2016, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Depreciation | ||||||||||||
Mini MSCI EAFE (long) | 09/16/2016 | 349 | $ | 28,185,240 | $ | (136,775 | ) |
During the period ended June 30, 2016, average notional value related to futures contracts was $28,580,483 or 2.2% of net assets.
See accompanying notes to financial statements.
33
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
The following table summarizes the value of the Portfolio’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | – | $ | 93,845,429 | $ | – | $ | 93,845,429 | ||||||||
Austria | – | 2,054,021 | – | 2,054,021 | ||||||||||||
Belgium | – | 19,138,558 | – | 19,138,558 | ||||||||||||
Chile | – | 257,806 | – | 257,806 | ||||||||||||
China | – | 171,854 | – | 171,854 | ||||||||||||
Denmark | – | 25,094,530 | – | 25,094,530 | ||||||||||||
Finland | – | 12,325,033 | – | 12,325,033 | ||||||||||||
France | – | 120,698,941 | – | 120,698,941 | ||||||||||||
Germany | – | 110,275,117 | – | 110,275,117 | ||||||||||||
Hong Kong | 625,019 | 41,240,828 | – | 41,865,847 | ||||||||||||
Ireland | 221,068 | 8,262,267 | – | 8,483,335 | ||||||||||||
Israel | 1,114,882 | 7,608,799 | – | 8,723,681 | ||||||||||||
Italy | – | 22,719,868 | – | 22,719,868 | ||||||||||||
Japan | 532,563 | 299,709,222 | – | 300,241,785 | ||||||||||||
Jordan | – | 506,606 | – | 506,606 | ||||||||||||
Luxembourg | – | 3,293,124 | – | 3,293,124 | ||||||||||||
Macau | – | 420,836 | – | 420,836 | ||||||||||||
Mexico | – | 604,025 | – | 604,025 | ||||||||||||
Netherlands | 3,113,170 | 50,279,370 | – | 53,392,540 | ||||||||||||
New Zealand | – | 2,372,344 | – | 2,372,344 | ||||||||||||
Norway | – | 8,117,883 | – | 8,117,883 | ||||||||||||
Portugal | – | 1,857,566 | – | 1,857,566 | ||||||||||||
Singapore | – | 17,214,753 | – | 17,214,753 | ||||||||||||
South Africa | – | 1,839,331 | – | 1,839,331 | ||||||||||||
Spain | – | 37,211,670 | – | 37,211,670 | ||||||||||||
Sweden | – | 35,105,945 | – | 35,105,945 | ||||||||||||
Switzerland | – | 124,278,618 | – | 124,278,618 | ||||||||||||
United Kingdom | 9,065,380 | 211,469,005 | – | 220,534,385 | ||||||||||||
United States | 3,120,071 | 5,515,740 | – | 8,635,811 | ||||||||||||
Rights | ||||||||||||||||
Hong Kong | – | 42,195 | – | 42,195 | ||||||||||||
Spain | 53,072 | – | – | 53,072 | ||||||||||||
Short-Term Investment | 25,807,291 | – | – | 25,807,291 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 43,652,516 | $ | 1,263,531,284 | $ | – | $ | 1,307,183,800 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts(a) | $ | (136,775 | ) | $ | – | $ | – | $ | (136,775 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (136,775 | ) | $ | – | $ | – | $ | (136,775 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
Number of shares held at 4/30/16* | Value at 4/30/16* | Shares purchased | Shares sold | Number of shares held at 6/30/16 | Value at 6/30/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | – | $ | – | 62,360,126 | 36,552,835 | 25,807,291 | $ | 25,807,291 | $ | 15,992 | $ | – |
* | Commencement of operations. |
See accompanying notes to financial statements.
34
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 1,281,376,509 | ||
Investments in affiliated issuers, at value (Note 2) | 25,807,291 | |||
|
| |||
Total investments | 1,307,183,800 | |||
Foreign currency, at value | 759,427 | |||
Cash at broker | 1,745,000 | |||
Receivable from broker – variation margin on open futures contracts | 1,281,212 | |||
Receivable for investments sold | 394,383 | |||
Dividends receivable – unaffiliated issuers (Note 2) | 3,127,913 | |||
Interest receivable – affiliated issuers (Note 2) | 9,511 | |||
Receivable for foreign taxes recoverable | 767,631 | |||
|
| |||
Total assets | 1,315,268,877 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 2,250,558 | |||
Advisory fee payable (Note 4) | 238,242 | |||
Custodian fees payable (Note 4) | 26,053 | |||
Professional fees payable | 3,708 | |||
Printing and postage fees payable | 1,250 | |||
|
| |||
Total liabilities | 2,519,811 | |||
|
| |||
Net Assets | $ | 1,312,749,066 | ||
|
| |||
Cost of Investments: | ||||
Investments in unaffiliated issuers | $ | 1,366,291,046 | ||
Investments in affiliated issuers | 25,807,291 | |||
|
| |||
Total cost of investments | $ | 1,392,098,337 | ||
|
| |||
Foreign currency, at cost | $ | 778,654 | ||
|
|
See accompanying notes to financial statements.
35
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
For the Period Ended June 30, 2016 (Unaudited) (a)
Investment Income | ||||
Dividend income – unaffiliated issuers (Note 2) | $ | 12,892,090 | ||
Dividend income – affiliated issuers (Note 2) | 15,992 | |||
Foreign taxes withheld | (1,219,720 | ) | ||
|
| |||
Total investment income (loss) | 11,688,362 | |||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 238,242 | |||
Administration and custody fees | 26,053 | |||
Professional fees | 3,708 | |||
Printing and postage expenses | 1,287 | |||
|
| |||
Net expenses | 269,290 | |||
|
| |||
Net Investment Income (Loss) | 11,419,072 | |||
|
| |||
Realized and Unrealized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investment transactions – unaffiliated issuers | (3,009,054 | ) | ||
Foreign currency transactions | (37,573 | ) | ||
Futures contracts | (287,072 | ) | ||
|
| |||
Net realized gain (loss) | (3,333,699 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment transactions – unaffiliated issuers | (84,914,537 | ) | ||
Foreign currency transactions | (102,505 | ) | ||
Futures contracts | (136,775 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation | (85,153,817 | ) | ||
|
| |||
Net realized and unrealized gain (loss) | (88,487,516 | ) | ||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | (77,068,444 | ) | |
|
|
(a) | For the period April 29, 2016 (inception date) through June 30, 2016. |
See accompanying notes to financial statements.
36
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Statement of Changes in Net Assets
For the Period 4/29/16* - 6/30/16 (Unaudited) | ||||
Increase (Decrease) in Net Assets From Operations: | ||||
Net investment income (loss) | $ | 11,419,072 | ||
Net realized gain (loss) | (3,333,699 | ) | ||
Net change in unrealized appreciation/depreciation | (85,153,817 | ) | ||
|
| |||
Net increase (decrease) in net assets resulting from operations | (77,068,444 | ) | ||
|
| |||
Capital Transactions: | ||||
In-kind subscriptions (Note 1) | 31,466,206 | |||
Contributions | 1,360,571,991 | |||
Withdrawals | (2,220,687 | ) | ||
|
| |||
Net increase (decrease) in net assets from capital transactions | 1,389,817,510 | |||
|
| |||
Net increase (decrease) in net assets during the period | 1,312,749,066 | |||
|
| |||
Net assets at beginning of period | – | |||
|
| |||
Net assets at end of period | $ | 1,312,749,066 | ||
|
|
* | Inception date. |
See accompanying notes to financial statements.
37
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
The following table includes selected supplemental data and ratios to average net assets:
For the Period 4/30/16* - 6/30/16 (Unaudited) | ||||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 1,312,749 | ||
Ratios to average net assets: | ||||
Net expenses | 0.12 | %(a) | ||
Net investment income (loss) | 5.27 | %(a) | ||
Portfolio turnover rate | 1 | %(b) | ||
Total Return | (3.50 | )% |
* | Commencement of operations. |
(a) | Annualized. |
(b) | Not annualized. |
See accompanying notes to financial statements.
38
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
June 30, 2016 (Unaudited)
1. | Organization |
State Street Master Funds (the “Trust”) is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), is as an open-end management investment company, and was organized as a Massachusetts business trust on July 27, 1999. The Trust consists of ten (10) investment portfolios (together the “Portfolios”). Financial statements herein relate only to the State Street International Developed Equity Index Portfolio (the “Portfolio”), which commenced operations on April 30, 2016.
The Portfolio was formed on April 29, 2016, with an initial in-kind contribution of securities from the State Street Hedged International Developed Equity Index Fund (the “Fund”), as part of a tax-free in-kind transaction in which the Fund contributed equity securities into the Portfolio, and a cash contribution of $10,010 from SSGA FM. The transaction consisted of 929 securities totaling $1,275,794,840 at market value, and included $31,466,206 in unrealized depreciation.
The Portfolio is classified as a diversified investment company under the 1940 Act.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this could involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
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 the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value the Portfolio’s investments by major category are as follows:
• | Equity investments (including preferred stocks and registered investment companies that are exchange-traded funds) traded on a recognized securities exchange for which market quotations |
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State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 services or brokers on the valuation date. If no prices are obtained from pricing services or brokers, valuation will be based upon the intrinsic value, pursuant to the valuation policy and procedures approved by the Board. |
• | 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. |
• | 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. |
• | Forward foreign currency exchange 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. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
A “significant event” is an event that the Trustee believes, with a reasonably high degree of certainty, has caused the closing market prices of a portfolio’s securities to no longer reflect their value at the time of the Portfolio’s net asset value calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Trustee. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy. At June 30, 2016, the independent fair value service was used for certain foreign securities in the Portfolio’s, and these securities were classified within Level 2 of the fair value hierarchy.
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 benchmarks. Various inputs are used in determining the value of the Portfolio’s investments.
The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical asset or liability (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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. |
The value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2016, is disclosed in the Portfolio’s Schedule 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 Portfolios had no material transfers between levels for the period ended June 30, 2016.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Non-cash dividends received in the form of stock are recorded as dividend income at fair value.
Distributions received by the Portfolio 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.
All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.
Expenses
Certain expenses, which are directly identifiable to the Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio 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 Portfolios within the Trust.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Foreign Currency Translation
The accounting records of the Portfolio are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes
The Portfolio may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA FM’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Portfolio invests. These foreign taxes, if any, are paid by the Portfolio and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2016, if any, are disclosed in the Portfolio’s Statement of Assets and Liabilities.
3. | Derivative Financial Instruments |
Futures Contracts
The Portfolio may enter into futures contracts to meet its objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Portfolio is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Portfolio equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Portfolio recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended June 30, 2016, the Portfolio entered into futures contracts for cash equalization and return enhancement.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
The following tables summarize the value of the Portfolio’s derivative instruments as of June 30, 2016 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Liability Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||
Futures Contracts(a) | $– | $ | – | $ | – | $ | (136,775 | ) | $ | – | $ | (136,775 | ) |
(a) | Unrealized depreciation on open futures contracts. |
Net Realized Gain (Loss)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||
Futures Contracts(a) | $– | $ | – | $ | – | (287,072 | ) | $ | – | $ | (287,072 | ) |
(a) | Net realized gain/loss on futures contracts. |
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||
Futures Contracts(a) | $– | $ | – | $ | – | $ | (136,775 | ) | $ | – | $ | (136,775 | ) |
(a) | Net change in unrealized appreciation (depreciation) on futures contracts. |
4. | Fees and Transactions with Affiliates |
Advisory Fee
The Portfolio has entered into an Investment Advisory Agreement with the Adviser. For its advisory services to the Portfolio, the Portfolio pays the Adviser a management fee at an annual rate of 0.11% of its average daily net assets.
Administrator and Sub-Administrator
SSGA FM serves as administrator and State Street serves as custodian, sub-administrator and transfer agent. SSGA FM and State Street receive an annual fee for their services as administrator, custodian, sub-administrator and transfer agent, respectively. The annual fee is accrued daily and payable monthly at the following fee rate:
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Asset Levels | Annual percentage of average aggregate monthly net assets | |
First $400 million | 0.03% | |
Next $15 billion | 0.02% | |
Thereafter | 0.01% | |
Minimum annual fee per Portfolio | $150,000 |
The minimum fee will be calculated by multiplying the minimum per portfolio fee by the number of portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the portfolios. SSGA FM and State Street each receive a portion of the fee.
Other Transactions with Affiliates
The Portfolio may invest in affiliated entities, included securities issued by State Street, affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the six months ended June 30, 2016 are disclosed in the Schedule of Investments.
5. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested person” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars. The Portfolio has not made any payments to the Independent Trustees during the period ended June 30, 2016.
6. | Investment Transactions |
Purchases and sales of investments (excluding short term investments and derivative contracts) for the six months ended June 30, 2016, were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
State Street International Developed Equity Index Portfolio | $ | – | $ | – | $ | 78,289,465 | $ | 15,118,671 |
7. | Income Tax Information |
The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, gains and losses of the Portfolio is deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
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Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
As of June 30, 2016, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
State Street International Developed Equity Index Portfolio | $ | 1,392,098,337 | $ | 51,800,273 | $ | 136,714,810 | $ | (84,914,537 | ) |
8. | Risks |
Concentration Risk
As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.
Foreign and Emerging Markets Risks
Investing in foreign markets involve risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk
In the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
9. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(b) | ||||||||||||||||
State Street International Developed Equity Index | 0.12 | % | $ | 965.00 | $ | 0.20 | $ | 1,008.10 | $ | 0.20 |
(a) | Actual period is from commencement of operations 4/30/2016. |
(b) | Hypothetical Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
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State Street Master Funds
State Street International Developed Equity Index Portfolio
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iii) at the U.S. Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how 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 Portfolio will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Portfolio’s semi-annual and annual financial statements. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iii) at the Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.
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Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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 and 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 02119
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
SSIITHIDESAR IBG-20872 |
Table of Contents
Semi-Annual Report
30 June 2016
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Semi-Annual Report
June 30, 2016 (Unaudited)
Portfolio Summary | 1 | |||
2 | ||||
15 | ||||
16 | ||||
17 | ||||
18 | ||||
19 | ||||
31 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Portfolio Composition* | June 30, 2016 | |||
Common Stocks | 94.4 | % | ||
Short-Term Investment | 4.4 | |||
Rights | 0.0 | ** | ||
Warrants | 0.0 | ** | ||
Other Assets in Excess of Liabilities | 1.2 | |||
Total | 100.0 | % |
** | Less than 0.05% of net assets. |
Top Five Sectors (excluding short-term investments)* | June 30, 2016 | |||
Banks | 15.5 | % | ||
Internet Software & Services | 8.0 | |||
Oil, Gas & Consumable Fuels | 7.2 | |||
Technology Hardware, Storage & Peripherals | 5.0 | |||
Semiconductors & Semiconductor Equipment | 4.8 | |||
Total | 40.5 | % |
* | As a percentage of net assets as of the date indicated. The Fund’s composition will vary over time. |
See accompanying notes to financial statements.
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Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 94.4% |
| |||||||
Brazil – 7.1% | ||||||||
AES Tiete Energia SA | 12,979 | $ | 59,917 | |||||
Ambev SA | 422,603 | 2,512,864 | ||||||
Banco Bradesco SA | 75,080 | 632,980 | ||||||
Banco Bradesco SA Preference Shares | 248,990 | 1,956,947 | ||||||
Banco do Brasil SA | 77,898 | 417,725 | ||||||
Banco Santander Brasil SA | 38,100 | 216,202 | ||||||
BB Seguridade Participacoes SA | 63,237 | 554,847 | ||||||
BM&FBovespa SA | 155,115 | 871,501 | ||||||
BR Malls Participacoes SA | 52,600 | 210,975 | ||||||
Braskem SA Class A, Preference Shares | 12,100 | 71,911 | ||||||
BRF SA | 54,923 | 773,679 | ||||||
CCR SA | 79,945 | 419,220 | ||||||
Centrais Eletricas Brasileiras SA Class B, Preference Shares(a) | 21,000 | 115,430 | ||||||
CETIP SA – Mercados Organizados | 20,400 | 278,835 | ||||||
Cia Brasileira de Distribuicao Preference Shares | 14,500 | 211,407 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 31,100 | 282,290 | ||||||
Cia Energetica de Minas Gerais Preference Shares | 60,500 | 137,476 | ||||||
Cia Energetica de Sao Paulo Class B, Preference Shares | 15,300 | 56,830 | ||||||
Cia Paranaense de Energia Preference Shares | 8,600 | 78,437 | ||||||
Cia Siderurgica Nacional SA(a) | 48,700 | 118,871 | ||||||
Cielo SA | 91,564 | 967,728 | ||||||
Cosan SA Industria e Comercio | 9,900 | 102,932 | ||||||
CPFL Energia SA | 15,786 | 101,454 | ||||||
Duratex SA | 20,778 | 55,127 | ||||||
EDP – Energias do Brasil SA(b) | 19,900 | 84,600 | ||||||
EDP – Energias do Brasil SA(a)(b) | 5,550 | 23,906 | ||||||
Embraer SA | 60,517 | 330,565 | ||||||
Equatorial Energia SA | 18,500 | 280,929 | ||||||
Fibria Celulose SA | 23,035 | 154,801 | ||||||
Gerdau SA Preference Shares | 84,800 | 155,902 | ||||||
Hypermarcas SA | 31,700 | 230,941 | ||||||
Itau Unibanco Holding SA Preference Shares | 258,638 | 2,446,112 | ||||||
Itausa – Investimentos Itau SA Preference Shares | 350,419 | 830,177 | ||||||
JBS SA | 65,600 | 204,760 | ||||||
Klabin SA | 50,706 | 244,054 | ||||||
Kroton Educacional SA | 124,821 | 529,868 | ||||||
Localiza Rent a Car SA | 14,700 | 158,299 | ||||||
Lojas Americanas SA | 13,600 | 48,181 | ||||||
Lojas Americanas SA Preference Shares | 53,540 | 268,724 | ||||||
Lojas Renner SA | 57,911 | 428,221 | ||||||
M Dias Branco SA | 3,200 | 105,776 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 6,700 | 126,022 | ||||||
Natura Cosmeticos SA | 13,900 | 110,636 | ||||||
Odontoprev SA | 21,200 | 88,076 | ||||||
Petroleo Brasileiro SA(a) | 267,714 | 961,807 | ||||||
Petroleo Brasileiro SA Preference Shares(a) | 352,498 | 1,036,451 | ||||||
Porto Seguro SA | 9,000 | 75,146 | ||||||
Qualicorp SA | 17,486 | 101,573 | ||||||
Raia Drogasil SA | 20,900 | 411,900 | ||||||
Rumo Logistica Operadora Multimodal SA(a) | 64,600 | 98,803 | ||||||
Sul America SA | 16,800 | 82,014 | ||||||
Suzano Papel e Celulose SA Class A, Preference Shares | 37,500 | 132,618 | ||||||
Telefonica Brasil SA Preference Shares | 40,455 | 555,605 | ||||||
Tim Participacoes SA | 78,200 | 166,957 | ||||||
TOTVS SA | 11,700 | 111,531 | ||||||
Tractebel Energia SA | 15,000 | 179,368 | ||||||
Transmissora Alianca de Energia Eletrica SA | 7,000 | 41,951 | ||||||
Ultrapar Participacoes SA | 32,582 | 723,186 | ||||||
Vale SA | 116,133 | 589,773 | ||||||
Vale SA Preference Shares | 173,529 | 705,761 | ||||||
WEG SA | 51,700 | 221,727 | ||||||
|
| |||||||
24,252,306 | ||||||||
|
| |||||||
Chile – 1.2% | ||||||||
AES Gener SA | 209,504 | 102,438 | ||||||
Aguas Andinas SA Class A | 209,709 | 120,257 | ||||||
Banco de Chile | 2,196,401 | 235,310 | ||||||
Banco de Credito e Inversiones | 3,376 | 145,837 | ||||||
Banco Santander Chile | 6,005,188 | 289,527 | ||||||
Cencosud SA | 115,599 | 329,791 | ||||||
Cia Cervecerias Unidas SA | 11,689 | 136,709 | ||||||
Colbun SA | 726,392 | 175,996 | ||||||
Embotelladora Andina SA Class B, Preference Shares | 21,642 | 77,050 | ||||||
Empresa Nacional de Electricidad SA | 298,866 | 276,135 | ||||||
Empresa Nacional de Telecomunicaciones SA | 14,023 | 127,006 | ||||||
Empresas CMPC SA | 114,169 | 237,507 | ||||||
Empresas COPEC SA | 41,262 | 362,846 | ||||||
Endesa Americas SA | 304,395 | 140,160 | ||||||
Enersis Chile SA | 1,798,790 | 210,753 | ||||||
Enersis SA | 1,785,295 | 305,654 | ||||||
Itau CorpBanca | 12,679,627 | 107,594 | ||||||
Latam Airlines Group SA(a) | 27,607 | 182,668 | ||||||
SACI Falabella | 44,206 | 337,061 | ||||||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 8,816 | 218,035 | ||||||
|
| |||||||
4,118,334 | ||||||||
|
| |||||||
China – 25.2% | ||||||||
3SBio, Inc.(a)(c)(d) | 94,800 | 97,824 | ||||||
58.com, Inc. ADR(a) | 7,000 | 321,230 | ||||||
AAC Technologies Holdings, Inc.(d) | 66,500 | 568,960 | ||||||
Agricultural Bank of China, Ltd. Class H(d) | 2,212,000 | 812,758 | ||||||
Air China, Ltd. Class H(d) | 148,000 | 101,175 | ||||||
Alibaba Group Holding, Ltd. ADR(a) | 88,682 | 7,052,879 | ||||||
Alibaba Health Information Technology, Ltd.(a)(d) | 298,500 | 220,705 |
See accompanying notes to financial statements.
2
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
China – (continued) | ||||||||
Aluminum Corp. of China, Ltd. Class H(a)(d) | 318,000 | $ | 101,161 | |||||
Anhui Conch Cement Co., Ltd. Class H(d) | 112,500 | 272,686 | ||||||
ANTA Sports Products, Ltd. (d) | 81,000 | 163,440 | ||||||
AviChina Industry & Technology Co., Ltd. Class H(d) | 168,000 | 117,159 | ||||||
Baidu, Inc. ADR(a) | 24,300 | 4,013,145 | ||||||
Bank of China, Ltd. Class H(d) | 7,118,000 | 2,870,094 | ||||||
Bank of Communications Co., Ltd. Class H(d) | 790,000 | 502,538 | ||||||
Beijing Capital International Airport Co., Ltd. Class H(d) | 120,000 | 130,540 | ||||||
Beijing Enterprises Holdings, Ltd.(d) | 47,000 | 267,369 | ||||||
Beijing Enterprises Water Group, Ltd.(d) | 398,000 | 241,547 | ||||||
Belle International Holdings, Ltd.(d) | 575,000 | 339,176 | ||||||
Brilliance China Automotive Holdings, Ltd.(d) | 276,000 | 283,179 | ||||||
Byd Co., Ltd. Class H(a)(d) | 58,000 | 349,852 | ||||||
CGN Power Co., Ltd. Class H(c)(d) | 966,700 | 270,189 | ||||||
China Cinda Asset Management Co., Ltd. Class H(d) | 796,481 | 270,087 | ||||||
China CITIC Bank Corp., Ltd. Class H(d) | 807,000 | 492,593 | ||||||
China Coal Energy Co., Ltd. Class H(d) | 193,000 | 101,374 | ||||||
China Communications Construction Co., Ltd. Class H(d) | 401,000 | 434,728 | ||||||
China Communications Services Corp., Ltd. Class H(d) | 186,000 | 97,487 | ||||||
China Conch Venture Holdings, Ltd.(d) | 123,500 | 245,589 | ||||||
China Construction Bank Corp. Class H(d) | 7,534,000 | 5,032,358 | ||||||
China COSCO Holdings Co., Ltd. Class H(a)(d) | 200,500 | 71,183 | ||||||
China Everbright Bank Co., Ltd. Class H(d) | 286,700 | 130,961 | ||||||
China Everbright International, Ltd.(d) | 225,000 | 251,588 | ||||||
China Everbright, Ltd.(d) | 86,000 | 166,871 | ||||||
China Galaxy Securities Co., Ltd. Class H(d) | 269,500 | 243,568 | ||||||
China Huishan Dairy Holdings Co., Ltd.(d) | 320,100 | 130,691 | ||||||
China Jinmao Holdings Group, Ltd.(d) | 290,000 | 82,058 | ||||||
China Life Insurance Co., Ltd. Class H(d) | 668,000 | 1,440,316 | ||||||
China Longyuan Power Group Corp., Ltd. Class H(d) | 290,000 | 240,966 | ||||||
China Medical System Holdings, Ltd.(d) | 114,000 | 175,019 | ||||||
China Mengniu Dairy Co., Ltd.(d) | 248,000 | 433,862 | ||||||
China Merchants Bank Co., Ltd. Class H(d) | 351,500 | 791,212 | ||||||
China Merchants Holdings International Co., Ltd.(d) | 114,000 | 305,184 | ||||||
China Minsheng Banking Corp., Ltd. Class H(d) | 532,500 | 517,302 | ||||||
China Mobile, Ltd.(d) | 550,000 | 6,362,107 | ||||||
China National Building Material Co., Ltd. Class H(d) | 228,000 | 100,275 | ||||||
China Oilfield Services, Ltd. Class H(d) | 144,000 | 111,882 | ||||||
China Overseas Land & Investment, Ltd.(d) | 354,000 | 1,128,521 | ||||||
China Pacific Insurance Group Co., Ltd. Class H(d) | 237,400 | 804,599 | ||||||
China Petroleum & Chemical Corp. Class H(d) | 2,290,000 | 1,651,874 | ||||||
China Power International Development, Ltd.(d) | 261,000 | 96,684 | ||||||
China Railway Construction Corp., Ltd. Class H(d) | 180,500 | 227,867 | ||||||
China Railway Group, Ltd. Class H(d) | 364,000 | 273,583 | ||||||
China Resources Beer Holdings Co., Ltd.(d) | 112,000 | 244,228 | ||||||
China Resources Gas Group, Ltd.(d) | 82,000 | 250,439 | ||||||
China Resources Land, Ltd.(d) | 250,000 | 589,123 | ||||||
China Resources Power Holdings Co., Ltd.(d) | 176,000 | 264,137 | ||||||
China Shenhua Energy Co., Ltd. Class H(d) | 306,500 | 570,070 | ||||||
China Shipping Container Lines Co., Ltd. Class H(a)(d) | 312,000 | 65,142 | ||||||
China Southern Airlines Co., Ltd. Class H(d) | 154,000 | 87,327 | ||||||
China State Construction International Holdings, Ltd.(d) | 168,000 | 223,355 | ||||||
China Taiping Insurance Holdings Co., Ltd.(a)(d) | 147,400 | 277,392 | ||||||
China Telecom Corp., Ltd. Class H(d) | 1,252,000 | 563,056 | ||||||
China Unicom Hong Kong, Ltd.(d) | 540,000 | 564,495 | ||||||
China Vanke Co., Ltd. Class H(d) | 120,000 | 236,982 | ||||||
Chongqing Changan Automobile Co., Ltd. Class B(d) | 68,200 | 95,535 | ||||||
Chongqing Rural Commercial Bank Co., Ltd. Class H(d) | 192,000 | 98,039 | ||||||
CITIC Securities Co., Ltd. Class H(d) | 196,000 | 435,936 | ||||||
CITIC, Ltd.(d) | 394,000 | 576,991 | ||||||
CNOOC, Ltd.(d) | 1,601,000 | 2,000,515 | ||||||
COSCO Pacific, Ltd.(d) | 134,000 | 133,618 | ||||||
Country Garden Holdings Co., Ltd.(d) | 513,000 | 216,957 | ||||||
CRRC Corp., Ltd. Class H(d) | 377,000 | 339,517 | ||||||
CSPC Pharmaceutical Group, Ltd.(d) | 376,000 | 334,488 | ||||||
Ctrip.com International, Ltd. ADR(a) | 30,367 | 1,251,120 | ||||||
Dalian Wanda Commercial Properties Co., Ltd. Class H(c)(d) | 50,100 | 310,397 |
See accompanying notes to financial statements.
3
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
China – (continued) | ||||||||
Dongfeng Motor Group Co., Ltd. Class H(d) | 248,000 | $ | 261,410 | |||||
ENN Energy Holdings, Ltd.(d) | 68,000 | 337,693 | ||||||
Evergrande Real Estate Group, Ltd.(d) | 375,000 | 229,886 | ||||||
Far East Horizon, Ltd.(d) | 183,000 | 142,933 | ||||||
Fosun International, Ltd.(d) | 235,000 | 305,002 | ||||||
Geely Automobile Holdings, Ltd.(d) | 480,000 | 261,192 | ||||||
GF Securities Co., Ltd. Class H(d) | 123,800 | 283,946 | ||||||
GOME Electrical Appliances Holding, Ltd.(d) | 1,146,000 | 135,576 | ||||||
Great Wall Motor Co., Ltd. Class H(d) | 283,500 | 236,292 | ||||||
Guangdong Investment, Ltd.(d) | 256,000 | 392,803 | ||||||
Guangzhou Automobile Group Co., Ltd. Class H(d) | 192,000 | 229,657 | ||||||
Guangzhou R&F Properties Co., Ltd. Class H(d) | 89,600 | 113,589 | ||||||
Haitian International Holdings, Ltd.(d) | 46,000 | 81,987 | ||||||
Haitong Securities Co., Ltd. Class H(d) | 277,600 | 473,006 | ||||||
Hengan International Group Co., Ltd.(d) | 66,000 | 552,382 | ||||||
Huadian Power International Corp., Ltd. Class H(d) | 134,000 | 64,226 | ||||||
Huaneng Power International, Inc. Class H(d) | 386,000 | 240,259 | ||||||
Huaneng Renewables Corp., Ltd. Class H(d) | 370,000 | 123,357 | ||||||
Huatai Securities Co., Ltd. Class H(c)(d) | 133,000 | 285,736 | ||||||
Industrial & Commercial Bank of China, Ltd. Class H(d) | 6,607,000 | 3,684,586 | ||||||
JD.com, Inc. ADR(a) | 61,767 | 1,311,313 | ||||||
Jiangsu Expressway Co., Ltd. Class H(d) | 96,000 | 134,065 | ||||||
Jiangxi Copper Co., Ltd. Class H(d) | 104,000 | 116,716 | ||||||
Kingsoft Corp., Ltd.(d) | 66,000 | 128,238 | ||||||
Kunlun Energy Co., Ltd.(d) | 294,000 | 245,049 | ||||||
Lenovo Group, Ltd.(d) | 654,000 | 397,531 | ||||||
Longfor Properties Co., Ltd.(d) | 134,500 | 175,485 | ||||||
Luye Pharma Group, Ltd.(a)(d) | 89,600 | 55,171 | ||||||
NetEase, Inc. ADR | 7,073 | 1,366,645 | ||||||
New China Life Insurance Co., Ltd. Class H(d) | 70,800 | 253,511 | ||||||
New Oriental Education & Technology Group, Inc. ADR | 12,000 | 502,560 | ||||||
People’s Insurance Co. Group of China, Ltd. Class H(d) | 637,000 | 246,065 | ||||||
PetroChina Co., Ltd. Class H(d) | 1,894,000 | 1,305,442 | ||||||
PICC Property & Casualty Co., Ltd. Class H(d) | 414,000 | 653,820 | ||||||
Ping An Insurance Group Co. of China, Ltd. Class H(d) | 467,500 | 2,071,380 | ||||||
Qihoo 360 Technology Co., Ltd. ADR(a) | 8,200 | 599,010 | ||||||
Qinqin Foodstuffs Group Cayman Co., Ltd.(a)(d) | 11,500 | 16,306 | ||||||
Qunar Cayman Islands, Ltd. ADR(a) | 2,600 | 77,454 | ||||||
Semiconductor Manufacturing International Corp.(a)(d) | 2,508,000 | 202,021 | ||||||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H(d) | 176,000 | 100,396 | ||||||
Shanghai Electric Group Co., Ltd. Class H(d) | 238,000 | 100,390 | ||||||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H(d) | 38,000 | 93,038 | ||||||
Shanghai Industrial Holdings, Ltd.(d) | 46,000 | 104,698 | ||||||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B(d) | 85,160 | 133,275 | ||||||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H(d) | 55,500 | 123,067 | ||||||
Shenzhou International Group Holdings, Ltd.(d) | 51,000 | 246,624 | ||||||
Shui On Land, Ltd.(d) | 253,500 | 65,102 | ||||||
Sino-Ocean Group Holding, Ltd.(d) | 280,500 | 122,484 | ||||||
Sinopec Engineering Group Co., Ltd. Class H(d) | 96,200 | 86,545 | �� | |||||
Sinopec Shanghai Petrochemical Co., Ltd. Class H(d) | 276,000 | 127,712 | ||||||
Sinopharm Group Co., Ltd. Class H(d) | 107,600 | 516,887 | ||||||
Sinotrans, Ltd. Class H(d) | 152,000 | 67,864 | ||||||
SOHO China, Ltd.(d) | 170,500 | 82,760 | ||||||
SouFun Holdings, Ltd. ADR(a) | 26,300 | 132,289 | ||||||
Sunac China Holdings, Ltd.(d) | 155,700 | 97,332 | ||||||
TAL Education Group ADR(a) | 3,900 | 242,034 | ||||||
Tencent Holdings, Ltd.(d) | 504,900 | 11,595,617 | ||||||
Tingyi Cayman Islands Holding Corp.(d) | 180,000 | 171,392 | ||||||
TravelSky Technology, Ltd. Class H(d) | 86,000 | 165,591 | ||||||
Tsingtao Brewery Co., Ltd. Class H(d) | 28,000 | 97,348 | ||||||
Vipshop Holdings, Ltd. ADR(a) | 36,388 | 406,454 | ||||||
Want Want China Holdings, Ltd.(d) | 520,000 | 366,787 | ||||||
Weichai Power Co., Ltd. Class H(d) | 81,000 | 83,401 | ||||||
Yanzhou Coal Mining Co., Ltd. Class H(d) | 174,000 | 113,141 | ||||||
YY, Inc. ADR(a) | 2,100 | 71,127 | ||||||
Zhejiang Expressway Co., Ltd. Class H(d) | 114,000 | 107,554 | ||||||
Zhuzhou CRRC Times Electric Co., Ltd.(d) | 50,000 | 277,063 | ||||||
Zijin Mining Group Co., Ltd. Class H(d) | 532,000 | 178,707 | ||||||
ZTE Corp. Class H(d) | 63,200 | 80,553 | ||||||
|
| |||||||
85,689,386 | ||||||||
|
| |||||||
Colombia – 0.5% | ||||||||
Bancolombia SA Preference Shares | 41,016 | 359,260 | ||||||
Cementos Argos SA | 37,481 | 153,583 |
See accompanying notes to financial statements.
4
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Colombia – (continued) | ||||||||
Corp. Financiera Colombiana SA | 6,610 | $ | 86,709 | |||||
Ecopetrol SA | 451,863 | 216,689 | ||||||
Grupo Argos SA | 26,778 | 170,297 | ||||||
Grupo Aval Acciones y Valores SA Preference Shares | 325,832 | 132,170 | ||||||
Grupo de Inversiones Suramericana SA | 21,363 | 281,266 | ||||||
Grupo de Inversiones Suramericana SA Preference Shares | 7,946 | 102,651 | ||||||
Interconexion Electrica SA ESP | 30,091 | 92,476 | ||||||
|
| |||||||
1,595,101 | ||||||||
|
| |||||||
Czech Republic – 0.2% | ||||||||
CEZ A/S(d) | 14,730 | 251,376 | ||||||
Komercni banka A/S(d) | 6,933 | 260,031 | ||||||
O2 Czech Republic A/S | 4,461 | 39,710 | ||||||
|
| |||||||
551,117 | ||||||||
|
| |||||||
Egypt – 0.1% | ||||||||
Commercial International Bank Egypt SAE(d) | 69,397 | 309,831 | ||||||
Global Telecom Holding SAE(a) | 216,126 | 76,423 | ||||||
Talaat Moustafa Group | 49,329 | 27,109 | ||||||
|
| |||||||
413,363 | ||||||||
|
| |||||||
Greece – 0.3% | ||||||||
Alpha Bank AE(a)(d) | 126,329 | 236,966 | ||||||
Eurobank Ergasias SA(a)(d) | 147,356 | 93,380 | ||||||
FF Group(a) | 2,409 | 44,881 | ||||||
Hellenic Telecommunications Organization SA(d) | 22,463 | 205,459 | ||||||
JUMBO SA(a)(d) | 7,830 | 103,121 | ||||||
National Bank of Greece SA(a)(d) | 432,466 | 96,046 | ||||||
OPAP SA(d) | 17,634 | 123,033 | ||||||
Piraeus Bank SA(a)(d) | 514,450 | 96,104 | ||||||
Titan Cement Co. SA | 3,787 | 77,832 | ||||||
|
| |||||||
1,076,822 | ||||||||
|
| |||||||
Hong Kong – 0.4% | ||||||||
Alibaba Pictures Group, Ltd.(a)(d) | 1,035,900 | 242,410 | ||||||
China Gas Holdings, Ltd.(d) | 158,000 | 241,851 | ||||||
GCL-Poly Energy Holdings, Ltd.(d) | 1,201,000 | 159,421 | ||||||
Haier Electronics Group Co., Ltd.(d) | 116,000 | 177,542 | ||||||
Nine Dragons Paper Holdings, Ltd.(d) | 126,000 | 96,933 | ||||||
Shimao Property Holdings, Ltd.(d) | 112,500 | 143,182 | ||||||
Sino Biopharmaceutical, Ltd.(d) | 404,000 | 265,160 | ||||||
Sun Art Retail Group, Ltd.(d) | 188,500 | 133,041 | ||||||
|
| |||||||
1,459,540 | ||||||||
|
| |||||||
Hungary – 0.3% | ||||||||
MOL Hungarian Oil & Gas PLC(d) | 3,356 | 194,529 | ||||||
OTP Bank PLC(d) | 21,505 | 481,837 | ||||||
Richter Gedeon Nyrt(d) | 12,758 | 254,081 | ||||||
|
| |||||||
930,447 | ||||||||
|
| |||||||
India – 4.0% | ||||||||
ACC, Ltd.(d) | 1,708 | 41,180 | ||||||
Adani Ports & Special Economic Zone, Ltd.(d) | 37,244 | 114,713 | ||||||
Ambuja Cements, Ltd.(d) | 30,670 | 116,646 | ||||||
Apollo Hospitals Enterprise, Ltd.(d) | 3,540 | 69,143 | ||||||
Ashok Leyland, Ltd.(d) | 38,456 | 56,377 | ||||||
Asian Paints, Ltd.(d) | 12,710 | 188,129 | ||||||
Aurobindo Pharma, Ltd.(d) | 11,768 | 129,734 | ||||||
Axis Bank, Ltd.(d) | 26,231 | 208,437 | ||||||
Bajaj Auto, Ltd.(d) | 3,734 | 149,672 | ||||||
Bajaj Finance, Ltd.(d) | 737 | 87,340 | ||||||
Bharat Forge, Ltd.(d) | 3,418 | 38,624 | ||||||
Bharat Heavy Electricals, Ltd.(d) | 19,617 | 37,392 | ||||||
Bharat Petroleum Corp., Ltd.(d) | 2,851 | 45,568 | ||||||
Bharti Airtel, Ltd.(d) | 43,894 | 237,344 | ||||||
Bharti Infratel, Ltd.(d) | 25,440 | 130,791 | ||||||
Bosch, Ltd.(d) | 339 | 113,709 | ||||||
Cadila Healthcare, Ltd.(d) | 7,713 | 37,689 | ||||||
Cairn India, Ltd.(d) | 17,328 | 36,313 | ||||||
Cipla, Ltd.(d) | 15,517 | 115,446 | ||||||
Coal India, Ltd.(d) | 30,927 | 143,821 | ||||||
Container Corp. Of India, Ltd.(d) | 666 | 14,121 | ||||||
Dabur India, Ltd.(d) | 23,746 | 108,612 | ||||||
Divi’s Laboratories, Ltd.(d) | 2,893 | 48,158 | ||||||
Dr Reddy’s Laboratories, Ltd.(d) | 3,374 | 170,341 | ||||||
Dr Reddy’s Laboratories, Ltd. ADR | 1,788 | 91,599 | ||||||
Eicher Motors, Ltd.(d) | 543 | 154,526 | ||||||
GAIL India, Ltd. | 5,883 | 33,645 | ||||||
GAIL India, Ltd. GDR | 1,438 | 46,232 | ||||||
GlaxoSmithKline Consumer Healthcare, Ltd. | 390 | 33,860 | ||||||
Glenmark Pharmaceuticals, Ltd.(d) | 6,365 | 75,711 | ||||||
Godrej Consumer Products, Ltd.(d) | 5,340 | 127,192 | ||||||
Havells India, Ltd.(d) | 11,665 | 62,496 | ||||||
HCL Technologies, Ltd.(d) | 24,714 | 267,984 | ||||||
Hero MotoCorp, Ltd.(d) | 2,256 | 105,801 | ||||||
Hindalco Industries, Ltd.(d) | 50,740 | 93,280 | ||||||
Hindustan Unilever, Ltd.(d) | 28,284 | 376,994 | ||||||
Housing Development Finance Corp., Ltd.(d) | 64,781 | 1,205,943 | ||||||
ICICI Bank, Ltd.(d) | 23,422 | 83,778 | ||||||
ICICI Bank, Ltd. ADR | 12,741 | 91,480 | ||||||
Idea Cellular, Ltd.(d) | 57,345 | 90,786 | ||||||
Indiabulls Housing Finance, Ltd.(d) | 13,174 | 131,884 | ||||||
Infosys, Ltd.(d) | 67,951 | 1,180,354 | ||||||
Infosys, Ltd. ADR | 11,030 | 196,886 | ||||||
ITC, Ltd.(d) | 97,701 | 535,773 | ||||||
JSW Steel, Ltd.(d) | 3,869 | 84,491 | ||||||
Larsen & Toubro, Ltd.(d) | 7,362 | 164,128 | ||||||
Larsen & Toubro, Ltd. GDR(d) | 6,479 | 144,373 | ||||||
LIC Housing Finance, Ltd.(d) | 13,466 | 99,162 | ||||||
Lupin, Ltd.(d) | 9,707 | 222,806 | ||||||
Mahindra & Mahindra Financial Services, Ltd.(d) | 9,307 | 46,416 | ||||||
Mahindra & Mahindra, Ltd.(d) | 8,431 | 178,845 |
See accompanying notes to financial statements.
5
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
India – (continued) | ||||||||
Mahindra & Mahindra, Ltd. GDR(d) | 7,826 | $ | 166,700 | |||||
Marico, Ltd.(d) | 15,809 | 62,061 | ||||||
Maruti Suzuki India, Ltd.(d) | 4,627 | 288,502 | ||||||
Motherson Sumi Systems, Ltd.(d) | 10,457 | 45,304 | ||||||
Nestle India, Ltd.(d) | 1,045 | 101,431 | ||||||
NTPC, Ltd.(d) | 73,135 | 169,030 | ||||||
Oil & Natural Gas Corp., Ltd.(d) | 38,347 | 123,441 | ||||||
Piramal Enterprises, Ltd. | 2,455 | 52,432 | ||||||
Power Finance Corp., Ltd.(d) | 10,194 | 25,980 | ||||||
Reliance Industries, Ltd.(d) | 44,918 | 646,932 | ||||||
Reliance Industries, Ltd. GDR(c) | 5,573 | 159,109 | ||||||
Shree Cement, Ltd.(d) | 383 | 82,420 | ||||||
Shriram Transport Finance Co., Ltd.(d) | 6,627 | 118,388 | ||||||
Siemens, Ltd.(d) | 2,341 | 45,695 | ||||||
State Bank of India(d) | 34,978 | 114,202 | ||||||
State Bank of India GDR | 3,420 | 108,414 | ||||||
Sun Pharmaceutical Industries, Ltd.(d) | 41,824 | 475,086 | ||||||
Tata Consultancy Services, Ltd.(d) | 20,468 | 774,184 | ||||||
Tata Motors, Ltd.(a)(b)(d) | 17,545 | 76,438 | ||||||
Tata Motors, Ltd.(a)(b)(d) | 56,220 | 384,241 | ||||||
Tata Motors, Ltd. ADR(a) | 2,430 | 84,248 | ||||||
Tata Power Co., Ltd.(d) | 37,080 | 40,486 | ||||||
Tata Steel, Ltd. GDR(d) | 10,534 | 49,744 | ||||||
Tech Mahindra, Ltd.(d) | 10,641 | 80,430 | ||||||
Titan Co., Ltd.(d) | 14,206 | 85,922 | ||||||
UltraTech Cement, Ltd.(d) | 1,249 | 63,298 | ||||||
United Spirits, Ltd.(a)(d) | 2,876 | 106,107 | ||||||
UPL, Ltd.(d) | 13,502 | 110,718 | ||||||
Vedanta, Ltd.(d) | 34,382 | 67,915 | ||||||
Vedanta, Ltd. ADR | 3,228 | 25,404 | ||||||
Wipro, Ltd.(d) | 11,379 | 94,644 | ||||||
Wipro, Ltd. ADR | 12,048 | 148,913 | ||||||
Yes Bank, Ltd.(d) | 4,828 | 79,182 | ||||||
Zee Entertainment Enterprises, Ltd.(d) | 25,533 | 173,066 | ||||||
|
| |||||||
13,595,792 | ||||||||
|
| |||||||
Indonesia – 2.7% | ||||||||
Adaro Energy Tbk PT(d) | 1,202,000 | 78,116 | ||||||
AKR Corporindo Tbk PT(d) | 147,500 | 71,623 | ||||||
Astra International Tbk PT(d) | 1,819,600 | 1,025,821 | ||||||
Bank Central Asia Tbk PT(d) | 1,107,500 | 1,121,408 | ||||||
Bank Danamon Indonesia Tbk PT(d) | 278,000 | 74,696 | ||||||
Bank Mandiri Persero Tbk PT(d) | 841,400 | 608,883 | ||||||
Bank Negara Indonesia Persero Tbk PT(d) | 680,100 | 269,516 | ||||||
Bank Rakyat Indonesia Persero Tbk PT(d) | 999,000 | 822,009 | ||||||
Bumi Serpong Damai Tbk PT(d) | 599,500 | 96,470 | ||||||
Charoen Pokphand Indonesia Tbk PT(d) | 677,500 | 193,942 | ||||||
Global Mediacom Tbk PT(d) | 509,500 | 38,150 | ||||||
Gudang Garam Tbk PT(d) | 44,000 | 230,216 | ||||||
Hanjaya Mandala Sampoerna Tbk PT(d) | 850,000 | 244,707 | ||||||
Indocement Tunggal Prakarsa Tbk PT(d) | 135,500 | 174,258 | ||||||
Indofood CBP Sukses Makmur Tbk PT(d) | 96,000 | 126,203 | ||||||
Indofood Sukses Makmur Tbk PT(d) | 401,500 | 220,913 | ||||||
Jasa Marga Persero Tbk PT(d) | 139,500 | 55,965 | ||||||
Kalbe Farma Tbk PT(d) | 1,932,000 | 224,833 | ||||||
Lippo Karawaci Tbk PT(d) | 1,556,500 | 135,220 | ||||||
Matahari Department Store Tbk PT(d) | 212,300 | 323,568 | ||||||
Media Nusantara Citra Tbk PT(d) | 416,000 | 69,791 | ||||||
Perusahaan Gas Negara Persero Tbk(d) | 1,003,500 | 178,931 | ||||||
Semen Indonesia Persero Tbk PT(d) | 272,500 | 194,096 | ||||||
Summarecon Agung Tbk PT(d) | 817,500 | 113,049 | ||||||
Surya Citra Media Tbk PT(d) | 481,500 | 120,994 | ||||||
Telekomunikasi Indonesia Persero Tbk PT(d) | 4,524,500 | 1,376,559 | ||||||
Tower Bersama Infrastructure Tbk PT(d) | 224,500 | 112,538 | ||||||
Unilever Indonesia Tbk PT(d) | 138,100 | 471,988 | ||||||
United Tractors Tbk PT(d) | 154,500 | 174,317 | ||||||
Waskita Karya Persero Tbk PT(d) | 334,000 | 64,839 | ||||||
XL Axiata Tbk PT(a)(d) | 351,500 | 97,718 | ||||||
|
| |||||||
9,111,337 | ||||||||
|
| |||||||
Malaysia – 2.9% | ||||||||
AirAsia Bhd(d) | 90,800 | 58,790 | ||||||
Alliance Financial Group Bhd(d) | 83,800 | 83,895 | ||||||
AMMB Holdings Bhd(d) | 166,300 | 183,534 | ||||||
Astro Malaysia Holdings Bhd | 146,400 | 106,400 | ||||||
Axiata Group Bhd(d) | 235,000 | 328,909 | ||||||
Berjaya Sports Toto Bhd | 49,300 | 37,175 | ||||||
British American Tobacco Malaysia Bhd | 11,600 | 151,636 | ||||||
CIMB Group Holdings Bhd(d) | 271,534 | 295,349 | ||||||
Dialog Group Bhd(d) | 292,500 | 111,973 | ||||||
DiGi.Com Bhd(d) | 317,100 | 376,355 | ||||||
Felda Global Ventures Holdings Bhd(d) | 94,100 | 35,376 | ||||||
Gamuda Bhd | 154,800 | 186,612 | ||||||
Genting Bhd(d) | 203,400 | 414,305 | ||||||
Genting Malaysia Bhd(d) | 270,000 | 298,530 | ||||||
Genting Plantations Bhd | 16,300 | 42,938 | ||||||
HAP Seng Consolidated Bhd | 45,900 | 87,895 | ||||||
Hartalega Holdings Bhd | 42,200 | 45,325 | ||||||
Hong Leong Bank Bhd(d) | 59,700 | 195,829 | ||||||
Hong Leong Financial Group Bhd(d) | 19,000 | 69,333 | ||||||
IHH Healthcare Bhd | 260,500 | 426,467 | ||||||
IJM Corp. Bhd(d) | 262,100 | 227,018 | ||||||
IOI Corp. Bhd(d) | 206,800 | 222,225 | ||||||
IOI Properties Group Bhd | 108,800 | 63,421 | ||||||
Kuala Lumpur Kepong Bhd(d) | 39,100 | 226,136 | ||||||
Lafarge Malaysia Bhd | 25,400 | 49,332 | ||||||
Malayan Banking Bhd(d) | 307,987 | 623,012 | ||||||
Malaysia Airports Holdings Bhd(d) | 63,300 | 96,287 | ||||||
Maxis Bhd(d) | 171,300 | 250,476 | ||||||
MISC Bhd | 102,500 | 189,669 |
See accompanying notes to financial statements.
6
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Malaysia – (continued) | ||||||||
Petronas Chemicals Group Bhd | 217,700 | $ | 356,938 | |||||
Petronas Dagangan Bhd | 18,600 | 107,960 | ||||||
Petronas Gas Bhd(d) | 62,800 | 343,749 | ||||||
PPB Group Bhd(d) | 43,600 | 179,123 | ||||||
Public Bank Bhd(d) | 244,100 | 1,176,185 | ||||||
RHB Capital Bhd(d) | 91,510 | 116,414 | ||||||
SapuraKencana Petroleum Bhd(d) | 262,300 | 96,387 | ||||||
Sime Darby Bhd(d) | 229,000 | 431,447 | ||||||
Telekom Malaysia Bhd(d) | 103,800 | 174,711 | ||||||
Tenaga Nasional Bhd(d) | 304,300 | 1,065,486 | ||||||
UMW Holdings Bhd(d) | 40,800 | 58,147 | ||||||
Westports Holdings Bhd(d) | 79,400 | 82,880 | ||||||
YTL Corp. Bhd(d) | 398,400 | 165,357 | ||||||
YTL Power International Bhd | 144,000 | 50,363 | ||||||
|
| |||||||
9,889,349 | ||||||||
|
| |||||||
Mexico – 4.0% | ||||||||
Alfa SAB de CV Class A | 254,940 | 434,314 | ||||||
America Movil SAB de CV Series L | 2,817,821 | 1,716,726 | ||||||
Arca Continental SAB de CV | 38,200 | 271,676 | ||||||
Cemex SAB de CV(a) | 1,261,182 | 773,146 | ||||||
Coca-Cola Femsa SAB de CV Series L | 45,100 | 370,348 | ||||||
El Puerto de Liverpool SAB de CV Series C1 | 17,300 | 181,390 | ||||||
Fibra Uno Administracion SA de CV | 231,158 | 488,020 | ||||||
Fomento Economico Mexicano SAB de CV | 164,880 | 1,512,757 | ||||||
Gentera SAB de CV | 80,700 | 143,254 | ||||||
Gruma SAB de CV Class B | 19,700 | 280,830 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 31,500 | 320,903 | ||||||
Grupo Aeroportuario del Sureste SAB de CV Class B | 18,900 | 298,438 | ||||||
Grupo Bimbo SAB de CV Series A | 148,915 | 462,826 | ||||||
Grupo Carso SAB de CV Series A1 | 52,000 | 221,763 | ||||||
Grupo Comercial Chedraui SA de CV | 26,800 | 66,211 | ||||||
Grupo Financiero Banorte SAB de CV Series O | 224,203 | 1,241,734 | ||||||
Grupo Financiero Inbursa SAB de CV Series O | 211,626 | 356,624 | ||||||
Grupo Financiero Santander Mexico SAB de CV Class B | 166,291 | 299,066 | ||||||
Grupo Lala SAB de CV | 47,400 | 103,565 | ||||||
Grupo Mexico SAB de CV Series B | 343,436 | 797,474 | ||||||
Grupo Televisa SAB Series CPO | 219,729 | 1,135,372 | ||||||
Industrias Penoles SAB de CV | 12,675 | 299,877 | ||||||
Kimberly-Clark de Mexico SAB de CV Class A | 138,889 | 325,142 | ||||||
Mexichem SAB de CV | 96,400 | 201,377 | ||||||
OHL Mexico SAB de CV(a) | 65,100 | 79,041 | ||||||
Promotora y Operadora de Infraestructura SAB de CV | 24,200 | 295,160 | ||||||
Wal-Mart de Mexico SAB de CV | 470,594 | 1,121,819 | ||||||
|
| |||||||
13,798,853 | ||||||||
|
| |||||||
Netherlands – 0.4% | ||||||||
Steinhoff International Holdings NV(d) | 260,746 | 1,504,292 | ||||||
|
| |||||||
Peru – 0.4% | ||||||||
Cia de Minas Buenaventura SAA ADR(a) | 17,400 | 207,930 | ||||||
Credicorp, Ltd. | 6,100 | 941,413 | ||||||
Southern Copper Corp. | 7,767 | 209,554 | ||||||
|
| |||||||
1,358,897 | ||||||||
|
| |||||||
Philippines – 1.6% | ||||||||
Aboitiz Equity Ventures, Inc.(d) | 176,950 | 293,820 | ||||||
Aboitiz Power Corp.(d) | 118,600 | 116,420 | ||||||
Alliance Global Group, Inc.(d) | 141,500 | 44,640 | ||||||
Ayala Corp.(d) | 22,440 | 406,052 | ||||||
Ayala Land, Inc.(d) | 663,100 | 550,058 | ||||||
Bank of the Philippine Islands(d) | 65,600 | 135,835 | ||||||
BDO Unibank, Inc.(d) | 148,820 | 355,542 | ||||||
DMCI Holdings, Inc.(d) | 374,330 | 100,723 | ||||||
Energy Development Corp.(d) | 793,200 | 93,617 | ||||||
Globe Telecom, Inc.(d) | 2,705 | 136,740 | ||||||
GT Capital Holdings, Inc.(d) | 7,170 | 220,419 | ||||||
International Container Terminal Services, Inc.(d) | 44,590 | 58,481 | ||||||
JG Summit Holdings, Inc.(d) | 258,940 | 473,048 | ||||||
Jollibee Foods Corp.(d) | 39,240 | 202,372 | ||||||
Megaworld Corp.(d) | 1,060,000 | 105,469 | ||||||
Metro Pacific Investments Corp.(d) | 1,206,000 | 179,594 | ||||||
Metropolitan Bank & Trust Co.(d) | 59,490 | 114,578 | ||||||
Philippine Long Distance Telephone Co.(d) | 8,805 | 402,449 | ||||||
Robinsons Land Corp.(d) | 134,400 | 84,596 | ||||||
Security Bank Corp.(d) | 33,330 | 136,352 | ||||||
SM Investments Corp.(d) | 14,600 | 301,834 | ||||||
SM Prime Holdings, Inc.(d) | 750,300 | 438,327 | ||||||
Universal Robina Corp.(d) | 79,160 | 351,091 | ||||||
|
| |||||||
5,302,057 | ||||||||
|
| |||||||
Poland – 1.1% | ||||||||
Alior Bank SA(a)(b) | 3,276 | 43,326 | ||||||
Alior Bank SA(a)(b)(d) | 4,212 | 55,828 | ||||||
Bank Handlowy w Warszawie SA(d) | 2,084 | 37,804 | ||||||
Bank Millennium SA(a) | 42,578 | 50,302 | ||||||
Bank Pekao SA(d) | 11,877 | 412,976 | ||||||
Bank Zachodni WBK SA(d) | 2,837 | 188,939 | ||||||
CCC SA(d) | 2,835 | 114,741 | ||||||
Cyfrowy Polsat SA(a)(d) | 15,981 | 89,038 | ||||||
Enea SA(d) | 14,124 | 35,363 | ||||||
Energa SA(d) | 14,307 | 34,436 | ||||||
Eurocash SA(d) | 5,779 | 67,438 | ||||||
Grupa Azoty SA(d) | 3,119 | 54,305 | ||||||
Grupa Lotos SA(a)(d) | 6,417 | 49,435 | ||||||
KGHM Polska Miedz SA(d) | 12,827 | 215,590 | ||||||
LPP SA(d) | 119 | 152,049 | ||||||
mBank SA(a)(d) | 1,134 | 88,843 | ||||||
Orange Polska SA(d) | 53,547 | 68,766 | ||||||
PGE Polska Grupa Energetyczna SA(d) | 76,902 | 230,690 | ||||||
Polski Koncern Naftowy Orlen SA(d) | 28,970 | 506,784 |
See accompanying notes to financial statements.
7
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Poland – (continued) | ||||||||
Polskie Gornictwo Naftowe i Gazownictwo SA(d) | 162,061 | $ | 230,092 | |||||
Powszechna Kasa Oszczednosci Bank Polski SA(a)(d) | 79,084 | 466,837 | ||||||
Powszechny Zaklad Ubezpieczen SA(d) | 50,878 | 369,239 | ||||||
Synthos SA(a)(d) | 38,614 | 35,229 | ||||||
Tauron Polska Energia SA(d) | 88,588 | 63,649 | ||||||
|
| |||||||
3,661,699 | ||||||||
|
| |||||||
Qatar – 0.9% | ||||||||
Barwa Real Estate Co.(d) | 9,242 | 84,012 | ||||||
Commercial Bank QSC(d) | 12,619 | 128,620 | ||||||
Doha Bank QSC(d) | 9,939 | 96,751 | ||||||
Ezdan Holding Group QSC(d) | 72,153 | 356,136 | ||||||
Industries Qatar QSC(d) | 13,707 | 370,167 | ||||||
Masraf Al Rayan QSC(d) | 33,387 | 312,319 | ||||||
Ooredoo QSC | 7,361 | 178,703 | ||||||
Qatar Electricity & Water Co. QSC(d) | 2,181 | 124,621 | ||||||
Qatar Gas Transport Co., Ltd.(d) | 25,044 | 158,486 | ||||||
Qatar Insurance Co. SAQ | 10,925 | 221,122 | ||||||
Qatar Islamic Bank SAQ(d) | 4,674 | 123,420 | ||||||
Qatar National Bank SAQ(d) | 18,901 | 728,291 | ||||||
Vodafone Qatar QSC(d) | 31,933 | 93,017 | ||||||
|
| |||||||
2,975,665 | ||||||||
|
| |||||||
Romania – 0.1% | ||||||||
New Europe Property Investments PLC | 19,136 | 219,518 | ||||||
|
| |||||||
Russia – 3.7% | ||||||||
AK Transneft OAO Preference Shares(a) | 141 | 366,420 | ||||||
Alrosa PAO(a) | 167,525 | 180,645 | ||||||
Gazprom PAO(a) | 1,060,968 | 2,328,308 | ||||||
Lukoil PJSC(a) | 38,158 | 1,602,723 | ||||||
Magnit PJSC(a) | 6,031 | 850,491 | ||||||
MegaFon PJSC GDR GDR(d) | 6,698 | 69,946 | ||||||
MMC Norilsk Nickel PJSC(a) | 4,991 | 664,920 | ||||||
Mobile TeleSystems PJSC GDR ADR | 46,770 | 387,256 | ||||||
Moscow Exchange MICEX-RTS PJSC | 125,082 | 220,136 | ||||||
Novatek OAO(a) | 84,050 | 847,901 | ||||||
PhosAgro OJSC GDR GDR(a) | 9,018 | 133,015 | ||||||
Rosneft PJSC(a) | 105,240 | 543,602 | ||||||
Rostelecom PJSC(a) | 84,040 | 121,066 | ||||||
Rushhydro PJSC(a) | 9,671,000 | 93,112 | ||||||
Sberbank of Russia PJSC(a) | 967,814 | 2,019,338 | ||||||
Severstal PAO(a) | 19,200 | 210,252 | ||||||
Sistema JSFC(a) | 262,100 | 84,012 | ||||||
Sistema JSFC GDR GDR | 14,273 | 107,476 | ||||||
Surgutneftegas OAO(a) | 648,700 | 335,534 | ||||||
Surgutneftegas OAO Preference Share(a) | 628,100 | 377,583 | ||||||
Tatneft PAO(a) | 127,640 | 653,611 | ||||||
VTB Bank PJSC(a) | 468,360,000 | 501,145 | ||||||
|
| |||||||
12,698,492 | ||||||||
|
| |||||||
South Africa – 6.7% | ||||||||
Anglo American Platinum, Ltd.(a)(d) | 4,108 | 103,283 | ||||||
AngloGold Ashanti, Ltd.(a)(d) | 36,598 | 664,651 | ||||||
Aspen Pharmacare Holdings, Ltd.(a)(d) | 30,822 | 764,658 | ||||||
Barclays Africa Group, Ltd.(d) | 38,424 | 379,005 | ||||||
Bid Corp., Ltd.(a) | 21,163 | 398,838 | ||||||
Bidvest Group, Ltd.(d) | 29,051 | 275,622 | ||||||
Brait SE(a)(d) | 30,816 | 295,414 | ||||||
Capitec Bank Holdings, Ltd.(d) | 3,309 | 134,989 | ||||||
Coronation Fund Managers, Ltd.(d) | 17,590 | 80,244 | ||||||
Discovery, Ltd.(d) | 32,479 | 272,856 | ||||||
Exxaro Resources, Ltd.(d) | 11,848 | 54,896 | ||||||
FirstRand, Ltd.(d) | 302,725 | 929,119 | ||||||
Fortress Income Fund, Ltd.(d) | 61,809 | 152,057 | ||||||
Fortress Income Fund, Ltd. Class A(d) | 77,880 | 84,143 | ||||||
Foschini Group, Ltd.(d) | 18,849 | 178,964 | ||||||
Gold Fields, Ltd.(d) | 70,678 | 345,065 | ||||||
Growthpoint Properties, Ltd. REIT(d) | 186,207 | 327,156 | ||||||
Hyprop Investments, Ltd.(d) | 22,361 | 197,972 | ||||||
Impala Platinum Holdings, Ltd.(a)(d) | 57,534 | 186,421 | ||||||
Imperial Holdings, Ltd.(d) | 14,116 | 144,966 | ||||||
Investec, Ltd.(d) | 19,443 | 119,877 | ||||||
Liberty Holdings, Ltd.(d) | 7,969 | 65,408 | ||||||
Life Healthcare Group Holdings, Ltd.(d) | 88,144 | 218,092 | ||||||
Massmart Holdings, Ltd.(d) | 9,017 | 77,461 | ||||||
MMI Holdings, Ltd.(d) | 86,316 | 133,919 | ||||||
Mondi, Ltd. | 10,862 | 198,861 | ||||||
Mr. Price Group, Ltd.(d) | 21,926 | 309,812 | ||||||
MTN Group, Ltd.(d) | 149,089 | 1,457,116 | ||||||
Naspers, Ltd. Class N(d) | 39,199 | 6,019,413 | ||||||
Nedbank Group, Ltd.(d) | 18,090 | 230,940 | ||||||
Netcare, Ltd.(d) | 87,391 | 186,634 | ||||||
Pick n Pay Stores, Ltd.(d) | 18,869 | 92,395 | ||||||
Pioneer Foods Group, Ltd.(d) | 10,294 | 121,476 | ||||||
PSG Group, Ltd.(d) | 7,672 | 101,948 | ||||||
Rand Merchant Investment Holdings, Ltd.(d) | 61,674 | 173,929 | ||||||
Redefine Properties, Ltd. REIT(d) | 397,200 | 306,602 | ||||||
Remgro, Ltd.(d) | 43,327 | 756,076 | ||||||
Resilient REIT, Ltd.(d) | 26,437 | 238,205 | ||||||
RMB Holdings, Ltd.(d) | 64,497 | 248,595 | ||||||
Sanlam, Ltd.(d) | 127,210 | 528,509 | ||||||
Sappi, Ltd.(a)(d) | 49,555 | 232,007 | ||||||
Sasol, Ltd.(d) | 49,710 | 1,352,464 | ||||||
Shoprite Holdings, Ltd.(d) | 38,879 | 442,836 | ||||||
Sibanye Gold, Ltd.(d) | 67,061 | 229,626 | ||||||
SPAR Group, Ltd. | 16,928 | 233,490 | ||||||
Standard Bank Group, Ltd.(d) | 116,387 | 1,019,409 | ||||||
Telkom SA SOC, Ltd.(d) | 19,632 | 89,085 | ||||||
Tiger Brands, Ltd.(d) | 14,813 | 367,006 | ||||||
Truworths International, Ltd.(d) | 40,492 | 236,976 | ||||||
Tsogo Sun Holdings, Ltd.(d) | 26,657 | 48,530 | ||||||
Vodacom Group, Ltd.(d) | 33,726 | 386,474 | ||||||
Woolworths Holdings, Ltd.(d) | 90,847 | 523,143 | ||||||
|
| |||||||
22,716,633 | ||||||||
|
|
See accompanying notes to financial statements.
8
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
South Korea – 14.4% | ||||||||
Amorepacific Corp.(d) | 2,889 | $ | 1,089,122 | |||||
Amorepacific Corp. Preference Shares(d) | 830 | 179,191 | ||||||
AMOREPACIFIC Group(d) | 2,533 | 371,702 | ||||||
BGF retail Co., Ltd.(d) | 810 | 150,818 | ||||||
BNK Financial Group, Inc.(d) | 20,630 | 145,387 | ||||||
Celltrion, Inc.(a)(d) | 6,793 | 571,061 | ||||||
Cheil Worldwide, Inc.(d) | 4,880 | 72,028 | ||||||
CJ CheilJedang Corp.(d) | 721 | 244,191 | ||||||
CJ Corp.(d) | 1,331 | 234,994 | ||||||
CJ E&M Corp.(d) | 1,604 | 97,039 | ||||||
CJ Korea Express Corp.(a)(d) | 577 | 109,097 | ||||||
Coway Co., Ltd.(d) | 4,887 | 444,974 | ||||||
Daelim Industrial Co., Ltd.(d) | 2,566 | 171,174 | ||||||
Daewoo Engineering & Construction Co., Ltd.(a)(d) | 7,580 | 37,228 | ||||||
DGB Financial Group, Inc.(d) | 13,890 | 105,179 | ||||||
Dongbu Insurance Co., Ltd.(d) | 4,512 | 271,580 | ||||||
Dongsuh Cos., Inc.(d) | 2,865 | 83,349 | ||||||
Doosan Heavy Industries & Construction Co., Ltd.(d) | 3,715 | 68,955 | ||||||
E-MART, Inc.(d) | 1,778 | 268,305 | ||||||
GS Engineering & Construction Corp.(a)(d) | 4,084 | 99,681 | ||||||
GS Holdings Corp.(d) | 4,691 | 194,809 | ||||||
GS Retail Co., Ltd.(d) | 2,240 | 106,514 | ||||||
Hana Financial Group, Inc.(d) | 26,719 | 543,221 | ||||||
Hankook Tire Co., Ltd.(d) | 6,760 | 300,755 | ||||||
Hanmi Pharm Co., Ltd.(d) | 475 | 293,977 | ||||||
Hanmi Science Co., Ltd.(d) | 931 | 125,171 | ||||||
Hanon Systems(d) | 14,830 | 135,723 | ||||||
Hanssem Co., Ltd.(d) | 860 | 119,777 | ||||||
Hanwha Chemical Corp.(d) | 9,660 | 201,839 | ||||||
Hanwha Corp.(d) | 3,610 | 112,149 | ||||||
Hanwha Life Insurance Co., Ltd.(d) | 18,070 | 91,053 | ||||||
Hotel Shilla Co., Ltd.(d) | 3,070 | 182,146 | ||||||
Hyosung Corp.(d) | 1,931 | 211,356 | ||||||
Hyundai Department Store Co., Ltd.(d) | 1,195 | 134,439 | ||||||
Hyundai Development Co-Engineering & Construction(d) | 5,200 | 180,402 | ||||||
Hyundai Engineering & Construction Co., Ltd.(d) | 6,646 | 194,441 | ||||||
Hyundai Glovis Co., Ltd.(d) | 1,710 | 256,149 | ||||||
Hyundai Heavy Industries Co., Ltd.(a)(d) | 3,793 | 351,173 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd.(d) | 4,930 | 125,713 | ||||||
Hyundai Mobis Co., Ltd.(d) | 6,116 | 1,345,540 | ||||||
Hyundai Motor Co.(d) | 12,847 | 1,519,689 | ||||||
Hyundai Motor Co. Preference Shares(b)(d) | 3,422 | 287,408 | ||||||
Hyundai Motor Co. Preference Shares(b)(d) | 1,859 | 153,171 | ||||||
Hyundai Steel Co.(d) | 7,288 | 293,246 | ||||||
Hyundai Wia Corp.(d) | 1,313 | 102,360 | ||||||
Industrial Bank of Korea(d) | 22,900 | 223,126 | ||||||
Kakao Corp.(d) | 2,771 | 225,480 | ||||||
Kangwon Land, Inc.(d) | 10,659 | 386,762 | ||||||
KB Financial Group, Inc.(d) | 34,732 | 987,637 | ||||||
KCC Corp.(d) | 535 | 177,949 | ||||||
KEPCO Plant Service & Engineering Co., Ltd.(d) | 1,810 | 102,332 | ||||||
Kia Motors Corp.(d) | 23,696 | 892,851 | ||||||
Korea Aerospace Industries, Ltd.(d) | 5,312 | 340,565 | ||||||
Korea Electric Power Corp.(d) | 23,067 | 1,210,832 | ||||||
Korea Gas Corp.(d) | 2,270 | 78,922 | ||||||
Korea Investment Holdings Co., Ltd.(d) | 3,090 | 113,919 | ||||||
Korea Zinc Co., Ltd.(d) | 771 | 341,899 | ||||||
Korean Air Lines Co., Ltd.(a)(d) | 3,096 | 70,031 | ||||||
KT Corp.(d) | 2,630 | 67,925 | ||||||
KT&G Corp.(d) | 10,482 | 1,241,435 | ||||||
Kumho Petrochemical Co., Ltd.(d) | 1,537 | 80,305 | ||||||
LG Chem, Ltd.(d) | 4,173 | 952,982 | ||||||
LG Chem, Ltd. Preference Shares(d) | 615 | 102,660 | ||||||
LG Corp.(d) | 8,579 | 477,094 | ||||||
LG Display Co., Ltd.(d) | 21,026 | 486,826 | ||||||
LG Electronics, Inc.(d) | 9,621 | 453,117 | ||||||
LG Household & Health Care, Ltd.(d) | 843 | 823,236 | ||||||
LG Household & Health Care, Ltd. Preference Shares(d) | 200 | 115,167 | ||||||
LG Innotek Co., Ltd.(d) | 1,168 | 80,543 | ||||||
LG Uplus Corp.(d) | 19,680 | 186,914 | ||||||
Lotte Chemical Corp.(d) | 1,401 | 348,691 | ||||||
Lotte Chilsung Beverage Co., Ltd.(d) | 59 | 91,722 | ||||||
Lotte Confectionery Co., Ltd. | 537 | 91,143 | ||||||
Lotte Shopping Co., Ltd.(d) | 1,014 | 179,359 | ||||||
Mirae Asset Daewoo Co., Ltd.(d) | 13,820 | 94,507 | ||||||
Mirae Asset Securities Co., Ltd.(d) | 5,890 | 119,078 | ||||||
NAVER Corp.(d) | 2,514 | 1,557,462 | ||||||
NCSoft Corp.(d) | 1,594 | 328,226 | ||||||
NH Investment & Securities Co., Ltd.(d) | 11,730 | 94,123 | ||||||
OCI Co., Ltd.(a)(d) | 1,325 | 105,037 | ||||||
Orion Corp.(d) | 327 | 268,410 | ||||||
Ottogi Corp.(d) | 100 | 71,777 | ||||||
Paradise Co., Ltd.(d) | 3,312 | 43,897 | ||||||
POSCO(d) | 6,267 | 1,110,202 | ||||||
Posco Daewoo Corp.(d) | 3,750 | 82,373 | ||||||
S-1 Corp. | 1,514 | 141,956 | ||||||
S-Oil Corp.(d) | 4,103 | 271,902 | ||||||
Samsung C&T Corp.(d) | 6,834 | 735,736 | ||||||
Samsung Card Co., Ltd.(d) | 3,246 | 117,628 | ||||||
Samsung Electro-Mechanics Co., Ltd.(d) | 5,126 | 224,601 | ||||||
Samsung Electronics Co., Ltd.(d) | 9,087 | 11,316,506 | ||||||
Samsung Electronics Co., Ltd. Preference Shares(d) | 1,647 | 1,699,024 | ||||||
Samsung Fire & Marine Insurance Co., Ltd.(d) | 2,988 | 686,283 | ||||||
Samsung Heavy Industries Co., Ltd.(a)(d) | 12,070 | 97,156 | ||||||
Samsung Life Insurance Co., Ltd.(d) | 6,318 | 552,891 | ||||||
Samsung SDI Co., Ltd.(d) | 4,976 | 471,125 |
See accompanying notes to financial statements.
9
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
South Korea – (continued) | ||||||||
Samsung SDS Co., Ltd.(d) | 3,156 | $ | 395,266 | |||||
Samsung Securities Co., Ltd.(d) | 5,292 | 164,213 | ||||||
Shinhan Financial Group Co., Ltd.(d) | 38,328 | 1,259,803 | ||||||
Shinsegae Co., Ltd.(d) | 690 | 117,418 | ||||||
SK Holdings Co., Ltd.(d) | 4,119 | 728,029 | ||||||
SK Hynix, Inc.(d) | 52,270 | 1,487,446 | ||||||
SK Innovation Co., Ltd.(d) | 5,830 | 718,339 | ||||||
SK Networks Co., Ltd.(d) | 8,080 | 41,912 | ||||||
SK Telecom Co., Ltd.(d) | 1,832 | 344,172 | ||||||
Woori Bank(d) | 27,810 | 231,222 | ||||||
Yuhan Corp.(d) | 717 | 191,603 | ||||||
|
| |||||||
49,178,023 | ||||||||
|
| |||||||
Taiwan – 11.9% | ||||||||
Acer, Inc.(a)(d) | 273,000 | 128,959 | ||||||
Advanced Semiconductor Engineering, Inc.(d) | 570,000 | 648,486 | ||||||
Advantech Co., Ltd.(d) | 29,000 | 221,133 | ||||||
Asia Cement Corp.(d) | 216,000 | 187,765 | ||||||
Asia Pacific Telecom Co., Ltd.(a)(d) | 137,000 | 45,744 | ||||||
Asustek Computer, Inc.(d) | 64,000 | 529,718 | ||||||
AU Optronics Corp.(d) | 791,000 | 273,834 | ||||||
Casetek Holdings, Ltd.(d) | 10,000 | 35,259 | ||||||
Catcher Technology Co., Ltd.(d) | 59,000 | 439,914 | ||||||
Cathay Financial Holding Co., Ltd.(d) | 735,000 | 805,615 | ||||||
Chailease Holding Co., Ltd.(d) | 81,000 | 132,061 | ||||||
Chang Hwa Commercial Bank, Ltd.(d) | 426,000 | 222,434 | ||||||
Cheng Shin Rubber Industry Co., Ltd.(d) | 176,000 | 371,083 | ||||||
Chicony Electronics Co., Ltd.(d) | 41,000 | 92,787 | ||||||
China Airlines, Ltd.(a)(d) | 179,000 | 53,875 | ||||||
China Development Financial Holding Corp.(d) | 1,238,000 | 300,271 | ||||||
China Life Insurance Co., Ltd.(d) | 305,000 | 237,435 | ||||||
China Steel Corp.(d) | 1,063,000 | 692,625 | ||||||
Chunghwa Telecom Co., Ltd.(d) | 341,000 | 1,233,283 | ||||||
Compal Electronics, Inc.(d) | 388,000 | 245,451 | ||||||
CTBC Financial Holding Co., Ltd.(d) | 1,463,000 | 769,484 | ||||||
Delta Electronics, Inc.(d) | 175,000 | 853,881 | ||||||
E.Sun Financial Holding Co., Ltd.(d) | 649,000 | 384,472 | ||||||
Eclat Textile Co., Ltd.(d) | 17,206 | 166,861 | ||||||
Eva Airways Corp.(a)(d) | 159,000 | 72,596 | ||||||
Evergreen Marine Corp. Taiwan, Ltd.(d) | 150,000 | 55,854 | ||||||
Far Eastern New Century Corp.(d) | 262,000 | 196,066 | ||||||
Far EasTone Telecommunications Co., Ltd.(d) | 145,000 | 351,102 | ||||||
Feng TAY Enterprise Co., Ltd.(d) | 24,000 | 99,783 | ||||||
First Financial Holding Co., Ltd.(d) | 830,000 | 436,455 | ||||||
Formosa Chemicals & Fibre Corp.(d) | 290,000 | 732,167 | ||||||
Formosa Petrochemical Corp.(d) | 104,000 | 283,559 | ||||||
Formosa Plastics Corp.(d) | 372,000 | 902,141 | ||||||
Formosa Taffeta Co., Ltd.(d) | 52,000 | 50,352 | ||||||
Foxconn Technology Co., Ltd.(d) | 83,000 | 196,063 | ||||||
Fubon Financial Holding Co., Ltd.(d) | 599,000 | 706,239 | ||||||
Giant Manufacturing Co., Ltd.(d) | 26,000 | 162,191 | ||||||
Hermes Microvision, Inc.(d) | 5,000 | 207,321 | ||||||
Highwealth Construction Corp.(d) | 82,000 | 135,659 | ||||||
Hiwin Technologies Corp.(d) | 19,000 | 88,365 | ||||||
Hon Hai Precision Industry Co., Ltd.(d) | 1,261,000 | 3,248,694 | ||||||
Hotai Motor Co., Ltd.(d) | 22,000 | 216,823 | ||||||
HTC Corp.(d) | 61,000 | 197,477 | ||||||
Hua Nan Financial Holdings Co., Ltd.(d) | 630,000 | 327,374 | ||||||
Innolux Corp.(d) | 818,000 | 276,391 | ||||||
Inotera Memories, Inc.(a)(d) | 241,000 | 188,737 | ||||||
Inventec Corp.(d) | 232,000 | 165,882 | ||||||
Largan Precision Co., Ltd.(d) | 9,000 | 832,349 | ||||||
Lite-On Technology Corp.(d) | 192,000 | 264,440 | ||||||
MediaTek, Inc.(d) | 134,000 | 1,023,968 | ||||||
Mega Financial Holding Co., Ltd.(d) | 980,000 | 741,244 | ||||||
Merida Industry Co., Ltd.(d) | 15,000 | 63,510 | ||||||
Nan Ya Plastics Corp.(d) | 428,000 | 815,350 | ||||||
Nanya Technology Corp.(d) | 48,000 | 59,082 | ||||||
Nien Made Enterprise Co., Ltd.(a)(d) | 14,000 | 127,726 | ||||||
Novatek Microelectronics Corp.(d) | 53,000 | 198,638 | ||||||
OBI Pharma, Inc.(a)(d) | 9,000 | 143,236 | ||||||
Pegatron Corp.(d) | 177,000 | 375,935 | ||||||
Phison Electronics Corp.(d) | 12,000 | 104,013 | ||||||
Pou Chen Corp.(d) | 201,000 | 270,548 | ||||||
Powertech Technology, Inc.(d) | 53,000 | 118,337 | ||||||
President Chain Store Corp.(d) | 52,000 | 406,294 | ||||||
Quanta Computer, Inc.(d) | 244,000 | 464,962 | ||||||
Realtek Semiconductor Corp.(d) | 38,000 | 118,517 | ||||||
Ruentex Development Co., Ltd.(d) | 59,000 | 69,013 | ||||||
Ruentex Industries, Ltd.(d) | 48,000 | 72,458 | ||||||
Shin Kong Financial Holding Co., Ltd.(d) | 648,000 | 127,556 | ||||||
Siliconware Precision Industries Co., Ltd.(d) | 198,000 | 301,944 | ||||||
Simplo Technology Co., Ltd.(d) | 23,000 | 80,949 | ||||||
SinoPac Financial Holdings Co., Ltd.(d) | 881,000 | 261,455 | ||||||
Standard Foods Corp.(d) | 30,000 | 73,827 | ||||||
Synnex Technology International Corp.(d) | 114,000 | 123,683 | ||||||
TaiMed Biologics, Inc.(a)(d) | 12,000 | 80,890 | ||||||
Taishin Financial Holding Co., Ltd.(d) | 726,000 | 280,685 | ||||||
Taiwan Business Bank(a)(d) | 304,000 | 77,412 | ||||||
Taiwan Cement Corp.(d) | 302,000 | 302,057 | ||||||
Taiwan Cooperative Financial Holding Co., Ltd.(d) | 655,000 | 289,496 | ||||||
Taiwan Fertilizer Co., Ltd.(d) | 55,000 | 73,427 | ||||||
Taiwan Mobile Co., Ltd.(d) | 151,000 | 527,782 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd.(d) | 2,204,000 | 11,107,491 |
See accompanying notes to financial statements.
10
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Taiwan – (continued) | ||||||||
Teco Electric and Machinery Co., Ltd.(d) | 151,000 | $ | 127,694 | |||||
Transcend Information, Inc.(d) | 14,000 | 42,576 | ||||||
Uni-President Enterprises Corp.(d) | 435,000 | 859,143 | ||||||
United Microelectronics Corp.(d) | 1,097,000 | 430,223 | ||||||
Vanguard International Semiconductor Corp.(d) | 84,000 | 138,848 | ||||||
Wistron Corp.(d) | 196,000 | 137,109 | ||||||
WPG Holdings, Ltd.(d) | 118,000 | 137,813 | ||||||
Yuanta Financial Holding Co., Ltd.(d) | 874,000 | 283,802 | ||||||
Yulon Motor Co., Ltd.(d) | 73,000 | 62,311 | ||||||
Zhen Ding Technology Holding, Ltd.(d) | 33,000 | 59,716 | ||||||
|
| |||||||
40,627,230 | ||||||||
|
| |||||||
Thailand – 2.2% | ||||||||
Advanced Info Service PCL(d) | 79,600 | 357,905 | ||||||
Advanced Info Service PCL NVDR | 14,600 | 65,646 | ||||||
Airports of Thailand PCL(d) | 33,800 | 375,128 | ||||||
Airports of Thailand PCL NVDR | 4,600 | 51,053 | ||||||
Bangkok Bank PCL(d) | 12,400 | 57,409 | ||||||
Bangkok Bank PCL NVDR(d) | 7,700 | 34,858 | ||||||
Bangkok Dusit Medical Services PCL(b) | 54,700 | 37,203 | ||||||
Bangkok Dusit Medical Services PCL(b)(d) | 298,900 | 203,293 | ||||||
Bangkok Expressway & Metro PCL(d) | 560,899 | 110,137 | ||||||
Banpu PCL(d) | 102,450 | 42,858 | ||||||
BEC World PCL(d) | 71,700 | 46,521 | ||||||
BTS Group Holdings PCL(d) | 462,784 | 126,429 | ||||||
Bumrungrad Hospital PCL(b) | 5,000 | 25,968 | ||||||
Bumrungrad Hospital PCL(b)(d) | 27,900 | 144,899 | ||||||
Central Pattana PCL(d) | 109,400 | 186,017 | ||||||
Central Pattana PCL NVDR | 12,700 | 21,594 | ||||||
Charoen Pokphand Foods PCL(d) | 200,900 | 164,368 | ||||||
Charoen Pokphand Foods PCL NVDR | 47,700 | 39,026 | ||||||
CP ALL PCL(d) | 390,100 | 557,841 | ||||||
CP ALL PCL NVDR | 55,300 | 79,079 | ||||||
Delta Electronics Thailand PCL(d) | 34,600 | 67,201 | ||||||
Delta Electronics Thailand PCL NVDR | 12,600 | 24,472 | ||||||
Electricity Generating PCL(d) | 9,000 | 48,022 | ||||||
Energy Absolute PCL(d) | 76,800 | 46,552 | ||||||
Glow Energy PCL(d) | 41,300 | 100,782 | ||||||
Home Product Center PCL(d) | 326,300 | 91,929 | ||||||
Indorama Ventures PCL(d) | 116,400 | 96,061 | ||||||
IRPC PCL(d) | 825,500 | 111,821 | ||||||
Kasikornbank PCL NVDR(d) | 158,300 | 768,689 | ||||||
Krung Thai Bank PCL(d) | 263,300 | 122,134 | ||||||
Krung Thai Bank PCL NVDR | 59,500 | 27,716 | ||||||
Minor International PCL(d) | 160,200 | 183,496 | ||||||
Minor International PCL NVDR | 37,100 | 42,495 | ||||||
PTT Exploration & Production PCL(b)(d) | 111,200 | 265,026 | ||||||
PTT Exploration & Production PCL(b) | 15,200 | 36,226 | ||||||
PTT Global Chemical PCL(d) | 163,600 | 275,848 | ||||||
PTT Global Chemical PCL NVDR | 24,800 | 41,816 | ||||||
PTT PCL(d) | 77,800 | 692,982 | ||||||
PTT PCL NVDR | 12,200 | 108,668 | ||||||
Robinson Department Store PCL(d) | 34,900 | 67,287 | ||||||
Robinson Department Store PCL NVDR | 12,400 | 23,998 | ||||||
Siam Cement PCL(d) | 30,450 | 413,564 | ||||||
Siam Cement PCL NVDR | 6,700 | 90,757 | ||||||
Siam Commercial Bank PCL(d) | 123,500 | 488,517 | ||||||
Siam Commercial Bank PCL NVDR | 17,400 | 68,828 | ||||||
Thai Oil PCL(b)(d) | 65,600 | 112,009 | ||||||
Thai Oil PCL(b) | 16,600 | 28,344 | ||||||
Thai Union Group PCL(d) | 154,400 | 96,665 | ||||||
TMB Bank PCL(d) | 892,900 | 54,885 | ||||||
True Corp. PCL(d) | 904,037 | 185,232 | ||||||
|
| |||||||
7,509,254 | ||||||||
|
| |||||||
Turkey – 1.3% | ||||||||
Akbank TAS(d) | 198,488 | 569,058 | ||||||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 16,443 | 111,216 | ||||||
Arcelik A/S(d) | 18,695 | 123,131 | ||||||
BIM Birlesik Magazalar A/S(d) | 19,256 | 375,647 | ||||||
Coca-Cola Icecek A/S(d) | 5,353 | 65,409 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S(d) | 174,919 | 174,265 | ||||||
Eregli Demir ve Celik Fabrikalari TAS(d) | 128,672 | 182,072 | ||||||
Ford Otomotiv Sanayi A/S(d) | 5,804 | 61,791 | ||||||
Haci Omer Sabanci Holding A/S(d) | 83,626 | 274,526 | ||||||
KOC Holding A/S(d) | 57,776 | 264,302 | ||||||
Petkim Petrokimya Holding A/S(d) | 50,126 | 66,998 | ||||||
TAV Havalimanlari Holding A/S(d) | 13,461 | 57,827 | ||||||
Tofas Turk Otomobil Fabrikasi A/S(d) | 10,273 | 84,494 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S(d) | 11,425 | 253,708 | ||||||
Turk Hava Yollari AO(a)(d) | 44,532 | 88,736 | ||||||
Turk Telekomunikasyon A/S(d) | 35,365 | 74,565 | ||||||
Turkcell Iletisim Hizmetleri A/S(d) | 80,068 | 294,458 | ||||||
Turkiye Garanti Bankasi A/S(d) | 208,436 | 550,732 | ||||||
Turkiye Halk Bankasi A/S(d) | 57,517 | 171,229 | ||||||
Turkiye Is Bankasi(d) | 144,015 | 228,845 | ||||||
Turkiye Sise ve Cam Fabrikalari A/S(d) | 55,175 | 68,241 | ||||||
Turkiye Vakiflar Bankasi TAO Class D(d) | 61,703 | 96,927 | ||||||
Ulker Biskuvi Sanayi A/S(d) | 14,465 | 105,735 | ||||||
Yapi ve Kredi Bankasi A/S(a)(d) | 71,507 | 99,169 | ||||||
|
| |||||||
4,443,081 | ||||||||
|
|
See accompanying notes to financial statements.
11
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
United Arab Emirates – 0.8% |
| |||||||
Abu Dhabi Commercial Bank PJSC(d) | 178,149 | $ | 294,582 | |||||
Aldar Properties PJSC(d) | 288,000 | 212,335 | ||||||
Arabtec Holding PJSC(a)(d) | 158,203 | 59,075 | ||||||
DP World, Ltd.(d) | 15,138 | 251,621 | ||||||
Dubai Financial Market PJSC(d) | 168,064 | 58,048 | ||||||
Dubai Islamic Bank PJSC(d) | 97,733 | 136,571 | ||||||
Emaar Malls Group PJSC(d) | 156,232 | 120,307 | ||||||
Emaar Properties PJSC(d) | 316,703 | 538,660 | ||||||
Emirates Telecommunications Group Co. PJSC | 156,514 | 807,476 | ||||||
First Gulf Bank PJSC(d) | 81,983 | 281,830 | ||||||
National Bank of Abu Dhabi PJSC(d) | 53,543 | 141,132 | ||||||
|
| |||||||
2,901,637 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 321,578,225 | |||||||
|
| |||||||
WARRANTS – 0.0%(e) | ||||||||
Thailand – 0.0%(e) | ||||||||
Banpu PCL (expiring 6/5/17)(a)(d) | 38,050 | 10,503 | ||||||
|
| |||||||
RIGHTS – 0.0%(e) | ||||||||
Chile – 0.0%(e) | ||||||||
Empresa Nacional de Telecomunicaciones SA (expiring 7/22/16)(a) | 2,653 | 2,565 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 4.4% |
| |||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(f)(g) | 15,122,907 | 15,122,907 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 98.8% |
| 336,714,200 | ||||||
Other Assets In Excess of | 3,952,298 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 340,666,498 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 0.3% of net assets as of June 30, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Security is fair valued at year end by applying factors provided by independent third party in accordance with Fund’s valuation policy and procedures. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy. Total market value of such securities represent 239,740,283 and 70.4% of net assets of the Fund at June 30, 2016. |
(e) | Amount shown represents less than 0.05% of net assets. |
(f) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(g) | The rate shown is the annualized seven-day yield at June 30, 2016. |
ADR | American Depositary Receipt | |
GDR | Global Depositary Receipt | |
LIBOR | London Interbank Offered Rate | |
NVDR | Non Voting Depositary Receipt | |
REIT | Real Estate Investment Trust |
At June 30, 2016, open forward foreign currency contracts were as follows:
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
HSBC Bank USA | USD | 6,000,708 | KRW | 6,916,656,000 | 07/08/2016 | $ | (2,706 | ) | ||||||||||||||||
HSBC Bank USA | USD | 3,348,816 | INR | 226,536,000 | 07/08/2016 | 10,890 | ||||||||||||||||||
HSBC Bank USA | INR | 226,536,000 | USD | 3,356,536 | 07/08/2016 | 2,276 | ||||||||||||||||||
HSBC Bank USA | KRW | 6,916,656,000 | USD | 6,026,904 | 07/08/2016 | 27,549 | ||||||||||||||||||
Standard Chartered Bank | USD | 4,721,550 | TWD | 152,270,000 | 07/08/2016 | 4,770 | ||||||||||||||||||
Standard Chartered Bank | TWD | 152,270,000 | USD | 4,725,947 | 07/08/2016 | 2,011 | ||||||||||||||||||
|
| |||||||||||||||||||||||
Total |
| $ | 44,790 | |||||||||||||||||||||
|
| |||||||||||||||||||||||
|
|
See accompanying notes to financial statements.
12
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
During the period ended June 30, 2016, average notional value related to foreign currency exchange contracts was $23,634,118 or 7% of net assets.
INR | — Indian rupee | |
KRW | — South Korean won | |
TWD | — New Taiwan dollar | |
USD | — U.S. dollar |
At June 30, 2016, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation | ||||||||||||
Mini MSCI Emerging Markets (long) | 09/16/2016 | 124 | $ | 5,175,140 | $ | 187,317 |
During the period ended June 30, 2016, average notional value related to futures contracts was $5,612,166 or 2% of net assets.
OTC Total Return Swap
Pay/ Receive Floating Rate | Floating Rate Index | Fixed Rate | Maturity Date | Counterparty | Underlying Instrument | Notional Amount | Value | Upfront Premium Paid/ (Received) | Unrealized Appreciation | |||||||||||||||||||||||||||
Pay | 3M LIBOR | 1.341 | % | 12/16/2016 | Bank of America N.A. | MSCI India Net TR Index | 14,509,245 | $ | 58,258 | $ | – | $ | 10,578 |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 24,252,306 | $ | – | $ | – | $ | 24,252,306 | ||||||||
Chile | 4,118,334 | – | – | 4,118,334 | ||||||||||||
China | 17,347,260 | 68,342,126 | – | 85,689,386 | ||||||||||||
Colombia | 1,595,101 | – | – | 1,595,101 | ||||||||||||
Czech Republic | 39,710 | 511,407 | – | 551,117 | ||||||||||||
Egypt | 103,532 | 309,831 | – | 413,363 | ||||||||||||
Greece | 122,713 | 954,109 | – | 1,076,822 | ||||||||||||
Hong Kong | – | 1,459,540 | – | 1,459,540 | ||||||||||||
Hungary | – | 930,447 | – | 930,447 | ||||||||||||
India | 1,072,222 | 12,523,570 | – | 13,595,792 | ||||||||||||
Indonesia | – | 9,111,337 | – | 9,111,337 | ||||||||||||
Malaysia | 1,902,131 | 7,987,218 | – | 9,889,349 | ||||||||||||
Mexico | 13,798,853 | – | – | 13,798,853 | ||||||||||||
Netherlands | – | 1,504,292 | – | 1,504,292 | ||||||||||||
Peru | 1,358,897 | – | – | 1,358,897 | ||||||||||||
Philippines | – | 5,302,057 | – | 5,302,057 | ||||||||||||
Poland | 93,628 | 3,568,071 | – | 3,661,699 | ||||||||||||
Qatar | 399,825 | 2,575,840 | – | 2,975,665 | ||||||||||||
Romania | 219,518 | – | – | 219,518 | ||||||||||||
Russia | 12,628,546 | 69,946 | – | 12,698,492 | ||||||||||||
South Africa | 831,189 | 21,885,444 | – | 22,716,633 | ||||||||||||
South Korea | 233,099 | 48,944,924 | – | 49,178,023 | ||||||||||||
Taiwan | – | 40,627,230 | – | 40,627,230 | ||||||||||||
Thailand | 812,889 | 6,696,365 | – | 7,509,254 | ||||||||||||
Turkey | 111,216 | 4,331,865 | – | 4,443,081 | ||||||||||||
United Arab Emirates | 807,476 | 2,094,161 | – | 2,901,637 | ||||||||||||
Warrants | ||||||||||||||||
Thailand | – | 10,503 | – | 10,503 |
See accompanying notes to financial statements.
13
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Rights | ||||||||||||||||
Chile | $ | 2,565 | $ | – | $ | – | $ | 2,565 | ||||||||
Short-Term Investment | 15,122,907 | – | – | 15,122,907 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 96,973,917 | $ | 239,740,283 | $ | – | $ | 336,714,200 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | – | 47,496 | – | 47,496 | ||||||||||||
Futures Contracts(b) | 187,317 | – | – | 187,317 | ||||||||||||
Total Return Swaps(c) | – | 10,578 | – | 10,578 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments And Other Financial Instruments | $ | 97,161,234 | $ | 239,798,357 | $ | – | $ | 336,959,591 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | (2,706 | ) | $ | – | $ | (2,706 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | – | $ | (2,706 | ) | $ | – | $ | (2,706 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
(b) | Futures Contracts are valued at unrealized appreciation (depreciation). |
(c) | Total Return Swap Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
Number of Shares Held at 12/31/15 | Value at 12/31/15 | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/16 | Value at 6/30/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 15,604,398 | $ | 15,604,398 | 98,943,970 | 99,425,461 | 15,122,907 | $ | 15,122,907 | $ | 38,072 | $ | – |
See accompanying notes to financial statements.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets |
| |||
Investments in unaffiliated issuers, at value (Note 2) | $ | 321,591,293 | ||
Investments in affiliated issuers, at value (Note 2) | 15,122,907 | |||
|
| |||
Total Investments | 336,714,200 | |||
Foreign currency, at value | 1,172,554 | |||
Cash at broker for futures contracts | 639,000 | |||
Receivable from broker – variation margin on open futures contracts | 722,735 | |||
Receivable for investments sold | 974 | |||
Receivable for fund shares sold | 41,080,000 | |||
Unrealized appreciation on forward foreign currency contracts | 47,496 | |||
Unrealized appreciation on swap contracts | 10,578 | |||
Dividends and interest receivable – unaffiliated issuers (Note 2) | 1,699,118 | |||
Dividends receivable – affiliated issuers (Note 2) | 6,547 | |||
Receivable from Adviser (Note 4) | 375,330 | |||
Receivable for foreign taxes recoverable | 8,820 | |||
|
| |||
Total assets | 382,477,352 | |||
|
| |||
Liabilities | ||||
Due to custodian | 360,000 | |||
Payable for investments purchased | 40,804,193 | |||
Unrealized depreciation on forward foreign currency contracts | 2,706 | |||
Payable for fund shares repurchased | 210,000 | |||
Deferred foreign taxes payable | 160,738 | |||
Advisory fee payable (Note 4) | 33,597 | |||
Custodian fees payable (Note 4) | 162,505 | |||
Administration fees payable (Note 4) | 23,814 | |||
Transfer agent fees payable (Note 4) | 10,644 | |||
Registration and filing fees payable | 11,677 | |||
Professional fees payable | 16,798 | |||
Printing and postage fees payable | 8,828 | |||
Accrued expenses and other liabilities | 5,354 | |||
|
| |||
Total liabilities | 41,810,854 | |||
|
| |||
Net assets | $ | 340,666,498 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 323,829,602 | ||
Undistributed (distribution in excess of) net investment income (loss) | 2,988,639 | |||
Accumulated net realized gain (loss) on investments, foreign currency transactions, and futures contracts | (1,926,374 | ) | ||
Net unrealized appreciation (depreciation) on: | ||||
Investments** | 15,517,883 | |||
Foreign currency transactions | 58,853 | |||
Futures contracts | 187,317 | |||
Swap contracts | 10,578 | |||
|
| |||
Net assets | $ | 340,666,498 | ||
|
| |||
Class K | ||||
Net Assets | $ | 340,666,498 | ||
Shares outstanding | 31,878,986 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 10.69 | ||
|
| |||
Cost of Investments: | ||||
Investments in unaffiliated issuers | $ | 305,912,672 | ||
Investments in affiliated issuers | 15,122,907 | |||
|
| |||
Total cost of investments | $ | 321,035,579 | ||
|
| |||
Foreign currency, at cost | $ | 1,162,513 | ||
|
| |||
** Includes deferred foreign taxes | $ | 160,738 | ||
|
|
See accompanying notes to financial statements.
15
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
For the Six Months Ended June 30, 2016 (Unaudited)
Investment Income |
| |||
Interest income | $ | 417 | ||
Dividend income – unaffiliated issuers (Note 2) | 3,633,933 | |||
Dividend income – affiliated issuers (Note 2) | 38,072 | |||
Foreign taxes withheld | (395,675 | ) | ||
|
| |||
Total Investment Income (Loss) | 3,276,747 | |||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 160,919 | |||
Administration fees (Note 4) | 57,471 | |||
Custodian fees (Note 4) | 644,832 | |||
Trustees’ fees and expenses (Note 5) | 7,676 | |||
Transfer agent fees (Note 4) | 13,236 | |||
Registration and filing fees | 25,947 | |||
Professional fees | 17,031 | |||
Printing and postage fees | 15,700 | |||
Miscellaneous expenses | 11,442 | |||
|
| |||
Total Expenses | 954,254 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 4) | (756,672 | ) | ||
|
| |||
Net Expenses | 197,582 | |||
|
| |||
Net Investment Income (Loss) | 3,079,165 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions – unaffiliated issuers** | (3,148,334 | ) | ||
Foreign currency and forward foreign currency contract transactions | (58,733 | ) | ||
Futures contracts | 859,582 | |||
Swap contracts | 416,596 | |||
|
| |||
Net realized gain (loss) | (1,930,889 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment transactions – unaffiliated issuers*** | 15,908,277 | |||
Foreign currency and forward foreign currency contract transactions | 61,306 | |||
Futures contracts | 192,614 | |||
Swap contracts | (387,113 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation | 15,775,084 | |||
|
| |||
Net Realized and Unrealized Gain (Loss) | 13,844,195 | |||
|
| |||
Net Increase (decrease) in Net Assets From Operations | $ | 16,923,360 | ||
|
| |||
** Includes foreign capital gain taxes | $ | (8,212 | ) | |
|
| |||
*** Includes foreign deferred taxes | $ | (160,738 | ) | |
|
|
See accompanying notes to financial statements.
16
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Statement of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | For the Period 12/18/15*– 12/31/15 | |||||||
Increase (decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 3,079,165 | $ | 404,988 | ||||
Net realized gain (loss) on investments, foreign currency transactions, futures contracts and swap contracts | (1,930,889 | ) | (90,505 | ) | ||||
Net change in unrealized appreciation/depreciation investments, foreign currency transactions, futures contracts and swap contracts | 15,775,084 | (453 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 16,923,360 | 314,030 | ||||||
|
|
|
| |||||
Net investment income | – | (400,494 | ) | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Class K | ||||||||
Shares sold | 214,553,263 | 165,493,458 | ||||||
Reinvestment of distributions | – | 400,494 | ||||||
Shares redeemed | (56,617,613 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 157,935,650 | 165,893,952 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 157,935,650 | 165,893,952 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 174,859,010 | 165,807,488 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 165,807,488 | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 340,666,498 | $ | 165,807,488 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 2,988,639 | $ | (90,526 | ) | |||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Class K | ||||||||
Shares sold | 21,183,885 | 16,549,346 | ||||||
Reinvestment of distributions | – | 40,049 | ||||||
Shares redeemed | (5,894,294 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 15,289,591 | 16,589,395 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
17
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Selected data for a share outstanding throughout each period
Class K | ||||||||
Six Months Ended 6/30/16 (Unaudited) | For the Period 12/21/15 * – 12/31/15 | |||||||
Net asset value, beginning of period | $ | 9.99 | $ | 10.00 | ||||
|
|
|
| |||||
Income (loss) from investment operations | ||||||||
Net investment income (loss)(a) | 0.13 | 0.02 | ||||||
Net realized and unrealized gain (loss) | 0.57 | (0.01 | ) | |||||
|
|
|
| |||||
Total from investment operations | 0.70 | 0.01 | ||||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | – | (0.02 | )�� | |||||
|
|
|
| |||||
Net asset value, end of period | $ | 10.69 | $ | 9.99 | ||||
|
|
|
| |||||
Total return(b) | 6.91 | % | 0.14 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 340,666 | $ | 165,807 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.83 | %(c) | 0.83 | %(c) | ||||
Net expenses | 0.17 | %(c) | 0.17 | %(c) | ||||
Net investment income (loss) | 2.68 | %(c) | 8.03 | %(c) | ||||
Portfolio turnover rate | 17 | %(d) | 0 | %(d)(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 are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
(e) | Amount is less than 0.5% |
See accompanying notes to financial statements.
18
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
June 30, 2016 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on February 16, 2000.
As of June 30, 2016, the Trust consists of fifty-one (51) series and corresponding classes, each of which have the same rights and privileges, including voting rights. State Street Emerging Markets Equity Index Fund (the “Fund”) is authorized to issue an unlimited number of shares with no par value. The financial statements herein relate only to:
Fund | Classes | Commencement of Operations | Diversification Classification | |||||||||
State Street Emerging Markets Equity Index Fund | Class K | December 21, 2015 | Diversified |
The State Street Emerging Markets Equity Index Fund was formed on December 18, 2015, and commenced operations on December 21, 2015.
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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
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 valuation in a current sale and may not reflect an actual market price. The investments of the Fund are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Fund. The Board has responsibility for determining the fair value of investments.
19
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Valuation techniques used to value the Fund’s investments by major category are as follows:
• | Equity investments 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 services or brokers on the valuation date. If no prices are obtained from pricing services or brokers, valuation will be based upon the intrinsic value, pursuant to the valuation policy and procedures approved by the Board. |
• | 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. |
• | Forward foreign currency exchange 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. |
• | 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. |
• | 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 the advisor is unable to obtain an independent, third-party valuation on the settlement date of the swap agreements, the agreements will be fair valued. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
A “significant event” is an event that the Trustee believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund’s portfolio securities to no longer reflect their value at the time of the Fund’s net asset value calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Trustee. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy. At June 30, 2016, the independent fair value service was used for certain foreign securities in the Fund’s portfolio, and these securities were classified within Level 2 of the fair value hierarchy.
20
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 benchmark. Various inputs are used in determining the value of the Fund’s investments.
The Fund values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 – Unadjusted quoted prices in active markets for identical assets or liabilities; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the assets or liabilities either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other than quoted prices that are observable for the asset or liability (such as exchange rates, financing terms, interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs; and |
• | Level 3 – Unobservable inputs for the asset or liability, including the Committee’s assumptions used in determining the fair value of investments. |
The value of the Fund’s investments according to the fair value hierarchy as of June 30, 2016, is disclosed in the Fund’s Schedule 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 transfers from Level 1 to Level 2 during the period ended June 30, 2016, in the amount of $27,541,471. At June 30, 2016, these investments applied factor prices provided by an independent third party in accordance with the Fund’s valuation policy and procedures. At prior period ended December 31, 2015, these investments were valued at exchange closing prices in accordance with Fund’s valuation policy.
The Fund had transfers from Level 2 to Level 1 during the period ended June 30, 2016, in the amount of $2,827,305. At June 30, 2016, these investments were valued at exchange closing prices in accordance with Fund’s valuation policy. At prior period ended December 31, 2015, these investments applied factor prices provided by an independent third party in accordance with the Fund’s valuation policy and procedures.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are
21
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
determined using the identified cost method. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. 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.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. 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 within the Trust. Class specific expenses are borne by each class.
Foreign Currency Translation
The accounting records of the Fund are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes
The Fund may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management, Inc.(the “Adviser” or “SSGA FM”)’s understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Fund invests. These foreign taxes, if any, are paid by the Fund and are reflected in the Statement of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2016, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
Distributions
Dividends from net investment income, if any, 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.
3. | Derivative Financial Instruments |
Forward Foreign Currency Exchange 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 exchange
22
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
contract is a commitment to purchase or sell a foreign currency at the settlement date at a negotiated rate. Non-deliverable forward foreign currency exchange contracts are settled with the counterparty in cash without the delivery of foreign currency. The contract is marked-to-market daily and 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 exchange 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 exchange contracts to hedge, the Fund gives up the opportunity to profit from favorable exchange rate movements during the term of the contract.
For the period ended June 30, 2016, the Fund entered into forward foreign currency exchange contracts to obtain investment exposures that the Adviser expects to correlate closely with the Index or a portion of the Index.
Futures Contracts
The Fund may enter into futures contracts to meet its objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the Fund is required to deposit with the broker, cash or securities in an amount equal to the minimum initial margin requirements of the clearing house. Subsequent payments are made or received by the Fund equal to the daily change in the contract value and are recorded as variation margin receivable or payable with a corresponding offset to unrealized gains or losses. The Fund recognizes a realized gain or loss when the contract is closed.
Losses may arise if the value of a futures contract decreases due to unfavorable changes in the market rates or values of the underlying instrument during the term of the contract or if the counterparty does not perform under the contract. The use of futures contracts also involves the risk that the movements in the price of the futures contracts do not correlate the movement of the assets underlying such contracts.
For the period ended June 30, 2016, the Fund entered into futures contracts for cash equalization and return enhancement.
Swaps
The Fund may enter 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 OTC market and may be entered into as a bilateral contract (“BL OTC”) or centrally cleared (“centrally cleared swaps”). Swaps are marked-to-market daily and changes in value are recorded as unrealized appreciation (depreciation).
A BL OTC swap is a transaction between a fund and dealer counterparty where cash flows are exchanged between the two parties for the life of the swap. For BL OTC swaps, any upfront premiums paid are recorded as assets and any upfront fees received are recorded as liabilities and are shown as credit default swap contracts premiums paid and credit default swap contracts premiums received, respectively, in the Statement of Assets and Liabilities and amortized to realized gain/loss ratably over
23
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
the term of the BL OTC swap. Payments received or made by the Fund for BL OTC swaps are recorded in the Statement of Operations as realized gains or losses, respectively. When a BL OTC swap is terminated, the Fund will record a realized gain or loss equal to the difference between the proceeds from (or cost of) the closing transaction and the Fund’s basis in the contract, if any. Generally, the basis of the contracts is the premium received or paid.
A centrally cleared OTC swap is a transaction executed between a fund and a dealer counterparty, then cleared by a futures commission merchant (FCM) through a clearinghouse. Once cleared, the clearinghouse serves as a central counterparty (“CCP”), with whom a fund exchanges cash flows for the life of the transaction, similar to transactions in futures contracts.
The Fund is required to interface with the CCP through a broker. Upon entering into a centrally cleared swap, the Fund is required to deposit initial margin with the broker in the form of cash or securities in an amount that varies depending on the size and risk profile of the particular swap. Securities deposited as initial margin if any, are designated on the Schedule of Investments and cash deposited is segregated and recorded on the Statement of Assets and Liabilities as due from broker. The daily change in valuation of centrally cleared swaps is recorded as a receivable or payable for variation margin in the Statement of Assets and Liabilities. Payments received from (paid to) the counterparty, including at termination, are recorded as realized gain (loss) in the Statement of Operations. For both bi-lateral and centrally cleared OTC swaps, payments are exchanged at specified intervals, accrued daily commencing with the effective date of the contract and recorded as realized gain or (loss). Some swaps may be terminated prior to the effective date and realize a gain or loss upon termination.
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. The Fund entered into total return swap contracts to obtain investment exposure in situations where it intends to sell a position of the stocks of its portfolio but the sale has not been completed.
Risks associated with Derivatives
Derivative transactions can create investment leverage and may be highly volatile. Use of derivatives other than for hedging purposes may be considered speculative. When the Fund invests in a derivative instrument, the future exposure is potentially unlimited. The value of a derivative instrument will depend on the ability and the willingness of the Fund’s derivative counterparty to perform its obligations under the transaction. A liquid secondary market may not always exist for the Fund’s derivative positions at any time and may impact the Fund’s ability to establish fair market value of a derivative transaction and close out derivative positions. Although the use of derivatives is intended to complement the Fund’s performance, it may instead reduce returns and increase volatility. The measurement of the risks associated with derivative instruments is meaningful only when all related and offsetting transactions are considered. The Fund must set aside liquid assets or engage in other appropriate measures to cover its obligations under these derivative instruments.
24
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Certain derivatives, including forward foreign currency contracts and some swap contracts, as applicable, are entered into OTC under the terms and conditions of an ISDA Master Agreement, which are separately negotiated with each counterparty. An ISDA Master Agreement is a bilateral agreement between the Fund and a counterparty that governs certain OTC derivatives and typically contains, among other things, collateral posting terms and netting provisions in the event of a default and/or termination event. Under an ISDA Master Agreement, the Fund may, under certain circumstances, offset with the counterparty certain derivative financial instruments’ payables and/or receivables with collateral held and/or posted and create one single net payment. The provisions of the ISDA Master Agreement typically permit a single net payment in the event of default including the bankruptcy or insolvency of the counterparty. Bankruptcy or insolvency laws of a particular jurisdiction may restrict or prohibit the right of offset in bankruptcy, insolvency or other events. In addition, certain ISDA Master Agreements allow counterparties to terminate derivative contracts prior to maturity in the event a Fund’s net assets decline by a stated percentage or the Fund fails to meet the terms of its ISDA Master Agreements. The result would cause the Fund to accelerate payment of any net liability owed to the counterparty.
For derivatives traded under an ISDA Master Agreement, the collateral requirements are typically calculated by netting the mark-to-market amount for each transaction under such agreement and comparing that amount to the value of any collateral currently pledged by the Fund and the counterparty. Cash collateral that has been pledged to cover obligations of the Fund and cash collateral received from the counterparty, if any, is reported separately on the Statements of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged by the Fund, if any, is noted in the Schedules of Investments. Notional principal amounts are one component used to calculate the amount of exposure to the underlying instrument, but is not the amount delivered under the contract. Accordingly, credit risk is limited to any amounts receivable from the counterparty. To reduce credit risk from potential counterparty default, the Fund enters into swap contracts with counterparties whose creditworthiness has been approved by the Trustees. The Fund bears the market risk arising from any change in index or security values or interest rates.
The following tables summarize the value of the Fund’s derivative instruments as of June 30, 2016 and the related location in the accompanying Statement of Assets and Liabilities and Statement of Operations, presented by primary underlying risk exposure:
Asset Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | 47,496 | $ | – | $ | – | $ | – | $ | 47,496 | ||||||||||||
Futures Contracts(b) | – | – | – | 187,317 | – | 187,317 | ||||||||||||||||||
Swap Contracts(c) | – | – | – | 10,578 | – | 10,578 |
(a) | Unrealized appreciation on open forward foreign currency exchange contracts. |
(b) | Unrealized appreciation on open futures contracts. |
(c) | Unrealized appreciation on swap contracts. |
25
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Liability Derivatives
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | 2,706 | $ | – | $ | – | $ | – | $ | 2,706 |
(a) | Unrealized depreciation on forward foreign currency exchange contracts. |
Net Realized Gain (Loss)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | 33,879 | $ | – | $ | – | $ | – | $ | 33,879 | ||||||||||||
Futures Contracts(b) | – | – | – | 859,582 | – | 859,582 | ||||||||||||||||||
Swap Contracts(c) | – | – | – | 416,596 | – | 416,596 |
(a) | Net realized gain/loss on forward foreign currency exchange contracts. |
(b) | Net realized gain/loss on futures contracts. |
(c) | Net realized gain (loss) on swap contracts. |
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | 50,202 | $ | – | $ | – | $ | – | $ | 50,202 | ||||||||||||
Futures Contracts(b) | – | – | – | 192,614 | – | 192,614 | ||||||||||||||||||
Swap Contracts(c) | – | – | – | (387,113 | ) | – | (387,113 | ) |
(a) | Net change in unrealized appreciation (depreciation) on forward foreign currency transactions. |
(b) | Net change in unrealized appreciation (depreciation) on futures contracts. |
(c) | Net change in unrealized appreciation (depreciation) on swap contracts. |
For financial reporting purposes, the Fund does not offset derivative assets or liabilities, including those that may be subject to an enforceable Foreign Exchange Master Agreement that allows for net settlement between counterparties, on its Statement of Assets and Liabilities. The following tables set forth the Fund’s net exposure to derivative assets and liabilities available for offset and net of collateral at June 30, 2016.
26
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Offsetting of Financial Assets and Derivative Assets
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Counterparty | Gross Amounts of Assets | Amount Eligible to Offset | Collateral (Received)/ Pledged | Net Amount | ||||||||||||
HSBC Bank USA | $ | 40,715 | $ | (2,706 | ) | $ | – | $ | 38,009 | |||||||
Standard Chartered Bank | 6,781 | – | – | 6,781 | ||||||||||||
$ | 47,496 | $ | (2,706 | ) | $ | – | $ | 44,790 |
Offsetting of Financial Assets and Derivative Assets
Total Return Swap Contract | ||||||||||||||||
Counterparty | Gross Amounts of Assets | Amount Eligible to Offset | Collateral (Received)/ Pledged | Net Amount | ||||||||||||
Bank of America | $ | 10,578 | $ | – | $ | – | $ | 10,578 |
Offsetting of Financial Liabilities and Derivative Liabilities
Forward Foreign Currency Exchange Contracts | ||||||||||||||||
Counterparty | Gross Amounts of Liabilities | Amount Eligible to Offset | Collateral (Received)/ Pledged | Net Amount | ||||||||||||
HSBC Bank USA | $ | (2,706 | ) | $ | 2,706 | $ | – | $ | – |
Amounts presented on the Schedule of Investments and Statement of Assets and Liabilities are not net settlement amounts but gross.
4. | Fees and Transactions with Affiliates |
Advisory Fee
The Trust, on behalf of the Fund, has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services, the Fund pays the Adviser a management fee at an annual rate of 0.14% of its average daily net assets. The fees are accrued daily and paid monthly.
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 any class-specific expenses, such as distribution, shareholder servicing, administration and sub-transfer agency fees) exceed 0.12% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2017 except with the approval of the Board. For the period ended June 30, 2016, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $756,672.
27
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street serves as custodian and sub-administrator to the Fund. For its administration services, the Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets. The fees are accrued daily and paid monthly. For its services as custodian, the Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.
Transfer Agent
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, and charges related to compliance and regulatory services.
Other Transactions with Affiliates
The Fund may invest in affiliated entities, included securities issued by State Street, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2016 are disclosed in the applicable Schedule of Investments.
Due to Custodian
In certain circumstances, a fund may have cash overdraft with the custodian. The Due to custodian if any, reflects cash overdrawn with SSB as custodian who is an affiliate of the fund.
5. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”), are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6. | Investment Transactions |
Purchases and sales of investments (excluding short term investments and derivative contracts) for the period ended June 30, 2016, were as follows:
Purchases | Sales | |||||
State Street Emerging Markets Equity Index Fund | $347,182,386 | $ | 37,435,386 |
7. | Income Tax Information |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. 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. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue
28
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2016, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
State Street Emerging Markets Equity Index Fund | $ | 321,035,579 | $ | 24,375,486 | $ | 8,696,865 | $ | 15,678,621 |
8. | Line of Credit |
The Fund and other affiliated funds (each a “Participant” and, collectively, the “Participants”) participate in a $360 million revolving credit facility provided by a syndication of banks under which the Participants may borrow to fund shareholder redemptions. The agreement expires in October 2016 unless extended or renewed. The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of the New York Fed Bank Rate plus 1%.
The Fund had no outstanding loans during the period ended June 30, 2016.
9. | Risks |
Concentration of Risk
As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Foreign and Emerging Markets Risk
Investing in foreign markets involve risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
29
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Market and Credit Risk
In the normal course of business, the Fund trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
10. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
30
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
June 30, 2016 (Unaudited)
Expanse Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Emerging Markets Equity Index Fund | ||||||||||||||||||||
Class K | 0.17 | 1,069.10 | 0.87 | 1,024.00 | 0.86 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
31
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s and the Portfolio’s investment adviser to vote proxies relating to the portfolio of securities are available (i) without charge, upon request by calling 1-866-521-4083 (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 adviser voted for the prior 12-month 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 investments 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 the Form N-Q is available upon request, without charge, by calling 1-866-521-4083 (toll free) and on the Fund’s website at www.ssgafunds.com.
32
Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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
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 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
SSIITEMMKTSSAR
IBG-20869
Table of Contents
Semi-Annual Report
30 June 2016
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Semi-Annual Report
June 30, 2016 (Unaudited)
1 | ||||
2 | ||||
3 | ||||
4 | ||||
7 | ||||
13 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investment in corresponding Portfolio, at value (Note 1) | $ | 41,342,728,764 | ||
Receivable for fund shares sold | 3,202,726 | |||
|
| |||
Total assets | 41,345,931,490 | |||
Liabilities | ||||
Administration fees payable (Note 3) | 3,710,809 | |||
Shareholder servicing fee payable (Note 3) | 57,786 | |||
Distribution fees payable (Note 3) | 24,148 | |||
Transfer agent fees payable (Note 3) | 11,771 | |||
Distribution payable | 1,873,629 | |||
Professional fees payable | 9,521 | |||
Printing fees payable | 25,743 | |||
Accrued expenses and other liabilities | 350,079 | |||
|
| |||
Total liabilities | 6,063,486 | |||
|
| |||
Net Assets | $ | 41,339,868,004 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 41,339,733,429 | ||
Accumulated net realized gain (loss) on investments | 134,575 | |||
|
| |||
Net Assets | $ | 41,339,868,004 | ||
|
| |||
Premier Class | ||||
Net assets | $ | 39,167,538,172 | ||
Shares outstanding | 39,167,440,264 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investment Class | ||||
Net assets | $ | 272,774,372 | ||
Shares outstanding | 272,753,303 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Class M | ||||
Net assets | $ | 1,899,555,460 | ||
Shares outstanding | 1,899,537,533 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
1
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Statements of Operations
For the Six Months Ended June 30, 2016 (Unaudited)
Income and Expenses allocated from Portfolio | ||||
Interest income allocated from Portfolio (Note 2) | $ | 123,077,002 | ||
Expenses allocated from Portfolio (Note 2) | (14,639,531 | ) | ||
|
| |||
Total Investment Income (Loss) Allocated from Portfolio | 108,437,471 | |||
|
| |||
Expenses | ||||
Administration fees (Note 3) | ||||
Premier Class | 10,946,206 | |||
Investment Class | 83,970 | |||
Class M | 238,714 | |||
Shareholder servicing fees | ||||
Investment Class | 419,848 | |||
Distribution fees (Note 3) | ||||
Investment Class | 167,939 | |||
Custodian fees (Note 3) | 7,582 | |||
Trustees’ fees and expenses (Note 4) | 13,565 | |||
Transfer agent fees (Note 3) | 329,912 | |||
Registration and filing fees | 105,721 | |||
Professional fees | 17,606 | |||
Printing expense | 68,707 | |||
Insurance expense | 44,390 | |||
Miscellaneous expenses | 100,462 | |||
|
| |||
Total Expenses | 12,544,622 | |||
|
| |||
Distribution fees waived – Investment Class (Note 3) | (16,230 | ) | ||
|
| |||
Net Expenses | 12,528,392 | |||
|
| |||
Net Investment Income (Loss) | 95,909,079 | |||
|
| |||
Realized Gain (Loss) | ||||
Net realized gain (loss) on investments allocated from Portfolio | 34,827 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 95,943,906 | ||
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
2
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Statements of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 95,909,079 | $ | 48,666,693 | ||||
Net realized gain (loss) | 34,827 | 158,273 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 95,943,906 | 48,824,966 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | (92,273,731 | ) | (46,325,536 | ) | ||||
Investment Class | (118,983 | ) | – | |||||
Class M | (3,516,365 | ) | (2,599,150 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (95,909,079 | ) | (48,924,686 | ) | ||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 169,848,861,929 | 343,115,810,381 | ||||||
Reinvestment of distributions | 76,835,966 | 38,372,463 | ||||||
Shares redeemed | (175,965,634,631 | ) | (335,879,414,180 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (6,039,936,736 | ) | 7,274,768,664 | |||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 415,610,851 | 1,644,487,418 | ||||||
Reinvestment of distributions | 25,518 | – | ||||||
Shares redeemed | (628,154,457 | ) | (1,886,106,932 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (212,518,088 | ) | (241,619,514 | ) | ||||
|
|
|
| |||||
Class M | ||||||||
Shares sold | 6,618,294,156 | 13,547,257,128 | ||||||
Reinvestment of distributions | 3,516,762 | 2,600,751 | ||||||
Shares redeemed | (6,177,770,797 | ) | (13,720,665,910 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 444,040,121 | (170,808,031 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | (5,808,414,703 | ) | 6,862,341,119 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | (5,808,379,876 | ) | 6,862,241,399 | |||||
|
|
|
| |||||
Net assets at beginning of period | 47,148,247,880 | 40,286,006,481 | ||||||
|
|
|
| |||||
Net Assets at end of Period | $ | 41,339,868,004 | $ | 47,148,247,880 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | – | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Premier Class | ||||||||
Shares sold | 169,848,861,929 | 343,115,810,381 | ||||||
Reinvestment of distributions | 76,835,966 | 38,372,463 | ||||||
Shares redeemed | (175,965,634,631 | ) | (335,879,414,180 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (6,039,936,736 | ) | 7,274,768,664 | |||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 415,610,851 | 1,644,487,418 | ||||||
Reinvestment of distributions | 25,518 | – | ||||||
Shares redeemed | (628,154,457 | ) | (1,886,106,932 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (212,518,088 | ) | (241,619,514 | ) | ||||
|
|
|
| |||||
Class M | ||||||||
Shares sold | 6,618,294,156 | 13,547,257,128 | ||||||
Reinvestment of distributions | 3,516,762 | 2,600,751 | ||||||
Shares redeemed | (6,177,770,797 | ) | (13,720,665,910 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 444,040,121 | (170,808,031 | ) | |||||
|
|
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
3
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Premier Class | ||||||||||||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.0021 | 0.0012 | 0.0008 | 0.0010 | 0.0020 | 0.0015 | ||||||||||||||||||
Net realized gain (loss) | 0.0000 | (b) | 0.0000 | (b) | (0.0001 | ) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | ||||||||||||
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Total from investment operations | 0.0021 | 0.0012 | 0.0007 | 0.0010 | 0.0020 | 0.0015 | ||||||||||||||||||
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Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.0021 | ) | (0.0012 | ) | (0.0007 | ) | (0.0010 | ) | (0.0020 | ) | (0.0015 | ) | ||||||||||||
Net realized gains | – | – | – | (0.0000 | )(b) | (0.0000 | )(b) | – | ||||||||||||||||
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Total distributions | (0.0021 | ) | (0.0012 | ) | (0.0007 | ) | (0.0010 | ) | (0.0020 | ) | (0.0015 | ) | ||||||||||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total Return(c) | 0.21 | % | 0.12 | % | 0.07 | % | 0.10 | % | 0.20 | % | 0.15 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 39,167,538 | $ | 45,207,442 | $ | 37,932,781 | $ | 29,850,029 | $ | 24,408,802 | $ | 19,597,264 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.12 | %(d) | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | ||||||||||||
Net expenses | 0.12 | %(d) | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | ||||||||||||
Net investment income (loss) | 0.42 | %(d) | 0.12 | % | 0.07 | % | 0.10 | % | 0.20 | % | 0.15 | % |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Amount is less than $0.00005 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. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
4
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Investment Class | ||||||||||||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Income (loss) from investment operations | ||||||||||||||||||||||||
Net investment income (loss) | 0.0003 | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | |||||||||||||
Net realized gain (loss) | 0.0001 | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | |||||||||||||
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Total from investment operations | 0.0004 | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | |||||||||||||
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Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.0004 | ) | – | – | 0.0000 | (b) | 0.0000 | (b) | – | |||||||||||||||
Net realized gains | – | – | – | 0.0000 | (b) | 0.0000 | (b) | – | ||||||||||||||||
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Total distributions | (0.0004 | ) | – | – | 0.0000 | (b) | 0.0000 | (b) | – | |||||||||||||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total Return(c) | 0.04 | % | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 272,774 | $ | 485,292 | $ | 726,910 | $ | 1,013,152 | $ | 961,168 | $ | 992,736 | ||||||||||||
Ratios to average net assets(a): | ||||||||||||||||||||||||
Total expenses | 0.47 | %(e) | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.46 | % | ||||||||||||
Net expenses | 0.46 | %(e) | 0.24 | % | 0.19 | % | 0.22 | % | 0.32 | % | 0.27 | % | ||||||||||||
Net investment income (loss) | 0.07 | %(e) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Amount is less than $0.00005 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. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005% per share. |
(e) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
5
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Class M | ||||||||||||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11(b) | |||||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.0022 | 0.0014 | 0.0009 | 0.0012 | 0.0022 | 0.0001 | ||||||||||||||||||
Net realized gain (loss) | 0.0000 | (c) | 0.0000 | (c) | 0.0000 | (c) | 0.0000 | (c) | 0.0000 | (c) | 0.0000 | (c) | ||||||||||||
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Total from investment operations | 0.0022 | 0.0014 | 0.0009 | 0.0012 | 0.0022 | 0.0001 | ||||||||||||||||||
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Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.0022 | ) | (0.0014 | ) | (0.0009 | ) | (0.0012 | ) | (0.0022 | ) | (0.0001 | ) | ||||||||||||
Net realized gains | – | – | – | (0.0000 | )(c) | (0.0000 | )(c) | – | ||||||||||||||||
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Total distributions | (0.0022 | ) | (0.0014 | ) | (0.0009 | ) | (0.0012 | ) | (0.0022 | ) | (0.0001 | ) | ||||||||||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total Return(d) | 0.22 | % | 0.14 | % | 0.09 | % | 0.12 | % | 0.22 | % | 0.01 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 1,899,555 | $ | 1,455,514 | $ | 1,626,315 | $ | 2,825,313 | $ | 1,897,611 | $ | 2,012,117 | ||||||||||||
Ratios to average net assets(e): | ||||||||||||||||||||||||
Total expenses | 0.10 | %(e) | 0.10 | % | 0.10 | % | 0.10 | % | 0.10 | % | 0.10 | %(e) | ||||||||||||
Net expenses | 0.10 | %(e) | 0.10 | % | 0.10 | % | 0.10 | % | 0.10 | % | 0.10 | %(e) | ||||||||||||
Net investment income (loss) | 0.44 | %(e) | 0.14 | % | 0.09 | % | 0.12 | % | 0.22 | % | 0.17 | %(e) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | The Fund’s Class M Shares commenced operations on December 15, 2011. |
(c) | Amount is less than $0.00005 per share. |
(d) | 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 are not annualized. Results represent past performance and are not indicative of future results. |
(e) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
6
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements
June 30, 2016 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on February 16, 2000.
As of June 30, 2016, the Trust consists of fifty-one (51) series and corresponding classes, each of which have the same rights and privileges, including voting rights. State Street Institutional Liquid Reserves Fund (the “Fund”) is authorized to issue an unlimited number of shares at with no par value. The financial statements herein relate only to:
Fund | Classes | Commencement of Operations | Diversification Classification | |||
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 | Diversified |
The Fund is part of a master-feeder structure and invests substantially all of its assets in the State Street Money Market Portfolio (the “Portfolio”), a separate series of State Street Master Funds. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio, (99.02% at June 30, 2016). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.
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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
7
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Security Valuation
The Fund records its investments in its Portfolio at value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.
The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.
The summary of the inputs used for the Portfolio, as of June 30, 2016, in valuing the 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 the trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of its Portfolio less expenses of the Fund.
Expenses
Certain expenses, which are directly identifiable to a specific fund, are applied to the fund within the Trust. 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 relative net assets of the Funds within the Trust.
The Fund is allocated a pro-rata share of the expense of its Portfolio. Class specific expenses are borne by each class.
Distributions
Distributions from net investment income if any, are declared daily and are payable as of the last business day of each month. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Fees and Transactions with Affiliates |
Advisory Fee
The Portfolio retained 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”), as its
8
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
investment adviser. The Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
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 period ended June 30, 2016, SSGA FM did not voluntarily waive any expenses.
Under the terms of the reimbursement agreement the 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, 2016, SSGA FM has not recouped any expenses from the Fund. The Fund had no waived/reduced fees subject to potential recovery at year-end.
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street serves as custodian and sub-administrator. For its administration services, the Fund, except Class M Shares, pays a fee at an annual rate of 0.05% of its average daily net assets to SSGA FM. Class M Shares pay a fee at an annual rate of 0.03% of its average daily net assets to SSGA FM. The fees are accrued daily and paid monthly. During the period ended June 30, 2016, the Fund incurred the following administration fees:
Class | Amount | |||
Premier Class | $ | 10,946,206 | ||
Investment Class | 83,970 | |||
Class M | 238,714 |
The Fund pays State Street an annual fee for custody services for the Fund. SSGA FM pays an annual fee to State Street for sub-administration services provided for the Fund.
Distribution Fees
State Street Global Markets LLC serves as the Fund’s distributor (“SSGM” or the “Distributor”) pursuant to the Distribution Agreement between SSGM and the Trust. The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which a Fund may compensate the Distributor (or others) for services in connection with the distribution of a Fund’s 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 0.10% of the Fund’s net assets attributable to its Investment Class shares. In addition to payments under the Plan, the Fund may reimburse the Distributor or its affiliates for payments it makes to financial intermediaries that provide certain administrative, recordkeeping, and account maintenance.
9
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
During the period ended June 30, 2016, the Fund was charged $167,939 but paid $151,709 to SSGM under the Rule 12b-1 Plan, as SSGM voluntarily agreed to waive $16,230 of the Rule 12b-1 fees.
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 period ended June 30, 2016, SSGM paid $460,750 to WMS.
Under the Fund’s Shareholder Servicing Plan, the Fund compensates financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Fund’s 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 period ended June 30, 2016, the Fund paid SSGM $563,223 under the shareholder servicing agreement which SSGM subsequently paid to financial intermediaries.
Transfer Agent Fees
Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer agent and dividend paying agent to the Fund. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.
4. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
5. | Income Tax Information |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. 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. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
At June 30, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
10
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
6. | Risks |
Concentration Risk
As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Market, Credit and Counterparty Risk
In the normal course of business, the Fund trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults. 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).
Financial assets, which potentially expose the Fund to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statement of Assets and Liabilities, less any collateral held by the Fund.
7. | Rule Issuance |
On July 23, 2014, the U.S. Securities and Exchange Commission (the “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 effective in October 2016. The rule changes also allow for certain liquidity-based redemption fees and gates, 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 Fund’s financial statements related disclosure.
8. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statement other than below.
On May 20, 2016, the Board approved an Agreement and Plan of Reorganization (the “Plan”) whereby the SSGA Prime Money Market Fund and SSGA Money Market Fund, each a series of SSGA Funds,
11
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
will merge with and into the State Street Institutional Liquid Reserve Fund, a series of State Street Institutional Investment Trust, as set forth below effective August 26, 2016:
Selling Funds (Acquired Funds) | Buying Fund (Acquiring Fund) | |
SSGA Prime Money Market Fund SSGA Money Market Fund | State Street Institutional Liquid Reserves Fund |
A regulatory filing with respect to the reorganization was issued on May 25, 2016. On August 22, 2016, the shareholders of the SSGA Funds (Selling Funds) approved the reorganization effective August 26, 2016.
12
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Institutional Liquid Reserves Fund | ||||||||||||||||||||
Premier Class | 0.12 | % | $ | 1,002.10 | $ | 0.60 | $ | 1,024.30 | $ | 0.60 | ||||||||||
Investment Class | 0.46 | 1,000.40 | 2.29 | 1,022.60 | 2.31 | |||||||||||||||
Class M | 0.10 | 1,002.20 | 0.50 | 1,024.40 | 0.50 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
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State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities are contained in the Fund’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the U.S. Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. 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 Fund will file its complete schedule of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedule of investments is available in the Fund’s semi-annual and annual financial statements. The Fund’s Form N-Q is available (i) without charge, upon request, by calling the Fund at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.
Monthly Portfolio Schedule
The Fund files its monthly portfolio holdings with the U.S. Securities and Exchange Commission on Form N-MFP. The SEC delays the public availability of the information filed on Form N-MFP for 60 days after the end of the reporting period included in the filing. The Fund’s Form N-MFP is available (i) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or ii) at the Securities and Exchange Commission’s public reference room.
14
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2016 (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 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 on April 14-15, 2016 and May 19-20, 2016, including in Executive Sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to each portfolio series of each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). 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 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. The Independent Trustees were separately represented by co-counsel who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 14-15, 2016 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 19-20, 2016 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 the Fund: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2015, 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; |
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 Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
2 | 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. |
15
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State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
• | 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 the Fund and (b) affiliates of the Adviser that provide services to the Fund (“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 |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
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 Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; 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 services provided to the Fund by SSGA FM in its capacity as the Fund’s Administrator; |
• | Information concerning the nature, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, |
16
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
sub-administrator, fund accountant, transfer agent and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Draft responses to a letter 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: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the Fund’s last fiscal year; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the Fund’s 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 Funds, with respect to its operations relating to the Fund; 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 Fund, together with the Fund’s related distribution plans and arrangements under SEC Rule 12b-1; |
• | Information from SSGA FM and State Street with respect to State Street Master Funds and State Street Institutional Investment Trust, and the Distributor with respect to State Street Institutional Investment Trust, providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 19-20, 2016; |
• | Materials provided by Broadridge Financial Solutions, Inc., the successor by acquisition to the producer of Lipper materials used in previous years (“Broadridge”), circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund 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 the Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the 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 the Fund.
17
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
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 19-20, 2016 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, 2016, 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 the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the 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 certain Funds that operate as money market mutual funds, the Board considered the Adviser’s success in maintaining the constant dollar value of the Fund through extraordinary market conditions, and the Board noted that it was being asked to approve a floating net asset value for certain other money market funds. 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 SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring the 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 the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2015. For purposes of these comparisons the Independent Trustees relied extensively on the “Performance Group,” “Performance Universe” and “Broadridge Index” constructed by Broadridge for
18
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
the Fund and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the Fund:
The Money Market Funds, Generally. 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.
State Street Institutional Liquid Reserves Fund. The Board considered that the Fund (a) equaled the median of its Performance Group for the 1-year period and outperformed the median of its Performance Group for the 3-, 5- and 10-year periods, and (b) outperformed its Performance Universe and its Broadridge 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 the 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 the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee, including the portion attributable to administrative services provided by SSGA FM, and total expense ratio (both before and after giving effect to any expense caps), as compared to its “Expense Group” and “Expense Universe,” as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the 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 the Fund:
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 the 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 the Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers, together with the ranges of
19
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
profitability of each of the Affiliated Service Providers with respect to their services to the Funds. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
The Board concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, 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 the 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 the Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with respect to the Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of the 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 the 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.
20
Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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
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
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
[THIS PAGE INTENTIONALLY LEFT BLANK]
Table of Contents
Semi-Annual Report
30 June 2016
State Street Master Funds
State Street Money Market Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Semi-Annual Report
June 30, 2016 (Unaudited)
25 | ||||
26 | ||||
36 | ||||
37 | ||||
38 | ||||
39 | ||||
40 | ||||
45 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Money Market Portfolio
Portfolio Summary (Unaudited)
Portfolio Composition* | June 30, 2016 | |||
Certificates of Deposit | 39.6 | % | ||
Financial Company Commercial Paper | 26.7 | |||
Other Notes | 8.5 | |||
Treasury Repurchase Agreements | 7.2 | |||
Asset Backed Commercial Paper | 5.5 | |||
Government Agency Debt | 4.6 | |||
Government Agency Repurchase Agreements | 4.4 | |||
Other Repurchase Agreements | 2.7 | |||
Other Assets in Excess of Liabilities | 0.8 | |||
Total | 100.0 | % | ||
Maturity Ladder* | June 30, 2016 | |||
Overnight (1 Day) | 14.1 | % | ||
2 to 30 Days | 36.0 | |||
31 to 60 Days | 17.5 | |||
61 to 90 Days | 22.5 | |||
Over 90 Days | 9.1 | |||
Total | 99.2 | % | ||
Average days to maturity | 28 | |||
Weighted average life | 37 |
* | 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.
25
Table of Contents
State Street Money Market Portfolio
Schedule of Investments
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
ASSET BACKED COMMERCIAL PAPER – 5.5% | ||||||||||||||||||||
Atlantic Asset Securitization LLC(a) | 0.460 | % | 07/08/2016 | 07/08/2016 | $ | 100,000,000 | $ | 99,991,056 | ||||||||||||
Atlantic Asset Securitization LLC(a)(b) | 0.600 | % | 07/01/2016 | 07/01/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
Atlantic Asset Securitization LLC(a) | 0.620 | % | 09/08/2016 | 09/08/2016 | 100,000,000 | 99,881,167 | ||||||||||||||
Collateralized Commercial Paper Co. LLC(a)(b) | 0.823 | % | 07/25/2016 | 07/25/2016 | 250,000,000 | 250,000,000 | ||||||||||||||
Kells Funding LLC(a) | 0.590 | % | 08/01/2016 | 08/01/2016 | 100,000,000 | 99,949,194 | ||||||||||||||
Kells Funding LLC(a) | 0.590 | % | 08/16/2016 | 08/16/2016 | 100,000,000 | 99,924,611 | ||||||||||||||
Kells Funding LLC(a) | 0.590 | % | 08/18/2016 | 08/18/2016 | 90,000,000 | 89,929,200 | ||||||||||||||
Kells Funding LLC(a) | 0.590 | % | 08/19/2016 | 08/19/2016 | 100,000,000 | 99,919,694 | ||||||||||||||
Kells Funding LLC(a) | 0.600 | % | 07/18/2016 | 07/18/2016 | 145,000,000 | 144,958,917 | ||||||||||||||
Kells Funding LLC(a) | 0.615 | % | 08/29/2016 | 08/29/2016 | 100,000,000 | 99,899,208 | ||||||||||||||
Kells Funding LLC(a)(b) | 0.630 | % | 07/05/2016 | 07/05/2016 | 225,000,000 | 224,984,250 | ||||||||||||||
Kells Funding LLC(a) | 0.635 | % | 09/09/2016 | 09/09/2016 | 135,000,000 | 134,833,313 | ||||||||||||||
Kells Funding LLC(a)(b) | 0.650 | % | 07/15/2016 | 07/15/2016 | 200,000,000 | 199,949,444 | ||||||||||||||
Kells Funding LLC(a) | 0.675 | % | 09/13/2016 | 09/13/2016 | 150,000,000 | 149,791,875 | ||||||||||||||
Liberty Funding LLC(a)(b) | 0.680 | % | 07/01/2016 | 07/01/2016 | 100,000,000 | 100,000,000 | ||||||||||||||
Versailles Commercial Paper LLC(a) | 0.700 | % | 08/01/2016 | 08/01/2016 | 135,000,000 | 134,918,625 | ||||||||||||||
Versailles Commercial Paper LLC(a) | 0.700 | % | 09/15/2016 | 09/15/2016 | 100,000,000 | 99,852,222 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL ASSET BACKED COMMERCIAL PAPER |
| 2,278,782,776 | ||||||||||||||||||
|
| |||||||||||||||||||
CERTIFICATES OF DEPOSIT – 39.6% | ||||||||||||||||||||
Bank of Montreal(a) | 0.560 | % | 07/05/2016 | 07/05/2016 | 223,000,000 | 223,000,000 | ||||||||||||||
Bank of Montreal(a) | 0.560 | % | 08/08/2016 | 08/08/2016 | 90,000,000 | 90,000,000 | ||||||||||||||
Bank of Montreal(a) | 0.560 | % | 08/09/2016 | 08/09/2016 | 280,000,000 | 280,000,000 | ||||||||||||||
Bank of Montreal(a) | 0.560 | % | 08/11/2016 | 08/11/2016 | 125,000,000 | 125,000,000 | ||||||||||||||
Bank of Montreal(a) | 0.590 | % | 07/12/2016 | 07/12/2016 | 152,000,000 | 152,000,000 | ||||||||||||||
Bank of Montreal(a) | 0.690 | % | 10/03/2016 | 10/03/2016 | 225,000,000 | 225,000,000 | ||||||||||||||
Bank of Montreal(a) | 0.797 | % | �� | 07/08/2016 | 07/08/2016 | 52,000,000 | 52,000,000 | |||||||||||||
Bank of Montreal(c) | 0.837 | % | 07/14/2016 | 10/14/2016 | 100,000,000 | 99,999,888 | ||||||||||||||
Bank of Nova Scotia(a) | 0.783 | % | 07/25/2016 | 07/25/2016 | 185,000,000 | 185,041,091 | ||||||||||||||
Bank of Nova Scotia(c) | 0.805 | % | 07/07/2016 | 10/07/2016 | 350,000,000 | 350,000,000 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 0.410 | % | 07/06/2016 | 07/06/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 0.620 | % | 07/12/2016 | 07/12/2016 | 100,000,000 | 100,000,000 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 0.630 | % | 07/25/2016 | 07/25/2016 | 300,000,000 | 300,000,000 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 0.630 | % | 08/05/2016 | 08/05/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 0.680 | % | 09/08/2016 | 09/08/2016 | 236,000,000 | 236,000,000 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 0.710 | % | 09/06/2016 | 09/06/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 0.720 | % | 09/06/2016 | 09/06/2016 | 250,000,000 | 250,000,000 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 0.735 | % | 09/01/2016 | 09/01/2016 | 250,000,000 | 250,002,147 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 0.790 | % | 10/06/2016 | 10/06/2016 | 275,000,000 | 275,000,000 | ||||||||||||||
BNP Paribas(a) | 0.600 | % | 09/06/2016 | 09/06/2016 | 300,000,000 | 300,000,000 |
See accompanying notes to financial statements.
26
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
CERTIFICATES OF DEPOSIT – (continued) | ||||||||||||||||||||
BNP Paribas(a) | 0.610 | % | 07/05/2016 | 07/05/2016 | $ | 350,000,000 | $ | 350,000,000 | ||||||||||||
BNP Paribas(a) | 0.610 | % | 09/06/2016 | 09/06/2016 | 350,000,000 | 350,000,000 | ||||||||||||||
BNP Paribas(a) | 0.620 | % | 09/01/2016 | 09/01/2016 | 350,000,000 | 350,000,000 | ||||||||||||||
BNP Paribas(a) | 0.670 | % | 09/12/2016 | 09/12/2016 | 280,000,000 | 280,000,000 | ||||||||||||||
Canadian Imperial Bank of Commerce(c) | 0.796 | % | 07/18/2016 | 08/17/2016 | 250,000,000 | 250,000,000 | ||||||||||||||
Citibank NA(a) | 0.580 | % | 07/13/2016 | 07/13/2016 | 129,000,000 | 129,000,000 | ||||||||||||||
Citibank NA(a) | 0.700 | % | 10/18/2016 | 10/18/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
Citibank NA(a) | 0.710 | % | 07/11/2016 | 07/11/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
Commonwealth Bank of Australia(a)(b) | 0.590 | % | 09/09/2016 | 09/09/2016 | 72,000,000 | 72,000,699 | ||||||||||||||
Commonwealth Bank of Australia(a)(b) | 0.655 | % | 07/07/2016 | 07/07/2016 | 75,000,000 | 75,000,062 | ||||||||||||||
Credit Agricole Corporate & Investment Bank(a) | 0.620 | % | 09/06/2016 | 09/06/2016 | 300,000,000 | 300,000,000 | ||||||||||||||
Credit Agricole Corporate & Investment Bank(a) | 0.620 | % | 09/08/2016 | 09/08/2016 | 155,000,000 | 155,000,000 | ||||||||||||||
Credit Agricole Corporate & Investment Bank(a) | 0.660 | % | 09/02/2016 | 09/02/2016 | 300,000,000 | 300,000,000 | ||||||||||||||
Credit Agricole Corporate & Investment Bank(a) | 0.710 | % | 08/01/2016 | 08/01/2016 | 300,000,000 | 300,000,000 | ||||||||||||||
Credit Suisse(a) | 0.740 | % | 09/02/2016 | 09/02/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
Credit Suisse(a) | 0.800 | % | 10/05/2016 | 10/05/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
Credit Suisse(a) | 0.840 | % | 09/01/2016 | 09/01/2016 | 450,000,000 | 450,000,000 | ||||||||||||||
ING Bank NV(a) | 0.715 | % | 08/15/2016 | 08/15/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
ING Bank NV(a) | 0.720 | % | 07/14/2016 | 07/14/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
ING Bank NV(a) | 0.740 | % | 09/23/2016 | 09/23/2016 | 170,000,000 | 170,000,000 | ||||||||||||||
ING Bank NV(a) | 0.740 | % | 10/11/2016 | 10/11/2016 | 399,000,000 | 399,000,000 | ||||||||||||||
ING Bank NV(a) | 0.760 | % | 10/06/2016 | 10/06/2016 | 234,000,000 | 234,000,000 | ||||||||||||||
KBC Bank NV(a) | 0.380 | % | 07/06/2016 | 07/06/2016 | 275,000,000 | 275,000,000 | ||||||||||||||
Lloyds Bank PLC(a) | 0.853 | % | 08/03/2016 | 08/03/2016 | 165,000,000 | 165,000,000 | ||||||||||||||
Norinchukin Bank(a) | 0.510 | % | 08/30/2016 | 08/30/2016 | 135,000,000 | 135,000,000 | ||||||||||||||
Norinchukin Bank(a) | 0.510 | % | 09/01/2016 | 09/01/2016 | 70,000,000 | 70,000,000 | ||||||||||||||
Norinchukin Bank(a) | 0.520 | % | 09/02/2016 | 09/02/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
Norinchukin Bank(a) | 0.620 | % | 08/02/2016 | 08/02/2016 | 185,000,000 | 184,999,998 | ||||||||||||||
Norinchukin Bank(a) | 0.620 | % | 08/04/2016 | 08/04/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
Norinchukin Bank(a) | 0.640 | % | 08/10/2016 | 08/10/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
Norinchukin Bank(a) | 0.640 | % | 08/12/2016 | 08/12/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
Rabobank Nederland NV(c) | 0.792 | % | 07/18/2016 | 09/16/2016 | 350,000,000 | 350,000,000 | ||||||||||||||
Rabobank Nederland NV(c) | 0.797 | % | 07/12/2016 | 09/12/2016 | 250,000,000 | 250,000,000 | ||||||||||||||
Rabobank Nederland NV(c) | 0.820 | % | 07/05/2016 | 10/03/2016 | 350,000,000 | 350,000,000 | ||||||||||||||
Royal Bank of Canada(c) | 0.786 | % | 07/11/2016 | 09/09/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
Societe Generale SA(a) | 0.660 | % | 09/02/2016 | 09/02/2016 | 249,000,000 | 249,000,000 |
See accompanying notes to financial statements.
27
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
CERTIFICATES OF DEPOSIT – (continued) | ||||||||||||||||||||
Sumitomo Mitsui Banking Corp.(a) | 0.620 | % | 07/28/2016 | 07/28/2016 | $ | 116,700,000 | $ | 116,699,994 | ||||||||||||
Sumitomo Mitsui Banking Corp.(a) | 0.650 | % | 08/01/2016 | 08/01/2016 | 300,000,000 | 300,000,000 | ||||||||||||||
Sumitomo Mitsui Banking Corp.(a) | 0.650 | % | 09/13/2016 | 09/13/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
Sumitomo Mitsui Banking Corp.(a) | 0.700 | % | 08/15/2016 | 08/15/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
Sumitomo Mitsui Banking Corp.(a) | 0.700 | % | 09/02/2016 | 09/02/2016 | 250,000,000 | 250,000,000 | ||||||||||||||
Svenska Handelsbanken AB(a) | 0.380 | % | 07/07/2016 | 07/07/2016 | 127,000,000 | 127,000,106 | ||||||||||||||
Svenska Handelsbanken AB(a) | 0.450 | % | 07/06/2016 | 07/06/2016 | 89,000,000 | 89,001,169 | ||||||||||||||
Svenska Handelsbanken AB(a) | 0.550 | % | 07/28/2016 | 07/28/2016 | 280,000,000 | 280,001,049 | ||||||||||||||
Svenska Handelsbanken AB(a) | 0.550 | % | 08/01/2016 | 08/01/2016 | 103,000,000 | 103,000,000 | ||||||||||||||
Svenska Handelsbanken AB(a) | 0.570 | % | 07/14/2016 | 07/14/2016 | 233,000,000 | 233,006,702 | ||||||||||||||
Svenska Handelsbanken AB(a) | 0.650 | % | 07/01/2016 | 07/01/2016 | 300,000,000 | 300,000,000 | ||||||||||||||
Swedbank AB(a) | 0.380 | % | 07/07/2016 | 07/07/2016 | 184,000,000 | 184,000,000 | ||||||||||||||
Swedbank AB(a) | 0.410 | % | 07/05/2016 | 07/05/2016 | 350,000,000 | 350,000,000 | ||||||||||||||
Toronto Dominion Bank(a) | 0.798 | % | 07/21/2016 | 07/21/2016 | 183,000,000 | 183,000,000 | ||||||||||||||
UBS AG(c) | 0.807 | % | 07/01/2016 | 11/01/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
Wells Fargo Bank NA(a) | 0.697 | % | 07/01/2016 | 07/01/2016 | 157,700,000 | 157,700,000 | ||||||||||||||
Wells Fargo Bank NA(a) | 0.797 | % | 07/08/2016 | 07/08/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
Wells Fargo Bank NA(a) | 0.797 | % | 07/12/2016 | 07/12/2016 | 225,000,000 | 225,000,000 | ||||||||||||||
Wells Fargo Bank NA(c) | 0.819 | % | 07/05/2016 | 09/02/2016 | 250,000,000 | 250,000,000 | ||||||||||||||
Wells Fargo Bank NA(c) | 0.840 | % | 07/01/2016 | 10/04/2016 | 103,000,000 | 103,000,000 | ||||||||||||||
Wells Fargo Bank NA(c) | 0.850 | % | 07/01/2016 | 10/07/2016 | 245,000,000 | 245,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL CERTIFICATES OF DEPOSIT |
| 16,532,452,905 | ||||||||||||||||||
|
| |||||||||||||||||||
FINANCIAL COMPANY COMMERCIAL PAPER – 26.7% | ||||||||||||||||||||
Australia & New Zealand Banking Group Ltd.(a) | 0.550 | % | 08/08/2016 | 08/08/2016 | 125,000,000 | 124,927,431 | ||||||||||||||
Australia & New Zealand Banking Group Ltd.(a) | 0.600 | % | 09/16/2016 | 09/16/2016 | 60,000,000 | 59,923,000 | ||||||||||||||
Australia & New Zealand Banking Group Ltd.(a) | 0.620 | % | 09/01/2016 | 09/01/2016 | 250,000,000 | 249,733,056 | ||||||||||||||
Australia & New Zealand Banking Group Ltd.(a) | 0.630 | % | 09/01/2016 | 09/01/2016 | 90,000,000 | 89,902,350 | ||||||||||||||
Bank Nederlandse Gemeenten(a) | 0.400 | % | 07/05/2016 | 07/05/2016 | 94,000,000 | 93,995,822 | ||||||||||||||
Bank of Nova Scotia(b)(c) | 0.797 | % | 07/12/2016 | 08/12/2016 | 300,000,000 | 300,000,000 | ||||||||||||||
BNP Paribas(a) | 0.600 | % | 07/11/2016 | 07/11/2016 | 52,000,000 | 51,991,333 | ||||||||||||||
BNP Paribas(a) | 0.790 | % | 09/12/2016 | 09/12/2016 | 52,000,000 | 51,916,699 | ||||||||||||||
Caisse des Depots et Consignations(a) | 0.375 | % | 07/07/2016 | 07/07/2016 | 289,000,000 | 288,981,937 | ||||||||||||||
Caisse des Depots et Consignations(a) | 0.410 | % | 07/06/2016 | 07/06/2016 | 140,000,000 | 139,992,028 | ||||||||||||||
Caisse des Depots et Consignations(a) | 0.610 | % | 07/18/2016 | 07/18/2016 | 165,000,000 | 164,952,471 | ||||||||||||||
Caisse des Depots et Consignations(a) | 0.635 | % | 09/12/2016 | 09/12/2016 | 225,000,000 | 224,710,281 | ||||||||||||||
Caisse des Depots et Consignations(a) | 0.640 | % | 09/09/2016 | 09/09/2016 | 200,000,000 | 199,751,111 |
See accompanying notes to financial statements.
28
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
FINANCIAL COMPANY COMMERCIAL PAPER – (continued) | ||||||||||||||||||||
Commonwealth Bank of Australia(a) | 0.580 | % | 09/09/2016 | 09/09/2016 | $ | 43,000,000 | $ | 42,951,505 | ||||||||||||
CPPIB Capital, Inc.(a) | 0.400 | % | 07/26/2016 | 07/26/2016 | 200,000,000 | 199,944,444 | ||||||||||||||
CPPIB Capital, Inc.(a) | 0.400 | % | 07/28/2016 | 07/28/2016 | 275,000,000 | 274,917,500 | ||||||||||||||
DBS Bank Ltd.(a) | 0.490 | % | 08/15/2016 | 08/15/2016 | 275,000,000 | 274,831,562 | ||||||||||||||
DBS Bank Ltd.(a) | 0.510 | % | 07/05/2016 | 07/05/2016 | 125,000,000 | 124,992,917 | ||||||||||||||
DBS Bank Ltd.(a) | 0.600 | % | 09/16/2016 | 09/16/2016 | 200,000,000 | 199,743,333 | ||||||||||||||
DnB Bank ASA(a) | 0.630 | % | 08/26/2016 | 08/26/2016 | 215,000,000 | 214,789,300 | ||||||||||||||
DnB Bank ASA(a)(b) | 0.670 | % | 07/05/2016 | 07/05/2016 | 300,000,000 | 299,977,667 | ||||||||||||||
DnB Bank ASA(a)(b) | 0.675 | % | 07/11/2016 | 07/11/2016 | 350,000,000 | 349,934,375 | ||||||||||||||
DnB Bank ASA(a)(b) | 0.685 | % | 07/20/2016 | 07/20/2016 | 300,000,000 | 299,891,542 | ||||||||||||||
Erste Abwicklungsanstalt(a) | 0.640 | % | 09/14/2016 | 09/14/2016 | 100,000,000 | 99,866,667 | ||||||||||||||
Erste Abwicklungsanstalt(a) | 0.655 | % | 09/16/2016 | 09/16/2016 | 80,000,000 | 79,887,922 | ||||||||||||||
Erste Abwicklungsanstalt(a) | 0.700 | % | 09/23/2016 | 09/23/2016 | 100,000,000 | 99,836,667 | ||||||||||||||
HSBC Bank PLC(b)(c) | 0.818 | % | 07/04/2016 | 08/04/2016 | 100,000,000 | 100,013,895 | ||||||||||||||
HSBC Bank PLC(a)(b) | 0.823 | % | 07/25/2016 | 07/25/2016 | 250,000,000 | 250,000,000 | ||||||||||||||
HSBC Bank PLC(b)(c) | 0.827 | % | 07/12/2016 | 08/12/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
HSBC Bank PLC(b)(c) | 0.840 | % | 07/04/2016 | 08/17/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
KFW International Finance, Inc.(a) | 0.420 | % | 07/28/2016 | 07/28/2016 | 220,000,000 | 219,930,700 | ||||||||||||||
National Australia Bank Ltd.(a) | 0.360 | % | 07/01/2016 | 07/01/2016 | 275,000,000 | 275,000,000 | ||||||||||||||
National Australia Bank Ltd.(a) | 0.600 | % | 08/25/2016 | 08/25/2016 | 125,000,000 | 124,885,417 | ||||||||||||||
National Australia Bank Ltd.(c) | 0.778 | % | 07/18/2016 | 10/18/2016 | 125,000,000 | 125,000,000 | ||||||||||||||
National Australia Bank Ltd.(b)(c) | 0.785 | % | 07/07/2016 | 10/07/2016 | 65,250,000 | 65,250,000 | ||||||||||||||
National Australia Bank Ltd.(b)(c) | 0.793 | % | 07/05/2016 | 08/04/2016 | 245,000,000 | 245,000,000 | ||||||||||||||
National Securities Clearing Corp.(a) | 0.420 | % | 07/05/2016 | 07/05/2016 | 75,000,000 | 74,996,500 | ||||||||||||||
Nederlandse Waterschapsbank NV(a) | 0.570 | % | 09/08/2016 | 09/08/2016 | 211,000,000 | 210,769,482 | ||||||||||||||
Nederlandse Waterschapsbank NV(a) | 0.615 | % | 09/13/2016 | 09/13/2016 | 125,000,000 | 124,841,979 | ||||||||||||||
Nederlandse Waterschapsbank NV(a)(b) | 0.650 | % | 07/14/2016 | 07/14/2016 | 165,000,000 | 164,961,271 | ||||||||||||||
Nordea Bank AB(a)(b) | 0.660 | % | 07/20/2016 | 07/20/2016 | 290,000,000 | 289,898,983 | ||||||||||||||
NRW.Bank(a) | 0.385 | % | 07/08/2016 | 07/08/2016 | 89,000,000 | 88,993,337 | ||||||||||||||
NRW.Bank(a) | 0.385 | % | 07/11/2016 | 07/11/2016 | 273,000,000 | 272,970,804 | ||||||||||||||
NRW.Bank(a) | 0.385 | % | 07/18/2016 | 07/18/2016 | 250,000,000 | 249,954,549 | ||||||||||||||
NRW.Bank(a) | 0.400 | % | 07/01/2016 | 07/01/2016 | 237,000,000 | 237,000,000 | ||||||||||||||
NRW.Bank(a) | 0.400 | % | 07/13/2016 | 07/13/2016 | 175,000,000 | 174,976,667 | ||||||||||||||
NRW.Bank(a) | 0.550 | % | 07/20/2016 | 07/20/2016 | 500,000,000 | 499,875,761 | ||||||||||||||
Skandinaviska Enskilda Banken AB(a)(b) | 0.665 | % | 07/15/2016 | 07/15/2016 | 235,000,000 | 234,938,888 | ||||||||||||||
Skandinaviska Enskilda Banken AB(a)(b) | 0.670 | % | 07/05/2016 | 07/05/2016 | 86,000,000 | 85,993,598 | ||||||||||||||
Societe Generale SA(a) | 0.660 | % | 09/02/2016 | 09/02/2016 | 126,000,000 | 125,854,470 | ||||||||||||||
Societe Generale SA(a) | 0.660 | % | 09/06/2016 | 09/06/2016 | 200,000,000 | 199,754,333 | ||||||||||||||
Societe Generale SA(a) | 0.700 | % | 07/01/2016 | 07/01/2016 | 190,000,000 | 190,000,000 | ||||||||||||||
Sumitomo Mitsui Banking Corp.(a) | 0.650 | % | 08/04/2016 | 08/04/2016 | 330,000,000 | 329,797,417 |
See accompanying notes to financial statements.
29
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
FINANCIAL COMPANY COMMERCIAL PAPER – (continued) | ||||||||||||||||||||
Svenska Handelsbanken AB(a)(b) | 0.720 | % | 07/12/2016 | 07/12/2016 | $ | 250,000,000 | $ | 249,945,000 | ||||||||||||
Swedbank AB(a) | 0.585 | % | 08/25/2016 | 08/25/2016 | 100,000,000 | 99,910,625 | ||||||||||||||
Swedbank AB(a) | 0.585 | % | 08/30/2016 | 08/30/2016 | 200,000,000 | 199,805,000 | ||||||||||||||
Swedbank AB(a) | 0.675 | % | 07/05/2016 | 07/05/2016 | 58,000,000 | 57,995,650 | ||||||||||||||
Swedbank AB(a) | 0.675 | % | 07/06/2016 | 07/06/2016 | 164,000,000 | 163,984,625 | ||||||||||||||
Swedbank AB(a) | 0.675 | % | 07/11/2016 | 07/11/2016 | 100,000,000 | 99,981,250 | ||||||||||||||
Toyota Motor Credit Corp.(c) | 0.752 | % | 07/15/2016 | 07/18/2016 | 95,000,000 | 95,000,000 | ||||||||||||||
Toyota Motor Credit Corp.(a) | 0.757 | % | 07/13/2016 | 07/13/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
Toyota Motor Credit Corp.(a) | 0.758 | % | 07/19/2016 | 07/19/2016 | 90,000,000 | 90,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER |
| 11,169,623,121 | ||||||||||||||||||
|
| |||||||||||||||||||
OTHER NOTES – 8.5% | ||||||||||||||||||||
Apple, Inc.(a) | 0.390 | % | 07/06/2016 | 07/06/2016 | 245,000,000 | 244,987,118 | ||||||||||||||
Bank of America NA(a) | 0.627 | % | 07/01/2016 | 07/01/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
Bank of America NA(c) | 0.645 | % | 07/11/2016 | 08/10/2016 | 143,000,000 | 143,000,000 | ||||||||||||||
Bank of America NA(c) | 0.647 | % | 07/04/2016 | 09/01/2016 | 141,000,000 | 141,000,000 | ||||||||||||||
Bank of America NA(c) | 0.787 | % | 07/12/2016 | 10/11/2016 | 85,000,000 | 85,000,000 | ||||||||||||||
Bank of America NA(c) | 0.787 | % | 07/11/2016 | 10/11/2016 | 85,000,000 | 85,000,000 | ||||||||||||||
Bank of America NA(c) | 0.792 | % | 07/15/2016 | 08/15/2016 | 75,000,000 | 75,000,000 | ||||||||||||||
Bank of America NA(c) | 0.797 | % | 07/13/2016 | 10/13/2016 | 145,000,000 | 145,000,000 | ||||||||||||||
Bank of America NA(a) | 0.798 | % | 07/22/2016 | 07/22/2016 | 170,000,000 | 170,000,000 | ||||||||||||||
JPMorgan Chase Bank NA(c) | 0.835 | % | 07/22/2016 | 08/22/2016 | 175,000,000 | 175,000,000 | ||||||||||||||
JPMorgan Chase Bank NA(a) | 0.760 | % | 08/05/2016 | 08/05/2016 | 260,000,000 | 260,000,000 | ||||||||||||||
Lloyds Bank PLC(a) | 0.300 | % | 07/01/2016 | 07/01/2016 | 154,262,000 | 154,262,000 | ||||||||||||||
Nordea Bank AB(a) | 0.280 | % | 07/01/2016 | 07/01/2016 | 625,000,000 | 625,000,000 | ||||||||||||||
Province of Quebec Canada(a) | 0.390 | % | 07/21/2016 | 07/21/2016 | 210,000,000 | 209,954,500 | ||||||||||||||
Royal Bank of Canada(c) | 0.747 | % | 07/07/2016 | 08/08/2016 | 155,000,000 | 155,000,000 | ||||||||||||||
Svenska Handelsbanken AB(a) | 0.300 | % | 07/01/2016 | 07/01/2016 | 340,000,000 | 340,000,000 | ||||||||||||||
Wells Fargo Bank NA(c) | 0.698 | % | 07/20/2016 | 08/19/2016 | 227,000,000 | 227,000,000 | ||||||||||||||
Wells Fargo Bank NA(a) | 0.778 | % | 08/09/2016 | 08/09/2016 | 155,000,000 | 155,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL OTHER NOTES |
| 3,540,203,618 | ||||||||||||||||||
|
| |||||||||||||||||||
GOVERNMENT AGENCY DEBT – 4.6% | ||||||||||||||||||||
Federal Home Loan Bank(a) | 0.280 | % | 07/06/2016 | 07/06/2016 | 315,000,000 | 314,987,969 | ||||||||||||||
Federal Home Loan Bank(a) | 0.282 | % | 07/01/2016 | 07/01/2016 | 400,000,000 | 400,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.295 | % | 07/08/2016 | 07/08/2016 | 313,000,000 | 312,982,350 | ||||||||||||||
Federal Home Loan Bank(a) | 0.336 | % | 08/22/2016 | 08/22/2016 | 250,000,000 | 249,880,833 | ||||||||||||||
Federal Home Loan Bank(a) | 0.357 | % | 07/22/2016 | 07/22/2016 | 243,000,000 | 242,950,388 | ||||||||||||||
Federal Home Loan Bank(a) | 0.367 | % | 07/20/2016 | 07/20/2016 | 290,000,000 | 289,944,900 | ||||||||||||||
Federal Home Loan Bank(a) | 0.470 | % | 08/24/2016 | 08/24/2016 | 100,000,000 | 99,950,650 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY DEBT |
| 1,910,697,090 | ||||||||||||||||||
|
|
See accompanying notes to financial statements.
30
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 4.4% | ||||||||||||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by Government National Mortgage Associations, 3.500% – 4.000% due 10/20/2042 – 04/20/2044, valued at $25,500,000); expected proceeds $25,000,306 | 0.440 | % | 07/01/2016 | 07/01/2016 | $ | 25,000,000 | $ | 25,000,000 | ||||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by Federal National Mortgage Associations, | 0.400 | % | 07/01/2016 | 07/01/2016 | 203,000,000 | 203,000,000 | ||||||||||||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/24/2016 (collateralized by a Government National Mortgage Association, 3.500% due 06/20/2046, valued at $306,000,001); expected proceeds $300,022,167 | 0.380 | % | 07/01/2016 | 07/01/2016 | 300,000,000 | 300,000,000 | ||||||||||||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/27/2016 (collateralized by Government National Mortgage Associations, 3.500% due 03/20/2046 – 06/20/2046, valued at $367,200,000); expected proceeds $360,032,000 | 0.400 | % | 07/05/2016 | 07/05/2016 | 360,000,000 | 360,000,000 | ||||||||||||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by Federal National Mortgage Associations, 2.500% – 4.500% due 08/01/2022 – 03/01/2046, valued at $187,680,000); expected proceeds $184,002,147 | 0.420 | % | 07/01/2016 | 07/01/2016 | 184,000,000 | 184,000,000 | ||||||||||||||
Agreement with ING Financial Markets, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/27/2016 (collateralized by Federal National Mortgage Associations, 2.500% – 6.000% due 06/01/2027 – 08/01/2045, valued at $153,001,235); expected proceeds $150,012,667 | 0.380 | % | 07/05/2016 | 07/05/2016 | 150,000,000 | 150,000,000 |
See accompanying notes to financial statements.
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State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/30/2016 (collateralized by Federal National Mortgage Associations, 2.500% – 8.000% due 08/01/2016 – 03/01/2046, valued at $25,501,688); expected proceeds $25,000,313 | 0.450 | % | 07/01/2016 | 07/01/2016 | $ | 25,000,000 | $ | 25,000,000 | ||||||||||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/28/2016 (collateralized by a Federal National Mortgage Association, 3.500% due 05/01/2042, and a Government National Mortgage Association, 3.500% due 03/20/2046, valued at $153,000,001); expected proceeds $150,013,125 | 0.450 | % | 07/05/2016 | 07/05/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by a Federal National Mortgage Association, 2.100% due 11/30/2021, valued at $119,340,969); expected proceeds $117,001,333 | 0.410 | % | 07/01/2016 | 07/01/2016 | 117,000,000 | 117,000,000 | ||||||||||||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by Federal National Mortgage Associations, 3.500% – 4.500% due 04/01/2035 – 06/01/2045, valued at $170,340,000); expected proceeds $167,001,948 | 0.420 | % | 07/01/2016 | 07/01/2016 | 167,000,000 | 167,000,000 | ||||||||||||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by Federal Home Loan Mortgage Corporations, 0.875% – 6.750% due 06/29/2017 – 03/15/2031, Federal National Mortgage Associations, 0.875% – 7.250% due 12/20/2017 – 09/01/2045, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2027, and a U.S. Treasury Inflation Index Note, 0.625% due 07/15/2021, valued at $161,161,841); expected proceeds $158,001,756 | 0.400 | % | 07/01/2016 | 07/01/2016 | 158,000,000 | 158,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS |
| 1,839,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
OTHER REPURCHASE AGREEMENTS – 2.7% | ||||||||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/10/2016 (collateralized by various Corporate Bonds, 1.125% – 10.500% due 07/27/2016 – 01/01/2049, and a Federal Home Loan Bank, 0.512% due 12/15/2017, valued at $268,235,049); expected proceeds $250,469,722(d) | 0.760 | % | 07/01/2016 | 09/07/2016 | 250,000,000 | 250,000,000 |
See accompanying notes to financial statements.
32
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
OTHER REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with Credit Suisse Securities (USA) LLC and JP Morgan Chase & Co. (Tri-Party), dated 06/30/2016 (collateralized by various Corporate Bonds, 3.625% – 10.000% due 10/15/2016 – 12/15/2037, valued at $57,504,585); expected proceeds $50,109,514(d) | 0.830 | % | 10/03/2016 | 10/03/2016 | $ | 50,000,000 | $ | 50,000,000 | ||||||||||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/23/2016 (collateralized by various Common Stocks, and Federal National Mortgage Associations, 3.500% – 5.000% due 02/01/2037 – 06/01/2046, valued at $338,118,981); expected proceeds $325,455,000(d) | 0.560 | % | 07/01/2016 | 09/21/2016 | 325,000,000 | 325,000,000 | ||||||||||||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by various Common Stocks, and Federal National Mortgage Associations, 3.000% – 4.500% due 09/01/2028 – 10/01/2045, valued at $330,781,360); expected proceeds $320,005,511(d) | 0.620 | % | 07/01/2016 | 09/30/2016 | 320,000,000 | 320,000,000 | ||||||||||||||
Agreement with JP Morgan Securities, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/24/2016 (collateralized by various Common Stocks, valued at $216,032,295); expected proceeds $200,508,593(d) | 0.769 | % | 10/21/2016 | 10/21/2016 | 200,000,000 | 200,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL OTHER REPURCHASE AGREEMENTS |
| 1,145,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 7.2% | ||||||||||||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by U.S. Treasury Bills, 0.000% due 09/01/2016 – 06/22/2017, U.S. Treasury Notes, 0.750% – 2.750% due 10/31/2017 – 06/30/2023, and a U.S. Treasury Strip, 0.000% due 08/15/2017, valued at $186,660,029); expected proceeds $183,001,983 | 0.390 | % | 07/01/2016 | 07/01/2016 | 183,000,000 | 183,000,000 | ||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/24/2016 (collateralized by U.S. Treasury Notes, 1.500% – 3.625% due 02/15/2021 – 02/28/2023, valued at $255,000,046); expected proceeds $250,018,472 | 0.380 | % | 07/01/2016 | 07/01/2016 | 250,000,000 | 250,000,000 |
See accompanying notes to financial statements.
33
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by U.S. Treasury Notes, 1.750% – 2.000% due 09/30/2020 – 01/31/2023, valued at $396,780,082); expected proceeds $389,004,754 | 0.440 | % | 07/01/2016 | 07/01/2016 | $ | 389,000,000 | $ | 389,000,000 | ||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/24/2016 (collateralized by a U.S. Treasury Bill, 0.000% due 07/21/2016, U.S. Treasury Bonds, 2.500% – 6.750% due 08/15/2023 – 08/15/2045, and U.S. Treasury Notes, 0.500% – 3.750% due 07/15/2016 – 02/15/2023, valued at $255,000,005); expected proceeds $250,018,472 | 0.380 | % | 07/01/2016 | 07/01/2016 | 250,000,000 | 250,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/24/2016 (collateralized by a U.S. Treasury Bill, 0.000% due 07/21/2016, U.S. Treasury Bonds, 3.125% – 6.875% due 08/15/2025 – 02/15/2042, and U.S. Treasury Notes, 0.625% – 4.250% due 11/15/2017 – 06/30/2018, valued at $102,000,071); expected proceeds $100,007,000 | 0.360 | % | 07/01/2016 | 07/01/2016 | 100,000,000 | 100,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by a U.S. Treasury Bond, 3.625% due 08/15/2043, and U.S. Treasury Notes, 0.875% – 1.875% due | 0.440 | % | 07/01/2016 | 07/01/2016 | 138,000,000 | 138,000,000 | ||||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/27/2016 (collateralized by U.S. Treasury Strips, 0.000% due 08/15/2027 – 08/15/2039, valued at $153,001,270); expected proceeds $150,012,667 | 0.380 | % | 07/05/2016 | 07/05/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/29/2016 (collateralized by U.S. Treasury Strips, 0.000% due 08/15/2026 – 08/15/2040, valued at $255,002,500); expected proceeds $250,015,556 | 0.320 | % | 07/06/2016 | 07/06/2016 | 250,000,000 | 250,000,000 |
See accompanying notes to financial statements.
34
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with President and Fellows of Harvard College, dated 06/27/2016 (collateralized by a U.S. Treasury Note, 0.000% due 11/30/2017, valued at $150,773,277); expected proceeds $150,773,450 | 0.700 | % | 07/05/2016 | 07/05/2016 | $ | 150,750,000 | $ | 150,750,000 | ||||||||||||
Agreement with President and Fellows of Harvard College, dated 06/28/2016 (collateralized by U.S. Treasury Notes, 0.000% due 09/15/2017 – 12/31/2017, valued at $503,262,398); expected proceeds $504,688,779 | 0.650 | % | 07/05/2016 | 07/05/2016 | 504,625,000 | 504,625,000 | ||||||||||||||
Agreement with President and Fellows of Harvard College, dated 06/30/2016 (collateralized by U.S. Treasury Notes, 0.000% due 10/31/2020 – 09/30/2021, valued at $383,666,890); expected proceeds $382,887,061 | 0.620 | % | 07/01/2016 | 07/06/2016 | 382,847,500 | 382,847,500 | ||||||||||||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by a U.S. Treasury Inflation Index Note, 0.375% due 07/15/2023, and U.S. Treasury Notes, 1.625% – 2.375% due 03/31/2019 – 08/15/2024, valued at $102,000,099); expected proceeds $100,007,778 | 0.400 | % | 07/07/2016 | 07/07/2016 | 100,000,000 | 100,000,000 | ||||||||||||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by U.S. Treasury Inflation Index Bonds, 2.375% – 3.625% due 01/15/2025 – 04/15/2028, and a U.S. Treasury Note, 2.375% due 08/15/2024, valued at $171,360,030); expected proceeds $168,001,867 | 0.400 | % | 07/01/2016 | 07/01/2016 | 168,000,000 | 168,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS |
| 3,016,222,500 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS(e)(f) – 99.2% |
| 41,431,982,010 | ||||||||||||||||||
Other Assets in Excess of Liabilities – 0.8% |
| 318,479,537 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% |
| $ | 41,750,461,547 | |||||||||||||||||
|
|
(a) | Rate represents annualized yield at date of purchase. |
(b) | Rule 144A, Section 4(a)(2) or other security, which is restricted to resale to institutional investors. The Portfolio’s investment manager has deemed this security to be liquid based upon procedures approved by the Board of Trustees. These securities represent $4,407,739,674 or 10.6% of net assets as of June 30, 2016. |
(c) | Variable Rate Security – Interest rate shown is rate in effect at June 30, 2016. |
(d) | Illiquid security. These securities represent $1,145,000,000 or 2.7% of net assets as of June 30, 2016. |
(e) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2). |
(f) | Also represents the cost for federal tax purposes. |
See accompanying notes to financial statements.
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Table of Contents
State Street Money Market Portfolio
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investments in securities, at value and cost (Note 2) | $ | 35,431,759,510 | ||
Repurchase agreements, at amortized cost | 6,000,222,500 | |||
|
| |||
Total Investments | 41,431,982,010 | |||
Cash | 305,126,768 | |||
Interest receivable (Note 2) | 16,256,282 | |||
|
| |||
Total assets | 41,753,365,060 | |||
Liabilities | ||||
Advisory fee payable (Note 5) | 1,858,937 | |||
Custodian fees payable (Note 3) | 985,185 | |||
Professional fees payable | 17,506 | |||
Printing fee payable | 8,457 | |||
Accrued expenses and other liabilities | 33,428 | |||
|
| |||
Total liabilities | 2,903,513 | |||
|
| |||
Net Assets | $ | 41,750,461,547 | ||
|
|
See accompanying notes to financial statements.
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Table of Contents
State Street Money Market Portfolio
Statement of Operations
For the Six Months Ended June 30, 2016 (Unaudited)
Investment Income |
| |||
Interest income | $ | 34,127,184 | ||
Dividend income – unaffiliated issuers (Note 2) | 90,213,508 | |||
|
| |||
Total Investment Income (loss) | 124,340,692 | |||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 11,546,466 | |||
Administration and custody fees | 2,630,925 | |||
Trustees’ fees and expenses (Note 5) | 384,135 | |||
Professional fees | 113,970 | |||
Printing expense | 9,360 | |||
Insurance expense | 44,893 | |||
Miscellaneous expenses | 61,726 | |||
|
| |||
Total expenses | 14,791,475 | |||
|
| |||
Net Investment Income (loss) | 109,549,217 | |||
|
| |||
Realized Gain (loss): | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 35,306 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 109,584,523 | ||
|
|
See accompanying notes to financial statements.
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Table of Contents
State Street Money Market Portfolio
Statements of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Increase (decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 109,549,217 | $ | 71,094,797 | ||||
Net realized gain (loss) | 35,306 | 160,294 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 109,584,523 | 71,255,091 | ||||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 45,475,714,064 | 85,345,364,590 | ||||||
Withdrawals | (51,518,693,322 | ) | (78,437,231,019 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital transactions | (6,042,979,258 | ) | 6,908,133,571 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | (5,933,394,735 | ) | 6,979,388,662 | |||||
Net Assets at Beginning of Period | 47,683,856,282 | 40,704,467,620 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 41,750,461,547 | $ | 47,683,856,282 | ||||
|
|
|
|
See accompanying notes to financial statements.
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Table of Contents
State Street Money Market Portfolio
Financial Highlights
Selected data for a share outstanding throughout each period
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Total return(a) | 0.24 | % | 0.17 | % | 0.13 | % | 0.15 | % | 0.26 | % | 0.20 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 41,750,462 | $ | 47,683,856 | $ | 40,704,468 | $ | 34,053,304 | $ | 27,508,762 | $ | 22,780,186 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.06 | %(b) | 0.07 | % | 0.07 | % | 0.06 | % | 0.06 | % | 0.07 | % | ||||||||||||
Net expenses | 0.06 | %(b) | 0.07 | % | 0.07 | % | 0.06 | % | 0.06 | % | 0.07 | % | ||||||||||||
Net investment income (loss) | 0.47 | %(b) | 0.17 | % | 0.13 | % | 0.15 | % | 0.25 | % | 0.20 | %(c) |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Annualized. |
(c) | Results reflect the effect of expense waivers. Without these waivers, net investment income would have been lower. |
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Table of Contents
State Street Money Market Portfolio
Notes to Financial Statements
June 30, 2016 (Unaudited)
1. | Organization |
The State Street Master Funds (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on July 27, 1999.
As of June 30, 2016, the Trust consists of six (6) series each of which represents a separate series of beneficial interest in the Trust. State Street Money Market Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares at with no par value. The financial statements herein relate only to State Street Money Market 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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.
The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.
Because of the inherent uncertainties of valuation and under certain market conditions, the values reflected in the financial statements may differ from the value received upon actual sale of those investments and it is possible that the differences could be material.
Various inputs are used in determining the value of the Portfolio’s investments. The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or
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Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 Portfolio had no transfers between levels for the period ended June 30, 2016.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes.
All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.
Expenses
Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses, which cannot be attributed to a specific Portfolio 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 Portfolios within the Trust.
Distributions
Distributions from net investment income if any, are declared daily and are payable as of the last business day of each month. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
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State Street Master Funds
State Street Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
3. | Securities and Other Investments |
Repurchase Agreements
The Portfolio may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.
The Portfolio monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Portfolio’s principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.
As of June 30, 2016, the Portfolio had invested in repurchase agreements with the gross values of $6,000,222,500 and associated collateral equal to at least $6,141,724,761, though the value may be greater.
4. | Fees and Transactions with Affiliates |
Advisory Fee
The Trust has entered into an investment advisory agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
Administrator and Sub-Administrator
SSGA FM serves as administrator and State Street serves as custodian, sub-administrator and transfer agent. SSGA FM and State Street receive an annual fee for their services as administrator, custodian, sub-administrator and transfer agent, respectively. The annual fee is accrued daily and payable monthly at the following fee rate:
Asset Levels | Annual percentage of average aggregate monthly net assets | |
First $400 million | 0.03% | |
Next $15 billion | 0.02% | |
Thereafter | 0.01% | |
Minimum annual fee per Portfolio | $150,000 |
The minimum fee will be calculated by multiplying the minimum per portfolio fee by the number of portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the portfolios. SSGA FM and State Street each receive a portion of the fee.
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State Street Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
5. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6. | Income Tax Information |
The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, gains and losses of the Portfolio is deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
At June 30, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
7. | Risks |
Concentration Risk
As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.
Market, Credit and Counterparty Risk
In the normal course of business, the Portfolio trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults. The value of securities held by the Portfolio may decline in response to certain events, including those directly involving the companies whose securities are owned by the Portfolio; 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).
Financial assets, which potentially expose the Portfolio to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolio’s exposure to
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State Street Master Funds
State Street Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Portfolio’s Statement of Assets and Liabilities, less any collateral held by the Portfolio.
8. | Rule Issuance |
On July 23, 2014, the U.S. Securities and Exchange Commission (the “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 effective in October 2016. The rule changes also allow for certain liquidity-based redemption fees and gates, 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 Portfolio’s financial statements related disclosure.
9. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements other than below.
On May 20, 2016, the Board approved an Agreement and Plan of Reorganization (the “Plan”) whereby the SSGA Prime Money Market Fund and SSGA Money Market Fund, each a series of SSGA Funds, will merge with and into the State Street Institutional Liquid Reserve Fund, a series of State Street Institutional Investment Trust, and a feeder fund of State Street Money Market Portfolio, a series of State Street Master Trust, as set forth below effective August 26, 2016:
Selling Funds (Acquired Funds) | Buying Fund (Acquiring Fund) | Acquiring Master Portfolio | ||
SSGA Prime Money Market Fund SSGA Money Market Fund | State Street Institutional Liquid Reserves Fund | State Street Money Market Portfolio |
A regulatory filing with respect to the reorganization was issued on May 25, 2016. On August 22, 2016, the shareholders of the SSGA Funds (Selling Funds) approved the reorganization effective August 26, 2016.
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State Street Money Market Portfolio
Other Information
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Money Market Portfolio | 0.06 | % | $ | 1,002.40 | $ | 0.30 | $ | 1,024.60 | $ | 0.30 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
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State Street Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iii) at the U.S. Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how 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 Portfolio will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Portfolio’s semi-annual and annual financial statements. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iii) at the Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.
Monthly Portfolio Schedule
The Portfolio files its monthly portfolio holdings with the U.S. Securities and Exchange Commission on Form N-MFP. The SEC delays the public availability of the information filed on Form N-MFP for 60 days after the end of the reporting period included in the filing. The Portfolio’s Form N-MFP is available (i) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (ii) at the Securities and Exchange Commission’s public reference room.
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State Street Money Market Portfolio
Other Information — (continued)
June 30, 2016 (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 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 on April 14-15, 2016 and May 19-20, 2016, including in Executive Sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to each portfolio series of each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). 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 who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 14-15, 2016 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 19-20, 2016 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, 2015, 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; |
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 Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
2 | 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 Master Funds
State Street Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
• | 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 |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
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; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | 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 services provided to the Funds by SSGA FM in its capacity as the Fund’s Administrator; |
• | 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, sub-administrator, fund |
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Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
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; |
• | Draft responses to a letter 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: |
• | SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to the Funds and its approximate profit margins 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, 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 SSGA FM and State Street with respect to State Street Master Funds and State Street Institutional Investment Trust, and the Distributor with respect to State Street Institutional Investment Trust, providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 19-20, 2016; |
• | Materials provided by Broadridge Financial Solutions, Inc., the successor by acquisition to the producer of Lipper materials used in previous years (“Broadridge”), 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 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.
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Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
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 19-20, 2016 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, 2016, 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. With respect to certain 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 extraordinary market conditions, and the Board noted that it was being asked to approve a floating net asset value for certain other money market funds. 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 SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the 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, 2015 by evaluating the performance of the Funds’ 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
50
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
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.
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, including the portion attributable to administrative services provided by SSGA FM, and total expense ratio (both before and after giving effect to any expense caps), as compared to its “Expense Group” and “Expense Universe,” as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser 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.
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 SSGA FM and Affiliated Service Providers, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
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 Master Funds
State Street Money Market Portfolio
Other Information — (continued)
June 30, 2016 (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
Michael F. Holland
Michael A. Jessee
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 and Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
800 Boylston Street
Boston, MA 02199
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Master Funds State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSITILRMMSAR IBG-20873 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
Semi-Annual Report
30 June 2016
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Semi-Annual Report
June 30, 2016 (Unaudited)
1 | ||||
2 | ||||
3 | ||||
4 | ||||
6 | ||||
12 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets |
| |||
Investment in corresponding Portfolio, at value (Note 1) | $ | 1,469,666,864 | ||
Receivable from Adviser (Note 3) | 86,203 | |||
|
| |||
Total assets | 1,469,753,067 | |||
Liabilities |
| |||
Administration fees payable (Note 3) | 135,606 | |||
Shareholder servicing fee payable (Note 3) | 13,217 | |||
Distribution fees payable (Note 3) | 4,869 | |||
Transfer agent fees payable (Note 3) | 6,621 | |||
Distribution payable | 8,394 | |||
Registration and filing fees payable | 3,025 | |||
Professional fees payable | 9,521 | |||
Printing fee payable | 54,764 | |||
Accrued expenses and other liabilities | 10,693 | |||
|
| |||
Total liabilities | 246,710 | |||
|
| |||
Net Assets | $ | 1,469,506,357 | ||
|
| |||
Net Assets Consist of: |
| |||
Paid-in Capital | $ | 1,469,507,197 | ||
Accumulated net realized gain (loss) on investments | (840 | ) | ||
|
| |||
Net Assets | $ | 1,469,506,357 | ||
|
| |||
Premier Class |
| |||
Net assets | $ | 1,412,373,709 | ||
Shares outstanding | 1,412,498,286 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investment Class |
| |||
Net assets | $ | 57,132,648 | ||
Shares outstanding | 57,156,834 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
1
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
For the Six Months Ended June 30, 2016 (Unaudited)
Income and Expenses allocated from Portfolio | ||||
Interest income allocated from Portfolio (Note 2) | $ | 2,341,884 | ||
Expenses allocated from Portfolio (Note 2) | (695,160 | ) | ||
|
| |||
Total investment income (loss) allocated from portfolio | 1,646,724 | |||
|
| |||
Expenses |
| |||
Administration fees (Note 3) | 419,351 | |||
Shareholder servicing fees (Note 3) | ||||
Investment Class | 68,176 | |||
Distribution fees (Note 3) | ||||
Premier Class | 12 | |||
Investment Class | 27,270 | |||
Custodian fees (Note 3) | 7,559 | |||
Trustees’ fees and expenses (Note 4) | 7,897 | |||
Transfer agent fees (Note 3) | 26,469 | |||
Registration and filing fees | 33,837 | |||
Professional fees | 17,606 | |||
Printing expense | 20,573 | |||
Insurance expense | 5,287 | |||
Miscellaneous expenses | 9,269 | |||
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| |||
Total expenses | 643,306 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 3) | (230,528 | ) | ||
Shareholder servicing fees waived | ||||
Investment Class | (25,182 | ) | ||
Distribution fees waived | ||||
Investment Class | (27,270 | ) | ||
|
| |||
Net Expenses | 360,326 | |||
|
| |||
Net Investment Income (Loss) | 1,286,398 | |||
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| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 1,286,398 | ||
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|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
2
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Statements of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 1,286,398 | $ | 46,247 | ||||
Net realized gain (loss) | – | 695 | ||||||
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Net increase (decrease) in net assets resulting from operations | 1,286,398 | 46,942 | ||||||
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Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | (1,286,398 | ) | (46,249 | ) | ||||
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From Beneficial Interest Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 2,926,017,855 | 10,751,778,055 | ||||||
Reinvestment of distributions | 1,174,435 | 40,118 | ||||||
Shares redeemed | (3,199,470,186 | ) | (11,758,126,363 | ) | ||||
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| |||||
Net increase (decrease) from capital share transactions | (272,277,896 | ) | (1,006,308,190 | ) | ||||
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| |||||
Investment Class | ||||||||
Shares sold | 90,700,703 | 222,890,448 | ||||||
Shares redeemed | (93,609,056 | ) | (237,630,175 | ) | ||||
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| |||||
Net increase (decrease) from capital share transactions | (2,908,353 | ) | (14,739,727 | ) | ||||
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| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | (275,186,249 | ) | (1,021,047,917 | ) | ||||
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Net Increase (Decrease) in Net Assets During the Period | (275,186,249 | ) | (1,021,047,224 | ) | ||||
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Net Assets at Beginning of Period | 1,744,692,606 | 2,765,739,830 | ||||||
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Net Assets at End of Period | $ | 1,469,506,357 | $ | 1,744,692,606 | ||||
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Undistributed (distribution in excess of) net investment income (loss) | $ | – | $ | – | ||||
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Shares of Beneficial Interest: | ||||||||
Premier Class | ||||||||
Shares sold | 2,926,017,855 | 10,751,778,055 | ||||||
Reinvestment of distributions | 1,174,435 | 40,118 | ||||||
Shares redeemed | (3,199,470,186 | ) | (11,758,126,363 | ) | ||||
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Net increase (decrease) from share transactions | (272,277,896 | ) | (1,006,308,190 | ) | ||||
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Investment Class | ||||||||
Shares sold | 90,700,703 | 222,890,448 | ||||||
Shares redeemed | (93,609,056 | ) | (237,630,175 | ) | ||||
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| |||||
Net increase (decrease) from share transactions | (2,908,353 | ) | (14,739,727 | ) | ||||
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|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
3
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Selected data for a share outstanding throughout each period(a)
Premier Class | ||||||||||||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.0008 | 0.0000 | (b) | 0.0000 | (b) | (0.0001 | ) | 0.0002 | 0.0001 | |||||||||||||||
Net realized gain (loss) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0001 | 0.0000 | (b) | 0.0000 | (b) | |||||||||||||
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Total from investment operations | 0.0008 | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0002 | 0.0001 | |||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | (0.0008 | ) | 0.0000 | (b) | – | 0.0000 | (b) | (0.0002 | ) | (0.0001 | ) | |||||||||||||
Net realized gains | – | – | – | 0.0000 | (b) | – | – | |||||||||||||||||
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Total Distributions | (0.0008 | ) | 0.0000 | (b) | – | 0.0000 | (b) | (0.0002 | ) | (0.0001 | ) | |||||||||||||
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Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total Return(c) | 0.08 | % | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.02 | % | 0.01 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in 000s) | $ | 1,412,374 | $ | 1,684,652 | $ | 2,690,959 | $ | 2,679,596 | $ | 2,203,141 | $ | 1,220,159 | ||||||||||||
Ratios to average net assets(a): | ||||||||||||||||||||||||
Total expenses | 0.15 | %(e) | 0.14 | % | 0.13 | % | 0.13 | % | 0.14 | % | 0.14 | % | ||||||||||||
Net expenses | 0.12 | %(e) | 0.06 | % | 0.05 | % | 0.08 | % | 0.11 | % | 0.06 | % | ||||||||||||
Net investment income (loss) | 0.16 | %(e) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.02 | % | 0.01 | % |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Amount is less than $0.00005 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. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005% per share. |
(e) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
4
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Investment Class | ||||||||||||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Income (loss) from Investment Operations | ||||||||||||||||||||||||
Net investment income (loss) | – | 0.0000 | (b) | 0.0000 | (b) | (0.0001 | ) | 0.0000 | (b) | 0.0000 | (b) | |||||||||||||
Net realized gain (loss) | – | 0.0000 | (b) | 0.0000 | (b) | 0.0001 | 0.0000 | (b) | 0.0000 | (b) | ||||||||||||||
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Total from investment operations | – | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | |||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||
Net realized gains | – | – | – | (0.0000 | )(b) | – | – | |||||||||||||||||
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Total distributions | – | – | – | (0.0000 | )(b) | – | – | |||||||||||||||||
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Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total Return(c) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 57,133 | $ | 60,041 | $ | 74,781 | $ | 73,449 | $ | 95,222 | $ | 141,023 | ||||||||||||
Ratios to average net assets(a): | ||||||||||||||||||||||||
Total expenses | 0.50 | %(e) | 0.49 | % | 0.48 | % | 0.48 | % | 0.49 | % | 0.49 | % | ||||||||||||
Net expenses | 0.28 | %(e) | 0.06 | % | 0.05 | % | 0.08 | % | 0.13 | % | 0.08 | % | ||||||||||||
Net investment income (loss) | 0.00 | %(d)(e) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Amount is less than $0.00005 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. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005% per share. |
(e) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
5
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
June 30, 2016 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on February 16, 2000.
As of June 30, 2016, the Trust consists of fifty-one (51) series and corresponding classes, each of which have the same rights and privileges, including voting rights. State Street Institutional Treasury Plus Money Market Fund (the “Fund”) is authorized to issue an unlimited number of shares at with no par value. The financial statements herein relate only to:
Fund | Classes | Commencement of Operations | Diversification Classification | |||
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 | Diversified |
The Fund is part of a master-feeder structure and invests substantially all of its assets in the State Street Treasury Plus Money Market Portfolio (the “Portfolio”), a separate series of State Street Master Funds. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio, (100.00% at June 30, 2016). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.
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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
6
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Security Valuation
The Fund records its investments in its Portfolio at value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.
The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.
The summary of the inputs used for the Portfolio, as of June 30, 2016, in valuing the 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 the trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of its Portfolio less expenses of the Fund.
Expenses
Certain expenses, which are directly identifiable to a specific fund, are applied to the fund within the Trust. 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 relative net assets of the Funds within the Trust.
The Fund is allocated a pro-rata share of the expense of its Portfolio. Class specific expenses are borne by each class.
Distributions
Distributions from net investment income if any, are declared daily and are payable as of the last business day of each month. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Fees and Transactions with Affiliates |
Advisory Fee
The Portfolio retained 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”), as its
7
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
investment adviser. The Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio 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, 2017 to waive its management fee and/or to reimburse the Fund for expenses to the extent that total annual fund operating expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and any class specific expenses such as Distribution, Shareholder Servicing, Administration, and Sub-Transfer Agency Fees, as measured on an annualized basis) exceed 0.07% of average daily net assets on an annual basis. The waiver and/or reimbursement may not be terminated during the relevant period except with approval of the Board. For the period ended June 30, 2016, the Adviser did not reduce its fees or reimburse expenses of the Fund.
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 period ended June 30, 2016, the Adviser voluntarily waived $230,528.
Under the terms of the reimbursement agreement the 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, 2016, SSGA FM has not recouped any expenses from the Fund. Waived/reduced fees subject to potential recovery by year of expiration are as follows:
Expiration Date | Amount | |||
12/31/2016 | $ | 1,004,830 | ||
12/31/2017 | $ | 1,802,611 | ||
12/31/2018 | $ | 1,116,105 | ||
12/31/2019 | $ | 230,528 |
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street serves as custodian and sub-administrator. For its administration services, the Fund pays a fee at an annual rate of 0.05% of its average daily net assets to SSGA FM. The Fund pays State Street an annual fee for custody services for the Fund. SSGA FM pays an annual fee to State Street for sub-administration services provided to the Fund.
8
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Distribution Fees
State Street Global Markets LLC serves as the Fund’s distributor (“SSGM” or the “Distributor”) pursuant to the Distribution Agreement between SSGM and the Trust. The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which a Fund may compensate the Distributor (or others) for services in connection with the distribution of a Fund’s 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 0.10% of the Fund’s net assets attributable to its Investment Class shares. In addition to payments under the Plan, the Fund may reimburse the Distributor or its affiliates for payments it makes to financial intermediaries that provide certain administrative, recordkeeping, and account maintenance.
During the period ended June 30, 2016, the Fund was charged $27,270 but did not make any payments to SSGM under the Rule 12b-1 Plan, as SSGM voluntarily agreed to waive the entire amount of the Rule 12b-1 fees.
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 period ended June 30, 2016, SSGM paid $29,140 to WMS.
Under the Fund’s Shareholder Servicing Plan, the Fund compensates financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Fund’s 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 period ended June 30, 2016, the Fund paid SSGM $49,965 under the shareholder servicing agreement which SSGM subsequently paid to financial intermediaries.
During the period ended June 30, 2016, SSGM voluntarily agreed to waive shareholder services fees of $25,182.
Transfer Agent Fees
Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer agent and dividend paying agent to the Fund. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.
4. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
5. | Income Tax Information |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. 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. Therefore, no provision for federal income tax is required.
9
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
At June 30, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
6. | Risks |
Concentration Risk
As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Market, Credit and Counterparty Risk
In the normal course of business, the Fund trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults. 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).
Financial assets, which potentially expose the Fund to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statement of Assets and Liabilities, less any collateral held by the Fund.
7. | Rule Issuance |
On July 23, 2014, the U.S. Securities and Exchange Commission (the “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 effective in October 2016. The rule changes also allow for certain liquidity-based redemption fees and gates, and include enhanced requirements for disclosure and stress testing.
10
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 Fund’s financial statements related disclosure.
8. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statement other than below:
On May 20, 2016, the Board approved an Agreement and Plan of Reorganization (the “Plan”) whereby the SSGA U.S. Treasury Money Market Fund, a series of SSGA Funds, will merge with and into the State Street Institutional Treasury Plus Money Market Fund, a series of State Street Institutional Investment Trust, as set forth below effective August 26, 2016:
Selling Fund (Acquired Fund) | Buying Fund (Acquiring Fund) | |
SSGA U.S. Treasury Money Market Fund | State Street Institutional Treasury Plus Money Market Fund |
A regulatory filing with respect to the reorganization was issued on May 25, 2016. On August 22, 2016, the shareholders of the SSGA Funds (Selling Fund) approved the reorganization effective August 26, 2016.
11
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Institutional Treasury Plus Money Market Fund | ||||||||||||||||||||
Premier Class | 0.12 | % | $ | 1,000.80 | $ | 0.60 | $ | 1,024.30 | $ | 0.60 | ||||||||||
Investment Class | 0.28 | 1,000.00 | 1.39 | 1,023.50 | 1.41 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
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State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities are contained in the Fund’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the U.S. Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. 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 Fund will file its complete schedule of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedule of investments is available in the Fund’s semi-annual and annual financial statements. The Fund’s Form N-Q is available (i) without charge, upon request, by calling the Fund at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.
Monthly Portfolio Schedule
The Fund files its monthly portfolio holdings with the U.S. Securities and Exchange Commission on Form N-MFP. The SEC delays the public availability of the information filed on Form N-MFP for 60 days after the end of the reporting period included in the filing. The Fund’s Form N-MFP is available (i) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or ii) at the Securities and Exchange Commission’s public reference room.
13
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2016 (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 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 on April 14-15, 2016 and May 19-20, 2016, including in Executive Sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to each portfolio series of each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). 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 who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 14-15, 2016 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 19-20, 2016 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 the Fund: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2015, 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; |
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 Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
2 | 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
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
• | 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 the Fund and (b) affiliates of the Adviser that provide services to the Fund (“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 |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
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 Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; 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 services provided to the Fund by SSGA FM in its capacity as the Fund’s Administrator; |
• | Information concerning the nature, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, transfer agent and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
15
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
• | Draft responses to a letter 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: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the Fund’s last fiscal year; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the Fund’s 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 Funds, with respect to its operations relating to the Fund; 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 Fund, together with the Fund’s related distribution plans and arrangements under SEC Rule 12b-1; |
• | Information from SSGA FM and State Street with respect to State Street Master Funds and State Street Institutional Investment Trust, and the Distributor with respect to State Street Institutional Investment Trust, providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 19-20, 2016; |
• | Materials provided by Broadridge Financial Solutions, Inc., the successor by acquisition to the producer of Lipper materials used in previous years (“Broadridge”), circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund 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 the Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the 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 the Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 19-20, 2016 the Board, including a majority of the
16
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
Independent Trustees, voted to approve the adoption of, as applicable, and the continuation of the Advisory Agreements effective June 1, 2016, 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 the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the 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 certain Funds that operate as money market mutual funds, the Board considered the Adviser’s success in maintaining the constant dollar value of the Fund through extraordinary market conditions, and the Board noted that it was being asked to approve a floating net asset value for certain other money market funds. 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 SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring the 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 the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2015. For purposes of these comparisons the Independent Trustees relied extensively on the “Performance Group,” “Performance Universe” and “Broadridge Index” constructed by Broadridge for the Fund and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the Fund:
The Money Market Funds, Generally. 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,
17
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
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.
State Street Institutional Treasury Plus Money Market Fund. The Board considered that the Fund (a) underperformed the median of its Performance Group for the 3-year period and the median of its Performance Universe and its Broadridge Index for the 1- and 3-year periods and (b) equaled the median of its Performance Group for the 1- and 5-year periods and its Performance Universe and Broadridge Index for the 5-year period. The Board took into account management’s discussion of the Fund’s performance.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory 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 the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee, including the portion attributable to administrative services provided by SSGA FM, and total expense ratio (both before and after giving effect to any expense caps), as compared to its “Expense Group” and “Expense Universe,” as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the 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 the Fund:
State Street Institutional Treasury Plus Money Market Fund. The Board considered that the Fund’s actual management fee was above the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the medians of its Expense Group and Expense Universe. The Board took into account management’s discussion of the Fund’s expenses.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services provided by the Adviser, the Board concluded that the fees and the expense ratio of the 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 the Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
18
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
The Board concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, 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 the 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 the Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with respect to the Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of the 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 the 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.
19
Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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
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
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
Semi-Annual Report
30 June 2016
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Semi-Annual Report
June 30, 2016 (Unaudited)
23 | ||||
24 | ||||
26 | ||||
27 | ||||
28 | ||||
29 | ||||
30 | ||||
35 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Portfolio Composition* | June 30, 2016 | |||
Treasury Debt | 71.1 | % | ||
Treasury Repurchase Agreements | 22.1 | |||
Other Assets in Excess of Liabilities | 6.8 | |||
Total | 100.0 | % |
Maturity Ladder* | June 30, 2016 | |||
Overnight (1 Day) | 22.1 | % | ||
2 to 30 Days | 32.0 | |||
31 to 60 Days | 11.2 | |||
61 to 90 Days | 8.9 | |||
Over 90 Days | 19.0 | |||
Total | 93.2 | % | ||
Average days to maturity | 19 | |||
Weighted average life | 78 |
* | 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.
23
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY DEBT – 71.1% | ||||||||||||||||||||
U.S. Treasury Bill(a) | 0.228 | % | 07/21/2016 | 07/21/2016 | $ | 126,000,000 | $ | 125,983,442 | ||||||||||||
U.S. Treasury Bill(a) | 0.228 | % | 08/04/2016 | 08/04/2016 | 30,000,000 | 29,993,618 | ||||||||||||||
U.S. Treasury Bill(a) | 0.230 | % | 08/11/2016 | 08/11/2016 | 35,000,000 | 34,990,547 | ||||||||||||||
U.S. Treasury Bill(a) | 0.238 | % | 07/14/2016 | 07/14/2016 | 62,000,000 | 61,994,905 | ||||||||||||||
U.S. Treasury Bill(a) | 0.248 | % | 07/07/2016 | 07/07/2016 | 175,000,000 | 174,993,960 | ||||||||||||||
U.S. Treasury Bill(a) | 0.250 | % | 07/28/2016 | 07/28/2016 | 107,000,000 | 106,980,206 | ||||||||||||||
U.S. Treasury Bill(a) | 0.260 | % | 09/29/2016 | 09/29/2016 | 35,000,000 | 34,977,250 | ||||||||||||||
U.S. Treasury Bill(a) | 0.270 | % | 09/15/2016 | 09/15/2016 | 35,000,000 | 34,980,050 | ||||||||||||||
U.S. Treasury Bill(a) | 0.271 | % | 09/22/2016 | 09/22/2016 | 35,000,000 | 34,978,182 | ||||||||||||||
U.S. Treasury Bill(a) | 0.275 | % | 08/18/2016 | 08/18/2016 | 50,000,000 | 49,981,667 | ||||||||||||||
U.S. Treasury Bill(a) | 0.285 | % | 09/08/2016 | 09/08/2016 | 25,000,000 | 24,986,344 | ||||||||||||||
U.S. Treasury Bill(a) | 0.340 | % | 09/01/2016 | 09/01/2016 | 35,000,000 | 34,979,506 | ||||||||||||||
U.S. Treasury Bill(a) | 0.350 | % | 08/25/2016 | 08/25/2016 | 40,000,000 | 39,978,611 | ||||||||||||||
U.S. Treasury Note(b) | 0.313 | % | 07/01/2016 | 10/31/2016 | 25,000,000 | 24,997,935 | ||||||||||||||
U.S. Treasury Note(b) | 0.330 | % | 07/01/2016 | 07/31/2016 | 10,000,000 | 10,000,104 | ||||||||||||||
U.S. Treasury Note(b) | 0.334 | % | 07/01/2016 | 04/30/2017 | 24,430,000 | 24,430,058 | ||||||||||||||
U.S. Treasury Note(b) | 0.337 | % | 07/01/2016 | 07/31/2017 | 59,000,000 | 58,982,185 | ||||||||||||||
U.S. Treasury Note(b) | 0.344 | % | 07/01/2016 | 01/31/2017 | 65,500,000 | 65,508,518 | ||||||||||||||
U.S. Treasury Note(b) | 0.428 | % | 07/01/2016 | 10/31/2017 | 37,000,000 | 36,973,205 | ||||||||||||||
U.S. Treasury Note(b) | 0.450 | % | 07/01/2016 | 04/30/2018 | 15,131,000 | 15,131,549 | ||||||||||||||
U.S. Treasury Note(b) | 0.532 | % | 07/01/2016 | 01/31/2018 | 18,500,000 | 18,540,594 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY DEBT | 1,044,362,436 | |||||||||||||||||||
|
| |||||||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 22.1% | ||||||||||||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by U.S. Treasury Notes, 1.625% –2.500% due 06/30/2017 – 11/30/2021, valued at $51,000,010); expected proceeds $50,000,542 | 0.390 | % | 07/01/2016 | 07/01/2016 | 50,000,000 | 50,000,000 | ||||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/30/2016 (collateralized by U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 04/15/2018 – 01/15/2026, valued at $51,003,489); expected proceeds $50,000,500 | 0.360 | % | 07/01/2016 | 07/01/2016 | 50,000,000 | 50,000,000 | ||||||||||||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by U.S. Treasury Notes, 0.625% – 1.875% due 09/30/2017 – 08/31/2022, valued at $127,500,003); expected proceeds $125,001,389 | 0.400 | % | 07/01/2016 | 07/01/2016 | 125,000,000 | 125,000,000 | ||||||||||||||
See accompanying notes to financial statements.
24
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by a U.S. Treasury Bond, 4.500% due 02/15/2036, and U.S. Treasury Notes, 1.000% – 2.500% due 11/30/2017 – 02/15/2026, valued at $102,001,176); expected proceeds $100,001,056 | 0.380 | % | 07/01/2016 | 07/01/2016 | $ | 100,000,000 | $ | 100,000,000 | ||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS |
| 325,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS(c)(d) – 93.2% | 1,369,362,436 | |||||||||||||||||||
Other Assets in Excess of Liabilities – 6.8% |
| 100,305,453 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% | $ | 1,469,667,889 | ||||||||||||||||||
|
|
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security – Interest rate shown is rate in effect at June 30, 2016. |
(c) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2). |
(d) | Also represents the cost for federal tax purposes. |
See accompanying notes to financial statements.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investments in securities, at value and cost (Note 2) | $ | 1,044,362,436 | ||
Repurchase agreements, at amortized cost | 325,000,000 | |||
|
| |||
Total Investments | 1,369,362,436 | |||
Cash | 100,277,617 | |||
Dividends and interest receivable (Note 2) | 171,876 | |||
|
| |||
Total assets | 1,469,811,929 | |||
Liabilities | ||||
Advisory fee payable (Note 4) | 65,874 | |||
Custodian fees payable (Note 4) | 31,070 | |||
Professional fees payable | 17,505 | |||
Printing fee payable | 8,939 | |||
Accrued expenses and other liabilities | 20,652 | |||
|
| |||
Total liabilities | 144,040 | |||
|
| |||
Net Assets | $ | 1,469,667,889 | ||
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
For the Six Months Ended June 30, 2016 (Unaudited)
Investment Income | ||||
Interest income | $ | 2,341,885 | ||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 453,363 | |||
Administration and custody fees | 112,594 | |||
Trustees’ fees and expenses (Note 5) | 15,627 | |||
Professional fees | 67,778 | |||
Printing expense | 2,429 | |||
Insurance expense | 6,248 | |||
Miscellaneous expenses | 37,120 | |||
|
| |||
Total expenses | 695,159 | |||
|
| |||
Net Investment Income (Loss) | 1,646,726 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 1,646,726 | ||
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Statements of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 1,646,726 | $ | (248,077 | ) | |||
Net realized gain (loss) | – | 695 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 1,646,726 | (247,382 | ) | |||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 2,421,955,579 | 8,379,100,091 | ||||||
Withdrawals | (2,698,748,218 | ) | (9,399,568,878 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Capital Transactions | (276,792,639 | ) | (1,020,468,787 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets during the Period | (275,145,913 | ) | (1,020,716,169 | ) | ||||
|
|
|
| |||||
Net Assets at Beginning of Period | 1,744,813,802 | 2,765,529,971 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 1,469,667,889 | $ | 1,744,813,802 | ||||
|
|
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Selected data for a share outstanding throughout each period
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Total Return(a) | 0.10 | % | (0.01 | )% | (0.02 | )% | 0.00 | %(b) | 0.06 | % | 0.00 | %(b) | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period | $ | 1,469,668 | $ | 1,744,814 | $ | 2,765,530 | $ | 2,753,017 | $ | 2,298,541 | $ | 1,361,158 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.08 | %(c) | 0.07 | % | 0.07 | % | 0.07 | % | 0.08 | % | 0.08 | % | ||||||||||||
Net expenses | 0.08 | %(c) | 0.07 | % | 0.07 | % | 0.07 | % | 0.08 | % | 0.08 | % | ||||||||||||
Net investment | 0.18 | %(c) | (0.01 | )% | (0.02 | )% | 0.00 | %(b) | 0.06 | % | (0.01 | )%(d) |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Amount is less than 0.005% per share. |
(c) | Annualized. |
(d) | Results reflect the effect of expense waivers. Without these waivers, net investment income would have been lower. |
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
June 30, 2016 (Unaudited)
1. | Organization |
The State Street Master Funds (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on July 27, 1999.
As of June 30, 2016, the Trust consists of six (6) series each of which represents a separate series of beneficial interest in the Trust. State Street Treasury Plus Money Market Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares at with no par value. The financial statements herein relate only to State Street Treasury Plus Money Market 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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.
The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.
Because of the inherent uncertainties of valuation and under certain market conditions, the values reflected in the financial statements may differ from the value received upon actual sale of those investments and it is possible that the differences could be material.
Various inputs are used in determining the value of the Portfolio’s investments. The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or
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State Street Treasury Plus Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 Portfolio had no transfers between levels for the period ended June 30, 2016.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes.
All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.
Expenses
Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses, which cannot be attributed to a specific Portfolio 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 Portfolios within the Trust.
Distributions
Distributions from net investment income if any, are declared daily and are payable as of the last business day of each month. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
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State Street Treasury Plus Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
3. | Securities and Other Investments |
Repurchase Agreements
The Portfolio may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.
The Portfolio monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Portfolio’s principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.
As of June 30, 2016, the Portfolio had invested in repurchase agreements with the gross values of $325,000,000 and associated collateral equal to at least $331,504,678, though the value may be greater.
4. | Fees and Transactions with Affiliates |
Advisory Fee
The Trust has entered into an investment advisory agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street serves as custodian, sub-administrator and transfer agent. SSGA FM and State Street receive an annual fee for their services as administrator, custodian, sub-administrator and transfer agent, respectively. The annual fee is accrued daily and payable monthly at the following fee rate:
Asset Levels | Annual percentage of average aggregate monthly net assets | |
First $400 million | 0.03% | |
Next $15 billion | 0.02% | |
Thereafter | 0.01% | |
Minimum annual fee per Portfolio | $150,000 |
The minimum fee will be calculated by multiplying the minimum per portfolio fee by the number of portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the portfolios. SSGA FM and State Street each receive a portion of the fee.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
5. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6. | Income Tax Information |
The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, gains and losses of the Portfolio is deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
At June 30, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
7. | Risks |
Concentration Risk
As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.
Market, Credit and Counterparty Risk
In the normal course of business, the Portfolio trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults. The value of securities held by the Portfolio may decline in response to certain events, including those directly involving the companies whose securities are owned by the Portfolio; 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).
Financial assets, which potentially expose the Portfolio to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolio’s exposure to
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State Street Treasury Plus Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Portfolio’s Statement of Assets and Liabilities, less any collateral held by the Portfolio.
8. | Rule Issuance |
On July 23, 2014, the U.S. Securities and Exchange Commission (the “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 effective in October 2016. The rule changes also allow for certain liquidity-based redemption fees and gates, 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 Portfolio’s financial statements related disclosure.
9. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements other than below.
On May 20, 2016, the Board approved an Agreement and Plan of Reorganization (the “Plan”) whereby the SSGA U.S. Treasury Money Market Fund, a series of SSGA Funds, will merge with and into the State Street Institutional Treasury Plus Money Market Fund, a series of State Street Institutional Investment Trust, and a feeder fund of State Street Treasury Plus Money Market Portfolio, a series of State Street Master Trust, as set forth below effective August 26, 2016:
Selling Fund (Acquired Fund) | Buying Fund (Acquiring Fund) | Acquiring Master Portfolio | ||
SSGA U.S. Treasury Money Market Fund | State Street Institutional Treasury Plus Money Market Fund | State Street Treasury Plus Money Market Portfolio |
A regulatory filing with respect to the reorganization was issued on May 25, 2016. On August 22, 2016, the shareholders of the SSGA Funds (Selling Funds) approved the reorganization effective August 26, 2016.
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State Street Treasury Plus Money Market Portfolio
June 30, 2016 (Unaudited)
EXPENSE EXAMPLE
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Treasury Plus Money Market Portfolio | 0.08 | % | $ | 1,001.00 | $ | 0.40 | $ | 1,024.50 | $ | 0.40 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
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State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iii) at the U.S. Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how 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 Portfolio will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Portfolio’s semi-annual and annual financial statements. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iii) at the Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.
Monthly Portfolio Schedule
The Portfolio files its monthly portfolio holdings with the U.S. Securities and Exchange Commission on Form N-MFP. The SEC delays the public availability of the information filed on Form N-MFP for 60 days after the end of the reporting period included in the filing. The Portfolio’s Form N-MFP is available (i) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (ii) at the Securities and Exchange Commission’s public reference room.
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State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2016 (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 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 on April 14-15, 2016 and May 19-20, 2016, including in Executive Sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to each portfolio series of each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). 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 who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 14-15, 2016 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 19-20, 2016 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, 2015, 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; |
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 Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
2 | 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 Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
• | 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 |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
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; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | 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 services provided to the Funds by SSGA FM in its capacity as the Fund’s Administrator; |
• | 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, sub-administrator, fund |
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State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
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; |
• | Draft responses to a letter 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: |
• | SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to the Funds and its approximate profit margins 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, 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 SSGA FM and State Street with respect to State Street Master Funds and State Street Institutional Investment Trust, and the Distributor with respect to State Street Institutional Investment Trust, 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 from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 19-20, 2016; |
• | Materials provided by Broadridge Financial Solutions, Inc., the successor by acquisition to the producer of Lipper materials used in previous years (“Broadridge”), 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 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.
39
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
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 19-20, 2016 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, 2016, 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. With respect to certain 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 extraordinary market conditions, and the Board noted that it was being asked to approve a floating net asset value for certain other money market funds. 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 SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the 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, 2015 by evaluating the performance of the Funds’ 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
40
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
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.
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, including the portion attributable to administrative services provided by SSGA FM, and total expense ratio (both before and after giving effect to any expense caps), as compared to its “Expense Group” and “Expense Universe,” as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser 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.
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 SSGA FM and Affiliated Service Providers, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
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
41
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
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.
42
Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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 and Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
800 Boylston Street
Boston, MA 02199
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Master Funds State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSITTRPLMMSAR IBG-20874 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
Semi-Annual Report
30 June 2016
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Semi-Annual Report
June 30, 2016 (Unaudited)
1 | ||||
2 | ||||
3 | ||||
4 | ||||
6 | ||||
11 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investment in corresponding Portfolio, at value (Note 1) | $ | 11,685,344,399 | ||
Receivable for fund shares sold | 449,252 | |||
Receivable from Adviser (Note 3) | 90,762 | |||
|
| |||
Total assets | 11,685,884,413 | |||
Liabilities | ||||
Administration fees payable (Note 3) | 948,444 | |||
Shareholder servicing fee payable (Note 3) | 128,468 | |||
Distribution fees payable (Note 3) | 51,387 | |||
Transfer agent fees payable (Note 3) | 5,459 | |||
Distribution payable | 97,618 | |||
Registration and filing fees payable | 1,840 | |||
Professional fees payable | 9,521 | |||
Printing fee payable | 25,024 | |||
Accrued expenses and other liabilities | 22,265 | |||
|
| |||
Total liabilities | 1,290,026 | |||
|
| |||
Net Assets | $ | 11,684,594,387 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 11,684,461,207 | ||
Undistributed (distribution in excess of) net investment income (loss) | (732 | ) | ||
Accumulated net realized gain (loss) on investments | 133,912 | |||
|
| |||
Net Assets | $ | 11,684,594,387 | ||
|
| |||
Premier Class | ||||
Net assets | $ | 11,057,876,570 | ||
Shares outstanding | 11,057,865,296 | |||
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| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investment Class | ||||
Net assets | $ | 626,717,817 | ||
Shares outstanding | 626,696,673 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
1
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
For the Six Months Ended June 30, 2016 (Unaudited)
Income and Expenses Allocated from Portfolio | ||||
Interest income allocated from Portfolio (Note 2) | $ | 15,482,047 | ||
Expenses allocated from Portfolio (Note 2) | (3,703,739 | ) | ||
|
| |||
Total Investment Income (Loss) Allocated from Portfolio | 11,778,308 | |||
|
| |||
Expenses | ||||
Administration fees (Note 3) | 2,843,587 | |||
Shareholder servicing fees (Note 3) | ||||
Investment Class | 840,053 | |||
Distribution fees (Note 3) | ||||
Investment Class | 336,021 | |||
Custodian fees (Note 3) | 7,559 | |||
Trustees’ fees and expenses (Note 4) | 9,201 | |||
Transfer agent fees (Note 3) | 22,044 | |||
Registration and filing fees | 104,154 | |||
Professional fees | 17,607 | |||
Printing expense | 13,077 | |||
Insurance expense | 13,252 | |||
Miscellaneous expenses | 34,141 | |||
|
| |||
Total expenses | 4,240,696 | |||
Shareholder servicing fees waived | ||||
Investment Class (Note 3) | (325,272 | ) | ||
Distribution fees waived | ||||
Investment Class (Note 3) | (336,021 | ) | ||
|
| |||
Net Expenses | 3,579,403 | |||
|
| |||
Net Investment Income (Loss) | 8,198,905 | |||
|
| |||
Realized Gain (Loss) | ||||
Net realized gain (loss) on | ||||
Investments allocated from Portfolio | 92,645 | |||
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| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 8,291,550 | ||
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|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
2
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Statements of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 8,198,905 | $ | 44,230 | ||||
Net realized gain (loss) | 92,645 | 112,061 | ||||||
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| |||||
Net increase (decrease) in net assets resulting from operations | 8,291,550 | 156,291 | ||||||
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| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | (8,199,637 | ) | (124,494 | ) | ||||
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| |||||
Total distributions from net investment income | (8,199,637 | ) | (124,494 | ) | ||||
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| |||||
From Beneficial Interest Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 14,293,760,577 | 34,794,959,292 | ||||||
Reinvestment of distributions | 7,508,803 | 108,212 | ||||||
Shares redeemed | (13,656,445,754 | ) | (32,720,944,051 | ) | ||||
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| |||||
Net increase (decrease) from capital share transactions | 644,823,626 | 2,074,123,453 | ||||||
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| |||||
Investment Class | ||||||||
Shares sold | 640,507,132 | 1,531,621,992 | ||||||
Shares redeemed | (738,477,306 | ) | (1,548,193,858 | ) | ||||
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| |||||
Net increase (decrease) from capital share transactions | (97,970,174 | ) | (16,571,866 | ) | ||||
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| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 546,853,452 | 2,057,551,587 | ||||||
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| |||||
Net increase (decrease) in net assets during the period | 546,945,365 | 2,057,583,384 | ||||||
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| |||||
Net assets at beginning of period | 11,137,649,022 | 9,080,065,638 | ||||||
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| |||||
Net Assets at End of Period | $ | 11,684,594,387 | $ | 11,137,649,022 | ||||
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| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | (732 | ) | $ | – | |||
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Shares of Beneficial Interest: | ||||||||
Premier Class | ||||||||
Shares sold | 14,293,760,577 | 34,794,959,292 | ||||||
Reinvestment of distributions | 7,508,803 | 108,212 | ||||||
Shares redeemed | (13,656,445,754 | ) | (32,720,944,051 | ) | ||||
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| |||||
Net increase (decrease) from share transactions | 644,823,626 | 2,074,123,453 | ||||||
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| |||||
Investment Class | ||||||||
Shares sold | 640,507,132 | 1,531,621,992 | ||||||
Shares redeemed | (738,477,306 | ) | (1,548,193,859 | ) | ||||
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| |||||
Net increase (decrease) from share transactions | (97,970,174 | ) | (16,571,867 | ) | ||||
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|
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
3
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Selected data for a share outstanding throughout each period(a)
Premier Class | ||||||||||||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Income (loss) from investment operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.0008 | 0.0000 | (b) | – | 0.0000 | (b) | 0.0000 | (b) | 0.0001 | |||||||||||||||
Net realized gain (loss) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | ||||||||||||
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Total from investment operations | 0.0008 | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0001 | ||||||||||||||
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Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | (0.0008 | ) | (0.0000 | )(b) | – | (0.0000 | )(b) | – | (0.0001 | ) | ||||||||||||||
Net realized gains | – | – | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | – | |||||||||||||||
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| |||||||||||||
Total distributions | (0.0008 | ) | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | (0.0001 | ) | ||||||||||||
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Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total return(c) | 0.08 | % | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.01 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 11,057,877 | $ | 10,412,966 | $ | 8,338,818 | $ | 11,949,583 | $ | 10,151,078 | $ | 9,426,334 | ||||||||||||
Ratios to average net assets:(a) | ||||||||||||||||||||||||
Total expenses | 0.12 | %(e) | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | 0.13 | % | ||||||||||||
Net expenses | 0.12 | %(e) | 0.04 | % | 0.04 | % | 0.07 | % | 0.08 | % | 0.03 | % | ||||||||||||
Net investment income (loss) | 0.15 | %(e) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Amount is less than $0.00005 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. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005% per share. |
(e) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
4
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Selected data for a share outstanding throughout each period(a)
Investment Class | ||||||||||||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Income (loss) from investment operations | ||||||||||||||||||||||||
Net investment income (loss) | (0.0000 | )(b) | 0.0000 | (b) | (0.0010 | ) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | ||||||||||||
Net realized gain (loss) | 0.0000 | (b) | 0.0000 | (b) | 0.0010 | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | |||||||||||||
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Total from investment operations | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | ||||||||||||
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Distributions to shareholders from: | ||||||||||||||||||||||||
Net investment income | – | – | – | (0.0000 | )(b) | – | (0.0000 | )(b) | ||||||||||||||||
Net realized gains | – | – | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | – | |||||||||||||||
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Total distributions | – | – | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | ||||||||||||||
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| |||||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total return(c) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 626,718 | $ | 724,683 | $ | 741,248 | $ | 1,407,207 | $ | 1,475,932 | $ | 1,381,305 | ||||||||||||
Ratios to average net assets:(a) | ||||||||||||||||||||||||
Total expenses | 0.47 | %(e) | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.48 | % | ||||||||||||
Net expenses | 0.27 | %(e) | 0.04 | % | 0.05 | % | 0.07 | % | 0.08 | % | 0.05 | % | ||||||||||||
Net investment income (loss) | 0.00 | %(d)(e) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Amount is less than $0.00005 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. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005% per share. |
(e) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
5
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
June 30, 2016 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on February 16, 2000.
As of June 30, 2016, the Trust consists of fifty-one (51) series and corresponding classes, each of which have the same rights and privileges, including voting rights. State Street Institutional Treasury Money Market Fund (the “Fund”) is authorized to issue an unlimited number of shares at with no par value. The financial statements herein relate only to:
Fund | Classes | Commencement of Operations | Diversification Classification | |||
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 | Diversified |
The Fund is part of a master-feeder structure and invests substantially all of its assets in the State Street Treasury Money Market Portfolio (the “Portfolio”), a separate series of State Street Master Funds. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio, (94.27% at June 30, 2016). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.
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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Fund records its investments in its Portfolio at value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.
The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.
The summary of the inputs used for the Portfolio, as of June 30, 2016, in valuing the 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 the trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of its Portfolio less expenses of the Fund.
Expenses
Certain expenses, which are directly identifiable to a specific fund, are applied to the fund within the Trust. 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 relative net assets of the Funds within the Trust.
The Fund is allocated a pro-rata share of the expense of its Portfolio. Class specific expenses are borne by each class.
Distributions
Distributions from net investment income if any, are declared daily and are payable as of the last business day of each month. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Fees and Transactions with Affiliates |
Advisory Fee
The Portfolio retained 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”), as its investment adviser. The Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 period ended June 30, 2016, the Advisor did not reduce its fees or reimburse expenses of the Fund.
Under the terms of the reimbursement agreement the 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, 2016, SSGA FM has not recouped any expenses from the Fund. Waived/reduced fees subject to potential recovery by year of expiration are as follows:
Expiration Date | Amount | |||
12/31/2016 | $ | 6,058,938 | ||
12/31/2017 | $ | 7,917,168 | ||
12/31/2018 | $ | 8,650,278 |
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street serves as custodian and sub-administrator. For its administration services, the Fund pays a fee at an annual rate of 0.05% of its average daily net assets to SSGA FM. The Fund pays State Street an annual fee for custody services for the Fund. SSGA FM pays an annual fee to State Street for sub-administration services provided to the Fund.
Distribution Fees
State Street Global Markets LLC serves as the Fund’s distributor (“SSGM” or the “Distributor”) pursuant to the Distribution Agreement between SSGM and the Trust. The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which a Fund may compensate the Distributor (or others) for services in connection with the distribution of a Fund’s 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 0.10% of the Fund’s net assets attributable to its Investment Class shares. In addition to payments under the Plan, the Fund may reimburse the Distributor or its affiliates for payments it makes to financial intermediaries that provide certain administrative, recordkeeping, and account maintenance.
During the period ended June 30, 2016, the Fund was charged $336,021 but did not make any payments to SSGM under the Rule 12b-1 Plan, as SSGM voluntarily agreed to waive the entire amount of the Rule 12b-1 fees.
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 period ended June 30, 2016, SSGM paid $661,720 to WMS.
Under the Fund’s Shareholder Servicing Plan, the Fund compensates financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Fund’s 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 period ended June 30, 2016, the Fund paid SSGM $661,720 under the shareholder servicing agreement which SSGM subsequently paid to financial intermediaries.
During the period ended June 30, 2016, SSGM voluntarily agreed to waive shareholder services fees of $325,272.
Transfer Agent Fees
Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer agent and dividend paying agent to the Fund. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.
4. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
5. | Income Tax Information |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. 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. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
At June 30, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
6. | Risks |
Concentration Risk
As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Market, Credit and Counterparty Risk
In the normal course of business, the Fund trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults. 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).
Financial assets, which potentially expose the Fund to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statement of Assets and Liabilities, less any collateral held by the Fund.
7. | Rule Issuance |
On July 23, 2014, the U.S. Securities and Exchange Commission (the “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 effective in October 2016. The rule changes also allow for certain liquidity-based redemption fees and gates, 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 Fund’s financial statements related disclosure.
8. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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State Street Institutional Treasury Money Market Fund
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period (a) | Ending Account Value | Expenses Paid During Period (a) | ||||||||||||||||
State Street Institutional Treasury Money Market Fund | ||||||||||||||||||||
Premier Class | 0.12 | % | $ | 1,000.00 | $ | 0.60 | $ | 1,024.30 | $ | 0.60 | ||||||||||
Investment Class | 0.27 | 1,000.80 | 1.34 | 1,023.50 | 1.36 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
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State Street Institutional Treasury Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities are contained in the Fund’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the U.S. Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. 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 Fund will file its complete schedule of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedule of investments is available in the Fund’s semi-annual and annual financial statements. The Fund’s Form N-Q is available (i) without charge, upon request, by calling the Fund at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.
Monthly Portfolio Schedule
The Fund files its monthly portfolio holdings with the U.S. Securities and Exchange Commission on Form N-MFP. The SEC delays the public availability of the information filed on Form N-MFP for 60 days after the end of the reporting period included in the filing. The Fund’s Form N-MFP is available (i) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or ii) at the Securities and Exchange Commission’s public reference room.
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State Street Institutional Treasury Money Market Fund
Other Information — (continued)
June 30, 2016 (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 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 on April 14-15, 2016 and May 19-20, 2016, including in Executive Sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to each portfolio series of each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). 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 who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 14-15, 2016 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 19-20, 2016 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 the Fund: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2015, 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; |
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 Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
2 | 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 Treasury Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
• | 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 the Fund and (b) affiliates of the Adviser that provide services to the Fund (“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 |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
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 Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; 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 services provided to the Fund by SSGA FM in its capacity as the Fund’s Administrator; |
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
• | Information concerning the nature, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, transfer agent and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Draft responses to a letter 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: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the Fund’s last fiscal year; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the Fund’s 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 Funds, with respect to its operations relating to the Fund; 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 Fund, together with the Fund’s related distribution plans and arrangements under SEC Rule 12b-1; |
• | Information from SSGA FM and State Street with respect to State Street Master Funds and State Street Institutional Investment Trust, and the Distributor with respect to State Street Institutional Investment Trust, providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 19-20, 2016; |
• | Materials provided by Broadridge Financial Solutions, Inc., the successor by acquisition to the producer of Lipper materials used in previous years (“Broadridge”), circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund 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 the Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the 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 the Fund.
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State Street Institutional Treasury Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
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 19-20, 2016 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, 2016, 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 the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the 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 certain Funds that operate as money market mutual funds, the Board considered the Adviser’s success in maintaining the constant dollar value of the Fund through extraordinary market conditions, and the Board noted that it was being asked to approve a floating net asset value for certain other money market funds. 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 SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring the 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 the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2015. For purposes of these comparisons the Independent Trustees relied extensively on the “Performance Group,” “Performance Universe” and “Broadridge Index” constructed by Broadridge for the Fund and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the Fund:
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State Street Institutional Treasury Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
The Money Market Funds, Generally. 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.
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 Broadridge Index for the 1-, 3- and 5-year periods. The Board took into account management’s discussion of the Fund’s performance.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory 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 the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee, including the portion attributable to administrative services provided by SSGA FM, and total expense ratio (both before and after giving effect to any expense caps), as compared to its “Expense Group” and “Expense Universe,” as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the 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 the Fund:
State Street Institutional Treasury 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.
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 the 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 the Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
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State Street Institutional Treasury Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
The Board concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, 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 the 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 the Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with respect to the Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of the 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 the 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.
18
Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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
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
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
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Table of Contents
Semi-Annual Report
30 June 2016
State Street Master Funds
State Street Treasury Money Market Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Semi-Annual Report
June 30, 2016 (Unaudited)
23 | ||||
24 | ||||
25 | ||||
26 | ||||
27 | ||||
28 | ||||
29 | ||||
33 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Portfolio Composition* | June 30, 2016 | |||
Treasury Debt | 100.0 | % | ||
Other Assets in Excess of Liabilities | 0.0 | ** | ||
Total | 100.0 | % |
Maturity Ladder* | June 30, 2016 | |||
2 to 30 Days | 47.8 | % | ||
31 to 60 Days | 21.0 | |||
61 to 90 Days | 11.8 | |||
Over 90 Days | 19.4 | |||
Total | 100.0 | % | ||
Average days to maturity | 30 | |||
Weighted average life | 80 |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
** | Amount represents less than 0.05% of net assets. |
See accompanying notes to financial statements.
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State Street Master Funds
State Street Treasury Money Market Portfolio
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY DEBT – 100.0% | ||||||||||||||||||||
U.S. Treasury Bill(a) | 0.220 | % | 07/07/2016 | 07/07/2016 | $ | 1,513,174,000 | $ | 1,513,122,577 | ||||||||||||
U.S. Treasury Bill(a) | 0.228 | % | 07/21/2016 | 07/21/2016 | 1,527,563,000 | 1,527,365,078 | ||||||||||||||
U.S. Treasury Bill(a) | 0.228 | % | 08/04/2016 | 08/04/2016 | 616,000,000 | 615,845,590 | ||||||||||||||
U.S. Treasury Bill(a) | 0.230 | % | 08/11/2016 | 08/11/2016 | 775,000,000 | 774,780,103 | ||||||||||||||
U.S. Treasury Bill(a) | 0.238 | % | 07/14/2016 | 07/14/2016 | 1,337,163,000 | 1,337,053,423 | ||||||||||||||
U.S. Treasury Bill(a) | 0.250 | % | 07/28/2016 | 07/28/2016 | 1,456,500,000 | 1,456,243,648 | ||||||||||||||
U.S. Treasury Bill(a) | 0.260 | % | 09/29/2016 | 09/29/2016 | 400,000,000 | 399,740,000 | ||||||||||||||
U.S. Treasury Bill(a) | 0.270 | % | 09/15/2016 | 09/15/2016 | 395,000,000 | 394,774,850 | ||||||||||||||
U.S. Treasury Bill(a) | 0.271 | % | 09/22/2016 | 09/22/2016 | 485,000,000 | 484,697,516 | ||||||||||||||
U.S. Treasury Bill(a) | 0.275 | % | 08/18/2016 | 08/18/2016 | 551,000,000 | 550,797,317 | ||||||||||||||
U.S. Treasury Bill(a) | 0.285 | % | 09/08/2016 | 09/08/2016 | 304,000,000 | 303,833,940 | ||||||||||||||
U.S. Treasury Bill(a) | 0.340 | % | 09/01/2016 | 09/01/2016 | 275,000,000 | 274,838,972 | ||||||||||||||
U.S. Treasury Bill(a) | 0.350 | % | 08/25/2016 | 08/25/2016 | 428,000,000 | 427,781,833 | ||||||||||||||
U.S. Treasury Note(a) | 0.247 | % | 07/31/2016 | 07/31/2016 | 150,000,000 | 150,154,644 | ||||||||||||||
U.S. Treasury Note(a) | 0.283 | % | 07/15/2016 | 07/15/2016 | 97,000,000 | 97,012,726 | ||||||||||||||
U.S. Treasury Note(b) | 0.313 | % | 07/01/2016 | 10/31/2016 | 280,000,000 | 279,984,679 | ||||||||||||||
U.S. Treasury Note(a) | 0.315 | % | 09/30/2016 | 09/30/2016 | 100,000,000 | 100,169,945 | ||||||||||||||
U.S. Treasury Note(b) | 0.330 | % | 07/01/2016 | 07/31/2016 | 80,000,000 | 80,000,833 | ||||||||||||||
U.S. Treasury Note(b) | 0.334 | % | 07/01/2016 | 04/30/2017 | 184,900,000 | 184,900,425 | ||||||||||||||
U.S. Treasury Note(b) | 0.337 | % | 07/01/2016 | 07/31/2017 | 358,500,000 | 358,392,547 | ||||||||||||||
U.S. Treasury Note(b) | 0.344 | % | 07/01/2016 | 01/31/2017 | 650,000,000 | 650,059,689 | ||||||||||||||
U.S. Treasury Note(b) | 0.428 | % | 07/01/2016 | 10/31/2017 | 180,500,000 | 180,439,275 | ||||||||||||||
U.S. Treasury Note(b) | 0.450 | % | 07/01/2016 | 04/30/2018 | 125,820,000 | 125,824,575 | ||||||||||||||
U.S. Treasury Note(b) | 0.532 | % | 07/01/2016 | 01/31/2018 | 126,000,000 | 126,276,482 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS(c)(d) – 100.0% |
| 12,394,090,667 | ||||||||||||||||||
Other Assets in Excess of Liabilities – 0.0%(e) |
| 1,972,447 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% |
| $ | 12,396,063,114 | |||||||||||||||||
|
|
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security – Interest rate shown is rate in effect at June 30, 2016. |
(c) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2). |
(d) | Also represents the cost for federal tax purposes. |
(e) | Amount is less than 0.05% of net assets. |
See accompanying notes to financial statements.
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Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investments in securities, at value and cost (Note 2) | $ | 12,394,090,667 | ||
Cash | 270 | |||
Interest receivable (Note 2) | 2,777,564 | |||
|
| |||
Total assets | 12,396,868,501 | |||
Liabilities |
| |||
Advisory fee payable (Note 5) | 499,440 | |||
Custodian fees payable (Note 3) | 260,873 | |||
Professional fees payable | 17,505 | |||
Printing fee payable | 4,330 | |||
Accrued expenses and other liabilities | 23,239 | |||
|
| |||
Total liabilities | 805,387 | |||
|
| |||
Net Assets | $ | 12,396,063,114 | ||
|
|
See accompanying notes to financial statements.
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Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
For the Six Months Ended June 30, 2016 (Unaudited)
Investment Income |
| |||
Interest income | $ | 16,456,970 | ||
|
| |||
Expenses |
| |||
Advisory fee (Note 3) | 3,022,181 | |||
Administration and custody fees | 683,120 | |||
Trustees’ fees and expenses (Note 4) | 102,466 | |||
Professional fees | 78,681 | |||
Printing expense | 2,578 | |||
Insurance expense | 14,608 | |||
Miscellaneous expenses | 32,580 | |||
|
| |||
Total expenses | 3,936,214 | |||
|
| |||
Net Investment Income (Loss) | 12,520,756 | |||
|
| |||
Realized Gain (Loss): |
| |||
Net realized gain (loss) on: | ||||
Investment transactions | 98,715 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 12,619,471 | ||
|
|
See accompanying notes to financial statements.
26
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Statements of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: |
| |||||||
Net investment income (loss) | $ | 12,520,756 | $ | (3,202,509 | ) | |||
Net realized gain (loss) | 98,715 | 119,782 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 12,619,471 | (3,082,727 | ) | |||||
|
|
|
| |||||
Capital Transactions: |
| |||||||
Contributions | 13,100,243,576 | 26,921,306,751 | ||||||
Withdrawals | (12,553,927,593 | ) | (25,328,556,655 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital transactions | 546,315,983 | 1,592,750,096 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 558,935,454 | 1,589,667,369 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 11,837,127,660 | 10,247,460,291 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 12,396,063,114 | $ | 11,837,127,660 | ||||
|
|
|
|
See accompanying notes to financial statements.
27
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Selected data for a share outstanding throughout each period
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Total return(a) | 0.10 | % | (0.04 | )% | (0.02 | )% | 0.00 | %(b) | 0.02 | % | (0.09 | )% | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 12,396,063 | $ | 11,837,128 | $ | 10,247,460 | $ | 14,558,022 | $ | 12,712,060 | $ | 12,094,364 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.07 | %(c) | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | ||||||||||||
Net expenses | 0.07 | %(c) | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | ||||||||||||
Net investment income (loss) | 0.21 | %(c) | (0.03 | )% | (0.02 | )% | 0.00 | %(b) | 0.02 | % | (0.03 | )%(d) |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Amount is less than 0.005% per share. |
(c) | Annualized. |
(d) | Results reflect the effect of expense waivers. Without these waivers, net investment income would have been lower. |
See accompanying notes to financial statements.
28
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
June 30, 2016 (Unaudited)
1. | Organization |
The State Street Master Funds (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on July 27, 1999.
As of June 30, 2016, the Trust consists of six (6) series each of which represents a separate series of beneficial interest in the Trust. State Street Treasury Money Market Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares at with no par value. The financial statements herein relate only to State Street Treasury Money Market 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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.
The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.
Because of the inherent uncertainties of valuation and under certain market conditions, the values reflected in the financial statements may differ from the value received upon actual sale of those investments and it is possible that the differences could be material.
Various inputs are used in determining the value of the Portfolio’s investments. The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels 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
29
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 Portfolio had no transfers between levels for the period ended June 30, 2016.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes.
All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.
Expenses
Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses, which cannot be attributed to a specific Portfolio 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 Portfolios within the Trust.
Distributions
Distributions from net investment income if any, are declared daily and are payable as of the last business day of each month. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
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State Street Master Funds
State Street Treasury Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
3. | Fees and Transactions with Affiliates |
Advisory Fee
The Trust has entered into an investment advisory agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street serves as custodian, sub-administrator and transfer agent. SSGA FM and State Street receive an annual fee for their services as administrator, custodian, sub-administrator and transfer agent, respectively. The annual fee is accrued daily and payable monthly at the following fee rate:
Asset Levels | Annual percentage of average aggregate monthly net assets | |
First $400 million | 0.03% | |
Next $15 billion | 0.02% | |
Thereafter | 0.01% | |
Minimum annual fee per Portfolio | $150,000 |
The minimum fee will be calculated by multiplying the minimum per portfolio fee by the number of portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the portfolios. SSGA FM and State Street each receive a portion of the fee.
4. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
5. | Income Tax Information |
The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, gains and losses of the Portfolio is deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken
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State Street Master Funds
State Street Treasury Money Market Portfolio
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
At June 30, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
6. | Risks |
Concentration Risk
As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.
Market, Credit and Counterparty Risk
In the normal course of business, the Portfolio trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults. The value of securities held by the Portfolio may decline in response to certain events, including those directly involving the companies whose securities are owned by the Portfolio; 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).
Financial assets, which potentially expose the Portfolio to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolio’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Portfolio’s Statement of Assets and Liabilities, less any collateral held by the Portfolio.
7. | Rule Issuance |
On July 23, 2014, the U.S. Securities and Exchange Commission (the “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 effective in October 2016. The rule changes also allow for certain liquidity-based redemption fees and gates, 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 Portfolio’s financial statements related disclosure.
8. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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State Street Master Funds
State Street Treasury Money Market Portfolio
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Treasury Money Market Portfolio | 0.07 | % | $ | 1,001.00 | $ | 0.35 | $ | 1,024.50 | $ | 0.35 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
33
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iii) at the U.S. Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how 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 Portfolio will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Portfolio’s semi-annual and annual financial statements. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iii) at the Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.
Monthly Portfolio Schedule
The Portfolio files its monthly portfolio holdings with the U.S. Securities and Exchange Commission on Form N-MFP. The SEC delays the public availability of the information filed on Form N-MFP for 60 days after the end of the reporting period included in the filing. The Portfolio’s Form N-MFP is available (i) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (ii) at the Securities and Exchange Commission’s public reference room.
34
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2016 (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 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 on April 14-15, 2016 and May 19-20, 2016, including in Executive Sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to each portfolio series of each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). 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 who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 14-15, 2016 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 19-20, 2016 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, 2015, 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; |
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 Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
2 | 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. |
35
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
• | 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 |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
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; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | 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 services provided to the Funds by SSGA FM in its capacity as the Fund’s Administrator; |
• | 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, sub-administrator, fund |
36
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
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; |
• | Draft responses to a letter 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: |
• | SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to the Funds and its approximate profit margins 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, 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 SSGA FM and State Street with respect to State Street Master Funds and State Street Institutional Investment Trust, and the Distributor with respect to State Street Institutional Investment Trust, providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 19-20, 2016; |
• | Materials provided by Broadridge Financial Solutions, Inc., the successor by acquisition to the producer of Lipper materials used in previous years (“Broadridge”), 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 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.
37
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
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 19-20, 2016 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, 2016, 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. With respect to certain 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 extraordinary market conditions, and the Board noted that it was being asked to approve a floating net asset value for certain other money market funds. 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 SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the 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, 2015 by evaluating the performance of the Funds’ 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
38
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2016 (Unaudited)
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.
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, including the portion attributable to administrative services provided by SSGA FM, and total expense ratio (both before and after giving effect to any expense caps), as compared to its “Expense Group” and “Expense Universe,” as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser 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.
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 SSGA FM and Affiliated Service Providers, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
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
39
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
June 30, 2016 (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.
40
Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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 and Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
800 Boylston Street
Boston, MA 02199
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Master Funds State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSITTRMMSAR IBG-20876 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
Semi-Annual Report
30 June 2016
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Semi-Annual Report
June 30, 2016 (Unaudited)
1 | ||||
2 | ||||
3 | ||||
5 | ||||
9 | ||||
15 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investment in corresponding Portfolio, at value (Note 1) | $ | 19,972,779,390 | ||
Receivable for fund shares sold | 1,551 | |||
Receivable from Adviser (Note 3) | 54,314 | |||
|
| |||
Total assets | 19,972,835,255 | |||
Liabilities | ||||
Payable for fund shares repurchased | 48,371 | |||
Administration fees payable (Note 3) | 1,374,742 | |||
Shareholder servicing fee payable (Note 3) | 137,379 | |||
Distribution fees payable (Note 3) | 52,657 | |||
Transfer agent fees payable (Note 3) | 6,521 | |||
Distribution payable | 529,241 | |||
Registration and filing fees payable | 5,928 | |||
Professional fees payable | 9,521 | |||
Printing fee payable | 31,070 | |||
Accrued expenses and other liabilities | 17,621 | |||
|
| |||
Total liabilities | 2,213,051 | |||
|
| |||
Net Assets | $ | 19,970,622,204 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 19,970,573,945 | ||
Accumulated net realized gain (loss) on investments | 48,259 | |||
|
| |||
Net Assets | $ | 19,970,622,204 | ||
|
| |||
Premier Class | ||||
Net Assets | $ | 18,672,951,922 | ||
Shares outstanding | 18,673,172,125 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investment Class | ||||
Net Assets | $ | 559,915,111 | ||
Shares outstanding | 559,978,285 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investor Class | ||||
Net Assets | $ | 35,000,080 | ||
Shares outstanding | 35,000,000 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
G Class | ||||
Net Assets | $ | 702,755,091 | ||
Shares outstanding | 702,745,200 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
1
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
For the Six Months Ended June 30, 2016 (Unaudited)
Income and Expenses Allocated From Portfolio | ||||
Interest income allocated from Portfolio (Note 2) | $ | 25,984,061 | ||
Expenses allocated from Portfolio (Note 2) | (4,938,934 | ) | ||
|
| |||
Total Investment Income (loss) Allocated From Portfolio | 21,045,127 | |||
|
| |||
Expenses | ||||
Administration fees (Note 3) | ||||
Premier Class | 3,407,512 | |||
Investment Class | 179,015 | |||
Investor Class | 3,586 | |||
G Class | 35,318 | |||
Shareholder servicing fees (Note 3) | ||||
Investment Class | 895,075 | |||
Investor Class | 5,737 | |||
Distribution fees (Note 3) | ||||
Investment Class | 358,030 | |||
Custodian fees (Note 3) | 7,605 | |||
Trustees’ fees and expenses (Note 4) | 9,503 | |||
Transfer agent fees (Note 3) | 36,593 | |||
Registration and filing fees | 65,985 | |||
Professional fees | 17,606 | |||
Printing expense | 24,888 | |||
Insurance expense | 15,871 | |||
Miscellaneous expenses | 28,902 | |||
|
| |||
Total Expenses | 5,091,226 | |||
Shareholder servicing fees waived | ||||
Investment Class (Note 3) | (94,729 | ) | ||
Distribution fees waived | ||||
Investment Class (Note 3) | (358,030 | ) | ||
|
| |||
Net Expenses | 4,638,467 | |||
|
| |||
Net Investment Income (loss) | 16,406,660 | |||
|
| |||
Realized Gain (loss) | ||||
Net realized gain (loss) on | ||||
Investments allocated from Portfolio | 48,259 | |||
|
| |||
Net Increase (Decrease) in Net Assets From Operations | $ | 16,454,919 | ||
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
2
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Statements of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 16,406,660 | $ | 720,256 | ||||
Net realized gain (loss) | 48,259 | 101,189 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 16,454,919 | 821,445 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | (15,456,156 | ) | (565,219 | ) | ||||
Investor Class* | (11,452 | ) | – | |||||
G Class | (939,052 | ) | (155,037 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (16,406,660 | ) | (720,256 | ) | ||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 40,021,041,526 | 43,034,500,814 | ||||||
Reinvestment of distributions | 12,625,880 | 492,834 | ||||||
Shares redeemed | (34,877,023,019 | ) | (40,481,619,457 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 5,156,644,387 | 2,553,374,191 | ||||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 2,101,206,039 | 4,327,886,922 | ||||||
Shares redeemed | (2,512,844,283 | ) | (3,972,047,433 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (411,638,244 | ) | 355,839,489 | |||||
|
|
|
| |||||
Investor Class* | ||||||||
Shares sold | 45,000,000 | – | ||||||
Shares redeemed | (10,000,000 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 35,000,000 | – | ||||||
|
|
|
| |||||
G Class | ||||||||
Shares sold | 1,061,678,441 | 2,487,611,939 | ||||||
Reinvestment of distributions | 939,052 | 155,037 | ||||||
Shares redeemed | (1,092,802,483 | ) | (2,627,170,798 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (30,184,990 | ) | (139,403,822 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 4,749,821,153 | 2,769,809,858 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets during the Period | 4,749,869,412 | 2,769,911,047 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 15,220,752,792 | 12,450,841,745 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 19,970,622,204 | $ | 15,220,752,792 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | – | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Premier Class | ||||||||
Shares sold | 40,021,041,526 | 43,034,500,814 | ||||||
Reinvestment of distributions | 12,625,880 | 492,834 | ||||||
Shares redeemed | (34,877,023,019 | ) | (40,481,619,457 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 5,156,644,387 | 2,553,374,191 | ||||||
|
|
|
|
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
3
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Statements of Changes in Net Assets — (continued)
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Investment Class | ||||||||
Shares sold | $ | 2,101,206,039 | $ | 4,327,886,922 | ||||
Shares redeemed | (2,512,844,283 | ) | (3,972,047,433 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (411,638,244 | ) | 355,839,489 | |||||
|
|
|
| |||||
Investor Class* | ||||||||
Shares sold | 45,000,000 | – | ||||||
Shares redeemed | (10,000,000 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 35,000,000 | – | ||||||
|
|
|
| |||||
G Class | ||||||||
Shares sold | 1,061,678,441 | 2,487,611,932 | ||||||
Reinvestment of distributions | 939,052 | 155,044 | ||||||
Shares redeemed | (1,092,802,483 | ) | (2,627,170,798 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (30,184,990 | ) | (139,403,822 | ) | ||||
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* | For the period March 21, 2016 (inception date) through June 30, 2016. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
4
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Selected data for a share outstanding throughout each period(a)
Premier Class | ||||||||||||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Income (loss) from Investment Operations: | ||||||||||||||||||||||||
Net investment income (loss) | 0.0011 | 0.0000 | (b) | (0.0000 | )(b) | 0.0001 | 0.0003 | 0.0002 | ||||||||||||||||
Net realized gain (loss) | (0.0000 | )(b) | 0.0000 | (b) | – | – | 0.0000 | (b) | 0.0000 | (b) | ||||||||||||||
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| |||||||||||||
Total from investment operations | 0.0011 | 0.0000 | (b) | (0.0000 | )(b) | 0.0001 | 0.0003 | 0.0002 | ||||||||||||||||
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Distributions to Shareholders From: | ||||||||||||||||||||||||
Net investment income | (0.0011 | ) | (0.0000 | )(b) | – | (0.0001 | ) | (0.0003 | ) | (0.0002 | ) | |||||||||||||
Net realized gains | – | – | – | – | – | – | ||||||||||||||||||
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| |||||||||||||
Total distributions | (0.0011 | ) | (0.0000 | )(b) | – | (0.0001 | ) | (0.0003 | ) | (0.0002 | ) | |||||||||||||
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Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total Return(c) | 0.11 | % | 0.00 | %(d) | 0.00 | %(d) | 0.01 | % | 0.03 | % | 0.02 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net Assets, End of Period (in 000s) | $ | 18,672,952 | $ | 13,516,264 | $ | 10,962,800 | $ | 7,189,250 | $ | 7,114,213 | $ | 5,139,795 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.12 | %(e) | 0.12 | % | 0.12 | % | 0.12 | % | 0.13 | % | 0.12 | % | ||||||||||||
Net expenses | 0.12 | %(e) | 0.09 | % | 0.07 | % | 0.09 | % | 0.12 | % | 0.10 | % | ||||||||||||
Net investment income (loss) | 0.23 | %(e) | 0.00 | %(d) | 0.00 | %(d) | 0.01 | % | 0.03 | % | 0.02 | % |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Amount is less than $0.00005 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. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005% per share. |
(e) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
5
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Investment Class | ||||||||||||||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Income (loss) from Investment Operations | ||||||||||||||||||||||||
Net investment income (loss) | – | 0.0000 | (b) | (0.0000 | )(b) | 0.0000 | (b) | 0.0000 | (b) | (0.0001 | ) | |||||||||||||
Net realized gain (loss) | – | – | – | – | 0.0000 | (b) | 0.0001 | |||||||||||||||||
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Total from investment operations | – | 0.0000 | (b) | (0.0000 | )(b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | |||||||||||||
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Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||||
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Total Return(c) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 559,915 | $ | 971,551 | $ | 615,706 | $ | 691,469 | $ | 654,978 | $ | 638,101 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.47 | %(e) | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||||
Net expenses | 0.34 | %(e) | 0.10 | % | 0.07 | % | 0.10 | % | 0.14 | % | 0.11 | % | ||||||||||||
Net investment income (loss) | 0.00 | %(d)(e) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) | 0.00 | %(d) |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Amount is less than $0.00005 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. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005% per share. |
(e) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
6
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Investor Class | ||||
For the Period 3/21/16* – 6/30/16 (Unaudited) | ||||
Net Asset Value, Beginning of Period | $ | 1.0000 | ||
|
| |||
Income (loss) from Investment Operations | ||||
Net investment income (loss) | 0.0004 | |||
Net realized gain (loss) | 0.0000 | (b) | ||
|
| |||
Total from investment operations | 0.0004 | |||
|
| |||
Distributions to Shareholders From: | ||||
Net investment income | (0.0004 | ) | ||
Net realized gains | — | |||
|
| |||
Total distributions | (0.0004 | ) | ||
|
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Net Asset Value, End of Period | $ | 1.0000 | ||
|
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Total Return(c) | 0.04 | % | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 35,000 | ||
Ratios to average net assets: | ||||
Total expenses | 0.20 | %(e) | ||
Net expenses | 0.20 | %(e) | ||
Net investment income (loss) | 0.16 | %(e) |
* | Commencement of operations |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Amount is less than $0.00005 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. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005% per share. |
(e) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
7
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
G Class | ||||||||||||
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | For the Period 10/2/14* – 12/31/14 | ||||||||||
Net Asset Value, Beginning of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||
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| |||||||
Income (loss) from Investment Operations | ||||||||||||
Net investment income (loss) | 0.0013 | 0.0002 | 0.0000 | (b) | ||||||||
Net realized gain (loss) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | ||||||
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Total from investment operations | 0.0013 | 0.0002 | 0.0000 | (b) | ||||||||
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Distributions to Shareholders From: | ||||||||||||
Net investment income | (0.0013 | ) | (0.0002 | ) | (0.0000 | )(b) | ||||||
Net realized gains | – | – | – | |||||||||
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Total distributions | (0.0013 | ) | (0.0002 | ) | (0.0000 | )(b) | ||||||
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Net Asset Value, End of Period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||
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Total Return(c) | 0.13 | % | 0.02 | % | 0.00 | %(d) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 702,755 | $ | 732,938 | $ | 872,335 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.08 | %(e) | 0.08 | % | 0.09 | %(e) | ||||||
Net expenses | 0.08 | %(e) | 0.08 | % | 0.08 | %(e) | ||||||
Net investment income (loss) | 0.27 | %(e) | 0.02 | % | 0.00 | %(e) |
* | Commencement of operations |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Amount is less than $0.00005 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. Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(d) | Amount is less than 0.005% per share. |
(e) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
8
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
June 30, 2016 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on February 16, 2000.
As of June 30, 2016, the Trust consists of fifty-one (51) series and corresponding classes, each of which have the same rights and privileges, including voting rights. State Street Institutional U.S. Government Money Market Fund (the “Fund”) is authorized to issue an unlimited number of shares at with no par value. The financial statements herein relate only to:
Fund | Classes | Commencement of Operations | Diversification Classification | |||
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 March 21, 2016 October 25, 2007 Not commenced | Diversified |
The Fund is part of a master-feeder structure and invests substantially all of its assets in the State Street U.S. Government Money Market Portfolio (the “Portfolio”), a separate series of State Street Master Funds. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio, (96.10% at June 30, 2016). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.
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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
9
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Security Valuation
The Fund records its investments in its Portfolio at value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.
The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.
The summary of the inputs used for the Portfolio, as of June 30, 2016, in valuing the 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 the trade date for financial reporting purposes. Realized gains and losses from security transactions consist of the Fund’s pro-rata share of its Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of its Portfolio less expenses of the Fund.
Expenses
Certain expenses, which are directly identifiable to a specific fund, are applied to the fund within the Trust. 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 relative net assets of the Funds within the Trust.
The Fund is allocated a pro-rata share of the expense of its Portfolio. Class specific expenses are borne by each class.
Distributions
Distributions from net investment income if any, are declared daily and are payable as of the last business day of each month. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Fees and Transactions with Affiliates |
Advisory Fee
The Portfolio retained 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”), as its
10
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
investment adviser. The Portfolio has entered into an investment advisory agreement with the Adviser, under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
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 period ended June 30, 2016, SSGA FM did not voluntarily waive any expenses.
Under the terms of the reimbursement agreement the 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, 2016, SSGA FM has not recouped any expenses from the Fund. The Fund had no waived/reduced fees subject to potential recovery at year-end.
Waived/reduced fees subject to potential recovery by year of expiration are as follows:
Expiration Date | Amount | |||
12/31/2016 | $ | 1,976,248 | ||
12/31/2017 | 4,726,293 | |||
12/31/2018 | 3,042,069 |
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street serves as custodian and sub-administrator. For its administration services, the Fund, except Class G Shares, pays a fee at an annual rate of 0.05% of its average daily net assets to SSGA FM. Class G Shares pay a fee at an annual rate of 0.03% of its average daily net assets to SSGA FM. The fees are accrued daily and paid monthly. During the period ended June 30, 2016, the Fund incurred the following administration fees:
Class | Amount | |||
Premier Class | $ | 3,407,512 | ||
Investment Class | 179,015 | |||
Investor Class | 3,586 | |||
Class G | 35,318 |
11
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
The Fund pays State Street an annual fee for custody services for the Fund. SSGA FM pays an annual fee to State Street for sub-administration services provided for the Fund.
Distribution Fees
State Street Global Markets LLC serves as the Fund’s distributor (“SSGM” or the “Distributor”) pursuant to the Distribution Agreement between SSGM and the Trust. The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which a Fund may compensate the Distributor (or others) for services in connection with the distribution of a Fund’s 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 0.10% of the Fund’s net assets attributable to its Investment Class shares. In addition to payments under the Plan, the Fund may reimburse the Distributor or its affiliates for payments it makes to financial intermediaries that provide certain administrative, recordkeeping, and account maintenance.
During the period ended June 30, 2016, the Fund was charged $358,030 but did not make any payments to SSGM under the Rule 12b-1 Plan, as SSGM voluntarily agreed to waive the entire amount of the Rule 12b-1 fees.
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 period ended June 30, 2016, SSGM paid $778,534 to WMS.
Under the Fund’s Shareholder Servicing Plan, the Fund compensates financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Fund’s 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 period ended June 30, 2016, the Fund paid SSGM $807,588 under the shareholder servicing agreement which SSGM subsequently paid to financial intermediaries.
During the period ended June 30, 2016, SSGM voluntarily agreed to waive shareholder services fees of $94,729.
Transfer Agent Fees
Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc. and State Street Corporation, serves as transfer agent and dividend paying agent to the Fund. For these services, the Fund pays annual account services fees, activity-based fees, and charges related to compliance and regulatory services.
4. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
12
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
5. | Income Tax Information |
The Fund has qualified and intends to continue to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. 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. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
At June 30, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
6. | Risks |
Concentration Risk
As a result of the Fund’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
Market, Credit and Counterparty Risk
In the normal course of business, the Fund trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Fund may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults. 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).
Financial assets, which potentially expose the Fund to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Fund’s exposure to market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Fund’s Statement of Assets and Liabilities, less any collateral held by the Fund.
13
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
7. | Rule Issuance |
On July 23, 2014, the U.S. Securities and Exchange Commission (the “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 effective in October 2016. The rule changes also allow for certain liquidity-based redemption fees and gates, 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 Fund’s financial statements related disclosure.
8. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements other than below.
On May 20, 2016, the Board approved an Agreement and Plan of Reorganization (the “Plan”) whereby the SSGA U.S. Government Money Market Fund, a series of SSGA Funds, will merge with and into the State Street Institutional U.S. Government Money Market Fund, a series of State Street Institutional Investment Trust, as set forth below effective August 26, 2016:
Selling Fund (Acquired Fund) | Buying Fund (Acquiring Fund) | |
SSGA U.S. Government Money Market Fund | State Street Institutional U.S. Government Money Market Fund |
A regulatory filing with respect to the reorganization was issued on May 25, 2016. On August 22, 2016, the shareholders of the SSGA Funds (Selling Funds) approved the reorganization effective August 26, 2016.
14
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street Institutional U.S. Government Money Market Fund | ||||||||||||||||||||
Premier Class | 0.12 | % | $ | 1,000.00 | $ | 0.60 | (a) | $ | 1,024.30 | $ | 0.60 | |||||||||
Investment Class | 0.34 | 1,000.00 | 1.69 | (a) | 1,023.20 | 1.71 | ||||||||||||||
Investor Class | 0.20 | 1,000.00 | 0.56 | (b) | 1,023.90 | 1.01 | ||||||||||||||
G Class | 0.08 | 1,000.00 | 0.40 | (a) | 1,024.50 | 0.40 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
(b) | Actual period is from commencement of operations 3/21/2016. |
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Record
The Fund has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Fund has adopted to determine how to vote proxies relating to portfolio securities are contained in the Fund’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Funds at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the U.S. Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. 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 Fund will file its complete schedule of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedule of investments is available in the Fund’s semi-annual and annual financial statements. The Fund’s Form N-Q is available (i) without charge, upon request, by calling the Fund at 1-877-521-4083, (ii) on the Fund’s website at www.SSGA.com/cash, (iii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iv) at the Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.
Monthly Portfolio Schedule
The Fund files its monthly portfolio holdings with the U.S. Securities and Exchange Commission on Form N-MFP. The SEC delays the public availability of the information filed on Form N-MFP for 60 days after the end of the reporting period included in the filing. The Fund’s Form N-MFP is available (i) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or ii) at the Securities and Exchange Commission’s public reference room.
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2016 (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 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 on April 14-15, 2016 and May 19-20, 2016, including in Executive Sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to each portfolio series of each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). 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 who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 14-15, 2016 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 19-20, 2016 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 the Fund: |
• | Comparisons of the Fund’s performance over the past one-, three-, five- and ten-year periods ended December 31, 2015, 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; |
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 Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
2 | 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
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
• | 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 the Fund and (b) affiliates of the Adviser that provide services to the Fund (“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 |
• | Information regarding the procedures and processes used to value the assets of the Fund. |
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 Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the Fund and their service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of the Fund; 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 services provided to the Fund by SSGA FM in its capacity as the Fund’s Administrator; |
• | Information concerning the nature, quality and cost of various non-investment management services provided to the Fund by affiliates of the Adviser, including the custodian, sub-administrator, fund |
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
accountant, transfer agent and securities lending agent of the Fund, and the role of the Adviser in managing the Fund’s relationship with these service providers; |
• | Draft responses to a letter 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: |
• | SSGA FM, in its capacity as the Fund’s Adviser and Administrator, with respect to its operations relating to the Fund and its approximate profit margins before taxes from such operations for the Fund’s last fiscal year; and the relevant operations of other affiliated service providers to the Fund, together with their approximate profit margins from such relevant operations for the Fund’s 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 Funds, with respect to its operations relating to the Fund; 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 Fund, together with the Fund’s related distribution plans and arrangements under SEC Rule 12b-1; |
• | Information from SSGA FM and State Street with respect to State Street Master Funds and State Street Institutional Investment Trust, and the Distributor with respect to State Street Institutional Investment Trust, providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 19-20, 2016; |
• | Materials provided by Broadridge Financial Solutions, Inc., the successor by acquisition to the producer of Lipper materials used in previous years (“Broadridge”), circulated to the Independent Trustees and to Independent Counsel, with respect to the Fund 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 the Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the 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 the Fund.
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
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 19-20, 2016 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, 2016, 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 the Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments held by the 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 certain Funds that operate as money market mutual funds, the Board considered the Adviser’s success in maintaining the constant dollar value of the Fund through extraordinary market conditions, and the Board noted that it was being asked to approve a floating net asset value for certain other money market funds. 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 SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring the 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 the Fund’s investment performance to the performance of an appropriate benchmark and universe of comparable mutual funds for various time periods ended December 31, 2015. For purposes of these comparisons the Independent Trustees relied extensively on the “Performance Group,” “Performance Universe” and “Broadridge Index” constructed by Broadridge for the Fund and the analyses of the related data provided by Broadridge. Among other information, the Board considered the following performance information in its evaluation of the Fund:
The Money Market Funds, Generally. 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,
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Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
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.
State Street Institutional U.S. Government Money Market Fund. The Board considered that the Fund underperformed the median of its Performance Group and Performance Universe and its Broadridge Index for the 1- and 3-year periods and equaled the median of its Performance Group and Performance Universe and its Broadridge Index for the 5-year period. The Board took into account management’s discussion of the Fund’s performance.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of the Fund is satisfactory 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 the Fund and actual fees paid by the Fund, net of waivers. As part of its review, the Board considered the Fund’s management fee, including the portion attributable to administrative services provided by SSGA FM, and total expense ratio (both before and after giving effect to any expense caps), as compared to its “Expense Group” and “Expense Universe,” as constructed by Broadridge, and the related Broadridge analysis for the Fund. The Board also considered the comparability of the fees charged and the services provided to the Fund by the 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 the Fund:
State Street Institutional U.S. Government Money Market Fund. The Board considered that the Fund’s actual management fee was above the medians of its Expense Group and Expense Universe. The Board also considered that the Fund’s total expenses were below the 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.
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 the 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 the Fund and to all Funds as a group. The Board considered other direct and indirect benefits received by SSGA FM and Affiliated Service Providers, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
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State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
The Board concluded that the profitability of the Adviser with respect to the Fund, and the profitability range of each of the Affiliated Service Providers with respect to its services to the Fund, 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 the 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 the Fund and all Funds as a group, the level of profitability of the Adviser and its affiliates with respect to the Fund and all Funds as a group over various time periods, and the comparatively low management fee and expense ratio of the 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 the 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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Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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
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
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssga.com/cash. Please read the prospectus carefully before investing in the Fund.
Table of Contents
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Table of Contents
Semi-Annual Report
30 June 2016
State Street Master Funds
State Street U.S. Government Money Market Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Semi-Annual Report
June 30, 2016 (Unaudited)
27 | ||||
28 | ||||
34 | ||||
35 | ||||
36 | ||||
37 | ||||
38 | ||||
43 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Portfolio Composition* | June 30, 2016 | |||
Government Agency Debt | 58.0 | % | ||
Treasury Debt | 9.7 | |||
Treasury Repurchase Agreements | 20.7 | |||
Government Agency Repurchase Agreements | 4.2 | |||
Other Assets in Excess of Liabilities | 7.4 | |||
Total | 100.0 | % |
Maturity Ladder* | June 30, 2016 | |||
Overnight (1 Day) | 22.0 | % | ||
2 to 30 Days | 22.1 | |||
31 to 60 Days | 9.5 | |||
61 to 90 Days | 11.0 | |||
Over 90 Days | 28.0 | |||
Total | 92.6 | % | ||
Average days to maturity | 28 | |||
Weighted average life | 98 |
* | 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.
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY DEBT – 58.0% | ||||||||||||||||||||
Federal Farm Credit Bank(a) | 0.358 | % | 09/30/2016 | 09/30/2016 | $ | 20,500,000 | $ | 20,481,863 | ||||||||||||
Federal Farm Credit Bank(a) | 0.368 | % | 10/07/2016 | 10/07/2016 | 25,600,000 | 25,574,912 | ||||||||||||||
Federal Farm Credit Bank(b) | 0.443 | % | 07/26/2016 | 10/26/2016 | 79,500,000 | 79,500,000 | ||||||||||||||
Federal Farm Credit Bank(b) | 0.530 | % | 07/07/2016 | 11/07/2017 | 130,000,000 | 129,992,907 | ||||||||||||||
Federal Farm Credit Bank(b) | 0.447 | % | 07/15/2016 | 05/15/2017 | 134,750,000 | 134,745,359 | ||||||||||||||
Federal Farm Credit Bank(b) | 0.436 | % | 07/11/2016 | 09/09/2016 | 47,600,000 | 47,600,131 | ||||||||||||||
Federal Farm Credit Bank(b) | 0.493 | % | 07/27/2016 | 04/27/2017 | 100,000,000 | 99,994,185 | ||||||||||||||
Federal Home Loan Bank(a) | 0.526 | % | 07/27/2016 | 07/27/2016 | 225,000,000 | 224,934,188 | ||||||||||||||
Federal Home Loan Bank(a) | 0.282 | % | 07/01/2016 | 07/01/2016 | 125,000,000 | 125,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.339 | % | 08/05/2016 | 08/05/2016 | 125,000,000 | 124,959,774 | ||||||||||||||
Federal Home Loan Bank(a) | 0.348 | % | 07/06/2016 | 07/06/2016 | 253,000,000 | 252,987,912 | ||||||||||||||
Federal Home Loan Bank(a) | 0.348 | % | 07/08/2016 | 07/08/2016 | 152,000,000 | 151,989,833 | ||||||||||||||
Federal Home Loan Bank(a) | 0.349 | % | 07/20/2016 | 07/20/2016 | 253,000,000 | 252,953,141 | ||||||||||||||
Federal Home Loan Bank(a) | 0.349 | % | 07/22/2016 | 07/22/2016 | 265,000,000 | 264,946,377 | ||||||||||||||
Federal Home Loan Bank(a) | 0.384 | % | 09/28/2016 | 09/28/2016 | 148,000,000 | 147,862,792 | ||||||||||||||
Federal Home Loan Bank(a) | 0.389 | % | 09/30/2016 | 09/30/2016 | 137,000,000 | 136,868,404 | ||||||||||||||
Federal Home Loan Bank(a) | 0.397 | % | 07/08/2016 | 07/08/2016 | 110,000,000 | 110,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.399 | % | 09/27/2016 | 09/27/2016 | 54,500,000 | 54,448,043 | ||||||||||||||
Federal Home Loan Bank(a) | 0.410 | % | 09/21/2016 | 09/21/2016 | 250,000,000 | 249,766,528 | ||||||||||||||
Federal Home Loan Bank(b) | 0.453 | % | 07/18/2016 | 05/18/2017 | 127,700,000 | 127,700,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.463 | % | 08/26/2016 | 08/26/2016 | 25,000,000 | 24,982,422 | ||||||||||||||
Federal Home Loan Bank(a) | 0.470 | % | 08/24/2016 | 08/24/2016 | 50,000,000 | 49,965,575 | ||||||||||||||
Federal Home Loan Bank(a) | 0.471 | % | 09/02/2016 | 09/02/2016 | 75,000,000 | 74,939,625 | ||||||||||||||
Federal Home Loan Bank(a) | 0.477 | % | 08/31/2016 | 08/31/2016 | 75,000,000 | 74,940,779 | ||||||||||||||
Federal Home Loan Bank(b) | 0.527 | % | 09/29/2016 | 06/29/2017 | 323,350,000 | 323,350,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.534 | % | 07/20/2016 | 04/20/2017 | 121,600,000 | 121,600,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.537 | % | 09/20/2016 | 06/20/2017 | 24,500,000 | 24,498,667 | ||||||||||||||
Federal Home Loan Bank(a) | 0.558 | % | 07/13/2016 | 07/13/2016 | 178,200,000 | 178,177,648 | ||||||||||||||
Federal Home Loan Bank(a) | 0.570 | % | 07/15/2016 | 07/15/2016 | 133,400,000 | 133,371,411 | ||||||||||||||
Federal Home Loan Bank(b) | 0.573 | % | 09/08/2016 | 09/08/2017 | 275,000,000 | 275,000,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.584 | % | 07/11/2016 | 01/11/2017 | 127,900,000 | 127,900,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.587 | % | 08/08/2016 | 08/08/2017 | 208,000,000 | 208,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.392 | % | 07/15/2016 | 07/15/2016 | 176,000,000 | 176,000,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.461 | % | 07/23/2016 | 05/23/2017 | 69,400,000 | 69,400,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.483 | % | 07/04/2016 | 05/04/2017 | 188,300,000 | 188,300,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.558 | % | 08/01/2016 | 11/01/2017 | 42,000,000 | 42,000,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.568 | % | 08/12/2016 | 02/10/2017 | 234,000,000 | 233,992,800 | ||||||||||||||
Federal Home Loan Bank(b) | 0.572 | % | 08/08/2016 | 02/08/2017 | 30,000,000 | 29,999,090 |
See accompanying notes to financial statements.
28
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY DEBT – (continued) | ||||||||||||||||||||
Federal Home Loan Bank(b) | 0.611 | % | 09/14/2016 | 06/14/2017 | $ | 251,000,000 | $ | 251,000,000 | ||||||||||||
Federal Home Loan Bank(b) | 0.443 | % | 07/25/2016 | 10/25/2016 | 48,600,000 | 48,600,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.462 | % | 08/09/2016 | 02/09/2017 | 175,000,000 | 175,000,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.585 | % | 07/13/2016 | 01/13/2017 | 125,700,000 | 125,700,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.572 | % | 08/08/2016 | 02/08/2017 | 46,800,000 | 46,798,581 | ||||||||||||||
Federal Home Loan Bank(b) | 0.438 | % | 07/20/2016 | 09/20/2016 | 119,100,000 | 119,100,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.392 | % | 07/12/2016 | 08/12/2016 | 224,000,000 | 224,000,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.581 | % | 07/10/2016 | 07/10/2017 | 144,000,000 | 143,996,357 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.258 | % | 07/01/2016 | 07/01/2016 | 80,500,000 | 80,500,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.260 | % | 08/08/2016 | 08/08/2016 | 122,500,000 | 122,467,156 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.264 | % | 07/22/2016 | 07/22/2016 | 66,900,000 | 66,889,854 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.266 | % | 08/03/2016 | 08/03/2016 | 190,000,000 | 189,954,854 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.298 | % | 09/14/2016 | 09/14/2016 | 167,750,000 | 167,648,651 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.304 | % | 07/13/2016 | 07/13/2016 | 31,700,000 | 31,696,830 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.307 | % | 09/26/2016 | 09/26/2016 | 163,150,000 | 163,031,716 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.334 | % | 09/21/2016 | 09/21/2016 | 224,400,000 | 224,229,282 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.337 | % | 08/12/2016 | 08/12/2016 | 55,400,000 | 55,378,671 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.339 | % | 09/07/2016 | 09/07/2016 | 158,100,000 | 158,001,451 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.346 | % | 08/26/2016 | 08/26/2016 | 32,000,000 | 31,983,076 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.347 | % | 09/09/2016 | 09/09/2016 | 316,000,000 | 315,791,703 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.391 | % | 07/17/2016 | 08/17/2016 | 126,500,000 | 126,500,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.404 | % | 07/11/2016 | 07/11/2016 | 190,000,000 | 189,978,889 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.407 | % | 07/24/2016 | 08/24/2016 | 136,000,000 | 136,000,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.449 | % | 11/16/2016 | 11/16/2016 | 106,100,000 | �� | 105,921,045 | |||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.453 | % | 07/20/2016 | 04/20/2017 | 100,000,000 | 99,987,723 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.548 | % | 07/06/2016 | 07/06/2016 | 99,599,000 | 99,591,530 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.564 | % | 09/21/2016 | 12/21/2017 | 75,000,000 | 75,000,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.487 | % | 07/13/2016 | 11/13/2017 | 220,000,000 | 220,000,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.276 | % | 07/05/2016 | 07/05/2016 | 52,700,000 | 52,698,419 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.338 | % | 09/13/2016 | 09/13/2016 | 100,000,000 | 99,932,167 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.383 | % | 07/07/2016 | 07/07/2016 | 169,250,000 | 169,240,530 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.409 | % | 11/17/2016 | 11/17/2016 | 163,500,000 | 163,247,483 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.251 | % | 08/03/2016 | 08/03/2016 | 148,000,000 | 147,966,762 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.263 | % | 08/17/2016 | 08/17/2016 | 76,250,000 | 76,224,316 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.280 | % | 07/27/2016 | 07/27/2016 | 80,000,000 | 79,983,822 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.295 | % | 09/28/2016 | 09/28/2016 | 124,000,000 | 123,911,712 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.306 | % | 08/02/2016 | 08/02/2016 | 243,600,000 | 243,535,040 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.316 | % | 07/20/2016 | 07/20/2016 | 155,950,000 | 155,924,627 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.327 | % | 09/07/2016 | 09/07/2016 | 120,100,000 | 120,027,406 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.327 | % | 09/21/2016 | 09/21/2016 | 90,000,000 | 89,934,400 |
See accompanying notes to financial statements.
29
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY DEBT – (continued) | ||||||||||||||||||||
Federal National Mortgage Assoc.(a) | 0.337 | % | 10/04/2016 | 10/04/2016 | $ | 151,800,000 | $ | 151,667,808 | ||||||||||||
Federal National Mortgage Assoc.(a) | 0.378 | % | 07/01/2016 | 07/01/2016 | 207,680,000 | 207,680,000 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.403 | % | 07/18/2016 | 07/18/2016 | 46,500,000 | 46,491,217 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.407 | % | 09/28/2016 | 09/28/2016 | 22,000,000 | 22,044,908 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.427 | % | 10/17/2016 | 10/17/2016 | 227,500,000 | 227,213,350 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.440 | % | 10/05/2016 | 10/05/2016 | 274,500,000 | 274,185,240 | ||||||||||||||
Federal National Mortgage Assoc.(b) | 0.452 | % | 07/16/2016 | 08/16/2017 | 255,000,000 | 254,971,062 | ||||||||||||||
Federal National Mortgage Assoc.(b) | 0.480 | % | 07/05/2016 | 10/05/2017 | 75,000,000 | 74,963,033 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.537 | % | 07/13/2016 | 07/13/2016 | 140,667,000 | 140,651,942 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.548 | % | 07/06/2016 | 07/06/2016 | 21,600,000 | 21,598,380 | ||||||||||||||
Federal National Mortgage Assoc.(b) | 0.457 | % | 07/08/2016 | 09/08/2017 | 200,000,000 | 199,928,285 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY DEBT | 12,057,493,644 | |||||||||||||||||||
TREASURY DEBT – 9.7% | ||||||||||||||||||||
U.S. Treasury Bill(a) | 0.228 | % | 07/21/2016 | 07/21/2016 | 450,000,000 | 449,939,742 | ||||||||||||||
U.S. Treasury Bill(a) | 0.228 | % | 08/04/2016 | 08/04/2016 | 100,000,000 | 99,978,726 | ||||||||||||||
U.S. Treasury Bill(a) | 0.230 | % | 08/11/2016 | 08/11/2016 | 75,000,000 | 74,979,785 | ||||||||||||||
U.S. Treasury Bill(a) | 0.238 | % | 07/14/2016 | 07/14/2016 | 150,000,000 | 149,987,344 | ||||||||||||||
U.S. Treasury Bill(a) | 0.260 | % | 07/28/2016 | 07/28/2016 | 200,000,000 | 199,961,000 | ||||||||||||||
U.S. Treasury Bill(a) | 0.260 | % | 09/29/2016 | 09/29/2016 | 250,000,000 | 249,837,500 | ||||||||||||||
U.S. Treasury Bill(a) | 0.275 | % | 08/18/2016 | 08/18/2016 | 75,000,000 | 74,972,500 | ||||||||||||||
U.S. Treasury Bill(a) | 0.350 | % | 08/25/2016 | 08/25/2016 | 150,000,000 | 149,919,792 | ||||||||||||||
U.S. Treasury Note(b) | 0.313 | % | 07/01/2016 | 10/31/2016 | 82,000,000 | 81,990,271 | ||||||||||||||
U.S. Treasury Note(b) | 0.334 | % | 07/01/2016 | 04/30/2017 | 131,000,000 | 131,000,373 | ||||||||||||||
U.S. Treasury Note(b) | 0.337 | % | 07/01/2016 | 07/31/2017 | 206,000,000 | 205,933,316 | ||||||||||||||
U.S. Treasury Note(b) | 0.428 | % | 07/01/2016 | 10/31/2017 | 150,000,000 | 149,798,212 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY DEBT | 2,018,298,561 | |||||||||||||||||||
|
| |||||||||||||||||||
|
| |||||||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 4.2% | ||||||||||||||||||||
Agreement with BNP Paribas Securities Corp. Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by a Federal Home Loan Mortgage Corporation, 1.000% due 07/28/2017, Federal National Mortgage Associations, 0.875% – 2.625% due 10/26/2017 – 09/06/2024, a U.S. Treasury Bill, 0.000% due 12/08/2016, U.S. Treasury Inflation Index Notes, 0.125% – 2.625% due 04/15/2017 – 07/15/2018, and U.S. Treasury Notes, 0.500% – 1.625% due 09/30/2016 –08/15/2022, valued at $153,000,000); expected proceeds $150,001,667 | 0.400 | % | 07/01/2016 | 07/01/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
See accompanying notes to financial statements.
30
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by Federal Farm Credit Banks, 0.543% – 1.980% due 05/25/2018 – 06/13/2023, valued at $48,960,402); expected proceeds $48,000,573 | 0.430 | % | 07/01/2016 | 07/01/2016 | $ | 48,000,000 | $ | 48,000,000 | ||||||||||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by Federal Farm Credit Banks, 0.467% – 2.000% due 07/08/2016 – 04/04/2022, Federal Home Loan Banks, 2.610% – 3.000% due 06/14/2027 –05/19/2036, and a Federal National Mortgage Association, 1.985% due 09/29/2021, valued at $153,000,528); expected proceeds $150,011,083 | 0.380 | % | 07/07/2016 | 07/07/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by a Federal Home Loan Mortgage Corporation, 0.500% due 01/27/2017, and a Federal National Mortgage Association, 0.100% due 05/21/2018, valued at $66,300,623); expected proceeds $65,000,740 | 0.410 | % | 07/01/2016 | 07/01/2016 | 65,000,000 | 65,000,000 | ||||||||||||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by Federal Farm Credit Banks, 0.476% 5.125% due 08/25/2016 – 01/17/2018, Federal Home Loan Mortgage Corporations, 0.000% – 3.750% due 03/27/2019 – 01/13/2022, Federal National Mortgage Associations, 1.750% – 2.625% due 02/19/2019 – 04/24/2026, a U.S. Treasury Bill, 0.000% due 08/04/2016, a U.S. Treasury Inflation Index Bond, 2.375% due 01/15/2027, U.S. Treasury Inflation Index Notes, 0.125% due 04/15/2018 – 04/15/2021, U.S. Treasury Note, 0.349% – 1.875% due 04/30/2017 –10/31/2022, valued at $459,004,856); expected proceeds $450,004,750 | 0.380 | % | 07/01/2016 | 07/01/2016 | 450,000,000 | 450,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS |
| 863,000,000 | ||||||||||||||||||
|
|
See accompanying notes to financial statements.
31
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 20.7% | ||||||||||||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by U.S. Treasury Bonds, 2.500% – 8.500% due 02/15/2020 – 02/15/2045, and U.S. Treasury Notes, 0.875% – 3.125% due 10/31/2016 –11/15/2023, valued at $462,065,153); expected proceeds $453,005,003 | 0.400% | 07/01/2016 | 07/01/2016 | $ | 453,000,000 | $ | 453,000,000 | |||||||||||||
Agreement with BNP Paribas Securities Corp. Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by a U.S. Treasury Bond, 3.000% due 11/15/2044, a U.S. Treasury Inflation Index Bond, 0.750% due 02/15/2042, and U.S. Treasury Notes, 1.625% – 2.000% due 08/31/2019 – 02/15/2022, valued at $364,140,019); expected proceeds $357,003,868 | 0.390% | 07/01/2016 | 07/01/2016 | 357,000,000 | 357,000,000 | |||||||||||||||
Agreement with Calyon Financial, Inc. and Bank of New York Mellon (Tri-Party), dated 06/24/2016 (collateralized by U.S. Treasury Inflation Index Bonds, 1.000% – 2.125% due 01/15/2028 – 02/15/2046, U.S. Treasury Inflation Index Notes, 0.125% – 0.375% due 04/15/2017 – 07/15/2023, and U.S. Treasury Notes, 0.875% – 1.000% due 05/31/2018 – 10/15/2018, valued at $306,000,003); expected proceeds $300,021,000 | 0.360% | 07/01/2016 | 07/01/2016 | 300,000,000 | 300,000,000 | |||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by a U.S. Treasury Note, 2.125% due 12/31/2021, valued at $78,540,053); expected proceeds $77,000,898 | 0.420% | 07/01/2016 | 07/01/2016 | 77,000,000 | 77,000,000 | |||||||||||||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by U.S. Treasury Bonds 4.750% – 6.125% due 08/15/2028 – 02/15/2037, and U.S. Treasury Notes, 1.375% – 1.625% due 12/31/2018 – 08/15/2022, valued at $2,000,013,949); expected proceeds $2,000,013,889 | 0.250% | 07/01/2016 | 07/01/2016 | 2,000,000,000 | 2,000,000,000 | |||||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/27/2016 (collateralized by U.S. Treasury Strips 0.000% due 11/15/2016 – 02/15/2026, valued at $153,001,674); expected proceeds $150,012,667 | 0.380% | 07/05/2016 | 07/05/2016 | 150,000,000 | 150,000,000 |
See accompanying notes to financial statements.
32
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/29/2016 (collateralized by U.S. Treasury Strips 0.000% due 02/15/2022 – 08/15/2023, valued at $204,001,269); expected proceeds $200,012,444 | 0.320 | % | 07/06/2016 | 07/06/2016 | $ | 200,000,000 | $ | 200,000,000 | ||||||||||||
Agreement with HSBC Securities USA, Inc. and JP Morgan Chase & Co. (Tri-Party), dated 06/30/2016 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, and U.S. Treasury Strips 0.000% due 11/15/2016 – 08/15/2025, valued at $153,001,474); expected proceeds $150,001,500 | 0.360 | % | 07/01/2016 | 07/01/2016 | 150,000,000 | 150,000,000 | ||||||||||||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 06/30/2016 (collateralized by a U.S. Treasury Bill, 0.000% due 12/08/2016, U.S. Treasury Bonds, 4.750% – 6.250% due 08/15/2023 – 02/15/2037, a U.S. Treasury Inflation Index Note, 0.125% due 04/15/2020, and U.S. Treasury Notes, 0.625% – 2.250% due 07/31/2017 – 11/15/2025, valued at $102,001,091); expected proceeds $100,001,056 | 0.380 | % | 07/01/2016 | 07/01/2016 | 100,000,000 | 100,000,000 | ||||||||||||||
Agreement with President and Fellows of Harvard College, dated 06/29/2016 (collateralized by 0.000% due 12/31/2017 – 11/30/2022, valued at $514,841,783); expected proceeds $516,374,744 | 0.620 | % | 07/06/2016 | 07/06/2016 | 516,312,500 | 516,312,500 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS |
| 4,303,312,500 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS(c)(d) – 92.6% |
| 19,242,104,705 | ||||||||||||||||||
Other Assets in Excess of Liabilities – 7.4% |
| 1,541,878,297 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% | $ | 20,783,983,002 | ||||||||||||||||||
|
|
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security – Interest rate shown is rate in effect at June 30, 2016. |
(c) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs (Note 2). |
(d) | Also represents the cost for federal tax purposes. |
See accompanying notes to financial statements.
33
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State Street U.S. Government Money Market Portfolio
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investments in securities, at value and cost (Note 2) | $ | 14,075,792,205 | ||
Repurchase agreements, at amortized cost | 5,166,312,500 | |||
|
| |||
Total Investments | 19,242,104,705 | |||
Cash | 1,540,500,415 | |||
Interest receivable (Note 2) | 2,549,030 | |||
|
| |||
Total Assets | 20,785,154,150 | |||
Liabilities | ||||
Advisory fee payable (Note 4) | 763,645 | |||
Custodian fees payable (Note 4) | 359,496 | |||
Professional fees payable | 17,504 | |||
Printing fee payable | 3,622 | |||
Accrued expenses and other liabilities | 26,881 | |||
|
| |||
Total liabilities | 1,171,148 | |||
|
| |||
Net Assets | $ | 20,783,983,002 | ||
|
|
See accompanying notes to financial statements.
34
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
For the Six Months Ended June 30, 2016 (Unaudited)
Investment Income | ||||
Interest income | $ | 14,843,944 | ||
Dividend income – unaffiliated issuers (Note 2) | 12,555,981 | |||
|
| |||
Total investment income (loss) | 27,399,925 | |||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 3,972,442 | |||
Administration and custody fees | 946,948 | |||
Trustees’ fees and expenses (Note 5) | 123,597 | |||
Professional fees | 81,516 | |||
Printing expense | 3,088 | |||
Insurance expense | 19,151 | |||
Miscellaneous expenses | 61,848 | |||
|
| |||
Total expenses | 5,208,590 | |||
|
| |||
Net Investment Income (Loss) | 22,191,335 | |||
|
| |||
Realized Gain (Loss): | ||||
Net realized gain (loss) on: | ||||
Investment transactions | 50,843 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 22,242,178 | ||
|
|
See accompanying notes to financial statements.
35
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Statements of Changes in Net Assets
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 22,191,335 | $ | 4,536,527 | ||||
Net realized gain (loss) | 50,843 | 106,964 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 22,242,178 | 4,643,491 | ||||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 22,486,602,659 | 30,186,959,859 | ||||||
Withdrawals | (17,748,352,426 | ) | (27,375,980,364 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Capital Transactions | 4,738,250,233 | 2,810,979,495 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets during the Period | 4,760,492,411 | 2,815,622,986 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 16,023,490,591 | 13,207,867,605 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 20,783,983,002 | $ | 16,023,490,591 | ||||
|
|
|
|
See accompanying notes to financial statements.
36
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Selected data for a share outstanding throughout each period
Six Months Ended 6/30/16 (Unaudited) | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | Year Ended 12/31/11 | |||||||||||||||||||
Total return(a) | 0.14 | %(b) | 0.03 | % | 0.01 | % | 0.03 | % | 0.08 | % | 0.04 | % | ||||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 20,783,983 | $ | 16,023,491 | $ | 13,207,868 | $ | 8,712,920 | $ | 8,621,186 | $ | 5,779,444 | ||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||
Total expenses | 0.07 | %(c) | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | ||||||||||||
Net expenses | 0.07 | %(c) | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | ||||||||||||
Net investment income (loss) | 0.28 | %(c) | 0.03 | % | 0.01 | % | 0.03 | % | 0.08 | % | 0.04 | %(d) |
(a) | Results represent past performance and are not indicative of future results. Total return for periods of less than one year are not annualized. |
(b) | Not annualized. |
(c) | Annualized. |
(d) | Results reflect the effect of expense waivers. Without these waivers, net investment income would have been lower. |
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1. | Organization |
The State Street Master Funds (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on July 27, 1999.
As of June 30, 2016, the Trust consists of six (6) series each of which represents a separate series of beneficial interest in the Trust. State Street U.S. Government Money Market Portfolio (the “Portfolio”) is authorized to issue an unlimited number of shares at with no par value. The financial statements herein relate only to State Street U.S. Government Money Market 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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The investments of the Portfolio are valued pursuant to the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.
The Portfolio’s securities are recorded on the basis of amortized cost which approximates fair value as permitted by Rule 2a-7 under the 1940 Act. This method values a security at its cost on the date of purchase and, thereafter, assumes a constant amortization to maturity of any premiums or accretion of any discounts.
Because of the inherent uncertainties of valuation and under certain market conditions, the values reflected in the financial statements may differ from the value received upon actual sale of those investments and it is possible that the differences could be material.
Various inputs are used in determining the value of the Portfolio’s investments. The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or
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Notes to Financial Statements — (continued)
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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 Portfolio had no transfers between levels for the period ended June 30, 2016.
Investment Transactions and Income Recognition
Investment transactions are accounted for on the trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premium and discounts are amortized/accreted for financial reporting purposes.
All of the net investment income and realized and unrealized gains and losses from the security transactions of the Portfolio are allocated pro rata among the partners in the Portfolio on a daily basis based on each partner’s daily ownership percentage.
Expenses
Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses, which cannot be attributed to a specific Portfolio 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 Portfolios within the Trust.
Distributions
Distributions from net investment income if any, are declared daily and are payable as of the last business day of each month. Net realized capital gains, if any, are distributed annually, unless additional distributions are required for compliance with applicable tax regulations. The amount and character of income and capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
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Notes to Financial Statements — (continued)
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3. | Securities and Other Investments |
Repurchase Agreements
The Portfolio may enter into repurchase agreements under the terms of a Master Repurchase Agreement. A repurchase agreement customarily obligates the seller at the time it sells securities to the Portfolio to repurchase the securities at a mutually agreed upon price and time. During the term of a repurchase agreement, the value of the underlying securities held as collateral on behalf of the Portfolio including accrued interest, is required to exceed the value of the repurchase agreement, including accrued interest.
The Portfolio monitors, on a daily basis, the value of the collateral to ensure it is at least equal to the Portfolio’s principal amount of the repurchase agreement (including accrued interest). The underlying securities are ordinarily United States Government or Government Agency securities, but may consist of other securities. The use of repurchase agreements involves certain risks including counterparty risks. In the event of a default by the counterparty, realization of the collateral proceeds could be delayed, during which the value of the collateral may decline.
As of June 30, 2016, the Portfolio had invested in repurchase agreements with the gross values of $5,166,312,500 and associated collateral equal to at least $5,217,872,877, though the value may be greater.
4. | Fees and Transactions with Affiliates |
Advisory Fee
The Trust has entered into an investment advisory agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”), under which the Adviser directs the investments of the Portfolio in accordance with its investment objectives, policies, and limitations. In compensation for the Adviser’s services as investment adviser, the Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
Administrator and Sub-Administrator
SSGA FM serves as administrator and State Street serves as custodian, sub-administrator and transfer agent. SSGA FM and State Street receive an annual fee for their services as administrator, custodian, sub-administrator and transfer agent, respectively. The annual fee is accrued daily and payable monthly at the following fee rate:
Asset Levels | Annual percentage of average aggregate monthly net assets | |
First $400 million | 0.03% | |
Next $15 billion | 0.02% | |
Thereafter | 0.01% | |
Minimum annual fee per Portfolio | $150,000 |
The minimum fee will be calculated by multiplying the minimum per portfolio fee by the number of portfolios within the Trust to arrive at the total minimum fee. The greater of the asset based fee or the minimum fee will be charged to the portfolios. SSGA FM and State Street each receive a portion of the fee.
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Notes to Financial Statements — (continued)
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5. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
6. | Income Tax Information |
The Portfolio is not required to pay federal income taxes on its net investment income and net capital gains because it is treated as a partnership for federal income tax purposes. All interest, gains and losses of the Portfolio is deemed to have been “passed through” to the Portfolio’s partners in proportion to their holdings in the Portfolio, regardless of whether such items have been distributed by the Portfolio. Each partner is responsible for tax liability based on its distributive share; therefore, no provision has been made for federal income taxes.
The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns for all open years and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
At June 30, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
7. | Risks |
Concentration Risk
As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.
Market, Credit and Counterparty Risk
In the normal course of business, the Portfolio trades securities and enters into financial transactions where risk of potential loss exists due to changes in global economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to counterparty risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults. The value of securities held by the Portfolio may decline in response to certain events, including those directly involving the companies whose securities are owned by the Portfolio; 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).
Financial assets, which potentially expose the Portfolio to market, credit and counterparty risks, consist principally of investments and cash due from counterparties. The extent of the Portfolio’s exposure to
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Notes to Financial Statements — (continued)
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market, credit and counterparty risks in respect to these financial assets approximates their value as recorded in the Portfolio’s Statement of Assets and Liabilities, less any collateral held by the Portfolio.
8. | Rule Issuance |
On July 23, 2014, the U.S. Securities and Exchange Commission (the “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 effective in October 2016. The rule changes also allow for certain liquidity-based redemption fees and gates, 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 Portfolio’s financial statements related disclosure.
9. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements other than below.
On May 20, 2016, the Board approved an Agreement and Plan of Reorganization (the “Plan”) whereby the SSGA U.S. Government Money Market Fund, a series of SSGA Funds, will merge with and into the State Street Institutional U.S. Government Money Market Fund, a series of State Street Institutional Investment Trust, and a feeder fund of State Street U.S. Government Money Market Portfolio, a series of State Street Master Trust, as set forth below effective August 26, 2016:
Selling Fund (Acquired Fund) | Buying Fund (Acquiring Fund) | Acquiring Master Portfolio | ||
SSGA U.S. Government Money Market Fund | State Street Institutional U.S. Government Money Market Fund | State Street U.S. Government Money Market Portfolio |
A regulatory filing with respect to the reorganization was issued on May 25, 2016. On August 22, 2016, the shareholders of the SSGA Funds (Selling Funds) approved the reorganization effective August 26, 2016.
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Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(a) | ||||||||||||||||
State Street U.S Government Money Market Portfolio | 0.07 | % | $ | 1,001.40 | $ | 0.35 | $ | 1,024.60 | $ | 0.35 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
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Other Information — (continued)
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Proxy Voting Policies and Procedures and Record
The Portfolio has adopted the proxy voting policies of the Adviser. A description of the policies and procedures that the Portfolio have adopted to determine how to vote proxies relating to portfolio securities are contained in the Portfolio’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (iii) at the U.S. Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330. Information regarding how 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 Portfolio will file their complete schedules of investments with the U.S. Securities and Exchange Commission for the first and third quarters of each fiscal year on Form N-Q. For the second and fourth quarters, the complete schedules of investments are available in the Portfolio’s semi-annual and annual financial statements. The Portfolio’s Form N-Q is available (i) without charge, upon request, by calling the Portfolio at 1-877-521-4083, (ii) on the Securities and Exchange Commission’s website at www.sec.gov, or (iii) at the Securities and Exchange Commission’s public reference room. Information on the operation of the public reference room may be obtained by calling 1-800-SEC-0330.
Monthly Portfolio Schedule
The Portfolio files its monthly portfolio holdings with the U.S. Securities and Exchange Commission on Form N-MFP. The SEC delays the public availability of the information filed on Form N-MFP for 60 days after the end of the reporting period included in the filing. The Portfolio’s Form N-MFP is available (i) on the U.S. Securities and Exchange Commission’s website at www.sec.gov, or (ii) at the Securities and Exchange Commission’s public reference room.
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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 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 on April 14-15, 2016 and May 19-20, 2016, including in Executive Sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to each portfolio series of each Trust (each, a “Fund” and collectively, the “Funds”), the continuation of the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). 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 who are independent of the Adviser in connection with their consideration of approval of the Advisory Agreements. Following the April 14-15, 2016 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 19-20, 2016 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, 2015, 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; |
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 Trustees before the annual review process is completed and prior to the Independent Trustees voting on proposals to approve continuation of the agreements and plans. |
2 | 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)
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• | 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 |
• | Information regarding the procedures and processes used to value the assets of the Funds. |
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; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | 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 services provided to the Funds by SSGA FM in its capacity as the Fund’s Administrator; |
• | 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, sub-administrator, fund |
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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; |
• | Draft responses to a letter 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: |
• | SSGA FM, in its capacity as the Funds’ Adviser and Administrator, with respect to its operations relating to the Funds and its approximate profit margins 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, 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 SSGA FM and State Street with respect to State Street Master Funds and State Street Institutional Investment Trust, and the Distributor with respect to State Street Institutional Investment Trust, providing any material changes to the previous information supplied in response to the letter from Joseph P. Barri, LLC prior to the Executive Sessions of the Board on May 19-20, 2016; |
• | Materials provided by Broadridge Financial Solutions, Inc., the successor by acquisition to the producer of Lipper materials used in previous years (“Broadridge”), 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 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.
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Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on May 19-20, 2016 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, 2016, 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. With respect to certain 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 extraordinary market conditions, and the Board noted that it was being asked to approve a floating net asset value for certain other money market funds. 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 SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the 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, 2015 by evaluating the performance of the Funds’ 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
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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.
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, including the portion attributable to administrative services provided by SSGA FM, and total expense ratio (both before and after giving effect to any expense caps), as compared to its “Expense Group” and “Expense Universe,” as constructed by Broadridge, and the related Broadridge analysis for each of the Funds. The Board also considered the comparability of the fees charged and the services provided to each Fund by the Adviser 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.
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 SSGA FM and Affiliated Service Providers, together with the ranges of profitability of each of the Affiliated Service Providers with respect to their services to the Funds. The Board noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the Funds’ investments.
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
49
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Other Information — (continued)
June 30, 2016 (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.
50
Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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 and Transfer Agent
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
800 Boylston Street
Boston, MA 02199
This report is for shareholder information. This is not a prospectus intended for use in the purchase or sale of shares of beneficial interest.
State Street Master Funds State Street Bank and Trust Company P.O. Box 5049 Boston, MA 02206 | SSITUSGOVMMSAR IBG-20875 |
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund invested in the Portfolio. Interests in the Portfolio are offered solely to eligible investors in private placement transactions that do not involve any “public offering” within the meaning of Section 4(a)(2) of the 1933 Act. This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current Portfolio offering document by calling 1-877-521-4083. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
Semi-Annual Report
30 June 2016
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
State Street Disciplined U.S. Equity Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
Semi-Annual Report
June 30, 2016 (Unaudited)
1 | ||||
2 | ||||
5 | ||||
6 | ||||
9 | ||||
10 | ||||
11 | ||||
12 | ||||
14 | ||||
21 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
Portfolio Composition* | June 30, 2016 | |||
Common Stocks | 98.0 | % | ||
Short-Term Investment | 0.8 | |||
Rights | 0.0 | ** | ||
Other Assets in Excess of Liabilities | 1.2 | |||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investment)* | June 30, 2016 | |||
Telecommunications | 9.3 | % | ||
Pharmaceuticals | 9.3 | |||
Food | 8.5 | |||
Electric | 6.7 | |||
Engineering & Construction | 5.9 | |||
Total | 39.7 | % |
* | As a percentage of net assets as of the date indicated. The Fund’s composition will vary over time. |
** | Less than 0.05% of net assets. |
See Accompanying Notes to Financial Statements.
1
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 98.0% | ||||||||
Australia – 5.5% | ||||||||
AGL Energy, Ltd.(a) | 2,835 | $ | 41,107 | |||||
CIMIC Group, Ltd.(a) | 1,241 | 33,450 | ||||||
Cochlear, Ltd.(a) | 490 | 44,635 | ||||||
Mirvac Group REIT(a) | 15,771 | 23,947 | ||||||
Qantas Airways, Ltd.(a)(b) | 13,342 | 28,217 | ||||||
|
| |||||||
171,356 | ||||||||
|
| |||||||
Belgium – 2.4% | ||||||||
Colruyt SA(a) | 693 | 38,391 | ||||||
Proximus SADP(a) | 1,114 | 35,439 | ||||||
|
| |||||||
73,830 | ||||||||
|
| |||||||
Denmark – 2.4% | ||||||||
Danske Bank A/S(a) | 1,394 | 36,719 | ||||||
Vestas Wind Systems A/S(a) | 586 | 39,861 | ||||||
|
| |||||||
76,580 | ||||||||
|
| |||||||
France – 6.6% | ||||||||
Eutelsat Communications SA(a) | 1,178 | 22,259 | ||||||
Gecina SA REIT(a) | 307 | 41,627 | ||||||
Orange SA(a) | 2,190 | 35,649 | ||||||
Peugeot SA(a)(b) | 1,240 | 14,879 | ||||||
Sanofi(a) | 331 | 27,530 | ||||||
Veolia Environnement SA(a) | 1,103 | 23,845 | ||||||
Vinci SA(a) | 549 | 38,783 | ||||||
|
| |||||||
204,572 | ||||||||
|
| |||||||
Germany – 5.6% | ||||||||
Deutsche Lufthansa AG(a) | 2,492 | 29,331 | ||||||
Fresenius SE & Co. KGaA(a) | 538 | 39,574 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen(a) | 199 | 33,407 | ||||||
OSRAM Licht AG(a) | 751 | 39,062 | ||||||
ProSiebenSat.1 Media SE(a) | 762 | 33,368 | ||||||
|
| |||||||
174,742 | ||||||||
|
| |||||||
Hong Kong – 8.9% | ||||||||
CK Hutchison Holdings, Ltd.(a) | 3,000 | 33,002 | ||||||
CLP Holdings, Ltd.(a) | 4,500 | 46,027 | ||||||
Hongkong Land Holdings, Ltd.(a) | 6,500 | 39,782 | ||||||
Power Assets Holdings, Ltd.(a) | 4,000 | 36,779 | ||||||
Sun Hung Kai Properties, Ltd.(a) | 3,000 | 36,188 | ||||||
Swire Pacific, Ltd. Class A(a) | 4,000 | 45,283 | ||||||
WH Group, Ltd.(a)(c) | 50,500 | 39,997 | ||||||
|
| |||||||
277,058 | ||||||||
|
| |||||||
Israel – 0.8% | ||||||||
Check Point Software Technologies, Ltd.(b) | 300 | 23,904 | ||||||
|
| |||||||
Japan – 24.8% | ||||||||
Asahi Glass Co., Ltd.(a) | 2,000 | 10,925 | ||||||
Asahi Group Holdings, Ltd.(a) | 1,300 | 42,312 | ||||||
Astellas Pharma, Inc.(a) | 2,700 | 42,621 | ||||||
Bridgestone Corp.(a) | 1,100 | 35,583 | ||||||
Canon, Inc.(a) | 1,300 | 37,360 | ||||||
Central Japan Railway Co.(a) | 200 | 35,807 | ||||||
Chubu Electric Power Co., Inc.(a) | 2,900 | 41,542 | ||||||
Daiichi Sankyo Co., Ltd.(a) | 1,700 | 41,573 | ||||||
Daito Trust Construction Co., Ltd.(a) | 300 | 49,029 | ||||||
Hoya Corp.(a) | 1,000 | 35,951 | ||||||
Japan Airlines Co., Ltd.(a) | 300 | 9,715 | ||||||
Security Description | Shares | Value | ||||||
Konami Holdings Corp.(a) | 1,600 | 61,441 | ||||||
Konica Minolta, Inc.(a) | 4,600 | 33,729 | ||||||
Kuraray Co., Ltd.(a) | 1,600 | 19,216 | ||||||
Mitsubishi Tanabe Pharma Corp.(a) | 2,100 | 38,193 | ||||||
Nikon Corp.(a) | 2,500 | 34,072 | ||||||
Nippon Telegraph & Telephone Corp.(a) | 900 | 42,483 | ||||||
NTT DOCOMO, Inc.(a) | 1,600 | 43,434 | ||||||
Sumitomo Chemical Co., Ltd.(a) | 9,000 | 37,379 | ||||||
Suzuken Co., Ltd.(a) | 1,200 | 38,020 | ||||||
Tokyu Corp.(a) | 5,000 | 44,187 | ||||||
|
| |||||||
774,572 | ||||||||
|
| |||||||
Netherlands – 3.9% | ||||||||
ING Groep NV(a) | 1,535 | 15,898 | ||||||
Koninklijke Ahold NV(a) | 1,710 | 37,802 | ||||||
Koninklijke KPN NV(a) | 9,585 | 34,202 | ||||||
NN Group NV(a) | 1,213 | 33,428 | ||||||
|
| |||||||
121,330 | ||||||||
|
| |||||||
Norway – 2.5% | ||||||||
Orkla ASA(a) | 4,606 | 40,968 | ||||||
Telenor ASA(a) | 2,336 | 38,671 | ||||||
|
| |||||||
79,639 | ||||||||
|
| |||||||
Singapore – 6.3% | ||||||||
CapitaLand Mall Trust REIT(a) | 25,100 | 39,945 | ||||||
ComfortDelGro Corp., Ltd.(a) | 17,500 | 35,971 | ||||||
Singapore Airlines, Ltd.(a) | 4,700 | 37,355 | ||||||
Singapore Press Holdings, Ltd.(a) | 13,900 | 40,997 | ||||||
Wilmar International, Ltd.(a) | 17,000 | 41,420 | ||||||
|
| |||||||
195,688 | ||||||||
|
| |||||||
South Africa – 1.0% | ||||||||
Mondi PLC(a) | 1,595 | 29,987 | ||||||
|
| |||||||
Spain – 3.6% | ||||||||
ACS Actividades de Construccion y Servicios SA(a) | 1,218 | 33,445 | ||||||
Aena SA(a)(c) | 279 | 37,021 | ||||||
Endesa SA(a) | 2,101 | 42,203 | ||||||
|
| |||||||
112,669 | ||||||||
|
| |||||||
Sweden – 3.6% | ||||||||
Boliden AB(a) | 609 | 11,885 | ||||||
Skanska AB Class B(a) | 1,892 | 39,560 | ||||||
Svenska Cellulosa AB SCA Class B(a) | 1,298 | 41,647 | ||||||
Swedish Match AB(a) | 542 | 18,888 | ||||||
|
| |||||||
111,980 | ||||||||
|
| |||||||
Switzerland – 10.6% | ||||||||
Adecco Group AG(a) | 641 | 32,407 | ||||||
Galenica AG(a) | 16 | 21,620 | ||||||
Givaudan SA(a) | 20 | 40,366 | ||||||
Lonza Group AG(a)(b) | 227 | 37,796 | ||||||
Roche Holding AG(a) | 150 | 39,675 | ||||||
Sika AG(a) | 10 | 42,030 | ||||||
Sonova Holding AG(a) | 320 | 42,572 | ||||||
Swiss Re AG(a) | 418 | 36,595 | ||||||
Swisscom AG(a) | 78 | 38,842 | ||||||
|
| |||||||
331,903 | ||||||||
|
|
See Accompanying Notes to Financial Statements.
2
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
United Kingdom – 9.0% | ||||||||
Associated British Foods PLC(a) | 831 | $ | 30,406 | |||||
Direct Line Insurance Group PLC(a) | 7,160 | 33,240 | ||||||
GlaxoSmithKline PLC(a) | 1,848 | 39,851 | ||||||
National Grid PLC(a) | 1,409 | 20,806 | ||||||
Reckitt Benckiser Group PLC(a) | 409 | 41,182 | ||||||
RELX PLC(a) | 2,214 | 40,940 | ||||||
SABMiller PLC(a) | 627 | 36,719 | ||||||
Wm Morrison Supermarkets PLC(a) | 14,697 | 37,049 | ||||||
|
| |||||||
280,193 | ||||||||
|
| |||||||
United States – 0.5% | ||||||||
Ball Corp. | 200 | 14,474 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 3,054,477 | ||||||
|
| |||||||
RIGHTS – 0.0%(d) | ||||||||
Spain – 0.0%(d) | ||||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/18/16)(b) | 1,218 | 857 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.8% | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(e)(f) | 25,504 | 25,504 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 98.8% |
| 3,080,838 | ||||||
Other Assets in Excess of | 36,072 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 3,116,910 | ||||||
|
|
(a) | Security is fair valued at year end by applying factors provided by independent third party in accordance with Fund’s valuation policy and procedures. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy. Total market value of such securities represent $3,016,099 and 96.8% of net assets of the Fund at June 30, 2016. |
(b) | Non-income producing security. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 2.5% of net assets as of June 30, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Amount is less than 0.05% of net assets. |
(e) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at June 30, 2016. |
REIT | Real Estate Investment Trust |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | – | $ | 171,356 | $ | – | $ | 171,356 | ||||||||
Belgium | – | 73,830 | – | 73,830 | ||||||||||||
Denmark | – | 76,580 | – | 76,580 | ||||||||||||
France | – | 204,572 | – | 204,572 | ||||||||||||
Germany | – | 174,742 | – | 174,742 | ||||||||||||
Hong Kong | – | 277,058 | – | 277,058 | ||||||||||||
Israel | 23,904 | – | – | 23,904 | ||||||||||||
Japan | – | 774,572 | – | 774,572 | ||||||||||||
Netherlands | – | 121,330 | – | 121,330 | ||||||||||||
Norway | – | 79,639 | – | 79,639 | ||||||||||||
Singapore | – | 195,688 | – | 195,688 | ||||||||||||
South Africa | – | 29,987 | – | 29,987 | ||||||||||||
Spain | – | 112,669 | – | 112,669 | ||||||||||||
Sweden | – | 111,980 | – | 111,980 | ||||||||||||
Switzerland | – | 331,903 | – | 331,903 | ||||||||||||
United Kingdom | – | 280,193 | – | 280,193 | ||||||||||||
United States | 14,474 | – | – | 14,474 | ||||||||||||
Rights | ||||||||||||||||
Spain | 857 | – | – | 857 | ||||||||||||
Short-Term Investment | 25,504 | – | – | 25,504 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 64,739 | $ | 3,016,099 | $ | – | $ | 3,080,838 | ||||||||
|
|
|
|
|
|
|
|
See Accompanying Notes to Financial Statements.
3
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Affiliate Table
Number of Shares Held at 2/19/16* | Value at 2/19/16* | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/16 | Value at 6/30/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | – | $ | – | 3,085,991 | 3,060,487 | 25,504 | $ | 25,504 | $ | 122 | $ | – |
* | Commencement of operations. |
See Accompanying Notes to Financial Statements.
4
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
Portfolio Composition* | June 30, 2016 | |||
Common Stocks | 99.2 | % | ||
Short-Term Investment | 2.4 | |||
Liabilities in Excess of Other Assets | (1.6 | ) | ||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investment)* | June 30, 2016 | |||
Electric | 11.9 | % | ||
Retail | 8.8 | |||
Pharmaceuticals | 8.1 | |||
Health Care Products | 7.0 | |||
Insurance | 7.0 | |||
Total | 42.8 | % |
* | As a percentage of net assets as of the date indicated. The Fund’s composition will vary over time. |
See Accompanying Notes to Financial Statements.
5
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – 99.2% | ||||||||
Aerospace & Defense – 3.3% | ||||||||
General Dynamics Corp. | 282 | $ | 39,266 | |||||
Huntington Ingalls Industries, Inc. | 189 | 31,757 | ||||||
Spirit AeroSystems Holdings, Inc.(a) | 875 | 37,625 | ||||||
|
| |||||||
108,648 | ||||||||
|
| |||||||
Agricultural Products – 4.1% | ||||||||
Archer-Daniels-Midland Co. | 1,096 | 47,008 | ||||||
Bunge, Ltd. | 589 | 34,839 | ||||||
Ingredion, Inc. | 405 | 52,411 | ||||||
|
| |||||||
134,258 | ||||||||
|
| |||||||
Airlines – 1.9% | ||||||||
Delta Air Lines, Inc. | 755 | 27,505 | ||||||
Southwest Airlines Co. | 888 | 34,818 | ||||||
|
| |||||||
62,323 | ||||||||
|
| |||||||
Apparel Retail – 0.9% | ||||||||
Foot Locker, Inc. | 545 | 29,899 | ||||||
|
| |||||||
Biotechnology – 1.1% | ||||||||
Amgen, Inc. | 230 | 34,994 | ||||||
|
| |||||||
Cable & Satellite – 1.3% | ||||||||
Comcast Corp. Class A | 645 | 42,048 | ||||||
|
| |||||||
Communications Equipment – 2.7% | ||||||||
Cisco Systems, Inc. | 1,531 | 43,924 | ||||||
F5 Networks, Inc.(a) | 393 | 44,739 | ||||||
|
| |||||||
88,663 | ||||||||
|
| |||||||
Consumer Finance – 0.9% | ||||||||
Ally Financial, Inc.(a) | 1,793 | 30,607 | ||||||
|
| |||||||
Department Stores – 0.9% | ||||||||
Macy’s, Inc. | 861 | 28,938 | ||||||
|
| |||||||
Diversified Chemicals – 1.0% | ||||||||
Dow Chemical Co. | 669 | 33,256 | ||||||
|
| |||||||
Electric Utilities – 10.6% | ||||||||
American Electric Power Co., Inc. | 609 | 42,685 | ||||||
Edison International | 600 | 46,602 | ||||||
Entergy Corp. | 528 | 42,953 | ||||||
Exelon Corp. | 1,283 | 46,650 | ||||||
FirstEnergy Corp. | 1,125 | 39,274 | ||||||
PG&E Corp. | 683 | 43,657 | ||||||
Pinnacle West Capital Corp. | 557 | 45,150 | ||||||
PPL Corp. | 1,059 | 39,977 | ||||||
|
| |||||||
346,948 | ||||||||
|
| |||||||
Electronic Components – 1.3% | ||||||||
Corning, Inc. | 2,074 | 42,476 | ||||||
|
| |||||||
Environmental & Facilities Services – 1.4% |
| |||||||
Waste Management, Inc. | 678 | 44,931 | ||||||
|
| |||||||
Food Retail – 1.1% | ||||||||
Kroger Co. | 944 | 34,730 | ||||||
|
| |||||||
General Merchandise Stores – 2.5% | ||||||||
Dollar General Corp. | 497 | 46,718 | ||||||
Target Corp. | 512 | 35,748 | ||||||
|
| |||||||
82,466 | ||||||||
|
| |||||||
Gold – 1.1% | ||||||||
Newmont Mining Corp. | 887 | 34,699 | ||||||
|
| |||||||
Security Description | Shares | Value | ||||||
Health Care Services – 2.4% | ||||||||
DaVita HealthCare Partners, Inc.(a) | 538 | 41,598 | ||||||
Express Scripts Holding Co.(a) | 489 | 37,066 | ||||||
|
| |||||||
78,664 | ||||||||
|
| |||||||
Health Care Distributors – 3.1% | ||||||||
AmerisourceBergen Corp. | 387 | 30,697 | ||||||
Cardinal Health, Inc. | 437 | 34,090 | ||||||
McKesson Corp. | 206 | 38,450 | ||||||
|
| |||||||
103,237 | ||||||||
|
| |||||||
Health Care Equipment – 4.9% | ||||||||
Baxter International, Inc. | 997 | 45,084 | ||||||
C.R. Bard, Inc. | 166 | 39,036 | ||||||
Hologic, Inc.(a) | 1,036 | 35,846 | ||||||
Intuitive Surgical, Inc.(a) | 63 | 41,669 | ||||||
|
| |||||||
161,635 | ||||||||
|
| |||||||
Health Care Facilities – 1.2% | ||||||||
HCA Holdings, Inc.(a) | 508 | 39,121 | ||||||
|
| |||||||
Health Care Supplies – 1.2% | ||||||||
DENTSPLY SIRONA, Inc. | 622 | 38,589 | ||||||
|
| |||||||
Health Care Technology – 0.8% | ||||||||
Cerner Corp.(a) | 466 | 27,308 | ||||||
|
| |||||||
Home Improvement Retail – 1.2% | ||||||||
Lowe’s Cos., Inc. | 507 | 40,139 | ||||||
|
| |||||||
Hotels, Resorts & Cruise Lines – 0.9% | ||||||||
Carnival Corp. | 706 | 31,205 | ||||||
|
| |||||||
Household Products – 3.2% | ||||||||
Clorox Co. | 188 | 26,017 | ||||||
Colgate-Palmolive Co. | 550 | 40,260 | ||||||
Procter & Gamble Co. | 458 | 38,779 | ||||||
|
| |||||||
105,056 | ||||||||
|
| |||||||
Hypermarkets & Super Centers – 1.3% | ||||||||
Wal-Mart Stores, Inc. | 567 | 41,402 | ||||||
|
| |||||||
Industrial Conglomerates – 1.4% | ||||||||
3M Co. | 255 | 44,656 | ||||||
|
| |||||||
Integrated Telecommunication Services – 4.0% |
| |||||||
AT&T, Inc. | 1,015 | 43,858 | ||||||
CenturyLink, Inc. | 1,554 | 45,082 | ||||||
Verizon Communications, Inc. | 763 | 42,606 | ||||||
|
| |||||||
131,546 | ||||||||
|
| |||||||
Internet Software & Services – 1.0% | ||||||||
eBay, Inc.(a) | 1,344 | 31,463 | ||||||
|
| |||||||
It Consulting & Other Services – 2.8% | ||||||||
Computer Sciences Corp. | 990 | 49,154 | ||||||
International Business Machines Corp. | 285 | 43,257 | ||||||
|
| |||||||
92,411 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 2.3% | ||||||||
Agilent Technologies, Inc. | 998 | 44,271 | ||||||
Thermo Fisher Scientific, Inc. | 209 | 30,882 | ||||||
|
| |||||||
75,153 | ||||||||
|
| |||||||
Mortgage Reits – 1.4% | ||||||||
Annaly Capital Management, Inc. | 4,030 | 44,612 | ||||||
|
| |||||||
Movies & Entertainment – 0.7% | ||||||||
Walt Disney Co. | 254 | 24,846 | ||||||
|
|
See Accompanying Notes to Financial Statements.
6
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Multi-Line Insurance – 2.2% | ||||||||
American International Group, Inc. | 570 | $ | 30,147 | |||||
Hartford Financial Services Group, Inc. | 923 | 40,963 | ||||||
|
| |||||||
71,110 | ||||||||
|
| |||||||
Multi-Sector Holdings – 1.2% | ||||||||
Berkshire Hathaway, Inc. Class B(a) | 279 | 40,396 | ||||||
|
| |||||||
Multi-Utilities – 1.3% | ||||||||
Public Service Enterprise Group, Inc. | 895 | 41,716 | ||||||
|
| |||||||
Oil & Gas Refining & Marketing – 0.7% | ||||||||
Valero Energy Corp. | 441 | 22,491 | ||||||
|
| |||||||
Packaged Foods & Meats – 3.6% | ||||||||
J.M. Smucker Co. | 212 | 32,311 | ||||||
Pinnacle Foods, Inc. | 863 | 39,948 | ||||||
Tyson Foods, Inc. Class A | 687 | 45,885 | ||||||
|
| |||||||
118,144 | ||||||||
|
| |||||||
Pharmaceuticals – 3.8% | ||||||||
Johnson & Johnson | 366 | 44,396 | ||||||
Merck & Co., Inc. | 688 | 39,636 | ||||||
Pfizer, Inc. | 1,144 | 40,280 | ||||||
|
| |||||||
124,312 | ||||||||
|
| |||||||
Property & Casualty Insurance – 2.4% | ||||||||
Allstate Corp. | 604 | 42,250 | ||||||
Travelers Cos., Inc. | 308 | 36,664 | ||||||
|
| |||||||
78,914 | ||||||||
|
| |||||||
Reinsurance – 1.1% | ||||||||
Everest Re Group, Ltd. | 207 | 37,813 | ||||||
|
| |||||||
Restaurants – 1.7% | ||||||||
Aramark | 738 | 24,664 | ||||||
Brinker International, Inc. | 723 | 32,918 | ||||||
|
| |||||||
57,582 | ||||||||
|
| |||||||
Semiconductors – 3.6% | ||||||||
Intel Corp. | 1,181 | 38,737 | ||||||
Texas Instruments, Inc. | 704 | 44,106 | ||||||
Xilinx, Inc. | 750 | 34,597 | ||||||
|
| |||||||
117,440 | ||||||||
|
| |||||||
Security Description | Shares | Value | ||||||
Soft Drinks – 1.2% | ||||||||
PepsiCo, Inc. | 371 | 39,304 | ||||||
|
| |||||||
Specialized Reits – 1.0% | ||||||||
Gaming and Leisure Properties, Inc. | 921 | 31,756 | ||||||
|
| |||||||
Specialty Stores – 1.0% | ||||||||
Staples, Inc. | 3,930 | 33,877 | ||||||
|
| |||||||
Steel – 1.0% | ||||||||
Reliance Steel & Aluminum Co. | 429 | 32,990 | ||||||
|
| |||||||
Systems Software – 1.1% | ||||||||
Microsoft Corp. | 692 | 35,410 | ||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 1.1% | ||||||||
Apple, Inc. | 364 | 34,798 | ||||||
|
| |||||||
Tobacco – 1.3% | ||||||||
Altria Group, Inc. | 611 | 42,135 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 3,251,115 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 2.4% | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47%(b)(c) | 81,000 | 81,000 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.6% |
| 3,332,115 | ||||||
Liabilities in Excess of | (53,885 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 3,278,230 | ||||||
|
|
(a) | Non-income producing security |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended June 30, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at June 30, 2016. |
REIT | Real Estate Investment Trust |
The following table summarizes the value of the Fund’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 108,648 | $ | – | $ | – | $ | 108,648 | ||||||||
Agricultural Products | 134,258 | – | – | 134,258 | ||||||||||||
Airlines | 62,323 | – | – | 62,323 | ||||||||||||
Apparel Retail | 29,899 | – | – | 29,899 | ||||||||||||
Biotechnology | 34,994 | – | – | 34,994 | ||||||||||||
Cable & Satellite | 42,048 | – | – | 42,048 | ||||||||||||
Communications Equipment | 88,663 | – | – | 88,663 | ||||||||||||
Consumer Finance | 30,607 | – | – | 30,607 | ||||||||||||
Department Stores | 28,938 | – | – | 28,938 | ||||||||||||
Diversified Chemicals | 33,256 | – | – | 33,256 |
See Accompanying Notes to Financial Statements.
7
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
Schedule of Investments — (continued)
June 30, 2016 (Unaudited)
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets – (continued) | ||||||||||||||||
Investments – (continued) | ||||||||||||||||
Common Stocks – (continued) | ||||||||||||||||
Electric Utilities | $ | 346,948 | $ | – | $ | – | $ | 346,948 | ||||||||
Electronic Components | 42,476 | – | – | 42,476 | ||||||||||||
Environmental & Facilities Services | 44,931 | – | – | 44,931 | ||||||||||||
Food Retail | 34,730 | – | – | 34,730 | ||||||||||||
General Merchandise Stores | 82,466 | – | – | 82,466 | ||||||||||||
Gold | 34,699 | – | – | 34,699 | ||||||||||||
Health Care Services | 78,664 | – | – | 78,664 | ||||||||||||
Health Care Distributors | 103,237 | – | – | 103,237 | ||||||||||||
Health Care Equipment | 161,635 | – | – | 161,635 | ||||||||||||
Health Care Facilities | 39,121 | – | – | 39,121 | ||||||||||||
Health Care Supplies | 38,589 | – | – | 38,589 | ||||||||||||
Health Care Technology | 27,308 | – | – | 27,308 | ||||||||||||
Home Improvement Retail | 40,139 | – | – | 40,139 | ||||||||||||
Hotels, Resorts & Cruise Lines | 31,205 | – | – | 31,205 | ||||||||||||
Household Products | 105,056 | – | – | 105,056 | ||||||||||||
Hypermarkets & Super Centers | 41,402 | – | – | 41,402 | ||||||||||||
Industrial Conglomerates | 44,656 | – | – | 44,656 | ||||||||||||
Integrated Telecommunication Services | 131,546 | – | – | 131,546 | ||||||||||||
Internet Software & Services | 31,463 | – | – | 31,463 | ||||||||||||
IT Consulting & Other Services | 92,411 | – | – | 92,411 | ||||||||||||
Life Sciences Tools & Services | 75,153 | – | – | 75,153 | ||||||||||||
Mortgage REITS | 44,612 | – | – | 44,612 | ||||||||||||
Movies & Entertainment | 24,846 | – | – | 24,846 | ||||||||||||
Multi-line Insurance | 71,110 | – | – | 71,110 | ||||||||||||
Multi-Sector Holdings | 40,396 | – | – | 40,396 | ||||||||||||
Multi-Utilities | 41,716 | – | – | 41,716 | ||||||||||||
Oil & Gas Refining & Marketing | 22,491 | – | – | 22,491 | ||||||||||||
Packaged Foods & Meats | 118,144 | – | – | 118,144 | ||||||||||||
Pharmaceuticals | 124,312 | – | – | 124,312 | ||||||||||||
Property & Casualty Insurance | 78,914 | – | – | 78,914 | ||||||||||||
Reinsurance | 37,813 | – | – | 37,813 | ||||||||||||
Restaurants | 57,582 | – | – | 57,582 | ||||||||||||
Semiconductors | 117,440 | – | – | 117,440 | ||||||||||||
Soft Drinks | 39,304 | – | – | 39,304 | ||||||||||||
Specialized REITS | 31,756 | – | – | 31,756 | ||||||||||||
Specialty Stores | 33,877 | – | – | 33,877 | ||||||||||||
Steel | 32,990 | – | – | 32,990 | ||||||||||||
Systems Software | 35,410 | – | – | 35,410 | ||||||||||||
Technology Hardware, Storage & Peripherals | 34,798 | – | – | 34,798 | ||||||||||||
Tobacco | 42,135 | – | – | 42,135 | ||||||||||||
Short-Term Investment | 81,000 | – | – | 81,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,332,115 | $ | – | $ | – | $ | 3,332,115 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 2/19/16* | Value at 2/19/16* | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/16 | Value at 6/30/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | – | $ | – | 3,098,990 | 3,017,990 | 81,000 | $ | 81,000 | $ | 184 | $ | – |
* | Commencement of operations. |
See Accompanying Notes to Financial Statements.
8
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
June 30, 2016 (Unaudited)
State Street Disciplined International Equity Fund | State Street Disciplined U.S. Equity Fund | |||||||
Assets | ||||||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 3,055,334 | $ | 3,251,115 | ||||
Investments in affiliated issuers, at value (Note 2) | 25,504 | 81,000 | ||||||
|
|
|
| |||||
Total investments | 3,080,838 | 3,332,115 | ||||||
Foreign currency, at value | 16,280 | – | ||||||
Receivable for investments sold | 38,230 | 47,855 | ||||||
Dividends receivable – unaffiliated issuers (Note 2) | 9,376 | 6,016 | ||||||
Interest receivable – affiliated issuers (Note 2) | 6 | 16 | ||||||
Receivable from Adviser (Note 3) | 23,692 | 24,317 | ||||||
Receivable for foreign taxes recoverable | 3,439 | – | ||||||
|
|
|
| |||||
Total assets | 3,171,861 | 3,410,319 | ||||||
|
|
|
| |||||
Liabilities | ||||||||
Payable for investments purchased | 15,340 | 93,276 | ||||||
Advisory fee payable (Note 3) | 2,175 | 1,719 | ||||||
Custodian fees payable (Note 3) | 6,349 | 6,990 | ||||||
Administration fees payable (Note 3) | 262 | 266 | ||||||
Transfer agent fees payable (Note 3) | 12,013 | 12,013 | ||||||
Registration and filing fees payable | 9,993 | 9,995 | ||||||
Professional fees payable | 5,454 | 5,454 | ||||||
Printing and postage fees payable | 3,365 | 2,376 | ||||||
|
|
|
| |||||
Total liabilities | 54,951 | 132,089 | ||||||
|
|
|
| |||||
Net Assets | $ | 3,116,910 | $ | 3,278,230 | ||||
|
|
|
| |||||
Net Assets Consist of: | ||||||||
Paid-in Capital | $ | 3,000,000 | $ | 3,000,000 | ||||
Undistributed (distribution in excess of) net investment income (loss) | 46,961 | 22,278 | ||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 31,300 | 2,972 | ||||||
Net unrealized appreciation (depreciation) on: | ||||||||
Investments | 39,307 | 252,980 | ||||||
Foreign currency transactions | (658 | ) | – | |||||
|
|
|
| |||||
Net Assets | $ | 3,116,910 | $ | 3,278,230 | ||||
|
|
|
| |||||
Class I | ||||||||
Net assets | $ | 3,116,910 | $ | 3,278,230 | ||||
Shares outstanding | 300,000 | 300,000 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 10.39 | $ | 10.93 | ||||
|
|
|
| |||||
Cost of Investments: | ||||||||
Investments in unaffiliated issuers | $ | 3,016,027 | $ | 2,998,135 | ||||
Investments in affiliated issuers | 25,504 | 81,000 | ||||||
|
|
|
| |||||
Total cost of investments | $ | 3,041,531 | $ | 3,079,135 | ||||
|
|
|
| |||||
Foreign currency, at cost | $ | 16,211 | $ | – | ||||
|
|
|
|
See Accompanying Notes to Financial Statements.
9
Table of Contents
State Street Institutional Investment Trust
For the Period Ended June 30, 2016 (Unaudited)(a)
State Street Disciplined International Equity Fund | State Street Disciplined U.S. Equity Fund | |||||||
Investment Income | ||||||||
Dividend income – unaffiliated issuers (Note 2) | $ | 62,215 | $ | 29,581 | ||||
Dividend income – affiliated issuers (Note 2) | 122 | 184 | ||||||
Foreign taxes withheld | (5,698 | ) | – | |||||
|
|
|
| |||||
Total investment income (loss) | 56,639 | 29,765 | ||||||
|
|
|
| |||||
Expenses | ||||||||
Advisory fee (Note 3) | 9,678 | 7,487 | ||||||
Administration fees (Note 3) | 569 | 576 | ||||||
Custodian fees (Note 3) | 12,755 | 10,889 | ||||||
Trustees’ fees and expenses (Note 4) | 3,901 | 3,901 | ||||||
Transfer agent fees (Note 3) | 14,536 | 14,536 | ||||||
Registration and filing fees | 16,997 | 16,999 | ||||||
Professional fees | 7,513 | 7,513 | ||||||
Printing and postage expenses | 15,680 | 14,813 | ||||||
Miscellaneous expenses | 2,200 | 2,201 | ||||||
|
|
|
| |||||
Total expenses | 83,829 | 78,915 | ||||||
|
|
|
| |||||
Expenses waived/reimbursed by the Adviser (Note 3) | (74,151 | ) | (71,428 | ) | ||||
|
|
|
| |||||
Net expenses | 9,678 | 7,487 | ||||||
|
|
|
| |||||
Net Investment Income (Loss) | 46,961 | 22,278 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) | ||||||||
Net realized gain (loss) on: | ||||||||
Investment transactions – unaffiliated issuers | 30,868 | 2,972 | ||||||
Foreign currency transactions | 432 | – | ||||||
|
|
|
| |||||
Net realized gain (loss) | 31,300 | 2,972 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation/depreciation on: | ||||||||
Investment transactions–unaffiliated issuers | 39,307 | 252,980 | ||||||
Foreign currency transactions | (658 | ) | – | |||||
|
|
|
| |||||
Net change in unrealized appreciation/depreciation | 38,649 | 252,980 | ||||||
|
|
|
| |||||
Net Realized And Unrealized Gain (loss) | 69,949 | 255,952 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Operations | $ | 116,910 | $ | 278,230 | ||||
|
|
|
|
(a) | For the period February 18, 2016 (inception date) through June 30, 2016. |
See Accompanying Notes to Financial Statements.
10
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Disciplined International Equity Fund | State Street Disciplined U.S. Equity Fund | |||||||
For the Period 2/18/16* – 6/30/16 (Unaudited) | For the Period 2/18/16* – 6/30/16 (Unaudited) | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 46,961 | $ | 22,278 | ||||
Net realized gain (loss) | 31,300 | 2,972 | ||||||
Net change in unrealized appreciation/depreciation | 38,649 | 252,980 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 116,910 | 278,230 | ||||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Class I | ||||||||
Shares sold | 3,000,000 | 3,000,000 | ||||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 3,000,000 | 3,000,000 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 3,000,000 | 3,000,000 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 3,116,910 | 3,278,230 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | – | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 3,116,910 | $ | 3,278,230 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 46,961 | $ | 22,278 | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Class I | ||||||||
Shares sold | 300,000 | 300,000 | ||||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 300,000 | 300,000 | ||||||
|
|
|
|
* | Inception date. |
See Accompanying Notes to Financial Statements.
11
Table of Contents
State Street Institutional Investment Trust
Selected data for a share outstanding throughout each period
State Street Disciplined International Equity Fund | ||||
Class I | ||||
For the Period 2/19/16 * – 6/30/16 (Unaudited) | ||||
Net Asset Value, Beginning of Period | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations | ||||
Net investment income (loss)(a) | 0.16 | |||
Net realized and unrealized gain (loss) | 0.23 | |||
|
| |||
Total from investment operations | 0.39 | |||
|
| |||
Net Asset Value, End of Period | $ | 10.39 | ||
|
| |||
Total Return(b) | 3.90 | %(c) | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 3,117 | ||
Ratios to average net assets: | ||||
Total expenses | 7.36 | %(d) | ||
Net expenses | 0.85 | %(d) | ||
Net investment income (loss) | 4.12 | %(d) | ||
Portfolio turnover rate | 14 | %(c) |
* | 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 distribution. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
See Accompanying Notes to Financial Statements.
12
Table of Contents
State Street Institutional Investment Trust
Financial Highlights
Selected data for a share outstanding throughout each period
State Street Disciplined U.S. Equity Fund | ||||
Class I | ||||
For the Period 2/19/16 * – 6/30/16 (Unaudited) | ||||
Net Asset Value, Beginning of Period | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations | ||||
Net investment income (loss)(a) | 0.07 | |||
Net realized and unrealized gain (loss) | 0.86 | |||
|
| |||
Total from investment operations | 0.93 | |||
|
| |||
Net Asset Value, End of Period | $ | 10.93 | ||
|
| |||
Total Return(b) | 9.30 | %(c) | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 3,278 | ||
Ratios to average net assets: | ||||
Total expenses | 6.85 | %(d) | ||
Net expenses | 0.65 | %(d) | ||
Net investment income (loss) | 1.93 | %(d) | ||
Portfolio turnover rate | 18 | %(c) |
* | 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 distribution. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
See Accompanying Notes to Financial Statements.
13
Table of Contents
State Street Institutional Investment Trust
June 30, 2016 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on February 16, 2000.
As of June 30, 2016, the Trust consists of fifty-one (51) series and corresponding classes, each of which have the same rights and privileges, including voting rights (each a “Fund” and collectively, the “Funds”). The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value.
The State Street Disciplined International Equity Fund and the State Street Disciplined U.S. Equity Fund (the “Funds”) are authorized to issue an unlimited number of shares with no par value. The financial statements herein relate only to:
Fund | Class | Inception Date | Commencement of Operations | Diversification Classification | ||||||||||||
State Street Disciplined International Equity Fund | Class I | February 18, 2016 | February 19, 2016 | Diversified | ||||||||||||
State Street Disciplined U.S. Equity Fund | Class I | February 18, 2016 | February 19, 2016 | Diversified |
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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund’s investments are valued at fair value each day that the 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 the policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the
14
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Board. The Committee provides oversight of the valuation of investments for the Funds. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value each Fund’s investments by major category are as follows:
• | Equity investments 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 services or brokers on the valuation date. If no prices are obtained from pricing services or brokers, valuation will be based upon the intrinsic value, pursuant to the valuation policy and procedures approved by the Board. |
• | 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. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
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 Funds’ underlying benchmarks. Various inputs are used in determining the value of the Funds’ investments.
The Funds value their assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 – Unadjusted quoted prices in active markets for 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, 2016 (Unaudited)
The value of each Fund’s investments according to the fair value hierarchy as of June 30, 2016, is disclosed in each Fund’s respective Schedule 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 the period ended June 30, 2016.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any.
Expenses
Certain expenses, which are directly identifiable to a specific Fund, are applied to that Fund within the Trust. 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 within the Trust.
Foreign Currency Translation
The accounting records of the Funds are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Foreign Taxes
The Funds may be subject to foreign taxes (a portion of which may be reclaimable) on income, stock dividends, realized and unrealized capital gains on investments or certain foreign currency transactions. Foreign taxes are recorded in accordance with SSGA Funds Management Inc.’s (the “Adviser” or “SSGA FM”) understanding of the applicable foreign tax regulations and rates that exist in the foreign jurisdictions in which the Funds invest. These foreign taxes, if any, are paid by the Funds and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of June 30, 2016, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Distributions
Distributions from net investment income, if any, are declared and paid 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Fees and Transactions with Affiliates |
Advisory Fee
The Funds have entered into an Investment Advisory Agreement with SSGA FM. For its advisory services to the Funds, facilities furnished, and expenses borne by the Adviser, the Funds pay the Adviser a fee accrued daily and paid monthly, at the rate of 0.85% and 0.65% of the State Street Disciplined International Equity Fund’s and State Street Disciplined U.S. Equity Fund’s average daily net assets, respectively.
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 expenses, and any class-specific expenses, such as distribution, shareholder servicing, administration and sub-transfer agency fees) exceed 0.85% and 0.65% for the State Street Disciplined International Equity Fund and State Street Disciplined U.S. Equity Fund, respectively, of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2017 except with the approval of the Board. For the period ended June 30, 2016, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $74,151 and $71,428 for the State Street Disciplined International Equity Fund and State Street Disciplined U.S. Equity Fund, respectively.
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as sub-administrator and custodian. For its administration services, each Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets. The fees are accrued daily and paid monthly. For its services as custodian, each Fund pays State Street an annual fee. SSGA FM pays State Street for its services as sub-administrator.
Transfer Agent
Boston Financial Data Services (“BFDS”), a joint venture of DST Systems, Inc. and State Street Corp., 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.
Distribution Fees
State Street Global Markets LLC (the “Distributor” or “SSGM”) 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 each Fund may compensate the Distributor (or others) for services in connection with the distribution of the Funds’ Class A shares and for services
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
provided to 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 each Funds’ net assets attributable to its Class A shares. As of June 30, 2016, the Funds’ Class A Shares did not commence operations. 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 a sub-transfer agent fee at an annual rate of up to 0.20% of the Funds’ average daily net assets attributable to Class A and Class I for recordkeeping, shareholder servicing, or administrative services provided by financial intermediaries.
Other Transactions with Affiliates
The Funds may invest in affiliated entities, included securities issued by State Street, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2016 are disclosed in the Schedule of Investments.
From time to time, the Funds may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Funds. As of June 30, 2016, based on management’s evaluation of the shareholder account base, the Funds had accounts representing controlling ownership of more than 10% of a Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 10% of the aggregated shares of the Fund, and the aggregate percentage of net assets represented by such holdings were as follows:
Fund | Number of 10% Affiliated Account Holdings | Percentage of Affiliated Ownership | ||||||
State Street Disciplined International Equity Fund | 1 | 100 | % | |||||
State Street Disciplined U.S. Equity Fund | 1 | 100 | % |
4. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
5. | Investment Transactions |
Purchases and sales of investments (excluding short term investments) for the period ended June 30, 2016, were as follows:
Other Securities | ||||||||
Purchases | Sales | |||||||
State Street Disciplined International Equity Fund | $ | 3,444,999 | $ | 436,376 | ||||
State Street Disciplined U.S. Equity Fund | 3,248,291 | 241,862 |
6. | Income Tax Information |
The Funds intend to qualify as a regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. 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. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Funds’ tax positions taken and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
As of June 30, 2016, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
State Street Disciplined International Equity Fund | $ | 3,041,531 | $ | 170,194 | $ | 130,887 | $ | 39,307 | ||||||||
State Street Disciplined U.S. Equity Fund | 3,079,135 | 298,906 | 45,926 | 252,980 |
7. | Risks |
Concentration of Risk
As a result of the Funds’ ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Fund’s investments more than if the Funds were more broadly diversified.
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Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Foreign and Emerging Markets Risks
Investing in foreign markets involve risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Fund invests. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that the Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk
In the normal course of business, the Funds trade financial instruments and enter into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, a Fund may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Fund has unsettled or open transactions defaults.
8. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Funds through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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State Street Institutional Investment Trust
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(b) | ||||||||||||||||
State Street Disciplined U.S. Equity Fund | ||||||||||||||||||||
Class I | 0.65 | % | $ | 1,020.50 | $ | 2.39 | $ | 1,015.80 | $ | 2.38 | ||||||||||
State Street Disciplined International Equity Fund | ||||||||||||||||||||
Class I | 0.85 | 1,039.00 | 3.15 | 1,015.10 | 3.11 |
(a) | Actual period is from commencement of operations 2/19/2016. |
(b) | Hypothetical expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 182, then divided by 366. |
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State Street Institutional Investment Trust
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s and the Portfolio’s investment adviser to vote proxies relating to the portfolio of securities are available (i) without charge, upon request by calling 1-877-521-4083 (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 adviser voted for the prior 12-month 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 Funds file a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Funds’ 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 the Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll free) and on the Funds’ website at www.ssgafunds.com.
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Table of Contents
Trustees
William L. Boyan
Michael F. Holland
Michael A. Jessee
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 and Transfer Agent of the Funds
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 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
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 | SSITDISCEQTYSAR IBG-20868 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
Semi-Annual Report
30 June 2016
State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Semi-Annual Report
June 30, 2016 (Unaudited)
1 | ||||
2 | ||||
3 | ||||
4 | ||||
5 | ||||
9 | ||||
Financial Statements of the State Street Disciplined Global Equity Portfolio | 17 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Statement of Assets and Liabilities
June 30, 2016 (Unaudited)
Assets | ||||
Investment in State Street Disciplined Global Equity Portfolio | $ | 3,269,178 | ||
Receivable for investments sold | 3,750 | |||
Receivable from Adviser (Note 3) | 25,727 | |||
|
| |||
Total assets | 3,298,655 | |||
Liabilities | ||||
Advisory fee payable (Note 3) | 1,975 | |||
Custodian fees payable (Note 3) | 1,624 | |||
Administration fees payable (Note 3) | 266 | |||
Transfer agent fees payable (Note 3) | 13,512 | |||
Registration and filing fees payable | 15,530 | |||
Professional fees payable | 6,121 | |||
Printing and postage fees payable | 1,172 | |||
|
| |||
Total liabilities | 40,200 | |||
|
| |||
Net Assets | $ | 3,258,455 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 3,000,000 | ||
Undistributed (distribution in excess of) net investment income (loss) | (8,620 | ) | ||
Accumulated net realized gain (loss) on investments | 2,205 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investment in State Street Disciplined Global Equity Portfolio | 264,870 | |||
|
| |||
Net Assets | $ | 3,258,455 | ||
|
| |||
Net Asset Value Per Share | ||||
Class I | ||||
Net assets | $ | 3,258,455 | ||
Shares outstanding | 300,000 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 10.86 | ||
|
| |||
Cost of Investments: | ||||
Investment in State Street Disciplined Global Equity Portfolio | $ | 3,004,308 | ||
|
| |||
Shares of State Street Disciplined Global Equity Portfolio | 300,000 | |||
|
|
See accompanying notes to financial statements and financial statements of the Master Portfolio.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
For the Period Ended June 30, 2016 (Unaudited)(a)
Investment Income | ||||
Dividend income from State Street Disciplined Global Equity Portfolio | $ | – | ||
|
| |||
Expenses | ||||
Advisory fee (Note 3) | 8,620 | |||
Administration fees (Note 3) | 575 | |||
Custodian fees (Note 3) | 4,360 | |||
Trustees’ fees and expenses (Note 3) | 3,901 | |||
Transfer agent fees (Note 3) | 14,536 | |||
Registration and filing fees | 17,101 | |||
Professional fees | 8,180 | |||
Printing and postage expenses | 19,747 | |||
Miscellaneous expenses | 600 | |||
Total expenses | 77,620 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 3) | (69,000 | ) | ||
|
| |||
Net expenses | 8,620 | |||
|
| |||
Net Investment Income (Loss) | (8,620 | ) | ||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment in State Street Disciplined Global Equity Portfolio | 2,205 | |||
|
| |||
Net realized gain (loss) | 2,205 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment in State Street Disciplined Global Equity Portfolio | 264,870 | |||
|
| |||
Net change in unrealized appreciation/depreciation | 264,870 | |||
|
| |||
Net Realized And Unrealized Gain (Loss) | 267,075 | |||
|
| |||
Net Increase (Decrease) In Net Assets from Operations | $ | 258,455 | ||
|
|
(a) | For the period February 18, 2016 (inception date) through June 30, 2016. |
See accompanying notes to financial statements and financial statements of the Master Portfolio.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Statement of Changes in Net Assets
For the Period 2/18/16* - 6/30/16 (Unaudited) | ||||
Increase (Decrease) in Net Assets From Operations: |
| |||
Net investment income (loss) | $ | (8,620 | ) | |
Net realized gain (loss) | 2,205 | |||
Net change in unrealized appreciation/depreciation | 264,870 | |||
|
| |||
Net increase (decrease) in net assets resulting from operations | 258,455 | |||
|
| |||
From Beneficial Interest Transactions: |
| |||
Class I | ||||
Shares sold | 3,000,000 | |||
|
| |||
Net increase (decrease) in net assets from beneficial interest transactions | 3,000,000 | |||
|
| |||
Net increase (decrease) in net assets during the period | 3,258,455 | |||
|
| |||
Net assets at beginning of period | – | |||
|
| |||
Net Assets at End of Period | $ | 3,258,455 | ||
|
| |||
Undistributed (distribution in excess of) net investment income (loss) | $ | (8,620 | ) | |
|
| |||
Shares of Beneficial Interest: |
| |||
Class I | ||||
Shares sold | 300,000 | |||
|
| |||
Net increase (decrease) from share transactions | 300,000 | |||
|
|
* | Inception date. |
See accompanying notes to financial statements and financial statements of the Master Portfolio.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Selected data for a share outstanding throughout each period
Class I | ||||
For the Period 2/19/16* - 6/30/16 (Unaudited) | ||||
Net Asset Value, Beginning of Period | $ | 10.00 | ||
|
| |||
Income (Loss) from Investment Operations | ||||
Net investment income (loss)(a) | (0.03 | ) | ||
Net realized and unrealized gain (loss) | 0.89 | |||
|
| |||
Total from investment operations | 0.86 | |||
|
| |||
Net Asset Value, End of Period | $ | 10.86 | ||
|
| |||
Total Return(b) | 8.60 | %(c) | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 3,258 | ||
Ratios to average net assets: | ||||
Total expenses | 6.75 | %(d) | ||
Net expenses | 0.75 | %(d) | ||
Net investment income (loss) | (0.75 | )%(d) | ||
Portfolio turnover rate(e) | 21 | %(c) |
* | 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 distribution. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
(d) | Annualized. |
(e) | Portfolio turnover rate is from the corresponding Portfolio. |
See accompanying notes to financial statements and financial statements of the Master Portfolio.
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Table of Contents
State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
June 30, 2016 (Unaudited)
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on February 16, 2000.
As of June 30, 2016, the Trust consists of fifty-one (51) series and corresponding classes, each of which have the same rights and privileges, including voting rights. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to:
Fund | Classes | Inception Date | Commencement of Operations | Diversification Classification | ||||
State Street Disciplined Global Equity Fund | Class I | February 18, 2016 | February 19, 2016 | Diversified |
The Fund is part of a master-feeder structure and invests substantially all of its assets in State Street Disciplined Global Equity Portfolio (the “Portfolio”), a separate series of SSGA Active Trust. The value of the Fund’s investment in the Portfolio reflects the Fund’s proportionate interest in net assets of the Portfolio (99.96% at June 30, 2016). The performance of the Fund is directly affected by the performance of the Portfolio. The financial statements of the Portfolio, including its Schedule of Investments, are attached to this report and should be read in conjunction with the Fund’s financial statements.
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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
The Fund records its investment in the Portfolio at fair value (net asset value) each business day. The valuation policy of the Portfolio is discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
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 the
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
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 policy and procedures developed by the Oversight Committee (the “Committee”) and approved by the Board of Trustees of the Trust (the “Board”). The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments. The summary of the inputs used for the Portfolio, as of June 30, 2016, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements, which are attached to this report.
The investment in the Portfolio is categorized as Level 1 for financial reporting purposes.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date 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, if any. Realized gains and losses from the sale or disposition of investments are determined using the identified cost method.
Expenses
Certain expenses, which are directly identifiable to a specific fund, are applied to that fund within the Trust. 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 relative net assets of the Funds within the Trust.
Distributions
Distributions from net investment income, if any, are declared and paid 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Fees and Transactions with Affiliates |
Advisory Fee
The Fund has entered into an Investment Advisory Agreement with SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”). For its advisory services to the Fund, facilities furnished, and expenses borne by the Adviser, the Fund pays the Adviser a fee accrued daily and paid monthly, at the rate of 0.75% of the Fund’s 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 expenses, and any class-specific expenses, such as distribution, shareholder servicing, and sub-transfer agency fees) exceed 0.75% of average daily net
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30, 2017 except with the approval of the Board. For the period ended June 30, 2016, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $69,000.
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian and sub-administrator. For its administration services, the Fund pays SSGA FM a fee at an annual rate of 0.05% of its average daily net assets. The fees are accrued daily and paid monthly. State Street receives fees for its services as custodian and sub-administrator from the Adviser.
Distribution Fees
State Street Global Markets LLC (the “Distributor” or “SSGM”) serves as the distributor of the Fund. SSGM is a wholly owned subsidiary of State Street Corporation. The Fund has adopted a distribution plan pursuant to Rule 12b-1 under the 1940 Act under which a Fund may compensate the Distributor (or others) for services in connection with the distribution of the Fund’s Class A shares and for services provided to 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. As of June 30, 2016, the Fund’s Class A shares have not commenced operations. 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 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.
Transfer Agent
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, and charges related to compliance and regulatory services.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Notes to Financial Statements — (continued)
June 30, 2016 (Unaudited)
Other Transactions with Affiliates
From time to time, the Fund may have a concentration of one or more accounts constituting a significant percentage of shares outstanding. Investment activities by holders of such accounts could have material impacts on the Fund. As of June 30, 2016, based on management’s evaluation of the shareholder account base, the Fund had accounts representing controlling ownership of more than 10% of the Fund’s total outstanding shares. The number of such accounts, based on accounts that represent more than 10% of the aggregate shares, and the aggregate percentage of net assets represented by such holdings were as follows:
Fund | Number of 10% Affiliated Account Holders | Percentage of Affiliated Ownership | ||||||
State Street Disciplined Global Equity Fund | 1 | 100 | % |
4. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Fund. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
Tax Information
The Fund intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. 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. Therefore, no provision for federal income tax is required.
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund’s tax positions taken on tax returns and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles.
6. Subsequent Events
Management has evaluated the impact of all subsequent events on the Fund through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
June 30, 2016 (Unaudited)
Expense Example
As a shareholder of a Fund, you incur two types of costs (1) transaction costs, including sales charges (loads), if applicable, on purchase payments, reinvested dividends, or other distributions and (2) ongoing costs, including advisory fees and to the extent applicable, distribution (12b-1) and/or service fees; and other Fund expenses. 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, 2016 to June 30, 2016.
The table below illustrates your Fund’s cost 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 transaction costs, such as sales load 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.
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio | Ending Account Value | Expenses Paid During Period(a) | Ending Account Value | Expenses Paid During Period(b) | ||||||||||||||||
State Street Disciplined Global Equity Fund | 0.75 | % | $ | 1,086.00 | $ | 2.84 | $ | 1,015.40 | $ | 2.75 |
(a) | Actual period is from commencement of operations 2/19/2016. |
(b) | Hypothetical expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 133, then divided by 366. |
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Records
A description of the Trust’s proxy voting policies and procedures that are used by the Fund’s investment adviser to vote proxies relating to the Fund’s portfolio of securities are available (i) without charge, upon request by calling 1-877-521-4083 (toll free) or (ii) on the website of the U.S. Securities and Exchange Commission, at www.sec.gov.
Information regarding how the investment adviser 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 Fund’s website at www.ssgafunds.com.
Quarterly Portfolio Schedule
The Fund files a complete schedule of investments 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 the Form N-Q is available upon request, without charge, by calling 1-877-521-4083 (toll free) and on the Fund’s website at www.ssgafunds.com.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
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 (commonly referred to as, the “Independent Trustees”) cast in person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (each a “Trust”), met in person, including in Executive Sessions attended by the Independent Trustees, to consider a proposal to approve the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”) with respect to State Street Disciplined Global Equity Fund (the “New Fund”). 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, who are 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, as 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 |
• | Information regarding the procedures and processes to be used to value the assets of the New Fund. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
• | Descriptions of the qualifications, education and experience of the individual investment professionals who will be responsible for managing the New Fund; |
• | Information relating to compliance with and the administration of each Code of Ethics adopted by the Adviser; |
• | 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 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 service providers; |
• | Draft responses to a letter 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: |
• | SSGA FM, 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 “Distributor”), the principal underwriter and distributor of the shares of the Other Funds, 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 from time to time 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.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
The Independent Trustees were assisted throughout the contract review process by their Independent Counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the 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.
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, the Board, including a majority of the Independent Trustees, voted to approve the adoption of, as applicable, and the continuation of 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 expected 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 considered the substantial expertise of the Adviser in developing and applying proprietary quantitative models for managing various other funds that invest primarily in equity securities. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention expected to be devoted to the New Fund by senior management.
The Board reviewed the compliance programs of SSGA FM and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the 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 had 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.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
Management Fees and Expenses
The Board reviewed the contractual investment advisory fee rates payable by the New Fund and actual fees paid 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 shareholders of the New Fund. Among other information, the Board considered that that the New Fund’s contractual management fee was within the range of the median contractual management fee for peer funds.
On the basis of the foregoing and other relevant information, and in light of the nature, extent and quality of the services to be provided by the Adviser, the Board concluded that the fees and the expense ratio of the New Fund compare favorably to the fees and expenses of similar mutual funds and are reasonable in relation to the services provided.
Profitability
Because the New Fund had 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 noted that the Adviser does not currently have “soft dollar” arrangements in effect for trading the New Fund’s investments.
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 New 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.
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
June 30, 2016 (Unaudited)
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
Michael F. Holland
Michael A. Jessee
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 Fund and the Portfolio and 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 02119
Transfer Agent of the Fund
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
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-20953 |
The information contained in this report is intended for the general information of shareholders of the Fund. This report is not authorized for distribution to prospective investors unless preceded or accompanied by a current Fund prospectus which contains important information concerning the Fund and the Trust. You may obtain a current prospectus and SAI from the Distributor by calling 1-877-521-4083 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
Annual Report
30 June 2016
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
ANNUAL REPORT
JUNE 30, 2016
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The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
TOP FIVE HOLDINGS AS OF JUNE 30, 2016
DESCRIPTION | DTE Energy Co. | Waste Management, Inc. | Quest Diagnostics, Inc. | Henry Schein, Inc. | Johnson & Johnson | |||||||||
MARKET VALUE | $48,767 | 47,250 | 47,218 | 47,029 | 46,822 | |||||||||
% OF NET ASSETS | 1.5 | 1.5 | 1.5 | 1.4 | 1.4 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular security.)
INDUSTRY BREAKDOWN AS OF JUNE 30, 2016*
INDUSTRY | PERCENT OF | |||||||||
Health Care Providers & Services | 10.2 | % | ||||||||
Electric Utilities | 9.4 | |||||||||
Diversified Telecommunication Services | 6.9 | |||||||||
Health Care Equipment & Supplies | 6.1 | |||||||||
Multi-Utilities | 5.8 | |||||||||
Food & Staples Retailing | 5.3 | |||||||||
Household Products | 5.0 | |||||||||
Insurance | 5.0 | |||||||||
Pharmaceuticals | 4.4 | |||||||||
Real Estate Investment Trusts (REITs) | 3.6 | |||||||||
Commercial Services & Supplies | 2.6 | |||||||||
Food Products | 2.3 | |||||||||
Media | 2.2 | |||||||||
Specialty Retail | 2.2 | |||||||||
Airlines | 2.1 | |||||||||
Software | 2.1 | |||||||||
Tobacco | 2.1 | |||||||||
Beverages | 1.7 | |||||||||
Technology Hardware, Storage & Peripherals | 1.7 | |||||||||
Metals & Mining | 1.6 | |||||||||
Aerospace & Defense | 1.3 | |||||||||
INDUSTRY | PERCENT OF | |||||||||
Auto Components | 1.2 | |||||||||
Containers & Packaging | 1.2 | |||||||||
Life Sciences Tools & Services | 1.2 | |||||||||
Internet Software & Services | 1.1 | |||||||||
Road & Rail | 1.1 | |||||||||
Communications Equipment | 1.0 | |||||||||
Consumer Finance | 1.0 | |||||||||
Industrial Conglomerates | 1.0 | |||||||||
Multiline Retail | 1.0 | |||||||||
Electrical Equipment | 0.8 | |||||||||
Household Durables | 0.8 | |||||||||
Banks | 0.6 | |||||||||
Oil, Gas & Consumable Fuels | 0.6 | |||||||||
Automobiles | 0.5 | |||||||||
Construction & Engineering | 0.4 | |||||||||
IT Services | 0.4 | |||||||||
Real Estate Management & Development | 0.4 | |||||||||
Short-Term Investment | 1.1 | |||||||||
Other Assets in Excess of Liabilities | 1.0 | |||||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
June 30, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS — 97.9% | ||||||||
AUSTRALIA — 1.3% | ||||||||
Qantas Airways, Ltd. (a) | 3,476 | $ | 7,352 | |||||
Telstra Corp., Ltd. (a) | 8,632 | 36,021 | ||||||
|
| |||||||
43,373 | ||||||||
|
| |||||||
BELGIUM — 0.8% | ||||||||
Delhaize Group (a) | 234 | 24,745 | ||||||
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| |||||||
CANADA — 3.9% | ||||||||
BCE, Inc. | 761 | 35,826 | ||||||
Metro, Inc. | 603 | 20,899 | ||||||
Shaw Communications, Inc. Class B | 1,757 | 33,552 | ||||||
TELUS Corp. | 1,156 | 37,029 | ||||||
|
| |||||||
127,306 | ||||||||
|
| |||||||
DENMARK — 1.2% | ||||||||
Novo Nordisk A/S Class B (a) | 247 | 13,312 | ||||||
Vestas Wind Systems A/S (a) | 370 | 25,168 | ||||||
|
| |||||||
38,480 | ||||||||
|
| |||||||
FRANCE — 1.5% | ||||||||
Peugeot SA (a)(b) | 1,271 | 15,251 | ||||||
Sanofi (a) | 393 | 32,687 | ||||||
|
| |||||||
47,938 | ||||||||
|
| |||||||
GERMANY — 2.8% | ||||||||
Fresenius SE & Co. KGaA (a) | 236 | 17,359 | ||||||
METRO AG (a) | 1,269 | 39,072 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen (a) | 79 | 13,262 | ||||||
RWE AG (a)(b) | 1,473 | 23,483 | ||||||
|
| |||||||
93,176 | ||||||||
|
| |||||||
HONG KONG — 4.5% | ||||||||
CK Hutchison Holdings, Ltd. (a) | 1,500 | 16,501 | ||||||
CLP Holdings, Ltd. (a) | 4,000 | 40,913 | ||||||
Hang Seng Bank, Ltd. (a) | 1,100 | 18,883 | ||||||
Jardine Matheson Holdings, Ltd. (a) | 300 | 17,539 | ||||||
Link REIT (a) | 4,000 | 27,354 | ||||||
Power Assets Holdings, Ltd. (a) | 3,000 | 27,584 | ||||||
|
| |||||||
148,774 | ||||||||
|
| |||||||
ISRAEL — 0.2% | ||||||||
Check Point Software Technologies, Ltd. (b) | 100 | 7,968 | ||||||
|
| |||||||
ITALY — 1.2% | ||||||||
Enel SpA (a) | 8,786 | 39,047 | ||||||
|
| |||||||
JAPAN — 8.4% | ||||||||
Astellas Pharma, Inc. (a) | 2,200 | 34,728 | ||||||
Bridgestone Corp. (a) | 500 | 16,174 | ||||||
Canon, Inc. (a) | 1,200 | 34,486 | ||||||
Central Japan Railway Co. (a) | 200 | 35,807 | ||||||
Hoya Corp. (a) | 400 | 14,380 | ||||||
Kirin Holdings Co., Ltd. (a) | 2,100 | 35,652 | ||||||
Mitsubishi Materials Corp. (a) | 5,000 | 12,050 | ||||||
Nippon Telegraph & Telephone Corp. (a) | 900 | 42,483 | ||||||
Sekisui Chemical Co., Ltd. (a) | 2,100 | 26,044 | ||||||
Sumitomo Rubber Industries, Ltd. (a) | 1,600 | $ | 21,562 | |||||
|
| |||||||
273,366 | ||||||||
|
| |||||||
NETHERLANDS — 1.3% | ||||||||
Koninklijke Ahold NV (a) | 1,851 | 40,919 | ||||||
Royal Dutch Shell PLC Class A (a) | 7 | 193 | ||||||
|
| |||||||
41,112 | ||||||||
NEW ZEALAND — 1.1% | ||||||||
Spark New Zealand, Ltd. (a) | 14,782 | 37,476 | ||||||
|
| |||||||
NORWAY — 0.5% | ||||||||
Norsk Hydro ASA (a) | 4,543 | 16,633 | ||||||
|
| |||||||
SINGAPORE — 1.2% | ||||||||
Ascendas REIT (a) | 6,500 | 12,040 | ||||||
Singapore Airlines, Ltd. (a) | 1,900 | 15,101 | ||||||
UOL Group, Ltd. (a) | 2,900 | 11,832 | ||||||
|
| |||||||
38,973 | ||||||||
|
| |||||||
SPAIN — 0.4% | ||||||||
ACS Actividades de Construccion y Servicios SA (a) | 535 | 14,690 | ||||||
|
| |||||||
SWEDEN — 1.1% | ||||||||
Swedish Match AB (a) | 994 | 34,640 | ||||||
|
| |||||||
SWITZERLAND — 3.3% | ||||||||
Sonova Holding AG (a) | 246 | 32,727 | ||||||
Swiss Re AG (a) | 422 | 36,945 | ||||||
Swisscom AG (a) | 78 | 38,842 | ||||||
|
| |||||||
108,514 | ||||||||
|
| |||||||
UNITED KINGDOM — 1.0% | ||||||||
Direct Line Insurance Group PLC (a) | 6,744 | 31,309 | ||||||
|
| |||||||
UNITED STATES — 62.2% | ||||||||
Agilent Technologies, Inc. | 875 | 38,815 | ||||||
Ally Financial, Inc. (b) | 1,825 | 31,153 | ||||||
Altria Group, Inc. | 458 | 31,584 | ||||||
Ameren Corp. | 768 | 41,149 | ||||||
American Capital Agency Corp. | 1,953 | 38,708 | ||||||
American Electric Power Co., Inc. | 520 | 36,447 | ||||||
Annaly Capital Management, Inc. | 3,380 | 37,417 | ||||||
Anthem, Inc. | 235 | 30,865 | ||||||
Archer-Daniels-Midland Co. | 859 | 36,842 | ||||||
Avery Dennison Corp. | 452 | 33,787 | ||||||
Axis Capital Holdings, Ltd. | 669 | 36,795 | ||||||
Ball Corp. | 100 | 7,219 | ||||||
Baxter International, Inc. | 832 | 37,623 | ||||||
C.R. Bard, Inc. | 196 | 46,091 | ||||||
Cardinal Health, Inc. | 391 | 30,502 | ||||||
Chubb, Ltd. | 341 | 44,572 | ||||||
Church & Dwight Co., Inc. | 258 | 26,546 | ||||||
Cintas Corp. | 366 | 35,916 | ||||||
Citrix Systems, Inc. (b) | 446 | 35,720 | ||||||
Clorox Co. | 315 | 43,593 | ||||||
Computer Sciences Corp. | 229 | 11,370 | ||||||
Consolidated Edison, Inc. | 458 | 36,841 | ||||||
DaVita HealthCare Partners, Inc. (b) | 565 | 43,686 | ||||||
Delta Air Lines, Inc. | 481 | 17,523 | ||||||
DENTSPLY SIRONA, Inc. | 648 | 40,202 | ||||||
Dr. Pepper Snapple Group, Inc. | 186 | 17,973 | ||||||
DTE Energy Co. | 492 | 48,767 | ||||||
eBay, Inc. (b) | 1,592 | 37,269 | ||||||
Edison International | 520 | 40,388 |
See accompanying notes to financial statements.
20
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2016
Security Description | Shares | Value | ||||||
Energizer Holdings, Inc. | 323 | $ | 16,631 | |||||
Entergy Corp. | 494 | 40,187 | ||||||
Exelon Corp. | 554 | 20,143 | ||||||
Express Scripts Holding Co. (b) | 534 | 40,477 | ||||||
F5 Networks, Inc. (b) | 296 | 33,697 | ||||||
Foot Locker, Inc. | 581 | 31,874 | ||||||
HCA Holdings, Inc. (b) | 522 | 40,199 | ||||||
Henry Schein, Inc. (b) | 266 | 47,029 | ||||||
Hologic, Inc. (b) | 824 | 28,510 | ||||||
Johnson & Johnson | 386 | 46,822 | ||||||
Kimberly-Clark Corp. | 249 | 34,232 | ||||||
L-3 Communications Holdings, Inc. | 282 | 41,367 | ||||||
McKesson Corp. | 123 | 22,958 | ||||||
NetApp, Inc. | 984 | 24,197 | ||||||
Newmont Mining Corp. | 568 | 22,220 | ||||||
O’Reilly Automotive, Inc. (b) | 144 | 39,038 | ||||||
Pfizer, Inc. | 501 | 17,640 | ||||||
Pinnacle West Capital Corp. | 493 | 39,963 | ||||||
PPL Corp. | 719 | 27,142 | ||||||
Procter & Gamble Co. | 498 | 42,166 | ||||||
Public Service Enterprise Group, Inc. | 846 | 39,432 | ||||||
Quest Diagnostics, Inc. | 580 | 47,218 | ||||||
Southwest Airlines Co. | 809 | 31,721 | ||||||
Synopsys, Inc. (b) | 458 | 24,769 | ||||||
Target Corp. | 485 | 33,863 | ||||||
Thomson Reuters Corp. | 980 | 39,443 | ||||||
Tyson Foods, Inc. Class A | 599 | 40,007 | ||||||
Universal Health Services, Inc. Class B | 141 | 18,908 | ||||||
Valero Energy Corp. | 364 | 18,564 | ||||||
Wal-Mart Stores, Inc. | 574 | 41,913 | ||||||
Waste Management, Inc. | 713 | 47,250 | ||||||
|
| |||||||
2,034,943 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 3,202,463 | |||||||
|
| |||||||
RIGHTS — 0.0% (c) | ||||||||
SPAIN — 0.0% (c) | ||||||||
ACS Actividades de Construccion y Servicios SA (expiring 7/18/16) (b) (Cost $420) | 535 | 376 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT — 1.1% | ||||||||
State Street Institutional Liquid Reserves Fund, Premier Class 0.47% (d)(e) (Cost $34,046) | 34,046 | 34,046 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.0% | 3,236,885 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 1.0% | 33,440 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,270,325 | ||||||
|
|
(a) | Security is fair valued at year end by applying factors provided by independent third party in accordance with Portfolio’s valuation policy and procedures. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy. Total market value of such securities represent $1,032,246 and 31.6% of net assets of the Fund at June 30, 2016. |
(b) | Non-income producing security. |
(c) | Amount is less than 0.05% of net assets. |
(d) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the year ended June 30, 2016 are shown in the Affiliate Table below. |
(e) | The rate shown is the annualized seven-day yield at June 30, 2016. |
REIT Real Estate Investment Trust
See accompanying notes to financial statements.
21
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
SCHEDULE OF INVESTMENTS (continued)
June 30, 2016
The following table summarizes the value of the Portfolio’s investments accordingly to the fair value hierarchy as of June 30, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | — | $ | 43,373 | $ | — | $ | 43,373 | ||||||||
Belgium | — | 24,745 | — | 24,745 | ||||||||||||
Canada | 127,306 | — | — | 127,306 | ||||||||||||
Denmark | — | 38,480 | — | 38,480 | ||||||||||||
France | — | 47,938 | — | 47,938 | ||||||||||||
Germany | — | 93,176 | — | 93,176 | ||||||||||||
Hong Kong | — | 148,774 | — | 148,774 | ||||||||||||
Israel | 7,968 | — | — | 7,968 | ||||||||||||
Italy | — | 39,047 | — | 39,047 | ||||||||||||
Japan | — | 273,366 | — | 273,366 | ||||||||||||
Netherlands | — | 41,112 | — | 41,112 | ||||||||||||
New Zealand | — | 37,476 | — | 37,476 | ||||||||||||
Norway | — | 16,633 | — | 16,633 | ||||||||||||
Singapore | — | 38,973 | — | 38,973 | ||||||||||||
Spain | — | 14,690 | — | 14,690 | ||||||||||||
Sweden | — | 34,640 | — | 34,640 | ||||||||||||
Switzerland | — | 108,514 | — | 108,514 | ||||||||||||
United Kingdom | — | 31,309 | — | 31,309 | ||||||||||||
United States | 2,034,943 | — | — | 2,034,943 | ||||||||||||
Rights | ||||||||||||||||
Spain | 376 | — | — | 376 | ||||||||||||
Short-Term Investment | 34,046 | — | — | 34,046 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $2,204,639 | $ | 1,032,246 | $— | $ | 3,236,885 | ||||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of Shares Held at 2/19/16* | Value At 2/19/16* | Shares Purchased | Shares Sold | Number of Shares Held at 6/30/16 | Value at 6/30/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | — | $ | — | 3,131,221 | 3,097,175 | 34,046 | $ | 34,046 | $ | 147 | $ | — |
* | Commencement of operations. |
See accompanying notes to financial statements.
22
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
STATEMENT OF ASSETS AND LIABILITIES
June 30, 2016
ASSETS | ||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 3,202,839 | ||
Investments in affiliated issuers, at value (Note 2) | 34,046 | |||
|
| |||
Total Investments | 3,236,885 | |||
Foreign currency, at value | 15,950 | |||
Receivable for investments sold | 19,067 | |||
Dividends receivable — unaffiliated issuers (Note 2) | 7,180 | |||
Dividends receivable — affiliated issuers (Note 2) | 9 | |||
Receivable from Adviser (Note 3) | 692 | |||
Receivable for foreign taxes recoverable | 1,886 | |||
|
| |||
TOTAL ASSETS | 3,281,669 | |||
|
| |||
LIABILITIES | ||||
Payable for investments purchased | 7,594 | |||
Payable for fund shares repurchased | 3,750 | |||
|
| |||
TOTAL LIABILITIES | 11,344 | |||
|
| |||
NET ASSETS | $ | 3,270,325 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Paid-in Capital | $ | 3,002,103 | ||
Undistributed (distribution in excess of) net investment income (loss) | 46,475 | |||
Accumulated net realized gain (loss) on investments | 15,463 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 206,727 | |||
Foreign currency transactions | (443 | ) | ||
|
| |||
NET ASSETS | $ | 3,270,325 | ||
|
| |||
NET ASSET VALUE PER SHARE | ||||
Net asset value per shares | $ | 10.89 | ||
|
| |||
Shares outstanding (unlimited amount authorized, no par value) | 300,200 | |||
|
| |||
COST OF INVESTMENTS: | ||||
Investments in unaffiliated issuers | $ | 2,996,112 | ||
Investments in affiliated issuers | 34,046 | |||
|
| |||
Total cost of investments | $ | 3,030,158 | ||
|
| |||
Foreign currency, at cost | $ | 16,084 | ||
|
|
See accompanying notes to financial statements.
23
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
For the Period Ended June 30, 2016 (a)
INVESTMENT INCOME | ||||
Dividend income — unaffiliated issuers (Note 2) | $ | 48,918 | ||
Dividend income — affiliated issuers (Note 2) | 147 | |||
Foreign taxes withheld | (3,389 | ) | ||
|
| |||
TOTAL INVESTMENT INCOME (LOSS) | 45,676 | |||
|
| |||
EXPENSES | ||||
Advisory fee (Note 3) | 2,300 | |||
Trustees’ fees and expenses (Note 4) | 163 | |||
Miscellaneous expenses | 600 | |||
|
| |||
TOTAL EXPENSES | 3,063 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 3) | (3,063 | ) | ||
|
| |||
NET INVESTMENT INCOME (LOSS) | 45,676 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investment transactions — unaffiliated issuers | 15,463 | |||
Foreign currency transactions | 799 | |||
|
| |||
Net realized gain (loss) | 16,262 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment transactions — unaffiliated issuers | 206,727 | |||
Foreign currency transactions | (443 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation | 206,284 | |||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 222,546 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | 268,222 | ||
|
|
(a) | For the period February 18, 2016 (inception date) through June 30, 2016. |
See accompanying notes to financial statements.
24
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
STATEMENT OF CHANGES IN NET ASSETS
For the Period 2/18/16* - 6/30/16 | ||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||
Net investment income (loss) | $ | 45,676 | ||
Net realized gain (loss) | 16,262 | |||
Net change in unrealized appreciation/depreciation | 206,284 | |||
|
| |||
Net increase (decrease) in net assets resulting from operations | 268,222 | |||
|
| |||
FROM BENEFICIAL INTEREST TRANSACTIONS: | ||||
Proceeds from shares sold | 3,036,146 | |||
Cost of shares redeemed | (34,043 | ) | ||
|
| |||
Net increase (decrease) in net assets from beneficial interest transactions | 3,002,103 | |||
|
| |||
Net increase (decrease) in net assets during the period | 3,270,325 | |||
|
| |||
Net assets at beginning of period | — | |||
|
| |||
NET ASSETS AT END OF PERIOD | $ | 3,270,325 | ||
|
| |||
Undistributed(distribution in excess of) net investment income (loss) | $ | 46,475 | ||
|
| |||
SHARES OF BENEFICIAL INTEREST: | ||||
Shares sold | 303,384 | |||
Shares redeemed | (3,184 | ) | ||
|
| |||
Net increase (decrease) | 300,200 | |||
|
|
* | Inception date. |
See accompanying notes to financial statements.
25
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
Selected data for a share outstanding throughout each period
For the Period 2/19/16* - 6/30/16 | ||||
Net asset value, beginning of period | $ | 10.00 | ||
|
| |||
Income (loss) from investment operations: | ||||
Net investment income (loss) (a) | 0.15 | |||
Net realized and unrealized gain (loss) | 0.74 | |||
|
| |||
Total from investment operations | 0.89 | |||
|
| |||
Net asset value, end of period | $ | 10.89 | ||
|
| |||
Total return (b) | 8.90 | %(c) | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 3,270 | ||
Ratios to average net assets: | ||||
Total expenses | 0.27 | %(d) | ||
Net expenses | 0.00 | %(d) | ||
Net investment income (loss) | 4.00 | %(d) | ||
Portfolio turnover rate | 21 | %(c) |
* | 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 distribution. Total return for periods of less than one year is not annualized. Broker commission charges are not included in this calculation. |
(c) | Not annualized. |
(d) | Annualized. |
See accompanying notes to financial statements.
26
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
June 30, 2016
1. | Organization |
SSGA Active Trust (the “Trust”), which is registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized as a Massachusetts business trust on March 30, 2011.
As of June 30, 2016, the Trust consists of fourteen (14) series and corresponding classes, each of which have the same rights and privileges, including voting rights, each of which represets a separate series of beneficial interest in the Trust. The Declaration of Trust permits the Board of Trustees of the Trust (the “Board”) to authorize the issuance of an unlimited number of shares of beneficial interest with no par value. The financial statements herein relate only to:
Fund | Inception��Date | Commencement of Operations | Diversification Classification | |||
State Street Disciplined Global Equity Portfolio | February 18, 2016 | February 19, 2016 | Diversified |
The Portfolio serves as a master fund in a master feeder structure.
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.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. The Portfolio is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
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 the policy 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 Portfolio. The Board has responsibility for determining the fair value of investments.
Valuation techniques used to value the Portfolio’s investments by major category are as follows:
• | Equity investments 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 services or brokers on the valuation date. If no prices are obtained from pricing services or brokers, valuation will be based upon the intrinsic value, pursuant to the valuation policy and procedures approved by the Board. |
• | 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. |
27
Table of Contents
SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
NOTES TO FINANCIAL STATEMENTS (continued)
June 30, 2016
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
A “significant event” is an event that the Trustee believes, with a reasonably high degree of certainty, has caused the closing market prices of a Fund’s portfolio securities to no longer reflect their value at the time of the Fund’s net asset value calculation. Fair value may be determined using an independent fair value service under valuation procedures approved by the Trustee. The independent fair value service takes into account multiple factors including, but not limited to, movements in the U.S. securities markets, certain depositary receipts, futures contracts and foreign currency exchange rates that have occurred subsequent to the close of foreign securities exchanges. The use of the independent fair value service or alternative fair valuation methods would result in the investments being classified within Level 2 of the fair value hierarchy. At June 30,2016, the independent fair value service was used for certain foreign securities in the Fund’s portfolio, and these securities were classified within Level 2 of the fair value hierarchy.
Fair value pricing could result in a difference between the prices used to calculate a Portfolio’s net asset value and the prices used by the Portfolio’s underlying benchmark. Various inputs are used in determining the value of the Portfolio’s investments.
The Portfolio values its assets and liabilities at fair value using a fair value hierarchy consisting of three broad levels that prioritize the inputs to valuation techniques giving the highest priority to readily available unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements) when market prices are not readily available or reliable. The categorization of a value determined for an investment within the hierarchy is based upon the pricing transparency of the investment and is not necessarily an indication of the risk associated with investing in it.
The three levels of the fair value hierarchy are as follows:
• | Level 1 — Unadjusted quoted prices in active markets for identical assets or liabilities; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the assets or liabilities 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 disclosure 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 the period ended June 30, 2016.
The value of the Portfolio’s investments according to the fair value hierarchy as of June 30, 2016, is disclosed in the Portfolio’s Schedule of Investments.
Investment Transactions and Income Recognition
Investment transactions are accounted for on trade date for financial reporting purposes. Realized gains and losses from the sale or disposition of investments and foreign exchange transactions, if any, are determined using the identified cost method.
Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of any foreign taxes withheld at source, if any.
The Portfolio invests in Real Estate Investment Trusts (REITs). REITs determine the tax character of their distributions annually and may characterize a portion of their distributions as a return of capital or capital gain. The Portfolio’s policy is to record all REIT distributions initially as dividend income and re-designate to return of capital or capital gains
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June 30, 2016
distributions at year end based on information provided by the REIT and/or SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) estimates of such re-designations for which actual information has not yet been reported.
Expenses
Certain expenses, which are directly identifiable to a specific Portfolio, are applied to that Portfolio within the Trust. Other expenses which cannot be attributed to a specific Portfolio 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 Portfolio within the Trust.
Foreign Currency Translation
The accounting records of the Portfolio are maintained in U.S. dollars. Foreign currencies as well as investment securities and other assets and liabilities denominated in a foreign currency are translated to U.S. dollars using exchange rates at period end. Purchases and sales of securities, income receipts and expense payments denominated in foreign currencies are translated into U.S. dollars at the prevailing exchange rate on the respective dates of the transactions.
The effects of exchange rate fluctuations on investments are included with the net realized and unrealized gain (loss) on investment securities. Other foreign currency transactions resulting in realized and unrealized gain (loss) are disclosed separately.
Distributions
Distributions from net investment income, if any, are declared and paid 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 capital gains to be distributed are determined in accordance with applicable tax regulations which may differ from net investment income and realized gains recognized for U.S. GAAP purposes.
3. | Fees and Transactions with Affiliates |
Advisory Fee
The Portfolio has entered into an Investment Advisory Agreement with SSGA FM. For its advisory services, the Portfolio pays the Adviser a fee accrued daily and paid monthly, at a rate of 0.25% of the Portfolio’s average daily net assets.
The Adviser has contractually agreed to waive the entire amount of this fee until the later of April 30, 2017 or such time as the shares of the Portfolio cease to be the only investment security held by the Fund. The waiver may be terminated only by the Portfolio’s Board. The Adviser pays all expenses of the Portfolio other than the management fee, distribution fees pursuant to the Distribution and Service Plan, if any, brokerage, taxes, interest, fees and expenses of the Independent Trustees (including any Trustee’s counsel fees), litigation expenses and other extraordinary expenses.
Administrator and Sub-Administrator Fees
SSGA FM serves as administrator and State Street Bank and Trust Company (“State Street”), an affiliate of the Adviser, serves as custodian, sub-administrator and transfer agent. State Street receives fees for its services as custodian, sub-administrator and transfer agent from the Adviser.
Other Transactions with Affiliates
The Portfolio may invest in affiliated entities, included securities issued by State Street, affiliated funds, or entities deemed to be affiliates as a result of the Portfolio owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended June 30, 2016 are disclosed in the applicable Schedules of Investments.
4. | Trustees’ Fees |
The fees and expenses of the Trust’s trustees who are not “interested persons” of the Trust, as defined in the 1940 Act (“Independent Trustees”) are paid directly by the Portfolio. The Independent Trustees are reimbursed for travel and other out-of-pocket expenses in connection with meeting attendance and industry seminars.
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5. | Investment Transactions |
Purchases and sales of investments (excluding short term investments) for the period ended June 30, 2016, were as follows:
Purchases | Sales | |||||||
State Street Disciplined Global Equity Portfolio | $ | 3,670,313 | $ | 666,949 |
6. | Income Tax Information |
The Portfolio intends to qualify as a regulated investment company under Subchapter M of the Internal Revenue Code of 1986, as amended. The Portfolio will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. The federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Portfolio’s tax positions taken on tax returns and does not believe there are any uncertain tax positions that would require recognition of a tax liability.
Distributions to shareholders are recorded on ex-dividend date. Income dividends and gain distributions are determined in accordance with income tax rules and regulations, which may differ from generally accepted accounting principles. Certain capital accounts in the financial statements have been adjusted for permanent book- tax differences. These adjustments have no impact on net asset values or results of operations. Temporary book-tax differences will reverse in the future. These book-tax differences are primarily due to differing treatments for foreign currencies gains and losses and passive foreign investment companies.
As of June 30, 2016, the components of distributable earnings on a tax basis were as follows:
Undistributed Ordinary Income | Capital Loss Carryforwards | Undistributed Long-Term Capital Gains | Net Unrealized Gains (Losses) | Qualified Late-Year Losses | Total | |||||||||||||||||||
State Street Disciplined Global Equity Portfolio | $ | 62,761 | $ | — | $ | — | $ | 205,461 | $ | — | $ | 268,222 |
As of June 30, 2016, gross unrealized appreciation and gross unrealized depreciation of investments based on cost for federal income tax purposes were as follows:
Tax Cost | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) | |||||||||||||
State Street Disciplined Global Equity Portfolio | $ | 3,030,981 | $ | 264,892 | $ | 58,988 | $ | 205,904 |
7. | Risks |
Concentration Risk
As a result of the Portfolio’s ability to invest a large percentage of its assets in obligations of issuers within the same country, state, region, currency or economic sector, an adverse economic, business or political development may affect the value of the Portfolio’s investments more than if the Portfolio were more broadly diversified.
Foreign and Emerging Markets Risks
Investing in foreign markets involve risks and considerations not typically associated with investing in the U.S. Foreign securities may be subject to risk of loss because of government regulation, economic, political and social instability in the countries in which the Portfolio invests. Foreign markets may be less liquid than investments in the U.S. and may be
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subject to the risks of currency fluctuations. To the extent that the Portfolio invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
Market and Credit Risk
In the normal course of business, the Portfolio trades financial instruments and enters into financial transactions where risk of potential loss exists due to changes in the general economic conditions and fluctuations of the market (market risk). Additionally, the Portfolio may also be exposed to credit risk in the event that an issuer or guarantor fails to perform or that an institution or entity with which the Portfolio has unsettled or open transactions defaults.
8. | Subsequent Events |
Management has evaluated the impact of all subsequent events on the Portfolio through the date on which the financial statements were available to be issued and has determined that there were no subsequent events requiring adjustment or disclosure in the financial statements.
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SPDR ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
REPORT OF INDEPENDENT REGISTERED PUBLIC ACCOUNTING FIRM
To the Shareholders and Board of Trustees of
SSGA Active Trust
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of State Street Disciplined Global Equity Portfolio (the “Portfolio”) (one of the portfolios constituting SSGA Active Trust) as of June 30, 2016, and the related statement of operations, statement of changes in net assets, and the financial highlights for the periods indicated therein. These financial statements and financial highlights are the responsibility of the Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audit.
We conducted our audit in accordance with the standards of the Public Company Accounting Oversight Board (United States). Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements and financial highlights are free of material misstatement. We were not engaged to perform an audit of the Portfolio’s internal control over financial reporting. Our audit included consideration of internal control over financial reporting as a basis for designing audit procedures that are appropriate in the circumstances, but not for the purpose of expressing an opinion on the effectiveness of the Portfolio’s internal control over financial reporting. Accordingly, we express no such opinion. An audit also includes examining, on a test basis, evidence supporting the amounts and disclosures in the financial statements and financial highlights, assessing the accounting principles used and significant estimates made by management, and evaluating the overall financial statement presentation. Our procedures included confirmation of securities owned as of June 30, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers or others were not received. We believe that our audit provides a reasonable basis for our opinion.
In our opinion, the financial statements and financial highlights referred to above present fairly, in all material respects, the financial position of State Street Disciplined Global Equity Portfolio (one of the portfolios constituting SSGA Active Trust) at June 30, 2016, and the results of its operations, the changes in its net assets and the financial highlights for the periods indicated therein in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
August 26, 2016
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Tax Information
Qualified Dividend Income
A portion of the dividends distributed by the Fund during the fiscal year ended June 30, 2016, are considered qualified dividend income, and are eligible for reduced tax rates. These lower rates range from 5% to 20% depending on the individual’s tax bracket. This amount is noted below:
Amount | ||||
State Street Disciplined Global Equity Portfolio | $ | 39,926 |
Proxy Voting Policies and Procedures and Records
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’s 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, at www.sec.gov.
Information regarding how the investment adviser 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.spdrs.com.
Quarterly Portfolio Schedule
The Portfolio files a complete schedule of investments with the SEC for the first and third quarters of each fiscal year on Form N-Q. 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 the Form N-Q is available upon request, without charge, by calling 1-866-787-2257 (toll free) and on the Fund’s website at www.spdrs.com.
Approval of Advisory Agreements
At in-person meetings held prior to June 30, 2016, the Board of Trustees of the Trusts (the “Board”) evaluated proposals (1) to continue the separate Investment Advisory Agreements (the “Agreements”) between each Trust and SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) with respect to the operational series of SSGA Active Trust (the “Current ETFs”) and SSGA Master Trust (together with the Current ETFs, the “Current Funds”), and (2) to approve the separate Agreements between the Adviser and (a) the SSGA Active Trust with respect to the SPDR DoubleLine Short Duration Total Return Tactical ETF and SPDR DoubleLine Emerging Markets Fixed Income ETF (the “New ETFs” and, together with the Current ETFs, the “ETFs”), and the State Street Disciplined Global Equity Portfolio (together with the New ETFs, the “New Funds”) each a new series of the SSGA Active Trust, (with the Current Funds and New Funds collectively being referred to hereafter as the “Funds”), each of which commenced operations during the period covered by this Annual Report. The Trustees who are not “interested persons” of the Trust within the meaning of the Investment Company Act of 1940, as amended (the “Independent Trustees”), also met separately with their independent legal counsel to consider the Agreements.
In evaluating the Agreements, the Board drew on materials provided to them by SSGA FM, the Trust’s investment adviser and administrator, and other materials provided by State Street Bank and Trust Company, the Trusts’ sub-administrator, transfer agent and custodian (“State Street”). In deciding whether to approve the Agreements, the Board considered various factors, including the (i) nature, extent and quality of services provided by, or expected to be provided by, the Adviser with respect to the Funds under the Agreements, (ii) investment performance of the Current Funds, (iii) profits realized by the Adviser and its affiliates from its relationship with the Trusts, (iv) fees charged to comparable funds, (v) other benefits to the Adviser, and (vi) extent to which economies of scale would be shared as the Funds grow.
Nature, Extent and Quality of Services
The Board considered the nature, extent and quality of services provided by, or expected to be provided by, the Adviser. In doing so, the Trustees relied on their prior experience in overseeing the management of the Trusts and materials
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provided prior to and at the meeting. The Board reviewed the Agreements and the Adviser’s responsibilities for managing investment operations of each of the Funds in accordance with each Fund’s investment objectives and policies, and applicable legal and regulatory requirements. The Board appreciated the relatively unique nature of the ETFs as exchange-traded funds in a master-feeder structure, as appropriate, and the experience and expertise of the Adviser with exchange-traded funds. The Board considered the background and experience of the Adviser’s senior management, including those individuals responsible for portfolio management, oversight of sub-advisers and regulatory compliance of the Funds. The Board also considered the portfolio management resources, structures and practices of the Adviser, including those associated with monitoring and securing each Fund’s compliance with its investment objectives and policies and with applicable laws and regulations. The Board also considered information about the Adviser’s best execution procedures and overall investment management business, noting that the Adviser serves a wide range of clients across a broad spectrum of asset classes. The Board looked at the Adviser’s general knowledge of the investment business and that of its affiliates which make up State Street Global Advisors, through which the Adviser shares all of its senior personnel. The Board considered that the Adviser and its affiliates constitute one of the world’s largest investment management enterprises for exchange-traded funds. The Board also considered the Adviser’s experience in active management, managing exchange-traded funds in master-feeder structures and overseeing third-party sub-advisers, as applicable.
Investment Performance
The Board then reviewed the Current Funds’ performance. The Board compared each Current Fund’s investment performance to the performance of an appropriate benchmark and group of comparable funds. Among other information, the Board considered the following performance information in its evaluation of the Funds:
SPDR SSGA Multi-Asset Real Return ETF. The Board considered that: (a) the Fund underperformed the median of its Performance Group for the 1-, 2- and 3-year periods; and (b) outperformed its benchmark index for the 1-year period and underperformed its benchmark index for the 3-year period.
SPDR SSGA Income Allocation ETF. The Board considered that: (a) the Fund outperformed the median of its Performance Group for the 1-, 2- and 3-year periods; and (b) underperformed its benchmark index for the 1- and 3-year period.
SPDR SSGA Global Allocation ETF. The Board considered that: (a) the Fund outperformed the median of its Performance Group for the 1-, 2- and 3-year periods; and (b) underperformed its benchmark index for the 1-year period and outperformed its benchmark index for the 3-year period.
SPDR Blackstone / GSO Senior Loan ETF. The Board considered that: (a) the Fund underperformed the median of its Performance Group for the 1- and 2-year periods; and (b) outperformed its benchmark index for the 1-year period.
SPDR SSGA Ultra Short Term Bond ETF. The Board considered that: (a) the Fund underperformed the median of its Performance Group for the 1- and 2-year periods; and (b) outperformed its benchmark index for the 1-year period.
SPDR DoubleLine Total Return Tactical ETF. The Board considered that: (a) the Fund outperformed the median of its Performance Group since inception; and (b) outperformed its benchmark index since inception.
SPDR MFS Systematic Core Equity ETF. The Board considered that: (a) the Fund outperformed the median of its Performance Group for the 1-year period; and (b) outperformed its benchmark index for the 1-year period.
SPDR MFS Systematic Growth Equity ETF. The Board considered that: (a) the Fund outperformed the median of its Performance Group for the 1-year period; and (b) outperformed its benchmark index for the 1-year period.
SPDR MFS Systematic Value Equity ETF. The Board considered that: (a) the Fund outperformed the median of its Performance Group for the 1-year period; and (b) outperformed its benchmark index for the 1-year period.
SPDR SSGA Risk Aware ETF. The Board considered that: (a) the Fund underperformed the median of its Performance Group for the 1-year period; and (b) underperformed its benchmark index for the 1-year period.
On the basis of the foregoing and other relevant information, the Board concluded that the performance of each Current Fund is satisfactory.
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Profits Realized by Adviser
The Board considered the profitability of the advisory arrangement with the Current Funds to the Adviser, including data on the Current Funds’ historical profitability to the Adviser. The Independent Trustees, through their counsel, had the opportunity to discuss, with representatives of the Adviser and State Street, methodologies used in computing costs that formed the bases of profitability calculations and determined that these methodologies were reasonable.
Fees Charged to Comparable Funds
The Board evaluated each Fund’s unitary fee through review of comparative information with respect to fees paid by similar funds — i.e., exchange-traded funds that are actively managed, as applicable. The Board reviewed the universe of similar exchange-traded funds for each ETF based upon data independently obtained from Broadridge Financial Solutions, Inc. (formerly Lipper Analytical Services) and related comparative information for similar exchange-traded funds. The Board also reviewed the fee structure, as applicable, of each Fund in connection with the master-feeder structure, the historical expense ratios of each Current Fund and the estimated expense ratios for each New Fund. In doing so, the Board used a fund by fund analysis of the data.
Other Benefits
The Board also considered whether the Adviser or its affiliates benefited in other ways from its relationship with the Trusts, noting that the Adviser does not maintain soft-dollar arrangements in connection with the Trusts’ brokerage transactions.
Economies of Scale
The Board reviewed information regarding economies of scale or other efficiencies that may result as each Fund’s assets grow in size. The Board noted that the Agreements did not provide for breakpoints in each Fund’s advisory fee rates as assets of a Fund increase. However, the Board further noted the Adviser’s assertion that future economies of scale (among several factors) had been taken into consideration for the Funds by fixing relatively low advisory fees, effectively sharing the benefits of lower fees with the Funds from inception. The Adviser also asserted that one of the benefits of the unitary fee was to provide an unvarying expense structure, which could be lost or diluted with the addition of breakpoints. The Board noted that it intends to continue to monitor fees as the Funds grow in size and assess whether fee breakpoints may be warranted.
The Board, including the Independent Trustees voting separately, approved the Agreements for each Fund after weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to each Agreement were as follows: (a) the nature and extent of the services provided, or expected to be provided, by the Adviser with respect to the Funds were appropriate; (b) the performance of each Current Fund had been satisfactory; (c) the Adviser’s unitary fee for each Fund, considered in relation to services provided or expected to be provided, and in relation to fees charged to comparable funds, was fair and reasonable; (d) profitability of the Trusts’ relationship with the Adviser was not excessive; (e) any additional potential benefits to the Adviser or its affiliates were not of a magnitude to materially affect the Board’s conclusions; and (f) fees paid to the Adviser shared the economies of scale with respect to the Current Funds by way of the relatively low fee structure of the Trusts.
Approval of Massachusetts Financial Services Company Sub-Advisory Agreements
At an in-person meeting held prior to June 30, 2016, the Board also evaluated proposals to continue the separate Sub-Advisory Agreements (the “MFS Sub-Advisory Agreements”) between the Adviser and Massachusetts Financial Services Company (“MFS”) with respect to the SPDR MFS Systematic Core Equity ETF, SPDR MFS Systematic Growth Equity ETF and SPDR MFS Systematic Value Equity ETF, each a series of the SSGA Active Trust, and SSGA MFS Systematic Core Equity Portfolio, SSGA Systematic Growth Equity Portfolio and SSGA MFS Systematic Value Equity Portfolio, each a series of the SSGA Master Trust, each sub-advised by MFS (the “MFS Funds”). The Independent Trustees also met separately with their independent legal counsel to consider the MFS Sub-Advisory Agreements.
In evaluating the MFS Sub-Advisory Agreements, the Board drew on materials provided to them by MFS and the Adviser. In deciding whether to approve the MFS Sub-Advisory Agreements, the Board considered various factors,
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including the (i) nature, extent and quality of services provided by MFS with respect to the MFS Funds under the MFS Sub-Advisory Agreements and (ii) investment performance of the MFS Funds. The Board was apprised of the portion of the current advisory fee that the Adviser would pay to MFS under the MFS Sub-Advisory Agreements and also considered that such fees would be paid directly by the Adviser and would not result in increased fees payable by the MFS Funds.
The Board considered the background and experience of MFS’s senior management and, in particular, MFS’s experience in investing in equity securities. The Board reviewed the MFS Funds’ performance, noting that that the performance of the MFS Funds was satisfactory. The Board also considered the unitary fee paid to the Adviser by each MFS Fund and MFS’s fees paid by the Adviser.
The Board, including the Independent Trustees voting separately, approved the MFS Sub-Advisory Agreements for each MFS Fund after weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to each MFS Sub-Advisory Agreement were as follows: (a) the nature and extent of the services provided by MFS with respect to the MFS Funds were appropriate; (b) the performance of the MFS Funds had been satisfactory; (c) MFS’s fees for the MFS Funds and the unitary fee, considered in relation to the services provided, were fair and reasonable; (d) any additional potential benefits to MFS were not of a magnitude to materially affect the Board’s conclusions; and (e) fees paid to MFS adequately shared the economies of scale with each applicable MFS Fund by way of the relatively low fee structure of the Trusts.
Approval of DoubleLine Capital LP Sub-Advisory Agreements
At in-person meetings held prior to June 30, 2016, the Board also considered proposals to continue the separate Sub-Advisory Agreements (the “DoubleLine Sub-Advisory Agreements”) between the Adviser and DoubleLine Capital LP (“DoubleLine”) with respect to the SPDR DoubleLine Total Return Tactical ETF, a series of the SSGA Active Trust, and State Street DoubleLine Total Return Tactical Portfolio, a series of the SSGA Master Trust (together, the “Current DoubleLine Funds”), and to approve the DoubleLine Sub-Advisory Agreements between the Adviser and DoubleLine with respect to the SPDR DoubleLine Short Duration Total Return Tactical ETF and SPDR DoubleLine Emerging Markets Fixed Income ETF, each a series of SSGA Active Trust (together with the Current DoubleLine Funds, the “DoubleLine Funds”), under which each of the DoubleLine Funds would be sub-advised by DoubleLine. The Independent Trustees also met separately with their independent legal counsel to consider the DoubleLine Sub-Advisory Agreements.
In evaluating the DoubleLine Sub-Advisory Agreements, the Board drew on materials provided to them by DoubleLine and the Adviser. In deciding whether to approve the DoubleLine Sub-Advisory Agreements, the Board considered various factors, including the (i) nature, extent and quality of services provided, or expected to be provided, by DoubleLine with respect to the DoubleLine Funds under the DoubleLine Sub-Advisory Agreements; and (ii) investment performance of the Current DoubleLine Funds. The Board was apprised of the portion of the advisory fee that the Adviser would pay to DoubleLine under the DoubleLine Sub-Advisory Agreements and also considered that such fees would be paid directly by the Adviser and would not result in increased fees payable by the DoubleLine Funds.
The Board considered the background and experience of DoubleLine’s senior management and, in particular, DoubleLine’s experience in investing in fixed income securities. The Board reviewed the Current DoubleLine Funds’ performance, noting that that the performance of the Current DoubleLine Funds was satisfactory. The Board also considered the unitary fee paid, or to be paid, to the Adviser by each DoubleLine Fund and DoubleLine’s fees paid by the Adviser.
The Board, including the Independent Trustees voting separately, approved the DoubleLine Sub-Advisory Agreements for the DoubleLine Funds after weighing the foregoing factors, none of which was dispositive in itself and may have been weighed differently by each Trustee. The Board’s conclusions with respect to each of the DoubleLine Sub-Advisory Agreements were as follows: (a) the nature and extent of the services provided, or expected to be provided, by DoubleLine with respect to the DoubleLine Funds were adequate and appropriate; (b) the performance of the Current DoubleLine Funds had been satisfactory; (c) DoubleLine’s fees for the DoubleLine Funds and the unitary fee, considered in relation to the services provided, or expected to be provided, were fair and reasonable; (d) any additional potential benefits to DoubleLine were not of a magnitude to materially affect the Board’s conclusions; and (e) fees paid, or expected to be paid, to DoubleLine were expected to share economies of scale with each applicable DoubleLine Fund by way of the relatively low fee structure of the Trusts.
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TRUSTEES AND OFFICERS
Name, Address | Position(s) | Term of Time Served | Principal During Past | Number of Portfolios in Fund Complex Overseen by Trustee | Other Held by Trustee During the | |||||||
Trustees | ||||||||||||
Independent Trustees | ||||||||||||
FRANK NESVET c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1943 | Independent Trustee, Chairman, Trustee Committee Chair | Term: Unlimited Served: since September 2000 | Chief Executive Officer, Libra Group, Inc. (a financial services consulting company) (1998-present). | 218 | SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Master Trust (Trustee). | |||||||
DAVID M. KELLY c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1938 | Independent Trustee, Audit Committee Chair | Term: Unlimited Served: since September 2000 | Retired. | 218 | Chicago Stock Exchange (Former Director, retired); Penson Worldwide Inc. (Former Director, retired); SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Master Trust (Trustee). | |||||||
BONNY EUGENIA BOATMAN c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1950 | Independent Trustee | Term: Unlimited Served: since April 2010 | Retired. | 218 | SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Master Trust (Trustee). | |||||||
DWIGHT D. CHURCHILL c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1953 | Independent Trustee | Term: Unlimited Served: since April 2010 | Self-employed consultant since 2010; CEO and President, CFA Institute (June 2014-January 2015). | 218 | SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Master Trust (Trustee); Affiliated Managers Group, Inc. (Director). | |||||||
CARL G. VERBONCOEUR c/o SSGA Active Trust State Street Financial Center One Lincoln Street Boston, MA 02111-2900 1952 | Independent Trustee | Term: Unlimited Served: since April 2010 | Self-employed consultant since 2009. | 218 | The Motley Fool Funds Trust (Trustee); SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Master Trust (Trustee). |
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Name, Address | Position(s) | Term of Time Served | Principal During Past | Number of Portfolios in Fund Complex Overseen by Trustee | Other Held by Trustee During the | |||||||
Interested Trustee | ||||||||||||
JAMES E. ROSS* SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1965 | Interested Trustee | Term: Unlimited Served as Trustee: since April 2010 | Chairman and Director, SSGA Funds Management, Inc. (2005-present); Senior Managing Director and Principal, State Street Global Advisors (2006-present); President, SSGA Funds Management, Inc. (2005-2012). | 299 | SPDR Index Shares Funds (Trustee); SPDR Series Trust (Trustee); SSGA Master Trust (Trustee); Select Sector SPDR Trust (Trustee); State Street Master Funds (Trustee); and State Street Institutional Investment Trust (Trustee). |
* | Mr. Ross is an Interested Trustee because of his employment with the Adviser and ownership interest in an affiliate of the Adviser. Mr. Ross previously served as an Interested Trustee from November 2005 to December 2009. |
Name, Address | Position(s) | Term of | Principal | |||
Officers | ||||||
ELLEN M. NEEDHAM SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1967 | President | Term: Unlimited Served: since October 2012 | President and Director, SSGA Funds Management, Inc. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present).* | |||
ANN M. CARPENTER SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1966 | Vice President; Deputy Treasurer | Term: Unlimited Served: since August 2012; Term: Unlimited Served: since February 2016 | Chief Operating Officer, SSGA Funds Management, Inc. (2005-Present)*; Managing Director, State Street Global Advisors (2005-present).* | |||
MICHAEL P. RILEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969 | Vice President | Term: Unlimited Served: since February 2005 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (February 2015-present); Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (2008-February 2015); Principal, State Street Global Advisors and SSGA Funds Management, Inc. (2005-2008). | |||
JOSHUA A. WEINBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1978 | Chief Legal Officer | Term: Unlimited Served: since February 2015 | Vice President and Managing Counsel, State Street Global Advisors (2011-present); Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2006-2011). |
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SSGA ACTIVE TRUST
STATE STREET DISCIPLINED GLOBAL EQUITY PORTFOLIO
OTHER INFORMATION (continued)
June 30, 2016 (Unaudited)
Name, Address | Position(s) | Term of | Principal | |||
CHRISTOPHER A. MADDEN State Street Bank and Trust Company One Hundred Huntington Avenue, CPH0326 Boston, MA 02116 1967 | Secretary | Term: Unlimited Served: since August 2013 | Vice President and Senior Counsel, State Street Bank and Trust Company (2013-present); Counsel, Atlantic Fund Services (2009-2013); Vice President.* | |||
PATRICIA A. MORISETTE State Street Bank and Trust Company One Hundred Huntington Avenue, CPH0326 Boston, MA 02116 1973 | Assistant Secretary | Term: Unlimited Served: since February 2015 | Vice President and Counsel, State Street Bank and Trust Company (2014-present); Assistant Vice President and Counsel, John Hancock Financial Services (2011-2013); Independent legal consultant (2009-2011); Associate, Bingham McCutchen LLP (2003-2009).*,** | |||
BRUCE S. ROSENBERG SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1961 | Treasurer | Term: Unlimited Served: since February 2016 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present; Director, Credit Suisse (April 2008-July 2015)). | |||
CHAD C. HALLETT SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1969 | Deputy Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014-present); Vice President, State Street Bank and Trust Company (2001-November 2014).* | |||
SUJATA UPRETI SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1974 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (May 2015-present; Assistant Director, Cambridge Associates, LLC (July 2014-January 2015); Vice President, Bank of New York Mellon (July 2012-August 2013); Manager, PricewaterhouseCoopers, LLP (September 2003-July 2012)). | |||
DANIEL FOLEY SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1972 | Assistant Treasurer | Term: Unlimited Served: since February 2016 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).* | |||
BRIAN HARRIS SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 1973 | Chief Compliance Officer and Anti-Money Laundering Officer | Term: Unlimited Served: since November 2013 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (June 2013-present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (2010-2013); Director of Compliance, AARP Financial Inc. (2008-2010). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
** | Served in various capacities and/or with unaffiliated mutual funds or closed-end funds for which State Street Bank and Trust Company or its affiliates act as a provider of services during the noted time period. |
Statement of Additional information (SAI) includes additional information about Fund directors and is available, without charge, upon request and by calling 1-866-787-2257.
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SSGA Active Trust
Trustees
Bonny E. Boatman
Dwight D. Churchill
David M. Kelly
Frank Nesvet, Chairman
James E. Ross
Carl G. Verboncoeur
Officers
Ellen M. Needham, President
Bruce Rosenberg, Treasurer
Ann Carpenter, Vice President and Deputy Treasurer
Michael P. Riley, Vice President
Chad C. Hallett, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
Daniel Foley, Assistant Treasurer
Christopher A. Madden, Secretary
Patricia A. Morisette, Assistant Secretary
Brian Harris, Chief Compliance Officer and Anti-Money Laundering Officer
Joshua A. Weinberg, Chief Legal Officer
Investment Manager and Administrator
SSGA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Distributor
State Street Global Markets, LLC
One Lincoln Street
Boston, MA 02111
Custodian, Sub-Administrator and Transfer Agent
State Street Bank and Trust Company
One Lincoln Street
Boston, MA 02111
Legal Counsel
Morgan, Lewis & Bockius LLP
1111 Pennsylvania Avenue, NW
Washington, DC 20004
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Fund Shares are distributed by State Street Global Markets, LLC, a wholly-owned subsidiary of State Street Corporation. State Street Global Markets, LLC; member FINRA, SIPC.
The information contained in this report is intended for the general information of shareholders of the Portfolio and shareholders of any fund or private client invested in the Portfolio. Generally, shares of the Portfolio may be purchased only by or on behalf of other registered investment companies or private clients for which the Adviser or an affiliate serves as investment adviser (or in a similar capacity). This report is not authorized for distribution (i) to prospective investors in any fund invested in the Portfolio unless preceded or accompanied by a current offering document for such fund or (ii) to prospective eligible investors in the Portfolio unless preceded or accompanied by a current offering document of the Portfolio. Eligible investors in the Portfolio may obtain a current prospectus and SAI from the Distributor by calling 1-800-997-7327. Please read the offering document carefully before investing in the Portfolio.
SSIITDGBLEQSAR
IBG-20865
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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.
There were no material changes to the procedures by which shareholders may recommend nominees to the registrant’s Board of Trustees. The Board of Trustees previously 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 |
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discretion of the Board or the Nominating Committee, for the Trust to make such determination; (ii) the written and signed consent of the candidate to be named as a nominee and to serve as a Trustee 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 2, 2016 |
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 2, 2016 | |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: | September 2, 2016 |