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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)
One Lincoln Street
Boston, Massachusetts 02111
(Address of principal executive offices)(Zip code)
(Name and Address of Agent for Service) | Copy to: | |
Joshua A. Weinberg, Esq. Managing Director 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: December 31, 2016
Table of Contents
Item 1. Shareholder Report.
Table of Contents
Annual Report
31 December 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.
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State Street Institutional Investment Trust
Target Retirement Funds
Annual Report
December 31, 2016
Management’s Discussion of Fund Performance (Unaudited) | 1 | |||
Portfolio Statistics (Unaudited) | 34 | |||
38 | ||||
56 | ||||
62 | ||||
65 | ||||
77 | ||||
110 | ||||
118 | ||||
Other Information (Unaudited) | 119 |
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 Target Retirement Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Target Retirement Fund (the “Fund”) seeks current income and, secondarily, capital growth. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Index (the “Index”). The Fund is a “fund of funds” that invests in a combination of mutual funds and ETFs sponsored by the Adviser or its affiliates.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 5.28%, and the Index was 2.65%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2015 Composite Index (the “Secondary Index”), was 5.81% for the Reporting Period. The Fund and both the Index and the Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and the Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
During the first quarter of 2016, the Fund’s performance was +2.04% and the performance of the Index was +3.03%. The Fund’s exposure to global equities contributed to its underperformance relative to the Index. Allocations to the State Street Aggregate Bond Index Portfolio, SPDR Barclays 1-10 Year TIPS ETF, and SPDR Dow Jones Global Real Estate ETF funds were primary drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the second quarter of 2016 was +2.10% compared to Index performance of +2.21%. Most asset classes to which the Fund had exposure contributed positively to the Fund’s performance; however, international equities suffered after the vote by Britain on June 23rd in favor of exiting from its 43 year membership in the European Union. Fixed income markets also fared well in the second quarter as treasury yields declined and spreads in U.S. high yield bonds compressed. As a result, the Fund’s allocation to the State Street Global Equity ex-U.S. Index Portfolio negatively affected the Fund’s performance, while allocations to the State Street 500 Index II Portfolio, State Street Aggregate Bond Index Portfolio, and SPDR Bloomberg Barclays High Yield Bond ETF contributed positively to the Fund’s performance during the quarter relative to the Index. During the third quarter of 2016, the Fund’s performance was +1.77% while the performance of the Index was +0.46%. The Fund’s relatively broad investment exposures contributed to its outperformance relative to the Index. Global equity markets posted strong positive returns for the quarter, while U.S. Treasury yields finished the quarter slightly higher with a modest flattening in the yield curve. U.S. high yield bonds benefited from continued spread compression. As a result, the Fund’s allocations to the State Street 500 Index II Portfolio, State Street Aggregate Bond Index Portfolio, and SPDR Bloomberg Barclays High Yield Bond ETF were key drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the fourth quarter of 2016 was -0.71% and the performance of the Index was -2.98%. During the fourth quarter many asset classes posted negative returns, with one exception being U.S. equities, as represented by the S&P 500 Index. One of the most identifiable causes for the angst across asset classes was a sharp rise in bond yields coincident with a paring back of expectations for future global central bank policy support. The Fund’s exposure to U.S. equities contributed positively to the Fund’s performance. Allocations to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays 1-10 Year TIPS ETF, and SPDR Dow Jones Global Real Estate ETF contributed negatively to Fund performance during the quarter relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, State Street Aggregate Bond Index Portfolio and SPDR Bloomberg Barclays 1-10 Year TIPS ETF. The top negative contributors to the Fund’s performance were the SPDR
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State Street Institutional Investment Trust
State Street Target Retirement Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
Dow Jones Global Real Estate ETF, SPDR Bloomberg Barclays Short Term Treasury ETF, and SPDR Bloomberg Barclays Short Term Corporate Bond ETF.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
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State Street Institutional Investment Trust
State Street Target Retirement Fund
Class K
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return Inception to Date* December 31, 2016 | |||||||
State Street Target Retirement Income Fund Class A | 5.01 | % | 2.19 | % | ||||
State Street Target Retirement Income Fund Class I | 5.27 | % | 2.44 | % | ||||
State Street Target Retirement Income Fund Class K | 5.28 | % | 2.42 | % | ||||
Bloomberg Barclays U.S. Aggregate Index(b) | 2.65 | % | 2.22 | % |
* | Inception date is September 30, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Bloomberg Barclays U.S. Aggregate Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody’s Investor Service, Inc., Standard & Poor’s, and Fitch Inc.) |
Line graph is based on cumulative total return. |
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State Street Institutional Investment Trust
State Street Target Retirement 2015 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Target Retirement 2015 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index��). The Fund is a “fund of funds” that invests in a combination of mutual funds and ETFs sponsored by the Adviser or its affiliates.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 6.19%, and the Index was 11.96%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2015 Composite Index (the “Secondary Index”), was 6.59% for the Reporting Period. The Fund and both the Index and the Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and the Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
During the first quarter of 2016, the Fund’s performance was +1.95% and the performance of the Index was +1.35%. The Fund’s relatively broad investment exposures contributed to its outperformance relative to the Index. The Fund’s Allocations to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays 1-10 Year TIPS ETF and SPDR Dow Jones Global Real Estate ETF were primary drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the second quarter of 2016 was +2.42% compared to Index performance of +2.46%. Most asset classes to which the Fund had exposure contributed positively to the Fund’s performance; however, international equities generally suffered after the vote by Britain on June 23rd in favor of exiting from its 43 year membership in the European Union. Fixed income markets also fared well in the second quarter as Treasury yields declined and spreads in U.S. high yield bonds compressed. As a result, the Fund’s allocation to the State Street Global Equity ex-U.S. Index Portfolio negatively affected the Fund’s performance, while the State Street Equity 500 Index II Portfolio, State Street Aggregate Bond Index Portfolio and SPDR Bloomberg Barclays High Yield Bond ETF contributed positively to the Fund’s performance during the quarter relative to the Index. During the third quarter of 2016, the Fund’s performance was +2.17% while the performance of the Index was +3.85%. The Fund’s relatively broad investment exposures contributed to its underperformance relative to the Index. Global equity markets posted strong positive returns for the quarter, while U.S. Treasury yields finished the quarter slightly higher with a modest flattening in the yield curve. U.S. high yield bonds benefited from continued spread compression. As a result, the Fund’s allocations to the State Street Equity 500 Index II Portfolio, State Street Global Equity ex-U.S. Index Portfolio and SPDR Bloomberg Barclays High Yield Bond ETF were key drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the fourth quarter of 2016 was -0.47% and the performance of the Index was +3.82%. During the fourth quarter many asset classes posted negative returns, with one of the exceptions being U.S. equities, as represented by the S&P 500 Index. One of the most identifiable causes for the angst across asset classes was a sharp rise in bond yields coincident with a paring back of expectations for future global central bank policy support. The Fund’s allocations to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays 1-10 Year TIPS ETF and SPDR Dow Jones Global Real Estate ETF were chief factors affecting Fund underperformance during the quarter relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, SPDR Bloomberg Barclays High Yield Bond ETF and SPDR Bloomberg Barclays 1-10 Year TIPS ETF. The top negative contributors to the Fund’s performance
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State Street Institutional Investment Trust
State Street Target Retirement 2015 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
were the SPDR Dow Jones Global Real Estate ETF, SPDR Bloomberg Barclays Short Term Treasury ETF and SPDR Bloomberg Barclays Short Term Corporate Bond ETF.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
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State Street Institutional Investment Trust
State Street Target Retirement 2015
Class K
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return Inception to Date* December 31, 2016 | |||||||
State Street Target Retirement 2015 Fund Class A | 5.92 | % | 2.50 | % | ||||
State Street Target Retirement 2015 Fund Class I | 6.19 | % | 2.75 | % | ||||
State Street Target Retirement 2015 Fund Class K | 6.19 | % | 2.78 | % | ||||
S&P 500® Index(b) | 11.96 | % | 8.07 | % |
* | Inception date is September 30, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the U.S. stock market in general. It is not possible to invest directly in the S&P 500® Index. |
Line graph is based on cumulative total return. |
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State Street Institutional Investment Trust
State Street Target Retirement 2020 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Target Retirement 2020 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”). The Fund is a “fund of funds” that invests in a combination of mutual funds and ETFs sponsored by the Adviser or its affiliates.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 7.45%, and the Index was 11.96%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2020 Composite Index (the “Secondary Index”), was 7.50% for the Reporting Period. The Fund and both the Index and the Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and the Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
During the first quarter of 2016, the Fund’s performance was +2.16% and the performance of the Index was +1.35%. The Fund’s relatively broad investment exposures contributed to its outperformance relative to the Index. The Fund’s allocations to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays Long Term Treasury ETF and SPDR Dow Jones Global Real Estate ETF were primary drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the second quarter of 2016 was +2.41% compared to Index performance of +2.46%. Most asset classes to which the Fund had exposure contributed positively to the Fund’s performance; however, international equities suffered after the vote by Britain on June 23rd in favor of exiting from its 43 year membership in the European Union. Fixed income markets also fared well in the second quarter as treasury yields declined and spreads in U.S. high yield bonds compressed. As a result, the Fund’s allocation to the State Street Global Equity ex-U.S. Index Portfolio negatively affected the Fund’s performance, while the State Street Equity 500 Index II Portfolio, State Street Aggregate Bond Index Portfolio and SPDR Bloomberg Barclays High Yield Bond ETF contributed positively to the Fund’s performance during the quarter relative to the Index. During the third quarter of 2016, the Fund’s performance was +3.04% while the performance of the Index was +3.85%. The Fund’s relatively broad investment exposures contributed to its underperformance relative to the Index. Global equity markets posted strong positive returns for the quarter, while U.S. Treasury yields finished the quarter slightly higher with a modest flattening in the yield curve. U.S. high yield bonds benefited from continued spread compression. As a result, the Fund’s allocations to the State Street Equity 500 Index II Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Index Portfolio were key drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the fourth quarter of 2016 was -0.32% and the performance of the Index was +3.82%. During the fourth quarter most asset classes to which the Fund had exposure posted negative returns, with one of the exceptions being U.S. equities, as represented by the S&P 500 Index. One of the most identifiable causes for the angst across asset classes was a sharp rise in bond yields coincident with a paring back of expectations for future global central bank policy support. The Fund’s allocation to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Global Equity ex-U.S. Index Portfolio were chief factors affecting Fund underperformance during the quarter relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio. The top negative contributors to the Fund’s performance were
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State Street Institutional Investment Trust
State Street Target Retirement 2020 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
the SPDR Dow Jones Global Real Estate ETF, SPDR Bloomberg Barclays Long Term Treasury ETF and SPDR Bloomberg Barclays TIPS ETF.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
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State Street Institutional Investment Trust
State Street Target Retirement 2020 Fund
Class K
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return Inception to Date* December 31, 2016 | |||||||
State Street Target Retirement 2020 Fund Class A | 7.07 | % | 3.04 | % | ||||
State Street Target Retirement 2020 Fund Class I | 7.34 | % | 3.25 | % | ||||
State Street Target Retirement 2020 Fund Class K | 7.45 | % | 3.28 | % | ||||
S&P 500® Index(b) | 11.96 | % | 8.07 | % |
* | Inception date is September 30, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the U.S. stock market in general. It is not possible to invest directly in the S&P 500® Index. |
Line graph is based on cumulative total return. |
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State Street Institutional Investment Trust
State Street Target Retirement 2025 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Target Retirement 2025 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”). The Fund is a “fund of funds” that invests in a combination of mutual funds and ETFs sponsored by the Adviser or its affiliates.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 8.00%, and the Index was 11.96%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2025 Composite Index (the “Secondary Index”), was 8.14% for the Reporting Period. The Fund and both the Index and the Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and the Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
During the first quarter of 2016, the Fund’s performance was +1.85% and the performance of the Index was +1.35%. The Fund’s relatively broad investment exposures contributed to its outperformance relative to the Index. The Fund’s allocations to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Equity 500 Index II Portfolio were primary drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the second quarter of 2016 was +2.52% compared to Index performance of +2.46%. Most asset classes to which the Fund had exposure contributed positively to the Fund’s performance; however, international equities suffered after the vote by Britain on June 23rd in favor of exiting from its 43 year membership in the European Union. Fixed income markets also fared well in the second quarter as treasury yields declined and spreads in U.S. high yield bonds compressed. As a result, the Fund’s allocation to the State Street Global Equity ex-U.S. Index Portfolio negatively affected the Fund’s performance, while the State Street Equity 500 Index II Portfolio, State Street Aggregate Bond Index Portfolio and SPDR Bloomberg Barclays Long Term Treasury ETF contributed positively to the Fund’s performance during the quarter relative to the Index. During the third quarter of 2016, the Fund’s performance was +3.63% while the performance of the Index was +3.85%. The Fund’s relatively broad investment exposures contributed to its underperformance relative to the Index. Global equity markets posted strong positive returns for the quarter, while U.S. Treasury yields finished the quarter slightly higher with a modest flattening in the yield curve. U.S. high yield bonds benefited from continued spread compression. As a result, the Fund’s allocations to the State Street Equity 500 Index II Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Index Portfolio were key drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the fourth quarter of 2016 was -0.19% and the performance of the Index was +3.82%. During the fourth quarter most asset classes to which the Fund had exposure posted negative returns, with one of the exceptions being U.S. equities, as represented by the S&P 500 Index. One of the most identifiable causes for the angst across asset classes was a sharp rise in bond yields coincident with a paring back of expectations for future global central bank policy support. The Fund’s allocations to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Global Equity ex-U.S. Index Portfolios were chief factors affecting Fund underperformance during the quarter relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio. The top negative contributors to the Fund’s performance were
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State Street Institutional Investment Trust
State Street Target Retirement 2025 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
the SPDR Dow Jones Global Real Estate ETF, SPDR Bloomberg Barclays Long Term Treasury ETF and SPDR Bloomberg Barclays TIPS ETF.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
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State Street Institutional Investment Trust
State Street Target Retirement 2025
Class K
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return | |||||||
State Street Target Retirement 2025 Fund Class A | 7.74 | % | 3.26 | % | ||||
State Street Target Retirement 2025 Fund Class I | 8.01 | % | 3.52 | % | ||||
State Street Target Retirement 2025 Fund Class K | 8.00 | % | 3.58 | % | ||||
S&P 500® Index(b) | 11.96 | % | 8.07 | % |
* | Inception date is September 30, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the U.S. stock market in general. It is not possible to invest directly in the S&P 500® Index. |
Line graph is based on cumulative total return. |
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State Street Institutional Investment Trust
State Street Target Retirement 2030 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Target Retirement 2030 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”). The Fund is a “fund of funds” that invests in a combination of mutual funds and ETFs sponsored by the Adviser or its affiliates.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 8.20%, and the Index was 11.96%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2030 Composite Index (the “Secondary Index”), was 8.22% for the Reporting Period. The Fund and both the Index and the Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and the Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
During the first quarter of 2016, the Fund’s performance was +1.74% and the performance of the Index was 1.35%. The Fund’s relatively broad investment exposures contributed to its outperformance relative to the Index. The Fund’s allocations to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Equity 500 Index II Portfolio were primary drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the second quarter of 2016 was +2.42% compared to Index performance of +2.46%. Most asset classes to which the Fund had exposure contributed positively to the Fund’s performance; however, international equities suffered after the vote by Britain on June 23rd in favor of exiting from its 43 year membership in the European Union. Fixed income markets also fared well in the second quarter as treasury yields declined and spreads in U.S. high yield bonds compressed. As a result, the Fund’s allocation to the State Street Global Equity ex-U.S. Index Portfolio negatively affected the Fund’s performance, while the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio, and SPDR Bloomberg Barclays Long Term Treasury ETF contributed positively to the Fund’s performance during the quarter relative to the Index. During the third quarter of 2016, the Fund’s performance was +4.03% while the performance of the Index was +3.85%. Global equity markets posted strong positive returns for the quarter, with non-U.S. equities, as represented by the MSCI ACWI ex USA Index, outperforming U.S. equities, as represented by the S&P 500 Index. U.S. Treasury yields finished the quarter slightly higher with a modest flattening in the yield curve. U.S. high yield bonds benefited from continued spread compression. As a result, the Fund’s allocations to the State Street Equity 500 Index II Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Index Portfolio were key drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the fourth quarter of 2016 was -0.18% and the performance of the Index was +3.82%. During the fourth quarter many asset classes posted negative returns, with one of the exceptions being U.S. equities, as represented by the S&P 500 Index. One of the most identifiable causes for the angst across asset classes was a sharp rise in bond yields coincident with a paring back of expectations for future global central bank policy support. The Fund’s allocations to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Global Equity ex-U.S. Index Portfolio were chief factors affecting Fund underperformance during the quarter relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio and State Street
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State Street Institutional Investment Trust
State Street Target Retirement 2030 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
Global Equity ex-U.S. Index Portfolio. The top negative contributors to the Fund’s performance were the SPDR Bloomberg Barclays Long Term Treasury ETF and SPDR Bloomberg Barclays TIPS ETF.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
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Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2030 Fund
Class K
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return Inception to Date* December 31, 2016 | |||||||
State Street Target Retirement 2030 Fund Class A | 8.04 | % | 3.49 | % | ||||
State Street Target Retirement 2030 Fund Class I | 8.10 | % | 3.66 | % | ||||
State Street Target Retirement 2030 Fund Class K | 8.20 | % | 3.73 | % | ||||
S&P 500® Index(b) | 11.96 | % | 8.07 | % |
* | Inception date is September 30, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the U.S. stock market in general. It is not possible to invest directly in the S&P 500® Index. |
Line graph is based on cumulative total return. |
15
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2035 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Target Retirement 2035 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”). The Fund is a “fund of funds” that invests in a combination of mutual funds and ETFs sponsored by the Adviser or its affiliates.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 8.60%, and the Index was 11.96%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2035 Composite Index (the “Secondary Index”), was 8.49% for the Reporting Period. The Fund and both the Index and the Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and the Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
During the first quarter of 2016, the Fund’s performance was +1.53% and the performance of the Index was +1.35%. The Fund’s relatively broad investment exposures contributed to its outperformance relative to the Index. The Fund’s allocations to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Equity 500 Index II Portfolio were primary drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the second quarter of 2016 was +2.42% compared to Index performance of +2.46%. Most asset classes to which the Fund had exposure contributed positively to the Fund’s performance; however, international equities suffered after the vote by Britain on June 23rd in favor of exiting from its 43 year membership in the European Union. Fixed income markets also fared well in the second quarter as treasury yields declined and spreads in U.S. high yield bonds compressed. As a result, the Fund’s allocation to the State Street Global Equity ex-U.S. Index Portfolio negatively affected the Fund’s performance, while the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio, and SPDR Bloomberg Barclays Long Term Treasury ETF contributed positively to the Fund’s performance during the quarter relative to the Index. During the third quarter of 2016, the Fund’s performance was +4.33% while the performance of the Index was +3.85%. Global equity markets posted strong positive returns for the quarter, with non-U.S. equities, as represented by the MSCI ACWI ex USA Index, outperforming U.S. equities, as represented by the S&P 500 Index. U.S. Treasury yields finished the quarter slightly higher with a modest flattening in the yield curve. U.S. high yield bonds benefited from continued spread compression. As a result, the Fund’s allocations to the State Street Equity 500 Index II Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Index Portfolio were key drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the fourth quarter of 2016 was +0.10% and the performance of the Index was +3.82%. During the fourth quarter many asset classes posted negative returns, with one of the exceptions being U.S. equities, as represented by the S&P 500 Index. One of the most identifiable causes for the angst across asset classes was a sharp rise in bond yields coincident with a paring back of expectations for future global central bank policy support. The Fund’s allocations to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Global Equity ex-U.S. Index Portfolio were chief factors affecting Fund underperformance during the quarter relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio. The top negative contributors to the Fund’s performance were the SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Aggregate Bond Index Portfolio.
16
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2035 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
17
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2035 Fund
Class K
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return Inception to Date* December 31, 2016 | |||||||
State Street Target Retirement 2035 Fund Class A | 8.33 | % | 3.58 | % | ||||
State Street Target Retirement 2035 Fund Class I | 8.61 | % | 3.80 | % | ||||
State Street Target Retirement 2035 Fund Class K | 8.60 | % | 3.87 | % | ||||
S&P 500® Index(b) | 11.96 | % | 8.07 | % |
* | Inception date is September 30, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the U.S. stock market in general. It is not possible to invest directly in the S&P 500® Index. |
Line graph is based on cumulative total return. |
18
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2040 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Target Retirement 2040 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”). The Fund is a “fund of funds” that invests in a combination of mutual funds and ETFs sponsored by the Adviser or its affiliates.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 8.89%, and the Index was 11.96%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2040 Composite Index (the “Secondary Index”), was 8.87% for the Reporting Period. The Fund and both the Index and the Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and the Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
During the first quarter of 2016, the Fund’s performance was +1.34% and the performance of the Index was +1.35%. The Fund’s relatively broad investment exposures contributed to its underperformance relative to the Index. The Fund’s allocations to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Equity 500 Index II Portfolio were primary drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the second quarter of 2016 was +2.34% compared to Index performance of +2.46%. Most asset classes to which the Fund had exposure contributed positively to the Fund’s performance; however, international equities suffered after the vote by Britain on June 23rd in favor of exiting from its 43 year membership in the European Union. Fixed income markets also fared well in the second quarter as treasury yields declined and spreads in U.S. high yield bonds compressed. As a result, the Fund’s allocation to the State Street Global Equity ex-U.S. Index Portfolio negatively affected the Fund’s performance, while the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio, and SPDR Bloomberg Barclays Long Term Treasury ETF contributed positively to the Fund’s performance during the quarter relative to the Index. During the third quarter of 2016, the Fund’s performance was +4.56% while the performance of the Index was +3.85%. Global equity markets posted strong positive returns for the quarter, with non-U.S. equities, as represented by the MSCI ACWI ex USA Index, outperforming U.S. equities, as represented by the S&P 500 Index. U.S. Treasury yields finished the quarter slightly higher with a modest flattening in the yield curve. U.S. high yield bonds benefited from continued spread compression. As a result, the Fund’s allocations to the State Street Equity 500 Index II Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Index Portfolio were key drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the fourth quarter of 2016 was +0.42% and the performance of the Index was +3.82%. During the fourth quarter many asset classes posted negative returns, with one of the exceptions being U.S. equities, as represented by the S&P 500 Index. One of the most identifiable causes for the angst across asset classes was a sharp rise in bond yields coincident with a paring back of expectations for future global central bank policy support. The Fund’s allocations to the State Street Aggregate Bond Index Portfolio, SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Global Equity ex-U.S. Index Portfolio were chief factors affecting Fund underperformance during the quarter relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio. The top negative contributors to the Fund’s performance were the State Street Aggregate Bond Index Portfolio and SPDR Bloomberg Barclays Long Term Treasury ETF.
19
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2040 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
20
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2040 Fund
Class K
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return Inception to Date* December 31, 2016 | |||||||
State Street Target Retirement 2040 Fund Class A | 8.73 | % | 3.59 | % | ||||
State Street Target Retirement 2040 Fund Class I | 9.00 | % | 3.85 | % | ||||
State Street Target Retirement 2040 Fund Class K | 8.89 | % | 3.87 | % | ||||
S&P 500® Index(b) | 11.96 | % | 8.07 | % |
* | Inception date is September 30, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the U.S. stock market in general. It is not possible to invest directly in the S&P 500® Index. |
Line graph is based on cumulative total return. |
21
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2045 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Target Retirement 2045 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”). The Fund is a “fund of funds” that invests in a combination of mutual funds and ETFs sponsored by the Adviser or its affiliates.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 9.31%, and the Index was 11.96%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2045 Composite Index (the “Secondary Index”), was 9.21% for the Reporting Period. The Fund and both the Index and the Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and the Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
During the first quarter of 2016, the Fund’s performance was +1.24% and the performance of the Index was +1.35%. The Fund’s allocation to the State Street Small/Mid Cap Equity Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio contributed to its underperformance relative to the Index, while allocations to the SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Equity 500 Index II Portfolio contributed to the Fund’s performance during the quarter relative to the Index. The Fund’s performance during the second quarter of 2016 was +2.36% compared to Index performance of +2.46%. Most asset classes to which the Fund had exposure contributed positively to the Fund’s performance; however, international equities suffered after the vote by Britain on June 23rd in favor of existing from its 43 year membership in the European Union. Fixed income markets also fared well in the second quarter as treasury yields declined and spreads in U.S. high yield bonds compressed. As a result, the Fund’s allocation to the State Street Global Equity ex-U.S. Index Portfolio negatively affected the Fund’s performance, while the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio, and SPDR Bloomberg Barclays Long Term Treasury ETF contributed positively to the Fund’s performance during the quarter relative to the Index. During the third quarter of 2016, the Fund’s performance was +4.80% while the performance of the Index was +3.85%. Global equity markets posted strong positive returns for the quarter, with non-U.S. equities, as represented by the MSCI ACWI ex USA Index, outperforming U.S. equities, as represented by the S&P 500 Index. U.S. Treasury yields finished the quarter slightly higher with a modest flattening in the yield curve. U.S. high yield bonds benefited from continued spread compression. As a result, the Fund’s allocations to the State Street Equity 500 Index II Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Index Portfolio were key drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the fourth quarter of 2016 was +0.65% and the performance of the Index was +3.82%. During the fourth quarter many asset classes posted negative returns, with one of the exceptions being U.S. equities, as represented by the S&P 500 Index. One of the most identifiable causes for the angst across asset classes was a sharp rise in bond yields coincident with a paring back of expectations for future global central bank policy support. The Fund’s allocations to the SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Global Equity ex-U.S. Index Portfolio were chief factors affecting Fund underperformance during the quarter relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio. The SPDR Bloomberg Barclays Long Term Treasury ETF was a negative contributor to Fund performance.
22
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2045 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
23
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2045 Fund
Class K
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return Inception to Date* December 31, 2016 | |||||||
State Street Target Retirement 2045 Fund Class A | 9.04 | % | 3.65 | % | ||||
State Street Target Retirement 2045 Fund Class I | 9.31 | % | 3.91 | % | ||||
State Street Target Retirement 2045 Fund Class K | 9.31 | % | 3.94 | % | ||||
S&P 500® Index(b) | 11.96 | % | 8.07 | % |
* | Inception date is September 30, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the U.S. stock market in general. It is not possible to invest directly in the S&P 500® Index. |
Line graph is based on cumulative total return. |
24
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2050 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Target Retirement 2050 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”). The Fund is a “fund of funds” that invests in a combination of mutual funds and ETFs sponsored by the Adviser or its affiliates.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 9.35%, and the Index was 11.96%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2050 Composite Index (the “Secondary Index”), was 9.21% for the Reporting Period. The Fund and both the Index and the Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and the Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
During the first quarter of 2016, the Fund’s performance was +1.25% and the performance of the Index was +1.35%. The Fund’s allocation to the State Street Small/Mid Cap Equity Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio contributed to its underperformance relative to the Index, while allocations to the SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Equity 500 Index II Portfolios contributed to the Fund’s performance during the quarter relative to the Index. The Fund’s performance during the second quarter of 2016 was +2.36% compared to Index performance of +2.46%. Most asset classes to which the Fund had exposure contributed positively to the Fund’s performance; however, international equities suffered after the vote by Britain on June 23rd in favor of existing from its 43 year membership in the European Union. Fixed income markets also fared well in the second quarter as treasury yields declined and spreads in U.S. high yield bonds compressed. As a result, the Fund’s allocation to the State Street Global Equity ex-U.S. Index Portfolio negatively affected the Fund’s performance, while the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio, and SPDR Bloomberg Barclays Long Term Treasury ETF contributed positively to the Fund’s performance during the quarter relative to the Index. During the third quarter of 2016, the Fund’s performance was +4.82% while the performance of the Index was +3.85%. Global equity markets posted strong positive returns for the quarter, with non-U.S. equities, as represented by the MSCI ACWI ex USA Index, outperforming U.S. equities, as represented by the S&P 500 Index. U.S. Treasury yields finished the quarter slightly higher with a modest flattening in the yield curve. U.S. high yield bonds benefited from continued spread compression. As a result, the Fund’s allocations to the State Street Equity 500 Index II Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Index Portfolio were key drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the fourth quarter of 2016 was +0.66% and the performance of the Index was +3.82%. During the fourth quarter most asset classes posted negative terms, with one of the exceptions being U.S. equities, as represented by the S&P 500 Index. One of the most identifiable causes for the angst across asset classes was a sharp rise in bond yields coincident with a paring back of expectations for future global central bank policy support. The Fund’s allocations to the SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Global Equity ex-U.S. Index Portfolio were chief factors affecting Fund underperformance during the quarter relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio. The SPDR Bloomberg Barclays Long Term Treasury ETF was a negative contributor to Fund performance.
25
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2050 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
26
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2050 Fund
Class K
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return Inception to Date* December 31, 2016 | |||||||
State Street Target Retirement 2050 Fund Class A | 9.07 | % | 3.56 | % | ||||
State Street Target Retirement 2050 Fund Class I | 9.34 | % | 3.82 | % | ||||
State Street Target Retirement 2050 Fund Class K | 9.35 | % | 3.80 | % | ||||
S&P 500® Index(b) | 11.96 | % | 8.07 | % |
* | Inception date is September 30, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the U.S. stock market in general. It is not possible to invest directly in the S&P 500® Index. |
Line graph is based on cumulative total return. |
27
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2055 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Target Retirement 2055 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”). The Fund is a “fund of funds” that invests in a combination of mutual funds and ETFs sponsored by the Adviser or its affiliates.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 9.34%, and the Index was 11.96%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2055 Composite Index (the “Secondary Index”), was 9.21% for the Reporting Period. The Fund and both the Index and the Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and the Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
During the first quarter of 2016, the Fund’s performance was +1.25% and the performance of the Index was +1.35%. The Fund’s allocation to the State Street Small/Mid Cap Equity Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio contributed to its underperformance relative to the Index, while allocations to the SPDR Barclays Long Term Treasury ETF and State Street Equity 500 Index II Portfolio contributed to the Fund’s performance during the quarter relative to the Index. The Fund’s performance during the second quarter of 2016 was +2.37% compared to Index performance of +2.46%. Most asset classes to which the Fund had exposure contributed positively to the Fund’s performance; however, international equities suffered after the vote by Britain on June 23rd in favor of existing from its 43 year membership in the European Union. Fixed income markets also fared welled in the second quarter as treasury yields declined and spreads in U.S. high yield bonds compressed. As a result, the Fund’s allocation to the State Street Global Equity ex-U.S. Index Portfolio negatively affected the Fund’s performance, while the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio, and SPDR Bloomberg Barclays Long Term Treasury ETF contributed positively to the Fund’s performance during the quarter relative to the Index. During the third quarter of 2016, the Fund’s performance was +4.83% while the performance of the Index was 3.85%. Global equity markets posted strong positive returns for the quarter, with non-U.S. equities, as represented by the MSCI ACWI ex USA Index outperforming U.S. equities, as represented by the S&P 500 Index. US Treasury yields finished the quarter slightly higher with a modest flattening in the yield curve. U.S. high yield bonds benefited from continued spread compression. As a result, the Fund’s allocations to the State Street Equity 500 Index II Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Index Portfolio were key drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the fourth quarter of 2016 was +0.63% and the performance of the Index was +3.82%. During the fourth quarter many asset classes posted negative returns, with one of the exceptions being U.S. equities, as represented by the S&P 500 Index. One of the most identifiable causes for the angst across asset classes was a sharp rise in bond yields coincident with a paring back of expectations for future global central bank policy support. The Fund’s allocations to the SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Global Equity ex-U.S. Index Portfolio were chief factors affecting Fund underperformance during the quarter relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio. The SPDR Bloomberg Barclays Long Term Treasury ETF was a negative contributor to Fund performance.
28
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2055 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
29
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2055 Fund
Class K
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return Inception to Date* December 31, 2016 | |||||||
State Street Target Retirement 2055 Fund Class A | 9.06 | % | 3.54 | % | ||||
State Street Target Retirement 2055 Fund Class I | 9.33 | % | 3.80 | % | ||||
State Street Target Retirement 2055 Fund Class K | 9.34 | % | 3.78 | % | ||||
S&P 500® Index(b) | 11.96 | % | 8.07 | % |
* | Inception date is September 30, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the U.S. stock market in general. It is not possible to invest directly in the S&P 500® Index. |
Line graph is based on cumulative total return. |
30
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2060 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Target Retirement 2060 Fund (the “Fund”) seeks capital growth and income over the long term. The Fund’s benchmark is the S&P 500 Index (the “Index”). The Fund is a “fund of funds” that invests in a combination of mutual funds and ETFs sponsored by the Adviser or its affiliates.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 8.98%, and the Index was 11.96%. The total return of the Fund’s secondary benchmark index, the State Street Target Retirement 2060 Composite Index (the “Secondary Index”), was 9.21% for the Reporting Period. The Fund and both the Index and the Secondary Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index and the Secondary Index are unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
During the first quarter of 2016, the Fund’s performance was +1.05% and the performance of the Index was +1.35%. The Fund’s allocation to the State Street Small/Mid Cap Equity Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio contributed to its underperformance relative to the Index, while allocations to the SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Equity 500 Index II Portfolio contributed to the Fund’s performance during the quarter relative to the Index. The Fund’s performance during the second quarter of 2016 was +2.40% compared to Index performance of +2.46%. Most asset classes to which the Fund had exposure contributed positively to the Fund’s performance; however, international equities suffered after the vote by Britain on June 23rd in favor of exiting from its 43 year membership in the European Union. Fixed income markets also fared well in the second quarter as treasury yields declined and spreads in U.S. high yield bonds compressed. As a result, the Fund’s allocation to the State Street Global Equity ex-U.S. Index Portfolio negatively affected the Fund’s performance, while the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio, and SPDR Bloomberg Barclays Long Term Treasury ETF contributed positively to the Fund’s performance during the quarter relative to the Index. During the third quarter of 2016, the Fund’s performance was +4.68% while the performance of the Index was +3.85%. Global equity markets posted strong positive returns for the quarter, with non-U.S. equities, as represented by the MSCI ACWI ex USA Index outperforming U.S. equities, as represented by the S&P 500 Index. U.S. Treasury yields finished the quarter slightly higher with a modest flattening in the yield curve. U.S. high yield bonds benefited from continued spread compression. As a result, the Fund’s allocations to the State Street Equity 500 Index II Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Index Portfolio were key drivers of Fund performance during the quarter relative to the Index. The Fund’s performance during the fourth quarter of 2016 was +0.61% and the performance of the Index was +3.82%. During the fourth quarter many asset classes posted negative returns, with one of the exceptions being U.S. equities, as represented by the S&P 500 Index. One of the most identifiable causes for the angst across asset classes was a sharp rise in bond yields coincident with a paring back of expectations for future global central bank policy support. The Fund’s allocations to the SPDR Bloomberg Barclays Long Term Treasury ETF and State Street Global Equity ex-U.S. Index Portfolio were chief factors affecting Fund underperformance during the quarter relative to the Index.
On an individual security level, the top positive contributors to the Fund’s performance were the State Street Equity 500 Index II Portfolio, State Street Small/Mid Cap Equity Index Portfolio and State Street Global Equity ex-U.S. Index Portfolio. The SPDR Bloomberg Barclays Long Term Treasury ETF was a negative contributor to Fund performance.
31
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2060 Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
32
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2060 Fund
Class K
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return Inception to Date* December 31, 2016 | |||||||
State Street Target Retirement 2060 Fund Class A | 8.81 | % | 3.49 | % | ||||
State Street Target Retirement 2060 Fund Class I | 9.09 | % | 3.75 | % | ||||
State Street Target Retirement 2060 Fund Class K | 8.98 | % | 3.72 | % | ||||
S&P 500® Index(b) | 11.96 | % | 8.07 | % |
* | Inception date is September 30, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the U.S. stock market in general. It is not possible to invest directly in the S&P 500® Index. |
Line graph is based on cumulative total return. |
33
Table of Contents
State Street Institutional Investment Trust
Portfolio Statistics (Unaudited)
Target Retirement Fund, Target Retirement 2015 Fund, Target Retirement 2020 Fund, Target Retirement 2025 Fund, Target Retirement 2030 Fund, Target Retirement 2035 Fund, Target Retirement 2040 Fund, Target Retirement 2045 Fund, Target Retirement 2050 Fund, Target Retirement 2055 Fund and Target Retirement 2060 Fund are referred to individually as a “Fund” and collectively as the “Target Retirement Funds” or the “Funds”.
SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”) invests the assets of each Target Retirement Fund into underlying funds according to a proprietary asset allocation strategy. Each Fund’s name refers to the approximate retirement year of the investors for whom the Fund’s asset allocation strategy is intended. As the target date for a Fund approaches, the Adviser will adjust the asset allocation and risk profile of the Fund – its glide path – to what is generally seen to be a more conservative approach to reduce (but not eliminate) risk by increasing the allocation to asset classes that have historically been subject to lower levels of volatility. For example, a Fund with a target retirement date far into the future will typically invest a greater portion of its assets in asset classes with higher risk profiles and the potential for higher returns than a Fund that is intended for investors who are in their retirement years.
State Street Target Retirement Fund
Asset Allocation as of December 31, 2016 (as a percentage of Net Assets)
Domestic Equity | 19.7 | % | ||
Domestic Fixed Income | 64.6 | |||
International Equity | 10.2 | |||
Real Estate | 5.0 | |||
Short-Term Investment | 0.2 | |||
Other Assets in Excess of Liabilities | 0.3 | |||
100.0 | % |
State Street Target Retirement 2015 Fund
Asset Allocation as of December 31, 2016 (as a percentage of Net Assets)
Domestic Equity | 24.2 | % | ||
Domestic Fixed Income | 57.1 | |||
International Equity | 13.2 | |||
Real Estate | 5.1 | |||
Short-Term Investment | 0.3 | |||
Other Assets in Excess of Liabilities | 0.1 | |||
100.0 | % |
34
Table of Contents
State Street Institutional Investment Trust
Portfolio Statistics (Unaudited) — (continued)
State Street Target Retirement 2020 Fund
Asset Allocation as of December 31, 2016 (as a percentage of Net Assets)
Domestic Equity | 32.4 | % | ||
Domestic Fixed Income | 44.8 | |||
International Equity | 19.0 | |||
Real Estate | 3.5 | |||
Short-Term Investment | 0.1 | |||
Other Assets in Excess of Liabilities | 0.2 | |||
100.0 | % |
State Street Target Retirement 2025 Fund
Asset Allocation as of December 31, 2016 (as a percentage of Net Assets)
Domestic Equity | 40.5 | % | ||
Domestic Fixed Income | 33.2 | |||
International Equity | 24.9 | |||
Real Estate | 1.0 | |||
Short-Term Investment | 0.2 | |||
Other Assets in Excess of Liabilities | 0.2 | |||
100.0 | % |
State Street Target Retirement 2030 Fund
Asset Allocation as of December 31, 2016 (as a percentage of Net Assets)
Domestic Equity | 45.4 | % | ||
Domestic Fixed Income | 25.7 | |||
International Equity | 28.4 | |||
Short-Term Investment | 0.2 | |||
Other Assets in Excess of Liabilities | 0.3 | |||
100.0 | % |
35
Table of Contents
State Street Institutional Investment Trust
Portfolio Statistics (Unaudited) — (continued)
State Street Target Retirement 2035 Fund
Asset Allocation as of December 31, 2016 (as a percentage of Net Assets)
Domestic Equity | 49.5 | % | ||
Domestic Fixed Income | 18.7 | |||
International Equity | 31.2 | |||
Short-Term Investment | 0.3 | |||
Other Assets in Excess of Liabilities | 0.3 | |||
100.0 | % |
State Street Target Retirement 2040 Fund
Asset Allocation as of December 31, 2016 (as a percentage of Net Assets)
Domestic Equity | 52.5 | % | ||
Domestic Fixed Income | 13.7 | |||
International Equity | 33.3 | |||
Short-Term Investment | 0.3 | |||
Other Assets in Excess of Liabilities | 0.2 | |||
100.0 | % |
State Street Target Retirement 2045 Fund
Asset Allocation as of December 31, 2016 (as a percentage of Net Assets)
Domestic Equity | 54.8 | % | ||
Domestic Fixed Income | 9.7 | |||
International Equity | 34.8 | |||
Short-Term Investment | 0.2 | |||
Other Assets in Excess of Liabilities | 0.5 | |||
100.0 | % |
State Street Target Retirement 2050 Fund
Asset Allocation as of December 31, 2016 (as a percentage of Net Assets)
Domestic Equity | 54.7 | % | ||
Domestic Fixed Income | 9.7 | |||
International Equity | 34.8 | |||
Short-Term Investment | 0.3 | |||
Other Assets in Excess of Liabilities | 0.5 | |||
100.0 | % |
36
Table of Contents
State Street Institutional Investment Trust
Portfolio Statistics (Unaudited) — (continued)
State Street Target Retirement 2055 Fund
Asset Allocation as of December 31, 2016 (as a percentage of Net Assets)
Domestic Equity | 54.6 | % | ||
Domestic Fixed Income | 9.7 | |||
International Equity | 34.7 | |||
Short-Term Investment | 0.2 | |||
Other Assets in Excess of Liabilities | 0.8 | |||
100.0 | % |
State Street Target Retirement 2060 Fund
Asset Allocation as of December 31, 2016 (as a percentage of Net Assets)
Domestic Equity | 54.8 | % | ||
Domestic Fixed Income | 9.7 | |||
International Equity | 34.6 | |||
Other Assets in Excess of Liabilities | 0.9 | |||
100.0 | % |
37
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement Fund
December 31, 2016
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.5%(a) |
| |||||||
Domestic Equity – 19.7% |
| |||||||
State Street Equity 500 Index II Portfolio | 828,939 | $ | 9,383,593 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 166,447 | 1,772,660 | ||||||
|
| |||||||
11,156,253 | ||||||||
|
| |||||||
Domestic Fixed Income – 64.6% |
| |||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 522,357 | 10,107,608 | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 108,415 | 3,951,727 | ||||||
SPDR Bloomberg Barclays Short Term Corporate Bond ETF | 73,883 | 2,255,648 | ||||||
SPDR Bloomberg Barclays Short Term Treasury ETF | 295,962 | 8,893,658 | ||||||
State Street Aggregate Bond Index Portfolio | 1,140,689 | 11,304,230 | ||||||
|
| |||||||
36,512,871 | ||||||||
|
| |||||||
International Equity – 10.2% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 659,493 | 5,763,966 | ||||||
|
| |||||||
Real Estate – 5.0% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 60,746 | 2,846,557 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 56,279,647 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(b)(c) (Cost $106,318) | 106,318 | 106,318 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.7% | 56,385,965 | |||||||
Other Assets In Excess of Liabilities – 0.3% | 146,661 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 56,532,626 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 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 | $ | 11,156,253 | $ | – | $ | – | $ | 11,156,253 | ||||||||
Domestic Fixed Income | 36,512,871 | – | – | 36,512,871 | ||||||||||||
International Equity | 5,763,966 | – | – | 5,763,966 | ||||||||||||
Real Estate | 2,846,557 | – | – | 2,846,557 | ||||||||||||
Short-Term Investment | 106,318 | – | – | 106,318 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 56,385,965 | $ | – | $ | – | $ | 56,385,965 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
38
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement Fund
Schedule of Investments — (continued)
December 31, 2016
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 221,217 | $ | 4,242,942 | 422,153 | 121,013 | 522,357 | $ | 10,107,608 | $ | 113,346 | $ | 25,913 | ||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 48,169 | 1,633,411 | 98,651 | 38,405 | 108,415 | 3,951,727 | 189,371 | (142,200 | ) | |||||||||||||||||||||||
SPDR Bloomberg Barclays Short Term Corporate Bond ETF | 30,696 | 933,159 | 64,770 | 21,583 | 73,883 | 2,255,648 | 28,505 | (2,168 | ) | |||||||||||||||||||||||
SPDR Bloomberg Barclays Short Term Treasury ETF | 123,343 | 3,712,624 | 251,015 | 78,396 | 295,962 | 8,893,658 | 63,657 | 11,725 | ||||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 24,707 | 1,156,288 | 53,280 | 17,241 | 60,746 | 2,846,557 | 80,246 | (17,086 | ) | |||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 472,975 | 4,677,727 | 931,705 | 263,991 | 1,140,689 | 11,304,230 | 169,928 | (9,361 | ) | |||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 375,107 | 3,871,104 | 714,366 | 260,534 | 828,939 | 9,383,593 | 158,464 | 123,413 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 276,385 | 2,335,452 | 568,544 | 185,436 | 659,493 | 5,763,966 | 89,904 | (166,019 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 42,203 | 42,203 | 24,009,425 | 24,051,628 | – | – | 1,044 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 1,845,138 | 1,738,820 | 106,318 | 106,318 | 70 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 78,596 | 730,947 | 150,711 | 62,860 | 166,447 | 1,772,660 | 17,005 | 26,804 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 23,335,857 | $ | 56,385,965 | $ | 911,540 | $ | (148,979 | ) | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
39
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2015 Fund
Schedule of Investments
December 31, 2016
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.6%(a) |
| |||||||
Domestic Equity – 24.2% |
| |||||||
State Street Equity 500 Index II Portfolio | 1,327,710 | $ | 15,029,680 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 246,404 | 2,624,201 | ||||||
|
| |||||||
17,653,881 | ||||||||
|
| |||||||
Domestic Fixed Income – 57.1% |
| |||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 749,088 | 14,494,853 | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 139,926 | 5,100,303 | ||||||
SPDR Bloomberg Barclays Short Term Corporate Bond ETF | 35,759 | 1,091,722 | ||||||
SPDR Bloomberg Barclays Short Term Treasury ETF | 139,454 | 4,190,593 | ||||||
State Street Aggregate Bond Index Portfolio | 1,693,129 | 16,778,907 | ||||||
|
| |||||||
41,656,378 | ||||||||
|
| |||||||
International Equity – 13.2% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,104,279 | 9,651,396 | ||||||
|
| |||||||
Real Estate – 5.1% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 78,412 | 3,674,386 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS |
| 72,636,041 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(b)(c) | 206,879 | 206,879 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.9% | 72,842,920 | |||||||
Other Assets In Excess of Liabilities – 0.1% | 70,465 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 72,913,385 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 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 | $ | 17,653,881 | $ | – | $ | – | $ | 17,653,881 | ||||||||
Domestic Fixed Income | 41,656,378 | – | – | 41,656,378 | ||||||||||||
International Equity | 9,651,396 | – | – | 9,651,396 | ||||||||||||
Real Estate | 3,674,386 | – | – | 3,674,386 | ||||||||||||
Short-Term Investment | 206,879 | – | – | 206,879 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 72,842,920 | $ | – | $ | – | $ | 72,842,920 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
40
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2015 Fund
Schedule of Investments — (continued)
December 31, 2016
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 53,475 | $ | 1,025,651 | 843,715 | 148,102 | 749,088 | $ | 14,494,853 | $ | 157,205 | $ | 27,450 | ||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 11,031 | 374,061 | 174,557 | 45,662 | 139,926 | 5,100,303 | 189,806 | 24,924 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays Short Term Corporate Bond ETF | 1,757 | 53,413 | 49,761 | 15,759 | 35,759 | 1,091,722 | 9,589 | (99 | ) | |||||||||||||||||||||||
SPDR Bloomberg Barclays Short Term Treasury ETF | 6,590 | 198,359 | 164,005 | 31,141 | 139,454 | 4,190,593 | 20,282 | (3,150 | ) | |||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 5,658 | 264,794 | 98,478 | 25,724 | 78,412 | 3,674,386 | 84,913 | 14,637 | ||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 129,905 | 1,284,764 | 1,922,017 | 358,793 | 1,693,129 | 16,778,907 | 192,946 | 35,395 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 111,971 | 1,155,545 | 1,647,017 | 431,278 | 1,327,710 | 15,029,680 | 256,017 | 339,252 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 88,277 | 745,943 | 1,351,069 | 335,067 | 1,104,279 | 9,651,396 | 152,742 | 74,348 | ||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 5,195 | 5,195 | 34,499,646 | 34,504,841 | – | – | 1,318 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 3,629,848 | 3,422,969 | 206,879 | 206,879 | 116 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 23,068 | 214,531 | 328,004 | 104,668 | 246,404 | 2,624,201 | 25,879 | 99,210 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 5,322,256 | $ | 72,842,920 | $ | 1,090,813 | $ | 611,967 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
41
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2020 Fund
Schedule of Investments
December 31, 2016
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.7%(a) |
| |||||||
Domestic Equity – 32.4% |
| |||||||
State Street Equity 500 Index II Portfolio | 5,538,453 | $ | 62,695,292 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 1,320,755 | 14,066,036 | ||||||
|
| |||||||
76,761,328 | ||||||||
|
| |||||||
Domestic Fixed Income – 44.8% |
| |||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 851,877 | 16,483,820 | ||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 389,698 | 14,204,492 | ||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 94,754 | 6,527,603 | ||||||
SPDR Bloomberg Barclays TIPS ETF | 253,001 | 14,216,430 | ||||||
State Street Aggregate Bond Index Portfolio | 5,500,578 | 54,510,728 | ||||||
|
| |||||||
105,943,073 | ||||||||
|
| |||||||
International Equity – 19.0% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 5,133,472 | 44,866,542 | ||||||
|
| |||||||
Real Estate – 3.5% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 178,473 | 8,363,245 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE |
| 235,934,188 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(b)(c) | 275,062 | 275,062 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.8% | 236,209,250 | |||||||
Other Assets In Excess of Liabilities – 0.2% | 481,710 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 236,690,960 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 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 | $ | 76,761,328 | $ | – | $ | – | $ | 76,761,328 | ||||||||
Domestic Fixed Income | 105,943,073 | – | – | 105,943,073 | ||||||||||||
International Equity | 44,866,542 | – | – | 44,866,542 | ||||||||||||
Real Estate | 8,363,245 | – | – | 8,363,245 | ||||||||||||
Short-Term Investment | 275,062 | – | – | 275,062 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 236,209,250 | $ | – | $ | – | $ | 236,209,250 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
42
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2020 Fund
Schedule of Investments — (continued)
December 31, 2016
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays 1-10 Year TIPS ETF | 85,938 | $ | 1,648,291 | 830,041 | 64,102 | 851,877 | $ | 16,483,820 | $ | 126,055 | $ | 26,679 | ||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 96,236 | 3,263,363 | 359,394 | 65,932 | 389,698 | 14,204,492 | 567,959 | (246,352 | ) | |||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 30,708 | 2,145,875 | 96,253 | 32,207 | 94,754 | 6,527,603 | 107,922 | 133,731 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays TIPS ETF | 84,566 | 4,619,841 | 256,408 | 87,973 | 253,001 | 14,216,430 | 234,490 | 86,371 | ||||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 34,554 | 1,617,127 | 163,175 | 19,256 | 178,473 | 8,363,245 | 190,146 | (7,407 | ) | |||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 1,158,674 | 11,459,287 | 4,835,298 | 493,394 | 5,500,578 | 54,510,728 | 640,385 | 30,617 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 1,466,126 | 15,130,420 | 5,165,242 | 1,092,915 | 5,538,453 | 62,695,292 | 1,034,451 | 786,372 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,283,147 | 10,842,592 | 4,737,363 | 887,038 | 5,133,472 | 44,866,542 | 690,419 | (735,834 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 59,223 | 59,223 | 64,228,562 | 64,287,785 | – | – | 2,729 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 9,037,477 | 8,762,415 | 275,062 | 275,062 | 378 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 368,793 | 3,429,773 | 1,268,695 | 316,733 | 1,320,755 | 14,066,036 | 132,418 | 233,669 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 54,215,792 | $ | 236,209,250 | $ | 3,727,352 | $ | 307,846 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
43
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2025 Fund
Schedule of Investments
December 31, 2016
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.6%(a) |
| |||||||
Domestic Equity – 40.5% |
| |||||||
State Street Equity 500 Index II Portfolio | 5,917,934 | $ | 66,991,012 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 1,640,714 | 17,473,607 | ||||||
|
| |||||||
84,464,619 | ||||||||
|
| |||||||
Domestic Fixed Income – 33.2% |
| |||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 303,086 | 11,047,485 | ||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 235,114 | 16,197,004 | ||||||
SPDR Bloomberg Barclays TIPS ETF | 211,621 | 11,891,238 | ||||||
State Street Aggregate Bond Index Portfolio | 3,053,373 | 30,258,930 | ||||||
|
| |||||||
69,394,657 | ||||||||
|
| |||||||
International Equity – 24.9% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 5,955,335 | 52,049,631 | ||||||
|
| |||||||
Real Estate – 1.0% |
| |||||||
SPDR Dow Jones Global Real Estate ETF | 44,954 | 2,106,544 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE |
| 208,015,451 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(b)(c) | 476,724 | 476,724 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.8% | 208,492,175 | |||||||
Other Assets In Excess of Liabilities – 0.2% | 482,938 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 208,975,113 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 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 | $ | 84,464,619 | $ | – | $ | – | $ | 84,464,619 | ||||||||
Domestic Fixed Income | 69,394,657 | – | – | 69,394,657 | ||||||||||||
International Equity | 52,049,631 | – | – | 52,049,631 | ||||||||||||
Real Estate | 2,106,544 | – | – | 2,106,544 | ||||||||||||
Short-Term Investment | 476,724 | – | – | 476,724 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 208,492,175 | $ | – | $ | – | $ | 208,492,175 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
44
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2025 Fund
Schedule of Investments — (continued)
December 31, 2016
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 35,195 | $ | 1,193,463 | 296,095 | 28,204 | 303,086 | $ | 11,047,485 | $ | 376,171 | $ | (53,262 | ) | |||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 32,230 | 2,252,232 | 235,814 | 32,930 | 235,114 | 16,197,004 | 216,056 | 208,987 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays TIPS ETF | 19,973 | 1,091,125 | 206,335 | 14,687 | 211,621 | 11,891,238 | 136,671 | 25,621 | ||||||||||||||||||||||||
SPDR Dow Jones Global Real Estate ETF | 2,689 | 125,845 | 47,886 | 5,621 | 44,954 | 2,106,544 | 37,630 | 19,088 | ||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 360,531 | 3,565,649 | 2,855,940 | 163,098 | 3,053,373 | 30,258,930 | 320,297 | 44,975 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 806,639 | 8,324,515 | 5,856,482 | 745,187 | 5,917,934 | 66,991,012 | 1,089,452 | 765,099 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 761,307 | 6,433,045 | 5,822,758 | 628,730 | 5,955,335 | 52,049,631 | 784,016 | (286,101 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 58,469 | 58,469 | 46,454,130 | 46,512,599 | – | – | 2,114 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 8,387,875 | 7,911,151 | 476,724 | 476,724 | 427 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 240,898 | 2,240,347 | 1,706,774 | 306,958 | 1,640,714 | 17,473,607 | 162,684 | 417,854 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 25,284,690 | $ | 208,492,175 | $ | 3,125,518 | $ | 1,142,261 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
45
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2030 Fund
Schedule of Investments
December 31, 2016
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.5%(a) |
| |||||||
Domestic Equity – 45.4% |
| |||||||
State Street Equity 500 Index II Portfolio | 6,991,050 | $ | 79,138,687 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 2,246,580 | 23,926,080 | ||||||
|
| |||||||
103,064,767 | ||||||||
|
| |||||||
Domestic Fixed Income – 25.7% |
| |||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 142,960 | 5,210,892 | ||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 321,497 | 22,147,928 | ||||||
SPDR Bloomberg Barclays TIPS ETF | 68,601 | 3,854,773 | ||||||
State Street Aggregate Bond Index Portfolio | 2,746,525 | 27,218,059 | ||||||
|
| |||||||
58,431,652 | ||||||||
|
| |||||||
International Equity – 28.4% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 7,389,682 | 64,585,823 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE |
| 226,082,242 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(b)(c) | 519,504 | 519,504 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.7% | 226,601,746 | |||||||
Other Assets In Excess of Liabilities – 0.3% | 638,200 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 227,239,946 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 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 | $ | 103,064,767 | $ | – | $ | – | $ | 103,064,767 | ||||||||
Domestic Fixed Income | 58,431,652 | – | – | 58,431,652 | ||||||||||||
International Equity | 64,585,823 | – | – | 64,585,823 | ||||||||||||
Short-Term Investment | 519,504 | – | – | 519,504 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 226,601,746 | $ | – | $ | – | $ | 226,601,746 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
46
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2030 Fund
Schedule of Investments — (continued)
December 31, 2016
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays High Yield Bond ETF | 26,115 | $ | 885,559 | 138,643 | 21,798 | 142,960 | $ | 5,210,892 | $ | 180,626 | $ | (52,400 | ) | |||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 71,969 | 5,029,194 | 296,199 | 46,671 | 321,497 | 22,147,928 | 306,496 | 178,098 | ||||||||||||||||||||||||
SPDR Bloomberg Barclays TIPS ETF | 11,571 | 632,124 | 68,160 | 11,130 | 68,601 | 3,854,773 | 45,592 | 16,516 | ||||||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 590,423 | 5,839,285 | 2,279,491 | 123,389 | 2,746,525 | 27,218,059 | 315,826 | 26,909 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 1,734,874 | 17,903,899 | 5,999,412 | 743,236 | 6,991,050 | 79,138,687 | 1,283,599 | 787,972 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,710,901 | 14,457,117 | 6,292,442 | 613,661 | 7,389,682 | 64,585,823 | 972,934 | (460,966 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 61,616 | 61,616 | 36,550,171 | 36,611,787 | – | – | 1,968 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 9,148,612 | 8,629,108 | 519,504 | 519,504 | 444 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 596,282 | 5,545,426 | 2,009,460 | 359,162 | 2,246,580 | 23,926,080 | 221,816 | 331,539 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 50,354,220 | $ | 226,601,746 | $ | 3,329,301 | $ | 827,668 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
47
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2035 Fund
Schedule of Investments
December 31, 2016
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.4%(a) |
| |||||||
Domestic Equity – 49.5% |
| |||||||
State Street Equity 500 Index II Portfolio | 5,409,606 | $ | 61,236,743 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 1,982,769 | 21,116,491 | ||||||
|
| |||||||
82,353,234 | ||||||||
|
| |||||||
Domestic Fixed Income – 18.7% |
| |||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 235,292 | 16,209,266 | ||||||
State Street Aggregate Bond Index Portfolio | 1,507,436 | 14,938,693 | ||||||
|
| |||||||
31,147,959 | ||||||||
|
| |||||||
International Equity – 31.2% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 5,944,761 | 51,957,210 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE |
| 165,458,403 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(b)(c) | 415,810 | 415,810 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.7% | 165,874,213 | |||||||
Other Assets In Excess of Liabilities – 0.3% | 580,669 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 166,454,882 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 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 | $ | 82,353,234 | $ | – | $ | – | $ | 82,353,234 | ||||||||
Domestic Fixed Income | 31,147,959 | – | – | 31,147,959 | ||||||||||||
International Equity | 51,957,210 | – | – | 51,957,210 | ||||||||||||
Short-Term Investment | 415,810 | – | – | 415,810 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 165,874,213 | $ | – | $ | – | $ | 165,874,213 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
48
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2035 Fund
Schedule of Investments — (continued)
December 31, 2016
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 27,142 | $ | 1,896,683 | 241,430 | 33,280 | 235,292 | $ | 16,209,266 | $ | 202,184 | $ | 189,202 | ||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 156,435 | 1,547,145 | 1,399,301 | 48,300 | 1,507,436 | 14,938,693 | 149,920 | 14,974 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 690,403 | 7,124,961 | 5,256,868 | 537,665 | 5,409,606 | 61,236,743 | 988,899 | 631,596 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 710,580 | 6,004,397 | 5,673,999 | 439,818 | 5,944,761 | 51,957,210 | 776,947 | (224,449 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 29,072 | 29,072 | 24,317,339 | 24,346,411 | – | – | 1,229 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 6,022,194 | 5,606,384 | 415,810 | 415,810 | 348 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 274,432 | 2,552,213 | 2,009,810 | 301,473 | 1,982,769 | 21,116,491 | 195,567 | 395,608 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 19,154,471 | $ | 165,874,213 | $ | 2,315,094 | $ | 1,006,931 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
49
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2040 Fund
Schedule of Investments
December 31, 2016
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.5%(a) |
| |||||||
Domestic Equity – 52.5% |
| |||||||
State Street Equity 500 Index II Portfolio | 4,792,971 | $ | 54,256,435 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 2,031,247 | 21,632,779 | ||||||
|
| |||||||
75,889,214 | ||||||||
|
| |||||||
Domestic Fixed Income – 13.7% |
| |||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 204,304 | 14,074,503 | ||||||
State Street Aggregate Bond Index Portfolio | 581,656 | 5,764,211 | ||||||
|
| |||||||
19,838,714 | ||||||||
|
| |||||||
International Equity – 33.3% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 5,494,710 | 48,023,763 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE |
| 143,751,691 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(b)(c) | 383,493 | 383,493 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.8% | 144,135,184 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES – 0.2% | 251,929 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 144,387,113 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 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 | $ | 75,889,214 | $ | – | $ | – | $ | 75,889,214 | ||||||||
Domestic Fixed Income | 19,838,714 | – | – | 19,838,714 | ||||||||||||
International Equity | 48,023,763 | – | – | 48,023,763 | ||||||||||||
Short-Term Investment | 383,493 | – | – | 383,493 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 144,135,184 | $ | – | $ | – | $ | 144,135,184 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
50
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2040 Fund
Schedule of Investments — (continued)
December 31, 2016
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 52,863 | $ | 3,694,067 | 180,541 | 29,100 | 204,304 | $ | 14,074,503 | $ | 203,826 | $ | 92,877 | ||||||||||||||||||||
State Street Aggregate Bond Index Portfolio | 113,396 | 1,121,488 | 482,604 | 14,344 | 581,656 | 5,764,211 | 62,528 | 5,630 | ||||||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 1,360,079 | 14,036,017 | 3,888,583 | 455,691 | 4,792,971 | 54,256,435 | 877,120 | 513,377 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,461,063 | 12,345,985 | 4,456,775 | 423,128 | 5,494,710 | 48,023,763 | 718,169 | (348,813 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 31,888 | 31,888 | 18,934,669 | 18,966,557 | – | – | 1,174 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 6,023,993 | 5,640,500 | 383,493 | 383,493 | 240 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 622,013 | 5,784,718 | 1,711,225 | 301,991 | 2,031,247 | 21,632,779 | 200,443 | 279,259 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 37,014,163 | $ | 144,135,184 | $ | 2,063,500 | $ | 542,330 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
51
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2045 Fund
Schedule of Investments
December 31, 2016
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.3%(a) |
| |||||||
Domestic Equity – 54.8% |
| |||||||
State Street Equity 500 Index II Portfolio | 2,591,396 | $ | 29,334,598 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 1,230,788 | 13,107,891 | ||||||
|
| |||||||
42,442,489 | ||||||||
|
| |||||||
Domestic Fixed Income – 9.7% |
| |||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 109,425 | 7,538,288 | ||||||
|
| |||||||
International Equity – 34.8% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 3,085,449 | 26,966,824 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE |
| 76,947,601 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(b)(c) | 186,283 | 186,283 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.5% | 77,133,884 | |||||||
Other Assets In Excess of Liabilities – 0.5% | 398,206 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 77,532,090 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 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 | $ | 42,442,489 | $ | – | $ | – | $ | 42,442,489 | ||||||||
Domestic Fixed Income | 7,538,288 | – | – | 7,538,288 | ||||||||||||
International Equity | 26,966,824 | – | – | 26,966,824 | ||||||||||||
Short-Term Investment | 186,283 | – | – | 186,283 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 77,133,884 | $ | – | $ | – | $ | 77,133,884 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 13,291 | $ | 928,775 | 109,824 | 13,690 | 109,425 | $ | 7,538,288 | $ | 94,992 | $ | 74,622 | ||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 352,592 | 3,638,753 | 2,471,119 | 232,315 | 2,591,396 | 29,334,598 | 468,857 | 262,723 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 389,014 | 3,287,166 | 2,883,548 | 187,113 | 3,085,449 | 26,966,824 | 398,258 | (167,693 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 14,605 | 14,605 | 12,292,964 | 12,307,569 | – | – | 606 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 4,150,519 | 3,964,236 | 186,283 | 186,283 | 149 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 174,812 | 1,625,748 | 1,209,301 | 153,325 | 1,230,788 | 13,107,891 | 119,060 | 173,386 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 9,495,047 | $ | 77,133,884 | $ | 1,081,922 | $ | 343,038 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
52
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2050 Fund
Schedule of Investments
December 31, 2016
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.2%(a) |
| |||||||
Domestic Equity – 54.7% |
| |||||||
State Street Equity 500 Index II Portfolio | 1,623,760 | $ | 18,380,960 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 770,307 | 8,203,774 | ||||||
|
| |||||||
26,584,734 | ||||||||
|
| |||||||
Domestic Fixed Income – 9.7% |
| |||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 68,486 | 4,718,001 | ||||||
|
| |||||||
International Equity – 34.8% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 1,931,105 | 16,877,862 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE |
| 48,180,597 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(b)(c) | 151,225 | 151,225 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.5% | 48,331,822 | |||||||
Other Assets In Excess of Liabilities – 0.5% | 229,810 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 48,561,632 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 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 | $ | 26,584,734 | $ | – | $ | – | $ | 26,584,734 | ||||||||
Domestic Fixed Income | 4,718,001 | – | – | 4,718,001 | ||||||||||||
International Equity | 16,877,862 | – | – | 16,877,862 | ||||||||||||
Short-Term Investment | 151,225 | – | – | 151,225 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 48,331,822 | $ | – | $ | – | $ | 48,331,822 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 9,374 | $ | 655,055 | 69,109 | 9,997 | 68,486 | $ | 4,718,001 | $ | 59,789 | $ | 51,553 | ||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 249,153 | 2,571,264 | 1,506,543 | 131,936 | 1,623,760 | 18,380,960 | 291,816 | 161,639 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 274,892 | 2,322,840 | 1,759,099 | 102,886 | 1,931,105 | 16,877,862 | 247,887 | (84,389 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 9,103 | 9,103 | 7,813,991 | 7,823,094 | – | – | 390 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 3,151,223 | 2,999,998 | 151,225 | 151,225 | 125 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 123,526 | 1,148,791 | 733,979 | 87,198 | 770,307 | 8,203,774 | 74,110 | 102,568 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 6,707,053 | $ | 48,331,822 | $ | 674,117 | $ | 231,371 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
53
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2055 Fund
Schedule of Investments
December 31, 2016
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.0%(a) |
| |||||||
Domestic Equity – 54.6% |
| |||||||
State Street Equity 500 Index II Portfolio | 638,889 | $ | 7,232,227 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 303,441 | 3,231,648 | ||||||
|
| |||||||
10,463,875 | ||||||||
|
| |||||||
Domestic Fixed Income – 9.7% |
| |||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 26,978 | 1,858,515 | ||||||
|
| |||||||
International Equity – 34.7% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 760,683 | 6,648,369 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE |
| 18,970,759 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(b)(c) | 40,625 | 40,625 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.2% (Cost $18,742,799) | 19,011,384 | |||||||
Other Assets In Excess of | 149,986 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 19,161,370 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 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 | $ | 10,463,875 | $ | – | $ | – | $ | 10,463,875 | ||||||||
Domestic Fixed Income | 1,858,515 | – | – | 1,858,515 | ||||||||||||
International Equity | 6,648,369 | – | – | 6,648,369 | ||||||||||||
Short-Term Investment | 40,625 | – | – | 40,625 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 19,011,384 | $ | – | $ | – | $ | 19,011,384 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 4,795 | $ | 335,075 | 25,188 | 3,005 | 26,978 | $ | 1,858,515 | $ | 23,376 | $ | 11,996 | ||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 128,106 | 1,322,051 | 557,085 | 46,302 | 638,889 | 7,232,227 | 114,304 | 62,025 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 141,338 | 1,194,305 | 657,937 | 38,592 | 760,683 | 6,648,369 | 97,301 | (32,060 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 2,406 | 2,406 | 3,978,863 | 3,981,269 | – | – | 193 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 1,593,197 | 1,552,572 | 40,625 | 40,625 | 58 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 63,513 | 590,671 | 272,815 | 32,887 | 303,441 | 3,231,648 | 29,001 | 35,199 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 3,444,508 | $ | 19,011,384 | $ | 264,233 | $ | 77,160 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
54
Table of Contents
State Street Institutional Investment Trust
State Street Target Retirement 2060 Fund
Schedule of Investments
December 31, 2016
Security Description | Shares | Value | ||||||
MUTUAL FUNDS AND EXCHANGE TRADED PRODUCTS – 99.1%(a) |
| |||||||
Domestic Equity – 54.8% |
| |||||||
State Street Equity 500 Index II Portfolio | 123,213 | $ | 1,394,774 | |||||
State Street Small/Mid Cap Equity Index Portfolio | 58,520 | 623,241 | ||||||
|
| |||||||
2,018,015 | ||||||||
|
| |||||||
Domestic Fixed Income – 9.7% |
| |||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 5,203 | 358,434 | ||||||
|
| |||||||
International Equity – 34.6% |
| |||||||
State Street Global Equity ex-U.S. Index Portfolio | 145,739 | 1,273,762 | ||||||
|
| |||||||
TOTAL MUTUAL FUNDS AND EXCHANGE |
| 3,650,211 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.1% |
| 3,650,211 | ||||||
Other Assets In Excess of | 31,565 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 3,681,776 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 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 | $ | 2,018,015 | $ | – | $ | – | $ | 2,018,015 | ||||||||
Domestic Fixed Income | 358,434 | – | – | 358,434 | ||||||||||||
International Equity | 1,273,762 | – | – | 1,273,762 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,650,211 | $ | – | $ | – | $ | 3,650,211 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
SPDR Bloomberg Barclays Long Term Treasury ETF | 843 | $ | 58,909 | 6,527 | 2,167 | 5,203 | $ | 358,434 | $ | 4,137 | $ | 8,399 | ||||||||||||||||||||
State Street Equity 500 Index II Portfolio | 22,757 | 234,850 | 132,589 | 32,133 | 123,213 | 1,394,774 | 20,880 | 34,399 | ||||||||||||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 25,103 | 212,124 | 154,658 | 34,022 | 145,739 | 1,273,762 | 17,760 | (6,553 | ) | |||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 4,933 | 4,933 | 1,214,661 | 1,219,594 | – | – | 40 | – | ||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 592,320 | 592,320 | – | – | 14 | – | ||||||||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 11,281 | 104,915 | 65,359 | 18,120 | 58,520 | 623,241 | 5,298 | 16,777 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 615,731 | $ | 3,650,211 | $ | 48,129 | $ | 53,022 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
55
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
December 31, 2016
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) | $ | 56,385,965 | $ | 72,842,920 | $ | 236,209,250 | $ | 208,492,175 | ||||||||
Receivable for investments sold | 701,410 | 1,196,176 | 6,604,515 | 4,915,351 | ||||||||||||
Receivable for fund shares sold | 108,238 | 108,874 | 160,609 | 464,361 | ||||||||||||
Dividends receivable – affiliated issuers (Note 2) | 41,181 | 45,533 | 120,722 | 100,065 | ||||||||||||
Receivable from Adviser (Note 3) | 55,370 | 38,220 | 43,240 | 47,892 | ||||||||||||
Prepaid expenses and other assets | 88 | 32 | 213 | 110 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 57,292,252 | 74,231,755 | 243,138,549 | 214,019,954 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | 687,570 | 1,256,010 | 6,332,975 | 4,966,197 | ||||||||||||
Payable for fund shares repurchased | 5,433 | 94 | 35,854 | 3,219 | ||||||||||||
Advisory fee payable (Note 3) | 2,439 | 3,137 | 9,990 | 8,745 | ||||||||||||
Custodian fees payable (Note 3) | 4,947 | 4,826 | 4,794 | 4,742 | ||||||||||||
Administration fees payable (Note 3) | 2,613 | 3,374 | 10,377 | 9,069 | ||||||||||||
Distribution fees payable (Note 3) | 90 | 131 | 35 | 36 | ||||||||||||
Transfer agent fees payable (Note 3) | 14,402 | 10,409 | 10,806 | 10,583 | ||||||||||||
Sub-transfer agent fee payable (Note 3) | 308 | 276 | 415 | 339 | ||||||||||||
Registration and filing fees payable | 784 | 2,568 | 5,072 | 4,954 | ||||||||||||
Professional fees payable | 35,165 | 35,163 | 35,131 | 35,138 | ||||||||||||
Printing and postage fees payable | 3,509 | – | – | – | ||||||||||||
Accrued expenses and other liabilities | 2,366 | 2,382 | 2,140 | 1,819 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 759,626 | 1,318,370 | 6,447,589 | 5,044,841 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 56,532,626 | $ | 72,913,385 | $ | 236,690,960 | $ | 208,975,113 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in Capital | $ | 57,112,799 | $ | 73,771,665 | $ | 237,952,543 | $ | 208,842,926 | ||||||||
Undistributed (distribution in excess of) net investment income (loss) | 3,562 | – | – | – | ||||||||||||
Accumulated net realized gain (loss) on investments | (299,807 | ) | 49,751 | (443,707 | ) | 367,708 | ||||||||||
Net unrealized appreciation (depreciation) on: | (283,928 | ) | (908,031 | ) | (817,876 | ) | (235,521 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 56,532,626 | $ | 72,913,385 | $ | 236,690,960 | $ | 208,975,113 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class A | ||||||||||||||||
Net assets | $ | 421,776 | $ | 607,888 | $ | 166,469 | $ | 169,110 | ||||||||
Shares outstanding | 41,667 | 60,264 | 16,180 | 16,365 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.12 | $ | 10.09 | $ | 10.29 | $ | 10.33 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Maximum offering price per share | $ | 10.60 | $ | 10.57 | $ | 10.77 | $ | 10.82 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
56
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
December 31, 2016
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | State Street Target Retirement 2020 Fund | State Street Target Retirement 2025 Fund | |||||||||||||
Class I | ||||||||||||||||
Net assets | $ | 612,248 | $ | 819,274 | $ | 797,392 | $ | 2,109,652 | ||||||||
Shares outstanding | 60,486 | 81,220 | 77,610 | 204,240 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.12 | $ | 10.09 | $ | 10.27 | $ | 10.33 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Net assets | $ | 55,498,602 | $ | 71,486,223 | $ | 235,727,099 | $ | 206,696,351 | ||||||||
Shares outstanding | 5,486,568 | 7,086,402 | 22,937,891 | 19,989,928 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.12 | $ | 10.09 | $ | 10.28 | $ | 10.34 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of Investments: | ||||||||||||||||
Investments in affiliated issuers | $ | 56,669,893 | $ | 73,750,951 | $ | 237,027,126 | $ | 208,727,696 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
57
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
December 31, 2016
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) | $ | 226,601,746 | $ | 165,874,213 | $ | 144,135,184 | $ | 77,133,884 | ||||||||
Receivable for investments sold | 5,640,765 | 4,127,376 | 3,617,180 | 1,806,529 | ||||||||||||
Receivable for fund shares sold | 564,783 | 564,822 | 294,459 | 394,292 | ||||||||||||
Dividends receivable – affiliated issuers (Note 2) | 70,917 | 30,472 | 26,319 | 14,064 | ||||||||||||
Receivable from Adviser (Note 3) | 38,157 | 51,062 | 37,966 | 40,857 | ||||||||||||
Prepaid expenses and other assets | 202 | 86 | 154 | 49 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Assets | 232,916,570 | 170,648,031 | 148,111,262 | 79,389,675 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities | ||||||||||||||||
Payable for investments purchased | 5,589,717 | 4,122,315 | 3,658,439 | 1,796,072 | ||||||||||||
Payable for fund shares repurchased | 9,159 | 1,371 | – | 2,738 | ||||||||||||
Advisory fee payable (Note 3) | 9,516 | 6,973 | 6,075 | 3,236 | ||||||||||||
Custodian fees payable (Note 3) | 5,155 | 4,759 | 4,862 | 4,920 | ||||||||||||
Administration fees payable (Note 3) | 9,811 | 7,197 | 6,278 | 3,363 | ||||||||||||
Distribution fees payable (Note 3) | 36 | 129 | 33 | 80 | ||||||||||||
Transfer agent fees payable (Note 3) | 10,833 | 9,785 | 8,573 | 8,058 | ||||||||||||
Sub-transfer agent fee payable (Note 3) | 339 | 230 | 252 | 166 | ||||||||||||
Registration and filing fees payable | 4,752 | 3,122 | 2,302 | 1,438 | ||||||||||||
Professional fees payable | 35,135 | 35,149 | 35,150 | 35,163 | ||||||||||||
Accrued expenses and other liabilities | 2,171 | 2,119 | 2,185 | 2,351 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Liabilities | 5,676,624 | 4,193,149 | 3,724,149 | 1,857,585 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 227,239,946 | $ | 166,454,882 | $ | 144,387,113 | $ | 77,532,090 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets Consist of: | ||||||||||||||||
Paid-in Capital | $ | 226,503,551 | $ | 164,985,635 | $ | 142,595,850 | $ | 76,129,475 | ||||||||
Accumulated net realized gain (loss) on investments | 167,632 | 492,573 | 12,409 | 134,082 | ||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments | 568,763 | 976,674 | 1,778,854 | 1,268,533 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets | $ | 227,239,946 | $ | 166,454,882 | $ | 144,387,113 | $ | 77,532,090 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class A | ||||||||||||||||
Net Assets | $ | 168,921 | $ | 606,105 | $ | 152,973 | $ | 375,036 | ||||||||
Shares outstanding | 16,264 | 58,059 | 14,716 | 36,187 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.39 | $ | 10.44 | $ | 10.40 | $ | 10.36 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | 4.50 | % | ||||||||
Maximum offering price per share | $ | 10.88 | $ | 10.93 | $ | 10.89 | $ | 10.85 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Net Assets | $ | 1,521,975 | $ | 840,480 | $ | 708,451 | $ | 852,692 | ||||||||
Shares outstanding | 146,713 | 80,614 | 68,154 | 82,307 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.37 | $ | 10.43 | $ | 10.39 | $ | 10.36 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
58
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
December 31, 2016
State Street Target Retirement 2030 Fund | State Street Target Retirement 2035 Fund | State Street Target Retirement 2040 Fund | State Street Target Retirement 2045 Fund | |||||||||||||
Class K | ||||||||||||||||
Net Assets | $ | 225,549,050 | $ | 165,008,297 | $ | 143,525,689 | $ | 76,304,362 | ||||||||
Shares outstanding | 21,718,963 | 15,799,754 | 13,795,197 | 7,365,264 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net asset value, offering and redemption price per share | $ | 10.38 | $ | 10.44 | $ | 10.40 | $ | 10.36 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Cost of Investments: | ||||||||||||||||
Investments in affiliated issuers | $ | 226,032,983 | $ | 164,897,539 | $ | 142,356,330 | $ | 75,865,351 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
59
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
December 31, 2016
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) | $ | 48,331,822 | $ | 19,011,384 | $ | 3,650,211 | ||||||
Receivable for investments sold | 1,069,496 | 440,871 | 94,189 | |||||||||
Receivable for fund shares sold | 306,449 | 170,934 | 39,444 | |||||||||
Dividends receivable – affiliated issuers (Note 2) | 8,855 | 3,484 | 675 | |||||||||
Receivable from Adviser (Note 3) | 37,811 | 37,146 | 41,795 | |||||||||
Prepaid expenses and other assets | 35 | 15 | 3 | |||||||||
|
|
|
|
|
| |||||||
Total Assets | 49,754,468 | 19,663,834 | 3,826,317 | |||||||||
|
|
|
|
|
| |||||||
Liabilities | ||||||||||||
Due to custodian (Note 3) | – | – | 6,436 | |||||||||
Payable for investments purchased | 1,110,193 | 445,949 | 85,275 | |||||||||
Payable for fund shares repurchased | 26,117 | 2,023 | 84 | |||||||||
Advisory fee payable (Note 3) | 2,014 | 788 | 146 | |||||||||
Custodian fees payable (Note 3) | 4,776 | 4,843 | 4,846 | |||||||||
Administration fees payable (Note 3) | 2,078 | 852 | 209 | |||||||||
Distribution fees payable (Note 3) | 38 | 37 | 36 | |||||||||
Transfer agent fees payable (Note 3) | 8,032 | 8,031 | 7,994 | |||||||||
Sub-transfer agent fee payable (Note 3) | 83 | 121 | 162 | |||||||||
Registration and filing fees payable | 872 | 944 | 55 | |||||||||
Professional fees payable | 35,169 | 35,174 | 35,176 | |||||||||
Printing and postage fees payable | 1,443 | 1,407 | 1,546 | |||||||||
Accrued expenses and other liabilities | 2,021 | 2,295 | 2,576 | |||||||||
|
|
|
|
|
| |||||||
Total Liabilities | 1,192,836 | 502,464 | 144,541 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 48,561,632 | $ | 19,161,370 | $ | 3,681,776 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: | ||||||||||||
Paid-in Capital | $ | 47,614,497 | $ | 18,863,652 | $ | 3,653,777 | ||||||
Accumulated net realized gain (loss) on investments | 92,504 | 29,133 | (884 | ) | ||||||||
Net unrealized appreciation (depreciation) on: | 854,631 | 268,585 | 28,883 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 48,561,632 | $ | 19,161,370 | $ | 3,681,776 | ||||||
|
|
|
|
|
| |||||||
Class A | ||||||||||||
Net Assets | $ | 179,835 | $ | 172,053 | $ | 168,092 | ||||||
Shares outstanding | 17,394 | 16,667 | 16,667 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 10.34 | $ | 10.32 | $ | 10.09 | ||||||
|
|
|
|
|
| |||||||
Maximum sales charge | 4.50 | % | 4.50 | % | 4.50 | % | ||||||
Maximum offering price per share | $ | 10.83 | $ | 10.81 | $ | 10.57 | ||||||
|
|
|
|
|
| |||||||
Class I | ||||||||||||
Net Assets | $ | 365,865 | $ | 271,236 | $ | 169,591 | ||||||
Shares outstanding | 35,434 | 26,276 | 16,815 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 10.33 | $ | 10.32 | $ | 10.09 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
60
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
December 31, 2016
State Street Target Retirement 2050 Fund | State Street Target Retirement 2055 Fund | State Street Target Retirement 2060 Fund | ||||||||||
Class K | ||||||||||||
Net Assets | $ | 48,015,932 | $ | 18,718,081 | $ | 3,344,093 | ||||||
Shares outstanding | 4,649,003 | 1,815,158 | 331,695 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 10.33 | $ | 10.31 | $ | 10.08 | ||||||
|
|
|
|
|
| |||||||
Cost of Investments: | ||||||||||||
Investments in affiliated issuers | $ | 47,477,191 | $ | 18,742,799 | $ | 3,621,328 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
61
Table of Contents
State Street Institutional Investment Trust
For the Year Ended December 31, 2016
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) | $ | 911,540 | $ | 1,090,813 | $ | 3,727,352 | $ | 3,125,518 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Advisory fees (Note 3) | 20,885 | 20,335 | 71,724 | 55,565 | ||||||||||||
Administration fees (Note 3) | 20,885 | 20,335 | 71,724 | 55,565 | ||||||||||||
Distribution fees (Note 3) | ||||||||||||||||
Class A | 1,048 | 1,507 | 342 | 412 | ||||||||||||
Custodian fees (Note 3) | 26,146 | 26,037 | 26,346 | 26,389 | ||||||||||||
Trustee’s fees and expenses (Note 4) | 18,642 | 18,445 | 19,020 | 18,817 | ||||||||||||
Transfer agent fees (Note 3) | 65,625 | 43,644 | 45,509 | 44,409 | ||||||||||||
Sub-transfer agent fee (Note 3) | – | 38 | 955 | 1,357 | ||||||||||||
Registration and filing fees | 55,418 | 43,618 | 46,346 | 44,971 | ||||||||||||
Professional fees | 50,572 | 50,615 | 51,010 | 50,925 | ||||||||||||
Printing and postage fees | 11,305 | 8,475 | 8,762 | 11,138 | ||||||||||||
Insurance expense | 221 | 129 | 374 | 170 | ||||||||||||
Miscellaneous expenses | 5,054 | 4,864 | 6,979 | 8,661 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 275,801 | 238,042 | 349,091 | 318,379 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses waived/reimbursed by the Adviser (Note 3) | (290,421 | ) | (239,615 | ) | (332,746 | ) | (272,776 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | (14,620 | ) | (1,573 | ) | 16,345 | 45,603 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 926,160 | 1,092,386 | 3,711,007 | 3,079,915 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investment transactions – affiliated issuers (Note 2) | (249,063 | ) | 453,808 | (333,907 | ) | 478,627 | ||||||||||
Capital gain distributions – affiliated issuers (Note 2) | 100,084 | 158,159 | 641,753 | 663,634 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | (148,979 | ) | 611,967 | 307,846 | 1,142,261 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||||||
Investment transactions – affiliated issuers (Note 2) | 674,997 | (706,029 | ) | 2,463,278 | 1,078,686 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation | 674,997 | (706,029 | ) | 2,463,278 | 1,078,686 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized And Unrealized Gain (loss) | 526,018 | (94,062 | ) | 2,771,124 | 2,220,947 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 1,452,178 | $ | 998,324 | $ | 6,482,131 | $ | 5,300,862 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
62
Table of Contents
State Street Institutional Investment Trust
Statements of Operations — (continued)
For the Year Ended December 31, 2016
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) | $ | 3,329,301 | $ | 2,315,094 | $ | 2,063,500 | $ | 1,081,922 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses | ||||||||||||||||
Advisory fees (Note 3) | 66,324 | 43,443 | 44,277 | 20,556 | ||||||||||||
Administration fees (Note 3) | 66,324 | 43,443 | 44,277 | 20,556 | ||||||||||||
Distribution fees (Note 3) | ||||||||||||||||
Class A | 410 | 1,317 | 364 | 835 | ||||||||||||
Custodian fees (Note 3) | 26,776 | 26,407 | 26,288 | 26,004 | ||||||||||||
Trustee’s fees and expenses (Note 4) | 18,985 | 18,733 | 18,836 | 18,594 | ||||||||||||
Transfer agent fees (Note 3) | 45,704 | 43,547 | 38,952 | 37,704 | ||||||||||||
Sub-transfer agent fee (Note 3) | 749 | 495 | 755 | 168 | ||||||||||||
Registration and filing fees | 47,008 | 44,689 | 47,049 | 45,493 | ||||||||||||
Professional fees | 50,962 | 50,813 | 50,767 | 50,603 | ||||||||||||
Printing and postage fees | 10,089 | 11,923 | 10,299 | 11,295 | ||||||||||||
Insurance expense | 334 | 153 | 280 | 128 | ||||||||||||
Miscellaneous expenses | 6,703 | 6,612 | 6,439 | 4,983 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Expenses | 340,368 | 291,575 | 288,583 | 236,919 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Expenses waived/reimbursed by the Adviser (Note 3) | (275,843 | ) | (239,627 | ) | (246,798 | ) | (216,852 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Expenses | 64,525 | 51,948 | 41,785 | 20,067 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Investment Income (Loss) | 3,264,776 | 2,263,146 | 2,021,715 | 1,061,855 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||
Investment transactions – affiliated issuers (Note 2) | 28,468 | 375,695 | (33,812 | ) | 27,418 | |||||||||||
Capital gain distributions – affiliated issuers (Note 2) | 799,200 | 631,236 | 576,142 | 315,620 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain (loss) | 827,668 | 1,006,931 | 542,330 | 343,038 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||||||
Investment transactions – affiliated issuers (Note 2) | 3,859,742 | 2,007,762 | 4,289,308 | 1,861,271 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net change in unrealized appreciation/depreciation | 3,859,742 | 2,007,762 | 4,289,308 | 1,861,271 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Realized and Unrealized Gain (loss) | 4,687,410 | 3,014,693 | 4,831,638 | 2,204,309 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 7,952,186 | $ | 5,277,839 | $ | 6,853,353 | $ | 3,266,164 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
63
Table of Contents
State Street Institutional Investment Trust
Statements of Operations — (continued)
For the Year Ended December 31, 2016
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) | $ | 674,117 | $ | 264,233 | $ | 48,129 | ||||||
|
|
|
|
|
| |||||||
Expenses | ||||||||||||
Advisory fees (Note 3) | 12,969 | 5,094 | 888 | |||||||||
Administration fees (Note 3) | 12,968 | 5,055 | 888 | |||||||||
Distribution fees (Note 3) | ||||||||||||
Class A | 415 | 412 | 407 | |||||||||
Custodian fees (Note 3) | 25,909 | 25,884 | 25,645 | |||||||||
Trustee’s fees and expenses (Note 4) | 18,545 | 18,481 | 18,446 | |||||||||
Transfer agent fees (Note 3) | 37,612 | 37,672 | 37,548 | |||||||||
Sub-transfer agent fee (Note 3) | 540 | – | – | |||||||||
Registration and filing fees | 54,658 | 52,117 | 53,896 | |||||||||
Professional fees | 50,532 | 50,466 | 50,432 | |||||||||
Printing and postage fees | 12,950 | 11,590 | 8,760 | |||||||||
Insurance expense | 58 | 117 | 114 | |||||||||
Miscellaneous expenses | 7,082 | 5,239 | 5,143 | |||||||||
|
|
|
|
|
| |||||||
Total Expenses | 234,238 | 212,127 | 202,167 | |||||||||
|
|
|
|
|
| |||||||
Expenses waived/reimbursed by the Adviser (Note 3) | (221,066 | ) | (207,004 | ) | (200,785 | ) | ||||||
|
|
|
|
|
| |||||||
Net Expenses | 13,172 | 5,123 | 1,382 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income (Loss) | 660,945 | 259,110 | 46,747 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) | ||||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment transactions – affiliated issuers (Note 2) | 34,923 | 237 | 38,971 | |||||||||
Capital gain distributions – affiliated issuers (Note 2) | 196,448 | 76,923 | 14,051 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 231,371 | 77,160 | 53,022 | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investment transactions – affiliated issuers (Note 2) | 1,277,772 | 501,998 | 66,338 | |||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation | 1,277,772 | 501,998 | 66,338 | |||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (loss) | 1,509,143 | 579,158 | 119,360 | |||||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 2,170,088 | $ | 838,268 | $ | 166,107 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
64
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 | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Increase (Decrease) In Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 926,160 | $ | 388,431 | $ | 1,092,386 | $ | 83,158 | ||||||||
Net realized gain (loss) | (148,979 | ) | 21,502 | 611,967 | 13,175 | |||||||||||
Net change in unrealized appreciation/depreciation | 674,997 | (951,858 | ) | (706,029 | ) | (191,735 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 1,452,178 | (541,925 | ) | 998,324 | (95,402 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | (6,166 | ) | (6,875 | ) | (8,155 | ) | (9,575 | ) | ||||||||
Class I | (10,426 | ) | (12,572 | ) | (12,230 | ) | (19,256 | ) | ||||||||
Class K | (935,057 | ) | (423,184 | ) | (1,117,808 | ) | (68,746 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (951,649 | ) | (442,631 | ) | (1,138,193 | ) | (97,577 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | (513 | ) | (446 | ) | (4,222 | ) | (3,082 | ) | ||||||||
Class I | (738 | ) | (708 | ) | (5,318 | ) | (5,356 | ) | ||||||||
Class K | (66,213 | ) | (23,832 | ) | (486,094 | ) | (19,119 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | (67,464 | ) | (24,986 | ) | (495,634 | ) | (27,557 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (1,019,113 | ) | (467,617 | ) | (1,633,827 | ) | (125,134 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | – | – | 19,093 | ||||||||||||
Reinvestment of distributions | – | – | 389 | 389 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | – | – | 389 | 19,482 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 41,463 | 263,364 | 102,889 | 478,703 | ||||||||||||
Reinvestment of distributions | 3,414 | 4,918 | 4,056 | 10,886 | ||||||||||||
Shares redeemed | (110,725 | ) | (14,601 | ) | (362,937 | ) | (10,053 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | (65,848 | ) | 253,681 | (255,992 | ) | 479,536 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 46,143,254 | 25,201,323 | 84,189,586 | 3,479,044 | ||||||||||||
Reinvestment of distributions | 1,001,270 | 446,730 | 1,603,902 | 74,140 | ||||||||||||
Shares redeemed | (14,304,713 | ) | (3,960,380 | ) | (17,311,502 | ) | (1,419,489 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 32,839,811 | 21,687,673 | 68,481,986 | 2,133,695 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 32,773,963 | 21,941,354 | 68,226,383 | 2,632,713 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 33,207,028 | 20,931,812 | 67,590,880 | 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 | $ | 56,532,626 | $ | 23,325,598 | $ | 72,913,385 | $ | 5,322,505 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 3,562 | $ | – | $ | – | $ | – | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
65
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement Fund | State Street Target Retirement 2015 Fund | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | – | – | 1,851 | ||||||||||||
Reinvestment of distributions | – | – | 39 | 40 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | – | – | 39 | 1,891 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 4,126 | 26,040 | 10,254 | 47,498 | ||||||||||||
Reinvestment of distributions | 337 | 503 | 402 | 1,119 | ||||||||||||
Shares redeemed | (10,716 | ) | (1,470 | ) | (35,371 | ) | (1,015 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | (6,253 | ) | 25,073 | (24,715 | ) | 47,602 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 4,510,309 | 2,466,852 | 8,231,250 | 341,849 | ||||||||||||
Reinvestment of distributions | 99,136 | 45,677 | 159,117 | 7,628 | ||||||||||||
Shares redeemed | (1,398,704 | ) | (392,094 | ) | (1,685,474 | ) | (141,333 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 3,210,741 | 2,120,435 | 6,704,893 | 208,144 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
66
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 | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Increase (decrease) In Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 3,711,007 | $ | 1,072,275 | $ | 3,079,915 | $ | 466,364 | ||||||||
Net realized gain (loss) | 307,846 | (68,335 | ) | 1,142,261 | 20,534 | |||||||||||
Net change in unrealized appreciation/depreciation | 2,463,278 | (3,275,754 | ) | 1,078,686 | (1,307,490 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 6,482,131 | (2,271,814 | ) | 5,300,862 | (820,592 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | (2,347 | ) | (2,535 | ) | (2,252 | ) | (2,911 | ) | ||||||||
Class I | (13,020 | ) | (40,101 | ) | (32,761 | ) | (66,791 | ) | ||||||||
Class K | (3,873,680 | ) | (1,165,963 | ) | (3,211,224 | ) | (443,353 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (3,889,047 | ) | (1,208,599 | ) | (3,246,237 | ) | (513,055 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | (229 | ) | (130 | ) | (428 | ) | (469 | ) | ||||||||
Class I | (1,078 | ) | (1,820 | ) | (5,237 | ) | (9,439 | ) | ||||||||
Class K | (320,549 | ) | (52,927 | ) | (513,326 | ) | (62,650 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | (321,856 | ) | (54,877 | ) | (518,991 | ) | (72,558 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (4,210,903 | ) | (1,263,476 | ) | (3,765,228 | ) | (585,613 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 34,186 | – | – | – | ||||||||||||
Reinvestment of distributions | 525 | – | – | – | ||||||||||||
Shares redeemed | – | (700,000 | ) | – | (500,000 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 34,711 | (700,000 | ) | – | (500,000 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 271,677 | 2,095,038 | 640,094 | 3,545,478 | ||||||||||||
Reinvestment of distributions | 13,553 | 41,240 | 36,777 | 74,740 | ||||||||||||
Shares redeemed | (1,418,497 | ) | (1,074,819 | ) | (2,097,980 | ) | (819,957 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | (1,133,267 | ) | 1,061,459 | (1,421,109 | ) | 2,800,261 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 207,056,245 | 54,305,605 | 195,861,516 | 20,290,732 | ||||||||||||
Reinvestment of distributions | 4,194,229 | 1,218,209 | 3,724,550 | 504,513 | ||||||||||||
Shares redeemed | (29,972,089 | ) | (6,198,744 | ) | (15,992,219 | ) | (3,374,698 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 181,278,385 | 49,325,070 | 183,593,847 | 17,420,547 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 180,179,829 | 49,686,529 | 182,172,738 | 19,720,808 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 182,451,057 | 46,151,239 | 183,708,372 | 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 | $ | 236,690,960 | $ | 54,239,903 | $ | 208,975,113 | $ | 25,266,741 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | – | $ | – | $ | – | $ | – | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
67
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 | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 3,289 | – | – | – | ||||||||||||
Reinvestment of distributions | 51 | – | – | – | ||||||||||||
Shares redeemed | – | (70,493 | ) | – | (50,302 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 3,340 | (70,493 | ) | – | (50,302 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 27,060 | 205,910 | 63,513 | 346,239 | ||||||||||||
Reinvestment of distributions | 1,317 | 4,212 | 3,557 | 7,627 | ||||||||||||
Shares redeemed | (136,507 | ) | (107,715 | ) | (200,842 | ) | (82,520 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | (108,130 | ) | 102,407 | (133,772 | ) | 271,346 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 20,069,634 | 5,221,705 | 18,931,937 | 1,964,901 | ||||||||||||
Reinvestment of distributions | 408,396 | 124,434 | 360,208 | 51,429 | ||||||||||||
Shares redeemed | (2,907,709 | ) | (610,066 | ) | (1,540,243 | ) | (329,310 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 17,570,321 | 4,736,073 | 17,751,902 | 1,687,020 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
68
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 | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Increase (decrease) In Net Assets From Operations: | ||||||||||||||||
Net investment income (loss) | $ | 3,264,776 | $ | 948,522 | $ | 2,263,146 | $ | 313,006 | ||||||||
Net realized gain (loss) | 827,668 | 44,459 | 1,006,931 | 112,216 | ||||||||||||
Net change in unrealized appreciation/depreciation | 3,859,742 | (3,292,644 | ) | 2,007,762 | (1,033,263 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 7,952,186 | (2,299,663 | ) | 5,277,839 | (608,041 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | (2,197 | ) | (2,903 | ) | (7,469 | ) | (7,505 | ) | ||||||||
Class I | (23,233 | ) | (41,975 | ) | (12,402 | ) | (24,736 | ) | ||||||||
Class K | (3,440,357 | ) | (980,918 | ) | (2,404,522 | ) | (302,182 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (3,465,787 | ) | (1,025,796 | ) | (2,424,393 | ) | (334,423 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | (319 | ) | (39 | ) | (1,501 | ) | (1,130 | ) | ||||||||
Class I | (2,820 | ) | (495 | ) | (2,067 | ) | (3,189 | ) | ||||||||
Class K | (417,529 | ) | (11,563 | ) | (400,753 | ) | (38,958 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | (420,668 | ) | (12,097 | ) | (404,321 | ) | (43,277 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (3,886,455 | ) | (1,037,893 | ) | (2,828,714 | ) | (377,700 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | – | 83,713 | – | ||||||||||||
Reinvestment of distributions | – | – | 1,229 | – | ||||||||||||
Shares redeemed | – | (500,000 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | – | (500,000 | ) | 84,942 | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 493,232 | 2,100,119 | 267,595 | 1,448,614 | ||||||||||||
Reinvestment of distributions | 24,911 | 41,171 | 5,405 | 18,030 | ||||||||||||
Shares redeemed | (1,219,672 | ) | (635,900 | ) | (966,070 | ) | (470,339 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | (701,529 | ) | 1,505,390 | (693,070 | ) | 996,305 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 186,539,670 | 50,162,805 | 153,466,291 | 16,271,335 | ||||||||||||
Reinvestment of distributions | 3,857,886 | 991,182 | 2,805,275 | 331,244 | ||||||||||||
Shares redeemed | (16,861,337 | ) | (3,078,374 | ) | (10,785,680 | ) | (1,709,612 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 173,536,219 | 48,075,613 | 145,485,886 | 14,892,967 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 172,834,690 | 49,081,003 | 144,877,758 | 15,889,272 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 176,900,421 | 45,743,447 | 147,326,883 | 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 | $ | 227,239,946 | $ | 50,339,525 | $ | 166,454,882 | $ | 19,127,999 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | – | $ | – | $ | – | $ | – | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
69
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 | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | – | – | 7,941 | – | ||||||||||||
Reinvestment of distributions | – | – | 118 | – | ||||||||||||
Shares redeemed | – | (50,403 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | – | (50,403 | ) | 8,059 | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 48,914 | 204,851 | 27,102 | 141,478 | ||||||||||||
Reinvestment of distributions | 2,398 | (63,910 | ) | 517 | 1,832 | |||||||||||
Shares redeemed | (116,399 | ) | 4,193 | (91,943 | ) | (48,372 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | (65,087 | ) | 145,134 | (64,324 | ) | 94,938 | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 18,046,002 | 4,813,095 | 14,807,074 | 1,577,668 | ||||||||||||
Reinvestment of distributions | 370,951 | 100,832 | 268,191 | 33,629 | ||||||||||||
Shares redeemed | (1,628,102 | ) | (303,369 | ) | (1,036,398 | ) | (165,886 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 16,788,851 | 4,610,558 | 14,038,867 | 1,445,411 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
70
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 | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Increase (decrease) In Net Assets From Operations: | ||||||||||||||||
Net investment income (loss) | $ | 2,021,715 | $ | 681,524 | $ | 1,061,855 | $ | 161,917 | ||||||||
Net realized gain (loss) | 542,330 | (14,716 | ) | 343,038 | 41,536 | |||||||||||
Net change in unrealized appreciation/depreciation | 4,289,308 | (2,515,873 | ) | 1,861,271 | (597,567 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 6,853,353 | (1,849,065 | ) | 3,266,164 | (394,114 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | (1,958 | ) | (2,389 | ) | (4,699 | ) | (4,950 | ) | ||||||||
Class I | (10,651 | ) | (28,489 | ) | (12,694 | ) | (13,746 | ) | ||||||||
Class K | (2,158,308 | ) | (675,956 | ) | (1,126,768 | ) | (146,988 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (2,170,917 | ) | (706,834 | ) | (1,144,161 | ) | (165,684 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | (368 | ) | (10 | ) | (784 | ) | (233 | ) | ||||||||
Class I | (1,668 | ) | (105 | ) | (1,762 | ) | (555 | ) | ||||||||
Class K | (338,081 | ) | (2,494 | ) | (156,335 | ) | (5,937 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | (340,117 | ) | (2,609 | ) | (158,881 | ) | (6,725 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (2,511,034 | ) | (709,443 | ) | (1,303,042 | ) | (172,409 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 2,190 | – | 28,972 | – | ||||||||||||
Reinvestment of distributions | 33 | – | 427 | – | ||||||||||||
Shares redeemed | – | (350,000 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 2,223 | (350,000 | ) | 29,399 | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 324,824 | 1,480,464 | 458,704 | 522,915 | ||||||||||||
Reinvestment of distributions | 10,563 | 26,782 | 8,519 | 8,291 | ||||||||||||
Shares redeemed | (1,255,980 | ) | (442,151 | ) | (464,999 | ) | (49,329 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | (920,593 | ) | 1,065,095 | 2,224 | 481,877 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 111,674,374 | 38,333,743 | 70,539,581 | 8,858,523 | ||||||||||||
Reinvestment of distributions | 2,496,389 | 676,639 | 1,283,103 | 146,915 | ||||||||||||
Shares redeemed | (10,208,524 | ) | (2,690,187 | ) | (5,763,109 | ) | (449,038 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 103,962,239 | 36,320,195 | 66,059,575 | 8,556,400 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 103,043,869 | 37,035,290 | 66,091,198 | 9,038,277 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 107,386,188 | 34,476,782 | 68,054,320 | 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 | $ | 144,387,113 | $ | 37,000,925 | $ | 77,532,090 | $ | 9,477,770 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | – | $ | – | $ | – | $ | – | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
71
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 | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 210 | – | 2,812 | – | ||||||||||||
Reinvestment of distributions | 3 | – | 41 | – | ||||||||||||
Shares redeemed | – | (35,497 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 213 | (35,497 | ) | 2,853 | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 32,885 | 146,414 | 45,372 | 51,774 | ||||||||||||
Reinvestment of distributions | 1,013 | 2,736 | 820 | 854 | ||||||||||||
Shares redeemed | (120,327 | ) | (44,567 | ) | (45,053 | ) | (4,793 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | (86,429 | ) | 104,583 | 1,139 | 47,835 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 10,913,691 | 3,684,709 | 6,941,387 | 865,612 | ||||||||||||
Reinvestment of distributions | 239,347 | 69,115 | 123,494 | 15,130 | ||||||||||||
Shares redeemed | (997,055 | ) | (263,882 | ) | (568,753 | ) | (44,939 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 10,155,983 | 3,489,942 | 6,496,128 | 835,803 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
72
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 | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Increase (decrease) In Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 660,945 | $ | 115,429 | $ | 259,110 | $ | 60,545 | ||||||||
Net realized gain (loss) | 231,371 | 27,943 | 77,160 | 17,083 | ||||||||||||
Net change in unrealized appreciation/depreciation | 1,277,772 | (425,274 | ) | 501,998 | (235,545 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 2,170,088 | (281,902 | ) | 838,268 | (157,917 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders From: | ||||||||||||||||
Net investment income | ||||||||||||||||
Class A | (2,235 | ) | (2,505 | ) | (2,135 | ) | (2,587 | ) | ||||||||
Class I | (5,403 | ) | (13,951 | ) | (4,014 | ) | (4,139 | ) | ||||||||
Class K | (704,800 | ) | (101,651 | ) | (273,037 | ) | (55,216 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (712,438 | ) | (118,107 | ) | (279,186 | ) | (61,942 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | (419 | ) | (63 | ) | (362 | ) | (248 | ) | ||||||||
Class I | (841 | ) | (303 | ) | (565 | ) | (343 | ) | ||||||||
Class K | (109,655 | ) | (2,207 | ) | (38,398 | ) | (4,571 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | (110,915 | ) | (2,573 | ) | (39,325 | ) | (5,162 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (823,353 | ) | (120,680 | ) | (318,511 | ) | (67,104 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 7,400 | – | – | – | ||||||||||||
Reinvestment of distributions | 109 | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 7,509 | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 290,721 | 652,035 | 55,860 | 68,422 | ||||||||||||
Reinvestment of distributions | 3,260 | 11,274 | 1,645 | 1,233 | ||||||||||||
Shares redeemed | (796,279 | ) | (6,801 | ) | (27,906 | ) | (3,942 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | (502,298 | ) | 656,508 | 29,599 | 65,713 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 43,363,547 | 6,095,771 | 16,085,979 | 3,219,778 | ||||||||||||
Reinvestment of distributions | 814,456 | 100,879 | 311,435 | 56,539 | ||||||||||||
Shares redeemed | (3,160,116 | ) | (261,759 | ) | (1,212,086 | ) | (194,099 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 41,017,887 | 5,934,891 | 15,185,328 | 3,082,218 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 40,523,098 | 6,591,399 | 15,214,927 | 3,147,931 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Contribution by Affiliate (Note 3) | – | – | 794 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 41,869,833 | 6,188,817 | 15,735,478 | 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 | $ | 48,561,632 | $ | 6,691,799 | $ | 19,161,370 | $ | 3,425,892 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | – | $ | – | $ | – | $ | – | ||||||||
| �� |
|
|
|
|
|
|
See accompanying notes to financial statements.
73
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 | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Class A | ||||||||||||||||
Shares sold | 716 | – | – | – | ||||||||||||
Reinvestment of distributions | 11 | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 727 | – | – | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 29,798 | 65,536 | 5,654 | 6,774 | ||||||||||||
Reinvestment of distributions | 315 | 1,164 | 159 | 128 | ||||||||||||
Shares redeemed | (77,361 | ) | (684 | ) | (2,702 | ) | (403 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | (47,248 | ) | 66,016 | 3,111 | 6,499 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 4,288,324 | 595,396 | 1,587,326 | 314,049 | ||||||||||||
Reinvestment of distributions | 78,615 | 10,411 | 30,119 | 5,847 | ||||||||||||
Shares redeemed | (314,600 | ) | (25,810 | ) | (119,510 | ) | (19,340 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 4,052,339 | 579,997 | 1,497,935 | 300,556 | ||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
74
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2060 Fund | ||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Increase (decrease) In Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 46,747 | $ | 11,218 | ||||
Net realized gain (loss) | 53,022 | 1,717 | ||||||
Net change in unrealized appreciation/depreciation | 66,338 | (39,623 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 166,107 | (26,688 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Class A | (1,972 | ) | (2,828 | ) | ||||
Class I | (2,423 | ) | (3,305 | ) | ||||
Class K | (46,023 | ) | (5,351 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (50,418 | ) | (11,484 | ) | ||||
|
|
|
| |||||
Net realized gain on investments | ||||||||
Class A | (2,158 | ) | (1,880 | ) | ||||
Class I | (2,176 | ) | (1,917 | ) | ||||
Class K | (41,332 | ) | (3,103 | ) | ||||
|
|
|
| |||||
Total distributions from net realized gain on investments | (45,666 | ) | (6,900 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (96,084 | ) | (18,384 | ) | ||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Class I | ||||||||
Shares sold | 11,520 | 3,454 | ||||||
Reinvestment of distributions | 38 | 101 | ||||||
Shares redeemed | (14,264 | ) | (3 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (2,706 | ) | 3,552 | |||||
|
|
|
| |||||
Class K | ||||||||
Shares sold | 3,713,026 | 227,182 | ||||||
Reinvestment of distributions | 87,354 | 3,332 | ||||||
Shares redeemed | (774,907 | ) | (103,056 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 3,025,473 | 127,458 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 3,022,767 | 131,010 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 3,092,790 | 85,938 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 588,986 | 503,048 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 3,681,776 | $ | 588,986 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | – | $ | – | ||||
|
|
|
|
See accompanying notes to financial statements.
75
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Target Retirement 2060 Fund | ||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Shares of Beneficial Interest: | ||||||||
Class I | ||||||||
Shares sold | 1,180 | 347 | ||||||
Reinvestment of distributions | 4 | 11 | ||||||
Shares redeemed | (1,393 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (209 | ) | 358 | |||||
|
|
|
| |||||
Class K | ||||||||
Shares sold | 371,243 | 22,197 | ||||||
Reinvestment of distributions | 8,640 | 348 | ||||||
Shares redeemed | (76,528 | ) | (10,872 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 303,355 | 11,673 | ||||||
|
|
|
|
See accompanying notes to financial statements.
76
Table of Contents
State Street Institutional Investment Trust
Selected data for a share outstanding throughout each period
State Street Target Retirement Fund | ||||||||||||
Class A | ||||||||||||
Year Ended 12/31/16 | 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) | 0.17 | 0.15 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.32 | (0.21 | ) | 0.01 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.49 | (0.06 | ) | 0.06 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.15 | ) | (0.17 | ) | (0.03 | ) | ||||||
Net realized gains | (0.01 | ) | (0.01 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.16 | ) | (0.18 | ) | (0.03 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.12 | $ | 9.79 | $ | 10.03 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 5.01 | % | (0.64 | )% | 0.64 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 422 | $ | 408 | $ | 418 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.91 | % | 1.40 | % | 21.65 | %(d) | ||||||
Net expenses(f) | 0.22 | % | 0.26 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 1.68 | % | 1.48 | % | 1.82 | %(d) | ||||||
Portfolio turnover rate | 37 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
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 2015 Fund | ||||||||||||
Class A | ||||||||||||
Year Ended 12/31/16 | 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) | 0.17 | 0.17 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.41 | (0.27 | ) | 0.03 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.58 | (0.10 | ) | 0.08 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.14 | ) | (0.16 | ) | (0.05 | ) | ||||||
Net realized gains | (0.07 | ) | (0.05 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.21 | ) | (0.21 | ) | (0.05 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.09 | $ | 9.72 | $ | 10.03 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 5.92 | % | (1.00 | )% | 0.81 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 608 | $ | 585 | $ | 585 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.83 | % | 5.32 | % | 15.05 | %(d) | ||||||
Net expenses(f) | 0.25 | % | 0.27 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 1.73 | % | 1.65 | % | 2.06 | %(d) | ||||||
Portfolio turnover rate | 49 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
78
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.19 | 0.24 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.50 | (0.41 | ) | 0.12 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.69 | (0.17 | ) | 0.17 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.15 | ) | (0.20 | ) | (0.03 | ) | ||||||
Net realized gains | (0.01 | ) | (0.01 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.16 | ) | (0.21 | ) | (0.03 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.29 | $ | 9.76 | $ | 10.14 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 7.07 | % | (1.71 | )% | 1.66 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 166 | $ | 125 | $ | 845 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.49 | % | 0.80 | % | 9.36 | %(d) | ||||||
Net expenses(f) | 0.26 | % | 0.26 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 1.92 | % | 2.30 | % | 2.32 | %(d) | ||||||
Portfolio turnover rate | 28 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
79
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.17 | 0.23 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.59 | (0.44 | ) | 0.13 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.76 | (0.21 | ) | 0.19 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.14 | ) | (0.18 | ) | (0.03 | ) | ||||||
Net realized gains | (0.03 | ) | (0.03 | ) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.17 | ) | (0.21 | ) | (0.03 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.33 | $ | 9.74 | $ | 10.16 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 7.74 | % | (2.11 | )% | 1.93 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 169 | $ | 159 | $ | 677 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.53 | % | 1.56 | % | 10.90 | %(c) | ||||||
Net expenses(f) | 0.29 | % | 0.28 | % | 0.62 | %(c) | ||||||
Net investment income (loss) | 1.65 | % | 2.27 | % | 2.38 | %(c) | ||||||
Portfolio turnover rate | 21 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
80
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.15 | 0.23 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.64 | (0.44 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.79 | (0.21 | ) | 0.21 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.14 | ) | (0.18 | ) | (0.06 | ) | ||||||
Net realized gains | (0.02 | ) | (0.00 | )(b) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.16 | ) | (0.18 | ) | (0.06 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.39 | $ | 9.76 | $ | 10.15 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 8.04 | % | (2.07 | )% | 2.12 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 169 | $ | 159 | $ | 676 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.51 | % | 0.84 | % | 12.85 | %(d) | ||||||
Net expenses(f) | 0.29 | % | 0.28 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 1.47 | % | 2.21 | % | 2.05 | %(d) | ||||||
Portfolio turnover rate | 18 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
81
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.15 | 0.17 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.67 | (0.39 | ) | 0.15 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.82 | (0.22 | ) | 0.21 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.13 | ) | (0.15 | ) | (0.04 | ) | ||||||
Net realized gains | (0.03 | ) | (0.02 | ) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.16 | ) | (0.17 | ) | (0.04 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.44 | $ | 9.78 | $ | 10.17 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 8.33 | % | (2.15 | )% | 2.13 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 606 | $ | 489 | $ | 508 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.58 | % | 2.08 | % | 17.04 | %(c) | ||||||
Net expenses(f) | 0.30 | % | 0.28 | % | 0.62 | %(c) | ||||||
Net investment income (loss) | 1.48 | % | 1.65 | % | 2.53 | %(c) | ||||||
Portfolio turnover rate | 18 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
82
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.13 | 0.21 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.72 | (0.47 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.85 | (0.26 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.13 | ) | (0.16 | ) | (0.09 | ) | ||||||
Net realized gains | (0.03 | ) | (0.00 | )(b) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.16 | ) | (0.16 | ) | (0.09 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.40 | $ | 9.71 | $ | 10.13 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 8.73 | % | (2.53 | )% | 2.17 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 153 | $ | 141 | $ | 506 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.57 | % | 1.04 | % | 18.29 | %(d) | ||||||
Net expenses(f) | 0.29 | % | 0.27 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 1.34 | % | 2.07 | % | 2.28 | %(d) | ||||||
Portfolio turnover rate | 16 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
83
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.14 | 0.17 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.73 | (0.43 | ) | 0.17 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.87 | (0.26 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.13 | ) | (0.15 | ) | (0.16 | ) | ||||||
Net realized gains | (0.02 | ) | (0.01 | ) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.15 | ) | (0.16 | ) | (0.16 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.36 | $ | 9.64 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 9.04 | % | (2.64 | )% | 2.14 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 375 | $ | 321 | $ | 335 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.82 | % | 3.50 | % | 30.47 | %(c) | ||||||
Net expenses(f) | 0.29 | % | 0.26 | % | 0.62 | %(c) | ||||||
Net investment income (loss) | 1.41 | % | 1.63 | % | 2.07 | %(c) | ||||||
Portfolio turnover rate | 17 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
84
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.13 | 0.16 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.74 | (0.45 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.87 | (0.29 | ) | 0.21 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.13 | ) | (0.15 | ) | (0.15 | ) | ||||||
Net realized gains | (0.02 | ) | (0.00 | )(b) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.15 | ) | (0.15 | ) | (0.15 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.34 | $ | 9.62 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 9.07 | % | (2.85 | )% | 2.13 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 180 | $ | 160 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 1.15 | % | 4.90 | % | 59.96 | %(d) | ||||||
Net expenses(f) | 0.29 | % | 0.27 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 1.35 | % | 1.61 | % | 2.03 | %(d) | ||||||
Portfolio turnover rate | 16 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
85
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.13 | 0.16 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.74 | (0.45 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.87 | (0.29 | ) | 0.21 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.13 | ) | (0.16 | ) | (0.15 | ) | ||||||
Net realized gains | (0.02 | ) | (0.01 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.15 | ) | (0.17 | ) | (0.15 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.32 | $ | 9.60 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 9.06 | % | (2.90 | )% | 2.13 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 172 | $ | 160 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 2.34 | % | 7.94 | % | 59.87 | %(d) | ||||||
Net expenses(f) | 0.29 | % | 0.27 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 1.30 | % | 1.62 | % | 2.03 | %(d) | ||||||
Portfolio turnover rate | 14 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
86
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.13 | 0.17 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.71 | (0.45 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.84 | (0.28 | ) | 0.21 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.12 | ) | (0.17 | ) | (0.15 | ) | ||||||
Net realized gains | (0.13 | ) | (0.11 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.25 | ) | (0.28 | ) | (0.15 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.09 | $ | 9.50 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 8.81 | % | (2.78 | )% | 2.12 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 168 | $ | 158 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 11.61 | % | 30.01 | % | 59.73 | %(d) | ||||||
Net expenses(f) | 0.30 | % | 0.27 | % | 0.62 | %(d) | ||||||
Net investment income (loss) | 1.30 | % | 1.68 | % | 2.04 | %(d) | ||||||
Portfolio turnover rate | 55 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
87
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.19 | 0.19 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.32 | (0.23 | ) | 0.02 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.51 | (0.04 | ) | 0.07 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.17 | ) | (0.19 | ) | (0.04 | ) | ||||||
Net realized gains | (0.01 | ) | (0.01 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.18 | ) | (0.20 | ) | (0.04 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.12 | $ | 9.79 | $ | 10.03 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 5.27 | % | (0.39 | )% | 0.70 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 612 | $ | 653 | $ | 418 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.66 | % | 1.15 | % | 21.40 | %(d) | ||||||
Net expenses(f) | (0.03 | )%(g) | 0.01 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 1.89 | % | 1.94 | % | 2.07 | %(d) | ||||||
Portfolio turnover rate | 37 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Due to the Fund waiving the acquired fund fees for the period ended December 31, 2016, the waiver exceeded the total fund expenses. |
See accompanying notes to financial statements.
88
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.19 | 0.23 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.41 | (0.31 | ) | 0.03 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.60 | (0.08 | ) | 0.09 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.18 | ) | (0.06 | ) | ||||||
Net realized gains | (0.07 | ) | (0.05 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.23 | ) | (0.23 | ) | (0.06 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.09 | $ | 9.72 | $ | 10.03 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 6.19 | % | (0.75 | )% | 0.87 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 819 | $ | 1,030 | $ | 585 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.58 | % | 5.07 | % | 14.80 | %(d) | ||||||
Net expenses(f) | 0.01 | % | 0.02 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 1.85 | % | 2.32 | % | 2.31 | %(d) | ||||||
Portfolio turnover rate | 49 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
89
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.16 | 0.33 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.54 | (0.49 | ) | 0.11 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.70 | (0.16 | ) | 0.17 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.17 | ) | (0.22 | ) | (0.03 | ) | ||||||
Net realized gains | (0.01 | ) | (0.01 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.18 | ) | (0.23 | ) | (0.03 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.27 | $ | 9.75 | $ | 10.14 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 7.34 | % | (1.56 | )% | 1.72 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 797 | $ | 1,811 | $ | 845 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.30 | % | 0.55 | % | 9.11 | %(d) | ||||||
Net expenses(f) | 0.07 | % | 0.01 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 1.54 | % | 3.28 | % | 2.57 | %(d) | ||||||
Portfolio turnover rate | 28 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
90
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.15 | 0.37 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.63 | (0.56 | ) | 0.14 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.78 | (0.19 | ) | 0.20 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.20 | ) | (0.04 | ) | ||||||
Net realized gains | (0.03 | ) | (0.03 | ) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.19 | ) | (0.23 | ) | (0.04 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.33 | $ | 9.74 | $ | 10.16 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 8.01 | % | (1.87 | )% | 1.99 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 2,110 | $ | 3,293 | $ | 677 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.33 | % | 1.31 | % | 10.65 | %(c) | ||||||
Net expenses(f) | 0.08 | % | 0.03 | % | 0.37 | %(c) | ||||||
Net investment income (loss) | �� | 1.53 | % | 3.71 | % | 5.10 | %(c) | |||||
Portfolio turnover rate | 21 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
91
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.14 | 0.35 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.65 | (0.54 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.79 | (0.19 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.20 | ) | (0.07 | ) | ||||||
Net realized gains | (0.02 | ) | (0.00 | )(b) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.18 | ) | (0.20 | ) | (0.07 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.37 | $ | 9.76 | $ | 10.15 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 8.10 | % | (1.83 | )% | 2.18 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 1,522 | $ | 2,066 | $ | 676 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.30 | % | 0.59 | % | 12.59 | %(d) | ||||||
Net expenses(f) | 0.08 | % | 0.03 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 1.39 | % | 3.52 | % | 2.30 | %(d) | ||||||
Portfolio turnover rate | 18 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
92
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.11 | 0.31 | 0.07 | |||||||||
Net realized and unrealized gain (loss) | 0.74 | (0.51 | ) | 0.15 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.85 | (0.20 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.18 | ) | (0.05 | ) | ||||||
Net realized gains | (0.03 | ) | (0.02 | ) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.19 | ) | (0.20 | ) | (0.05 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.43 | $ | 9.77 | $ | 10.17 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 8.61 | % | (2.00 | )% | 2.20 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 840 | $ | 1,416 | $ | 508 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.36 | % | 1.83 | % | 16.79 | %(c) | ||||||
Net expenses(f) | 0.09 | % | 0.03 | % | 0.37 | %(c) | ||||||
Net investment income (loss) | 1.08 | % | 3.07 | % | 2.78 | %(c) | ||||||
Portfolio turnover rate | 18 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
93
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.09 | 0.40 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.78 | (0.63 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.87 | (0.23 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.19 | ) | (0.09 | ) | ||||||
Net realized gains | (0.03 | ) | (0.00 | )(b) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.19 | ) | (0.19 | ) | (0.09 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.39 | $ | 9.71 | $ | 10.13 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 9.00 | % | (2.28 | )% | 2.23 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 708 | $ | 1,501 | $ | 506 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.38 | % | 0.79 | % | 18.04 | %(d) | ||||||
Net expenses(f) | 0.10 | % | 0.02 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 0.86 | % | 4.02 | % | 2.53 | %(d) | ||||||
Portfolio turnover rate | 16 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
94
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.15 | 0.30 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.75 | (0.54 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.90 | (0.24 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.17 | ) | (0.16 | ) | ||||||
Net realized gains | (0.02 | ) | (0.01 | ) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.18 | ) | (0.18 | ) | (0.16 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.36 | $ | 9.64 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 9.31 | % | (2.40 | )% | 2.20 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 853 | $ | 782 | $ | 335 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.59 | % | 3.25 | % | 30.22 | %(c) | ||||||
Net expenses(f) | 0.06 | % | 0.01 | % | 0.37 | %(c) | ||||||
Net investment income (loss) | 1.46 | % | 2.97 | % | 2.32 | %(c) | ||||||
Portfolio turnover rate | 17 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
95
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.08 | 0.43 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.80 | (0.69 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.88 | (0.26 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.15 | ) | (0.18 | ) | (0.16 | ) | ||||||
Net realized gains | (0.02 | ) | (0.00 | )(b) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.17 | ) | (0.18 | ) | (0.16 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.33 | $ | 9.62 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 9.34 | % | (2.61 | )% | 2.20 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 366 | $ | 795 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.97 | % | 4.65 | % | 59.71 | %(d) | ||||||
Net expenses(f) | 0.12 | % | 0.02 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 0.76 | % | 4.40 | % | 2.28 | %(d) | ||||||
Portfolio turnover rate | 16 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
96
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.16 | 0.22 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.73 | (0.49 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.89 | (0.27 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.15 | ) | (0.18 | ) | (0.16 | ) | ||||||
Net realized gains | (0.02 | ) | (0.01 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.17 | ) | (0.19 | ) | (0.16 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.32 | $ | 9.60 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 9.33 | % | (2.65 | )% | 2.20 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 271 | $ | 222 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 2.09 | % | 7.69 | % | 59.62 | %(d) | ||||||
Net expenses(f) | 0.04 | % | 0.02 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 1.58 | % | 2.20 | % | 2.28 | %(d) | ||||||
Portfolio turnover rate | 14 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
97
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.15 | 0.20 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.71 | (0.46 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.86 | (0.26 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.14 | ) | (0.19 | ) | (0.16 | ) | ||||||
Net realized gains | (0.13 | ) | (0.11 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.27 | ) | (0.30 | ) | (0.16 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.09 | $ | 9.50 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 9.09 | % | (2.53 | )% | 2.18 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 170 | $ | 162 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 11.36 | % | 29.76 | % | 59.48 | %(d) | ||||||
Net expenses(f) | 0.05 | % | 0.02 | % | 0.37 | %(d) | ||||||
Net investment income (loss) | 1.51 | % | 1.96 | % | 2.29 | %(d) | ||||||
Portfolio turnover rate | 55 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
98
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.23 | 0.20 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.29 | (0.25 | ) | 0.02 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.52 | (0.05 | ) | 0.08 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.17 | ) | (0.19 | ) | (0.05 | ) | ||||||
Net realized gains | (0.01 | ) | (0.01 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.18 | ) | (0.20 | ) | (0.05 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.12 | $ | 9.78 | $ | 10.03 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 5.28 | % | (0.49 | )% | 0.75 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 55,499 | $ | 22,265 | $ | 1,558 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.66 | % | 1.15 | % | 25.06 | %(d) | ||||||
Net expenses(f) | (0.04 | )%(g) | 0.01 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 2.23 | % | 1.99 | % | 2.59 | %(d) | ||||||
Portfolio turnover rate | 37 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Due to the Fund waiving the acquired fund fees for the period ended December 31, 2016, the waiver exceeded the total fund expenses. |
See accompanying notes to financial statements.
99
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.28 | 0.22 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.32 | (0.30 | ) | 0.03 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.60 | (0.08 | ) | 0.09 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.18 | ) | (0.06 | ) | ||||||
Net realized gains | (0.07 | ) | (0.05 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.23 | ) | (0.23 | ) | (0.06 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.09 | $ | 9.72 | $ | 10.03 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 6.19 | % | (0.74 | )% | 0.92 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 71,486 | $ | 3,707 | $ | 1,740 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.58 | % | 5.07 | % | 18.68 | %(d) | ||||||
Net expenses(f) | (0.01 | )%(g) | 0.02 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 2.72 | % | 2.19 | % | 2.50 | %(d) | ||||||
Portfolio turnover rate | 49 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
(g) | Due to the Fund waiving the acquired fund fees for the period ended December 31, 2016, the waiver exceeded the total fund expenses. |
See accompanying notes to financial statements.
100
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.27 | 0.23 | 0.04 | |||||||||
Net realized and unrealized gain (loss) | 0.45 | (0.39 | ) | 0.13 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.72 | (0.16 | ) | 0.17 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.17 | ) | (0.22 | ) | (0.04 | ) | ||||||
Net realized gains | (0.01 | ) | (0.01 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.18 | ) | (0.23 | ) | (0.04 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.28 | $ | 9.74 | $ | 10.13 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 7.45 | % | (1.57 | )% | 1.67 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 235,727 | $ | 52,303 | $ | 6,399 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.24 | % | 0.55 | % | 11.13 | %(d) | ||||||
Net expenses(f) | 0.01 | % | 0.01 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 2.60 | % | 2.29 | % | 1.62 | %(d) | ||||||
Portfolio turnover rate | 28 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
101
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.29 | 0.29 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.49 | (0.47 | ) | 0.15 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.78 | (0.18 | ) | 0.20 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.20 | ) | (0.04 | ) | ||||||
Net realized gains | (0.03 | ) | (0.03 | ) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.19 | ) | (0.23 | ) | (0.04 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.34 | $ | 9.75 | $ | 10.16 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 8.00 | % | (1.77 | )% | 2.04 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 206,696 | $ | 21,815 | $ | 5,597 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.28 | % | 1.31 | % | 11.75 | %(c) | ||||||
Net expenses(f) | 0.04 | % | 0.03 | % | 0.17 | %(c) | ||||||
Net investment income (loss) | 2.81 | % | 2.86 | % | 2.19 | %(c) | ||||||
Portfolio turnover rate | 21 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
102
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.25 | 0.25 | 0.07 | |||||||||
Net realized and unrealized gain (loss) | 0.55 | (0.44 | ) | 0.15 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.80 | (0.19 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.20 | ) | (0.07 | ) | ||||||
Net realized gains | (0.02 | ) | (0.00 | )(b) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.18 | ) | (0.20 | ) | (0.07 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.38 | $ | 9.76 | $ | 10.15 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 8.20 | % | (1.83 | )% | 2.23 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 225,549 | $ | 48,114 | $ | 3,243 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.26 | % | 0.59 | % | 14.05 | %(d) | ||||||
Net expenses(f) | 0.05 | % | 0.03 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 2.48 | % | 2.42 | % | 2.64 | %(d) | ||||||
Portfolio turnover rate | 18 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
103
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 K | ||||||||||||
Year Ended 12/31/16 | 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) | 0.27 | 0.32 | 0.03 | |||||||||
Net realized and unrealized gain (loss) | 0.58 | (0.51 | ) | 0.20 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.85 | (0.19 | ) | 0.23 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.18 | ) | (0.06 | ) | ||||||
Net realized gains | (0.03 | ) | (0.02 | ) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.19 | ) | (0.20 | ) | (0.06 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.44 | $ | 9.78 | $ | 10.17 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 8.60 | % | (1.90 | )% | 2.25 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 165,008 | $ | 17,223 | $ | 3,208 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.33 | % | 1.83 | % | 17.89 | %(c) | ||||||
Net expenses(f) | 0.06 | % | 0.03 | % | 0.17 | %(c) | ||||||
Net investment income (loss) | 2.64 | % | 3.12 | % | 1.28 | %(c) | ||||||
Portfolio turnover rate | 18 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
104
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.24 | 0.25 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.63 | (0.47 | ) | 0.18 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.87 | (0.22 | ) | 0.23 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.19 | ) | (0.10 | ) | ||||||
Net realized gains | (0.03 | ) | (0.00 | )(b) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.19 | ) | (0.19 | ) | (0.10 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.40 | $ | 9.72 | $ | 10.13 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 8.89 | % | (2.18 | )% | 2.28 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 143,526 | $ | 35,359 | $ | 1,512 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.32 | % | 0.79 | % | 20.53 | %(d) | ||||||
Net expenses(f) | 0.05 | % | 0.02 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 2.31 | % | 2.47 | % | 1.90 | %(d) | ||||||
Portfolio turnover rate | 16 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
105
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 K | ||||||||||||
Year Ended 12/31/16 | 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) | 0.27 | 0.30 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.64 | (0.55 | ) | 0.17 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.91 | (0.25 | ) | 0.23 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.16 | ) | (0.17 | ) | (0.17 | ) | ||||||
Net realized gains | (0.02 | ) | (0.01 | ) | – | |||||||
|
|
|
|
|
| |||||||
Total distributions | (0.18 | ) | (0.18 | ) | (0.17 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.36 | $ | 9.63 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 9.31 | % | (2.40 | )% | 2.25 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 76,304 | $ | 8,374 | $ | 335 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.57 | % | 3.25 | % | 30.02 | %(c) | ||||||
Net expenses(f) | 0.05 | % | 0.01 | % | 0.17 | %(c) | ||||||
Net investment income (loss) | 2.62 | % | 2.99 | % | 2.53 | %(c) | ||||||
Portfolio turnover rate | 17 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
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 2050 Fund | ||||||||||||
Class K | ||||||||||||
Year Ended 12/31/16 | 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) | 0.26 | 0.28 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.63 | (0.55 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.89 | (0.27 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.15 | ) | (0.18 | ) | (0.16 | ) | ||||||
Net realized gains | (0.02 | ) | (0.00 | )(b) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.17 | ) | (0.18 | ) | (0.16 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.33 | $ | 9.61 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 9.35 | % | (2.71 | )% | 2.25 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 48,016 | $ | 5,736 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 0.90 | % | 4.65 | % | 59.52 | %(d) | ||||||
Net expenses(f) | 0.05 | % | 0.02 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 2.61 | % | 2.82 | % | 2.48 | %(d) | ||||||
Portfolio turnover rate | 16 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
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 2055 Fund | ||||||||||||
Class K | ||||||||||||
Year Ended 12/31/16 | 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) | 0.26 | 0.27 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.63 | (0.55 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.89 | (0.28 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.15 | ) | (0.18 | ) | (0.16 | ) | ||||||
Net realized gains | (0.02 | ) | (0.01 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.17 | ) | (0.19 | ) | (0.16 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.31 | $ | 9.59 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 9.34 | % | (2.75 | )% | 2.25 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 18,718 | $ | 3,043 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 2.09 | % | 7.69 | % | 59.42 | %(d) | ||||||
Net expenses(f) | 0.05 | % | 0.02 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 2.61 | % | 2.64 | % | 2.48 | %(d) | ||||||
Portfolio turnover rate | 14 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
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 2060 Fund | ||||||||||||
Class K | ||||||||||||
Year Ended 12/31/16 | 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) | 0.29 | 0.19 | 0.06 | |||||||||
Net realized and unrealized gain (loss) | 0.57 | (0.45 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.86 | (0.26 | ) | 0.22 | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.14 | ) | (0.20 | ) | (0.16 | ) | ||||||
Net realized gains | (0.13 | ) | (0.11 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.27 | ) | (0.31 | ) | (0.16 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.08 | $ | 9.49 | $ | 10.06 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 8.98 | % | (2.53 | )% | 2.24 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 3,344 | $ | 269 | $ | 168 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(f) | 11.36 | % | 29.76 | % | 59.28 | %(d) | ||||||
Net expenses(f) | 0.06 | % | 0.02 | % | 0.17 | %(d) | ||||||
Net investment income (loss) | 2.91 | % | 1.88 | % | 2.49 | %(d) | ||||||
Portfolio turnover rate | 55 | % | 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. |
(f) | Does not include expenses of the Underlying Funds in which the Fund invests. |
See accompanying notes to financial statements.
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State Street Institutional Investment Trust
December 31, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2016, the Trust consists of 33 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 |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
Each Fund is a “fund of funds” that invests in a combination of mutual funds and exchange traded funds (“ETFs”) sponsored by the SSGA Funds Management, Inc. (the “Adviser” or “SSGA FM”) 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 would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund’s investments are valued at fair value each day that the 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 each 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. 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)
December 31, 2016
• | 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.
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 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 asset or liability; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other 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 December 31, 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 December 31, 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 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 foreign taxes withheld at source, if any. 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.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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 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.
Administrator, Sub Administrator and Custody 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 to the Funds. For its administration services, each Fund pays SSGA FM a fee at the 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 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, and charges related to compliance and regulatory services.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
Distribution Fees
State Street Global Markets LLC (the “Distributor” or “SSGM”), an affiliate of the Adviser, 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 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.
Due to Custodian
In certain circumstances, the Funds may have cash overdraft with the custodian. The Due to Custodian amount, if any, reflects cash overdrawn with State Street as custodian who is an affiliate of the Funds. As of December 31, 2016, the State Street Target Retirement 2060 Fund has a cash overdraft related to expense payments.
Contribution by Affiliate
On August 1, 2016, the transfer agent made a reimbursement of $794 to the State Street Target Retirement 2050 Fund in connection with a trade related matter.
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 period ended December 31, 2016, were as follows:
Other Securities | ||||||||
Purchases | Sales | |||||||
State Street Target Retirement Fund | $ | 48,014,654 | $ | 15,454,596 | ||||
State Street Target Retirement 2015 Fund | 87,343,442 | 19,772,240 | ||||||
State Street Target Retirement 2020 Fund | 220,069,586 | 40,421,339 | ||||||
State Street Target Retirement 2025 Fund | 204,714,102 | 23,482,185 | ||||||
State Street Target Retirement 2030 Fund | 195,688,001 | 23,786,573 | ||||||
State Street Target Retirement 2035 Fund | 160,064,738 | 16,115,193 | ||||||
State Street Target Retirement 2040 Fund | 116,843,465 | 14,329,546 | ||||||
State Street Target Retirement 2045 Fund | 72,423,783 | 6,845,314 |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
Other Securities | ||||||||
Purchases | Sales | |||||||
State Street Target Retirement 2050 Fund | $ | 44,215,825 | $ | 4,045,874 | ||||
State Street Target Retirement 2055 Fund | 16,451,689 | 1,425,268 | ||||||
State Street Target Retirement 2060 Fund | 3,937,509 | 1,003,403 |
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. As of December 31, 2016, 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.
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, return of capital and wash sale loss deferrals.
The tax character of distributions paid during the year ended December 31, 2016, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Target Retirement Fund | $ | 953,295 | $ | 65,818 | $ | – | $ | 1,019,113 | ||||||||
State Street Target Retirement 2015 Fund | 1,587,162 | 46,665 | – | 1,633,827 | ||||||||||||
State Street Target Retirement 2020 Fund | 3,889,047 | 321,856 | – | 4,210,903 | ||||||||||||
State Street Target Retirement 2025 Fund | 3,398,765 | 366,463 | – | 3,765,228 | ||||||||||||
State Street Target Retirement 2030 Fund | 3,476,519 | 409,936 | – | 3,886,455 | ||||||||||||
State Street Target Retirement 2035 Fund | 2,599,234 | 229,480 | – | 2,828,714 | ||||||||||||
State Street Target Retirement 2040 Fund | 2,172,277 | 338,757 | – | 2,511,034 | ||||||||||||
State Street Target Retirement 2045 Fund | 1,202,002 | 101,040 | – | 1,303,042 | ||||||||||||
State Street Target Retirement 2050 Fund | 750,637 | 72,716 | – | 823,353 | ||||||||||||
State Street Target Retirement 2055 Fund | 279,549 | 38,962 | – | 318,511 | ||||||||||||
State Street Target Retirement 2060 Fund | 83,460 | 12,624 | – | 96,084 |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
The tax character of distributions paid during the year ended December 31, 2015 was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Target Retirement Fund | $ | 448,046 | $ | 19,571 | $ | – | $ | 467,617 | ||||||||
State Street Target Retirement 2015 Fund | 119,908 | 5,226 | – | 125,134 | ||||||||||||
State Street Target Retirement 2020 Fund | 1,223,102 | 40,374 | – | 1,263,476 | ||||||||||||
State Street Target Retirement 2025 Fund | 561,814 | 23,799 | – | 585,613 | ||||||||||||
State Street Target Retirement 2030 Fund | 1,000,231 | 37,662 | – | 1,037,893 | ||||||||||||
State Street Target Retirement 2035 Fund | 365,537 | 12,163 | – | 377,700 | ||||||||||||
State Street Target Retirement 2040 Fund | 689,472 | 19,971 | – | 709,443 | ||||||||||||
State Street Target Retirement 2045 Fund | 166,683 | 5,726 | – | 172,409 | ||||||||||||
State Street Target Retirement 2050 Fund | 116,785 | 3,895 | – | 120,680 | ||||||||||||
State Street Target Retirement 2055 Fund | 64,572 | 2,532 | – | 67,104 | ||||||||||||
State Street Target Retirement 2060 Fund | 17,136 | 1,248 | – | 18,384 |
At December 31, 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 Target Retirement Fund | $ | 3,562 | $ | – | $ | 111,403 | $ | (695,138 | ) | $ | – | $ | (580,173 | ) | ||||||||||
State Street Target Retirement 2015 Fund | 69,720 | – | 112,848 | (1,040,849 | ) | – | (858,281 | ) | ||||||||||||||||
State Street Target Retirement 2020 Fund | – | – | 744,868 | (2,006,452 | ) | – | (1,261,584 | ) | ||||||||||||||||
State Street Target Retirement 2025 Fund | 125,912 | – | 786,920 | (780,648 | ) | – | 132,184 | |||||||||||||||||
State Street Target Retirement 2030 Fund | – | – | 905,216 | (168,821 | ) | – | 736,395 | |||||||||||||||||
State Street Target Retirement 2035 Fund | 43,601 | – | 746,304 | 679,341 | – | 1,469,246 | ||||||||||||||||||
State Street Target Retirement 2040 Fund | – | – | 645,517 | 1,145,745 | – | 1,791,262 | ||||||||||||||||||
State Street Target Retirement 2045 Fund | – | – | 371,810 | 1,030,803 | – | 1,402,613 | ||||||||||||||||||
State Street Target Retirement 2050 Fund | – | – | 213,264 | 733,872 | – | 947,136 | ||||||||||||||||||
State Street Target Retirement 2055 Fund | – | – | 79,228 | 218,489 | – | 297,717 | ||||||||||||||||||
State Street Target Retirement 2060 Fund | 11,896 | – | 12,217 | 3,886 | – | 27,999 |
As of December 31, 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 | $ | 57,081,103 | $ | 612,336 | $ | 1,307,474 | $ | (695,138 | ) | |||||||
State Street Target Retirement 2015 Fund | 73,883,769 | 536,935 | 1,577,784 | (1,040,849 | ) | |||||||||||
State Street Target Retirement 2020 Fund | 238,215,702 | 3,302,738 | 5,309,190 | (2,006,452 | ) | |||||||||||
State Street Target Retirement 2025 Fund | 209,272,823 | 3,436,658 | 4,217,306 | (780,648 | ) | |||||||||||
State Street Target Retirement 2030 Fund | 226,770,567 | 3,474,597 | 3,643,418 | (168,821 | ) | |||||||||||
State Street Target Retirement 2035 Fund | 165,194,872 | 3,279,674 | 2,600,333 | 679,341 | ||||||||||||
State Street Target Retirement 2040 Fund | 142,989,439 | 2,952,520 | 1,806,775 | 1,145,745 | ||||||||||||
State Street Target Retirement 2045 Fund | 76,103,081 | 1,957,164 | 926,361 | 1,030,803 | ||||||||||||
State Street Target Retirement 2050 Fund | 47,597,950 | 1,285,905 | 552,033 | 733,872 | ||||||||||||
State Street Target Retirement 2055 Fund | 18,792,895 | 422,782 | 204,293 | 218,489 | ||||||||||||
State Street Target Retirement 2060 Fund | 3,646,325 | 45,212 | 41,326 | 3,886 |
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Notes to Financial Statements — (continued)
December 31, 2016
7. | Line of Credit |
The 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. This agreement expires in October 2017 unless extended or renewed. Prior to October 13, 2016, the participants could borrow up to $360 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 13, 2016, interest was 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 December 31, 2016.
8. | Risks |
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 political development may affect the value of the Funds’ investments more than if the Funds were more broadly diversified.
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.
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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State Street Institutional Investment Trust
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of State Street Institutional Investment Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of 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 and State Street Target Retirement 2060 Fund (eleven of the funds constituting State Street Institutional Investment Trust) (the “Funds”) as of December 31, 2016, and the related statements of operations for the year then ended and the statements 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 Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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 Funds’ 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 Funds’ 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 December 31, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers 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 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 and State Street Target Retirement 2060 Fund (eleven of the funds constituting State Street Institutional Investment Trust) at December 31, 2016, the results of their operations for the year then ended and the changes in their net assets and the financial highlights for the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
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December 31, 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 July 1, 2016 to December 31, 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(a) | Ending Account Value | Expenses Paid During Period(b) | Ending Account Value | Expenses Paid During Period(b) | ||||||||||||||||
State Street Target Retirement Fund | ||||||||||||||||||||
Class A | 0.16 | % | $ | 1,009.90 | $ | 0.81 | $ | 1,024.30 | $ | 0.81 | ||||||||||
Class I | (0.09 | ) | 1,011.40 | (0.46 | ) | 1,025.60 | (0.46 | ) | ||||||||||||
Class K | (0.07 | ) | 1,010.40 | (0.35 | ) | 1,025.50 | (0.36 | ) | ||||||||||||
State Street Target Retirement 2015 Fund | ||||||||||||||||||||
Class A | 0.24 | 1,015.40 | 1.22 | 1,023.90 | 1.22 | |||||||||||||||
Class I | 0.01 | 1,016.90 | 0.05 | 1,025.10 | 0.05 | |||||||||||||||
Class K | (0.01 | ) | 1,016.90 | (0.05 | ) | 1,025.20 | (0.05 | ) |
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Other Information — (continued)
December 31, 2016 (Unaudited)
Actual | Hypothetical (assuming a 5% return before expenses) | |||||||||||||||||||
Annualized Expense Ratio(a) | Ending Account Value | Expenses Paid During Period(b) | Ending Account Value | Expenses Paid During Period(b) | ||||||||||||||||
State Street Target Retirement 2020 Fund | ||||||||||||||||||||
Class A | 0.26 | % | $ | 1,025.50 | $ | 1.32 | $ | 1,023.80 | $ | 1.32 | ||||||||||
Class I | 0.12 | 1,027.10 | 0.61 | 1,024.50 | 0.61 | |||||||||||||||
Class K | 0.01 | 1,027.10 | 0.05 | 1,025.10 | 0.05 | |||||||||||||||
State Street Target Retirement 2025 Fund | ||||||||||||||||||||
Class A | 0.29 | 1,032.80 | 1.48 | 1,023.70 | 1.48 | |||||||||||||||
Class I | 0.10 | 1,034.40 | 0.51 | 1,024.60 | 0.51 | |||||||||||||||
Class K | 0.04 | 1,034.40 | 0.20 | 1,024.90 | 0.20 | |||||||||||||||
State Street Target Retirement 2030 Fund | ||||||||||||||||||||
Class A | 0.30 | 1,038.90 | 1.54 | 1,023.60 | 1.53 | |||||||||||||||
Class I | 0.11 | 1,038.50 | 0.56 | 1,024.60 | 0.56 | |||||||||||||||
Class K | 0.05 | 1,038.40 | 0.26 | 1,024.90 | 0.25 | |||||||||||||||
State Street Target Retirement 2035 Fund | ||||||||||||||||||||
Class A | 0.31 | 1,043.80 | 1.59 | 1,023.60 | 1.58 | |||||||||||||||
Class I | 0.13 | 1,044.40 | 0.67 | 1,024.50 | 0.66 | |||||||||||||||
Class K | 0.06 | 1,044.30 | 0.31 | 1,024.80 | 0.31 | |||||||||||||||
State Street Target Retirement 2040 Fund | ||||||||||||||||||||
Class A | 0.30 | 1,050.50 | 1.55 | 1,023.60 | 1.53 | |||||||||||||||
Class I | 0.15 | 1,051.00 | 0.77 | 1,024.40 | 0.76 | |||||||||||||||
Class K | 0.05 | 1,050.00 | 0.26 | 1,024.90 | 0.25 | |||||||||||||||
State Street Target Retirement 2045 Fund | ||||||||||||||||||||
Class A | 0.30 | 1,053.20 | 1.55 | 1,023.60 | 1.53 | |||||||||||||||
Class I | 0.09 | 1,054.80 | 0.46 | 1,024.70 | 0.46 | |||||||||||||||
Class K | 0.05 | 1,054.80 | 0.26 | 1,024.90 | 0.25 | |||||||||||||||
State Street Target Retirement 2050 Fund | ||||||||||||||||||||
Class A | 0.30 | 1,053.40 | 1.55 | 1,023.60 | 1.53 | |||||||||||||||
Class I | 0.18 | 1,056.10 | 0.93 | 1,024.20 | 0.92 | |||||||||||||||
Class K | 0.05 | 1,055.10 | 0.26 | 1,024.90 | 0.25 | |||||||||||||||
State Street Target Retirement 2055 Fund | ||||||||||||||||||||
Class A | 0.30 | 1,053.30 | 1.55 | 1,023.60 | 1.53 | |||||||||||||||
Class I | 0.05 | 1,054.80 | 0.26 | 1,024.90 | 0.25 | |||||||||||||||
Class K | 0.05 | 1,054.90 | 0.26 | 1,024.90 | 0.25 | |||||||||||||||
State Street Target Retirement 2060 Fund | ||||||||||||||||||||
Class A | 0.31 | 1,052.70 | 1.60 | 1,023.60 | 1.58 | |||||||||||||||
Class I | 0.06 | 1,054.20 | 0.31 | 1,024.80 | 0.31 | |||||||||||||||
Class K | 0.06 | 1,053.20 | 0.31 | 1,024.80 | 0.31 |
(a) | The Annualized Expense Ratio does not reflect acquired fund fees and expenses. If acquired fund fees and expenses were included, expenses would be higher. |
(b) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. Includes amounts waived, reimbursed and/or other credits. Without the waiver, reimbursement and/or other credits, expenses would have been higher. |
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Other Information — (continued)
December 31, 2016 (Unaudited)
Tax Information
For federal tax income tax purposes, the following information is furnished with respect to the distributions from the Funds for the fiscal year ended December 31, 2016.
Percentage of distributions which qualify for the corporate dividends received deduction:
Percentage | ||||
State Street Target Retirement Fund | 15.36 | % | ||
State Street Target Retirement 2015 Fund | 14.45 | |||
State Street Target Retirement 2020 Fund | 24.83 | |||
State Street Target Retirement 2025 Fund | 29.10 | |||
State Street Target Retirement 2030 Fund | 35.09 | |||
State Street Target Retirement 2035 Fund | 36.04 | |||
State Street Target Retirement 2040 Fund | 39.50 | |||
State Street Target Retirement 2045 Fund | 38.71 | |||
State Street Target Retirement 2050 Fund | 38.60 | |||
State Street Target Retirement 2055 Fund | 40.52 | |||
State Street Target Retirement 2060 Fund | 21.97 |
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended December 31, 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 are noted below:
Amount | ||||
State Street Target Retirement Fund | $ | 246,793 | ||
State Street Target Retirement 2015 Fund | 398,272 | |||
State Street Target Retirement 2020 Fund | 1,670,425 | |||
State Street Target Retirement 2025 Fund | 1,801,756 | |||
State Street Target Retirement 2030 Fund | 2,178,781 | |||
State Street Target Retirement 2035 Fund | 1,717,911 | |||
State Street Target Retirement 2040 Fund | 1,565,965 | |||
State Street Target Retirement 2045 Fund | 857,078 | |||
State Street Target Retirement 2050 Fund | 533,459 | |||
State Street Target Retirement 2055 Fund | 209,117 | |||
State Street Target Retirement 2060 Fund | 38,187 |
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Other Information — (continued)
December 31, 2016 (Unaudited)
Long term capital gains dividends were paid from the following Funds during the year ended December 31, 2016:
Amount | ||||
State Street Target Retirement Fund | $ | 65,818 | ||
State Street Target Retirement 2015 Fund | 46,665 | |||
State Street Target Retirement 2020 Fund | 321,856 | |||
State Street Target Retirement 2025 Fund | 366,463 | |||
State Street Target Retirement 2030 Fund | 409,936 | |||
State Street Target Retirement 2035 Fund | 229,480 | |||
State Street Target Retirement 2040 Fund | 338,757 | |||
State Street Target Retirement 2045 Fund | 101,040 | |||
State Street Target Retirement 2050 Fund | 72,716 | |||
State Street Target Retirement 2055 Fund | 38,962 | |||
State Street Target Retirement 2060 Fund | 12,624 |
Foreign Tax Credit
The Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Funds to its shareholders. For the year ended December 31, 2016, the total amount of foreign taxes that will be passed through are:
Amount | ||||
State Street Target Retirement Fund | $ | 7,628 | ||
State Street Target Retirement 2015 Fund | 12,960 | |||
State Street Target Retirement 2020 Fund | 58,583 | |||
State Street Target Retirement 2025 Fund | 66,525 | |||
State Street Target Retirement 2030 Fund | 82,555 | |||
State Street Target Retirement 2035 Fund | 65,925 | |||
State Street Target Retirement 2040 Fund | 60,938 | |||
State Street Target Retirement 2045 Fund | 33,793 | |||
State Street Target Retirement 2050 Fund | 21,034 | |||
State Street Target Retirement 2055 Fund | 8,256 | |||
State Street Target Retirement 2060 Fund | 1,507 |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
The amount of foreign source income earned on the following Funds during the year ended December 31, 2016 were as follows:
Amount | ||||
State Street Target Retirement Fund | $ | 89,785 | ||
State Street Target Retirement 2015 Fund | 152,541 | |||
State Street Target Retirement 2020 Fund | 689,509 | |||
State Street Target Retirement 2025 Fund | 782,983 | |||
State Street Target Retirement 2030 Fund | 971,652 | |||
State Street Target Retirement 2035 Fund | 775,923 | |||
State Street Target Retirement 2040 Fund | 717,223 | |||
State Street Target Retirement 2045 Fund | 397,733 | |||
State Street Target Retirement 2050 Fund | 247,560 | |||
State Street Target Retirement 2055 Fund | 97,173 | |||
State Street Target Retirement 2060 Fund | 17,737 |
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 1-800-997-7327 (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 1-800-997-7327 (toll free) and on the Funds’ website at www.ssgafunds.com.
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Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||||
Independent Trustees | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 –Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||||
William L. Boyan (1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. | |||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 |
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Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 | ||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 |
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Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 | ||||||||
Interested Trustee(2) | ||||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about Funds’ directors and is available, without charge, upon request and by calling 1-800-997-7327.
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Trustees
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Michael A. Jessee
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 | SSIITTRAR | |
Boston, MA 02206 | IBG-22810 |
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
Annual Report
31 December 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
Annual Report
December 31, 2016
1 | ||||
3 | ||||
5 | ||||
7 | ||||
8 | ||||
11 | ||||
17 | ||||
18 | ||||
24 | ||||
25 | ||||
26 | ||||
27 | ||||
28 | ||||
37 | ||||
38 |
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
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The investment objective of the State Street Equity 500 Index Fund (the “Fund”) is to replicate as closely as possible, before expenses, the performance of the Standard & Poor’s 500 Index (the “S&P 500” or the “Index”). The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in the State Street Equity 500 Index II Portfolio.
For the Reporting Period, the total return for the Fund’s Administrative Shares was 11.75%, and the total return for the Index was 11.96%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The expenses of managing the Fund, cash drag and small security misweights compared to the Index contributed to the difference between the Fund’s performance and that of the Index.
The opening month of 2016 was anything but reassuring for global investors as growth assets sold off aggressively the first two weeks of the year on a mosaic of uncertainties persisting from 2015. Among the drivers of this selloff was a series of conflicting messages from China’s policy makers in both equity and currency markets. Looking at the year to date return for the Index at the end of the first quarter of 2016, performance of +1.4% could mistakenly indicate an uneventful time period in financial markets. That modest absolute outcome of course belies an aggressive selloff in global equities to open the year that took the Index down 6% during the first week of 2016, the worst opening week on record, and to an eventual decline of more than 10% for the year through February 11th. The Fund finished the first quarter of 2016 with performance of +1.28%.
As the second quarter of 2016 opened, the “reflation trade” that commenced in mid-February and closed out the end of the first quarter of 2016 continued apace in April with growth assets broadly posting positive returns, though with some signs of consolidation towards the end of the month. The second quarter posted a gain of 2.42% for the Fund, marking a return of 3.73% for the Fund’s first half of the year.
Global markets entered the third quarter riding the tailwind of an aggressive snap back rally following the surprising June 23rd U.K. referendum vote in favor of leaving the European Union. After world markets declined in the two days following the referendum, they turned around and surpassed the drop through the end of July. The improved tone was enough to propel the Index to a new all-time high, surpassing the previous high set 14 months earlier in May of 2015. In contrast to August of 2015, when global equity markets witnessed their most volatile month since 2011, markets demonstrated an air of complacency in August 2016. In fact, the Index did not experience a daily price move of greater than 1%, up or down, between July 8th and September 8th. Using 30 day realized volatility as a measure, it was chronicled by the Wall Street Journal on August 23rd that the 30 preceding trading days had been the least volatile for the Index in over two decades. It was perhaps no coincidence that the relative stability markets exhibited in August occurred during a month in which the central banking calendar was relatively light. Following this, September was a relatively flat month and the Fund ended up 7.63% year-to-date through September 30.
As the final quarter of 2016 commenced, October provided investors few places to avoid negative returns as both safe haven investments and riskier growth assets came under pressure during the month. In a year notable for unexpected challenges to the established political order, November 8th, 2016 delivered another entry to that ledger in the largely unanticipated victory of Donald Trump over Hillary Clinton to close out
1
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
the highly contentious U.S. presidential election campaign. The initial reaction in overnight financial markets as the surprising election results were reported was a sharp risk-off trade suggesting considerable concern among unwitting investors. To-wit, from 10:00 p.m. EST when the first hints of the unexpected election outcome began to resonate, to midnight when the election outcome was all but certain, futures on the Index declined nearly 6%, the 10 year U.S. Treasury Yield plunged nearly 20 basis points and the common risk haven gold surged 5%. About the time Donald Trump made what was broadly judged to be a conciliatory acceptance speech, all these markets performed an abrupt about face, sending the Index to a gain of more than 1%, gold prices lower and bond yields higher when all was said and done on November 9th . Far from a one day relief rally, the trading days following the election saw a persistent rise in growth assets, a sharp rise in U.S. Treasury yields and a thirteen year high in the broad U.S. dollar Index reached in late November – a trend that would continue through the end of the year. For the fourth quarter of the 2016, the Fund performed up 3.83%.
On an individual security level, the top positive contributors to the Fund’s performance were: Exxon Mobil Corporation, AT&T, Inc. and JPMorgan Chase & Co. The top negative contributors to the Fund’s performance were: Alexion Pharmaceuticals, Inc., Gilead Sciences, Inc. and Allergan plc.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions, and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
2
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Administrative Shares
Performance Summary (Unaudited)
Growth of a $10,000 Investment (a)
Investment Performance (a)
As of December 31, 2016
Total Return One Year Ended | Average Annual Five Years Ended | Average Annual Ten Years Ended | ||||||||||
State Street Equity 500 Index Fund Administrative Shares | 11.75 | % | 14.39 | % | 6.75 | % | ||||||
State Street Equity 500 Index Fund Service Shares(b) | 11.65 | % | 14.27 | % | 6.64 | % | ||||||
State Street Equity 500 Index Fund R Shares(c) | 11.26 | % | 13.85 | % | 6.27 | % | ||||||
State Street Equity 500 Index Fund Class A(d ) | 11.42 | % | 14.07 | % | 6.45 | % | ||||||
State Street Equity 500 Index Fund Class I(e) | 11.75 | % | 14.36 | % | 6.72 | % | ||||||
State Street Equity 500 Index Fund Class K(f) | 11.92 | % | 14.46 | % | 6.78 | % | ||||||
S&P 500® Index(g) | 11.96 | % | 14.66 | % | 6.95 | % |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
3
Table of Contents
(b) | NAV Performance shown for the periods prior to the inception of Service shares on March 10, 2003 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses Service shares, estimated for their first year of operations, including applicable 12b-1 fees. |
(c) | NAV Performance shown for the periods prior to the inception of Class R shares on June 7, 2005 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses of Class R shares, estimated for their first year of operations, including applicable 12b-1 fees. |
(d) | NAV Performance shown for the periods prior to the inception of Class A shares on September 17, 2014 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses of Class A shares, estimated for their first year of operations, including applicable 12b-1 fees. |
(e) | NAV Performance shown for the periods prior to the inception of Class I shares on September 17, 2014 reflects the historical performance of the fund’s Administrative Shares adjusted to reflect the higher expenses of Class I shares, estimated for their first year of operations, including applicable 12b-1 fees. |
(f) | NAV Performance shown for the periods prior to the inception of Class K shares on September 17, 2014, reflect the historical performance of the fund’s Administrative shares. Had the fund’s Class K fees been reflected, the returns shown for those periods would have been higher. |
(g) | The Standard & Poor’s 500 Composite Stock Price Index (“S&P 500® Index”) is an unmanaged capitalization-weighted index of 500 widely held stocks recognized by investors to be representative of the stock market in general. It is not possible to invest directly in the S&P 500® Index. |
Line graph is based on cumulative total return
4
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statement of Assets and Liabilities
December 31, 2016
Assets | ||||
Investment in State Street Equity 500 Index II Portfolio | $ | 822,918,998 | ||
Receivable for fund shares sold | 3,845,936 | |||
Prepaid expenses and other assets | 1,878 | |||
|
| |||
Total assets | 826,766,812 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 3,348,751 | |||
Payable for fund shares repurchased | 466,778 | |||
Advisory fee payable (Note 4) | 32,286 | |||
Custodian fees payable (Note 4) | 2,449 | |||
Administration fees payable (Note 4) | 32,905 | |||
Distribution fees payable (Note 4) | 83,474 | |||
Transfer agent fees payable (Note 4) | 25,206 | |||
Sub-transfer agent fee payable (Note 4) | 3,500 | |||
Registration and filing fees payable | 11,949 | |||
Professional fees payable | 24,485 | |||
Printing and postage fees payable | 25,217 | |||
|
| |||
Total liabilities | 4,057,000 | |||
|
| |||
Net Assets | $ | 822,709,812 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 746,686,794 | ||
Accumulated net realized gain (loss) on investment | 4,139,999 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 71,883,019 | |||
|
| |||
Net Assets | $ | 822,709,812 | ||
|
| |||
Administrative Shares | ||||
Net Assets | $ | 277,140,803 | ||
Shares outstanding | 14,720,531 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 18.83 | ||
|
| |||
Service Shares | ||||
Net Assets | $ | 124,590,951 | ||
Shares outstanding | 6,623,695 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 18.81 | ||
|
|
See accompanying notes to financial statements and financial statements of the corresponding Portfolio.
5
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statement of Assets and Liabilities — (continued)
December 31, 2016
Class R Shares | ||||
Net Assets | $ | 39,085,579 | ||
Shares outstanding | 2,077,392 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 18.81 | ||
|
| |||
Maximum sales charge | 5.25 | % | ||
Maximum offering price per share | $ | 19.85 | ||
|
| |||
Class A Shares | ||||
Net Assets | $ | 7,508,717 | ||
Shares outstanding | 398,716 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 18.83 | ||
|
| |||
Maximum sales charge | 5.25 | |||
Maximum offering price per share | $ | 19.87 | ||
|
| |||
Class I Shares | ||||
Net Assets | $ | 4,468,988 | ||
Shares outstanding | 237,259 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 18.84 | ||
|
| |||
Class K Shares | ||||
Net Assets | $ | 369,914,774 | ||
Shares outstanding | 19,644,768 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 18.83 | ||
|
| |||
Cost of Investments: | ||||
Investment in State Street Equity 500 Index II Portfolio | $ | 751,035,979 | ||
|
| |||
Shares of State Street Equity 500 Index II Portfolio | 72,696,025 | |||
|
|
See accompanying notes to financial statements and financial statements of the corresponding Portfolio.
6
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
For the Year Ended December 31, 2016
Investment Income | ||||
Interest income | $ | 10 | ||
Dividend income from corresponding portfolio (Note 2) | 12,893,623 | |||
|
| |||
Total Investment Income (loss) | 12,893,633 | |||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 130,694 | |||
Administration fees (Note 4) | 347,548 | |||
Distribution fees (Note 4) | ||||
Administrative Shares | 399,453 | |||
Service Shares | 268,969 | |||
Class R Shares | 226,943 | |||
Class A Shares | 7,000 | |||
Custodian fees (Note 4) | 11,775 | |||
Trustees’ fees and expenses (Note 5) | 18,575 | |||
Transfer agent fees (Note 4) | 111,964 | |||
Sub-transfer agent fee (Note 4) | 6,453 | |||
Registration and filing fees | 66,343 | |||
Professional fees | 42,320 | |||
Printing and postage fees | 65,370 | |||
Insurance expense | 5,429 | |||
Miscellaneous expenses | 3,513 | |||
|
| |||
Total expenses | 1,712,349 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 4) | (605,109 | ) | ||
|
| |||
Net expenses | 1,107,240 | |||
|
| |||
Net Investment Income (Loss) | 11,786,393 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment in State Street Equity 500 Index II Portfolio | (702,808 | ) | ||
Capital gain distributions from State Street Equity 500 Index II Portfolio | 5,638,277 | |||
|
| |||
Net realized gain (loss) | 4,935,469 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment in State Street Equity 500 Index II Portfolio | 62,316,120 | |||
|
| |||
Net change in unrealized appreciation/depreciation | 62,316,120 | |||
|
| |||
Net realized and unrealized gain (loss) | 67,251,589 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 79,037,982 | ||
|
|
See accompanying notes to financial statements and financial statements of the corresponding Portfolio.
7
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statements of Changes in Net Assets
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 11,786,393 | $ | 7,607,546 | ||||
Net realized gain (loss) | 4,935,469 | 8,034,218 | ||||||
Net change in unrealized appreciation/depreciation | 62,316,120 | (11,631,751 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 79,037,982 | 4,010,013 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Administrative Shares | (4,106,875 | ) | (4,364,601 | ) | ||||
Service Shares | (1,701,356 | ) | (1,622,598 | ) | ||||
Class R Shares | (400,997 | ) | (461,399 | ) | ||||
Class A Shares | (88,337 | ) | (829 | ) | ||||
Class I Shares | (61,548 | ) | (827 | ) | ||||
Class K Shares | (5,971,211 | ) | (1,121,491 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (12,330,324 | ) | (7,571,745 | ) | ||||
|
|
|
| |||||
Net realized gain on investments | ||||||||
Administrative Shares | (1,128,485 | ) | – | |||||
Service Shares | (501,839 | ) | – | |||||
Class R Shares | (159,133 | ) | – | |||||
Class A Shares | (30,530 | ) | – | |||||
Class I Shares | (17,511 | ) | – | |||||
Class K Shares | (1,488,503 | ) | – | |||||
|
|
|
| |||||
Total distributions from net realized gain on investments | (3,326,001 | ) | – | |||||
|
|
|
| |||||
Total distributions to shareholders | (15,656,325 | ) | – | |||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Administrative Shares | ||||||||
Shares sold | 21,875,613 | 41,802,550 | ||||||
Reinvestment of distributions | 5,235,360 | 4,364,601 | ||||||
Shares redeemed | (36,273,233 | ) | (31,463,427 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (9,162,260 | ) | 14,703,724 | |||||
|
|
|
| |||||
Service Shares | ||||||||
Shares sold | 15,822,923 | 17,158,854 | ||||||
Reinvestment of distributions | 2,203,195 | 1,622,598 | ||||||
Shares redeemed | (8,529,710 | ) | (39,708,683 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 9,496,408 | (20,927,231 | ) | |||||
|
|
|
| |||||
Class R Shares | ||||||||
Shares sold | 7,132,413 | 10,803,830 | ||||||
Reinvestment of distributions | 560,130 | 461,399 | ||||||
Shares redeemed | (9,967,450 | ) | (14,403,865 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (2,274,907 | ) | (3,138,636 | ) | ||||
|
|
|
|
See accompanying notes to financial statements and financial statements of the corresponding Portfolio.
8
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statements of Changes in Net Assets — (continued)
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Class A Shares | ||||||||
Shares sold | $ | 7,221,028 | $ | 9,470 | ||||
Reinvestment of distributions | 117,809 | – | ||||||
Shares redeemed | (19,080 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 7,319,757 | 9,470 | ||||||
|
|
|
| |||||
Class I Shares | ||||||||
Shares sold | 4,380,131 | – | ||||||
Reinvestment of distributions | 78,024 | – | ||||||
Shares redeemed | (57,378 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 4,400,777 | – | ||||||
|
|
|
| |||||
Class K Shares | ||||||||
Shares sold | 308,312,508 | 61,692,390 | ||||||
Reinvestment of distributions | 7,309,089 | 1,120,561 | ||||||
Shares redeemed | (31,860,973 | ) | (3,875 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 283,760,624 | 62,809,076 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 293,540,399 | 53,456,403 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 356,922,056 | 49,894,671 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 465,787,756 | 415,893,085 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 822,709,812 | $ | 465,787,756 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | – | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Administrative Shares | ||||||||
Shares sold | 1,230,543 | 2,410,360 | ||||||
Reinvestment of distributions | 275,111 | 251,852 | ||||||
Shares redeemed | (1,992,281 | ) | (1,827,428 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (486,627 | ) | 834,784 | |||||
|
|
|
| |||||
Service Shares | ||||||||
Shares sold | 892,147 | 992,013 | ||||||
Reinvestment of distributions | 115,896 | 93,683 | ||||||
Shares redeemed | (491,370 | ) | (2,306,875 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 516,673 | (1,221,179 | ) | |||||
|
|
|
| |||||
Class R Shares | ||||||||
Shares sold | 406,522 | 620,202 | ||||||
Reinvestment of distributions | 29,450 | 26,640 | ||||||
Shares redeemed | (564,687 | ) | (825,254 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (128,715 | ) | (178,412 | ) | ||||
|
|
|
| |||||
Class A Shares | ||||||||
Shares sold | 390,086 | 547 | ||||||
Reinvestment of distributions | 6,191 | – | ||||||
Shares redeemed | (1,049 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 395,228 | 547 | ||||||
|
|
|
|
See accompanying notes to financial statements and financial statements of the corresponding Portfolio.
9
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index Fund
Statements of Changes in Net Assets — (continued)
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Class I Shares | ||||||||
Shares sold | $ | 233,255 | $ | – | ||||
Reinvestment of distributions | 4,098 | – | ||||||
Shares redeemed | (3,035 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 234,318 | – | ||||||
|
|
|
| |||||
Class K Shares | ||||||||
Shares sold | 17,379,691 | 3,547,720 | ||||||
Reinvestment of distributions | 384,082 | 64,623 | ||||||
Shares redeemed | (1,734,066 | ) | (223 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 16,029,707 | 3,612,120 | ||||||
|
|
|
|
See accompanying notes to financial statements and financial statements of the corresponding Portfolio.
10
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 | ||||||||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 17.17 | $ | 17.27 | $ | 15.50 | $ | 11.94 | $ | 10.51 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | 0.26 | 0.31 | 0.29 | 0.26 | 0.24 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.76 | (0.12 | ) | 1.79 | 3.56 | 1.42 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | 2.02 | 0.19 | 2.08 | 3.82 | 1.66 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.28 | ) | (0.29 | ) | (0.31 | ) | (0.26 | ) | (0.23 | ) | ||||||||||
Net realized gains | (0.08 | ) | – | – | – | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.36 | ) | (0.29 | ) | (0.31 | ) | (0.26 | ) | (0.23 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 18.83 | $ | 17.17 | $ | 17.27 | $ | 15.50 | $ | 11.94 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 11.75 | % | 1.08 | % | 13.41 | % | 31.97 | % | 15.84 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 277,141 | $ | 261,038 | $ | 248,180 | $ | 230,330 | $ | 185,918 | ||||||||||
Ratios to average net assets:(c) | ||||||||||||||||||||
Total expenses | 0.27 | %(e) | 0.31 | %(e) | 0.30 | %(d) | 0.25 | % | 0.25 | % | ||||||||||
Net expenses | 0.18 | %(e) | 0.18 | %(e) | 0.23 | %(d) | 0.25 | % | 0.25 | % | ||||||||||
Net investment income (loss) | 1.48 | % | 1.76 | % | 1.78 | % | 1.84 | % | 2.06 | % | ||||||||||
Portfolio turnover rate | 5 | %(h) | 5 | %(h) | 4 | %(f) | 4 | %(g) | 9 | %(g) |
(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) | 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. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | 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). |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
(h) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
See accompanying notes to financial statements and financial statements of the corresponding Portfolio.
11
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 | ||||||||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 17.15 | $ | 17.25 | $ | 15.49 | $ | 11.92 | $ | 10.50 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations | ||||||||||||||||||||
Net investment income (loss)(a) | 0.26 | 0.22 | 0.28 | 0.24 | 0.23 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.74 | (0.05 | ) | 1.77 | 3.57 | 1.41 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | 2.00 | 0.17 | 2.05 | 3.81 | 1.64 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.26 | ) | (0.27 | ) | (0.29 | ) | (0.24 | ) | (0.22 | ) | ||||||||||
Net realized gains | (0.08 | ) | – | – | – | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.34 | ) | (0.27 | ) | (0.29 | ) | (0.24 | ) | (0.22 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 18.81 | $ | 17.15 | $ | 17.25 | $ | 15.49 | $ | 11.92 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 11.65 | % | 0.98 | % | 13.24 | % | 31.97 | % | 15.64 | % | ||||||||||
Ratios and Supplemental Data:(c) | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 124,591 | $ | 104,730 | $ | 126,412 | $ | 124,885 | $ | 88,416 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.37 | %(e) | 0.41 | %(e) | 0.40 | %(d) | 0.35 | % | 0.35 | % | ||||||||||
Net expenses | 0.27 | %(e) | 0.28 | %(e) | 0.33 | %(d) | 0.35 | % | 0.35 | % | ||||||||||
Net investment income (loss) | 1.46 | % | 1.25 | % | 1.73 | % | 1.74 | % | 1.96 | % | ||||||||||
Portfolio turnover rate | 5 | %(h) | 5 | %(h) | 4 | %(f) | 4 | %(g) | 9 | %(g) |
(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) | 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. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | 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). |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
(h) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
See accompanying notes to financial statements and financial statements of the corresponding Portfolio.
12
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 R Shares | ||||||||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 17.15 | $ | 17.26 | $ | 15.49 | $ | 11.93 | $ | 10.51 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss)(a) | 0.18 | 0.19 | 0.22 | 0.19 | 0.19 | |||||||||||||||
Net realized and unrealized gain (loss) | 1.76 | (0.09 | ) | 1.78 | 3.56 | 1.41 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | 1.94 | 0.10 | 2.00 | 3.75 | 1.60 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.20 | ) | (0.21 | ) | (0.23 | ) | (0.19 | ) | (0.18 | ) | ||||||||||
Net realized gains | (0.08 | ) | – | – | – | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.28 | ) | (0.21 | ) | (0.23 | ) | (0.19 | ) | (0.18 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 18.81 | $ | 17.15 | $ | 17.26 | $ | 15.49 | $ | 11.93 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(b) | 11.26 | % | 0.58 | % | 12.91 | % | 31.40 | % | 15.22 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 39,086 | $ | 37,845 | $ | 41,148 | $ | 32,555 | $ | 21,954 | ||||||||||
Ratios to average net assets:(c) | ||||||||||||||||||||
Total expenses | 0.72 | %(e) | 0.76 | %(e) | 0.75 | %(d) | 0.70 | % | 0.70 | % | ||||||||||
Net expenses | 0.63 | %(e) | 0.63 | %(e) | 0.68 | %(d) | 0.70 | % | 0.70 | % | ||||||||||
Net investment income (loss) | 0.99 | % | 1.09 | % | 1.37 | % | 1.40 | % | 1.62 | % | ||||||||||
Portfolio turnover rate | 5 | %(h) | 5 | %(h) | 4 | %(f) | 4 | %(g) | 9 | %(g) |
(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) | 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. |
(e) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(f) | 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). |
(g) | Portfolio turnover rate is from the State Street Equity 500 Index Portfolio. |
(h) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
See accompanying notes to financial statements and financial statements of the corresponding Portfolio.
13
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.68 | 0.25 | 0.11 | |||||||||
Net realized and unrealized gain (loss) | 1.29 | (0.11 | ) | 0.45 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 1.97 | 0.14 | 0.56 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.23 | ) | (0.24 | ) | (0.29 | ) | ||||||
Net realized gains | (0.08 | ) | – | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | (0.31 | ) | (0.24 | ) | (0.29 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 18.83 | $ | 17.17 | $ | 17.27 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 11.42 | % | 0.78 | % | 3.28 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 7,509 | $ | 60 | $ | 51 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.57 | %(d) | 0.61 | %(d) | 0.70 | %(c)(d) | ||||||
Net expenses | 0.48 | %(d) | 0.48 | %(d) | 0.51 | %(c)(d) | ||||||
Net investment income (loss) | 3.69 | % | 1.43 | % | 2.32 | %(c) | ||||||
Portfolio turnover rate | 5 | %(e) | 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. 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) | 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 and financial statements of the corresponding Portfolio.
14
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 2.86 | 0.29 | 0.13 | |||||||||
Net realized and unrealized gain (loss) | (0.84 | ) | (0.11 | ) | 0.44 | |||||||
|
|
|
|
|
| |||||||
Total from investment operations | 2.02 | 0.18 | 0.57 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.27 | ) | (0.28 | ) | (0.30 | ) | ||||||
Net realized gains | (0.08 | ) | – | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | (0.35 | ) | (0.28 | ) | (0.30 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 18.84 | $ | 17.17 | $ | 17.27 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 11.75 | % | 1.03 | % | 3.35 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 4,469 | $ | 50 | $ | 51 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.32 | %(d) | 0.36 | %(d) | 0.45 | %(c)(d) | ||||||
Net expenses | 0.23 | %(d) | 0.23 | %(d) | 0.26 | %(c)(d) | ||||||
Net investment income (loss) | 15.53 | %(e) | 1.66 | % | 2.57 | %(c) | ||||||
Portfolio turnover rate | 5 | %(f) | 5 | %(f) | 4 | %(f)(g) |
* | 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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | 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. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
See accompanying notes to financial statements and financial statements of the corresponding Portfolio.
15
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.44 | 1.45 | 0.14 | |||||||||
Net realized and unrealized gain (loss) | 1.61 | (1.23 | ) | 0.44 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 2.05 | 0.22 | 0.58 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.31 | ) | (0.32 | ) | (0.31 | ) | ||||||
Net realized gains | (0.08 | ) | – | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | (0.39 | ) | (0.32 | ) | (0.31 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 18.83 | $ | 17.17 | $ | 17.27 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 11.92 | % | 1.23 | % | 3.41 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 369,915 | $ | 62,064 | $ | 51 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.12 | %(d) | 0.16 | %(d) | 0.27 | %(c)(d) | ||||||
Net expenses | 0.03 | %(d) | 0.03 | %(d) | 0.06 | %(c)(d) | ||||||
Net investment income (loss) | 2.42 | % | 8.45 | %(e) | 2.78 | %(c) | ||||||
Portfolio turnover rate | 5 | %(f) | 5 | %(f) | 4 | %(f)(g) |
* | 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) | Ratio does not include the expenses of the State Street Equity 500 Index II Portfolio. |
(e) | 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. |
(f) | Portfolio turnover rate is from the State Street Equity 500 Index II Portfolio. |
(g) | Not annualized. |
See accompanying notes to financial statements and financial statements of the corresponding Portfolio.
16
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2016 | |||
Common Stocks | 98.6 | % | ||
Short-Term Investment | 2.5 | |||
Liabilities in Excess of Other Assets | (1.1 | ) | ||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | December 31, 2016 | |||
Information Technology | 20.5 | % | ||
Financials | 14.6 | |||
Health Care | 13.4 | |||
Consumer Discretionary | 11.9 | |||
Industrials | 10.1 | |||
Total | 70.5 | % |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
17
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – 98.6% |
| |||||||
Consumer Discretionary – 11.9% |
| |||||||
Advance Auto Parts, Inc. | 4,800 | $ | 811,776 | |||||
Amazon.com, Inc.(a) | 24,690 | 18,514,290 | ||||||
AutoNation, Inc.(a) | 4,194 | 204,038 | ||||||
AutoZone, Inc.(a) | 1,876 | 1,481,646 | ||||||
Bed Bath & Beyond, Inc. | 9,115 | 370,434 | ||||||
Best Buy Co., Inc. | 16,706 | 712,845 | ||||||
BorgWarner, Inc. | 12,877 | 507,869 | ||||||
CarMax, Inc.(a) | 11,503 | 740,678 | ||||||
Carnival Corp. | 27,101 | 1,410,878 | ||||||
CBS Corp. Class B | 23,642 | 1,504,104 | ||||||
Charter Communications, Inc. Class A(a) | 13,700 | 3,944,504 | ||||||
Chipotle Mexican Grill, Inc. Class A(a) | 1,786 | 673,893 | ||||||
Coach, Inc. | 18,128 | 634,843 | ||||||
Comcast Corp. Class A | 148,883 | 10,280,371 | ||||||
D.R. Horton, Inc. | 22,097 | 603,911 | ||||||
Darden Restaurants, Inc. | 8,271 | 601,467 | ||||||
Delphi Automotive PLC | 16,919 | 1,139,495 | ||||||
Discovery Communications, Inc. Class A(a) | 8,903 | 244,031 | ||||||
Discovery Communications, Inc. Class C(a) | 14,103 | 377,678 | ||||||
Dollar General Corp. | 16,713 | 1,237,932 | ||||||
Dollar Tree, Inc.(a) | 14,526 | 1,121,117 | ||||||
Expedia, Inc. | 7,334 | 830,795 | ||||||
Foot Locker, Inc. | 8,100 | 574,209 | ||||||
Ford Motor Co. | 246,738 | 2,992,932 | ||||||
Gap, Inc. | 13,434 | 301,459 | ||||||
Garmin, Ltd. | 6,940 | 336,521 | ||||||
General Motors Co. | 85,423 | 2,976,137 | ||||||
Genuine Parts Co. | 9,589 | 916,133 | ||||||
Goodyear Tire & Rubber Co. | 15,744 | 486,017 | ||||||
H&R Block, Inc. | 13,264 | 304,939 | ||||||
Hanesbrands, Inc. | 22,400 | 483,168 | ||||||
Harley-Davidson, Inc. | 10,716 | 625,171 | ||||||
Harman International Industries, Inc. | 4,216 | 468,651 | ||||||
Hasbro, Inc. | 7,397 | 575,413 | ||||||
Home Depot, Inc. | 76,102 | 10,203,756 | ||||||
Interpublic Group of Cos., Inc. | 23,866 | 558,703 | ||||||
Kohl’s Corp. | 10,845 | 535,526 | ||||||
L Brands, Inc. | 15,421 | 1,015,319 | ||||||
Leggett & Platt, Inc. | 7,954 | 388,791 | ||||||
Lennar Corp. Class A | 10,506 | 451,023 | ||||||
LKQ Corp.(a) | 20,100 | 616,065 | ||||||
Lowe’s Cos., Inc. | 55,250 | 3,929,380 | ||||||
Macy’s, Inc. | 19,962 | 714,839 | ||||||
Marriott International, Inc. Class A | 19,855 | 1,641,611 | ||||||
Mattel, Inc. | 23,333 | 642,824 | ||||||
McDonald’s Corp. | 52,510 | 6,391,517 | ||||||
Michael Kors Holdings, Ltd.(a) | 10,414 | 447,594 | ||||||
Mohawk Industries, Inc.(a) | 4,031 | 804,910 | ||||||
Netflix, Inc.(a) | 27,104 | 3,355,475 | ||||||
Newell Brands, Inc. | 29,741 | 1,327,936 | ||||||
News Corp. Class A | 22,588 | 258,858 | ||||||
News Corp. Class B | 6,400 | 75,520 | ||||||
NIKE, Inc. Class B | 85,006 | 4,320,855 | ||||||
Nordstrom, Inc. | 7,577 | 363,166 | ||||||
O’Reilly Automotive, Inc.(a) | 5,880 | 1,637,051 | ||||||
Omnicom Group, Inc. | 14,691 | 1,250,351 | ||||||
Priceline Group, Inc.(a) | 3,129 | 4,587,302 | ||||||
PulteGroup, Inc. | 18,662 | 343,008 | ||||||
PVH Corp. | 4,849 | 437,574 | ||||||
Ralph Lauren Corp. | 3,379 | 305,191 | ||||||
Ross Stores, Inc. | 24,756 | 1,623,994 | ||||||
Royal Caribbean Cruises, Ltd. | 10,500 | 861,420 | ||||||
Scripps Networks Interactive, Inc. Class A | 5,672 | 404,811 | ||||||
Signet Jewelers, Ltd. | 4,600 | 433,596 | ||||||
Staples, Inc. | 38,299 | 346,606 | ||||||
Starbucks Corp. | 92,430 | 5,131,714 | ||||||
Target Corp. | 34,472 | 2,489,913 | ||||||
TEGNA, Inc. | 12,922 | 276,402 | ||||||
Tiffany & Co. | 6,499 | 503,218 | ||||||
Time Warner, Inc. | 49,011 | 4,731,032 | ||||||
TJX Cos., Inc. | 41,537 | 3,120,675 | ||||||
Tractor Supply Co. | 8,726 | 661,518 | ||||||
TripAdvisor, Inc.(a) | 6,742 | 312,626 | ||||||
Twenty-First Century Fox, Inc. Class A | 67,600 | 1,895,504 | ||||||
Twenty-First Century Fox, Inc. Class B | 29,700 | 809,325 | ||||||
Ulta Salon Cosmetics & Fragrance, Inc.(a) | 3,800 | 968,772 | ||||||
Under Armour, Inc. Class A(a) | 10,824 | 314,437 | ||||||
Under Armour, Inc. Class C(a) | 10,875 | 273,724 | ||||||
Urban Outfitters, Inc.(a) | 5,161 | 146,985 | ||||||
VF Corp. | 20,644 | 1,101,357 | ||||||
Viacom, Inc. Class B | 22,381 | 785,573 | ||||||
Walt Disney Co. | 91,352 | 9,520,705 | ||||||
Whirlpool Corp. | 4,402 | 800,151 | ||||||
Wyndham Worldwide Corp. | 6,653 | 508,090 | ||||||
Wynn Resorts, Ltd. | 4,841 | 418,795 | ||||||
Yum! Brands, Inc. | 22,602 | 1,431,385 | ||||||
|
| |||||||
145,465,818 | ||||||||
|
| |||||||
Consumer Staples – 9.3% |
| |||||||
Altria Group, Inc. | 122,929 | 8,312,459 | ||||||
Archer-Daniels-Midland Co. | 36,032 | 1,644,861 | ||||||
Brown-Forman Corp. Class B | 11,842 | 531,943 | ||||||
Campbell Soup Co. | 12,582 | 760,834 | ||||||
Church & Dwight Co., Inc. | 16,700 | 737,973 | ||||||
Clorox Co. | 8,064 | 967,841 | ||||||
Coca-Cola Co. | 242,400 | 10,049,904 | ||||||
Colgate-Palmolive Co. | 56,223 | 3,679,233 | ||||||
Conagra Brands, Inc. | 26,624 | 1,052,979 | ||||||
Constellation Brands, Inc. Class A | 11,250 | 1,724,738 | ||||||
Costco Wholesale Corp. | 27,655 | 4,427,842 | ||||||
Coty, Inc. Class A | 29,078 | 532,418 | ||||||
CVS Health Corp. | 67,205 | 5,303,147 | ||||||
Dr. Pepper Snapple Group, Inc. | 11,497 | 1,042,433 | ||||||
Estee Lauder Cos., Inc. Class A | 13,741 | 1,051,049 | ||||||
General Mills, Inc. | 37,842 | 2,337,500 | ||||||
Hershey Co. | 9,067 | 937,800 | ||||||
Hormel Foods Corp. | 17,802 | 619,688 | ||||||
J.M. Smucker Co. | 7,405 | 948,284 | ||||||
Kellogg Co. | 15,628 | 1,151,940 | ||||||
Kimberly-Clark Corp. | 22,727 | 2,593,605 |
See accompanying notes to financial statements.
18
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Consumer Staples – (continued) |
| |||||||
Kraft Heinz Co. | 37,618 | $ | 3,284,804 | |||||
Kroger Co. | 57,642 | 1,989,225 | ||||||
McCormick & Co., Inc. | 7,192 | 671,229 | ||||||
Mead Johnson Nutrition Co. | 11,650 | 824,354 | ||||||
Molson Coors Brewing Co. Class B | 11,353 | 1,104,761 | ||||||
Mondelez International, Inc. Class A | 98,115 | 4,349,438 | ||||||
Monster Beverage Corp.(a) | 25,935 | 1,149,958 | ||||||
PepsiCo, Inc. | 89,516 | 9,366,059 | ||||||
Philip Morris International, Inc. | 96,812 | 8,857,330 | ||||||
Procter & Gamble Co. | 167,326 | 14,068,770 | ||||||
Reynolds American, Inc. | 52,308 | 2,931,340 | ||||||
Sysco Corp. | 32,474 | 1,798,085 | ||||||
Tyson Foods, Inc. Class A | 18,544 | 1,143,794 | ||||||
Wal-Mart Stores, Inc. | 95,403 | 6,594,255 | ||||||
Walgreens Boots Alliance, Inc. | 53,905 | 4,461,178 | ||||||
Whole Foods Market, Inc. | 18,979 | 583,794 | ||||||
|
| |||||||
113,586,845 | ||||||||
|
| |||||||
Energy – 7.5% | ||||||||
Anadarko Petroleum Corp. | 34,582 | 2,411,403 | ||||||
Apache Corp. | 24,355 | 1,545,812 | ||||||
Baker Hughes, Inc. | 27,279 | 1,772,317 | ||||||
Cabot Oil & Gas Corp. | 30,378 | 709,630 | ||||||
Chesapeake Energy Corp.(a) | 50,988 | 357,936 | ||||||
Chevron Corp. | 118,112 | 13,901,782 | ||||||
Cimarex Energy Co. | 5,558 | 755,332 | ||||||
Concho Resources, Inc.(a) | 9,100 | 1,206,660 | ||||||
ConocoPhillips | 78,227 | 3,922,302 | ||||||
Devon Energy Corp. | 32,401 | 1,479,754 | ||||||
EOG Resources, Inc. | 36,471 | 3,687,218 | ||||||
EQT Corp. | 10,057 | 657,728 | ||||||
Exxon Mobil Corp. | 259,775 | 23,447,291 | ||||||
FMC Technologies, Inc.(a) | 13,391 | 475,782 | ||||||
Halliburton Co. | 54,467 | 2,946,120 | ||||||
Helmerich & Payne, Inc. | 6,426 | 497,372 | ||||||
Hess Corp. | 17,357 | 1,081,168 | ||||||
Kinder Morgan, Inc. | 121,550 | 2,517,301 | ||||||
Marathon Oil Corp. | 54,788 | 948,380 | ||||||
Marathon Petroleum Corp. | 32,774 | 1,650,171 | ||||||
Murphy Oil Corp. | 9,579 | 298,194 | ||||||
National Oilwell Varco, Inc. | 24,416 | 914,135 | ||||||
Newfield Exploration Co.(a) | 13,115 | 531,158 | ||||||
Noble Energy, Inc. | 26,725 | 1,017,154 | ||||||
Occidental Petroleum Corp. | 48,209 | 3,433,927 | ||||||
ONEOK, Inc. | 12,196 | 700,172 | ||||||
Phillips 66 | 28,173 | 2,434,429 | ||||||
Pioneer Natural Resources Co. | 10,776 | 1,940,434 | ||||||
Range Resources Corp. | 12,459 | 428,091 | ||||||
Schlumberger, Ltd. | 87,550 | 7,349,823 | ||||||
Southwestern Energy Co.(a) | 33,156 | 358,748 | ||||||
Spectra Energy Corp. | 44,557 | 1,830,847 | ||||||
Tesoro Corp. | 7,116 | 622,294 | ||||||
Transocean, Ltd.(a) | 20,510 | 302,317 | ||||||
Valero Energy Corp. | 28,923 | 1,976,019 | ||||||
Williams Cos., Inc. | 42,258 | 1,315,914 | ||||||
|
| |||||||
91,425,115 | ||||||||
|
| |||||||
Financials – 14.6% | ||||||||
Affiliated Managers Group, Inc.(a) | 3,224 | 468,447 | ||||||
Aflac, Inc. | 25,353 | 1,764,569 | ||||||
Allstate Corp. | 23,839 | 1,766,947 | ||||||
American Express Co. | 49,012 | 3,630,809 | ||||||
American International Group, Inc. | 61,701 | 4,029,692 | ||||||
Ameriprise Financial, Inc. | 10,244 | 1,136,469 | ||||||
Aon PLC | 16,865 | 1,880,953 | ||||||
Arthur J Gallagher & Co. | 10,500 | 545,580 | ||||||
Assurant, Inc. | 3,685 | 342,189 | ||||||
Bank of America Corp. | 632,105 | 13,969,520 | ||||||
Bank of New York Mellon Corp. | 67,494 | 3,197,866 | ||||||
BB&T Corp. | 51,631 | 2,427,690 | ||||||
Berkshire Hathaway, Inc. Class B(a) | 118,884 | 19,375,714 | ||||||
BlackRock, Inc. | 7,716 | 2,936,247 | ||||||
Capital One Financial Corp. | 30,495 | 2,660,384 | ||||||
Charles Schwab Corp. | 76,204 | 3,007,772 | ||||||
Chubb, Ltd. | 29,353 | 3,878,118 | ||||||
Cincinnati Financial Corp. | 9,709 | 735,457 | ||||||
Citigroup, Inc. | 178,027 | 10,580,145 | ||||||
Citizens Financial Group, Inc. | 33,000 | 1,175,790 | ||||||
CME Group, Inc. | 21,463 | 2,475,757 | ||||||
Comerica, Inc. | 11,327 | 771,482 | ||||||
Discover Financial Services | 25,428 | 1,833,104 | ||||||
E*TRADE Financial Corp.(a) | 16,542 | 573,180 | ||||||
Fifth Third Bancorp | 47,662 | 1,285,444 | ||||||
Franklin Resources, Inc. | 22,689 | 898,031 | ||||||
Goldman Sachs Group, Inc. | 22,946 | 5,494,420 | ||||||
Hartford Financial Services Group, Inc. | 24,467 | 1,165,853 | ||||||
Huntington Bancshares, Inc. | 70,391 | 930,569 | ||||||
Intercontinental Exchange, Inc. | 37,785 | 2,131,830 | ||||||
Invesco, Ltd. | 26,611 | 807,378 | ||||||
JPMorgan Chase & Co. | 224,043 | 19,332,670 | ||||||
KeyCorp | 69,496 | 1,269,692 | ||||||
Leucadia National Corp. | 19,727 | 458,653 | ||||||
Lincoln National Corp. | 14,182 | 939,841 | ||||||
Loews Corp. | 17,919 | 839,147 | ||||||
M&T Bank Corp. | 9,863 | 1,542,869 | ||||||
Marsh & McLennan Cos., Inc. | 32,819 | 2,218,236 | ||||||
MetLife, Inc. | 69,370 | 3,738,349 | ||||||
Moody’s Corp. | 10,432 | 983,425 | ||||||
Morgan Stanley | 89,175 | 3,767,644 | ||||||
Nasdaq, Inc. | 6,775 | 454,738 | ||||||
Navient Corp. | 19,613 | 322,242 | ||||||
Northern Trust Corp. | 13,396 | 1,192,914 | ||||||
People’s United Financial, Inc. | 18,466 | 357,502 | ||||||
PNC Financial Services Group, Inc. | 31,075 | 3,634,532 | ||||||
Principal Financial Group, Inc. | 17,165 | 993,167 | ||||||
Progressive Corp. | 36,149 | 1,283,289 | ||||||
Prudential Financial, Inc. | 26,402 | 2,747,392 | ||||||
Regions Financial Corp. | 80,846 | 1,160,949 | ||||||
S&P Global, Inc. | 16,768 | 1,803,231 | ||||||
State Street Corp.(b) | 23,278 | 1,809,166 | ||||||
SunTrust Banks, Inc. | 29,736 | 1,631,020 | ||||||
Synchrony Financial | 50,476 | 1,830,764 | ||||||
T Rowe Price Group, Inc. | 15,355 | 1,155,617 | ||||||
Torchmark Corp. | 6,612 | 487,701 |
See accompanying notes to financial statements.
19
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Financials – (continued) | ||||||||
Travelers Cos., Inc. | 17,306 | $ | 2,118,600 | |||||
Unum Group | 14,105 | 619,633 | ||||||
US Bancorp | 101,422 | 5,210,048 | ||||||
Wells Fargo & Co. | 282,803 | 15,585,273 | ||||||
Willis Towers Watson PLC | 8,276 | 1,011,989 | ||||||
XL Group, Ltd. | 16,848 | 627,756 | ||||||
Zions Bancorp | 12,095 | 520,569 | ||||||
|
| |||||||
179,526,024 | ||||||||
|
| |||||||
Health Care – 13.4% | ||||||||
Abbott Laboratories | 92,747 | 3,562,412 | ||||||
AbbVie, Inc. | 102,543 | 6,421,243 | ||||||
Aetna, Inc. | 22,244 | 2,758,478 | ||||||
Agilent Technologies, Inc. | 20,393 | 929,105 | ||||||
Alexion Pharmaceuticals, Inc.(a) | 14,273 | 1,746,301 | ||||||
Allergan PLC(a) | 23,306 | 4,894,493 | ||||||
AmerisourceBergen Corp. | 10,834 | 847,110 | ||||||
Amgen, Inc. | 46,354 | 6,777,418 | ||||||
Anthem, Inc. | 16,719 | 2,403,691 | ||||||
Baxter International, Inc. | 31,179 | 1,382,477 | ||||||
Becton Dickinson and Co. | 13,536 | 2,240,885 | ||||||
Biogen, Inc.(a) | 13,784 | 3,908,867 | ||||||
Boston Scientific Corp.(a) | 86,357 | 1,867,902 | ||||||
Bristol-Myers Squibb Co. | 105,304 | 6,153,966 | ||||||
C.R. Bard, Inc. | 4,535 | 1,018,833 | ||||||
Cardinal Health, Inc. | 20,333 | 1,463,366 | ||||||
Celgene Corp.(a) | 48,871 | 5,656,818 | ||||||
Centene Corp.(a) | 11,200 | 632,912 | ||||||
Cerner Corp.(a) | 18,637 | 882,835 | ||||||
Cigna Corp. | 16,285 | 2,172,256 | ||||||
Cooper Cos., Inc. | 3,000 | 524,790 | ||||||
Danaher Corp. | 38,394 | 2,988,589 | ||||||
DaVita, Inc.(a) | 10,728 | 688,738 | ||||||
DENTSPLY SIRONA, Inc. | 14,634 | 844,821 | ||||||
Edwards Lifesciences Corp.(a) | 13,010 | 1,219,037 | ||||||
Eli Lilly & Co. | 61,218 | 4,502,584 | ||||||
Endo International PLC(a) | 12,100 | 199,287 | ||||||
Envision Healthcare Corp.(a) | 7,374 | 466,700 | ||||||
Express Scripts Holding Co.(a) | 37,867 | 2,604,871 | ||||||
Gilead Sciences, Inc. | 83,052 | 5,947,354 | ||||||
HCA Holdings, Inc.(a) | 18,500 | 1,369,370 | ||||||
Henry Schein, Inc.(a) | 5,300 | 804,063 | ||||||
Hologic, Inc.(a) | 16,900 | 678,028 | ||||||
Humana, Inc. | 9,490 | 1,936,245 | ||||||
Illumina, Inc.(a) | 9,100 | 1,165,164 | ||||||
Intuitive Surgical, Inc.(a) | 2,448 | 1,552,448 | ||||||
Johnson & Johnson | 170,408 | 19,632,706 | ||||||
Laboratory Corp. of America Holdings(a) | 6,575 | 844,098 | ||||||
Mallinckrodt PLC(a) | 6,500 | 323,830 | ||||||
McKesson Corp. | 14,324 | 2,011,806 | ||||||
Medtronic PLC | 86,993 | 6,196,511 | ||||||
Merck & Co., Inc. | 172,172 | 10,135,766 | ||||||
Mettler-Toledo International, Inc.(a) | 1,600 | 669,696 | ||||||
Mylan NV(a) | 29,502 | 1,125,501 | ||||||
Patterson Cos., Inc. | 4,935 | 202,483 | ||||||
PerkinElmer, Inc. | 6,486 | 338,245 | ||||||
Perrigo Co. PLC | 9,286 | 772,874 | ||||||
Pfizer, Inc. | 379,333 | 12,320,736 | ||||||
Quest Diagnostics, Inc. | 8,842 | 812,580 | ||||||
Regeneron Pharmaceuticals, Inc.(a) | 4,842 | 1,777,450 | ||||||
St. Jude Medical, Inc. | 17,573 | 1,409,179 | ||||||
Stryker Corp. | 19,694 | 2,359,538 | ||||||
Thermo Fisher Scientific, Inc. | 24,912 | 3,515,083 | ||||||
UnitedHealth Group, Inc. | 59,374 | 9,502,215 | ||||||
Universal Health Services, Inc. Class B | 5,800 | 617,004 | ||||||
Varian Medical Systems, Inc.(a) | 5,629 | 505,372 | ||||||
Vertex Pharmaceuticals, Inc.(a) | 15,252 | 1,123,615 | ||||||
Waters Corp.(a) | 5,050 | 678,669 | ||||||
Zimmer Biomet Holdings, Inc. | 12,325 | 1,271,940 | ||||||
Zoetis, Inc. | 31,520 | 1,687,265 | ||||||
|
| |||||||
165,047,619 | ||||||||
|
| |||||||
Industrials – 10.1% | ||||||||
3M Co. | 38,029 | 6,790,839 | ||||||
Acuity Brands, Inc. | 3,000 | 692,580 | ||||||
Alaska Air Group, Inc. | 8,100 | 718,713 | ||||||
Allegion PLC | 5,696 | 364,544 | ||||||
American Airlines Group, Inc. | 33,800 | 1,578,122 | ||||||
AMETEK, Inc. | 13,399 | 651,191 | ||||||
Arconic, Inc. | 25,986 | 481,780 | ||||||
Boeing Co. | 35,664 | 5,552,172 | ||||||
C.H. Robinson Worldwide, Inc. | 9,379 | 687,106 | ||||||
Caterpillar, Inc. | 36,924 | 3,424,332 | ||||||
Cintas Corp. | 5,166 | 596,983 | ||||||
CSX Corp. | 60,455 | 2,172,148 | ||||||
Cummins, Inc. | 9,814 | 1,341,279 | ||||||
Deere & Co. | 18,383 | 1,894,184 | ||||||
Delta Air Lines, Inc. | 45,034 | 2,215,222 | ||||||
Dover Corp. | 10,050 | 753,047 | ||||||
Dun & Bradstreet Corp. | 2,155 | 261,445 | ||||||
Eaton Corp. PLC | 27,525 | 1,846,652 | ||||||
Emerson Electric Co. | 40,779 | 2,273,429 | ||||||
Equifax, Inc. | 7,688 | 908,952 | ||||||
Expeditors International of Washington, Inc. | 10,776 | 570,697 | ||||||
Fastenal Co. | 16,858 | 791,989 | ||||||
FedEx Corp. | 15,450 | 2,876,790 | ||||||
Flowserve Corp. | 7,745 | 372,147 | ||||||
Fluor Corp. | 8,204 | 430,874 | ||||||
Fortive Corp. | 18,597 | 997,357 | ||||||
Fortune Brands Home & Security, Inc. | 9,100 | 486,486 | ||||||
General Dynamics Corp. | 18,172 | 3,137,578 | ||||||
General Electric Co. | 553,788 | 17,499,701 | ||||||
Honeywell International, Inc. | 47,978 | 5,558,251 | ||||||
Illinois Tool Works, Inc. | 20,200 | 2,473,692 | ||||||
Ingersoll-Rand PLC | 15,984 | 1,199,439 | ||||||
Jacobs Engineering Group, Inc.(a) | 7,243 | 412,851 | ||||||
JB Hunt Transport Services, Inc. | 5,300 | 514,471 | ||||||
Johnson Controls International PLC | 59,808 | 2,463,492 | ||||||
Kansas City Southern | 7,096 | 602,096 | ||||||
L3 Technologies, Inc. | 4,838 | 735,908 | ||||||
Lockheed Martin Corp. | 15,971 | 3,991,792 | ||||||
Masco Corp. | 21,584 | 682,486 | ||||||
Nielsen Holdings PLC | 21,625 | 907,169 | ||||||
Norfolk Southern Corp. | 17,987 | 1,943,855 | ||||||
Northrop Grumman Corp. | 11,325 | 2,633,969 |
See accompanying notes to financial statements.
20
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Industrials – (continued) | ||||||||
PACCAR, Inc. | 21,739 | $ | 1,389,122 | |||||
Parker-Hannifin Corp. | 8,389 | 1,174,460 | ||||||
Pentair PLC | 10,704 | 600,173 | ||||||
Pitney Bowes, Inc. | 11,206 | 170,219 | ||||||
Quanta Services, Inc.(a) | 8,907 | 310,409 | ||||||
Raytheon Co. | 18,646 | 2,647,732 | ||||||
Republic Services, Inc. Class A | 14,089 | 803,777 | ||||||
Robert Half International, Inc. | 7,766 | 378,825 | ||||||
Rockwell Automation, Inc. | 8,126 | 1,092,134 | ||||||
Rockwell Collins, Inc. | 8,431 | 782,060 | ||||||
Roper Technologies, Inc. | 6,265 | 1,146,996 | ||||||
Ryder System, Inc. | 3,166 | 235,677 | ||||||
Snap-on, Inc. | 3,840 | 657,677 | ||||||
Southwest Airlines Co. | 39,459 | 1,966,637 | ||||||
Stanley Black & Decker, Inc. | 9,357 | 1,073,154 | ||||||
Stericycle, Inc.(a) | 4,996 | 384,892 | ||||||
Textron, Inc. | 17,433 | 846,546 | ||||||
TransDigm Group, Inc. | 3,300 | 821,568 | ||||||
Union Pacific Corp. | 51,198 | 5,308,209 | ||||||
United Continental Holdings, Inc.(a) | 18,900 | 1,377,432 | ||||||
United Parcel Service, Inc. Class B | 43,591 | 4,997,272 | ||||||
United Rentals, Inc.(a) | 5,200 | 549,016 | ||||||
United Technologies Corp. | 47,551 | 5,212,541 | ||||||
Verisk Analytics, Inc. Class A(a) | 10,100 | 819,817 | ||||||
W.W. Grainger, Inc. | 3,657 | 849,338 | ||||||
Waste Management, Inc. | 25,235 | 1,789,414 | ||||||
Xylem, Inc. | 11,758 | 582,256 | ||||||
|
| |||||||
124,455,163 | ||||||||
|
| |||||||
Information Technology – 20.5% |
| |||||||
Accenture PLC Class A | 39,218 | 4,593,604 | ||||||
Activision Blizzard, Inc. | 43,300 | 1,563,563 | ||||||
Adobe Systems, Inc.(a) | 31,444 | 3,237,160 | ||||||
Akamai Technologies, Inc.(a) | 11,290 | 752,817 | ||||||
Alliance Data Systems Corp. | 3,396 | 775,986 | ||||||
Alphabet, Inc. Class A(a) | 18,567 | 14,713,419 | ||||||
Alphabet, Inc. Class C(a) | 18,687 | 14,423,000 | ||||||
Amphenol Corp. Class A | 19,020 | 1,278,144 | ||||||
Analog Devices, Inc. | 19,051 | 1,383,484 | ||||||
Apple, Inc. | 334,424 | 38,732,988 | ||||||
Applied Materials, Inc. | 69,054 | 2,228,373 | ||||||
Autodesk, Inc.(a) | 11,906 | 881,163 | ||||||
Automatic Data Processing, Inc. | 28,852 | 2,965,409 | ||||||
Broadcom, Ltd. | 24,891 | 4,399,982 | ||||||
CA, Inc. | 20,440 | 649,379 | ||||||
Cisco Systems, Inc. | 313,290 | 9,467,624 | ||||||
Citrix Systems, Inc.(a) | 10,089 | 901,049 | ||||||
Cognizant Technology Solutions Corp. Class A(a) | 38,541 | 2,159,452 | ||||||
Corning, Inc. | 62,026 | 1,505,371 | ||||||
CSRA, Inc. | 8,112 | 258,286 | ||||||
eBay, Inc.(a) | 66,645 | 1,978,690 | ||||||
Electronic Arts, Inc.(a) | 18,579 | 1,463,282 | ||||||
F5 Networks, Inc.(a) | 3,941 | 570,342 | ||||||
Facebook, Inc. Class A(a) | 146,493 | 16,854,020 | ||||||
Fidelity National Information Services, Inc. | 20,891 | 1,580,195 | ||||||
First Solar, Inc.(a) | 4,521 | 145,079 | ||||||
Fiserv, Inc.(a) | 13,662 | 1,451,997 | ||||||
FLIR Systems, Inc. | 8,161 | 295,347 | ||||||
Global Payments, Inc. | 9,676 | 671,611 | ||||||
Harris Corp. | 7,202 | 737,989 | ||||||
Hewlett Packard Enterprise Co. | 105,253 | 2,435,554 | ||||||
HP, Inc. | 111,353 | 1,652,478 | ||||||
Intel Corp. | 296,036 | 10,737,226 | ||||||
International Business Machines Corp. | 53,995 | 8,962,630 | ||||||
Intuit, Inc. | 15,537 | 1,780,696 | ||||||
Juniper Networks, Inc. | 24,949 | 705,059 | ||||||
KLA-Tencor Corp. | 10,132 | 797,186 | ||||||
Lam Research Corp. | 9,977 | 1,054,868 | ||||||
Linear Technology Corp. | 14,942 | 931,634 | ||||||
MasterCard, Inc. Class A | 60,351 | 6,231,241 | ||||||
Microchip Technology, Inc. | 13,383 | 858,519 | ||||||
Micron Technology, Inc.(a) | 64,234 | 1,408,009 | ||||||
Microsoft Corp. | 487,458 | 30,290,640 | ||||||
Motorola Solutions, Inc. | 9,772 | 810,001 | ||||||
NetApp, Inc. | 17,114 | 603,611 | ||||||
NVIDIA Corp. | 33,844 | 3,612,509 | ||||||
Oracle Corp. | 189,335 | 7,279,931 | ||||||
Paychex, Inc. | 19,807 | 1,205,850 | ||||||
PayPal Holdings, Inc.(a) | 70,945 | 2,800,199 | ||||||
Qorvo, Inc.(a) | 7,600 | 400,748 | ||||||
QUALCOMM, Inc. | 92,726 | 6,045,735 | ||||||
Red Hat, Inc.(a) | 11,670 | 813,399 | ||||||
salesforce.com, Inc.(a) | 40,695 | 2,785,980 | ||||||
Seagate Technology PLC | 16,924 | 645,989 | ||||||
Skyworks Solutions, Inc. | 12,200 | 910,852 | ||||||
Symantec Corp. | 38,060 | 909,253 | ||||||
TE Connectivity, Ltd. | 22,051 | 1,527,693 | ||||||
Teradata Corp.(a) | 7,707 | 209,399 | ||||||
Texas Instruments, Inc. | 63,293 | 4,618,490 | ||||||
Total System Services, Inc. | 9,976 | 489,123 | ||||||
VeriSign, Inc.(a) | 5,701 | 433,675 | ||||||
Visa, Inc. Class A | 116,560 | 9,094,011 | ||||||
Western Digital Corp. | 17,553 | 1,192,726 | ||||||
Western Union Co. | 29,145 | 633,029 | ||||||
Xerox Corp. | 56,409 | 492,451 | ||||||
Xilinx, Inc. | 16,360 | 987,653 | ||||||
Yahoo!, Inc.(a) | 55,482 | 2,145,489 | ||||||
|
| |||||||
251,112,341 | ||||||||
|
| |||||||
Materials – 2.8% | ||||||||
Air Products & Chemicals, Inc. | 13,802 | 1,985,004 | ||||||
Albemarle Corp. | 6,700 | 576,736 | ||||||
Alcoa Corp. | 1 | 28 | ||||||
Avery Dennison Corp. | 5,270 | 370,059 | ||||||
Ball Corp. | 10,866 | 815,711 | ||||||
CF Industries Holdings, Inc. | 13,820 | 435,054 | ||||||
Dow Chemical Co. | 71,138 | 4,070,516 | ||||||
E.I. du Pont de Nemours & Co. | 55,218 | 4,053,001 | ||||||
Eastman Chemical Co. | 9,636 | 724,723 | ||||||
Ecolab, Inc. | 16,701 | 1,957,691 | ||||||
FMC Corp. | 7,878 | 445,580 | ||||||
Freeport-McMoRan, Inc.(a) | 78,740 | 1,038,581 | ||||||
International Flavors & Fragrances, Inc. | 4,751 | 559,810 | ||||||
International Paper Co. | 25,403 | 1,347,883 |
See accompanying notes to financial statements.
21
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Materials – (continued) | ||||||||
LyondellBasell Industries NV Class A | 20,348 | $ | 1,745,451 | |||||
Martin Marietta Materials, Inc. | 3,945 | 873,936 | ||||||
Monsanto Co. | 27,661 | 2,910,214 | ||||||
Mosaic Co. | 20,084 | 589,064 | ||||||
Newmont Mining Corp. | 32,633 | 1,111,806 | ||||||
Nucor Corp. | 19,748 | 1,175,401 | ||||||
PPG Industries, Inc. | 17,054 | 1,616,037 | ||||||
Praxair, Inc. | 18,111 | 2,122,428 | ||||||
Sealed Air Corp. | 11,723 | 531,521 | ||||||
Sherwin-Williams Co. | 5,109 | 1,372,993 | ||||||
Vulcan Materials Co. | 8,271 | 1,035,116 | ||||||
WestRock Co. | 16,236 | 824,302 | ||||||
|
| |||||||
34,288,646 | ||||||||
|
| |||||||
Real Estate – 2.8% | ||||||||
American Tower Corp. REIT | 26,918 | 2,844,694 | ||||||
Apartment Investment & Management Co. Class A REIT | 9,287 | 422,094 | ||||||
AvalonBay Communities, Inc. | 8,469 | 1,500,283 | ||||||
Boston Properties, Inc. REIT | 9,446 | 1,188,118 | ||||||
CBRE Group, Inc. Class A(a) | 19,567 | 616,165 | ||||||
Crown Castle International Corp. REIT | 21,958 | 1,905,296 | ||||||
Digital Realty Trust, Inc. REIT | 9,400 | 923,644 | ||||||
Equinix, Inc. REIT | 4,543 | 1,623,714 | ||||||
Equity Residential REIT | 22,519 | 1,449,323 | ||||||
Essex Property Trust, Inc. REIT | 4,045 | 940,463 | ||||||
Extra Space Storage, Inc. REIT | 8,300 | 641,092 | ||||||
Federal Realty Investment Trust REIT | 4,700 | 667,917 | ||||||
General Growth Properties, Inc. REIT | 36,158 | 903,227 | ||||||
HCP, Inc. REIT | 28,923 | 859,592 | ||||||
Host Hotels & Resorts, Inc. REIT | 43,562 | 820,708 | ||||||
Iron Mountain, Inc. REIT | 16,081 | 522,311 | ||||||
Kimco Realty Corp. REIT | 28,753 | 723,425 | ||||||
Macerich Co. REIT | 7,455 | 528,112 | ||||||
Mid-America Apartment Communities, Inc. REIT | 7,100 | 695,232 | ||||||
Prologis, Inc. REIT | 33,552 | 1,771,210 | ||||||
Public Storage REIT | 9,435 | 2,108,722 | ||||||
Realty Income Corp. REIT | 16,000 | 919,680 | ||||||
Simon Property Group, Inc. REIT | 19,880 | 3,532,080 | ||||||
SL Green Realty Corp. REIT | 6,300 | 677,565 | ||||||
UDR, Inc. REIT | 15,800 | 576,384 | ||||||
Ventas, Inc. REIT | 22,397 | 1,400,260 | ||||||
Vornado Realty Trust REIT | 10,968 | 1,144,730 | ||||||
Welltower, Inc. REIT | 22,819 | 1,527,276 | ||||||
Weyerhaeuser Co. REIT | 48,087 | 1,446,938 | ||||||
|
| |||||||
34,880,255 | ||||||||
|
| |||||||
Telecommunication Services – 2.6% |
| |||||||
AT&T, Inc. | 386,187 | 16,424,533 | ||||||
CenturyLink, Inc. | 33,992 | 808,330 | ||||||
Frontier Communications Corp. | 69,506 | 234,930 | ||||||
Level 3 Communications, Inc.(a) | 18,700 | 1,053,932 | ||||||
Verizon Communications, Inc. | 254,915 | 13,607,363 | ||||||
|
| |||||||
32,129,088 | ||||||||
|
| |||||||
Utilities – 3.1% | ||||||||
AES Corp. | 39,036 | 453,598 | ||||||
Alliant Energy Corp. | 13,500 | 511,515 | ||||||
Ameren Corp. | 15,704 | 823,832 | ||||||
American Electric Power Co., Inc. | 31,209 | 1,964,919 | ||||||
American Water Works Co., Inc. | 11,100 | 803,196 | ||||||
CenterPoint Energy, Inc. | 28,176 | 694,257 | ||||||
CMS Energy Corp. | 18,055 | 751,449 | ||||||
Consolidated Edison, Inc. | 18,752 | 1,381,647 | ||||||
Dominion Resources, Inc. | 39,594 | 3,032,504 | ||||||
DTE Energy Co. | 11,145 | 1,097,894 | ||||||
Duke Energy Corp. | 43,492 | 3,375,849 | ||||||
Edison International | 20,114 | 1,448,007 | ||||||
Entergy Corp. | 11,098 | 815,370 | ||||||
Eversource Energy | 19,717 | 1,088,970 | ||||||
Exelon Corp. | 58,584 | 2,079,146 | ||||||
FirstEnergy Corp. | 27,393 | 848,361 | ||||||
NextEra Energy, Inc. | 29,464 | 3,519,769 | ||||||
NiSource, Inc. | 19,004 | 420,749 | ||||||
NRG Energy, Inc. | 18,702 | 229,287 | ||||||
PG&E Corp. | 31,614 | 1,921,183 | ||||||
Pinnacle West Capital Corp. | 6,604 | 515,310 | ||||||
PPL Corp. | 43,519 | 1,481,822 | ||||||
Public Service Enterprise Group, Inc. | 31,288 | 1,372,917 | ||||||
SCANA Corp. | 9,399 | 688,759 | ||||||
Sempra Energy | 15,862 | 1,596,352 | ||||||
Southern Co. | 61,859 | 3,042,844 | ||||||
WEC Energy Group, Inc. | 19,582 | 1,148,484 | ||||||
Xcel Energy, Inc. | 31,351 | 1,275,986 | ||||||
|
| |||||||
38,383,976 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,210,300,890 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 2.5% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(c)(d) | 30,381,182 | 30,381,182 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.1% |
| 1,240,682,072 | ||||||
Liabilities in Excess of |
| (13,237,797 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 1,227,444,275 | |||||
|
|
(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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2016. |
REIT | Real Estate Investment Trust |
See accompanying notes to financial statements.
22
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Schedule of Investments — (continued)
December 31, 2016
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Consumer Discretionary | $ | 145,465,818 | $ | – | $ | – | $ | 145,465,818 | ||||||||
Consumer Staples | 113,586,845 | – | – | 113,586,845 | ||||||||||||
Energy | 91,425,115 | – | – | 91,425,115 | ||||||||||||
Financials | 179,526,024 | – | – | 179,526,024 | ||||||||||||
Health Care | 165,047,619 | – | – | 165,047,619 | ||||||||||||
Industrials | 124,455,163 | – | – | 124,455,163 | ||||||||||||
Information Technology | 251,112,341 | – | – | 251,112,341 | ||||||||||||
Materials | 34,288,646 | – | – | 34,288,646 | ||||||||||||
Real Estate | 34,880,255 | – | – | 34,880,255 | ||||||||||||
Telecommunication Services | 32,129,088 | – | – | 32,129,088 | ||||||||||||
Utilities | 38,383,976 | – | – | 38,383,976 | ||||||||||||
Short-Term Investment | 30,381,182 | – | – | 30,381,182 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,240,682,072 | $ | – | $ | – | $ | 1,240,682,072 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts(a) | $ | (289,021 | ) | $ | – | $ | – | $ | (289,021 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments and Other Financial Instruments | $ | 1,240,393,051 | $ | – | $ | – | $ | 1,240,393,051 | ||||||||
|
|
|
|
|
|
|
|
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). Only unsettled receivable/payable for variation margin is reported on the Statement of Assets and Liabilities. |
At December 31, 2016, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Depreciation | ||||||||||||
E-Mini S&P 500 Index (long) | 03/17/2017 | 297 | $ | 33,207,570 | $ | (289,021 | ) |
During the period ended December 31, 2016, average notional value related to futures contracts was $19,917,140 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 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Corp. | 12,078 | $ | 801,496 | 13,100 | 1,900 | 23,278 | $ | 1,809,166 | $ | 26,888 | $ | 231 | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 8,664,695 | 8,664,695 | 691,481,684 | 669,765,197 | 30,381,182 | 30,381,182 | 56,873 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 9,466,191 | $ | 32,190,348 | $ | 83,761 | $ | 231 | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
23
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Statement of Assets and Liabilities
December 31, 2016
Assets | ||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 1,208,491,724 | ||
Investments in affiliated issuers, at value (Note 2) | 32,190,348 | |||
|
| |||
Total Investments | 1,240,682,072 | |||
Cash at broker | 1,410,750 | |||
Receivable for fund shares sold | 3,454,493 | |||
Dividends receivable – unaffiliated issuers (Note 2) | 1,540,305 | |||
Dividends receivable – affiliated issuers (Note 2) | 17,298 | |||
Receivable from Adviser (Note 4) | 41,737 | |||
Prepaid expenses and other assets | 2,192 | |||
|
| |||
Total assets | 1,247,148,847 | |||
|
| |||
Liabilities | ||||
Payable to broker – variation margin on open futures contracts | 132,165 | |||
Payable for fund shares repurchased | 19,483,577 | |||
Custodian fees payable (Note 4) | 7,793 | |||
Registration and filing fees payable | 9,646 | |||
Professional fees payable | 54,338 | |||
Printing and postage fees payable | 8,315 | |||
Accrued expenses and other liabilities | 8,738 | |||
|
| |||
Total liabilities | 19,704,572 | |||
|
| |||
Net Assets | $ | 1,227,444,275 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 934,277,627 | ||
Accumulated net realized gain (loss) on investments and futures contracts | 182,920 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 293,272,749 | |||
Futures contracts | (289,021 | ) | ||
|
| |||
Net Assets | $ | 1,227,444,275 | ||
|
| |||
Net Asset Value Per Share | ||||
Net asset value per share | $ | 11.31 | ||
|
| |||
Shares of beneficial interest (unlimited amount authorized, no par value) | 108,479,947 | |||
|
| |||
Cost of Investments: | ||||
Investments in unaffiliated issuers | $ | 915,887,118 | ||
Investments in affiliated issuers | 31,522,205 | |||
|
| |||
Total cost of investments | $ | 947,409,323 | ||
|
|
See accompanying notes to financial statements.
24
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
For the Year Ended December 31, 2016
Investment Income | ||||
Dividend income – unaffiliated issuers (Note 2) | $ | 19,254,069 | ||
Dividend income – affiliated issuers (Note 2) | 83,761 | |||
|
| |||
Total Investment Income (Loss) | 19,337,830 | |||
|
| |||
Expenses | ||||
Administration and custody fees (Note 4) | 106,730 | |||
Trustees’ fees and expenses (Note 5) | 25,531 | |||
Registration and filing fees | 51,136 | |||
Professional fees | 147,131 | |||
Printing and postage fees | 18,260 | |||
Insurance expense | 6,313 | |||
Miscellaneous expenses | 21,750 | |||
|
| |||
Total expenses | 376,851 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 4) | (136,098 | ) | ||
|
| |||
Net expenses | 240,753 | |||
|
| |||
Net Investment Income (Loss) | 19,097,077 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment – unaffiliated issuers | 5,716,430 | |||
Investment – affiliated issuers | 231 | |||
Futures contracts | 2,978,045 | |||
|
| |||
Net realized gain (loss) | 8,694,706 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment – unaffiliated issuers | 77,915,895 | |||
Investment – affiliated issuers | 363,527 | |||
Futures contracts | (433,341 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation | 77,846,081 | |||
|
| |||
Net realized and unrealized gain (loss) | 86,540,787 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 105,637,864 | ||
|
|
See accompanying notes to financial statements.
25
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Statements of Changes in Net Assets
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 19,097,077 | $ | 10,018,097 | ||||
Net realized gain (loss) | 8,694,706 | 7,475,080 | ||||||
Net change in unrealized appreciation/depreciation | 77,846,081 | (13,050,046 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 105,637,864 | 4,443,131 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | (19,477,482 | ) | (10,151,317 | ) | ||||
Net realized gains | (8,517,345 | ) | (8,178,301 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (27,994,827 | ) | (18,329,618 | ) | ||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Proceeds from sale of shares sold | 690,372,400 | 169,454,825 | ||||||
Reinvestment of distributions | 27,994,827 | 18,329,618 | ||||||
Cost of shares redeemed | (109,900,950 | ) | (59,273,359 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 608,466,277 | 128,511,084 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 686,109,314 | 114,624,597 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 541,334,961 | 426,710,364 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 1,227,444,275 | $ | 541,334,961 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | – | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Shares sold | 63,557,261 | 15,808,989 | ||||||
Reinvestment of distributions | 2,455,687 | 1,811,227 | ||||||
Shares redeemed | (9,970,413 | ) | (5,623,888 | ) | ||||
|
|
|
| |||||
Net increase (decrease) | 56,042,535 | 11,996,328 | ||||||
|
|
|
|
See accompanying notes to financial statements.
26
Table of Contents
State Street Institutional Investment Trust
State Street Equity 500 Index II Portfolio
Selected data for a share outstanding throughout each period
Year Ended 12/31/16 | 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) | 0.23 | 0.22 | 0.08 | |||||||||
Net realized and unrealized gain (loss) | 1.02 | (0.09 | ) | 0.63 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 1.25 | 0.13 | 0.71 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.18 | ) | (0.20 | ) | (0.08 | ) | ||||||
Net realized gains | (0.08 | ) | (0.16 | ) | (0.08 | ) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.26 | ) | (0.36 | ) | (0.16 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 11.31 | $ | 10.32 | $ | 10.55 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 12.18 | % | 1.29 | % | 7.12 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 1,227,444 | $ | 541,335 | $ | 426,710 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.04 | % | 0.04 | % | 0.04 | %(c) | ||||||
Net expenses | 0.03 | % | 0.03 | % | 0.03 | %(c) | ||||||
Net investment income (loss) | 2.15 | % | 2.05 | % | 2.06 | %(c) | ||||||
Portfolio turnover rate | 5 | % | 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. |
See accompanying notes to financial statements.
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State Street Institutional Investment Trust
December 31, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company that was organized on February 16, 2000.
As of December 31, 2016, the Trust consists of thirty-three (33) 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 | |||
State Street Equity 500 Index Fund (the “Fund”) | Administrative Shares Service Shares Class A Shares Class I Shares Class K Shares Class R Shares | April 11, 2001 March 10, 2003 September 17, 2014 September 17, 2014 September 17, 2014 June 7, 2005 | Diversified | |||
State Street Equity 500 Index II Portfolio (the “Portfolio”) | N/A | August 11, 2014 | Diversified |
The Fund is part of a “master-feeder” structure, and invests substantially all of its assets in the master portfolio as shown below. The Portfolio is a separate series of the Trust. 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.
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at December 31, 2016 | ||
State Street Equity 500 Index Fund | State Street Equity 500 Index II Portfolio | 67.01% |
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 and K shares are sold 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 would involve future claims that may be made against the Trust that have not yet occurred.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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 and the Portfolio are investment companies under U.S. GAAP and follow 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 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 . 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 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. |
• | 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.
Various inputs are used in determining the value of the Portfolio’s investments.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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 asset or liability; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other 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 December 31, 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 transfers between levels for the period ended December 31, 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.
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 the prior calendar year’s to 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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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
Expenses
Certain expenses, which are directly identifiable to a specific Fund or Portfolio, are applied to that Fund or 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.
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 December 31, 2016, the Portfolio entered into futures contracts for cash equitization, return enhancement and facilitate daily liquidity.
The following tables summarize the value of the Portfolio’s derivative instruments as of December 31, 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 | |||||||||||||||||||
State Street Equity 500 Index II Portfolio | ||||||||||||||||||||||||
Futures Contracts(a) | $– | $ | – | $ | – | $ | (289,021 | ) | $ | – | $ | (289,021 | ) |
(a) | Unrealized depreciation on open futures contracts. The Statement of Assets and Liabilities only reflects the current day’s net variation margin. |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
Net Realized Gain (Loss)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Equity 500 Index II Portfolio | ||||||||||||||||||||||||
Futures Contracts | $– | $ | – | $ | – | $ | 2,978,045 | $ | – | $ | 2,978,045 |
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
State Street Equity 500 Index II Portfolio | ||||||||||||||||||||||||
Futures Contracts | $– | $ | – | $ | – | $ | (433,341 | ) | $ | – | $ | (433,341 | ) |
4. | Fees and Transactions with Affiliates |
Advisory Fee
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 year ended December 31, 2016, SSGA FM reimbursed or waived the fees under these agreements as shown on the respective Statement of Operations.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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 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.
SSGA FM serves as administrator and State Street serves as the custodian, sub-administrator and transfer agent to the Portfolio. For its administration services, the 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 Portfolio.
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 (the “Distributor” or “SSGM”), an affiliate of the Adviser, 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. 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, including securities issued by State Street Corporation, 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 December 31, 2016 are disclosed in the Schedule of Investments.
In December 2015, State Street, the Fund’s custodian, announced a review of the manner in which it invoiced certain expenses to certain of its Investment Servicing clients, primarily in the United States, during an 18-year period going back to 1998 and its determination that it had incorrectly invoiced clients
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
for certain expenses. State Street informed its clients that it will pay to them the expenses it concluded were incorrectly invoiced to them, plus interest.
The Fund was impacted by this matter. During all or part of the 18-year review period, the Fund had expense limitation agreements in place whereby the Adviser waived its fee and/or reimbursed operating expenses in order to maintain a stated total expense ratio. The net asset value (NAV) of the Fund with such expense limitation agreements would not have been impacted by the overcharging since the Adviser would have waived its fee or reimbursed the Fund for any additional operating expense above the limitation. Management analyzed the revised invoicing information, by year, to determine which amounts, including interest, should be retained by the Fund and which amounts represented additional expenses for which the Adviser waived its fee or reimbursed the Fund. The amounts in the table below represent the refunded expenses and interest retained by the Fund for the periods in question.
Refunded Custody Expense* | Interest* | Total | % of Net Assets at December 31, 2016 | |||||||||
$1,237 | $ | 7 | $ | 1,244 | 0.0 | %** |
* | Refunded Custody and Interest appear on the Statements of Operations in Administration and Custody fees – Net and Interest income, respectively. |
** | Amount is less than 0.05%. |
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 and the Portfolio. 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) for the period ended December 31, 2016 were as follows:
Name of Fund | Purchases | Sales | ||||||
State Street Equity 500 Index II Portfolio | $ | 73,809,246 | $ | 278,153,542 |
7. Income Tax Information
The Fund and the 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 the Portfolio 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 Fund and Portfolio file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Fund and
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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.
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, distribution re-designations nontaxable dividend adjustments to income and wash sale loss deferrals.
The tax character of distributions paid during the period ended December 31, 2016, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Equity 500 Index Fund | $ | 12,398,637 | $ | 3,257,688 | $ | – | $ | 15,656,325 | ||||||||
State Street Equity 500 Index II Portfolio | 20,234,099 | 7,760,728 | – | 27,994,827 |
The tax character of distributions paid during the period ended December 31, 2015, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Equity 500 Index Fund | $ | 7,503,399 | $ | 68,346 | $ | – | $ | 7,517,745 | ||||||||
State Street Equity 500 Index II Portfolio | 10,029,469 | 8,300,149 | – | 18,329,618 |
At December 31, 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 Equity 500 Index Fund | $358,069 | $ | – | $ | 4,974,892 | $ | 70,690,058 | $ | – | $ | 76,023,019 | |||||||||||
State Street Equity 500 Index II Portfolio | 519,841 | – | 2,241,743 | 290,405,065 | – | 293,166,649 |
As of December 31, 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 Equity 500 Index Fund | $ | 752,228,940 | $ | 70,690,058 | $ | – | $ | 70,690,058 | ||||||||
State Street Equity 500 Index II Portfolio | 950,276,879 | 298,585,387 | (8,180,194 | ) | 290,405,193 |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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. This agreement expires in October 2017 unless extended or renewed. Prior to October 13, 2016, the Participants could borrow up to $360 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR Rate. Prior to October 13, 2016, interest was 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 December 31, 2016.
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 and the Fund trade 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 and 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 Portfolio has unsettled or open transactions defaults.
10. Subsequent Events
Management has evaluated the impact of all subsequent events on the Portfolio and 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
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of State Street Institutional Investment Trust:
We have audited the accompanying statements of assets and liabilities of State Street Equity 500 Index Fund (the “Fund”) and State Street Equity 500 Index II Portfolio (the “Portfolio”) (two of the series constituting the State Street Institutional Investment Trust), including the schedule of investments of the Portfolio, as of December 31, 2016, and the related statements of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s and Portfolio’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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 Fund’s and 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 Fund’s and 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 December 31, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers 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 Equity 500 Index Fund and State Street Equity 500 Index II Portfolio (two of the series constituting State Street Institutional Investment Trust) at December 31, 2016, the results of their operations for the year then ended, the changes in their net assets for each of the two years in the period then ended, and the financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
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State Street Institutional Investment Trust
Other Information
December 31, 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 July 1, 2016 to December 31, 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 U.S. Securities and Exchange Commission (the “SEC”) 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 | % | $ | 1,077.30 | $ | 0.94 | $ | 1,024.20 | $ | 0.92 | ||||||||||
Service Shares | 0.27 | % | $ | 1,076.40 | $ | 1.41 | $ | 1,023.80 | $ | 1.37 | ||||||||||
R Shares | 0.63 | % | $ | 1,074.40 | $ | 3.29 | $ | 1,022.00 | $ | 3.20 | ||||||||||
Class A Shares | 0.48 | % | $ | 1,075.30 | $ | 2.50 | $ | 1,022.70 | $ | 2.44 | ||||||||||
Class I Shares | 0.23 | % | $ | 1,076.80 | $ | 1.20 | $ | 1,024.00 | $ | 1.17 | ||||||||||
Class K Shares | 0.03 | % | $ | 1,077.80 | $ | 0.16 | $ | 1,025.00 | $ | 0.15 | ||||||||||
State Street Equity 500 Index II Portfolio | 0.03 | % | $ | 1,077.90 | $ | 0.16 | $ | 1,025.00 | $ | 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 184, then divided by 366. |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Tax Information
For federal tax income tax purposes, the following information is furnished with respect to the distributions from the Funds for the fiscal year ended December 31, 2016.
Percentage of distributions which qualify for the corporate dividends received deduction:
Percentage | ||||
State Street Equity 500 Index Fund | 87.43 | % | ||
State Street Equity 500 Index II Portfolio | 84.05 | % |
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended December 31, 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 are noted below:
Amount | ||||
State Street Equity 500 Index Fund | $ | 11,811,637 | ||
State Street Equity 500 Index II Portfolio | 18,534,439 |
Long term capital gains dividends were paid from the following Funds during the year ended December 31, 2016:
Amount | ||||
State Street Equity 500 Index Fund | $ | 3,257,688 | ||
State Street Equity 500 Index II Portfolio | 7,760,728 |
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 1-800-997-7327 (toll free) or (ii) on the website of 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 1-800-997-7327 (toll free) and on the Funds’ website at www.ssgafunds.com.
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Table of Contents
State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held By Trustee During Past | |||||||
Independent Trustees | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected:1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 –Present); Board Director and Chairman, SPDR Europe II, PLC (2013 –Present). | |||||||
William L. Boyan(1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. | |||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 | — |
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Table of Contents
State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held By Trustee During Past | |||||||
Independent Trustees (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 | — | |||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 –1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | — |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held By Trustee During Past | |||||||
Independent Trustees (continued) | ||||||||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | — | |||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 | — | |||||||
Interested Trustee(2) | ||||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers (continued) | ||||||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1973 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1976 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013). |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers (continued) | ||||||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1983 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about Funds’ directors and is available, without charge, upon request and by calling 1-800-997-7327.
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Trustees
Michael F. Holland
William L. Marshall
Michael Jessee
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Investment Adviser and Administrator
SSGA Funds Management, Inc.
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Custodian and Sub-Administrator of the Fund and Portfolio, Transfer Agent of the Portfolio
State Street Bank and Trust Company
State Street Financial Center
One Lincoln Street
Boston, MA 02111
Independent Registered Public Accounting Firm
Ernst & Young LLP
200 Clarendon Street
Boston, MA 02116
Legal Counsel
Ropes & Gray LLP
800 Boylston Street
Boston, MA 02199
Transfer Agent
Boston Financial Data Services
2000 Crown Colony Drive
Quincy, MA 02169
Distributor
State Street Global Markets LLC
State Street Financial Center
One Lincoln Street
Boston, MA 02111
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 | SSIITEQ5001AR IBG-22814 |
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
Annual Report
31 December 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 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
Annual Report
December 31, 2016
State Street Aggregate Bond Index Fund | ||||
Management Discussion of Fund Performance (Unaudited) | 1 | |||
Performance Summary (Unaudited) | 2 | |||
State Street Global Equity ex-U.S. Index Fund | ||||
Management Discussion of Fund Performance (Unaudited) | 3 | |||
Performance Summary (Unaudited) | 4 | |||
State Street Small/Mid Cap Equity Index Fund | ||||
Management Discussion of Fund Performance (Unaudited) | 5 | |||
Performance Summary (Unaudited) | 7 | |||
8 | ||||
9 | ||||
10 | ||||
14 | ||||
23 | ||||
24 | ||||
50 | ||||
51 | ||||
72 | ||||
73 | ||||
99 | ||||
100 | ||||
101 | ||||
103 | ||||
106 | ||||
118 | ||||
119 |
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 Aggregate Bond Index Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The State Street Aggregate Bond Index Fund (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the price and yield performance of an index that tracks the U.S. dollar denominated investment grade bond market over the long term. The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in the State Street Aggregate Bond Index Portfolio (the “Portfolio”). As a result, the Fund invests indirectly through the Portfolio. The Fund’s benchmark is the Bloomberg Barclays U.S. Aggregate Index (the “Index”).
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 2.27%, and the Index was 2.65%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. Fees and expenses contributed to the difference between the Fund’s performance and that of the Index.
During the first quarter of 2016, the Fund’s performance was +3.07%. Tightening across the yield curve, the Federal Open Market Committee’s (FOMC) January statement’s dovish tone and volatility in China and oil prices were primary drivers of Fund performance during the quarter. As investors considered China’s markets and oil prices fluctuations, they pushed down yields across the curve. The Fund’s performance during the second quarter of 2016 was +2.10%. The United Kingdom’s Brexit vote and China growth concerns were leading factors affecting the Fund’s performance during the quarter. Following the United Kingdom’s surprise vote in favor of leaving the European Union, investors sought safe haven assets and pushed down yields across the curve by quarter end. During the third quarter of 2016, the Fund’s performance was +0.27%. Overall for the quarter, yields moving up while spreads tightened were primary drivers of Fund performance during the quarter. The Fund’s performance during the fourth quarter of 2016 was -3.08%. The surprise presidential election of Donald Trump, the market’s view on his fiscal proposals and the FOMC’s surprise change in forecast from two to three potential hikes for 2017 were chief factors affecting Fund performance during the quarter. Upon review of Donald Trump’s initiatives, the market began to sell off bonds in favor of equity as his path forward was viewed as having an inflationary momentum.
The Fund used Mortgages To-Be-Announced (“TBAs”) in order to gain exposure to the mortgage-backed securities portion of the Index during the Reporting Period. The Fund’s use of TBAs helped the Fund track the Index.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
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Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Fund
Class K
Performance Summary (Unaudited)
Growth of a $10,000 Investment (a)
Investment Performance (a)
as of December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return Inception to Date* | |||||||
State Street Aggregate Bond Index Fund Class A | 1.91 | % | 1.80 | % | ||||
State Street Aggregate Bond Index Fund Class I | 2.37 | % | 2.10 | % | ||||
State Street Aggregate Bond Index Fund Class K | 2.27 | % | 2.10 | % | ||||
Bloomberg Barclays U.S. Aggregate Bond Index(b) | 2.65 | % | 2.30 | % |
* | Inception date is September 19, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Bloomberg Barclays U.S. Aggregate Bond Index provides a measure of the performance of the U.S. dollar denominated investment grade bond market, which includes investment grade (must be Baa3/BBB- or higher using the middle rating of Moody’s Investor Service, Inc., Standard & Poor’s, and Fitch Inc.) |
Line graph is based on cumulative total return. |
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State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The State Street Global Equity ex-U.S. Index Fund (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of a broad-based index of world (ex-U.S.) equity markets over the long term. The Fund’s benchmark is the MSCI ACWI ex-USA Index (the “Index”). The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in the State Street Global Equity ex-U.S. Index Portfolio.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 5.02%, and the Index was 4.50%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The cumulative effect of security weighting differences contributed to the difference between the Fund’s performance and that of the Index
During the first quarter of 2016, the Fund had a slightly positive performance of 0.24%. Rapid selloff in energy prices, relatively poor performance of energy producers and a surprise move by Bank of Japan to embrace negative interest rates were the primary drivers of Fund performance during the quarter. Conflicting messages from China’s policy makers in both equity and currency markets also seemed to unsettle the markets. During the second quarter of 2016, the Fund again had a marginal positive performance of 0.12%. Britain’s vote in support of exiting from its 43 year membership in the European Union, a subdued outlook for growth and concerns of deflation offset gains that were witnessed by a sharp rebound in commodity prices. During the third quarter of 2016, the Fund saw a positive performance of 6.49%. The anticipated policy easing by major central banks across the globe eased nervous sentiments and was encouraging to the market. In August 2016, Bank of England engaged in some easing measures by reducing short-term interest rates and extending its quantitative easing program. A strong performance in Brazilian equities and a noteworthy appreciation in Brazilian currency also aided the admirable recovery in the emerging markets space. In the last quarter of 2016, the Fund’s performance was -1.73%. Market reaction to the unanticipated victory of Donald Trump over Hillary Clinton, the Fed raising interest rates for the first time since 2015 and the European Central Bank extending its bond buying programs drove Fund performance during the quarter.
The Fund used futures in order to equitize cash and other cash equivalents such as dividend receivables during the Reporting Period. The Fund’s use of futures helped the Fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance were Samsung Electronics Co., Ltd., Taiwan Semiconductor Manufacturing Co., Ltd., and Royal Dutch Shell Plc Class B. The top negative contributors to the Fund’s performance were Roche Holding Ltd Genusssch., Valeant Pharmaceuticals International Inc., and Novo Nordisk A/S Class B.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
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Table of Contents
State Street Institutional Investment Trust
State Street Global Equity ex-U.S. Index Fund
Class K
Performance Summary (Unaudited)
Growth of a $10,000 Investment (a)
Investment Performance (a)
as of December 31, 2016
Total Return One Year Ended December 31, 2016 | Average Annual Total Return | |||||||
State Street Global Equity ex-U.S. Index Fund Class A | 4.75 | % | -4.25 | % | ||||
State Street Global Equity ex-U.S. Index Fund Class I | 5.02 | % | -4.01 | % | ||||
State Street Global Equity ex-U.S. Index Fund Class K | 5.02 | % | -3.98 | % | ||||
MSCI ACWI ex USA Index(b) | 4.50 | % | -3.75 | % |
* | Inception date is September 17, 2014. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The MSCI ACWI ex-USA Index is a float-adjusted market capitalization index that is designed to measure the combined equity market performance of developed and emerging market countries excluding the United States. |
Line graph is based on cumulative total return. |
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State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (UNAUDITED)
The State Street Small/Mid Cap Equity Index Fund (the “Fund”) seeks to provide investment results that, before expenses, correspond generally to the total return of an index that tracks the performance of mid-to small-capitalization exchange traded U.S. equity securities. The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in the State Street Small/Mid Cap Equity Index Portfolio. The Fund’s benchmark is the Russell Small Cap Completeness Index (the “Index”).
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 16.21%, and the Index was 16.59%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns. The expenses of managing the Fund, cash drag and small security misweights contributed to the difference between the Fund’s performance and that of the Index.
The opening month of 2016 was anything but reassuring for global investors as growth assets sold off aggressively the first two weeks of the year on a mosaic of uncertainties persisting from 2015. Among the drivers of this sell off to open the New Year was a series of conflicting messages from China’s policy makers in both equity and currency markets. During the first quarter of 2016, the Fund was down 0.97%.
As the second quarter of 2016 opened, the “reflation trade” that commenced in mid-February and closed out the end of the first quarter of 2016 continued apace in April with growth assets broadly posting positive returns, though with some signs of consolidation towards the end of the month. The second quarter posted a gain for the Fund of 3.58%, marking a return of 2.58% for the first half of the calendar year.
Global markets entered the third quarter riding the tailwind of an aggressive snap back rally following the surprising June 23rd U.K. referendum in favor of leaving the European Union. After world markets declined in the two days following the referendum, they turned around and surpassed the drop through the end of July. The improved tone was enough to propel the Index higher. For the third quarter, the Fund’s performance ended up 7.13%. The Fund was up 9.89% calendar year-to-date through September 30.
As the final quarter of 2016 commenced, October provided investors few places to avoid negative returns as both safe haven investments and riskier growth assets came under pressure during the month. In a year notable for unexpected challenges to the established political order, November 8th, 2016 delivered another entry to that ledger in the largely unanticipated victory of Donald Trump over Hillary Clinton to close out the highly contentious U.S. presidential election campaign. The initial reaction in overnight financial markets as the surprising election results were reported was a sharp risk off trade suggesting considerable concern among unwitting investors. To-wit, from 10:00 p.m. EST when the first hints of the unexpected election outcome began to resonate, to midnight when the election outcome was all but certain, futures on the S&P 500 Index declined nearly 6%, the 10 year U.S. Treasury Yield plunged nearly 20 basis points and the common risk haven gold surged approximately 5%. About the time Donald Trump made what was broadly judged to be a conciliatory acceptance speech, all these markets performed an abrupt about face, sending the S&P 500 Index to a gain of more than 1%, gold prices lower and bond yields higher when all was said and done on November 9th. Far from a one day
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Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE — (UNAUDITED) (continued)
relief rally, the trading days following the election saw a persistent rise in growth assets, a sharp rise in U.S. Treasury yields and a thirteen year high in the broad U.S. dollar index reached in late November – a trend that would continue through the end of the year. This helped move the Fund higher. For the fourth quarter, the Fund ended up 5.75%, which drove the performance higher to 16.21% calendar year-to-date through December 31.
The Fund used futures in order to expose cash and dividends to the market during the Reporting Period. The Fund’s use of futures helped the Fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance were Charter Communications, Inc. Class A, Las Vegas Sands Corp., and Advanced Micro Devices, Inc. The top negative contributors to the Fund’s performance were Alnylam Pharmaceuticals, Inc., Alkermes Plc, and LinkedIn Corporation Class A.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
6
Table of Contents
State Street Institutional Investment Trust
State Street Small/Mid Cap Equity Index Fund
Class K
Performance Summary (Unaudited)
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year December 31, 2016 | Average Annual Total Return Inception to Date* December 31, 2016 | |||||||
State Street Small/Mid Cap Equity Index Fund Class A | 15.67 | % | 5.99 | % | ||||
State Street Small/Mid Cap Equity Index Fund Class I | 15.96 | % | 6.26 | % | ||||
State Street Small/Mid Cap Equity Index Fund Class K | 16.21 | % | 6.25 | % | ||||
Russell Small Cap Completeness Index(b) | 16.59 | % | 6.43 | % |
* | Inception date is August 11, 2015. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Russell Small Cap Completeness Index is a float-adjusted, market capitalization index which measures the performance of the Russell 3000® Index companies excluding S&P 500® constituents. The Index is constructed to provide a comprehensive and unbiased barometer of the extended broad market beyond the S&P 500 exposure. The Index is completely reconstituted annually. |
Line graph is based on cumulative total return.
7
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
December 31, 2016
State Street Aggregate Bond Index Fund | State Street Global Equity ex-U.S. Index Fund | State Street Small/Mid Cap Equity Index Fund | ||||||||||
Assets |
| |||||||||||
Investment in corresponding Portfolio, at value (Note 1)* | $ | 89,042,597 | $ | 224,399,759 | $ | 14,501,781 | ||||||
Receivable for fund shares sold | 477,454 | 13,792,045 | 1,315,365 | |||||||||
Receivable from Advisor (Note 5) | 10,162 | 17,850 | 45,936 | |||||||||
Prepaid expenses and other assets | 199 | 295 | 14 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 89,530,412 | 238,209,949 | 15,863,096 | |||||||||
|
|
|
|
|
| |||||||
Liabilities |
| |||||||||||
Payable for investments purchased | 456,172 | 13,787,116 | 1,310,448 | |||||||||
Payable for fund shares repurchased | 16,366 | 12 | – | |||||||||
Advisory fee payable (Note 5) | 2,109 | 10,047 | 330 | |||||||||
Custodian fees payable (Note 5) | 2,519 | 2,550 | 2,354 | |||||||||
Administration fees payable (Note 5) | 6,020 | 10,874 | 603 | |||||||||
Distribution fees payable (Note 5) | 44 | 328 | 24 | |||||||||
Transfer agent fees payable | 8,072 | 8,160 | 6,497 | |||||||||
Sub-transfer agent fee payable (Note 5) | 906 | – | – | |||||||||
Registration and filing fees payable | 1,178 | 3,258 | 363 | |||||||||
Professional fees payable | 26,474 | 26,472 | 33,060 | |||||||||
Printing and postage fees payable | 228 | 25 | – | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 520,088 | 13,848,842 | 1,353,679 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 89,010,324 | $ | 224,361,107 | $ | 14,509,417 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: |
| |||||||||||
Paid-in Capital | $ | 90,692,652 | $ | 229,000,908 | $ | 13,714,511 | ||||||
Undistributed (distribution in excess of) net investment income (loss) | – | – | 2,247 | |||||||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 131,985 | (2,986,218 | ) | 36,022 | ||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||
Investments | (1,814,313 | ) | (1,653,583 | ) | 756,637 | |||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 89,010,324 | $ | 224,361,107 | $ | 14,509,417 | ||||||
|
|
|
|
|
| |||||||
Class A |
| |||||||||||
Net Assets | $ | 211,486 | $ | 1,563,536 | $ | 113,901 | ||||||
Shares outstanding | 21,687 | 178,853 | 10,675 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 9.75 | $ | 8.74 | $ | 10.67 | ||||||
|
|
|
|
|
| |||||||
Maximum sales charge | 3.75 | % | 4.50 | % | 4.50 | % | ||||||
Maximum offering price per share | $ | 10.13 | $ | 9.15 | $ | 11.17 | ||||||
|
|
|
|
|
| |||||||
Class I |
| |||||||||||
Net Assets | $ | 12,370,182 | $ | 500,842 | $ | 297,352 | ||||||
Shares outstanding | 1,267,360 | 57,329 | 27,863 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 9.76 | $ | 8.74 | $ | 10.67 | ||||||
|
|
|
|
|
| |||||||
Class K |
| |||||||||||
Net Assets | $ | 76,428,656 | $ | 222,296,729 | $ | 14,098,163 | ||||||
Shares outstanding | 7,835,905 | 25,432,696 | 1,321,305 | |||||||||
|
|
|
|
|
| |||||||
Net asset value, offering and redemption price per share | $ | 9.75 | $ | 8.74 | $ | 10.67 | ||||||
|
|
|
|
|
| |||||||
Cost of Investments: |
| |||||||||||
*Investment in corresponding Portfolio, at cost (Note 1) | $ | 90,856,910 | $ | 226,053,342 | $ | 13,745,144 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
8
Table of Contents
State Street Institutional Investment Trust
For the Year Ended December 31, 2016
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) | $ | 1,317,384 | $ | 3,071,332 | $ | 113,119 | ||||||
|
|
|
|
|
| |||||||
Expenses |
| |||||||||||
Advisory fees (Note 5) | 19,500 | 77,982 | 2,185 | |||||||||
Administration fees (Note 5) | 36,705 | 69,204 | 4,127 | |||||||||
Distribution fees (Note 5) | ||||||||||||
Class A | 490 | 1,532 | 253 | |||||||||
Custodian fees (Note 5) | 15,198 | 15,373 | 13,618 | |||||||||
Trustees’ fees and expenses (Note 6) | 18,454 | 18,460 | 18,439 | |||||||||
Transfer agent fees (Note 5) | 36,458 | 36,944 | 30,949 | |||||||||
Sub-transfer agent fee (Note 5) | 177 | 850 | 26 | |||||||||
Registration and filing fees | 30,134 | 29,594 | 42,921 | |||||||||
Professional fees | 42,884 | 42,884 | 45,750 | |||||||||
Printing and postage fees | 9,602 | 9,017 | 2,892 | |||||||||
Insurance expense | 3,331 | 3,422 | 14 | |||||||||
|
|
|
|
|
| |||||||
Total Expenses | 212,933 | 305,262 | 161,174 | |||||||||
|
|
|
|
|
| |||||||
Expenses waived/reimbursed by the Adviser (Note 5) | (173,261 | ) | (209,283 | ) | (157,282 | ) | ||||||
|
|
|
|
|
| |||||||
Net Expenses | 39,672 | 95,979 | 3,892 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income (Loss) | 1,277,712 | 2,975,353 | 109,227 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (loss) |
| |||||||||||
Net realized gain (loss) on: | ||||||||||||
Investment in corresponding Portfolio | 98,802 | (2,955,156 | ) | (9,261 | ) | |||||||
Capital gain distributions from corresponding Portfolio | 98,285 | – | 105,073 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | 197,087 | (2,955,156 | ) | 95,812 | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investment in corresponding Portfolio | (741,648 | ) | 6,185,977 | 1,057,970 | ||||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation | (741,648 | ) | 6,185,977 | 1,057,970 | ||||||||
|
|
|
|
|
| |||||||
Net Realized and Unrealized Gain (Loss) | (544,561 | ) | 3,230,821 | 1,153,782 | ||||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 733,151 | $ | 6,206,174 | $ | 1,263,009 | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
9
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 | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: |
| |||||||||||||||
Net investment income (loss) | $ | 1,277,712 | $ | 959,410 | $ | 2,975,353 | $ | 1,177,991 | ||||||||
Net realized gain (loss) | 197,087 | 1,389,887 | (2,955,156 | ) | (31,679 | ) | ||||||||||
Net change in unrealized appreciation/depreciation | (741,648 | ) | (1,696,466 | ) | 6,185,977 | (4,138,701 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | 733,151 | 652,831 | 6,206,174 | (2,992,389 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: |
| |||||||||||||||
Net investment income | ||||||||||||||||
Class A | (3,618 | ) | (3,397 | ) | (19,511 | ) | (778 | ) | ||||||||
Class I | (99,762 | ) | (129,825 | ) | (5,566 | ) | (885 | ) | ||||||||
Class K | (1,273,579 | ) | (1,347,561 | ) | (2,954,328 | ) | (1,173,348 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net investment income | (1,376,959 | ) | (1,480,783 | ) | (2,979,405 | ) | (1,175,011 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized gain on investments | ||||||||||||||||
Class A | (143 | ) | (2,642 | ) | – | – | ||||||||||
Class I | (8,369 | ) | (64,302 | ) | – | – | ||||||||||
Class K | (51,264 | ) | (708,038 | ) | – | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions from net realized gain on investments | (59,776 | ) | (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 | (1,436,735 | ) | (2,350,185 | ) | (2,979,405 | ) | (1,175,011 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) from Capital Share Transactions: |
| |||||||||||||||
Class A | ||||||||||||||||
Shares sold | 25,519 | 136,350 | 1,529,865 | – | ||||||||||||
Reinvestment of distributions | 2,814 | 4,126 | 18,958 | – | ||||||||||||
Shares redeemed | – | – | (3,212 | ) | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 28,333 | 140,476 | 1,545,611 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 8,726,563 | – | 461,922 | – | ||||||||||||
Reinvestment of distributions | 84,817 | 200,148 | 4,904 | – | ||||||||||||
Shares redeemed | (1,036,767 | ) | – | (43,088 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 7,774,613 | 200,148 | 423,738 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 34,423,585 | 10,758,828 | 179,462,524 | 19,529,351 | ||||||||||||
Reinvestment of distributions | 1,313,224 | 2,141,524 | 2,954,328 | 1,173,348 | ||||||||||||
Shares redeemed | (8,159,404 | ) | (32,694,391 | ) | (20,555,137 | ) | (124,042 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from capital share transactions | 27,577,405 | (19,794,039 | ) | 161,861,715 | 20,578,657 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Increase (Decrease) in Net Assets from Capital Share Transactions | 35,380,351 | (19,453,415 | ) | 163,831,064 | 20,578,657 | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 34,676,767 | (21,150,769 | ) | 167,057,833 | 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 | $ | 89,010,324 | $ | 54,333,557 | $ | 224,361,107 | $ | 57,303,274 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | – | $ | – | $ | – | $ | 280 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
10
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 | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Shares of Beneficial Interest: |
| |||||||||||||||
Class A | ||||||||||||||||
Shares sold | $ | 2,536 | $ | 13,447 | $ | 172,029 | $ | – | ||||||||
Reinvestment of distributions | 282 | 422 | 2,189 | – | ||||||||||||
Shares redeemed | – | – | (365 | ) | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 2,818 | 13,869 | 173,853 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class I | ||||||||||||||||
Shares sold | 899,938 | – | 56,831 | – | ||||||||||||
Reinvestment of distributions | 8,500 | 20,257 | 567 | – | ||||||||||||
Shares redeemed | (103,787 | ) | – | (5,069 | ) | – | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 804,651 | 20,257 | 52,329 | – | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Class K | ||||||||||||||||
Shares sold | 3,420,492 | 1,072,582 | 20,681,990 | 2,194,817 | ||||||||||||
Reinvestment of distributions | 131,785 | 216,970 | 341,541 | 137,394 | ||||||||||||
Shares redeemed | (813,019 | ) | (3,192,297 | ) | (2,360,232 | ) | (14,296 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) from share transactions | 2,739,258 | (1,902,745 | ) | 18,663,299 | 2,317,915 | |||||||||||
|
|
|
|
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
11
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Small/Mid Cap Equity Index Fund | ||||||||
Year Ended 12/31/16 | For the Period 8/11/15* - 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: |
| |||||||
Net investment income (loss) | $ | 109,227 | $ | 24,325 | ||||
Net realized gain (loss) | 95,812 | 4,525 | ||||||
Net change in unrealized appreciation/depreciation | 1,057,970 | (301,333 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 1,263,009 | (272,483 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders from: |
| |||||||
Net investment income | ||||||||
Class A | (1,186 | ) | (606 | ) | ||||
Class I | (2,663 | ) | (658 | ) | ||||
Class K | (163,533 | ) | (26,368 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (167,382 | ) | (27,632 | ) | ||||
|
|
|
| |||||
Net realized gain on investments | ||||||||
Class A | (5 | ) | – | |||||
Class I | (10 | ) | – | |||||
Class K | (591 | ) | – | |||||
|
|
|
| |||||
Total distributions from net realized gain on investments | (606 | ) | – | |||||
|
|
|
| |||||
Return of capital | ||||||||
Class A | – | – | ||||||
Class I | – | – | ||||||
Class K | – | – | ||||||
|
|
|
| |||||
Total return of capital | – | – | ||||||
|
|
|
| |||||
Total distributions to shareholders | (167,988 | ) | – | |||||
|
|
|
| |||||
Net Increase (Decrease) from Capital Share Transactions: |
| |||||||
Class A | ||||||||
Shares sold | 2,000 | 100,000 | ||||||
Reinvestment of distributions | 23 | – | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 2,023 | – | ||||||
|
|
|
| |||||
Class I | ||||||||
Shares sold | 179,144 | 100,000 | ||||||
Reinvestment of distributions | 1,219 | – | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 180,363 | – | ||||||
|
|
|
| |||||
Class K | ||||||||
Shares sold | 9,280,415 | 4,198,693 | ||||||
Reinvestment of distributions | 164,124 | 26,368 | ||||||
Shares redeemed | (337,475 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 9,107,064 | 4,225,061 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital share transactions | 9,289,450 | 4,425,061 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 10,384,471 | 4,124,946 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 4,124,946 | – | ||||||
|
|
|
| |||||
Net assets at end of period | $ | 14,509,417 | $ | 4,124,946 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 2,247 | $ | – | ||||
|
|
|
|
See accompanying notes to financial statements.
12
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street Small/Mid Cap Equity Index Fund | ||||||||
Year Ended 12/31/16 | For the Period 8/11/15* - 12/31/15 | |||||||
Shares of Beneficial Interest: |
| |||||||
Class A | ||||||||
Shares sold | $ | 202 | $ | 10,471 | ||||
Reinvestment of distributions | 2 | – | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 204 | – | ||||||
|
|
|
| |||||
Class I | ||||||||
Shares sold | 17,279 | 10,471 | ||||||
Reinvestment of distributions | 113 | – | ||||||
Shares redeemed | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 17,392 | – | ||||||
|
|
|
| |||||
Class K | ||||||||
Shares sold | 916,650 | 419,869 | ||||||
Reinvestment of distributions | 15,239 | 2,808 | ||||||
Shares redeemed | (33,261 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 898,628 | 422,677 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
13
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.16 | 0.21 | 0.02 | |||||||||
Net realized and unrealized gain (loss) | 0.03 | (0.18 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.19 | 0.03 | 0.18 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.18 | ) | (0.26 | ) | (0.04 | ) | ||||||
Net realized gains | (0.01 | ) | (0.14 | ) | – | |||||||
Return of capital | – | (0.02 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | (0.19 | ) | (0.42 | ) | (0.04 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.75 | $ | 9.75 | $ | 10.14 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 1.91 | % | 0.35 | % | 1.85 | %(c) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 211 | $ | 184 | $ | 51 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(d) | 0.67 | % | 0.66 | % | 0.91 | %(e) | ||||||
Net expenses(d) | 0.40 | % | 0.31 | % | 0.52 | %(e) | ||||||
Net investment income (loss) | 1.65 | % | 2.11 | % | 0.58 | %(e) | ||||||
Portfolio turnover rate(f) | 194 | % | 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.
14
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.18 | 0.20 | 0.08 | |||||||||
Net realized and unrealized gain (loss) | 0.06 | (0.14 | ) | 0.09 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.24 | 0.06 | 0.17 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.21 | ) | (0.29 | ) | (0.04 | ) | ||||||
Net realized gains | (0.01 | ) | (0.14 | ) | – | |||||||
Return of capital | – | (0.02 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | (0.22 | ) | (0.45 | ) | (0.04 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.76 | $ | 9.74 | $ | 10.13 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 2.37 | % | 0.60 | % | 1.82 | %(c) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 12,370 | $ | 4,508 | $ | 4,484 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(d) | 0.33 | % | 0.41 | % | 0.88 | %(e) | ||||||
Net expenses(d) | 0.06 | % | 0.06 | % | 0.28 | %(e) | ||||||
Net investment income (loss) | 1.83 | % | 1.95 | % | 2.91 | %(e) | ||||||
Portfolio turnover rate(f) | 194 | % | 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.
15
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.20 | 0.20 | 0.04 | |||||||||
Net realized and unrealized gain (loss) | 0.03 | (0.15 | ) | 0.15 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.23 | 0.05 | 0.19 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: |
| |||||||||||
Net investment income | (0.21 | ) | (0.29 | ) | (0.05 | ) | ||||||
Net realized gains | (0.01 | ) | (0.14 | ) | – | |||||||
Return of capital | – | (0.02 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | (0.22 | ) | (0.45 | ) | (0.05 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.75 | $ | 9.74 | $ | 10.14 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 2.27 | % | 0.54 | % | 1.97 | %(c) | ||||||
Ratios and Supplemental Data: |
| |||||||||||
Net assets, end of period (in 000s) | $ | 76,429 | $ | 49,641 | $ | 70,950 | ||||||
Ratios to average net assets: |
| |||||||||||
Total expenses(d) | 0.33 | % | 0.41 | % | 0.50 | %(e) | ||||||
Net expenses(d) | 0.06 | % | 0.06 | % | 0.09 | %(e) | ||||||
Net investment income (loss) | 1.98 | % | 1.88 | % | 1.33 | %(e) | ||||||
Portfolio turnover rate(f) | 194 | % | 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.
16
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.31 | 0.15 | 0.04 | |||||||||
Net realized and unrealized gain (loss) | 0.09 | (0.71 | ) | (0.83 | ) | |||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.40 | (0.56 | ) | (0.79 | ) | |||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: |
| |||||||||||
Net investment income | (0.11 | ) | (0.16 | ) | (0.04 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 8.74 | $ | 8.45 | $ | 9.17 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 4.75 | % | (6.17 | )% | (7.88 | )%(c) | ||||||
Ratios and Supplemental Data: |
| |||||||||||
Net assets, end of period (in 000s) | $ | 1,564 | $ | 42 | $ | 46 | ||||||
Ratios to average net assets: |
| |||||||||||
Total expenses(d) | 0.58 | % | 0.70 | % | 1.17 | %(e) | ||||||
Net expenses(d) | 0.42 | % | 0.32 | % | 0.60 | %(e) | ||||||
Net investment income (loss) | 3.51 | % | 1.64 | % | 1.55 | %(e) | ||||||
Portfolio turnover rate(f) | 8 | % | 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.
17
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.17 | 0.18 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.25 | (0.72 | ) | (0.83 | ) | |||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.42 | (0.54 | ) | (0.78 | ) | |||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: |
| |||||||||||
Net investment income | (0.13 | ) | (0.18 | ) | (0.05 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 8.74 | $ | 8.45 | $ | 9.17 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 5.02 | % | (5.94 | )% | (7.81 | )%(c) | ||||||
Ratios and Supplemental Data: |
| |||||||||||
Net assets, end of period (in 000s) | $ | 501 | $ | 42 | $ | 46 | ||||||
Ratios to average net assets: |
| |||||||||||
Total expenses(d) | 0.32 | % | 0.45 | % | 0.92 | %(e) | ||||||
Net expenses(d) | 0.16 | % | 0.06 | % | 0.35 | %(e) | ||||||
Net investment income (loss) | 2.01 | % | 1.89 | % | 1.81 | %(e) | ||||||
Portfolio turnover rate(f) | 8 | % | 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.
18
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 | ||||||||||||
Year Ended 12/31/16 | 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) | 0.20 | 0.24 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.22 | (0.78 | ) | (0.83 | ) | |||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.42 | (0.54 | ) | (0.78 | ) | |||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.13 | ) | (0.18 | ) | (0.05 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 8.74 | $ | 8.45 | $ | 9.17 | ||||||
|
|
|
|
|
| |||||||
Total return(b) | 5.02 | % | (5.94 | )% | (7.76 | )%(c) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 222,297 | $ | 57,219 | $ | 40,800 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses(d) | 0.23 | % | 0.45 | % | 0.73 | %(e) | ||||||
Net expenses(d) | 0.07 | % | 0.06 | % | 0.15 | %(e) | ||||||
Net investment income (loss) | 2.28 | % | 2.59 | % | 2.00 | %(e) | ||||||
Portfolio turnover rate(f) | 8 | % | 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.
19
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 | ||||||||
Year Ended 12/31/16 | 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) | 0.07 | 0.05 | ||||||
Net realized and unrealized gain (loss) | 1.41 | (0.69 | ) | |||||
|
|
|
| |||||
Total from investment operations | 1.48 | (0.64 | ) | |||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | (0.11 | ) | (0.06 | ) | ||||
Net realized gains | (0.00 | )(b) | – | |||||
|
|
|
| |||||
Total distributions | (0.11 | ) | (0.06 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 10.67 | $ | 9.30 | ||||
|
|
|
| |||||
Total return(c) | 15.67 | % | (6.27 | )%(d) | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 114 | $ | 97 | ||||
Ratios to average net assets: | ||||||||
Total expenses(e) | 2.48 | % | 5.08 | %(f) | ||||
Net expenses(e) | 0.30 | % | 0.30 | %(f) | ||||
Net investment income (loss) | 0.69 | % | 2.55 | %(f) | ||||
Portfolio turnover rate(g) | 21 | % | 8 | %(d) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount shown represents 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.
20
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 | ||||||||
Year Ended 12/31/16 | 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) | 0.14 | 0.06 | ||||||
Net realized and unrealized gain (loss) | 1.37 | (0.70 | ) | |||||
|
|
|
| |||||
Total from investment operations | 1.51 | (0.64 | ) | |||||
|
|
|
| |||||
Distributions to shareholders from: |
| |||||||
Net investment income | (0.14 | ) | (0.06 | ) | ||||
Net realized gains | (0.00 | )(b) | – | |||||
|
|
|
| |||||
Total distributions | (0.14 | ) | (0.06 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 10.67 | $ | 9.30 | ||||
|
|
|
| |||||
Total return(c) | 15.96 | % | (6.18 | )%(d) | ||||
Ratios and Supplemental Data: |
| |||||||
Net assets, end of period (in 000s) | $ | 297 | $ | 97 | ||||
Ratios to average net assets: |
| |||||||
Total expenses(e) | 2.22 | % | 4.83 | %(f) | ||||
Net expenses(e) | 0.05 | % | 0.05 | %(f) | ||||
Net investment income (loss) | 1.42 | % | 2.80 | %(f) | ||||
Portfolio turnover rate(g) | 21 | % | 8 | %(d) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount shown represents 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.
21
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 | ||||||||
Year Ended 12/31/16 | 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) | 0.15 | 0.06 | ||||||
Net realized and unrealized gain (loss) | 1.36 | (0.70 | ) | |||||
|
|
|
| |||||
Total from investment operations | 1.51 | (0.64 | ) | |||||
|
|
|
| |||||
Distributions to shareholders from: |
| |||||||
Net investment income | (0.14 | ) | (0.06 | ) | ||||
Net realized gains | (0.00 | )(b) | – | |||||
|
|
|
| |||||
Total distributions | (0.14 | ) | (0.06 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 10.67 | $ | 9.30 | ||||
|
|
|
| |||||
Total return(c) | 16.21 | % | (6.38 | )%(d) | ||||
Ratios and Supplemental Data: |
| |||||||
Net assets, end of period (in 000s) | $ | 14,098 | $ | 3,930 | ||||
Ratios to average net assets: |
| |||||||
Total expenses(e) | 2.21 | % | 4.71 | %(f) | ||||
Net expenses(e) | 0.05 | % | 0.05 | %(f) | ||||
Net investment income (loss) | 1.51 | % | 1.49 | %(f) | ||||
Portfolio turnover rate(g) | 21 | % | 8 | %(d) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount shown represents 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.
22
Table of Contents
State Street Institutional Investment Trust
State Street Aggregate Bond Index Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2016 | |||
U.S. Treasury Obligations | 34.9 | % | ||
U.S. Government Agency Obligations | 29.9 | |||
Corporate Bonds & Notes | 27.1 | |||
Short-Term Investment | 4.8 | |||
Foreign Government Obligations | 1.7 | |||
Mortgage-Backed Securities | 0.9 | |||
Municipal Bonds & Notes | 0.7 | |||
Asset-Backed Securities | 0.5 | |||
Liabilities in Excess of Other Assets | (0.5 | ) | ||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | December 31, 2016 | |||
Banks | 6.1 | % | ||
Oil & Gas | 1.8 | |||
Electric | 1.7 | |||
Multi-National | 1.5 | |||
Telecommunications | 1.4 | |||
Total | 12.5 | % |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
23
Table of Contents
State Street Aggregate Bond Index Portfolio
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – 27.1% |
| |||||||
Advertising – 0.1% | ||||||||
Interpublic Group of Cos., Inc. | $ | 25,000 | $ | 25,659 | ||||
Omnicom Group, Inc. | 100,000 | 99,206 | ||||||
WPP Finance 2010 | 25,000 | 25,508 | ||||||
|
| |||||||
150,373 | ||||||||
|
| |||||||
Aerospace & Defense – 0.4% | ||||||||
Boeing Co.: | ||||||||
0.95%, 5/15/2018 | 25,000 | 24,867 | ||||||
2.60%, 10/30/2025 | 35,000 | 34,004 | ||||||
3.38%, 6/15/2046 | 25,000 | 22,854 | ||||||
Embraer Netherlands Finance B.V. | 50,000 | 49,674 | ||||||
General Dynamics Corp. | 25,000 | 24,590 | ||||||
Harris Corp. | 50,000 | 50,715 | ||||||
L-3 Communications Corp.: | ||||||||
3.85%, 12/15/2026 | 50,000 | 49,870 | ||||||
4.95%, 2/15/2021 | 25,000 | 26,845 | ||||||
Lockheed Martin Corp.: | ||||||||
2.50%, 11/23/2020 | 100,000 | 100,705 | ||||||
3.60%, 3/1/2035 | 50,000 | 47,764 | ||||||
4.70%, 5/15/2046 | 60,000 | 65,647 | ||||||
Northrop Grumman Corp.: | ||||||||
3.25%, 8/1/2023 | 50,000 | 50,978 | ||||||
4.75%, 6/1/2043 | 25,000 | 27,329 | ||||||
Raytheon Co.: | ||||||||
3.13%, 10/15/2020 | 25,000 | 25,756 | ||||||
4.20%, 12/15/2044 | 25,000 | 25,595 | ||||||
Textron, Inc. | 50,000 | 50,062 | ||||||
United Technologies Corp.: | ||||||||
1.78%, 5/4/2018(a) | 75,000 | 75,000 | ||||||
2.65%, 11/1/2026 | 50,000 | 48,059 | ||||||
4.50%, 6/1/2042 | 50,000 | 53,487 | ||||||
6.13%, 7/15/2038 | 50,000 | 63,809 | ||||||
|
| |||||||
917,610 | ||||||||
|
| |||||||
Agriculture – 0.3% | ||||||||
Altria Group, Inc.: | ||||||||
2.63%, 1/14/2020 | 150,000 | 151,785 | ||||||
4.00%, 1/31/2024 | 25,000 | 26,394 | ||||||
4.50%, 5/2/2043 | 25,000 | 25,578 | ||||||
Archer-Daniels-Midland Co. | 50,000 | 49,126 | ||||||
Philip Morris International, Inc.: | ||||||||
1.88%, 1/15/2019 | 50,000 | 50,027 | ||||||
2.13%, 5/10/2023 | 75,000 | 71,407 | ||||||
2.75%, 2/25/2026 | 25,000 | 23,992 | ||||||
4.13%, 3/4/2043 | 25,000 | 24,089 | ||||||
4.50%, 3/26/2020 | 25,000 | 26,739 | ||||||
4.50%, 3/20/2042 | 50,000 | 51,201 | ||||||
Reynolds American, Inc.: | ||||||||
2.30%, 6/12/2018 | 100,000 | 100,630 | ||||||
4.00%, 6/12/2022 | 50,000 | 52,267 | ||||||
5.70%, 8/15/2035 | 25,000 | 28,714 | ||||||
5.85%, 8/15/2045 | 25,000 | 29,729 | ||||||
|
| |||||||
711,678 | ||||||||
|
| |||||||
Airlines – 0.1% | ||||||||
American Airlines 2014-1 Pass Through Trust Class A | 22,135 | 22,253 | ||||||
American Airlines 2016-2 Pass Through Trust Class A | 50,000 | 49,645 | ||||||
Southwest Airlines Co. | 25,000 | 25,402 | ||||||
United Airlines 2016-1 Pass Through Trust Class AA | 50,000 | 48,038 | ||||||
|
| |||||||
145,338 | ||||||||
|
| |||||||
Apparel – 0.0%(b) | ||||||||
NIKE, Inc.: | ||||||||
2.38%, 11/1/2026 | 50,000 | 47,163 | ||||||
3.88%, 11/1/2045 | 30,000 | 29,595 | ||||||
|
| |||||||
76,758 | ||||||||
|
| |||||||
Auto Manufacturers – 0.6% | ||||||||
American Honda Finance Corp.: | ||||||||
1.50%, 11/19/2018 | 50,000 | 49,866 | ||||||
2.45%, 9/24/2020 | 75,000 | 75,034 | ||||||
Series MTN, | 25,000 | 25,173 | ||||||
Ford Motor Co. | 50,000 | 47,549 | ||||||
Ford Motor Credit Co. LLC: | ||||||||
2.02%, 5/3/2019 | 150,000 | 148,420 | ||||||
3.10%, 5/4/2023 | 50,000 | 48,173 | ||||||
3.34%, 3/18/2021 | 150,000 | 151,012 | ||||||
4.39%, 1/8/2026 | 100,000 | 101,440 | ||||||
General Motors Co.: | ||||||||
3.50%, 10/2/2018 | 25,000 | 25,469 | ||||||
6.60%, 4/1/2036 | 100,000 | 113,500 | ||||||
6.75%, 4/1/2046 | 25,000 | 29,219 | ||||||
General Motors Financial Co., Inc.: | ||||||||
3.15%, 1/15/2020 | 35,000 | 35,175 | ||||||
3.20%, 7/13/2020 | 25,000 | 25,031 | ||||||
3.20%, 7/6/2021 | 100,000 | 98,422 | ||||||
3.70%, 5/9/2023 | 100,000 | 98,375 | ||||||
4.00%, 1/15/2025 | 35,000 | 34,081 | ||||||
PACCAR Financial Corp. | 100,000 | 99,634 | ||||||
Toyota Motor Credit Corp.: | ||||||||
1.90%, 4/8/2021 | 75,000 | 73,407 | ||||||
Series GMTN, | 25,000 | 25,200 | ||||||
Series MTN, | 75,000 | 74,065 | ||||||
Series MTN, | 25,000 | 24,904 |
See accompanying notes to financial statements.
24
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Auto Manufacturers – (continued) |
| |||||||
Series MTN, | $ | 50,000 | $ | 50,241 | ||||
|
| |||||||
1,453,390 | ||||||||
|
| |||||||
Auto Parts & Equipment – 0.0%(b) |
| |||||||
Delphi Automotive PLC: | ||||||||
4.25%, 1/15/2026 | 25,000 | 25,863 | ||||||
4.40%, 10/1/2046 | 30,000 | 27,586 | ||||||
Lear Corp. 5.25%, 1/15/2025 | 20,000 | 20,900 | ||||||
|
| |||||||
74,349 | ||||||||
|
| |||||||
Banks – 6.1% | ||||||||
Australia & New Zealand Banking Group, Ltd. | 100,000 | 98,421 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 25,000 | 25,035 | ||||||
Bank of America Corp.: | ||||||||
2.63%, 4/19/2021 | 100,000 | 99,334 | ||||||
3.50%, 4/19/2026 | 130,000 | 128,519 | ||||||
5.70%, 1/24/2022 | 50,000 | 56,158 | ||||||
6.11%, 1/29/2037 | 75,000 | 87,800 | ||||||
Series L, 2.60%, 1/15/2019 | 50,000 | 50,464 | ||||||
Series L, 2.65%, 4/1/2019 | 300,000 | 303,117 | ||||||
Series L, 3.95%, 4/21/2025 | 50,000 | 49,773 | ||||||
Series MTN, | 50,000 | 48,415 | ||||||
Series MTN, | 100,000 | 95,455 | ||||||
Series MTN, 4.00%, 4/1/2024 | 50,000 | 51,546 | ||||||
Series MTN, | 25,000 | 25,995 | ||||||
Series MTN, | 50,000 | 50,940 | ||||||
Series MTN, 4.88%, 4/1/2044 | 50,000 | 54,455 | ||||||
Series MTN, | 50,000 | 54,203 | ||||||
Series MTN, 5.63%, 7/1/2020 | 50,000 | 54,902 | ||||||
Bank of America NA | 100,000 | 99,995 | ||||||
Bank of Montreal: | ||||||||
1.40%, 4/10/2018 | 25,000 | 24,926 | ||||||
Series MTN, 1.45%, 4/9/2018 | 25,000 | 24,967 | ||||||
Series MTN, | 50,000 | 48,468 | ||||||
Series MTN, | 30,000 | 29,595 | ||||||
Bank of New York Mellon Corp.: | ||||||||
2.05%, 5/3/2021 | 50,000 | 48,969 | ||||||
Series G, 2.15%, 2/24/2020 | 100,000 | 99,628 | ||||||
Series G, 3.00%, 2/24/2025 | 100,000 | 98,326 | ||||||
Series MTN, 2.20%, 3/4/2019 | 25,000 | 25,135 | ||||||
Bank of Nova Scotia: | ||||||||
1.95%, 1/15/2019 | 100,000 | 100,028 | ||||||
2.35%, 10/21/2020 | 100,000 | 99,504 | ||||||
Barclays Bank PLC | 100,000 | 105,582 | ||||||
Barclays PLC: | ||||||||
4.38%, 1/12/2026 | 50,000 | 50,873 | ||||||
5.20%, 5/12/2026 | 75,000 | 76,406 | ||||||
5.25%, 8/17/2045 | 25,000 | 26,954 | ||||||
BB&T Corp.: | ||||||||
Series MTN, 2.25%, 2/1/2019 | 25,000 | 25,156 | ||||||
Series MTN, | 50,000 | 50,360 | ||||||
BNP Paribas SA: | ||||||||
5.00%, 1/15/2021 | 100,000 | 108,634 | ||||||
Series MTN, | 50,000 | 50,626 | ||||||
BPCE SA Series MTN, | 100,000 | 100,610 | ||||||
Branch Banking & Trust Co.: | ||||||||
1.45%, 5/10/2019 | 50,000 | 49,402 | ||||||
3.63%, 9/16/2025 | 25,000 | 25,450 | ||||||
Capital One Financial Corp.: | ||||||||
2.45%, 4/24/2019 | 50,000 | 50,267 | ||||||
3.75%, 7/28/2026 | 75,000 | 72,616 | ||||||
Capital One NA/Mclean: | ||||||||
2.35%, 8/17/2018 | 50,000 | 50,272 | ||||||
2.95%, 7/23/2021 | 75,000 | 75,190 | ||||||
Citigroup, Inc.: | ||||||||
1.70%, 4/27/2018 | 100,000 | 99,746 | ||||||
2.35%, 8/2/2021 | 50,000 | 48,883 | ||||||
2.50%, 9/26/2018 | 50,000 | 50,465 | ||||||
2.55%, 4/8/2019 | 50,000 | 50,401 | ||||||
2.70%, 3/30/2021 | 175,000 | 174,424 | ||||||
2.90%, 12/8/2021 | 50,000 | 49,927 | ||||||
3.20%, 10/21/2026 | 100,000 | 95,483 | ||||||
3.75%, 6/16/2024 | 25,000 | 25,440 | ||||||
4.30%, 11/20/2026 | 50,000 | 50,488 | ||||||
4.45%, 9/29/2027 | 150,000 | 153,048 | ||||||
4.65%, 7/30/2045 | 25,000 | 26,441 | ||||||
5.30%, 5/6/2044 | 50,000 | 54,028 | ||||||
6.68%, 9/13/2043 | 75,000 | 95,524 | ||||||
Citizens Bank NA/Providence | 50,000 | 50,310 | ||||||
Commonwealth Bank of Australia: | ||||||||
2.55%, 3/15/2021 | 100,000 | 99,522 | ||||||
Series GMTN, | 50,000 | 49,961 | ||||||
Cooperatieve Rabobank UA: | ||||||||
2.25%, 1/14/2019 | 50,000 | 50,246 | ||||||
3.88%, 2/8/2022 | 50,000 | 52,774 | ||||||
4.38%, 8/4/2025 | 50,000 | 51,355 | ||||||
4.50%, 1/11/2021 | 50,000 | 53,651 | ||||||
5.75%, 12/1/2043 | 50,000 | 58,025 | ||||||
Series GMTN, | 50,000 | 49,956 | ||||||
Credit Suisse AG: | ||||||||
5.30%, 8/13/2019 | 100,000 | 107,748 | ||||||
6.00%, 2/15/2018 | 25,000 | 25,955 | ||||||
Credit Suisse Group Funding Guernsey, Ltd.: | ||||||||
3.13%, 12/10/2020 | 100,000 | 99,701 | ||||||
3.80%, 6/9/2023 | 150,000 | 149,349 | ||||||
Deutsche Bank AG: | ||||||||
2.50%, 2/13/2019 | 75,000 | 74,554 |
See accompanying notes to financial statements.
25
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Banks – (continued) | ||||||||
2.95%, 8/20/2020 | $ | 50,000 | $ | 49,212 | ||||
3.70%, 5/30/2024 | 50,000 | 48,324 | ||||||
Discover Bank/Greenwood | 25,000 | 24,195 | ||||||
Fifth Third Bancorp | 50,000 | 50,200 | ||||||
Fifth Third Bank: | ||||||||
2.25%, 6/14/2021 | 50,000 | 49,319 | ||||||
3.85%, 3/15/2026 | 25,000 | 25,162 | ||||||
FMS Wertmanagement AoeR | 125,000 | 122,835 | ||||||
Goldman Sachs Group, Inc.: | ||||||||
2.00%, 4/25/2019 | 50,000 | 49,835 | ||||||
2.30%, 12/13/2019 | 50,000 | 50,038 | ||||||
2.35%, 11/15/2021 | 125,000 | 121,542 | ||||||
2.55%, 10/23/2019 | 25,000 | 25,140 | ||||||
2.63%, 1/31/2019 | 200,000 | 201,874 | ||||||
2.63%, 4/25/2021 | 150,000 | 148,879 | ||||||
2.88%, 2/25/2021 | 25,000 | 25,105 | ||||||
2.90%, 7/19/2018 | 50,000 | 50,691 | ||||||
3.50%, 1/23/2025 | 50,000 | 49,404 | ||||||
3.63%, 1/22/2023 | 25,000 | 25,523 | ||||||
3.75%, 2/25/2026 | 50,000 | 50,183 | ||||||
4.00%, 3/3/2024 | 50,000 | 51,749 | ||||||
4.75%, 10/21/2045 | 50,000 | 52,758 | ||||||
5.95%, 1/15/2027 | 50,000 | 56,830 | ||||||
6.75%, 10/1/2037 | 150,000 | 185,268 | ||||||
Series MTN, 4.80%, 7/8/2044 | 50,000 | 52,431 | ||||||
HSBC Holdings PLC: | ||||||||
2.65%, 1/5/2022 | 125,000 | 122,052 | ||||||
2.95%, 5/25/2021 | 100,000 | 99,856 | ||||||
4.30%, 3/8/2026 | 100,000 | 103,597 | ||||||
5.10%, 4/5/2021 | 50,000 | 54,181 | ||||||
6.50%, 9/15/2037 | 200,000 | 247,842 | ||||||
HSBC USA, Inc. | 100,000 | 99,811 | ||||||
Huntington Bancshares, Inc.: | ||||||||
2.30%, 1/14/2022 | 25,000 | 24,244 | ||||||
2.60%, 8/2/2018 | 50,000 | 50,477 | ||||||
Industrial & Commercial Bank of China, Ltd. | 50,000 | 51,222 | ||||||
International Finance Corp. | 25,000 | 25,082 | ||||||
Intesa Sanpaolo SpA | 50,000 | 52,258 | ||||||
JPMorgan Chase & Co.: | ||||||||
1.63%, 5/15/2018 | 50,000 | 49,903 | ||||||
2.25%, 1/23/2020 | 150,000 | 149,491 | ||||||
2.35%, 1/28/2019 | 50,000 | 50,403 | ||||||
2.40%, 6/7/2021 | 300,000 | 296,781 | ||||||
2.70%, 5/18/2023 | 125,000 | 121,832 | ||||||
2.95%, 10/1/2026 | 100,000 | 95,459 | ||||||
2.97%, 1/15/2023 | 50,000 | 49,932 | ||||||
3.38%, 5/1/2023 | 75,000 | 74,798 | ||||||
3.88%, 2/1/2024 | 50,000 | 51,774 | ||||||
4.13%, 12/15/2026 | 50,000 | 51,014 | ||||||
4.25%, 10/1/2027 | 80,000 | 82,272 | ||||||
4.85%, 2/1/2044 | 50,000 | 55,568 | ||||||
4.95%, 6/1/2045 | 50,000 | 53,480 | ||||||
5.40%, 1/6/2042 | 50,000 | 58,450 | ||||||
Series H, 1.70%, 3/1/2018 | 150,000 | 149,916 | ||||||
KeyBank NA | 25,000 | 24,280 | ||||||
KeyCorp.: | ||||||||
Series MTN, | 25,000 | 25,144 | ||||||
Series MTN, | 100,000 | 101,091 | ||||||
KFW: | ||||||||
1.00%, 6/11/2018 | 25,000 | 24,881 | ||||||
2.50%, 11/20/2024 | 50,000 | 49,815 | ||||||
Kreditanstalt fuer Wiederaufbau: | ||||||||
Zero Coupon, 6/29/2037 | 50,000 | 25,813 | ||||||
1.00%, 1/26/2018 | 200,000 | 199,480 | ||||||
1.00%, 7/15/2019 | 100,000 | 98,455 | ||||||
1.50%, 2/6/2019 | 250,000 | 249,877 | ||||||
1.50%, 6/15/2021 | 200,000 | 194,510 | ||||||
1.88%, 4/1/2019 | 25,000 | 25,171 | ||||||
2.00%, 5/2/2025 | 100,000 | 95,543 | ||||||
2.13%, 1/17/2023 | 100,000 | 98,552 | ||||||
2.63%, 1/25/2022 | 50,000 | 50,907 | ||||||
4.50%, 7/16/2018 | 75,000 | 78,551 | ||||||
Landwirtschaftliche Rentenbank: | ||||||||
1.00%, 4/4/2018 | 50,000 | 49,807 | ||||||
2.00%, 1/13/2025 | 25,000 | 23,936 | ||||||
2.25%, 10/1/2021 | 50,000 | 50,115 | ||||||
Series GMTN, | 50,000 | 46,157 | ||||||
Lloyds Banking Group PLC | 100,000 | 101,389 | ||||||
Mitsubishi UFJ Financial Group, Inc.: | ||||||||
2.19%, 9/13/2021 | 50,000 | 48,521 | ||||||
2.76%, 9/13/2026 | 25,000 | 23,477 | ||||||
3.85%, 3/1/2026 | 25,000 | 25,664 | ||||||
Morgan Stanley: | ||||||||
2.13%, 4/25/2018 | 25,000 | 25,099 | ||||||
2.50%, 4/21/2021 | 225,000 | 222,313 | ||||||
2.80%, 6/16/2020 | 50,000 | 50,367 | ||||||
3.75%, 2/25/2023 | 50,000 | 51,218 | ||||||
3.95%, 4/23/2027 | 25,000 | 24,760 | ||||||
6.38%, 7/24/2042 | 65,000 | 83,599 | ||||||
Series GMTN, | 50,000 | 50,125 | ||||||
Series GMTN, | 200,000 | 201,298 | ||||||
Series GMTN, | 125,000 | 126,540 | ||||||
Series GMTN, | 50,000 | 51,113 | ||||||
Series MTN, | 50,000 | 50,129 | ||||||
Series MTN, | 75,000 | 71,706 | ||||||
National Australia Bank, Ltd.: | ||||||||
1.38%, 7/12/2019 | 50,000 | 49,061 | ||||||
1.88%, 7/12/2021 | 25,000 | 24,191 | ||||||
2.50%, 7/12/2026 | 50,000 | 46,408 |
See accompanying notes to financial statements.
26
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Banks – (continued) | ||||||||
Oesterreichische Kontrollbank AG: | ||||||||
1.13%, 5/29/2018 | $ | 50,000 | $ | 49,797 | ||||
1.13%, 4/26/2019 | 25,000 | 24,681 | ||||||
1.63%, 3/12/2019 | 25,000 | 24,985 | ||||||
PNC Bank NA | 200,000 | 201,784 | ||||||
PNC Financial Services Group, Inc.: | ||||||||
3.30%, 3/8/2022 | 50,000 | 51,325 | ||||||
3.90%, 4/29/2024 | 50,000 | 51,152 | ||||||
Regions Financial Corp. | 25,000 | 25,398 | ||||||
Royal Bank of Canada: | ||||||||
2.00%, 12/10/2018 | 50,000 | 50,155 | ||||||
2.30%, 3/22/2021 | 125,000 | 124,451 | ||||||
2.50%, 1/19/2021 | 100,000 | 100,078 | ||||||
Series GMTN, | 50,000 | 49,640 | ||||||
Series MTN, | 50,000 | 49,944 | ||||||
Royal Bank of Scotland Group PLC | 75,000 | 71,812 | ||||||
Santander Holdings USA, Inc. | 50,000 | 49,686 | ||||||
Santander UK Group Holdings PLC | 100,000 | 99,252 | ||||||
Santander UK PLC | 25,000 | 25,387 | ||||||
Skandinaviska Enskilda Banken AB | 50,000 | 48,294 | ||||||
Sumitomo Mitsui Banking Corp. Series GMTN, | 100,000 | 99,916 | ||||||
Sumitomo Mitsui Financial Group, Inc.: | ||||||||
2.44%, 10/19/2021 | 70,000 | 68,741 | ||||||
2.93%, 3/9/2021 | 100,000 | 100,334 | ||||||
3.01%, 10/19/2026 | 50,000 | 47,855 | ||||||
3.78%, 3/9/2026 | 30,000 | 30,660 | ||||||
SunTrust Banks, Inc.: | ||||||||
2.35%, 11/1/2018 | 25,000 | 25,193 | ||||||
2.70%, 1/27/2022 | 50,000 | 49,959 | ||||||
Svenska Handelsbanken AB | 75,000 | 74,718 | ||||||
Toronto-Dominion Bank: | ||||||||
1.45%, 8/13/2019 | 25,000 | 24,639 | ||||||
Series GMTN, | 50,000 | 49,770 | ||||||
Series GMTN, | 50,000 | 50,030 | ||||||
Series GMTN, | 50,000 | 50,153 | ||||||
Series MTN, | 50,000 | 50,057 | ||||||
UBS AG: | ||||||||
Series GMTN, | 50,000 | 49,998 | ||||||
Series GMTN, | 100,000 | 99,591 | ||||||
US Bancorp: | ||||||||
3.10%, 4/27/2026 | 50,000 | 48,709 | ||||||
Series MTN, | 25,000 | 25,203 | ||||||
Series MTN, | 100,000 | 99,972 | ||||||
Series MTN, | 25,000 | 25,432 | ||||||
Wells Fargo & Co.: | ||||||||
2.10%, 7/26/2021 | 50,000 | 48,667 | ||||||
2.15%, 1/15/2019 | 25,000 | 25,144 | ||||||
2.50%, 3/4/2021 | 50,000 | 49,655 | ||||||
3.00%, 10/23/2026 | 50,000 | 47,547 | ||||||
4.13%, 8/15/2023 | 25,000 | 25,878 | ||||||
4.48%, 1/16/2024 | 25,000 | 26,313 | ||||||
5.61%, 1/15/2044 | 175,000 | 198,002 | ||||||
Series GMTN, | 50,000 | 51,416 | ||||||
Series MTN, | 50,000 | 50,685 | ||||||
Series MTN, 3.30%, 9/9/2024 | 150,000 | 148,713 | ||||||
Series MTN, | 50,000 | 49,898 | ||||||
Series MTN, | 50,000 | 50,882 | ||||||
Wells Fargo Bank NA | 250,000 | 250,025 | ||||||
Wells Fargo Capital | 25,000 | 25,863 | ||||||
Westpac Banking Corp.: | ||||||||
1.55%, 5/25/2018 | 100,000 | 99,684 | ||||||
2.25%, 1/17/2019 | 125,000 | 125,586 | ||||||
2.85%, 5/13/2026 | 50,000 | 47,940 | ||||||
|
| |||||||
15,117,780 | ||||||||
|
| |||||||
Beverages – 0.8% | ||||||||
Anheuser-Busch InBev Finance, Inc.: | ||||||||
1.90%, 2/1/2019 | 150,000 | 150,252 | ||||||
2.15%, 2/1/2019 | 25,000 | 25,143 | ||||||
2.65%, 2/1/2021 | 155,000 | 155,583 | ||||||
3.30%, 2/1/2023 | 100,000 | 101,672 | ||||||
3.65%, 2/1/2026 | 50,000 | 50,713 | ||||||
4.70%, 2/1/2036 | 175,000 | 185,132 | ||||||
4.90%, 2/1/2046 | 150,000 | 161,497 | ||||||
Anheuser-Busch InBev Worldwide, Inc.: | ||||||||
2.50%, 7/15/2022 | 50,000 | 49,121 | ||||||
3.75%, 7/15/2042 | 50,000 | 45,723 | ||||||
Coca-Cola Co.: | ||||||||
1.15%, 4/1/2018 | 25,000 | 24,940 | ||||||
1.38%, 5/30/2019 | 75,000 | 74,512 | ||||||
1.65%, 11/1/2018 | 25,000 | 25,082 | ||||||
2.25%, 9/1/2026 | 25,000 | 23,433 | ||||||
2.88%, 10/27/2025 | 25,000 | 24,664 | ||||||
3.20%, 11/1/2023 | 25,000 | 25,689 |
See accompanying notes to financial statements.
27
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Beverages – (continued) | ||||||||
Coca-Cola Femsa SAB de CV | $ | 100,000 | $ | 100,710 | ||||
Constellation Brands, Inc.: | ||||||||
3.75%, 5/1/2021 | 5,000 | 5,178 | ||||||
3.88%, 11/15/2019 | 5,000 | 5,175 | ||||||
4.25%, 5/1/2023 | 25,000 | 25,813 | ||||||
6.00%, 5/1/2022 | 5,000 | 5,619 | ||||||
Diageo Capital PLC | 75,000 | 74,217 | ||||||
Diageo Investment Corp. | 25,000 | 25,163 | ||||||
Dr Pepper Snapple Group, Inc.: | ||||||||
2.00%, 1/15/2020 | 25,000 | 24,796 | ||||||
3.13%, 12/15/2023 | 50,000 | 50,013 | ||||||
Molson Coors Brewing Co.: | ||||||||
2.10%, 7/15/2021 | 50,000 | 48,651 | ||||||
3.00%, 7/15/2026 | 50,000 | 47,211 | ||||||
4.20%, 7/15/2046 | 30,000 | 27,991 | ||||||
PepsiCo, Inc.: | ||||||||
1.50%, 2/22/2019 | 135,000 | 134,545 | ||||||
1.85%, 4/30/2020 | 25,000 | 24,835 | ||||||
2.15%, 10/14/2020 | 50,000 | 50,030 | ||||||
2.85%, 2/24/2026 | 85,000 | 83,659 | ||||||
3.60%, 3/1/2024 | 25,000 | 26,079 | ||||||
4.45%, 4/14/2046 | 75,000 | 80,194 | ||||||
4.60%, 7/17/2045 | 25,000 | 27,342 | ||||||
|
| |||||||
1,990,377 | ||||||||
|
| |||||||
Biotechnology – 0.4% | ||||||||
Amgen, Inc.: | ||||||||
2.20%, 5/22/2019 | 50,000 | 50,375 | ||||||
3.63%, 5/22/2024 | 100,000 | 101,700 | ||||||
4.40%, 5/1/2045 | 50,000 | 47,923 | ||||||
4.66%, 6/15/2051(c) | 75,000 | 72,765 | ||||||
6.38%, 6/1/2037 | 50,000 | 60,341 | ||||||
Biogen, Inc.: | ||||||||
2.90%, 9/15/2020 | 25,000 | 25,288 | ||||||
4.05%, 9/15/2025 | 50,000 | 51,469 | ||||||
5.20%, 9/15/2045 | 25,000 | 26,885 | ||||||
Celgene Corp.: | ||||||||
2.13%, 8/15/2018 | 50,000 | 50,209 | ||||||
2.88%, 8/15/2020 | 25,000 | 25,263 | ||||||
3.63%, 5/15/2024 | 25,000 | 25,090 | ||||||
3.88%, 8/15/2025 | 25,000 | 25,397 | ||||||
4.63%, 5/15/2044 | 50,000 | 49,253 | ||||||
Gilead Sciences, Inc.: | ||||||||
1.85%, 9/4/2018 | 50,000 | 50,165 | ||||||
1.95%, 3/1/2022 | 5,000 | 4,827 | ||||||
2.55%, 9/1/2020 | 50,000 | 50,471 | ||||||
2.95%, 3/1/2027 | 25,000 | 23,907 | ||||||
3.65%, 3/1/2026 | 85,000 | 86,191 | ||||||
4.15%, 3/1/2047 | 20,000 | 19,003 | ||||||
4.40%, 12/1/2021 | 25,000 | 26,859 | ||||||
4.50%, 2/1/2045 | 25,000 | 25,012 | ||||||
4.75%, 3/1/2046 | 25,000 | 26,107 | ||||||
4.80%, 4/1/2044 | 25,000 | 26,141 | ||||||
|
| |||||||
950,641 | ||||||||
|
| |||||||
Chemicals – 0.4% | ||||||||
Airgas, Inc. | 25,000 | 25,523 | ||||||
Celanese US Holdings LLC: | ||||||||
4.63%, 11/15/2022 | 10,000 | 10,518 | ||||||
5.88%, 6/15/2021 | 10,000 | 11,093 | ||||||
Dow Chemical Co.: | ||||||||
3.00%, 11/15/2022 | 75,000 | 74,775 | ||||||
4.25%, 11/15/2020 | 25,000 | 26,440 | ||||||
4.25%, 10/1/2034 | 50,000 | 49,144 | ||||||
4.38%, 11/15/2042 | 50,000 | 48,676 | ||||||
Eastman Chemical Co. | 25,000 | 25,276 | ||||||
Ecolab, Inc. | 25,000 | 26,962 | ||||||
EI du Pont de Nemours & Co.: | ||||||||
3.63%, 1/15/2021 | 25,000 | 25,893 | ||||||
4.63%, 1/15/2020 | 50,000 | 53,272 | ||||||
6.00%, 7/15/2018 | 25,000 | 26,532 | ||||||
Lubrizol Corp. | 25,000 | 28,485 | ||||||
LYB International Finance B.V. | 25,000 | 25,885 | ||||||
LyondellBasell Industries NV: | ||||||||
4.63%, 2/26/2055 | 25,000 | 23,313 | ||||||
5.00%, 4/15/2019 | 100,000 | 105,627 | ||||||
Monsanto Co.: | ||||||||
2.75%, 7/15/2021 | 50,000 | 49,691 | ||||||
3.60%, 7/15/2042 | 50,000 | 41,783 | ||||||
4.70%, 7/15/2064 | 25,000 | 22,652 | ||||||
Mosaic Co. | 25,000 | 24,112 | ||||||
Potash Corp. of Saskatchewan, Inc.: | ||||||||
3.00%, 4/1/2025 | 50,000 | 47,078 | ||||||
4.00%, 12/15/2026 | 50,000 | 50,316 | ||||||
PPG Industries, Inc. | 25,000 | 25,052 | ||||||
Praxair, Inc.: | ||||||||
1.25%, 11/7/2018 | 50,000 | 49,656 | ||||||
3.20%, 1/30/2026 | 25,000 | 25,202 | ||||||
3.55%, 11/7/2042 | 25,000 | 23,184 | ||||||
|
| |||||||
946,140 | ||||||||
|
| |||||||
Commercial Services – 0.1% | ||||||||
Automatic Data Processing, Inc. | 20,000 | 20,074 | ||||||
Catholic Health Initiatives | 25,000 | 22,013 | ||||||
Ecolab, Inc. | 50,000 | 47,472 | ||||||
George Washington University | 25,000 | 21,432 | ||||||
Massachusetts Institute of Technology | 50,000 | 52,474 | ||||||
Moody’s Corp. | 50,000 | 50,598 |
See accompanying notes to financial statements.
28
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Commercial Services – (continued) |
| |||||||
President and Fellows of Harvard College | $ | 25,000 | $ | 22,417 | ||||
S&P Global, Inc. | 50,000 | 50,883 | ||||||
University of Southern California | 25,000 | 22,148 | ||||||
Western Union Co. | 25,000 | 25,413 | ||||||
|
| |||||||
334,924 | ||||||||
|
| |||||||
Construction Materials – 0.0%(b) | ||||||||
Johnson Controls International PLC | 25,000 | 25,311 | ||||||
Masco Corp. | 5,000 | 5,038 | ||||||
Vulcan Materials Co. | 25,000 | 29,475 | ||||||
|
| |||||||
59,824 | ||||||||
|
| |||||||
Distribution & Wholesale – 0.0%(b) |
| |||||||
WW Grainger, Inc. | 50,000 | 53,517 | ||||||
|
| |||||||
Diversified Financial Services – 0.9% |
| |||||||
AerCap Ireland Capital, Ltd. / AerCap Global Aviation Trust | 300,000 | 310,875 | ||||||
Air Lease Corp.: | ||||||||
3.00%, 9/15/2023 | 25,000 | 23,813 | ||||||
4.25%, 9/15/2024 | 25,000 | 25,292 | ||||||
American Express Credit Corp.: | ||||||||
2.13%, 3/18/2019 | 50,000 | 50,143 | ||||||
2.25%, 5/5/2021 | 100,000 | 98,795 | ||||||
Series GMTN, | 50,000 | 50,201 | ||||||
Series MTN, | 50,000 | 50,021 | ||||||
Ameriprise Financial, Inc. 3.70%, 10/15/2024 | 50,000 | 51,058 | ||||||
BlackRock, Inc. | 25,000 | 25,795 | ||||||
Charles Schwab Corp. | 50,000 | 50,501 | ||||||
Credit Suisse USA, Inc. | 50,000 | 66,007 | ||||||
Discover Financial Services | 50,000 | 50,563 | ||||||
GE Capital International Funding Co.: | ||||||||
2.34%, 11/15/2020 | 200,000 | 199,760 | ||||||
4.42%, 11/15/2035 | 200,000 | 210,468 | ||||||
General Electric Co.: | ||||||||
3.45%, 5/15/2024 | 50,000 | 51,366 | ||||||
4.65%, 10/17/2021 | 50,000 | 54,779 | ||||||
5.30%, 2/11/2021 | 25,000 | 27,680 | ||||||
Series GMTN, | 25,000 | 25,298 | ||||||
Series MTN, | 50,000 | 62,979 | ||||||
HSBC Finance Corp. | 25,000 | 28,115 | ||||||
Intercontinental Exchange, Inc.: | ||||||||
2.75%, 12/1/2020 | 50,000 | 50,214 | ||||||
3.75%, 12/1/2025 | 30,000 | 30,812 | ||||||
Invesco Finance PLC | 50,000 | 50,679 | ||||||
Jefferies Group LLC | 50,000 | 51,424 | ||||||
National Rural Utilities Cooperative Finance Corp.: | ||||||||
1.65%, 2/8/2019 | 50,000 | 49,854 | ||||||
4.02%, 11/1/2032 | 50,000 | 51,004 | ||||||
3 month USD LIBOR + 2.91%, 4.75%, 4/30/2043(d) | 75,000 | 75,295 | ||||||
Nomura Holdings, Inc. | 100,000 | 100,822 | ||||||
Synchrony Financial: | ||||||||
2.60%, 1/15/2019 | 50,000 | 50,189 | ||||||
4.50%, 7/23/2025 | 50,000 | 51,312 | ||||||
TD Ameritrade Holding Corp. | 25,000 | 27,443 | ||||||
Visa, Inc.: | ||||||||
2.80%, 12/14/2022 | 25,000 | 25,097 | ||||||
3.15%, 12/14/2025 | 50,000 | 50,271 | ||||||
4.15%, 12/14/2035 | 50,000 | 52,312 | ||||||
4.30%, 12/14/2045 | 50,000 | 52,848 | ||||||
|
| |||||||
2,283,085 | ||||||||
|
| |||||||
Electric – 1.7% | ||||||||
Alabama Power Co. | 75,000 | 72,212 | ||||||
Ameren Corp. | 50,000 | 50,086 | ||||||
American Electric Power Co., Inc. | 50,000 | 50,240 | ||||||
Appalachian Power Co.: | ||||||||
4.40%, 5/15/2044 | 25,000 | 25,302 | ||||||
7.00%, 4/1/2038 | 25,000 | 33,290 | ||||||
Arizona Public Service Co. | 25,000 | 23,400 | ||||||
Baltimore Gas & Electric Co. | 50,000 | 63,211 | ||||||
Berkshire Hathaway Energy Co.: | ||||||||
2.40%, 2/1/2020 | 80,000 | 80,160 | ||||||
4.50%, 2/1/2045 | 50,000 | 52,205 | ||||||
5.15%, 11/15/2043 | 50,000 | 56,352 | ||||||
6.50%, 9/15/2037 | 80,000 | 103,625 | ||||||
Black Hills Corp. | 25,000 | 23,920 | ||||||
Cleco Corporate Holdings LLC | 20,000 | 20,459 | ||||||
CMS Energy Corp. | 50,000 | 47,398 | ||||||
Commonwealth Edison Co. | 100,000 | 104,839 |
See accompanying notes to financial statements.
29
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Electric – (continued) |
| |||||||
Consolidated Edison Co. of New York, Inc.: | ||||||||
4.45%, 3/15/2044 | $ | 75,000 | $ | 78,616 | ||||
Series 06-B, | 25,000 | 31,327 | ||||||
Consolidated Edison, Inc. | 30,000 | 29,271 | ||||||
Consumers Energy Co. | 50,000 | 44,337 | ||||||
Dominion Resources, Inc.: | ||||||||
4.70%, 12/1/2044 | 30,000 | 30,785 | ||||||
Series D, 2.85%, 8/15/2026 | 25,000 | 23,411 | ||||||
DTE Electric Co. | 25,000 | 24,058 | ||||||
DTE Energy Co.: | ||||||||
2.40%, 12/1/2019 | 25,000 | 25,099 | ||||||
3.30%, 6/15/2022 | 25,000 | 25,411 | ||||||
Duke Energy Carolinas LLC | 130,000 | 132,824 | ||||||
Duke Energy Corp.: | ||||||||
2.10%, 6/15/2018 | 72,000 | 72,299 | ||||||
2.65%, 9/1/2026 | 50,000 | 46,678 | ||||||
3.75%, 9/1/2046 | 50,000 | 44,872 | ||||||
Duke Energy Florida LLC | 50,000 | 65,762 | ||||||
Duke Energy Progress LLC | 100,000 | 100,817 | ||||||
Edison International | 50,000 | 49,687 | ||||||
Emera US Finance L.P.: | ||||||||
2.15%, 6/15/2019(c) | 100,000 | 99,746 | ||||||
4.75%, 6/15/2046(c) | 30,000 | 30,163 | ||||||
Entergy Corp. | 50,000 | 52,243 | ||||||
Entergy Louisiana LLC | 25,000 | 23,476 | ||||||
Entergy Mississippi, Inc. | 25,000 | 23,666 | ||||||
Exelon Corp.: | ||||||||
3.95%, 6/15/2025 | 50,000 | 51,121 | ||||||
5.10%, 6/15/2045 | 80,000 | 84,946 | ||||||
FirstEnergy Corp.: | ||||||||
Series A, 2.75%, 3/15/2018 | 10,000 | 10,073 | ||||||
Series B, 4.25%, 3/15/2023 | 10,000 | 10,352 | ||||||
Series C, 7.38%, 11/15/2031 | 20,000 | 25,661 | ||||||
Florida Power & Light Co.: | ||||||||
3.25%, 6/1/2024 | 25,000 | 25,556 | ||||||
4.05%, 10/1/2044 | 50,000 | 51,209 | ||||||
Fortis, Inc. | 50,000 | 46,706 | ||||||
Interstate Power & Light Co. | 50,000 | 46,348 | ||||||
Midamerican Funding LLC | 50,000 | 65,494 | ||||||
NextEra Energy Capital Holdings, Inc. | 100,000 | 100,502 | ||||||
NiSource Finance Corp.: | ||||||||
4.80%, 2/15/2044 | 30,000 | 31,433 | ||||||
6.80%, 1/15/2019 | 25,000 | 27,245 | ||||||
NSTAR Electric Co. | $ | 50,000 | $ | 47,780 | ||||
Oncor Electric Delivery Co. LLC | 50,000 | 71,569 | ||||||
Pacific Gas & Electric Co.: | ||||||||
3.25%, 6/15/2023 | 50,000 | 50,805 | ||||||
4.75%, 2/15/2044 | 50,000 | 54,658 | ||||||
6.05%, 3/1/2034 | 50,000 | 62,404 | ||||||
PPL Capital Funding, Inc.: | ||||||||
3.50%, 12/1/2022 | 75,000 | 76,546 | ||||||
5.00%, 3/15/2044 | 50,000 | 52,362 | ||||||
Public Service Co. of Colorado | 25,000 | 25,738 | ||||||
Public Service Electric & Gas Co.: | ||||||||
3.65%, 9/1/2042 | 50,000 | 47,856 | ||||||
Series MTN, | 50,000 | 48,985 | ||||||
Puget Sound Energy, Inc. | 50,000 | 60,151 | ||||||
San Diego Gas & Electric Co. | 50,000 | 52,207 | ||||||
Sierra Pacific Power Co. | 50,000 | 47,626 | ||||||
South Carolina Electric & Gas Co.: | ||||||||
4.10%, 6/15/2046 | 50,000 | 49,579 | ||||||
4.50%, 6/1/2064 | 35,000 | 34,327 | ||||||
Southern California Edison Co.: | ||||||||
4.50%, 9/1/2040 | 25,000 | 26,629 | ||||||
Series 13-A, | 50,000 | 49,227 | ||||||
Southern Co.: | ||||||||
1.85%, 7/1/2019 | 100,000 | 99,457 | ||||||
2.35%, 7/1/2021 | 75,000 | 73,620 | ||||||
4.25%, 7/1/2036 | 150,000 | 149,109 | ||||||
Series B, 3 month USD LIBOR + 3.630%, | 50,000 | 50,457 | ||||||
Southwestern Electric Power Co. | 50,000 | 47,208 | ||||||
Southwestern Public Service Co. | 50,000 | 50,700 | ||||||
Virginia Electric & Power Co.: | ||||||||
3.45%, 2/15/2024 | 50,000 | 51,327 | ||||||
8.88%, 11/15/2038 | 50,000 | 80,120 | ||||||
Series B, 2.95%, 11/15/2026 | 30,000 | 29,218 | ||||||
WEC Energy Group, Inc. | 25,000 | 25,474 | ||||||
Westar Energy, Inc. | 30,000 | 29,892 | ||||||
Wisconsin Public Service Corp. | 100,000 | 99,815 | ||||||
Xcel Energy, Inc. | 75,000 | 79,997 | ||||||
|
| |||||||
4,162,736 | ||||||||
|
| |||||||
Electrical Components & Equipment – 0.1% |
| |||||||
Emerson Electric Co.: | ||||||||
2.63%, 12/1/2021 | 50,000 | 50,302 |
See accompanying notes to financial statements.
30
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Electrical Components & Equipment – (continued) |
| |||||||
2.63%, 2/15/2023 | $ | 25,000 | $ | 24,747 | ||||
Hubbell, Inc. | 50,000 | 49,477 | ||||||
|
| |||||||
124,526 | ||||||||
|
| |||||||
Electronics – 0.2% | ||||||||
Corning, Inc. | 25,000 | 27,506 | ||||||
Fortive Corp.: | ||||||||
1.80%, 6/15/2019(c) | 100,000 | 99,078 | ||||||
3.15%, 6/15/2026(c) | 50,000 | 49,274 | ||||||
Honeywell International, Inc.: | ||||||||
2.50%, 11/1/2026 | 50,000 | 47,346 | ||||||
3.35%, 12/1/2023 | 50,000 | 51,595 | ||||||
Koninklijke Philips NV | 50,000 | 52,144 | ||||||
Thermo Fisher Scientific, Inc.: | ||||||||
1.85%, 1/15/2018 | 50,000 | 50,093 | ||||||
3.30%, 2/15/2022 | 50,000 | 50,626 | ||||||
4.15%, 2/1/2024 | 25,000 | 25,963 | ||||||
|
| |||||||
453,625 | ||||||||
|
| |||||||
Engineering & Construction – 0.0%(b) |
| |||||||
ABB Finance USA, Inc. | 50,000 | 50,324 | ||||||
|
| |||||||
Environmental Control – 0.1% | ||||||||
Republic Services, Inc.: | ||||||||
2.90%, 7/1/2026 | 45,000 | 43,013 | ||||||
3.55%, 6/1/2022 | 25,000 | 25,960 | ||||||
Waste Management, Inc.: | ||||||||
2.40%, 5/15/2023 | 50,000 | 48,541 | ||||||
3.50%, 5/15/2024 | 25,000 | 25,784 | ||||||
3.90%, 3/1/2035 | 50,000 | 49,657 | ||||||
|
| |||||||
192,955 | ||||||||
|
| |||||||
Food – 0.4% | ||||||||
General Mills, Inc.: | ||||||||
2.20%, 10/21/2019 | 25,000 | 25,080 | ||||||
3.65%, 2/15/2024 | 50,000 | 51,904 | ||||||
Hershey Co. | 25,000 | 25,229 | ||||||
JM Smucker Co.: | ||||||||
2.50%, 3/15/2020 | 25,000 | 25,121 | ||||||
4.25%, 3/15/2035 | 50,000 | 50,755 | ||||||
Kellogg Co. | 25,000 | 26,354 | ||||||
Kraft Heinz Foods Co.: | ||||||||
2.80%, 7/2/2020 | 100,000 | 100,705 | ||||||
3.50%, 7/15/2022 | 50,000 | 50,754 | ||||||
3.95%, 7/15/2025 | 50,000 | 50,718 | ||||||
4.38%, 6/1/2046 | 50,000 | 47,379 | ||||||
6.13%, 8/23/2018 | 25,000 | 26,631 | ||||||
6.88%, 1/26/2039 | 50,000 | 62,860 | ||||||
Kroger Co.: | ||||||||
2.65%, 10/15/2026 | 50,000 | 46,458 | ||||||
3.85%, 8/1/2023 | 75,000 | 77,836 | ||||||
Mondelez International, Inc. | 100,000 | 104,859 | ||||||
Sysco Corp.: | ||||||||
3.30%, 7/15/2026 | 100,000 | 98,109 | ||||||
3.75%, 10/1/2025 | 5,000 | 5,057 | ||||||
4.85%, 10/1/2045 | 5,000 | 5,268 | ||||||
Tyson Foods, Inc. | 30,000 | 31,913 | ||||||
Unilever Capital Corp. | 50,000 | 50,273 | ||||||
Whole Foods Market, Inc. | 50,000 | 53,002 | ||||||
|
| |||||||
1,016,265 | ||||||||
|
| |||||||
Forest Products & Paper – 0.1% | ||||||||
Celulosa Arauco y Constitucion SA | 50,000 | 50,758 | ||||||
Georgia-Pacific LLC | 25,000 | 33,850 | ||||||
International Paper Co.: | ||||||||
3.65%, 6/15/2024 | 25,000 | 25,311 | ||||||
4.40%, 8/15/2047 | 50,000 | 47,429 | ||||||
5.00%, 9/15/2035 | 100,000 | 106,869 | ||||||
|
| |||||||
264,217 | ||||||||
|
| |||||||
Gas – 0.1% | ||||||||
AGL Capital Corp. | 25,000 | 26,735 | ||||||
Atmos Energy Corp. | 25,000 | 24,714 | ||||||
Dominion Gas Holdings LLC: | ||||||||
2.80%, 11/15/2020 | 50,000 | 50,385 | ||||||
3.60%, 12/15/2024 | 50,000 | 50,495 | ||||||
4.80%, 11/1/2043 | 25,000 | 25,945 | ||||||
Southern California Gas Co.: | ||||||||
3.15%, 9/15/2024 | 25,000 | 25,350 | ||||||
3.20%, 6/15/2025 | 50,000 | 50,672 | ||||||
3.75%, 9/15/2042 | 30,000 | 29,105 | ||||||
5.13%, 11/15/2040 | 25,000 | 28,885 | ||||||
|
| |||||||
312,286 | ||||||||
|
| |||||||
Hand & Machine Tools – 0.0%(b) | ||||||||
Stanley Black & Decker, Inc. 3 month USD LIBOR + | 50,000 | 52,715 | ||||||
|
| |||||||
Health Care Products – 0.5% | ||||||||
Abbott Laboratories: | ||||||||
2.35%, 11/22/2019 | 35,000 | 35,041 | ||||||
2.90%, 11/30/2021 | 50,000 | 49,821 | ||||||
3.40%, 11/30/2023 | 50,000 | 49,651 | ||||||
3.75%, 11/30/2026 | 50,000 | 49,731 | ||||||
4.90%, 11/30/2046 | 50,000 | 51,217 | ||||||
Baxter International, Inc. | 50,000 | 42,023 | ||||||
Becton Dickinson and Co.: | ||||||||
2.68%, 12/15/2019 | 44,000 | 44,600 | ||||||
3.73%, 12/15/2024 | 50,000 | 51,117 | ||||||
4.69%, 12/15/2044 | 25,000 | 25,865 | ||||||
Boston Scientific Corp.: | ||||||||
2.65%, 10/1/2018 | 25,000 | 25,294 | ||||||
3.38%, 5/15/2022 | 50,000 | 50,752 | ||||||
Covidien International Finance SA | 50,000 | 50,932 |
See accompanying notes to financial statements.
31
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Health Care Products – (continued) |
| |||||||
Danaher Corp. | $ | 45,000 | $ | 45,150 | ||||
Medtronic, Inc.: | ||||||||
1.38%, 4/1/2018 | 25,000 | 24,953 | ||||||
3.15%, 3/15/2022 | 150,000 | 153,300 | ||||||
4.38%, 3/15/2035 | 75,000 | 79,205 | ||||||
4.63%, 3/15/2045 | 75,000 | 81,517 | ||||||
5.55%, 3/15/2040 | 25,000 | 29,395 | ||||||
St. Jude Medical, Inc. | 25,000 | 24,578 | ||||||
Stryker Corp.: | ||||||||
3.38%, 11/1/2025 | 25,000 | 24,857 | ||||||
3.50%, 3/15/2026 | 25,000 | 25,180 | ||||||
4.63%, 3/15/2046 | 25,000 | 25,443 | ||||||
Zimmer Biomet Holdings, Inc. | 100,000 | 97,500 | ||||||
|
| |||||||
1,137,122 | ||||||||
|
| |||||||
Health Care Services – 0.5% | ||||||||
Aetna, Inc.: | ||||||||
2.20%, 3/15/2019 | 25,000 | 25,082 | ||||||
2.80%, 6/15/2023 | 100,000 | 98,412 | ||||||
3.20%, 6/15/2026 | 20,000 | 19,772 | ||||||
4.13%, 11/15/2042 | 25,000 | 23,836 | ||||||
4.25%, 6/15/2036 | 60,000 | 60,211 | ||||||
4.38%, 6/15/2046 | 30,000 | 30,246 | ||||||
Anthem, Inc.: | ||||||||
2.25%, 8/15/2019 | 50,000 | 49,907 | ||||||
3.30%, 1/15/2023 | 50,000 | 49,913 | ||||||
3.50%, 8/15/2024 | 25,000 | 24,909 | ||||||
4.65%, 1/15/2043 | 50,000 | 50,145 | ||||||
Cigna Corp. | 50,000 | 55,571 | ||||||
Howard Hughes Medical Institute | 25,000 | 26,052 | ||||||
Humana, Inc.: | ||||||||
2.63%, 10/1/2019 | 50,000 | 50,335 | ||||||
4.95%, 10/1/2044 | 50,000 | 52,545 | ||||||
Kaiser Foundation Hospitals | 50,000 | 51,505 | ||||||
Laboratory Corp. of America Holdings: | ||||||||
2.63%, 2/1/2020 | 25,000 | 25,049 | ||||||
4.70%, 2/1/2045 | 25,000 | 24,731 | ||||||
Memorial Sloan-Kettering Cancer Center | 25,000 | 24,096 | ||||||
New York and Presbyterian Hospital | 50,000 | 47,928 | ||||||
Quest Diagnostics, Inc.: | ||||||||
2.70%, 4/1/2019 | 25,000 | 25,254 | ||||||
4.70%, 3/30/2045 | 25,000 | 24,872 | ||||||
UnitedHealth Group, Inc.: | ||||||||
1.70%, 2/15/2019 | 25,000 | 24,927 | ||||||
1.90%, 7/16/2018 | 25,000 | 25,087 | ||||||
2.70%, 7/15/2020 | 105,000 | 106,541 | ||||||
2.88%, 3/15/2022 | 25,000 | 25,285 | ||||||
3.10%, 3/15/2026 | 50,000 | 49,293 | ||||||
3.75%, 7/15/2025 | 5,000 | 5,187 | ||||||
4.63%, 7/15/2035 | 25,000 | 27,256 | ||||||
4.75%, 7/15/2045 | 30,000 | 33,248 | ||||||
6.88%, 2/15/2038 | 25,000 | 34,101 | ||||||
|
| |||||||
1,171,296 | ||||||||
|
| |||||||
Holding Companies-Divers – 0.0%(b) |
| |||||||
MUFG Americas Holdings Corp. | 25,000 | 24,751 | ||||||
|
| |||||||
Home Builders – 0.0%(b) | ||||||||
DR Horton, Inc.: | ||||||||
3.75%, 3/1/2019 | 10,000 | 10,194 | ||||||
4.00%, 2/15/2020 | 15,000 | 15,412 | ||||||
|
| |||||||
25,606 | ||||||||
|
| |||||||
Home Furnishings – 0.0%(b) | ||||||||
Whirlpool Corp. | 25,000 | 24,408 | ||||||
|
| |||||||
Household Products – 0.1% | ||||||||
Colgate-Palmolive Co. | 25,000 | 25,071 | ||||||
Estee Lauder Cos., Inc. | 25,000 | 23,161 | ||||||
Procter & Gamble Co.: | ||||||||
1.70%, 11/3/2021 | 100,000 | 98,136 | ||||||
1.85%, 2/2/2021 | 50,000 | 49,537 | ||||||
|
| |||||||
195,905 | ||||||||
|
| |||||||
Household Products & Wares – 0.0%(b) |
| |||||||
Kimberly-Clark Corp.: | ||||||||
1.40%, 2/15/2019 | 25,000 | 24,848 | ||||||
2.15%, 8/15/2020 | 25,000 | 24,990 | ||||||
2.75%, 2/15/2026 | 25,000 | 24,358 | ||||||
|
| |||||||
74,196 | ||||||||
|
| |||||||
Housewares – 0.1% | ||||||||
Newell Brands, Inc.: | ||||||||
2.60%, 3/29/2019 | 50,000 | 50,550 | ||||||
3.15%, 4/1/2021 | 50,000 | 50,930 | ||||||
3.85%, 4/1/2023 | 50,000 | 51,722 | ||||||
4.20%, 4/1/2026 | 50,000 | 52,158 | ||||||
5.50%, 4/1/2046 | 50,000 | 57,730 | ||||||
|
| |||||||
263,090 | ||||||||
|
| |||||||
Insurance – 0.7% | ||||||||
ACE INA Holdings, Inc. | 50,000 | 50,196 | ||||||
Aflac, Inc. | 50,000 | 51,613 | ||||||
Alleghany Corp. | 50,000 | 47,756 | ||||||
Allstate Corp.: | ||||||||
4.20%, 12/15/2046 | 50,000 | 51,234 | ||||||
3 month USD LIBOR + | 25,000 | 25,886 | ||||||
American International Group, Inc.: | ||||||||
2.30%, 7/16/2019 | 50,000 | 50,217 | ||||||
3.88%, 1/15/2035 | 50,000 | 46,783 | ||||||
3.90%, 4/1/2026 | 30,000 | 30,481 |
See accompanying notes to financial statements.
32
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Insurance – (continued) |
| |||||||
4.50%, 7/16/2044 | $ | 50,000 | $ | 49,449 | ||||
4.88%, 6/1/2022 | 50,000 | 54,583 | ||||||
Aon PLC: | ||||||||
3.50%, 6/14/2024 | 50,000 | 50,109 | ||||||
4.45%, 5/24/2043 | 25,000 | 24,010 | ||||||
Berkshire Hathaway Finance Corp. | 55,000 | 54,920 | ||||||
Berkshire Hathaway, Inc.: | ||||||||
2.20%, 3/15/2021 | 55,000 | 54,806 | ||||||
3.00%, 2/11/2023 | 25,000 | 25,229 | ||||||
3.13%, 3/15/2026 | 55,000 | 54,606 | ||||||
4.50%, 2/11/2043 | 80,000 | 85,286 | ||||||
Chubb INA Holdings, Inc.: | ||||||||
3.35%, 5/3/2026 | 50,000 | 50,599 | ||||||
4.15%, 3/13/2043 | 25,000 | 25,102 | ||||||
4.35%, 11/3/2045 | 25,000 | 26,512 | ||||||
CNA Financial Corp. | 25,000 | 26,172 | ||||||
First American Financial Corp. | 25,000 | 24,671 | ||||||
Hartford Financial Services Group, Inc. | 25,000 | 27,628 | ||||||
Lincoln National Corp. | 50,000 | 59,395 | ||||||
Loews Corp. | 50,000 | 50,861 | ||||||
Marsh & McLennan Cos., Inc.: | ||||||||
3.75%, 3/14/2026 | 25,000 | 25,542 | ||||||
Series MTN, | 25,000 | 25,207 | ||||||
MetLife, Inc.: | ||||||||
4.05%, 3/1/2045 | 50,000 | 48,200 | ||||||
6.40%, 12/15/2066 | 100,000 | 107,930 | ||||||
Series D, | 50,000 | 53,687 | ||||||
Principal Financial Group, Inc. 3 month USD LIBOR + | 75,000 | 73,353 | ||||||
Progressive Corp. | 50,000 | 52,757 | ||||||
Prudential Financial, Inc.: | ||||||||
4.60%, 5/15/2044 | 25,000 | 25,942 | ||||||
3 month USD LIBOR + | 80,000 | 82,825 | ||||||
6.63%, 6/21/2040 | 25,000 | 31,768 | ||||||
Series MTN, | 50,000 | 51,093 | ||||||
Travelers Cos., Inc.: | ||||||||
3.75%, 5/15/2046 | 10,000 | 9,479 | ||||||
6.25%, 6/15/2037 | 25,000 | 32,021 | ||||||
Trinity Acquisition PLC | 26,000 | 26,284 | ||||||
Voya Financial, Inc. | 50,000 | 48,938 | ||||||
XLIT, Ltd. | 25,000 | 23,548 | ||||||
|
| |||||||
1,816,678 | ||||||||
|
| |||||||
Internet – 0.2% | ||||||||
Alibaba Group Holding, Ltd.: | ||||||||
3.13%, 11/28/2021 | 25,000 | 25,044 | ||||||
3.60%, 11/28/2024 | 75,000 | 74,369 | ||||||
Alphabet, Inc.: | ||||||||
2.00%, 8/15/2026 | 50,000 | 45,814 | ||||||
3.63%, 5/19/2021 | 50,000 | 53,073 | ||||||
Amazon.com, Inc.: | ||||||||
2.50%, 11/29/2022 | 25,000 | 24,682 | ||||||
2.60%, 12/5/2019 | 75,000 | 76,444 | ||||||
3.80%, 12/5/2024 | 30,000 | 31,463 | ||||||
4.95%, 12/5/2044 | 25,000 | 28,480 | ||||||
Baidu, Inc. | 100,000 | 101,454 | ||||||
eBay, Inc.: | ||||||||
3.45%, 8/1/2024 | 25,000 | 24,587 | ||||||
3.80%, 3/9/2022 | 50,000 | 51,591 | ||||||
|
| |||||||
537,001 | ||||||||
|
| |||||||
Iron/Steel – 0.1% | ||||||||
Nucor Corp.: | ||||||||
4.00%, 8/1/2023 | 25,000 | 26,197 | ||||||
5.20%, 8/1/2043 | 50,000 | 56,755 | ||||||
Vale Overseas, Ltd.: | ||||||||
4.38%, 1/11/2022 | 25,000 | 24,625 | ||||||
5.88%, 6/10/2021 | 70,000 | 73,413 | ||||||
8.25%, 1/17/2034 | 25,000 | 27,688 | ||||||
Vale SA | 50,000 | 44,437 | ||||||
|
| |||||||
253,115 | ||||||||
|
| |||||||
IT Services – 0.7% | ||||||||
Apple, Inc.: | ||||||||
1.55%, 2/7/2020 | 25,000 | 24,713 | ||||||
1.55%, 8/4/2021 | 50,000 | 48,288 | ||||||
1.70%, 2/22/2019 | 35,000 | 35,061 | ||||||
2.25%, 2/23/2021 | 200,000 | 199,802 | ||||||
2.40%, 5/3/2023 | 25,000 | 24,377 | ||||||
2.85%, 5/6/2021 | 25,000 | 25,552 | ||||||
3.25%, 2/23/2026 | 150,000 | 150,333 | ||||||
3.85%, 5/4/2043 | 25,000 | 23,798 | ||||||
4.38%, 5/13/2045 | 75,000 | 77,288 | ||||||
4.50%, 2/23/2036 | 100,000 | 107,489 | ||||||
4.65%, 2/23/2046 | 75,000 | 81,139 | ||||||
Diamond 1 Finance Corp./Diamond 2 Finance Corp.: | ||||||||
3.48%, 6/1/2019(c) | 120,000 | 122,420 | ||||||
4.42%, 6/15/2021(c) | 50,000 | 51,599 | ||||||
5.45%, 6/15/2023(c) | 75,000 | 79,585 | ||||||
6.02%, 6/15/2026(c) | 20,000 | 21,674 | ||||||
8.35%, 7/15/2046(c) | 70,000 | 86,841 | ||||||
Hewlett Packard Enterprise Co.: | ||||||||
2.85%, 10/5/2018 | 155,000 | 156,550 | ||||||
3.60%, 10/15/2020 | 10,000 | 10,187 | ||||||
4.90%, 10/15/2025 | 70,000 | 72,036 | ||||||
6.20%, 10/15/2035 | 10,000 | 10,265 | ||||||
6.35%, 10/15/2045 | 10,000 | 10,170 | ||||||
HP, Inc.: | ||||||||
4.05%, 9/15/2022 | 25,000 | 25,864 | ||||||
4.65%, 12/9/2021 | 50,000 | 53,345 |
See accompanying notes to financial statements.
33
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
IT Services – (continued) |
| |||||||
International Business Machines Corp.: | ||||||||
1.80%, 5/17/2019 | $ | 100,000 | $ | 100,108 | ||||
2.88%, 11/9/2022 | 100,000 | 100,579 | ||||||
3.63%, 2/12/2024 | 50,000 | 51,992 | ||||||
4.70%, 2/19/2046 | 25,000 | 27,383 | ||||||
5.88%, 11/29/2032 | 25,000 | 31,408 | ||||||
Seagate HDD Cayman | 50,000 | 49,652 | ||||||
|
| |||||||
1,859,498 | ||||||||
|
| |||||||
Lodging – 0.0%(b) | ||||||||
Marriott International, Inc.: | ||||||||
2.88%, 3/1/2021 | 50,000 | 50,136 | ||||||
3.75%, 3/15/2025 | 25,000 | 24,892 | ||||||
|
| |||||||
75,028 | ||||||||
|
| |||||||
Machinery, Construction & Mining – 0.1% |
| |||||||
Caterpillar Financial Services Corp.: | ||||||||
1.70%, 8/9/2021 | 50,000 | 48,013 | ||||||
Series MTN, 1.30%, 3/1/2018 | 50,000 | 49,828 | ||||||
Series MTN, | 100,000 | 98,577 | ||||||
Series MTN, | 25,000 | 26,235 | ||||||
Caterpillar, Inc.: | ||||||||
3.80%, 8/15/2042 | 25,000 | 24,156 | ||||||
4.75%, 5/15/2064 | 25,000 | 26,681 | ||||||
|
| |||||||
273,490 | ||||||||
|
| |||||||
Machinery-Diversified – 0.1% | ||||||||
Deere & Co.: | ||||||||
2.60%, 6/8/2022 | 25,000 | 24,832 | ||||||
3.90%, 6/9/2042 | 25,000 | 25,155 | ||||||
John Deere Capital Corp.: | ||||||||
Series MTN, 1.95%, 1/8/2019 | 50,000 | 50,175 | ||||||
Series MTN, | 25,000 | 25,016 | ||||||
Series MTN, 2.80%, 3/6/2023 | 50,000 | 49,833 | ||||||
Series MTN, | 25,000 | 25,695 | ||||||
Roper Technologies, Inc.: | ||||||||
2.80%, 12/15/2021 | 50,000 | 50,079 | ||||||
3.80%, 12/15/2026 | 30,000 | 30,288 | ||||||
|
| |||||||
281,073 | ||||||||
|
| |||||||
Media – 0.9% | ||||||||
21st Century Fox America, Inc.: | ||||||||
4.00%, 10/1/2023 | 100,000 | 103,696 | ||||||
5.40%, 10/1/2043 | 75,000 | 81,451 | ||||||
7.25%, 5/18/2018 | 25,000 | 26,790 | ||||||
CBS Corp.: | ||||||||
2.30%, 8/15/2019 | 75,000 | 75,225 | ||||||
2.90%, 1/15/2027 | 25,000 | 23,191 | ||||||
Charter Communications Operating LLC/Charter Communications Operating Capital: | ||||||||
3.58%, 7/23/2020 | 65,000 | 65,890 | ||||||
4.91%, 7/23/2025 | 50,000 | 52,562 | ||||||
6.48%, 10/23/2045 | 85,000 | 97,856 | ||||||
Comcast Corp.: | ||||||||
2.75%, 3/1/2023 | 175,000 | 173,589 | ||||||
3.15%, 3/1/2026 | 75,000 | 74,205 | ||||||
3.20%, 7/15/2036 | 50,000 | 45,169 | ||||||
3.60%, 3/1/2024 | 25,000 | 25,779 | ||||||
4.20%, 8/15/2034 | 100,000 | 102,573 | ||||||
4.25%, 1/15/2033 | 50,000 | 52,058 | ||||||
4.65%, 7/15/2042 | 75,000 | 79,007 | ||||||
Discovery Communications LLC: | ||||||||
3.25%, 4/1/2023 | 25,000 | 24,453 | ||||||
4.95%, 5/15/2042 | 50,000 | 46,291 | ||||||
Grupo Televisa SAB | 50,000 | 43,221 | ||||||
NBCUniversal Media LLC: | ||||||||
5.15%, 4/30/2020 | 50,000 | 54,685 | ||||||
6.40%, 4/30/2040 | 50,000 | 64,816 | ||||||
Thomson Reuters Corp.: | ||||||||
3.35%, 5/15/2026 | 50,000 | 48,529 | ||||||
3.85%, 9/29/2024 | 25,000 | 25,314 | ||||||
Time Warner Cable LLC: | ||||||||
4.00%, 9/1/2021 | 25,000 | 25,656 | ||||||
5.00%, 2/1/2020 | 100,000 | 105,875 | ||||||
5.50%, 9/1/2041 | 25,000 | 25,188 | ||||||
5.88%, 11/15/2040 | 50,000 | 52,750 | ||||||
6.75%, 7/1/2018 | 25,000 | 26,688 | ||||||
6.75%, 6/15/2039 | 50,000 | 58,187 | ||||||
Time Warner, Inc.: | ||||||||
3.55%, 6/1/2024 | 25,000 | 24,764 | ||||||
3.60%, 7/15/2025 | 150,000 | 148,465 | ||||||
4.65%, 6/1/2044 | 25,000 | 24,155 | ||||||
4.85%, 7/15/2045 | 50,000 | 50,205 | ||||||
6.50%, 11/15/2036 | 50,000 | 60,716 | ||||||
Viacom, Inc.: | ||||||||
2.20%, 4/1/2019 | 25,000 | 24,737 | ||||||
2.25%, 2/4/2022 | 50,000 | 46,923 | ||||||
4.38%, 3/15/2043 | 25,000 | 19,953 | ||||||
4.88%, 6/15/2043 | 25,000 | 21,615 | ||||||
5.85%, 9/1/2043 | 50,000 | 49,205 | ||||||
Walt Disney Co.: | ||||||||
3.00%, 2/13/2026 | 50,000 | 49,918 | ||||||
Series GMTN, | 25,000 | 25,337 | ||||||
Series MTN, | 25,000 | 24,499 | ||||||
Series MTN, | 25,000 | 21,353 | ||||||
Series MTN, | 25,000 | 27,022 | ||||||
|
| |||||||
2,299,561 | ||||||||
|
| |||||||
Metal Fabricate & Hardware – 0.0%(b) |
| |||||||
Precision Castparts Corp. | 75,000 | 73,747 | ||||||
|
| |||||||
Mining – 0.2% | ||||||||
Barrick Gold Corp.: | ||||||||
4.10%, 5/1/2023 | 50,000 | 51,418 | ||||||
5.25%, 4/1/2042 | 25,000 | 24,624 |
See accompanying notes to financial statements.
34
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Mining – (continued) |
| |||||||
Barrick North America Finance LLC | $ | 7,000 | $ | 7,387 | ||||
BHP Billiton Finance USA, Ltd.: | ||||||||
3.25%, 11/21/2021 | 25,000 | 25,757 | ||||||
4.13%, 2/24/2042 | 25,000 | 24,582 | ||||||
5.00%, 9/30/2043 | 50,000 | 55,800 | ||||||
Goldcorp, Inc. | 50,000 | 49,200 | ||||||
Newmont Mining Corp.: | ||||||||
3.50%, 3/15/2022 | 25,000 | 25,340 | ||||||
4.88%, 3/15/2042 | 50,000 | 47,274 | ||||||
Rio Tinto Finance USA PLC: | ||||||||
3.50%, 3/22/2022 | 4,000 | 4,143 | ||||||
4.13%, 8/21/2042 | 25,000 | 24,705 | ||||||
Rio Tinto Finance USA, Ltd. | 100,000 | 103,345 | ||||||
Southern Copper Corp. | 57,000 | 55,932 | ||||||
|
| |||||||
499,507 | ||||||||
|
| |||||||
Miscellaneous Manufacturer – 0.2% |
| |||||||
3M Co.: | ||||||||
Series MTN, 1.63%, 6/15/2019 | 25,000 | 24,989 | ||||||
Series MTN, 2.00%, 8/7/2020 | 100,000 | 99,908 | ||||||
Eaton Corp. | 25,000 | 24,532 | ||||||
General Electric Co.: | ||||||||
2.70%, 10/9/2022 | 50,000 | 50,001 | ||||||
4.13%, 10/9/2042 | 125,000 | 125,740 | ||||||
4.50%, 3/11/2044 | 50,000 | 53,371 | ||||||
Illinois Tool Works, Inc.: | ||||||||
1.95%, 3/1/2019 | 25,000 | 25,131 | ||||||
3.90%, 9/1/2042 | 25,000 | 25,101 | ||||||
Ingersoll-Rand Global Holding Co., Ltd.: | ||||||||
5.75%, 6/15/2043 | 25,000 | 29,679 | ||||||
6.88%, 8/15/2018 | 25,000 | 27,018 | ||||||
Parker-Hannifin Corp. | 50,000 | 50,623 | ||||||
Tyco Electronics Group SA | 50,000 | 50,987 | ||||||
|
| |||||||
587,080 | ||||||||
|
| |||||||
Multi-National – 1.5% | ||||||||
African Development Bank: | ||||||||
Series 451, 0.88%, 3/15/2018 | 50,000 | 49,755 | ||||||
Series GDIF, | 50,000 | 49,298 | ||||||
Series GDIF, | 25,000 | 24,004 | ||||||
Asian Development Bank: | ||||||||
1.38%, 1/15/2019 | 225,000 | 224,449 | ||||||
1.63%, 3/16/2021 | 50,000 | 49,186 | ||||||
1.75%, 9/11/2018 | 50,000 | 50,323 | ||||||
2.00%, 4/24/2026 | 50,000 | 47,422 | ||||||
2.13%, 11/24/2021 | 75,000 | 74,884 | ||||||
Corp. Andina de Fomento | 50,000 | 48,456 | ||||||
Council of Europe Development Bank: | ||||||||
1.13%, 5/31/2018 | 25,000 | 24,901 | ||||||
1.63%, 3/16/2021 | 50,000 | 48,893 | ||||||
European Bank for Reconstruction & Development: | ||||||||
1.00%, 9/17/2018 | 50,000 | 49,690 | ||||||
1.63%, 11/15/2018 | 25,000 | 25,102 | ||||||
Series GMTN, | 75,000 | 73,631 | ||||||
European Investment Bank: | ||||||||
1.00%, 6/15/2018 | 50,000 | 49,740 | ||||||
1.13%, 8/15/2018 | 75,000 | 74,678 | ||||||
1.38%, 9/15/2021 | 200,000 | 192,584 | ||||||
1.75%, 6/17/2019 | 25,000 | 25,061 | ||||||
1.88%, 3/15/2019 | 50,000 | 50,329 | ||||||
1.88%, 2/10/2025 | 100,000 | 94,547 | ||||||
2.00%, 3/15/2021 | 225,000 | 223,785 | ||||||
2.13%, 10/15/2021 | 50,000 | 49,680 | ||||||
2.50%, 4/15/2021 | 50,000 | 50,666 | ||||||
2.50%, 10/15/2024 | 25,000 | 24,897 | ||||||
Series MTN, | 350,000 | 347,007 | ||||||
Inter-American Development Bank: | ||||||||
1.13%, 8/28/2018 | 50,000 | 49,823 | ||||||
1.25%, 1/16/2018 | 25,000 | 25,008 | ||||||
1.25%, 10/15/2019 | 100,000 | 98,879 | ||||||
1.88%, 6/16/2020 | 135,000 | 135,220 | ||||||
2.13%, 11/9/2020 | 25,000 | 25,207 | ||||||
3.00%, 2/21/2024 | 100,000 | 103,467 | ||||||
4.38%, 1/24/2044 | 25,000 | 28,989 | ||||||
International Bank for Reconstruction & Development: | ||||||||
0.88%, 7/19/2018 | 200,000 | 198,672 | ||||||
1.00%, 10/5/2018 | 100,000 | 99,377 | ||||||
2.13%, 11/1/2020 | 25,000 | 25,237 | ||||||
Series GDIF, | 100,000 | 100,117 | ||||||
Series GDIF, | 275,000 | 267,193 | ||||||
Series GDIF, | 50,000 | 49,958 | ||||||
Series GDIF, | 200,000 | 198,338 | ||||||
Series GMTN, | 50,000 | 49,106 | ||||||
Series GMTN, | 25,000 | 30,633 | ||||||
International Finance Corp.: | ||||||||
1.75%, 9/4/2018 | 175,000 | 176,143 | ||||||
Series GMTN, | 25,000 | 23,970 | ||||||
Nordic Investment Bank | 50,000 | 49,538 | ||||||
|
| |||||||
3,757,843 | ||||||||
|
|
See accompanying notes to financial statements.
35
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Office & Business Equipment – 0.0%(b) |
| |||||||
Xerox Corp. | $ | 50,000 | $ | 50,367 | ||||
|
| |||||||
Oil & Gas – 1.8% | ||||||||
Anadarko Petroleum Corp.: | ||||||||
3.45%, 7/15/2024 | 50,000 | 49,077 | ||||||
6.20%, 3/15/2040 | 25,000 | 28,756 | ||||||
6.60%, 3/15/2046 | 50,000 | 61,763 | ||||||
Apache Corp.: | ||||||||
4.75%, 4/15/2043 | 25,000 | 25,943 | ||||||
6.00%, 1/15/2037 | 50,000 | 57,324 | ||||||
BP Capital Markets PLC: | ||||||||
1.38%, 5/10/2018 | 25,000 | 24,902 | ||||||
1.67%, 2/13/2018 | 25,000 | 25,024 | ||||||
2.24%, 5/10/2019 | 25,000 | 25,122 | ||||||
2.32%, 2/13/2020 | 50,000 | 50,054 | ||||||
3.81%, 2/10/2024 | 150,000 | 155,539 | ||||||
Canadian Natural Resources, Ltd.: | ||||||||
3.45%, 11/15/2021 | 25,000 | 25,551 | ||||||
3.90%, 2/1/2025 | 25,000 | 24,991 | ||||||
Chevron Corp.: | ||||||||
1.37%, 3/2/2018 | 75,000 | 74,914 | ||||||
1.56%, 5/16/2019 | 75,000 | 74,695 | ||||||
1.72%, 6/24/2018 | 25,000 | 25,075 | ||||||
2.10%, 5/16/2021 | 50,000 | 49,517 | ||||||
2.42%, 11/17/2020 | 75,000 | 75,401 | ||||||
2.95%, 5/16/2026 | 50,000 | 49,202 | ||||||
3.19%, 6/24/2023 | 25,000 | 25,572 | ||||||
CNOOC Finance 2015 Australia Pty, Ltd. | 50,000 | 49,761 | ||||||
ConocoPhillips | 75,000 | 94,990 | ||||||
ConocoPhillips Co.: | ||||||||
2.20%, 5/15/2020 | 50,000 | 49,565 | ||||||
4.95%, 3/15/2026 | 100,000 | 110,307 | ||||||
5.75%, 2/1/2019 | 25,000 | 26,855 | ||||||
ConocoPhillips Holding Co. | 50,000 | 62,882 | ||||||
Devon Energy Corp.: | ||||||||
3.25%, 5/15/2022 | 50,000 | 49,625 | ||||||
5.00%, 6/15/2045 | 25,000 | 24,500 | ||||||
5.85%, 12/15/2025 | 50,000 | 56,812 | ||||||
Ecopetrol SA: | ||||||||
4.13%, 1/16/2025 | 100,000 | 94,546 | ||||||
5.88%, 5/28/2045 | 25,000 | 21,913 | ||||||
7.38%, 9/18/2043 | 50,000 | 50,790 | ||||||
Encana Corp. | 25,000 | 25,313 | ||||||
EOG Resources, Inc.: | ||||||||
2.63%, 3/15/2023 | 100,000 | 96,964 | ||||||
3.90%, 4/1/2035 | 25,000 | 23,818 | ||||||
Exxon Mobil Corp.: | ||||||||
1.31%, 3/6/2018 | 25,000 | 24,982 | ||||||
1.71%, 3/1/2019 | 100,000 | 100,086 | ||||||
2.73%, 3/1/2023 | 150,000 | 150,061 | ||||||
4.11%, 3/1/2046 | 25,000 | 25,647 | ||||||
Hess Corp. | 75,000 | 75,281 | ||||||
Marathon Oil Corp.: | ||||||||
2.80%, 11/1/2022 | 25,000 | 23,875 | ||||||
5.20%, 6/1/2045 | 50,000 | 47,000 | ||||||
Marathon Petroleum Corp. | 50,000 | 49,398 | ||||||
Nabors Industries, Inc. | 10,000 | 10,475 | ||||||
Nexen Energy ULC | 100,000 | 112,139 | ||||||
Noble Energy, Inc. | 50,000 | 50,950 | ||||||
Occidental Petroleum Corp.: | ||||||||
2.60%, 4/15/2022 | 100,000 | 99,603 | ||||||
4.40%, 4/15/2046 | 25,000 | 25,401 | ||||||
Series 1, | 25,000 | 26,480 | ||||||
Petro-Canada | 25,000 | 27,283 | ||||||
Petroleos Mexicanos: | ||||||||
2.46%, 12/15/2025 | 22,500 | 21,653 | ||||||
3.50%, 7/18/2018 | 25,000 | 25,257 | ||||||
3.50%, 7/23/2020 | 125,000 | 122,754 | ||||||
3.50%, 1/30/2023 | 25,000 | 22,896 | ||||||
4.25%, 1/15/2025 | 25,000 | 22,874 | ||||||
4.50%, 1/23/2026 | 75,000 | 68,482 | ||||||
4.63%, 9/21/2023(c) | 75,000 | 72,737 | ||||||
5.38%, 3/13/2022(c) | 50,000 | 51,352 | ||||||
5.50%, 2/4/2019(c) | 50,000 | 52,048 | ||||||
6.38%, 1/23/2045 | 150,000 | 137,324 | ||||||
6.50%, 3/13/2027(c) | 50,000 | 51,976 | ||||||
6.75%, 9/21/2047(c) | 23,000 | 21,780 | ||||||
Phillips 66: | ||||||||
4.30%, 4/1/2022 | 35,000 | 37,582 | ||||||
4.88%, 11/15/2044 | 50,000 | 52,765 | ||||||
Pioneer Natural Resources Co. | 50,000 | 52,910 | ||||||
Shell International Finance B.V.: | ||||||||
1.38%, 5/10/2019 | 25,000 | 24,736 | ||||||
2.13%, 5/11/2020 | 100,000 | 99,760 | ||||||
3.25%, 5/11/2025 | 100,000 | 100,039 | ||||||
4.13%, 5/11/2035 | 75,000 | 76,113 | ||||||
4.30%, 9/22/2019 | 25,000 | 26,509 | ||||||
4.38%, 5/11/2045 | 100,000 | 101,372 | ||||||
5.50%, 3/25/2040 | 25,000 | 29,134 | ||||||
Statoil ASA: | ||||||||
1.95%, 11/8/2018 | 25,000 | 25,086 | ||||||
2.65%, 1/15/2024 | 75,000 | 73,409 | ||||||
3.70%, 3/1/2024 | 25,000 | 26,097 | ||||||
3.95%, 5/15/2043 | 50,000 | 47,993 | ||||||
Suncor Energy, Inc.: | ||||||||
3.60%, 12/1/2024 | 25,000 | 25,543 | ||||||
6.50%, 6/15/2038 | 50,000 | 64,097 | ||||||
Total Capital International SA: | ||||||||
2.10%, 6/19/2019 | 100,000 | 100,465 | ||||||
3.75%, 4/10/2024 | 25,000 | 26,204 | ||||||
Total Capital SA | 25,000 | 25,191 | ||||||
Valero Energy Corp.: | ||||||||
3.40%, 9/15/2026 | 50,000 | 47,900 | ||||||
6.13%, 2/1/2020 | 25,000 | 27,624 | ||||||
6.63%, 6/15/2037 | 50,000 | 58,427 |
See accompanying notes to financial statements.
36
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Oil & Gas – (continued) |
| |||||||
XTO Energy, Inc. | $ | 25,000 | $ | 34,134 | ||||
|
| |||||||
4,469,947 | ||||||||
|
| |||||||
Oil & Gas Services – 0.1% | ||||||||
Baker Hughes, Inc. | 8,000 | 8,165 | ||||||
Halliburton Co.: | ||||||||
4.85%, 11/15/2035 | 50,000 | 52,891 | ||||||
5.00%, 11/15/2045 | 35,000 | 37,460 | ||||||
7.45%, 9/15/2039 | 25,000 | 33,714 | ||||||
National Oilwell Varco, Inc. | 75,000 | 69,486 | ||||||
|
| |||||||
201,716 | ||||||||
|
| |||||||
Pharmaceuticals – 1.3% | ||||||||
Abbott Laboratories | 75,000 | 72,222 | ||||||
AbbVie, Inc.: | ||||||||
2.30%, 5/14/2021 | 125,000 | 122,440 | ||||||
2.50%, 5/14/2020 | 25,000 | 25,034 | ||||||
2.90%, 11/6/2022 | 25,000 | 24,617 | ||||||
3.20%, 5/14/2026 | 50,000 | 47,559 | ||||||
4.30%, 5/14/2036 | 50,000 | 47,830 | ||||||
4.40%, 11/6/2042 | 50,000 | 47,269 | ||||||
4.45%, 5/14/2046 | 50,000 | 47,806 | ||||||
4.50%, 5/14/2035 | 50,000 | 49,297 | ||||||
Actavis Funding SCS: | ||||||||
2.35%, 3/12/2018 | 25,000 | 25,143 | ||||||
3.00%, 3/12/2020 | 75,000 | 76,005 | ||||||
3.80%, 3/15/2025 | 75,000 | 75,019 | ||||||
3.85%, 6/15/2024 | 50,000 | 50,491 | ||||||
4.75%, 3/15/2045 | 75,000 | 74,046 | ||||||
AstraZeneca PLC: | ||||||||
1.75%, 11/16/2018 | 100,000 | 100,078 | ||||||
3.38%, 11/16/2025 | 35,000 | 34,792 | ||||||
4.00%, 9/18/2042 | 25,000 | 23,776 | ||||||
6.45%, 9/15/2037 | 25,000 | 32,415 | ||||||
Baxalta, Inc.: | ||||||||
2.88%, 6/23/2020 | 25,000 | 24,973 | ||||||
4.00%, 6/23/2025 | 25,000 | 25,064 | ||||||
Bristol-Myers Squibb Co.: | ||||||||
1.75%, 3/1/2019 | 25,000 | 24,967 | ||||||
3.25%, 8/1/2042 | 50,000 | 44,726 | ||||||
Cardinal Health, Inc.: | ||||||||
1.70%, 3/15/2018 | 25,000 | 24,970 | ||||||
2.40%, 11/15/2019 | 50,000 | 50,259 | ||||||
4.90%, 9/15/2045 | 25,000 | 26,386 | ||||||
Eli Lilly & Co. | 25,000 | 29,851 | ||||||
Express Scripts Holding Co.: | ||||||||
2.25%, 6/15/2019 | 25,000 | 25,007 | ||||||
3.30%, 2/25/2021 | 25,000 | 25,471 | ||||||
4.50%, 2/25/2026 | 75,000 | 77,253 | ||||||
6.13%, 11/15/2041 | 25,000 | 28,717 | ||||||
GlaxoSmithKline Capital, Inc.: | ||||||||
2.80%, 3/18/2023 | 25,000 | 24,991 | ||||||
4.20%, 3/18/2043 | 25,000 | 25,782 | ||||||
6.38%, 5/15/2038 | 50,000 | 66,090 | ||||||
Johnson & Johnson: | ||||||||
1.65%, 3/1/2021 | 50,000 | 49,130 | ||||||
2.45%, 3/1/2026 | 30,000 | 28,724 | ||||||
3.38%, 12/5/2023 | 25,000 | 26,103 | ||||||
3.55%, 3/1/2036 | 50,000 | 49,877 | ||||||
4.50%, 12/5/2043 | 50,000 | 55,433 | ||||||
McKesson Corp.: | ||||||||
2.28%, 3/15/2019 | 75,000 | 75,286 | ||||||
2.85%, 3/15/2023 | 25,000 | 24,387 | ||||||
4.88%, 3/15/2044 | 25,000 | 25,512 | ||||||
Mead Johnson Nutrition Co. | 25,000 | 24,240 | ||||||
Merck & Co., Inc.: | ||||||||
2.35%, 2/10/2022 | 50,000 | 49,533 | ||||||
2.40%, 9/15/2022 | 25,000 | 24,673 | ||||||
2.75%, 2/10/2025 | 75,000 | 73,739 | ||||||
3.60%, 9/15/2042 | 25,000 | 23,655 | ||||||
3.70%, 2/10/2045 | 50,000 | 47,704 | ||||||
Mylan NV: | ||||||||
3.00%, 12/15/2018(c) | 100,000 | 100,766 | ||||||
3.15%, 6/15/2021(c) | 80,000 | 78,591 | ||||||
Novartis Capital Corp.: | ||||||||
3.00%, 11/20/2025 | 25,000 | 24,838 | ||||||
3.40%, 5/6/2024 | 25,000 | 25,765 | ||||||
4.00%, 11/20/2045 | 50,000 | 50,514 | ||||||
Novartis Securities Investment, Ltd. | 25,000 | 26,715 | ||||||
Perrigo Finance Unlimited Co. | 50,000 | 49,940 | ||||||
Pfizer, Inc.: | ||||||||
1.20%, 6/1/2018 | 30,000 | 29,912 | ||||||
1.45%, 6/3/2019 | 100,000 | 99,302 | ||||||
2.10%, 5/15/2019 | 25,000 | 25,229 | ||||||
3.00%, 12/15/2026 | 50,000 | 49,403 | ||||||
3.40%, 5/15/2024 | 25,000 | 25,830 | ||||||
7.20%, 3/15/2039 | 75,000 | 108,655 | ||||||
Sanofi | 25,000 | 26,551 | ||||||
Shire Acquisitions Investments Ireland DAC: | ||||||||
2.40%, 9/23/2021 | 50,000 | 48,216 | ||||||
2.88%, 9/23/2023 | 100,000 | 94,913 | ||||||
3.20%, 9/23/2026 | 30,000 | 28,031 | ||||||
Teva Pharmaceutical Finance IV LLC | 25,000 | 24,589 | ||||||
Teva Pharmaceutical Finance Netherlands III B.V.: | ||||||||
1.40%, 7/20/2018 | 50,000 | 49,526 | ||||||
1.70%, 7/19/2019 | 50,000 | 49,153 | ||||||
2.20%, 7/21/2021 | 50,000 | 47,774 | ||||||
3.15%, 10/1/2026 | 25,000 | 23,069 | ||||||
4.10%, 10/1/2046 | 25,000 | 21,386 | ||||||
Wyeth LLC | 25,000 | 31,142 | ||||||
Zoetis, Inc. | 25,000 | 24,067 | ||||||
|
| |||||||
3,242,219 | ||||||||
|
|
See accompanying notes to financial statements.
37
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Pipelines – 0.8% | ||||||||
Buckeye Partners L.P. | $ | 25,000 | $ | 26,524 | ||||
Enbridge Energy Partners L.P. | 25,000 | 26,033 | ||||||
Enbridge, Inc. | 50,000 | 51,166 | ||||||
Energy Transfer Partners L.P.: | ||||||||
4.75%, 1/15/2026 | 25,000 | 25,764 | ||||||
5.15%, 2/1/2043 | 25,000 | 23,339 | ||||||
5.15%, 3/15/2045 | 25,000 | 23,950 | ||||||
5.20%, 2/1/2022 | 100,000 | 107,050 | ||||||
6.70%, 7/1/2018 | 50,000 | 53,173 | ||||||
EnLink Midstream Partners L.P. | 25,000 | 25,156 | ||||||
Enterprise Products Operating LLC: | ||||||||
2.85%, 4/15/2021 | 75,000 | 75,556 | ||||||
3.75%, 2/15/2025 | 75,000 | 76,081 | ||||||
4.85%, 3/15/2044 | 50,000 | 50,582 | ||||||
4.90%, 5/15/2046 | 50,000 | 51,543 | ||||||
Series N, 6.50%, 1/31/2019 | 25,000 | 27,191 | ||||||
Kinder Morgan Energy Partners L.P.: | ||||||||
3.50%, 3/1/2021 | 25,000 | 25,331 | ||||||
5.40%, 9/1/2044 | 25,000 | 25,143 | ||||||
Kinder Morgan, Inc.: | ||||||||
3.05%, 12/1/2019 | 25,000 | 25,284 | ||||||
4.30%, 6/1/2025 | 50,000 | 51,467 | ||||||
5.05%, 2/15/2046 | 50,000 | 49,592 | ||||||
5.30%, 12/1/2034 | 200,000 | 204,214 | ||||||
Magellan Midstream Partners L.P. | 50,000 | 54,802 | ||||||
MPLX L.P. | 50,000 | 51,389 | ||||||
ONEOK Partners L.P. | 25,000 | 25,071 | ||||||
Phillips 66 Partners L.P.: | ||||||||
3.55%, 10/1/2026 | 10,000 | 9,679 | ||||||
4.90%, 10/1/2046 | 10,000 | 9,655 | ||||||
Plains All American Pipeline L.P./PAA Finance Corp.: | ||||||||
3.60%, 11/1/2024 | 25,000 | 24,056 | ||||||
4.50%, 12/15/2026 | 50,000 | 50,541 | ||||||
4.65%, 10/15/2025 | 50,000 | 51,389 | ||||||
4.70%, 6/15/2044 | 25,000 | 22,266 | ||||||
Spectra Energy Partners L.P. | 25,000 | 25,411 | ||||||
Sunoco Logistics Partners Operations L.P.: | ||||||||
5.30%, 4/1/2044 | 25,000 | 24,315 | ||||||
5.35%, 5/15/2045 | 25,000 | 24,388 | ||||||
TransCanada PipeLines, Ltd.: | ||||||||
2.50%, 8/1/2022 | 100,000 | 97,818 | ||||||
4.63%, 3/1/2034 | 50,000 | 52,699 | ||||||
7.63%, 1/15/2039 | 25,000 | 35,480 | ||||||
Western Gas Partners L.P. | 25,000 | 25,563 | ||||||
Williams Partners L.P.: | ||||||||
3.60%, 3/15/2022 | 100,000 | 100,210 | ||||||
3.90%, 1/15/2025 | 50,000 | 49,018 | ||||||
5.10%, 9/15/2045 | 125,000 | 118,442 | ||||||
5.25%, 3/15/2020 | 25,000 | 26,763 | ||||||
Williams Partners L.P./ACMP Finance Corp. | 50,000 | 50,934 | ||||||
|
| |||||||
1,954,028 | ||||||||
|
| |||||||
Real Estate – 0.0%(b) | ||||||||
CBRE Services, Inc. | 50,000 | 50,243 | ||||||
Prologis L.P. | 50,000 | 51,173 | ||||||
|
| |||||||
101,416 | ||||||||
|
| |||||||
Real Estate Investment Trusts – 0.6% |
| |||||||
American Tower Corp.: | ||||||||
3.38%, 10/15/2026 | 75,000 | 70,891 | ||||||
3.40%, 2/15/2019 | 25,000 | 25,536 | ||||||
3.50%, 1/31/2023 | 50,000 | 50,107 | ||||||
AvalonBay Communities, Inc.: | ||||||||
2.95%, 5/11/2026 | 50,000 | 47,761 | ||||||
Series GMTN, | 25,000 | 24,863 | ||||||
Boston Properties L.P.: | ||||||||
3.65%, 2/1/2026 | 50,000 | 49,520 | ||||||
3.85%, 2/1/2023 | 75,000 | 76,909 | ||||||
Brandywine Operating Partnership L.P. | 25,000 | 24,577 | ||||||
Brixmor Operating Partnership L.P. | 50,000 | 49,809 | ||||||
Care Capital Properties L.P. | 25,000 | 24,276 | ||||||
CBL & Associates L.P. | 50,000 | 50,534 | ||||||
Crown Castle International Corp.: | ||||||||
3.70%, 6/15/2026 | 15,000 | 14,693 | ||||||
5.25%, 1/15/2023 | 100,000 | 108,492 | ||||||
DDR Corp. | 25,000 | 25,300 | ||||||
Digital Realty Trust L.P. | 25,000 | 25,622 | ||||||
Duke Realty L.P. | 25,000 | 25,981 | ||||||
ERP Operating L.P. | 50,000 | 50,323 | ||||||
HCP, Inc.: | ||||||||
2.63%, 2/1/2020 | 25,000 | 25,009 | ||||||
3.88%, 8/15/2024 | 50,000 | 49,843 | ||||||
Healthcare Trust of America Holdings L.P. | 25,000 | 23,771 | ||||||
Hospitality Properties Trust | 25,000 | 24,880 | ||||||
Kimco Realty Corp. | 50,000 | 46,466 | ||||||
National Retail Properties, Inc. | 50,000 | 49,387 |
See accompanying notes to financial statements.
38
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Real Estate Investment Trusts – (continued) |
| |||||||
Omega Healthcare Investors, Inc. | $ | 50,000 | $ | 49,303 | ||||
Realty Income Corp. | 50,000 | 51,402 | ||||||
Simon Property Group L.P.: | ||||||||
2.50%, 7/15/2021 | 100,000 | 100,000 | ||||||
5.65%, 2/1/2020 | 25,000 | 27,300 | ||||||
Tanger Properties L.P. | 25,000 | 25,331 | ||||||
UDR, Inc. | 25,000 | 23,334 | ||||||
Ventas Realty L.P. / Ventas Capital Corp. | 50,000 | 50,099 | ||||||
VEREIT Operating Partnership L.P.: | ||||||||
3.00%, 2/6/2019 | 10,000 | 9,975 | ||||||
4.13%, 6/1/2021 | 5,000 | 5,094 | ||||||
4.60%, 2/6/2024 | 5,000 | 5,022 | ||||||
4.88%, 6/1/2026 | 10,000 | 10,116 | ||||||
Welltower, Inc.: | ||||||||
4.00%, 6/1/2025 | 75,000 | 76,560 | ||||||
5.25%, 1/15/2022 | 50,000 | 54,944 | ||||||
Weyerhaeuser Co. | 25,000 | 26,799 | ||||||
|
| |||||||
1,479,829 | ||||||||
|
| |||||||
Retail – 0.9% | ||||||||
AutoNation, Inc. | 25,000 | 25,076 | ||||||
AutoZone, Inc. | 25,000 | 24,695 | ||||||
CVS Health Corp.: | ||||||||
2.13%, 6/1/2021 | 100,000 | 98,080 | ||||||
2.25%, 12/5/2018 | 50,000 | 50,423 | ||||||
2.80%, 7/20/2020 | 20,000 | 20,291 | ||||||
2.88%, 6/1/2026 | 10,000 | 9,524 | ||||||
3.38%, 8/12/2024 | 25,000 | 25,052 | ||||||
3.88%, 7/20/2025 | 20,000 | 20,631 | ||||||
4.00%, 12/5/2023 | 25,000 | 26,141 | ||||||
4.88%, 7/20/2035 | 45,000 | 48,780 | ||||||
5.13%, 7/20/2045 | 35,000 | 39,044 | ||||||
Dollar General Corp. | 25,000 | 25,672 | ||||||
Home Depot, Inc.: | ||||||||
2.00%, 6/15/2019 | 25,000 | 25,206 | ||||||
2.00%, 4/1/2021 | 100,000 | 99,147 | ||||||
2.25%, 9/10/2018 | 25,000 | 25,324 | ||||||
3.00%, 4/1/2026 | 50,000 | 49,820 | ||||||
3.75%, 2/15/2024 | 25,000 | 26,334 | ||||||
4.25%, 4/1/2046 | 35,000 | 36,869 | ||||||
5.95%, 4/1/2041 | 50,000 | 63,459 | ||||||
Kohl’s Corp. | 20,000 | 19,106 | ||||||
Lowe’s Cos., Inc.: | ||||||||
2.50%, 4/15/2026 | 50,000 | 47,432 | ||||||
3.38%, 9/15/2025 | 25,000 | 25,488 | ||||||
4.25%, 9/15/2044 | 25,000 | 25,320 | ||||||
4.38%, 9/15/2045 | 25,000 | 25,819 | ||||||
4.65%, 4/15/2042 | 25,000 | 26,722 | ||||||
Macy’s Retail Holdings, Inc.: | ||||||||
3.63%, 6/1/2024 | 25,000 | 24,498 | ||||||
4.50%, 12/15/2034 | 50,000 | 44,336 | ||||||
McDonald’s Corp.: | ||||||||
2.75%, 12/9/2020 | 25,000 | 25,330 | ||||||
4.70%, 12/9/2035 | 50,000 | 52,813 | ||||||
Series MTN, | 25,000 | 24,957 | ||||||
Series MTN, | 75,000 | 76,288 | ||||||
Series MTN, | 50,000 | 53,374 | ||||||
QVC, Inc. 5.45%, 8/15/2034 | 50,000 | 45,000 | ||||||
Starbucks Corp. | 25,000 | 26,622 | ||||||
Target Corp.: | ||||||||
2.30%, 6/26/2019 | 25,000 | 25,353 | ||||||
2.50%, 4/15/2026 | 50,000 | 47,632 | ||||||
4.00%, 7/1/2042 | 50,000 | 49,901 | ||||||
6.00%, 1/15/2018 | 25,000 | 26,132 | ||||||
TJX Cos., Inc. | 50,000 | 46,032 | ||||||
Wal-Mart Stores, Inc.: | ||||||||
1.13%, 4/11/2018 | 25,000 | 24,937 | ||||||
1.95%, 12/15/2018 | 25,000 | 25,220 | ||||||
3.30%, 4/22/2024 | 125,000 | 128,559 | ||||||
4.00%, 4/11/2043 | 25,000 | 25,158 | ||||||
4.30%, 4/22/2044 | 30,000 | 31,703 | ||||||
4.88%, 7/8/2040 | 50,000 | 56,446 | ||||||
5.00%, 10/25/2040 | 50,000 | 57,738 | ||||||
5.25%, 9/1/2035 | 25,000 | 30,003 | ||||||
6.20%, 4/15/2038 | 25,000 | 33,117 | ||||||
Walgreen Co. | 25,000 | 24,986 | ||||||
Walgreens Boots Alliance, Inc.: | ||||||||
1.75%, 5/30/2018 | 100,000 | 100,092 | ||||||
3.10%, 6/1/2023 | 100,000 | 99,193 | ||||||
4.50%, 11/18/2034 | 25,000 | 25,144 | ||||||
4.65%, 6/1/2046 | 25,000 | 25,354 | ||||||
|
| |||||||
2,165,373 | ||||||||
|
| |||||||
Semiconductors – 0.3% | ||||||||
Applied Materials, Inc.: | ||||||||
3.90%, 10/1/2025 | 25,000 | 26,303 | ||||||
5.10%, 10/1/2035 | 50,000 | 55,405 | ||||||
Intel Corp.: | ||||||||
2.45%, 7/29/2020 | 100,000 | 101,259 | ||||||
2.60%, 5/19/2026 | 75,000 | 72,474 | ||||||
3.30%, 10/1/2021 | 25,000 | 25,994 | ||||||
4.10%, 5/19/2046 | 20,000 | 19,957 | ||||||
4.80%, 10/1/2041 | 50,000 | 55,330 | ||||||
Lam Research Corp. | 25,000 | 25,025 | ||||||
NVIDIA Corp. | 50,000 | 48,042 | ||||||
QUALCOMM, Inc.: | ||||||||
2.25%, 5/20/2020 | 150,000 | 149,985 | ||||||
3.45%, 5/20/2025 | 50,000 | 50,880 |
See accompanying notes to financial statements.
39
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Semiconductors – (continued) |
| |||||||
4.80%, 5/20/2045 | $ | 25,000 | $ | 26,740 | ||||
Texas Instruments, Inc. | 25,000 | 25,485 | ||||||
|
| |||||||
682,879 | ||||||||
|
| |||||||
Software – 0.7% | ||||||||
Adobe Systems, Inc. | 25,000 | 24,993 | ||||||
Electronic Arts, Inc. | 25,000 | 25,843 | ||||||
Fidelity National Information Services, Inc.: | ||||||||
3.63%, 10/15/2020 | 50,000 | 51,712 | ||||||
3.88%, 6/5/2024 | 25,000 | 25,529 | ||||||
Fiserv, Inc. | 100,000 | 100,506 | ||||||
Microsoft Corp.: | ||||||||
1.10%, 8/8/2019 | 100,000 | 98,659 | ||||||
2.00%, 11/3/2020 | 150,000 | 150,118 | ||||||
2.00%, 8/8/2023 | 50,000 | 47,783 | ||||||
3.13%, 11/3/2025 | 50,000 | 50,528 | ||||||
3.45%, 8/8/2036 | 50,000 | 47,484 | ||||||
3.63%, 12/15/2023 | 25,000 | 26,281 | ||||||
3.70%, 8/8/2046 | 50,000 | 47,225 | ||||||
3.95%, 8/8/2056 | 75,000 | 70,631 | ||||||
4.00%, 2/12/2055 | 75,000 | 70,999 | ||||||
4.20%, 11/3/2035 | 65,000 | 68,299 | ||||||
4.45%, 11/3/2045 | 25,000 | 26,652 | ||||||
5.20%, 6/1/2039 | 50,000 | 58,763 | ||||||
Oracle Corp.: | ||||||||
2.25%, 10/8/2019 | 75,000 | 75,792 | ||||||
2.38%, 1/15/2019 | 25,000 | 25,358 | ||||||
2.40%, 9/15/2023 | 200,000 | 193,444 | ||||||
2.50%, 5/15/2022 | 50,000 | 49,561 | ||||||
2.65%, 7/15/2026 | 45,000 | 42,682 | ||||||
2.95%, 5/15/2025 | 10,000 | 9,791 | ||||||
3.85%, 7/15/2036 | 150,000 | 146,799 | ||||||
3.90%, 5/15/2035 | 5,000 | 4,937 | ||||||
4.00%, 7/15/2046 | 80,000 | 76,551 | ||||||
4.38%, 5/15/2055 | 10,000 | 9,943 | ||||||
|
| |||||||
1,626,863 | ||||||||
|
| |||||||
Sovereign – 0.0%(b) | ||||||||
Svensk Exportkredit AB | 100,000 | 98,983 | ||||||
|
| |||||||
Telecommunications – 1.4% | ||||||||
America Movil SAB de CV | 50,000 | 46,561 | ||||||
AT&T, Inc.: | ||||||||
2.30%, 3/11/2019 | 25,000 | 25,081 | ||||||
2.45%, 6/30/2020 | 250,000 | 248,050 | ||||||
2.80%, 2/17/2021 | 25,000 | 24,790 | ||||||
3.60%, 2/17/2023 | 125,000 | 125,545 | ||||||
3.90%, 3/11/2024 | 25,000 | 25,278 | ||||||
4.13%, 2/17/2026 | 100,000 | 101,309 | ||||||
4.45%, 4/1/2024 | 25,000 | 26,066 | ||||||
4.50%, 5/15/2035 | 150,000 | 145,108 | ||||||
4.55%, 3/9/2049 | 58,000 | 52,691 | ||||||
4.75%, 5/15/2046 | 30,000 | 28,496 | ||||||
4.80%, 6/15/2044 | 50,000 | 47,271 | ||||||
5.65%, 2/15/2047 | 150,000 | 161,634 | ||||||
6.30%, 1/15/2038 | 50,000 | 57,012 | ||||||
British Telecommunications PLC | 75,000 | 75,364 | ||||||
Cisco Systems, Inc.: | ||||||||
1.40%, 2/28/2018 | 35,000 | 35,024 | ||||||
1.40%, 9/20/2019 | 50,000 | 49,429 | ||||||
2.13%, 3/1/2019 | 25,000 | 25,218 | ||||||
2.20%, 2/28/2021 | 100,000 | 99,683 | ||||||
3.00%, 6/15/2022 | 25,000 | 25,523 | ||||||
3.50%, 6/15/2025 | 25,000 | 25,951 | ||||||
3.63%, 3/4/2024 | 25,000 | 26,150 | ||||||
5.50%, 1/15/2040 | 50,000 | 61,101 | ||||||
Deutsche Telekom International Finance B.V. | 100,000 | 109,354 | ||||||
Motorola Solutions, Inc. | 25,000 | 25,040 | ||||||
Orange SA: | ||||||||
2.75%, 2/6/2019 | 25,000 | 25,326 | ||||||
5.38%, 7/8/2019 | 100,000 | 107,731 | ||||||
5.50%, 2/6/2044 | 50,000 | 57,580 | ||||||
Rogers Communications, Inc.: | ||||||||
3.00%, 3/15/2023 | 30,000 | 29,804 | ||||||
5.00%, 3/15/2044 | 50,000 | 53,181 | ||||||
Telefonica Emisiones SAU: | ||||||||
3.19%, 4/27/2018 | 100,000 | 101,378 | ||||||
7.05%, 6/20/2036 | 25,000 | 29,015 | ||||||
Telefonica Europe B.V. | 25,000 | 32,731 | ||||||
Telefonos de Mexico SAB de CV | 100,000 | 108,433 | ||||||
Verizon Communications, Inc.: | ||||||||
2.63%, 8/15/2026 | 50,000 | 45,993 | ||||||
3.00%, 11/1/2021 | 50,000 | 50,377 | ||||||
3.50%, 11/1/2024 | 50,000 | 49,938 | ||||||
4.27%, 1/15/2036 | 28,000 | 27,073 | ||||||
4.40%, 11/1/2034 | 50,000 | 49,278 | ||||||
4.50%, 9/15/2020 | 250,000 | 266,865 | ||||||
4.52%, 9/15/2048 | 25,000 | 23,931 | ||||||
4.86%, 8/21/2046 | 250,000 | 252,570 | ||||||
5.05%, 3/15/2034 | 135,000 | 142,914 | ||||||
5.15%, 9/15/2023 | 50,000 | 55,193 | ||||||
6.55%, 9/15/2043 | 50,000 | 62,493 | ||||||
Vodafone Group PLC: | ||||||||
1.50%, 2/19/2018 | 25,000 | 24,906 | ||||||
2.50%, 9/26/2022 | 50,000 | 47,856 | ||||||
2.95%, 2/19/2023 | 25,000 | 24,247 | ||||||
4.38%, 2/19/2043 | 75,000 | 66,604 | ||||||
|
| |||||||
3,408,146 | ||||||||
|
| |||||||
Toys/Games/Hobbies – 0.0%(b) | ||||||||
Mattel, Inc. | 25,000 | 25,054 | ||||||
|
| |||||||
Transportation – 0.4% | ||||||||
Burlington Northern Santa Fe LLC: | ||||||||
3.40%, 9/1/2024 | 100,000 | 102,848 |
See accompanying notes to financial statements.
40
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
CORPORATE BONDS & NOTES – (continued) |
| |||||||
Transportation – (continued) |
| |||||||
3.75%, 4/1/2024 | $ | 25,000 | $ | 26,287 | ||||
4.45%, 3/15/2043 | 50,000 | 52,731 | ||||||
4.55%, 9/1/2044 | 50,000 | 53,579 | ||||||
4.90%, 4/1/2044 | 25,000 | 28,119 | ||||||
Canadian National Railway Co.: | ||||||||
2.95%, 11/21/2024 | 50,000 | 50,062 | ||||||
3.20%, 8/2/2046 | 25,000 | 22,043 | ||||||
Canadian Pacific Railway Co.: | ||||||||
3.70%, 2/1/2026 | 50,000 | 51,557 | ||||||
4.80%, 9/15/2035 | 30,000 | 32,399 | ||||||
CSX Corp.: | ||||||||
3.40%, 8/1/2024 | 25,000 | 25,400 | ||||||
4.10%, 3/15/2044 | 75,000 | 72,739 | ||||||
FedEx Corp.: | ||||||||
4.00%, 1/15/2024 | 25,000 | 26,433 | ||||||
4.55%, 4/1/2046 | 50,000 | 50,548 | ||||||
4.75%, 11/15/2045 | 25,000 | 25,973 | ||||||
Norfolk Southern Corp.: | ||||||||
3.00%, 4/1/2022 | 25,000 | 25,246 | ||||||
4.45%, 6/15/2045 | 19,000 | 19,730 | ||||||
4.80%, 8/15/2043 | 25,000 | 27,090 | ||||||
Ryder System, Inc. | 25,000 | 25,085 | ||||||
Union Pacific Corp.: | ||||||||
2.75%, 3/1/2026 | 50,000 | 48,726 | ||||||
3.80%, 10/1/2051 | 52,000 | 48,678 | ||||||
4.05%, 3/1/2046 | 25,000 | 25,201 | ||||||
United Parcel Service, Inc.: | ||||||||
2.40%, 11/15/2026 | 30,000 | 28,367 | ||||||
2.45%, 10/1/2022 | 125,000 | 124,256 | ||||||
|
| |||||||
993,097 | ||||||||
|
| |||||||
Trucking & Leasing – 0.0%(b) | ||||||||
GATX Corp. | 50,000 | 50,054 | ||||||
|
| |||||||
Water – 0.0%(b) | ||||||||
American Water Capital Corp.: | ||||||||
3.40%, 3/1/2025 | 25,000 | 25,552 | ||||||
4.30%, 12/1/2042 | 25,000 | 25,958 | ||||||
|
| |||||||
51,510 | ||||||||
|
| |||||||
TOTAL CORPORATE BONDS & NOTES |
| 67,726,909 | ||||||
|
| |||||||
FOREIGN GOVERNMENT OBLIGATIONS – 1.7% |
| |||||||
Canada – 0.4% | ||||||||
Canada Government International Bond: | ||||||||
1.13%, 3/19/2018 | 50,000 | 49,957 | ||||||
1.63%, 2/27/2019 | 50,000 | 50,243 | ||||||
Export Development Canada: | ||||||||
1.00%, 6/15/2018 | 50,000 | 49,778 | ||||||
1.38%, 10/21/2021 | 50,000 | 48,250 | ||||||
1.50%, 5/26/2021 | 50,000 | 48,775 | ||||||
Province of Alberta Canada | 50,000 | 49,996 | ||||||
Province of British Columbia Canada | 50,000 | 51,033 | ||||||
Province of Manitoba Canada: | ||||||||
1.13%, 6/1/2018 | 25,000 | 24,908 | ||||||
2.13%, 6/22/2026 | 100,000 | 92,946 | ||||||
Province of Ontario Canada: | ||||||||
1.25%, 6/17/2019 | 200,000 | 197,540 | ||||||
2.50%, 9/10/2021 | 25,000 | 25,199 | ||||||
2.50%, 4/27/2026 | 100,000 | 96,379 | ||||||
4.40%, 4/14/2020 | 50,000 | 53,767 | ||||||
Province of Quebec Canada: | ||||||||
2.50%, 4/20/2026 | 150,000 | 144,570 | ||||||
2.63%, 2/13/2023 | 50,000 | 50,096 | ||||||
2.75%, 8/25/2021 | 50,000 | 51,004 | ||||||
|
| |||||||
1,084,441 | ||||||||
|
| |||||||
Chile – 0.0%(b) | ||||||||
Chile Government International Bond | 50,000 | 49,456 | ||||||
|
| |||||||
Colombia – 0.1% | ||||||||
Colombia Government International Bond: | ||||||||
4.00%, 2/26/2024 | 125,000 | 126,184 | ||||||
5.63%, 2/26/2044 | 200,000 | 206,454 | ||||||
|
| |||||||
332,638 | ||||||||
|
| |||||||
Germany – 0.1% | ||||||||
Kreditanstalt fuer Wiederaufbau | 200,000 | 197,672 | ||||||
|
| |||||||
Hungary – 0.1% | ||||||||
Hungary Government International Bond | 150,000 | 168,000 | ||||||
|
| |||||||
Israel – 0.0%(b) | ||||||||
Israel Government International Bond | 50,000 | 53,477 | ||||||
|
| |||||||
Italy – 0.0%(b) | ||||||||
Italy Government International Bond | 50,000 | 53,404 | ||||||
|
| |||||||
Japan – 0.1% | ||||||||
Japan Bank for International Cooperation: | ||||||||
1.50%, 7/21/2021 | 25,000 | 23,901 | ||||||
1.75%, 7/31/2018 | 100,000 | 100,044 | ||||||
1.88%, 4/20/2021 | 75,000 | 73,101 | ||||||
2.38%, 4/20/2026 | 50,000 | 47,943 | ||||||
|
| |||||||
244,989 | ||||||||
|
| |||||||
Mexico – 0.2% | ||||||||
Mexico Government International Bond: | ||||||||
3.63%, 3/15/2022 | 100,000 | 100,506 | ||||||
4.00%, 10/2/2023 | 80,000 | 80,335 | ||||||
4.13%, 1/21/2026 | 75,000 | 74,653 | ||||||
5.55%, 1/21/2045 | 125,000 | 128,139 | ||||||
6.05%, 1/11/2040 | 30,000 | 32,540 | ||||||
4.75%, 3/8/2044 | 100,000 | 91,631 | ||||||
|
| |||||||
507,804 | ||||||||
|
|
See accompanying notes to financial statements.
41
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
FOREIGN GOVERNMENT OBLIGATIONS – (continued) |
| |||||||
Panama – 0.1% | ||||||||
Panama Government International Bond: | ||||||||
3.88%, 3/17/2028 | $ | 75,000 | $ | 73,664 | ||||
6.70%, 1/26/2036 | 50,000 | 60,866 | ||||||
|
| |||||||
134,530 | ||||||||
|
| |||||||
Peru – 0.1% | ||||||||
Peruvian Government International Bond: | ||||||||
4.13%, 8/25/2027 | 50,000 | 52,027 | ||||||
5.63%, 11/18/2050 | 50,000 | 57,135 | ||||||
6.55%, 3/14/2037 | 25,000 | 31,551 | ||||||
|
| |||||||
140,713 | ||||||||
|
| |||||||
Philippines – 0.1% | ||||||||
Philippine Government International Bond: | ||||||||
3.95%, 1/20/2040 | 100,000 | 98,917 | ||||||
4.00%, 1/15/2021 | 100,000 | 106,439 | ||||||
7.75%, 1/14/2031 | 100,000 | 140,900 | ||||||
|
| |||||||
346,256 | ||||||||
|
| |||||||
Poland – 0.1% | ||||||||
Poland Government International Bond: | ||||||||
3.00%, 3/17/2023 | 50,000 | 48,938 | ||||||
3.25%, 4/6/2026 | 25,000 | 23,969 | ||||||
4.00%, 1/22/2024 | 50,000 | 51,125 | ||||||
5.00%, 3/23/2022 | 50,000 | 54,437 | ||||||
|
| |||||||
178,469 | ||||||||
|
| |||||||
Senegal – 0.1% | ||||||||
African Development Bank Series GDIF, | 25,000 | 24,802 | ||||||
European Investment Bank | 25,000 | 24,610 | ||||||
Inter-American Development Bank | 50,000 | 49,673 | ||||||
International Bank for Reconstruction & Development: | ||||||||
1.13%, 11/27/2019 | 50,000 | 49,247 | ||||||
1.38%, 9/20/2021 | 50,000 | 48,407 | ||||||
|
| |||||||
196,739 | ||||||||
|
| |||||||
South Africa – 0.1% | ||||||||
South Africa Government International Bond: | ||||||||
4.30%, 10/12/2028 | 50,000 | 46,375 | ||||||
4.88%, 4/14/2026 | 50,000 | 49,812 | ||||||
6.88%, 5/27/2019 | 100,000 | 108,250 | ||||||
|
| |||||||
204,437 | ||||||||
|
| |||||||
South Korea – 0.1% | ||||||||
Export-Import Bank of Korea: | ||||||||
2.13%, 2/11/2021 | 100,000 | 97,669 | ||||||
2.38%, 4/21/2027 | 25,000 | 23,005 | ||||||
5.13%, 6/29/2020 | 100,000 | 108,361 | ||||||
Korea International Bond | 100,000 | 111,968 | ||||||
|
| |||||||
341,003 | ||||||||
|
| |||||||
Uruguay – 0.0%(b) | ||||||||
Uruguay Government International Bond: | ||||||||
4.38%, 10/27/2027 | 25,000 | 25,123 | ||||||
5.10%, 6/18/2050 | 75,000 | 68,487 | ||||||
|
| |||||||
93,610 | ||||||||
|
| |||||||
TOTAL FOREIGN GOVERNMENT OBLIGATIONS |
| 4,327,638 | ||||||
|
| |||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS – 29.9% |
| |||||||
Federal Farm Credit Banks: | ||||||||
1.50%, 12/19/2019 | 50,000 | 49,921 | ||||||
3.50%, 12/20/2023 | 50,000 | 53,304 | ||||||
Federal Home Loan Bank: | ||||||||
0.88%, 3/19/2018 | 125,000 | 124,765 | ||||||
0.88%, 6/29/2018 | 150,000 | 149,467 | ||||||
0.88%, 10/1/2018 | 200,000 | 198,880 | ||||||
1.13%, 6/21/2019 | 225,000 | 223,634 | ||||||
1.13%, 7/14/2021 | 100,000 | 96,501 | ||||||
1.15%, 6/22/2018 | 50,000 | 49,911 | ||||||
1.25%, 1/16/2019 | 250,000 | 249,860 | ||||||
1.38%, 2/18/2021 | 100,000 | 98,037 | ||||||
1.88%, 3/8/2019 | 50,000 | 50,559 | ||||||
2.25%, 6/11/2021 | 75,000 | 75,865 | ||||||
2.88%, 9/13/2024 | 50,000 | 51,331 | ||||||
5.50%, 7/15/2036 | 35,000 | 45,733 | ||||||
Federal Home Loan Mortgage Corp.: | ||||||||
0.88%, 3/7/2018 | 75,000 | 74,839 | ||||||
1.05%, 7/27/2018 | 150,000 | 149,299 | ||||||
1.10%, 9/13/2018 | 25,000 | 24,925 | ||||||
1.25%, 7/26/2019 | 250,000 | 247,742 | ||||||
1.25%, 8/1/2019 | 100,000 | 99,507 | ||||||
1.25%, 10/2/2019 | 75,000 | 74,526 | ||||||
2.38%, 1/13/2022 | 175,000 | 177,908 | ||||||
2.50%, 10/1/2029 | 68,371 | 68,841 | ||||||
2.50%, 1/1/2031 | 130,225 | 130,576 | ||||||
2.50%, 5/1/2031 | 208,482 | 209,179 | ||||||
2.50%, 6/1/2031 | 377,106 | 378,368 | ||||||
2.50%, 10/1/2031 | 342,450 | 343,596 | ||||||
3.00%, 12/1/2030 | 172,581 | 177,359 | ||||||
3.00%, 5/1/2031 | 138,465 | 142,285 | ||||||
3.00%, 12/1/2031 | 646,254 | 664,081 | ||||||
3.00%, 5/1/2035 | 90,432 | 91,717 | ||||||
3.00%, 6/1/2036 | 383,595 | 388,540 | ||||||
3.00%, 6/1/2045 | 130,594 | 129,885 | ||||||
3.00%, 8/1/2045 | 265,489 | 264,048 | ||||||
3.00%, 4/1/2046 | 576,742 | 573,321 | ||||||
3.00%, 6/1/2046 | 192,551 | 191,409 | ||||||
3.00%, 8/1/2046 | 976,978 | 971,183 | ||||||
3.00%, 9/1/2046 | 319,486 | 317,591 | ||||||
3.00%, 10/1/2046 | 544,466 | 541,237 | ||||||
3.00%, 11/1/2046 | 323,060 | 321,144 | ||||||
3.00%, 12/1/2046 | 523,694 | 520,588 | ||||||
3.50%, 11/1/2034 | 403,031 | 419,509 | ||||||
3.50%, 4/1/2042 | 448,287 | 461,490 |
See accompanying notes to financial statements.
42
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS – (continued) |
| |||||||
3.50%, 8/1/2043 | $ | 904,153 | $ | 930,240 | ||||
3.50%, 11/1/2044 | 79,795 | 81,885 | ||||||
3.50%, 1/1/2045 | 103,207 | 105,752 | ||||||
3.50%, 7/1/2045 | 171,520 | 175,967 | ||||||
3.50%, 10/1/2045 | 101,888 | 104,401 | ||||||
3.50%, 12/1/2045 | 1,153,826 | 1,182,277 | ||||||
3.50%, 1/1/2046 | 149,996 | 153,707 | ||||||
3.50%, 3/1/2046 | 307,880 | 315,544 | ||||||
3.50%, 4/1/2046 | 455,546 | 466,885 | ||||||
3.50%, 6/1/2046 | 523,724 | 536,760 | ||||||
3.75%, 3/27/2019 | 150,000 | 157,951 | ||||||
4.00%, 4/1/2025 | 109,098 | 114,746 | ||||||
4.00%, 4/1/2042 | 61,176 | 64,541 | ||||||
4.00%, 6/1/2042 | 153,775 | 162,277 | ||||||
4.00%, 12/1/2044 | 87,667 | 92,147 | ||||||
4.00%, 4/1/2045 | 70,537 | 74,176 | ||||||
4.00%, 10/1/2045 | 155,994 | 164,042 | ||||||
4.00%, 12/1/2045 | 264,586 | 278,235 | ||||||
4.00%, 1/1/2046 | 1,062,714 | 1,117,771 | ||||||
4.00%, 2/1/2046 | 398,014 | 418,634 | ||||||
4.50%, 5/1/2044 | 169,184 | 181,867 | ||||||
5.00%, 7/1/2041 | 281,176 | 306,262 | ||||||
6.00%, 7/1/2040 | 314,631 | 356,305 | ||||||
6.25%, 7/15/2032 | 110,000 | 151,521 | ||||||
Series GMTN, | 50,000 | 49,810 | ||||||
Series K025, Class A2, 2.68%, 10/25/2022 | 125,000 | 126,570 | ||||||
Series K028, Class A2, 3.11%, 2/25/2023 | 100,000 | 103,526 | ||||||
Series K040, Class A2, 3.24%, 9/25/2024 | 75,000 | 77,404 | ||||||
Series K049, Class A2, 3.01%, 7/25/2025 | 200,000 | 201,946 | ||||||
Series K716, Class A2, 3.13%, 6/25/2021 | 250,000 | 259,797 | ||||||
TBA, 2.50%, 1/1/2032(e) | 275,000 | 275,505 | ||||||
TBA, 3.00%, 1/1/2032(e) | 500,000 | 513,086 | ||||||
TBA, 3.00%, 1/1/2047(e) | 500,000 | 496,543 | ||||||
TBA, 3.50%, 1/1/2047(e) | 200,000 | 204,812 | ||||||
Federal National Mortgage Association: | ||||||||
0.88%, 5/21/2018 | 50,000 | 49,844 | ||||||
1.00%, 8/28/2019 | 200,000 | 197,716 | ||||||
1.00%, 10/24/2019 | 200,000 | 197,232 | ||||||
1.13%, 7/20/2018 | 600,000 | 599,712 | ||||||
1.25%, 5/6/2021 | 275,000 | 267,591 | ||||||
1.38%, 1/28/2019 | 200,000 | 200,380 | ||||||
1.38%, 10/7/2021 | 75,000 | 72,950 | ||||||
1.50%, 6/22/2020 | 100,000 | 99,521 | ||||||
1.75%, 9/12/2019 | 75,000 | 75,560 | ||||||
1.88%, 9/24/2026 | 75,000 | 69,003 | ||||||
2.00%, 11/1/2031 | 198,263 | 193,144 | ||||||
2.13%, 4/24/2026 | 50,000 | 47,301 | ||||||
2.50%, 3/1/2029 | 407,017 | 410,545 | ||||||
2.50%, 2/1/2031 | 199,890 | 200,380 | ||||||
2.50%, 10/1/2031 | 320,428 | 321,435 | ||||||
2.50%, 12/1/2031 | 571,641 | 573,436 | ||||||
3.00%, 10/1/2028 | 144,679 | 148,815 | ||||||
3.00%, 8/1/2029 | 72,332 | 74,385 | ||||||
3.00%, 5/1/2030 | 469,415 | 483,024 | ||||||
3.00%, 6/1/2030 | 97,464 | 100,147 | ||||||
3.00%, 9/1/2030 | 76,101 | 78,197 | ||||||
3.00%, 11/1/2030 | 159,673 | 164,069 | ||||||
3.00%, 12/1/2030 | 108,583 | 111,572 | ||||||
3.00%, 4/1/2031 | 385,822 | 396,402 | ||||||
3.00%, 12/1/2031 | 571,244 | 586,908 | ||||||
3.00%, 6/1/2036 | 118,665 | 120,287 | ||||||
3.00%, 8/1/2036 | 582,593 | 590,560 | ||||||
3.00%, 10/1/2036 | 295,914 | 299,960 | ||||||
3.00%, 7/1/2043 | 115,424 | 115,276 | ||||||
3.00%, 1/1/2045 | 1,633,142 | 1,631,050 | ||||||
3.00%, 9/1/2045 | 111,177 | 110,659 | ||||||
3.00%, 11/1/2045 | 418,755 | 416,803 | ||||||
3.00%, 12/1/2045 | 150,721 | 150,019 | ||||||
3.00%, 5/1/2046 | 1,054,510 | 1,049,083 | ||||||
3.00%, 7/1/2046 | 1,210,638 | 1,204,408 | ||||||
3.00%, 10/1/2046 | 297,244 | 295,715 | ||||||
3.00%, 12/1/2046 | 498,521 | 495,955 | ||||||
3.50%, 11/1/2025 | 72,396 | 75,507 | ||||||
3.50%, 1/1/2027 | 83,894 | 87,500 | ||||||
3.50%, 5/1/2029 | 83,260 | 87,029 | ||||||
3.50%, 10/1/2029 | 64,481 | 67,400 | ||||||
3.50%, 2/1/2031 | 897,425 | 936,303 | ||||||
3.50%, 12/1/2035 | 86,488 | 90,137 | ||||||
3.50%, 2/1/2041 | 174,970 | 180,331 | ||||||
3.50%, 10/1/2044 | 66,217 | 68,012 | ||||||
3.50%, 1/1/2045 | 183,911 | 188,785 | ||||||
3.50%, 5/1/2045 | 77,078 | 79,061 | ||||||
3.50%, 8/1/2045 | 247,146 | 253,505 | ||||||
3.50%, 11/1/2045 | 101,947 | 104,570 | ||||||
3.50%, 12/1/2045 | 1,227,715 | 1,259,301 | ||||||
3.50%, 1/1/2046 | 919,554 | 943,213 | ||||||
3.50%, 2/1/2046 | 1,088,466 | 1,116,706 | ||||||
3.50%, 4/1/2046 | 772,249 | 792,285 | ||||||
3.50%, 5/1/2046 | 1,140,590 | 1,170,182 | ||||||
3.50%, 6/1/2046 | 307,402 | 315,377 | ||||||
3.50%, 7/1/2046 | 714,174 | 732,703 | ||||||
4.00%, 8/1/2018 | 49,836 | 51,289 | ||||||
4.00%, 1/1/2019 | 43,063 | 44,315 | ||||||
4.00%, 9/1/2019 | 84,878 | 87,402 | ||||||
4.00%, 3/1/2021 | 64,959 | 67,037 | ||||||
4.00%, 10/1/2033 | 269,229 | 286,006 | ||||||
4.00%, 12/1/2040 | 98,179 | 103,666 | ||||||
4.00%, 2/1/2043 | 587,641 | 620,408 | ||||||
4.00%, 10/1/2043 | 1,398,146 | 1,476,423 | ||||||
4.00%, 11/1/2043 | 483,416 | 508,955 | ||||||
4.00%, 12/1/2043 | 444,415 | 467,894 | ||||||
4.00%, 10/1/2044 | 109,863 | 115,552 | ||||||
4.00%, 3/1/2045 | 105,031 | 110,549 | ||||||
4.00%, 7/1/2045 | 94,456 | 99,418 | ||||||
4.00%, 9/1/2045 | 405,985 | 427,312 | ||||||
4.00%, 12/1/2045 | 213,576 | 224,795 | ||||||
4.00%, 4/1/2046 | 475,772 | 500,958 | ||||||
4.00%, 7/1/2046 | 603,044 | 634,967 | ||||||
4.50%, 4/1/2018 | 24,988 | 25,427 | ||||||
4.50%, 5/1/2020 | 32,704 | 33,278 | ||||||
4.50%, 12/1/2040 | 270,812 | 291,981 | ||||||
4.50%, 1/1/2042 | 116,832 | 126,054 | ||||||
4.50%, 9/1/2043 | 231,838 | 249,888 | ||||||
4.50%, 11/1/2043 | 112,359 | 120,987 |
See accompanying notes to financial statements.
43
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
U.S. GOVERNMENT AGENCY OBLIGATIONS – (continued) |
| |||||||
4.50%, 5/1/2044 | $ | 478,830 | $ | 515,664 | ||||
4.50%, 6/1/2044 | 141,447 | 152,328 | ||||||
4.50%, 7/1/2046 | 641,271 | 691,490 | ||||||
5.00%, 6/1/2040 | 487,110 | 531,729 | ||||||
5.00%, 7/1/2041 | 92,299 | 101,141 | ||||||
5.00%, 5/1/2042 | 98,676 | 107,715 | ||||||
5.00%, 11/1/2044 | 1,250,746 | 1,370,572 | ||||||
5.00%, 1/1/2045 | 133,539 | 146,184 | ||||||
5.50%, 2/1/2037 | 54,544 | 60,759 | ||||||
5.50%, 4/1/2038 | 264,045 | 294,298 | ||||||
5.50%, 9/1/2040 | 80,302 | 89,334 | ||||||
5.50%, 9/1/2041 | 130,520 | 145,474 | ||||||
5.50%, 5/1/2044 | 281,846 | 315,177 | ||||||
5.63%, 7/15/2037 | 80,000 | 106,523 | ||||||
6.63%, 11/15/2030 | 115,000 | 159,794 | ||||||
7.25%, 5/15/2030 | 75,000 | 108,723 | ||||||
Series 2011-M5, Class A2, 2.94%, 7/25/2021 | 140,000 | 143,494 | ||||||
Series 2011-M7, Class A2, 2.58%, 9/25/2018 | 132,715 | 133,966 | ||||||
Series 2013-M12, Class APT, 2.40%, 3/25/2023(d) | 40,117 | 39,800 | ||||||
Series 2013-M3, Class A2, 2.51%, 11/25/2022(d) | 150,000 | 149,442 | ||||||
Series 2014-M3, Class A2, 3.47%, 1/25/2024(d) | 50,000 | 52,129 | ||||||
Series 2015-M8, Class A2, 2.90%, 1/25/2025(d) | 250,000 | 250,107 | ||||||
TBA, 2.50%, 1/1/2032(e) | 440,000 | 440,859 | ||||||
TBA, 3.00%, 1/1/2032(e) | 500,000 | 513,086 | ||||||
TBA, 3.00%, 1/1/2047(e) | 200,000 | 198,750 | ||||||
TBA, 3.50%, 1/1/2047(e) | 200,000 | 205,000 | ||||||
TBA, 4.00%, 1/1/2047(e) | 375,000 | 394,219 | ||||||
TBA, 4.50%, 1/1/2047(e) | 1,000,000 | 1,075,078 | ||||||
Government National Mortgage Association: | ||||||||
3.00%, 1/20/2043 | 909,004 | 924,277 | ||||||
3.00%, 5/20/2043 | 460,692 | 468,483 | ||||||
3.00%, 12/20/2044 | 103,500 | 104,994 | ||||||
3.00%, 3/20/2045 | 57,353 | 58,143 | ||||||
3.00%, 4/20/2045 | 165,802 | 168,087 | ||||||
3.00%, 6/20/2045 | 82,495 | 83,632 | ||||||
3.00%, 7/20/2045 | 147,631 | 149,665 | ||||||
3.00%, 8/20/2045 | 129,920 | 131,710 | ||||||
3.00%, 4/20/2046 | 135,175 | 137,037 | ||||||
3.00%, 5/20/2046 | 231,068 | 234,249 | ||||||
3.00%, 7/20/2046 | 144,493 | 146,482 | ||||||
3.00%, 8/20/2046 | 464,024 | 470,413 | ||||||
3.00%, 9/20/2046 | 321,357 | 325,782 | ||||||
3.00%, 10/20/2046 | 323,275 | 327,727 | ||||||
3.00%, 11/20/2046 | 573,732 | 581,632 | ||||||
3.50%, 10/20/2042 | 749,496 | 784,392 | ||||||
3.50%, 5/20/2043 | 111,924 | 116,997 | ||||||
3.50%, 9/20/2043 | 77,683 | 81,204 | ||||||
3.50%, 11/20/2043 | 642,341 | 671,452 | ||||||
3.50%, 10/20/2044 | 86,513 | 90,087 | ||||||
3.50%, 12/20/2044 | 59,913 | 62,388 | ||||||
3.50%, 3/20/2045 | 56,901 | 59,200 | ||||||
3.50%, 4/20/2045 | 163,985 | 170,612 | ||||||
3.50%, 6/20/2045 | 112,471 | 117,016 | ||||||
3.50%, 10/20/2045 | 118,656 | 123,451 | ||||||
3.50%, 1/20/2046 | 1,731,843 | 1,801,827 | ||||||
3.50%, 3/20/2046 | 380,242 | 395,758 | ||||||
3.50%, 4/20/2046 | 200,750 | 208,942 | ||||||
3.50%, 5/20/2046 | 207,086 | 215,537 | ||||||
3.50%, 6/20/2046 | 446,988 | 465,229 | ||||||
3.50%, 7/20/2046 | 501,927 | 522,409 | ||||||
3.50%, 11/20/2046 | 598,140 | 622,549 | ||||||
4.00%, 4/15/2040 | 90,133 | 95,699 | ||||||
4.00%, 2/20/2042 | 38,943 | 41,552 | ||||||
4.00%, 7/20/2042 | 25,904 | 27,639 | ||||||
4.00%, 7/15/2044 | 93,339 | 99,417 | ||||||
4.00%, 8/20/2044 | 57,111 | 60,775 | ||||||
4.00%, 10/20/2044 | 520,493 | 553,891 | ||||||
4.00%, 5/15/2045 | 99,945 | 106,190 | ||||||
4.00%, 6/15/2045 | 216,052 | 229,552 | ||||||
4.00%, 8/20/2045 | 64,773 | 68,846 | ||||||
4.00%, 11/20/2045 | 217,754 | 231,448 | ||||||
4.00%, 2/20/2046 | 615,482 | 654,186 | ||||||
4.00%, 5/20/2046 | 669,414 | 711,573 | ||||||
4.00%, 6/20/2046 | 454,320 | 482,933 | ||||||
4.50%, 1/20/2044 | 244,841 | 261,831 | ||||||
4.50%, 11/20/2044 | 83,411 | 89,148 | ||||||
4.50%, 12/20/2044 | 66,298 | 70,858 | ||||||
4.50%, 4/20/2046 | 438,119 | 468,253 | ||||||
4.50%, 6/20/2046 | 334,004 | 356,977 | ||||||
4.50%, 7/20/2046 | 413,432 | 441,868 | ||||||
5.00%, 6/15/2040 | 67,031 | 73,540 | ||||||
5.00%, 10/15/2041 | 121,032 | 133,156 | ||||||
5.00%, 3/20/2044 | 119,027 | 129,960 | ||||||
5.00%, 12/20/2045 | 446,379 | 487,383 | ||||||
5.50%, 10/20/2043 | 96,783 | 108,374 | ||||||
TBA, 3.00%, 1/1/2047(e) | 750,000 | 759,258 | ||||||
TBA, 3.50%, 1/1/2047(e) | 800,000 | 831,875 | ||||||
TBA, 4.00%, 1/1/2047(e) | 500,000 | 531,094 | ||||||
Tennessee Valley Authority: | ||||||||
2.88%, 9/15/2024 | 100,000 | 102,024 | ||||||
3.50%, 12/15/2042 | 75,000 | 73,144 | ||||||
|
| |||||||
TOTAL U.S. GOVERNMENT AGENCY OBLIGATIONS |
| 74,693,507 | ||||||
|
| |||||||
U.S. TREASURY OBLIGATIONS – 34.9% |
| |||||||
Treasury Bonds: | ||||||||
2.25%, 8/15/2046 | 325,000 | 273,374 | ||||||
2.50%, 2/15/2045 | 840,000 | 748,549 | ||||||
2.50%, 2/15/2046 | 100,000 | 88,909 | ||||||
2.50%, 5/15/2046 | 700,000 | 622,307 | ||||||
2.75%, 8/15/2042 | 150,000 | 141,762 | ||||||
2.75%, 11/15/2042 | 500,000 | 472,280 | ||||||
2.88%, 5/15/2043 | 75,000 | 72,488 | ||||||
2.88%, 8/15/2045 | 80,000 | 77,002 | ||||||
2.88%, 11/15/2046 | 375,000 | 362,164 | ||||||
3.00%, 5/15/2042 | 175,000 | 173,607 | ||||||
3.00%, 11/15/2044 | 175,000 | 172,965 | ||||||
3.00%, 5/15/2045 | 375,000 | 370,039 | ||||||
3.13%, 11/15/2041 | 800,000 | 812,248 | ||||||
3.13%, 2/15/2042 | 125,000 | 126,916 | ||||||
3.13%, 8/15/2044 | 500,000 | 506,210 | ||||||
3.63%, 8/15/2043 | 850,000 | 943,007 | ||||||
3.63%, 2/15/2044 | 475,000 | 526,780 |
See accompanying notes to financial statements.
44
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
U.S. TREASURY OBLIGATIONS – (continued) |
| |||||||
3.75%, 8/15/2041 | $ | 275,000 | $ | 309,853 | ||||
3.75%, 11/15/2043 | 2,525,000 | 2,864,107 | ||||||
4.38%, 2/15/2038 | 275,000 | 341,720 | ||||||
4.38%, 11/15/2039 | 350,000 | 432,093 | ||||||
4.38%, 5/15/2040 | 325,000 | 401,531 | ||||||
4.63%, 2/15/2040 | 1,190,000 | 1,520,927 | ||||||
4.75%, 2/15/2037 | 25,000 | 32,537 | ||||||
5.25%, 11/15/2028 | 450,000 | 572,899 | ||||||
Treasury Notes: | ||||||||
0.63%, 6/30/2018 | 1,500,000 | 1,490,625 | ||||||
0.75%, 1/31/2018 | 200,000 | 199,588 | ||||||
0.75%, 3/31/2018 | 250,000 | 249,268 | ||||||
0.75%, 4/15/2018 | 200,000 | 199,382 | ||||||
0.75%, 8/31/2018 | 500,000 | 496,915 | ||||||
0.88%, 1/15/2018 | 250,000 | 249,893 | ||||||
0.88%, 1/31/2018 | 2,750,000 | 2,747,855 | ||||||
0.88%, 3/31/2018 | 1,000,000 | 998,740 | ||||||
0.88%, 7/15/2018 | 350,000 | 348,880 | ||||||
0.88%, 10/15/2018 | 500,000 | 497,595 | ||||||
0.88%, 4/15/2019 | 150,000 | 148,647 | ||||||
0.88%, 6/15/2019 | 4,500,000 | 4,452,840 | ||||||
0.88%, 9/15/2019 | 825,000 | 814,242 | ||||||
1.00%, 2/15/2018 | 500,000 | 500,205 | ||||||
1.00%, 5/31/2018 | 500,000 | 499,800 | ||||||
1.00%, 8/15/2018 | 300,000 | 299,598 | ||||||
1.00%, 9/15/2018 | 100,000 | 99,777 | ||||||
1.00%, 11/30/2018 | 1,500,000 | 1,495,185 | ||||||
1.00%, 8/31/2019 | 500,000 | 495,265 | ||||||
1.00%, 9/30/2019 | 750,000 | 742,117 | ||||||
1.00%, 10/15/2019 | 1,000,000 | 989,330 | ||||||
1.13%, 6/15/2018 | 150,000 | 150,159 | ||||||
1.13%, 1/15/2019 | 2,050,000 | 2,046,146 | ||||||
1.13%, 4/30/2020 | 100,000 | 98,620 | ||||||
1.13%, 2/28/2021 | 850,000 | 827,057 | ||||||
1.13%, 6/30/2021 | 2,250,000 | 2,177,775 | ||||||
1.13%, 7/31/2021 | 1,175,000 | 1,135,825 | ||||||
1.13%, 8/31/2021 | 700,000 | 676,396 | ||||||
1.13%, 9/30/2021 | 1,300,000 | 1,253,967 | ||||||
1.25%, 12/15/2018 | 750,000 | 750,757 | ||||||
1.25%, 1/31/2020 | 5,250,000 | 5,211,412 | ||||||
1.25%, 3/31/2021 | 200,000 | 195,380 | ||||||
1.25%, 10/31/2021 | 1,400,000 | 1,357,650 | ||||||
1.25%, 7/31/2023 | 250,000 | 235,395 | ||||||
1.38%, 9/30/2018 | 100,000 | 100,376 | ||||||
1.38%, 2/28/2019 | 500,000 | 501,325 | ||||||
1.38%, 2/29/2020 | 500,000 | 497,610 | ||||||
1.38%, 4/30/2020 | 350,000 | 347,746 | ||||||
1.38%, 5/31/2020 | 500,000 | 496,805 | ||||||
1.38%, 8/31/2020 | 200,000 | 197,918 | ||||||
1.38%, 9/30/2020 | 550,000 | 543,741 | ||||||
1.38%, 10/31/2020 | 1,100,000 | 1,086,415 | ||||||
1.38%, 1/31/2021 | 500,000 | 492,050 | ||||||
1.38%, 4/30/2021 | 525,000 | 515,041 | ||||||
1.38%, 5/31/2021 | 275,000 | 269,571 | ||||||
1.38%, 6/30/2023 | 2,500,000 | 2,375,475 | ||||||
1.38%, 9/30/2023 | 550,000 | 520,960 | ||||||
1.50%, 12/31/2018 | 750,000 | 754,373 | ||||||
1.50%, 5/31/2020 | 300,000 | 299,070 | ||||||
1.50%, 1/31/2022 | 450,000 | 439,848 | ||||||
1.50%, 8/15/2026 | 1,200,000 | 1,103,844 | ||||||
1.63%, 8/31/2019 | 800,000 | 805,488 | ||||||
1.63%, 12/31/2019 | 750,000 | 753,652 | ||||||
1.63%, 6/30/2020 | 75,000 | 75,032 | ||||||
1.63%, 7/31/2020 | 5,600,000 | 5,596,248 | ||||||
1.63%, 5/31/2023 | 100,000 | 96,636 | ||||||
1.63%, 2/15/2026 | 925,000 | 864,450 | ||||||
1.63%, 5/15/2026 | 1,350,000 | 1,258,983 | ||||||
1.75%, 10/31/2018 | 500,000 | 505,295 | ||||||
1.75%, 10/31/2020 | 650,000 | 651,300 | ||||||
1.75%, 11/30/2021 | 1,500,000 | 1,488,990 | ||||||
1.75%, 2/28/2022 | 300,000 | 296,421 | ||||||
1.75%, 3/31/2022 | 250,000 | 246,710 | ||||||
1.75%, 4/30/2022 | 300,000 | 295,902 | ||||||
1.75%, 1/31/2023 | 1,175,000 | 1,148,398 | ||||||
1.75%, 5/15/2023 | 250,000 | 243,548 | ||||||
1.88%, 5/31/2022 | 100,000 | 99,213 | ||||||
1.88%, 8/31/2022 | 150,000 | 148,263 | ||||||
2.00%, 2/28/2021 | 750,000 | 756,075 | ||||||
2.00%, 5/31/2021 | 350,000 | 352,156 | ||||||
2.00%, 8/31/2021 | 300,000 | 301,200 | ||||||
2.00%, 11/15/2021 | 500,000 | 501,385 | ||||||
2.00%, 7/31/2022 | 100,000 | 99,645 | ||||||
2.00%, 2/15/2023 | 500,000 | 496,000 | ||||||
2.00%, 2/15/2025 | 625,000 | 608,444 | ||||||
2.00%, 8/15/2025 | 500,000 | 484,465 | ||||||
2.00%, 11/15/2026 | 600,000 | 577,374 | ||||||
2.13%, 8/31/2020 | 500,000 | 508,040 | ||||||
2.13%, 6/30/2022 | 4,500,000 | 4,515,975 | ||||||
2.13%, 12/31/2022 | 650,000 | 649,746 | ||||||
2.13%, 11/30/2023 | 1,000,000 | 993,710 | ||||||
2.13%, 5/15/2025 | 2,350,000 | 2,304,575 | ||||||
2.25%, 11/15/2024 | 175,000 | 173,969 | ||||||
2.25%, 11/15/2025 | 975,000 | 962,734 | ||||||
2.63%, 8/15/2020 | 150,000 | 155,097 | ||||||
2.63%, 11/15/2020 | 250,000 | 258,393 | ||||||
2.75%, 2/15/2024 | 100,000 | 103,317 | ||||||
4.00%, 8/15/2018 | 250,000 | 261,755 | ||||||
|
| |||||||
TOTAL U.S. TREASURY OBLIGATIONS |
| 87,279,312 | ||||||
|
| |||||||
MUNICIPAL BONDS & NOTES – 0.7% |
| |||||||
California – 0.2% | ||||||||
California, State General Obligation: | ||||||||
7.50%, 4/1/2034 | 100,000 | 141,350 | ||||||
7.55%, 4/1/2039 | 100,000 | 147,965 | ||||||
Los Angeles, CA, Department of Water & Power Revenue | 100,000 | 122,307 | ||||||
Los Angeles, CA, Unified School District, General Obligation | 25,000 | 30,876 | ||||||
San Francisco, CA, Bay Area Toll Authority, Toll Bridge Revenue | 25,000 | 35,218 | ||||||
University of California, Revenue | 50,000 | 66,704 | ||||||
|
| |||||||
544,420 | ||||||||
|
|
See accompanying notes to financial statements.
45
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
MUNICIPAL BONDS & NOTES – (continued) |
| |||||||
Florida – 0.0%(b) | ||||||||
State Board of Administration Finance Corp., Revenue | $ | 100,000 | $ | 102,605 | ||||
|
| |||||||
Illinois – 0.1% | ||||||||
City of Chicago, IL, General Obligation | 100,000 | 104,477 | ||||||
State of Illinois: | ||||||||
5.10%, 6/1/2033 | 50,000 | 44,191 | ||||||
5.67%, 3/1/2018 | 50,000 | 51,737 | ||||||
7.35%, 7/1/2035 | 100,000 | 108,218 | ||||||
|
| |||||||
308,623 | ||||||||
|
| |||||||
Massachusetts – 0.1% | ||||||||
Commonwealth of Massachusetts, State General Obligation | 100,000 | 107,642 | ||||||
|
| |||||||
New Jersey – 0.1% | ||||||||
New Jersey, State Turnpike Authority Revenue | 100,000 | 139,915 | ||||||
|
| |||||||
New York – 0.1% | ||||||||
City of New York, NY | 25,000 | 31,426 | ||||||
New York, NY, City Municipal Water Finance Authority, Water & Sewer System Revenue | 25,000 | 30,730 | ||||||
New York, NY, Metropolitan Transportation Authority Revenue Series A2, | 25,000 | 31,531 | ||||||
Port Authority of New York & New Jersey: | ||||||||
5.65%, 11/1/2040 | 100,000 | 120,452 | ||||||
Series 192, | 25,000 | 26,906 | ||||||
|
| |||||||
241,045 | ||||||||
|
| |||||||
Oregon – 0.0%(b) | ||||||||
Oregon School Boards Association | 25,000 | 27,114 | ||||||
Port of Morrow, OR, Revenue | 25,000 | 22,400 | ||||||
|
| |||||||
49,514 | ||||||||
|
| |||||||
Pennsylvania – 0.0%(b) | ||||||||
Pennsylvania, State General Obligation | 20,000 | 23,234 | ||||||
|
| |||||||
Texas – 0.1% | ||||||||
Dallas, TX, Area Rapid Transit, Sales Tax Revenue | 100,000 | 117,122 | ||||||
Texas Transportation Commission State Highway Fund | 25,000 | 28,812 | ||||||
University of Texas System, Revenue | 100,000 | 101,669 | ||||||
|
| |||||||
247,603 | ||||||||
|
| |||||||
TOTAL MUNICIPAL BONDS & NOTES |
| 1,764,601 | ||||||
|
| |||||||
ASSET-BACKED SECURITIES – 0.5% |
| |||||||
Automobile – 0.3% | ||||||||
AmeriCredit Automobile Receivables Trust 2015-3 | 50,000 | 49,890 | ||||||
CarMax Auto Owner Trust 2016-1 | 211,000 | 210,918 | ||||||
Fifth Third Auto Trust 2015-1 | 100,000 | 100,030 | ||||||
Honda Auto Receivables 2015-3 Owner Trust | 112,000 | 111,951 | ||||||
Nissan Auto Receivables 2016-B Owner Trust | 169,000 | 168,033 | ||||||
|
| |||||||
640,822 | ||||||||
|
| |||||||
Credit Card – 0.2% | ||||||||
Chase Issuance Trust | 200,000 | 200,425 | ||||||
Citibank Credit Card Issuance Trust: | ||||||||
Series 2008-A1, Class A1, 5.35%, 2/7/2020 | 100,000 | 104,238 | ||||||
Series 2014-A1, Class A1, 2.88%, 1/23/2023 | 100,000 | 102,524 | ||||||
Discover Card Execution Note Trust | 100,000 | 99,959 | ||||||
|
| |||||||
507,146 | ||||||||
|
| |||||||
TOTAL ASSET-BACKED SECURITIES |
| 1,147,968 | ||||||
|
| |||||||
MORTGAGE-BACKED SECURITIES – 0.9% |
| |||||||
Banc of America Commercial Mortgage Trust 2015-UBS7 | 100,000 | 104,073 | ||||||
Citigroup Commercial Mortgage Trust 2013-GC11 | 75,000 | 76,148 |
See accompanying notes to financial statements.
46
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Principal Amount | Value | ||||||
MORTGAGE-BACKED SECURITIES – (continued) |
| |||||||
COMM 2013-CCRE8 Mortgage Trust | $ | 65,000 | $ | 66,840 | ||||
COMM 2014-CCRE16 Mortgage Trust | 100,000 | 106,094 | ||||||
COMM 2014-UBS6 Mortgage Trust | 100,000 | 102,913 | ||||||
COMM 2015-LC21 Mortgage Trust | 50,000 | 51,793 | ||||||
GS Mortgage Securities Trust 2013-GC13 | 80,000 | 86,211 | ||||||
GS Mortgage Securities Trust 2013-GC16 | 100,000 | 107,914 | ||||||
GS Mortgage Securities Trust 2013-GCJ12 | 150,000 | 151,140 | ||||||
JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16 | 60,000 | 64,438 | ||||||
JPMBB Commercial Mortgage Securities Trust 2014-C18 | 50,000 | 53,212 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C29 | 100,000 | 102,810 | ||||||
JPMBB Commercial Mortgage Securities Trust 2015-C33 | 100,000 | 103,814 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust | 200,000 | 200,726 | ||||||
Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29 | 200,000 | 203,002 | ||||||
Wells Fargo Commercial Mortgage Trust 2014-LC16 | 53,439 | 53,186 | ||||||
Wells Fargo Commercial Mortgage Trust 2015-C31 | 100,000 | 101,224 | ||||||
WFRBS Commercial Mortgage Trust 2014-C19: | ||||||||
Series 2014-C19, Class A3, 3.66%, 3/15/2047 | 75,000 | 77,837 | ||||||
Series 2014-C19, Class A4, 3.83%, 3/15/2047 | 110,000 | 114,995 | ||||||
WFRBS Commercial Mortgage Trust 2014-C21 | 120,000 | 122,449 | ||||||
WFRBS Commercial Mortgage Trust 2014-LC14 | 100,000 | 105,853 | ||||||
|
| |||||||
TOTAL MORTGAGE-BACKED SECURITIES |
| 2,156,672 | ||||||
|
| |||||||
Shares | ||||||||
SHORT-TERM INVESTMENT – 4.8% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(f)(g) | 11,977,648 | 11,977,648 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.5% |
| 251,074,255 | ||||||
Liabilities in Excess of Other Assets – (0.5)% | (1,168,747 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 249,905,508 | ||||||
|
|
(a) | Step-up bond – Coupon rate increases in increments to maturity. Rate shown as of December 31, 2016. Maturity date shown is the final maturity. |
(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 0.5% of net assets as of December 31, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Variable Rate Security – Interest rate shown is rate in effect at December 31, 2016. |
(e) | When-issued security. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2016. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
See accompanying notes to financial statements.
47
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Corporate Bonds & Notes | ||||||||||||||||
Advertising | $ | – | $ | 150,373 | $ | – | $ | 150,373 | ||||||||
Aerospace & Defense | – | 917,610 | – | 917,610 | ||||||||||||
Agriculture | – | 711,678 | – | 711,678 | ||||||||||||
Airlines | – | 145,338 | – | 145,338 | ||||||||||||
Apparel | – | 76,758 | – | 76,758 | ||||||||||||
Auto Manufacturers | – | 1,453,390 | – | 1,453,390 | ||||||||||||
Auto Parts & Equipment | – | 74,349 | – | 74,349 | ||||||||||||
Banks | – | 15,117,780 | – | 15,117,780 | ||||||||||||
Beverages | – | 1,990,377 | – | 1,990,377 | ||||||||||||
Biotechnology | – | 950,641 | – | 950,641 | ||||||||||||
Chemicals | – | 946,140 | – | 946,140 | ||||||||||||
Commercial Services | – | 334,924 | – | 334,924 | ||||||||||||
Construction Materials | – | 59,824 | – | 59,824 | ||||||||||||
Distribution & Wholesale | – | 53,517 | – | 53,517 | ||||||||||||
Diversified Financial Services | – | 2,283,085 | – | 2,283,085 | ||||||||||||
Electric | – | 4,162,736 | – | 4,162,736 | ||||||||||||
Electrical Components & Equipment | – | 124,526 | – | 124,526 | ||||||||||||
Electronics | – | 453,625 | – | 453,625 | ||||||||||||
Engineering & Construction | – | 50,324 | – | 50,324 | ||||||||||||
Environmental Control | – | 192,955 | – | 192,955 | ||||||||||||
Food | – | 1,016,265 | – | 1,016,265 | ||||||||||||
Forest Products & Paper | – | 264,217 | – | 264,217 | ||||||||||||
Gas | – | 312,286 | – | 312,286 | ||||||||||||
Hand & Machine Tools | – | 52,715 | – | 52,715 | ||||||||||||
Health Care Products | – | 1,137,122 | – | 1,137,122 | ||||||||||||
Health Care Services | – | 1,171,296 | – | 1,171,296 | ||||||||||||
Holding Companies-Divers | – | 24,751 | – | 24,751 | ||||||||||||
Home Builders | – | 25,606 | – | 25,606 | ||||||||||||
Home Furnishings | – | 24,408 | – | 24,408 | ||||||||||||
Household Products | – | 195,905 | – | 195,905 | ||||||||||||
Household Products & Wares | – | 74,196 | – | 74,196 | ||||||||||||
Housewares | – | 263,090 | – | 263,090 | ||||||||||||
Insurance | – | 1,816,678 | – | 1,816,678 | ||||||||||||
Internet | – | 537,001 | – | 537,001 | ||||||||||||
Iron/Steel | – | 253,115 | – | 253,115 | ||||||||||||
IT Services | – | 1,859,498 | – | 1,859,498 | ||||||||||||
Lodging | – | 75,028 | – | 75,028 | ||||||||||||
Machinery, Construction & Mining | – | 273,490 | – | 273,490 | ||||||||||||
Machinery-Diversified | – | 281,073 | – | 281,073 | ||||||||||||
Media | – | 2,299,561 | – | 2,299,561 | ||||||||||||
Metal Fabricate & Hardware | – | 73,747 | – | 73,747 | ||||||||||||
Mining | – | 499,507 | – | 499,507 | ||||||||||||
Miscellaneous Manufacturer | – | 587,080 | – | 587,080 | ||||||||||||
Multi-National | – | 3,757,843 | – | 3,757,843 | ||||||||||||
Office & Business Equipment | – | 50,367 | – | 50,367 | ||||||||||||
Oil & Gas | – | 4,469,947 | – | 4,469,947 | ||||||||||||
Oil & Gas Services | – | 201,716 | – | 201,716 | ||||||||||||
Pharmaceuticals | – | 3,242,219 | – | 3,242,219 | ||||||||||||
Pipelines | – | 1,954,028 | – | 1,954,028 | ||||||||||||
Real Estate | – | 101,416 | – | 101,416 | ||||||||||||
Real Estate Investment Trusts | – | 1,479,829 | – | 1,479,829 | ||||||||||||
Retail | – | 2,165,373 | – | 2,165,373 | ||||||||||||
Semiconductors | – | 682,879 | – | 682,879 |
See accompanying notes to financial statements.
48
Table of Contents
State Street Aggregate Bond Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Software | $ | – | $ | 1,626,863 | $ | – | $ | 1,626,863 | ||||||||
Sovereign | – | 98,983 | – | 98,983 | ||||||||||||
Telecommunications | – | 3,408,146 | – | 3,408,146 | ||||||||||||
Toys/Games/Hobbies | – | 25,054 | – | 25,054 | ||||||||||||
Transportation | – | 993,097 | – | 993,097 | ||||||||||||
Trucking & Leasing | – | 50,054 | – | 50,054 | ||||||||||||
Water | – | 51,510 | – | 51,510 | ||||||||||||
Foreign Government Obligations | – | 4,327,638 | – | 4,327,638 | ||||||||||||
U.S. Government Agency Obligations | – | 74,693,507 | – | 74,693,507 | ||||||||||||
U.S. Treasury Obligations | – | 87,279,312 | – | 87,279,312 | ||||||||||||
Municipal Bonds & Notes | – | 1,764,601 | – | 1,764,601 | ||||||||||||
Asset-Backed Securities | ||||||||||||||||
Automobile | – | 640,822 | – | 640,822 | ||||||||||||
Credit Card | – | 507,146 | – | 507,146 | ||||||||||||
Mortgage-Backed Securities | – | 2,156,672 | – | 2,156,672 | ||||||||||||
Short-Term Investment | 11,977,648 | – | – | 11,977,648 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 11,977,648 | $ | 239,096,607 | $ | – | $ | 251,074,255 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of shares held at 12/31/15 | Value at 12/31/15 | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 13,317,540 | $ | 13,317,540 | 103,169,848 | 116,487,388 | – | $ | – | $ | 45,179 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 46,315,946 | 34,338,298 | 11,977,648 | 11,977,648 | 8,064 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | 13,317,540 | $ | 11,977,648 | $ | 53,243 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
49
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2016 | |||
Common Stocks | 97.2 | % | ||
Short-Term Investment | 3.0 | |||
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 investments)* | December 31, 2016 | |||
Banks | 15.3 | % | ||
Oil, Gas & Consumable Fuels | 7.0 | |||
Pharmaceuticals | 6.2 | |||
Insurance | 5.8 | |||
Chemicals | 3.2 | |||
Total | 37.5 | % |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
50
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – 97.2% | ||||||||
Australia – 5.1% | ||||||||
AGL Energy, Ltd. | 19,848 | $ | 317,476 | |||||
Alumina, Ltd. | 93,832 | 124,337 | ||||||
Amcor, Ltd. | 33,415 | 361,727 | ||||||
AMP, Ltd. | 85,773 | 313,025 | ||||||
APA Group | 33,500 | 207,885 | ||||||
Aristocrat Leisure, Ltd. | 16,927 | 189,981 | ||||||
ASX, Ltd. | 5,884 | 211,922 | ||||||
Aurizon Holdings, Ltd. | 62,873 | 229,908 | ||||||
AusNet Services | 78,881 | 90,246 | ||||||
Australia & New Zealand Banking Group, Ltd. | 91,790 | 2,021,869 | ||||||
Bank of Queensland, Ltd. | 13,776 | 118,406 | ||||||
Bendigo & Adelaide Bank, Ltd. | 11,096 | 102,120 | ||||||
BHP Billiton PLC | 64,210 | 1,036,591 | ||||||
BHP Billiton, Ltd. | 100,837 | 1,829,782 | ||||||
Boral, Ltd. | 36,032 | 141,151 | ||||||
Brambles, Ltd. | 52,079 | 467,609 | ||||||
Caltex Australia, Ltd. | 6,715 | 148,107 | ||||||
Challenger, Ltd. | 15,469 | 125,900 | ||||||
CIMIC Group, Ltd. | 4,078 | 103,174 | ||||||
Coca-Cola Amatil, Ltd. | 18,962 | 138,951 | ||||||
Cochlear, Ltd. | 1,795 | 159,286 | ||||||
Commonwealth Bank of Australia | 53,516 | 3,193,464 | ||||||
Computershare, Ltd. | 12,639 | 114,033 | ||||||
Crown Resorts, Ltd. | 12,305 | 103,178 | ||||||
CSL, Ltd. | 13,880 | 1,009,171 | ||||||
Dexus Property Group REIT | 29,539 | 205,764 | ||||||
Domino’s Pizza Enterprises, Ltd. | 2,115 | 99,530 | ||||||
DUET Group | 75,169 | 149,138 | ||||||
Flight Centre Travel Group, Ltd. | 714 | 16,182 | ||||||
Fortescue Metals Group, Ltd. | 49,498 | 211,106 | ||||||
Goodman Group REIT | 52,494 | 271,018 | ||||||
GPT Group REIT | 54,280 | 197,700 | ||||||
Harvey Norman Holdings, Ltd. | 23,187 | 86,299 | ||||||
Healthscope, Ltd. | 57,955 | 96,100 | ||||||
Incitec Pivot, Ltd. | 56,501 | 147,285 | ||||||
Insurance Australia Group, Ltd. | 71,380 | 309,601 | ||||||
LendLease Group | 17,469 | 184,933 | ||||||
Macquarie Group, Ltd. | 9,902 | 624,654 | ||||||
Medibank Pvt, Ltd. | 84,813 | 173,185 | ||||||
Mirvac Group REIT | 114,951 | 177,293 | ||||||
National Australia Bank, Ltd. | 83,421 | 1,852,626 | ||||||
Newcrest Mining, Ltd. | 22,023 | 322,924 | ||||||
Oil Search, Ltd. | 41,583 | 215,890 | ||||||
Orica, Ltd. | 9,154 | 117,190 | ||||||
Origin Energy, Ltd. | 52,878 | 252,324 | ||||||
Qantas Airways, Ltd. | 7,923 | 19,104 | ||||||
QBE Insurance Group, Ltd. | 40,101 | 360,641 | ||||||
Ramsay Health Care, Ltd. | 4,261 | 210,732 | ||||||
REA Group, Ltd. | 2,308 | 92,302 | ||||||
Santos, Ltd. | 49,584 | 144,333 | ||||||
Scentre Group REIT | 172,879 | 580,843 | ||||||
SEEK, Ltd. | 10,814 | 116,517 | ||||||
Sonic Healthcare, Ltd. | 12,056 | 186,817 | ||||||
South32, Ltd.(a) | 10,757 | 21,466 | ||||||
South32, Ltd.(a) | 150,162 | 299,014 | ||||||
Stockland REIT | 71,971 | 238,683 | ||||||
Suncorp Group, Ltd. | 37,337 | 365,523 | ||||||
Sydney Airport | 34,252 | 148,563 | ||||||
Tabcorp Holdings, Ltd. | 19,338 | 67,353 | ||||||
Tatts Group, Ltd. | 47,481 | 154,027 | ||||||
Telstra Corp., Ltd. | 139,681 | 515,829 | ||||||
TPG Telecom, Ltd. | 9,201 | 45,438 | ||||||
Transurban Group Stapled Security | 59,301 | 443,139 | ||||||
Treasury Wine Estates, Ltd. | 23,228 | 179,631 | ||||||
Vicinity Centres REIT | 100,115 | 216,755 | ||||||
Vocus Communications, Ltd. | 17,411 | 48,790 | ||||||
Wesfarmers, Ltd. | 34,149 | 1,042,008 | ||||||
Westfield Corp. | 56,393 | 383,024 | ||||||
Westpac Banking Corp. | 104,668 | 2,470,757 | ||||||
Woodside Petroleum, Ltd. | 24,633 | 555,793 | ||||||
Woolworths, Ltd. | 41,095 | 717,141 | ||||||
|
| |||||||
28,194,264 | ||||||||
|
| |||||||
Austria – 0.1% | ||||||||
ANDRITZ AG | 2,479 | 124,709 | ||||||
Erste Group Bank AG(b) | 8,494 | 249,286 | ||||||
OMV AG | 4,809 | 170,226 | ||||||
Raiffeisen Bank International AG(b) | 5,065 | 92,849 | ||||||
Voestalpine AG | 3,766 | 148,123 | ||||||
|
| |||||||
785,193 | ||||||||
|
| |||||||
Belgium – 0.8% | ||||||||
Ageas | 6,150 | 243,965 | ||||||
Anheuser-Busch InBev SA | 24,019 | 2,547,338 | ||||||
Colruyt SA | 2,463 | 122,112 | ||||||
Groupe Bruxelles Lambert SA | 2,470 | 207,689 | ||||||
KBC Group NV | 7,276 | 451,483 | ||||||
Proximus SADP | 4,865 | 140,394 | ||||||
Solvay SA | 2,258 | 265,194 | ||||||
Telenet Group Holding NV(b) | 2,039 | 113,381 | ||||||
UCB SA | 3,741 | 240,340 | ||||||
Umicore SA | 3,007 | 171,744 | ||||||
|
| |||||||
4,503,640 | ||||||||
|
| |||||||
Brazil – 1.6% | ||||||||
AES Tiete Energia SA | 5,508 | 23,693 | ||||||
Ambev SA | 135,658 | 683,563 | ||||||
Banco Bradesco SA | 25,196 | 225,585 | ||||||
Banco Bradesco SA Preference Shares | 80,218 | 714,758 | ||||||
Banco do Brasil SA | 27,300 | 235,615 | ||||||
Banco Santander Brasil SA | 15,500 | 140,632 | ||||||
BB Seguridade Participacoes SA | 21,600 | 187,815 | ||||||
BM&FBovespa SA | 50,600 | 256,521 | ||||||
BR Malls Participacoes SA(b) | 8,620 | 31,649 | ||||||
Braskem SA Class A, Preference Shares | 2,400 | 25,256 | ||||||
BRF SA | 18,000 | 266,845 | ||||||
CCR SA | 28,600 | 140,245 | ||||||
Centrais Eletricas Brasileiras SA Class B, Preference Shares(b) | 6,800 | 54,092 | ||||||
CETIP SA – Mercados Organizados | 8,100 | 110,996 | ||||||
Cia Brasileira de Distribuicao Preference Shares | 6,100 | 102,613 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 12,600 | 111,456 | ||||||
Cia Energetica de Minas Gerais Preference Shares | 31,300 | 74,146 | ||||||
Cia Paranaense de Energia Preference Shares | 1,300 | 10,928 | ||||||
Cia Siderurgica Nacional SA(b) | 9,900 | 33,003 | ||||||
Cielo SA | 29,816 | 255,498 | ||||||
Cosan SA Industria e Comercio | 1,500 | 17,582 |
See accompanying notes to financial statements.
51
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Brazil – (continued) |
| |||||||
CPFL Energia SA | 1,969 | $ | 15,251 | |||||
Duratex SA(b) | 4,428 | 9,251 | ||||||
EDP – Energias do Brasil SA | 4,474 | 18,420 | ||||||
Embraer SA | 22,300 | 109,626 | ||||||
Engie Brasil Energia SA | 2,500 | 26,884 | ||||||
Equatorial Energia SA | 7,000 | 117,000 | ||||||
Fibria Celulose SA | 3,500 | 34,294 | ||||||
Gerdau SA Preference Shares | 34,900 | 115,808 | ||||||
Hypermarcas SA | 13,500 | 108,383 | ||||||
Itau Unibanco Holding SA Preference Shares | 97,769 | 1,016,831 | ||||||
Itausa – Investimentos Itau SA Preference Shares | 114,839 | 292,152 | ||||||
JBS SA | 13,700 | 47,986 | ||||||
Klabin SA | 21,528 | 117,208 | ||||||
Kroton Educacional SA | 42,400 | 173,654 | ||||||
Localiza Rent a Car SA | 2,300 | 24,182 | ||||||
Lojas Americanas SA | 2,020 | 7,739 | ||||||
Lojas Americanas SA Preference Shares | 20,060 | 104,778 | ||||||
Lojas Renner SA | 20,300 | 144,514 | ||||||
M Dias Branco SA | 400 | 14,135 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 700 | 12,771 | ||||||
Natura Cosmeticos SA | 1,400 | 9,902 | ||||||
Odontoprev SA | 3,400 | 13,163 | ||||||
Petroleo Brasileiro SA(b) | 86,500 | 450,214 | ||||||
Petroleo Brasileiro SA Preference Shares(b) | 113,400 | 518,099 | ||||||
Porto Seguro SA | 900 | 7,439 | ||||||
Qualicorp SA | 1,794 | 10,611 | ||||||
Raia Drogasil SA | 7,500 | 141,004 | ||||||
Rumo Logistica Operadora Multimodal SA(b) | 16,140 | 30,448 | ||||||
Sul America SA | 2,500 | 13,826 | ||||||
Suzano Papel e Celulose SA Class A, Preference Shares | 8,200 | 35,776 | ||||||
Telefonica Brasil SA Preference Shares | 13,785 | 186,697 | ||||||
Tim Participacoes SA | 14,100 | 33,921 | ||||||
Ultrapar Participacoes SA | 10,900 | 229,239 | ||||||
Vale SA | 39,300 | 310,082 | ||||||
Vale SA Preference Shares | 57,700 | 413,776 | ||||||
WEG SA | 21,500 | 102,390 | ||||||
|
| |||||||
8,719,945 | ||||||||
|
| |||||||
Canada – 6.9% | ||||||||
Agnico Eagle Mines, Ltd. | 6,300 | 265,191 | ||||||
Agrium, Inc. | 3,800 | 382,423 | ||||||
Alimentation Couche-Tard, Inc. Class B | 13,600 | 617,403 | ||||||
AltaGas, Ltd. | 5,300 | 133,977 | ||||||
ARC Resources, Ltd. | 10,800 | 186,114 | ||||||
Atco, Ltd. Class I | 1,700 | 56,614 | ||||||
Bank of Montreal | 20,300 | 1,461,818 | ||||||
Bank of Nova Scotia | 37,700 | 2,101,676 | ||||||
Barrick Gold Corp. | 35,900 | 575,289 | ||||||
BCE, Inc. | 4,479 | 193,816 | ||||||
BlackBerry, Ltd.(b) | 11,900 | 81,992 | ||||||
Bombardier, Inc. Class B(b) | 76,000 | 122,412 | ||||||
Brookfield Asset Management, Inc. Class A | 26,250 | 867,138 | ||||||
CAE, Inc. | 6,400 | 89,625 | ||||||
Cameco Corp. | 12,900 | 135,055 | ||||||
Canadian Imperial Bank of Commerce | 12,000 | 980,366 | ||||||
Canadian National Railway Co. | 23,500 | 1,583,431 | ||||||
Canadian Natural Resources, Ltd. | 33,300 | 1,062,531 | ||||||
Canadian Pacific Railway, Ltd. | 4,500 | 642,795 | ||||||
Canadian Tire Corp., Ltd. Class A | 2,100 | 218,088 | ||||||
Canadian Utilities, Ltd. Class A | 4,200 | 113,343 | ||||||
CCL Industries, Inc. Class B | 700 | 137,698 | ||||||
Cenovus Energy, Inc. | 24,300 | 367,839 | ||||||
CGI Group, Inc. Class A(b) | 7,300 | 350,779 | ||||||
CI Financial Corp. | 7,900 | 170,070 | ||||||
Constellation Software, Inc. | 600 | 272,974 | ||||||
Crescent Point Energy Corp. | 15,200 | 206,853 | ||||||
Dollarama, Inc. | 3,900 | 286,106 | ||||||
Eldorado Gold Corp.(b) | 24,200 | 77,957 | ||||||
Element Fleet Management Corp. | 12,600 | 117,069 | ||||||
Emera, Inc. | 2,400 | 81,232 | ||||||
Empire Co., Ltd. Class A | 3,600 | 42,200 | ||||||
Enbridge, Inc. | 29,500 | 1,242,869 | ||||||
Encana Corp. | 31,800 | 373,713 | ||||||
Fairfax Financial Holdings, Ltd. | 700 | 338,503 | ||||||
Finning International, Inc. | 3,900 | 76,456 | ||||||
First Capital Realty, Inc. | 5,900 | 90,938 | ||||||
First Quantum Minerals, Ltd. | 21,500 | 214,030 | ||||||
Fortis, Inc. | 12,600 | 389,542 | ||||||
Franco-Nevada Corp. | 5,100 | 305,304 | ||||||
George Weston, Ltd. | 1,200 | 101,643 | ||||||
Gildan Activewear, Inc. | 7,000 | 177,943 | ||||||
Goldcorp, Inc. | 28,400 | 387,124 | ||||||
Great-West Lifeco, Inc. | 9,000 | 236,031 | ||||||
H&R Real Estate Investment Trust | 5,600 | 93,413 | ||||||
Husky Energy, Inc.(b) | 11,555 | 140,361 | ||||||
Hydro One, Ltd.(c) | 6,000 | 105,499 | ||||||
IGM Financial, Inc. | 3,800 | 108,244 | ||||||
Imperial Oil, Ltd. | 8,800 | 306,512 | ||||||
Industrial Alliance Insurance & Financial Services, Inc. | 2,400 | 95,549 | ||||||
Intact Financial Corp. | 3,900 | 279,475 | ||||||
Inter Pipeline, Ltd. | 10,200 | 225,441 | ||||||
Jean Coutu Group PJC, Inc. Class A | 1,100 | 17,160 | ||||||
Keyera Corp. | 6,600 | 199,125 | ||||||
Kinross Gold Corp.(b) | 37,700 | 117,791 | ||||||
Linamar Corp. | 2,100 | 90,339 | ||||||
Loblaw Cos., Ltd. | 6,600 | 348,640 | ||||||
Magna International, Inc. | 12,400 | 539,070 | ||||||
Manulife Financial Corp. | 60,200 | 1,073,325 | ||||||
Methanex Corp. | 2,100 | 92,218 | ||||||
Metro, Inc. | 7,100 | 212,621 | ||||||
National Bank of Canada | 9,800 | 398,489 | ||||||
Onex Corp. | 2,100 | 143,095 | ||||||
Open Text Corp. | 3,700 | 228,779 | ||||||
Pembina Pipeline Corp. | 13,000 | 406,756 | ||||||
Peyto Exploration & Development Corp. | 5,100 | 126,297 | ||||||
Potash Corp. of Saskatchewan, Inc. | 27,400 | 496,287 | ||||||
Power Corp. of Canada | 11,200 | 250,968 | ||||||
Power Financial Corp. | 7,800 | 195,196 | ||||||
PrairieSky Royalty, Ltd. | 6,794 | 161,814 | ||||||
Restaurant Brands International, Inc. | 6,546 | 312,156 |
See accompanying notes to financial statements.
52
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Canada – (continued) |
| |||||||
RioCan Real Estate Investment Trust | 5,300 | $ | 105,245 | |||||
Rogers Communications, Inc. Class B | 10,400 | 401,637 | ||||||
Royal Bank of Canada | 46,300 | 3,137,304 | ||||||
Saputo, Inc. | 7,700 | 272,791 | ||||||
Seven Generations Energy, Ltd. Class A(b) | 6,400 | 149,423 | ||||||
Shaw Communications, Inc. Class B | 12,300 | 247,091 | ||||||
Silver Wheaton Corp. | 12,700 | 245,657 | ||||||
Smart Real Estate Investment Trust REIT | 900 | 21,670 | ||||||
SNC-Lavalin Group, Inc. | 4,600 | 198,228 | ||||||
Sun Life Financial, Inc. | 19,700 | 757,269 | ||||||
Suncor Energy, Inc. | 52,364 | 1,714,164 | ||||||
Teck Resources, Ltd. Class B | 18,000 | 360,658 | ||||||
TELUS Corp. | 6,900 | 219,958 | ||||||
Thomson Reuters Corp. | 10,600 | 464,454 | ||||||
Toronto-Dominion Bank | 57,900 | 2,859,057 | ||||||
Tourmaline Oil Corp.(b) | 6,300 | 168,698 | ||||||
TransCanada Corp. | 27,100 | 1,223,395 | ||||||
Turquoise Hill Resources, Ltd.(b) | 33,700 | 108,308 | ||||||
Valeant Pharmaceuticals International, Inc.(b) | 9,800 | 142,281 | ||||||
Veresen, Inc. | 7,100 | 69,409 | ||||||
Vermilion Energy, Inc. | 3,700 | 155,858 | ||||||
West Fraser Timber Co., Ltd. | 2,700 | 96,661 | ||||||
Yamana Gold, Inc. | 29,700 | 83,494 | ||||||
|
| |||||||
37,883,300 | ||||||||
|
| |||||||
Chile – 0.3% | ||||||||
AES Gener SA | 22,037 | 7,870 | ||||||
Aguas Andinas SA Class A | 22,213 | 11,565 | ||||||
Antofagasta PLC | 15,423 | 128,638 | ||||||
Banco de Chile | 935,556 | 109,649 | ||||||
Banco de Credito e Inversiones | 1,591 | 80,511 | ||||||
Banco Santander Chile | 2,264,400 | 125,968 | ||||||
Cencosud SA | 40,053 | 112,418 | ||||||
Cia Cervecerias Unidas SA | 7,183 | 75,017 | ||||||
Colbun SA | 127,526 | 25,091 | ||||||
Embotelladora Andina SA Class B, Preference Shares | 3,273 | 12,174 | ||||||
Empresa Nacional de Telecomunicaciones SA(b) | 7,195 | 76,344 | ||||||
Empresas CMPC SA | 48,835 | 99,845 | ||||||
Empresas COPEC SA | 14,838 | 142,189 | ||||||
Enel Americas SA | 772,797 | 125,614 | ||||||
Enel Chile SA | 898,435 | 83,179 | ||||||
Enel Generacion Chile SA | 115,936 | 76,495 | ||||||
Itau CorpBanca | 3,102,407 | 26,022 | ||||||
Latam Airlines Group SA(b) | 11,268 | 94,941 | ||||||
SACI Falabella | 21,271 | 168,301 | ||||||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 3,726 | 106,192 | ||||||
|
| |||||||
1,688,023 | ||||||||
|
| |||||||
China – 5.7% | ||||||||
3SBio, Inc.(b)(c) | 24,500 | 23,858 | ||||||
58.com, Inc. ADR(b) | 2,600 | 72,800 | ||||||
AAC Technologies Holdings, Inc. | 22,500 | 204,449 | ||||||
Agricultural Bank of China, Ltd. Class H | 731,000 | 299,824 | ||||||
Air China, Ltd. Class H | 22,000 | 14,046 | ||||||
Alibaba Group Holding, Ltd. ADR(b) | 35,000 | 3,073,350 | ||||||
Alibaba Health Information Technology, Ltd.(b) | 59,500 | 29,930 | ||||||
Aluminum Corp. of China, Ltd. Class H(b) | 188,000 | 77,594 | ||||||
Anhui Conch Cement Co., Ltd. Class H | 42,500 | 115,663 | ||||||
ANTA Sports Products, Ltd. | 38,000 | 113,464 | ||||||
AviChina Industry & Technology Co., Ltd. Class H | 20,000 | 13,775 | ||||||
Baidu, Inc. ADR(b) | 8,600 | 1,413,926 | ||||||
Bank of China, Ltd. Class H | 2,519,000 | 1,117,657 | ||||||
Bank of Communications Co., Ltd. Class H | 273,000 | 197,537 | ||||||
Beijing Capital International Airport Co., Ltd. Class H | 14,000 | 14,157 | ||||||
Beijing Enterprises Holdings, Ltd. | 14,000 | 66,180 | ||||||
Beijing Enterprises Water Group, Ltd.(b) | 164,000 | 109,148 | ||||||
Belle International Holdings, Ltd. | 213,000 | 119,781 | ||||||
Brilliance China Automotive Holdings, Ltd. | 102,000 | 140,505 | ||||||
Byd Co., Ltd. Class H | 21,000 | 110,645 | ||||||
CGN Power Co., Ltd. Class H(c) | 401,600 | 110,330 | ||||||
China Cinda Asset Management Co., Ltd. Class H | 317,592 | 115,106 | ||||||
China CITIC Bank Corp., Ltd. Class H | 279,000 | 177,408 | ||||||
China Coal Energy Co., Ltd. Class H(b) | 30,000 | 14,239 | ||||||
China Communications Construction Co., Ltd. Class H | 141,000 | 162,221 | ||||||
China Communications Services Corp., Ltd. Class H | 28,000 | 17,840 | ||||||
China Conch Venture Holdings, Ltd. | 50,500 | 89,886 | ||||||
China Construction Bank Corp. Class H | 2,639,000 | 2,032,055 | ||||||
China Everbright Bank Co., Ltd. Class H | 42,300 | 19,259 | ||||||
China Everbright International, Ltd. | 92,000 | 104,303 | ||||||
China Everbright, Ltd. | 12,000 | 22,845 | ||||||
China Evergrande Group | 170,000 | 105,905 | ||||||
China Galaxy Securities Co., Ltd. Class H | 114,300 | 103,049 | ||||||
China Huarong Asset Management Co., Ltd.(b)(c) | 231,000 | 83,126 | ||||||
China Huishan Dairy Holdings Co., Ltd. | 66,000 | 25,623 | ||||||
China Jinmao Holdings Group, Ltd. | 44,000 | 11,861 | ||||||
China Life Insurance Co., Ltd. Class H | 219,000 | 570,581 | ||||||
China Longyuan Power Group Corp., Ltd. Class H | 127,000 | 99,265 | ||||||
China Medical System Holdings, Ltd. | 55,000 | 87,113 | ||||||
China Mengniu Dairy Co., Ltd. | 88,000 | 169,572 |
See accompanying notes to financial statements.
53
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
China – (continued) |
| |||||||
China Merchants Bank Co., Ltd. Class H | 116,500 | $ | 273,175 | |||||
China Merchants Port Holdings Co., Ltd. | 44,478 | 110,375 | ||||||
China Minsheng Banking Corp., Ltd. Class H | 183,500 | 196,206 | ||||||
China Mobile, Ltd. | 192,500 | 2,040,912 | ||||||
China National Building Material Co., Ltd. Class H | 32,000 | 15,560 | ||||||
China Oilfield Services, Ltd. Class H | 86,000 | 79,864 | ||||||
China Overseas Land & Investment, Ltd. | 114,000 | 302,161 | ||||||
China Pacific Insurance Group Co., Ltd. Class H | 78,200 | 272,832 | ||||||
China Petroleum & Chemical Corp. Class H | 828,000 | 587,374 | ||||||
China Power International Development, Ltd. | 40,000 | 14,497 | ||||||
China Railway Construction Corp., Ltd. Class H | 78,500 | 101,047 | ||||||
China Railway Group, Ltd. Class H | 108,000 | 88,872 | ||||||
China Resources Beer Holdings Co., Ltd.(b) | 64,721 | 128,555 | ||||||
China Resources Gas Group, Ltd. | 34,000 | 95,600 | ||||||
China Resources Land, Ltd. | 85,333 | 191,949 | ||||||
China Resources Power Holdings Co., Ltd. | 68,055 | 108,142 | ||||||
China Shenhua Energy Co., Ltd. Class H | 104,500 | 196,785 | ||||||
China Southern Airlines Co., Ltd. Class H | 16,000 | 8,317 | ||||||
China State Construction International Holdings, Ltd. | 70,000 | 104,732 | ||||||
China Taiping Insurance Holdings Co., Ltd.(b) | 43,800 | 90,389 | ||||||
China Telecom Corp., Ltd. Class H | 426,000 | 196,705 | ||||||
China Unicom Hong Kong, Ltd. | 184,000 | 214,303 | ||||||
China Vanke Co., Ltd. Class H | 47,400 | 108,212 | ||||||
Chongqing Changan Automobile Co., Ltd. Class B | 10,700 | 15,305 | ||||||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 32,000 | 18,779 | ||||||
CITIC Securities Co., Ltd. Class H | 69,000 | 140,258 | ||||||
CITIC, Ltd. | 134,000 | 191,845 | ||||||
CNOOC, Ltd. | 574,000 | 718,134 | ||||||
COSCO SHIPPING Ports, Ltd. | 29,008 | 29,146 | ||||||
Country Garden Holdings Co., Ltd. | 213,000 | 119,232 | ||||||
CRRC Corp., Ltd. Class H | 143,350 | 128,685 | ||||||
CSPC Pharmaceutical Group, Ltd. | 112,000 | 119,611 | ||||||
Ctrip.com International, Ltd. ADR(b) | 11,600 | 464,000 | ||||||
Dongfeng Motor Group Co., Ltd. Class H | 74,000 | 72,252 | ||||||
ENN Energy Holdings, Ltd. | 26,000 | 106,976 | ||||||
Far East Horizon, Ltd. | 23,000 | 19,727 | ||||||
Fosun International, Ltd. | 94,000 | 133,123 | ||||||
Fuyao Glass Industry Group Co., Ltd. Class H(c) | 23,600 | 73,206 | ||||||
Geely Automobile Holdings, Ltd. | 145,000 | 138,582 | ||||||
GF Securities Co., Ltd. Class H | 36,800 | 76,798 | ||||||
GOME Electrical Appliances Holding, Ltd. | 142,000 | 17,216 | ||||||
Great Wall Motor Co., Ltd. Class H | 109,500 | 102,253 | ||||||
Guangdong Investment, Ltd. | 92,000 | 121,509 | ||||||
Guangzhou Automobile Group Co., Ltd. Class H | 76,000 | 91,947 | ||||||
Guangzhou R&F Properties Co., Ltd. Class H | 12,400 | 15,002 | ||||||
Haitian International Holdings, Ltd. | 5,000 | 9,815 | ||||||
Haitong Securities Co., Ltd. Class H | 97,200 | 166,740 | ||||||
Hengan International Group Co., Ltd. | 22,500 | 165,272 | ||||||
HengTen Networks Group, Ltd.(b) | 1,204,000 | 60,564 | ||||||
Huaneng Power International, Inc. Class H | 166,000 | 110,051 | ||||||
Huaneng Renewables Corp., Ltd. Class H | 32,629 | 10,605 | ||||||
Huatai Securities Co., Ltd. Class H(c) | 52,800 | 100,790 | ||||||
Industrial & Commercial Bank of China, Ltd. Class H | 2,328,000 | 1,396,233 | ||||||
JD.com, Inc. ADR(b) | 19,700 | 501,168 | ||||||
Jiangsu Expressway Co., Ltd. Class H | 14,000 | 17,696 | ||||||
Jiangxi Copper Co., Ltd. Class H | 17,000 | 23,725 | ||||||
Kingsoft Corp., Ltd. | 10,000 | 20,508 | ||||||
Kunlun Energy Co., Ltd. | 130,000 | 97,251 | ||||||
Lenovo Group, Ltd. | 234,000 | 141,852 | ||||||
Longfor Properties Co., Ltd. | 66,500 | 84,399 | ||||||
NetEase, Inc. ADR | 2,600 | 559,884 | ||||||
New China Life Insurance Co., Ltd. Class H | 28,400 | 130,404 | ||||||
New Oriental Education & Technology Group, Inc. ADR(b) | 4,200 | 176,820 | ||||||
People’s Insurance Co. Group of China, Ltd. Class H | 252,000 | 99,459 | ||||||
PetroChina Co., Ltd. Class H | 688,000 | 512,906 | ||||||
PICC Property & Casualty Co., Ltd. Class H | 139,800 | 217,819 | ||||||
Ping An Insurance Group Co. of China, Ltd. Class H | 166,500 | 833,236 | ||||||
Qunar Cayman Islands, Ltd. ADR(b) | 500 | 15,065 | ||||||
Semiconductor Manufacturing International Corp.(b) | 77,300 | 121,436 | ||||||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 24,000 | 16,035 | ||||||
Shanghai Electric Group Co., Ltd. Class H(b) | 24,000 | 10,741 | ||||||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 3,500 | 10,721 | ||||||
Shanghai Industrial Holdings, Ltd. | 7,000 | 18,960 | ||||||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 46,620 | 68,252 | ||||||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 8,700 | 19,951 | ||||||
Shenzhou International Group Holdings, Ltd. | 15,000 | 94,897 | ||||||
SINA Corp.(b) | 1,700 | 103,343 | ||||||
Sino-Ocean Group Holding, Ltd. | 42,000 | 18,798 | ||||||
Sinopec Engineering Group Co., Ltd. Class H | 15,000 | 12,517 |
See accompanying notes to financial statements.
54
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
China – (continued) |
| |||||||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 50,000 | $ | 27,086 | |||||
Sinopharm Group Co., Ltd. Class H | 37,200 | 153,298 | ||||||
Sinotrans, Ltd. Class H | 16,000 | 7,140 | ||||||
SOHO China, Ltd. | 46,000 | 22,664 | ||||||
Sunac China Holdings, Ltd. | 92,000 | 76,537 | ||||||
Sunny Optical Technology Group Co., Ltd. | 21,000 | 91,956 | ||||||
TAL Education Group ADR(b) | 1,700 | 119,255 | ||||||
Tencent Holdings, Ltd. | 176,900 | 4,328,296 | ||||||
Tingyi Cayman Islands Holding Corp. | 82,000 | 99,735 | ||||||
TravelSky Technology, Ltd. Class H | 42,000 | 88,300 | ||||||
Tsingtao Brewery Co., Ltd. Class H | 6,000 | 22,675 | ||||||
Vipshop Holdings, Ltd. ADR(b) | 12,700 | 139,827 | ||||||
Want Want China Holdings, Ltd. | 190,000 | 121,796 | ||||||
Weibo Corp. ADR(b) | 1,600 | 64,960 | ||||||
Weichai Power Co., Ltd. Class H | 14,000 | 21,560 | ||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 21,000 | 11,847 | ||||||
Yanzhou Coal Mining Co., Ltd. Class H | 14,000 | 9,552 | ||||||
Yum China Holdings, Inc.(b) | 13,000 | 339,560 | ||||||
YY, Inc. ADR(b) | 300 | 11,826 | ||||||
Zhejiang Expressway Co., Ltd. Class H | 18,000 | 17,180 | ||||||
Zhuzhou CRRC Times Electric Co., Ltd. | 15,000 | 76,130 | ||||||
Zijin Mining Group Co., Ltd. Class H | 76,000 | 24,506 | ||||||
ZTE Corp. Class H | 9,400 | 16,343 | ||||||
|
| |||||||
31,729,968 | ||||||||
|
| |||||||
Colombia – 0.1% | ||||||||
Bancolombia SA ADR | 500 | 18,340 | ||||||
Bancolombia SA Preference Shares | 12,910 | 116,887 | ||||||
Cementos Argos SA | 9,003 | 35,568 | ||||||
Corp. Financiera Colombiana SA | 1,504 | 18,577 | ||||||
Ecopetrol SA(b) | 62,893 | 28,912 | ||||||
Ecopetrol SA ADR(b) | 700 | 6,335 | ||||||
Grupo Argos SA | 6,676 | 42,876 | ||||||
Grupo Aval Acciones y Valores SA Preference Shares | 28,874 | 11,686 | ||||||
Grupo de Inversiones Suramericana SA | 4,370 | 55,608 | ||||||
Grupo de Inversiones Suramericana SA Preference Shares | 813 | 10,020 | ||||||
Interconexion Electrica SA ESP | 3,293 | 10,947 | ||||||
|
| |||||||
355,756 | ||||||||
|
| |||||||
Czech Republic – 0.0%(d) | ||||||||
CEZ A/S | 4,375 | 73,435 | ||||||
Komercni banka A/S | 2,727 | 94,207 | ||||||
Moneta Money Bank A/S(b)(c) | 21,059 | 68,065 | ||||||
O2 Czech Republic A/S | 227 | 2,302 | ||||||
|
| |||||||
238,009 | ||||||||
|
| |||||||
Denmark – 1.1% | ||||||||
AP Moeller – Maersk A/S Class A | 122 | 184,656 | ||||||
AP Moeller – Maersk A/S Class B | 191 | 305,349 | ||||||
Carlsberg A/S Class B | 3,147 | 272,088 | ||||||
Chr Hansen Holding A/S | 3,056 | 169,543 | ||||||
Coloplast A/S Class B | 3,592 | 242,692 | ||||||
Danske Bank A/S | 22,197 | 674,454 | ||||||
DONG Energy A/S(b)(c) | 2,478 | 94,064 | ||||||
DSV A/S | 5,784 | 257,794 | ||||||
Genmab A/S(b) | 1,673 | 278,376 | ||||||
ISS A/S | 5,155 | 174,330 | ||||||
Novo Nordisk A/S Class B | 59,906 | 2,164,402 | ||||||
Novozymes A/S Class B | 6,808 | 235,157 | ||||||
Pandora A/S | 3,650 | 478,413 | ||||||
TDC A/S(b) | 26,400 | 135,791 | ||||||
Tryg A/S | 4,736 | 85,791 | ||||||
Vestas Wind Systems A/S | 6,429 | 418,596 | ||||||
William Demant Holding A/S(b) | 4,909 | 85,513 | ||||||
|
| |||||||
6,257,009 | ||||||||
|
| |||||||
Egypt – 0.0%(d) | ||||||||
Commercial International Bank Egypt SAE | 32,871 | 132,445 | ||||||
Global Telecom Holding SAE(b) | 22,280 | 8,725 | ||||||
Talaat Moustafa Group | 8,765 | 4,390 | ||||||
|
| |||||||
145,560 | ||||||||
|
| |||||||
Finland – 0.7% | ||||||||
Elisa Oyj | 4,459 | 145,468 | ||||||
Fortum Oyj | 13,465 | 206,926 | ||||||
Kone Oyj Class B | 11,038 | 495,614 | ||||||
Metso Oyj | 4,066 | 116,221 | ||||||
Neste Oyj | 4,137 | 159,268 | ||||||
Nokia Oyj(a) | 12,886 | 62,059 | ||||||
Nokia Oyj(a) | 165,549 | 801,124 | ||||||
Nokian Renkaat Oyj | 3,775 | 141,031 | ||||||
Orion Oyj Class B | 3,387 | 151,078 | ||||||
Sampo Oyj Class A | 14,431 | 648,267 | ||||||
Stora Enso Oyj Class R | 17,653 | 190,105 | ||||||
UPM-Kymmene Oyj | 15,691 | 386,279 | ||||||
Wartsila Oyj Abp | 4,556 | 205,096 | ||||||
|
| |||||||
3,708,536 | ||||||||
|
| |||||||
France – 6.8% | ||||||||
Accor SA | 5,337 | 199,443 | ||||||
Aeroports de Paris | 1,016 | 109,091 | ||||||
Air Liquide SA | 12,273 | 1,367,634 | ||||||
Airbus Group SE | 17,738 | 1,175,683 | ||||||
Alstom SA(b) | 4,158 | 114,794 | ||||||
Arkema SA | 2,107 | 206,546 | ||||||
Atos SE | 2,663 | 281,582 | ||||||
AXA SA | 61,078 | 1,545,162 | ||||||
BNP Paribas SA | 33,206 | 2,120,705 | ||||||
Bollore SA(a)(b) | 145 | 500 | ||||||
Bollore SA(a) | 30,890 | 109,147 | ||||||
Bouygues SA | 6,397 | 229,710 | ||||||
Bureau Veritas SA | 8,289 | 160,955 | ||||||
Cap Gemini SA | 4,704 | 397,668 | ||||||
Carrefour SA | 18,684 | 451,092 | ||||||
Casino Guichard Perrachon SA | 1,928 | 92,710 | ||||||
Christian Dior SE | 1,620 | 340,457 | ||||||
Cie de Saint-Gobain | 15,231 | 710,952 | ||||||
Cie Generale des Etablissements Michelin | 5,881 | 655,655 | ||||||
CNP Assurances | 6,554 | 121,666 | ||||||
Credit Agricole SA | 36,928 | 458,829 | ||||||
Danone SA | 17,839 | 1,132,704 | ||||||
Dassault Aviation SA | 67 | 75,021 | ||||||
Dassault Systemes SE | 3,783 | 288,845 |
See accompanying notes to financial statements.
55
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
France – (continued) | ||||||||
Edenred | 6,682 | $ | 132,746 | |||||
Eiffage SA | 1,875 | 131,020 | ||||||
Electricite de France SA | 7,013 | 71,603 | ||||||
Engie SA | 47,328 | 605,021 | ||||||
Essilor International SA | 6,311 | 714,578 | ||||||
Eurazeo SA | 1,647 | 96,552 | ||||||
Eutelsat Communications SA | 4,161 | 80,732 | ||||||
Fonciere Des Regions | 904 | 79,083 | ||||||
Gecina SA REIT | 1,278 | 177,191 | ||||||
Groupe Eurotunnel SE | 14,843 | 141,433 | ||||||
Hermes International | 776 | 319,210 | ||||||
ICADE | 845 | 60,419 | ||||||
Iliad SA | 837 | 161,248 | ||||||
Imerys SA | 1,427 | 108,475 | ||||||
Ingenico Group SA | 1,683 | 134,680 | ||||||
JCDecaux SA | 3,050 | 89,850 | ||||||
Kering | 2,464 | 554,346 | ||||||
Klepierre REIT | 6,512 | 256,505 | ||||||
L’Oreal SA | 7,639 | 1,397,125 | ||||||
Lagardere SCA | 2,715 | 75,586 | ||||||
Legrand SA | 8,739 | 497,282 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 8,783 | 1,680,466 | ||||||
Natixis SA | 33,885 | 191,567 | ||||||
Orange SA | 60,415 | 919,837 | ||||||
Pernod Ricard SA | 6,499 | 705,704 | ||||||
Peugeot SA(b) | 14,919 | 243,826 | ||||||
Publicis Groupe SA | 5,470 | 378,190 | ||||||
Remy Cointreau SA | 312 | 26,662 | ||||||
Renault SA | 6,249 | 557,017 | ||||||
Rexel SA | 7,473 | 123,237 | ||||||
Safran SA | 10,053 | 725,485 | ||||||
Sanofi | 36,233 | 2,938,868 | ||||||
Schneider Electric SE | 16,933 | 1,180,730 | ||||||
SCOR SE | 5,210 | 180,409 | ||||||
SEB SA | 665 | 90,306 | ||||||
SFR Group SA(b) | 2,557 | 72,360 | ||||||
Societe BIC SA | 954 | 129,955 | ||||||
Societe Generale SA | 24,289 | 1,197,552 | ||||||
Sodexo SA | 2,766 | 318,584 | ||||||
Suez Environment Co. | 10,306 | 152,347 | ||||||
Technip SA | 3,326 | 237,884 | ||||||
Thales SA | 3,134 | 304,544 | ||||||
TOTAL SA | 70,234 | 3,609,144 | ||||||
Unibail-Rodamco SE | 3,189 | 762,696 | ||||||
Valeo SA | 6,972 | 401,586 | ||||||
Veolia Environnement SA | 13,322 | 227,281 | ||||||
Vinci SA | 15,301 | 1,044,176 | ||||||
Vivendi SA | 35,684 | 679,549 | ||||||
Wendel SA | 678 | 81,810 | ||||||
Zodiac Aerospace | 6,474 | 148,963 | ||||||
|
| |||||||
37,541,971 | ||||||||
|
| |||||||
Germany – 6.4% | ||||||||
adidas AG | 5,728 | 907,147 | ||||||
Allianz SE | 14,305 | 2,368,847 | ||||||
Axel Springer SE | 1,892 | 92,056 | ||||||
BASF SE | 28,711 | 2,674,285 | ||||||
Bayer AG | 25,847 | 2,702,494 | ||||||
Bayerische Motoren Werke AG | 10,530 | 985,703 | ||||||
Bayerische Motoren Werke AG Preference Shares | 1,321 | 101,295 | ||||||
Beiersdorf AG | 2,988 | 254,018 | ||||||
Brenntag AG | 4,661 | 259,575 | ||||||
Commerzbank AG | 32,407 | 247,678 | ||||||
Continental AG | 3,390 | 656,838 | ||||||
Covestro AG(c) | 2,573 | 176,890 | ||||||
Daimler AG | 30,155 | 2,249,319 | ||||||
Deutsche Bank AG(b) | 44,141 | 803,121 | ||||||
Deutsche Boerse AG(b) | 6,302 | 515,411 | ||||||
Deutsche Lufthansa AG | 8,592 | 111,196 | ||||||
Deutsche Post AG | 29,530 | 972,869 | ||||||
Deutsche Telekom AG | 102,886 | 1,774,828 | ||||||
Deutsche Wohnen AG | 9,840 | 309,702 | ||||||
E.ON SE | 58,059 | 410,293 | ||||||
Evonik Industries AG | 4,553 | 136,289 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 1,650 | 97,755 | ||||||
Fresenius Medical Care AG & Co. KGaA | 6,372 | 540,694 | ||||||
Fresenius SE & Co. KGaA | 12,464 | 976,252 | ||||||
Fuchs Petrolub SE Preference Shares | 1,617 | 68,017 | ||||||
GEA Group AG | 5,422 | 218,632 | ||||||
Hannover Rueck SE | 1,865 | 202,219 | ||||||
HeidelbergCement AG | 4,897 | 457,784 | ||||||
Henkel AG & Co. KGaA | 3,043 | 317,687 | ||||||
Henkel AG & Co. KGaA Preference Shares | 5,473 | 653,752 | ||||||
HOCHTIEF AG | 802 | 112,548 | ||||||
HUGO BOSS AG | 2,234 | 136,972 | ||||||
Infineon Technologies AG | 36,574 | 636,897 | ||||||
Innogy SE(b)(c) | 4,781 | 166,461 | ||||||
KS AG | 5,189 | 124,185 | ||||||
Lanxess AG | 2,481 | 163,160 | ||||||
Linde AG | 5,652 | 930,582 | ||||||
MAN SE | 1,181 | 117,503 | ||||||
Merck KGaA | 3,733 | 390,391 | ||||||
METRO AG | 5,567 | 185,461 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 4,899 | 928,291 | ||||||
OSRAM Licht AG | 2,852 | 149,881 | ||||||
Porsche Automobil Holding SE Preference Shares | 4,625 | 252,399 | ||||||
ProSiebenSat.1 Media SE | 6,463 | 249,565 | ||||||
QIAGEN NV(b) | 7,827 | 220,258 | ||||||
RWE AG(b) | 14,622 | 182,217 | ||||||
SAP SE | 30,720 | 2,683,203 | ||||||
Schaeffler AG Preference Shares | 6,635 | 98,361 | ||||||
Siemens AG | 23,892 | 2,943,370 | ||||||
Symrise AG | 3,684 | 224,710 | ||||||
Telefonica Deutschland Holding AG | 17,093 | 73,377 | ||||||
ThyssenKrupp AG | 11,049 | 263,845 | ||||||
TUI AG | 15,340 | 220,445 | ||||||
United Internet AG | 3,879 | 151,769 | ||||||
Volkswagen AG Preference Shares | 5,930 | 834,060 | ||||||
Volkswagen AG | 880 | 126,929 | ||||||
Vonovia SE | 15,261 | 497,463 | ||||||
Zalando SE(b)(c) | 2,060 | 78,850 | ||||||
|
| |||||||
35,385,799 | ||||||||
|
| |||||||
Greece – 0.1% | ||||||||
Alpha Bank AE(b) | 56,803 | 113,834 |
See accompanying notes to financial statements.
56
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Greece – (continued) | ||||||||
Eurobank Ergasias SA(b) | 24,580 | $ | 16,722 | |||||
FF Group(b) | 122 | 2,474 | ||||||
Hellenic Telecommunications Organization SA | 10,111 | 95,235 | ||||||
JUMBO SA | 4,872 | 77,389 | ||||||
National Bank of Greece SA(b) | 82,540 | 21,591 | ||||||
OPAP SA | 10,008 | 88,670 | ||||||
Piraeus Bank SA(b) | 86,012 | 18,961 | ||||||
Titan Cement Co. SA | 393 | 9,244 | ||||||
|
| |||||||
444,120 | ||||||||
|
| |||||||
Hong Kong – 2.3% | ||||||||
AIA Group, Ltd. | 377,600 | 2,130,747 | ||||||
Alibaba Pictures Group, Ltd.(b) | 460,000 | 74,757 | ||||||
ASM Pacific Technology, Ltd. | 10,100 | 107,017 | ||||||
Bank of East Asia, Ltd. | 38,374 | 146,999 | ||||||
BOC Hong Kong Holdings, Ltd. | 108,000 | 386,553 | ||||||
Cathay Pacific Airways, Ltd. | 17,000 | 22,365 | ||||||
Cheung Kong Infrastructure Holdings, Ltd. | 21,000 | 167,119 | ||||||
Cheung Kong Property Holdings, Ltd. | 87,524 | 536,784 | ||||||
China Gas Holdings, Ltd. | 64,000 | 86,840 | ||||||
CK Hutchison Holdings, Ltd. | 86,024 | 975,282 | ||||||
CLP Holdings, Ltd. | 48,500 | 445,706 | ||||||
First Pacific Co., Ltd. | 30,000 | 20,972 | ||||||
Fullshare Holdings, Ltd. | 270,000 | 126,065 | ||||||
Galaxy Entertainment Group, Ltd. | 72,000 | 313,885 | ||||||
GCL-Poly Energy Holdings, Ltd.(b) | 139,000 | 16,673 | ||||||
Haier Electronics Group Co., Ltd. | 56,000 | 88,119 | ||||||
Hanergy Thin Film Power Group, Ltd.(b)(e) | 68,000 | – | ||||||
Hang Lung Group, Ltd. | 26,000 | 90,544 | ||||||
Hang Lung Properties, Ltd. | 72,000 | 152,671 | ||||||
Hang Seng Bank, Ltd. | 22,100 | 411,321 | ||||||
Henderson Land Development Co., Ltd. | 34,097 | 181,410 | ||||||
HK Electric Investments & HK Electric Investments, Ltd.(c) | 104,164 | 85,984 | ||||||
HKT Trust & HKT, Ltd. | 87,000 | 106,602 | ||||||
Hong Kong & China Gas Co., Ltd. | 220,000 | 389,880 | ||||||
Hong Kong Exchanges & Clearing, Ltd. | 36,904 | 872,009 | ||||||
Hongkong Land Holdings, Ltd. | 36,000 | 227,880 | ||||||
Hysan Development Co., Ltd. | 23,000 | 95,077 | ||||||
Jardine Matheson Holdings, Ltd. | 7,200 | 397,800 | ||||||
Kerry Properties, Ltd. | 30,000 | 81,451 | ||||||
Li & Fung, Ltd. | 208,000 | 91,483 | ||||||
Link REIT | 66,500 | 432,289 | ||||||
Melco Crown Entertainment, Ltd. ADR | 7,038 | 111,904 | ||||||
MTR Corp., Ltd. | 43,988 | 213,893 | ||||||
New World Development Co., Ltd. | 179,229 | 189,559 | ||||||
Nine Dragons Paper Holdings, Ltd. | 80,000 | 72,538 | ||||||
NWS Holdings, Ltd. | 61,399 | 100,099 | ||||||
PCCW, Ltd. | 147,000 | 79,632 | ||||||
Power Assets Holdings, Ltd. | 40,000 | 352,631 | ||||||
Sands China, Ltd. | 72,400 | 314,695 | ||||||
Shangri-La Asia, Ltd. | 20,000 | 21,101 | ||||||
Shimao Property Holdings, Ltd. | 16,500 | 21,580 | ||||||
Sino Biopharmaceutical, Ltd. | 154,000 | 108,451 | ||||||
Sino Land Co., Ltd. | 96,429 | 144,523 | ||||||
SJM Holdings, Ltd. | 96,000 | 75,283 | ||||||
Sun Art Retail Group, Ltd. | 104,000 | 91,215 | ||||||
Sun Hung Kai Properties, Ltd. | 47,000 | 594,081 | ||||||
Swire Pacific, Ltd. Class A | 16,500 | 157,591 | ||||||
Swire Properties, Ltd. | 40,200 | 110,959 | ||||||
Techtronic Industries Co., Ltd. | 42,500 | 152,390 | ||||||
WH Group, Ltd.(c) | 282,000 | 228,054 | ||||||
Wharf Holdings, Ltd. | 41,000 | 272,605 | ||||||
Wheelock & Co., Ltd. | 27,000 | 152,009 | ||||||
Yue Yuen Industrial Holdings, Ltd. | 26,000 | 94,400 | ||||||
|
| |||||||
12,921,477 | ||||||||
|
| |||||||
Hungary – 0.1% | ||||||||
MOL Hungarian Oil & Gas PLC | 661 | 46,578 | ||||||
OTP Bank PLC | 7,478 | 214,509 | ||||||
Richter Gedeon Nyrt | 5,326 | 112,947 | ||||||
|
| |||||||
374,034 | ||||||||
|
| |||||||
India – 1.9% | ||||||||
ACC, Ltd. | 889 | 17,421 | ||||||
Adani Ports & Special Economic Zone, Ltd. | 29,797 | 117,419 | ||||||
Ambuja Cements, Ltd. | 25,405 | 77,110 | ||||||
Apollo Hospitals Enterprise, Ltd. | 978 | 17,044 | ||||||
Ashok Leyland, Ltd. | 16,047 | 18,915 | ||||||
Asian Paints, Ltd. | 7,801 | 102,354 | ||||||
Aurobindo Pharma, Ltd. | 9,217 | 90,717 | ||||||
Axis Bank, Ltd. | 47,063 | 312,251 | ||||||
Bajaj Auto, Ltd. | 2,863 | 111,112 | ||||||
Bajaj Finance, Ltd. | 6,447 | 80,134 | ||||||
Bajaj Finserv, Ltd. | 1,830 | 77,654 | ||||||
Bharat Forge, Ltd. | 1,403 | 18,770 | ||||||
Bharat Heavy Electricals, Ltd. | 7,316 | 13,038 | ||||||
Bharat Petroleum Corp., Ltd. | 18,614 | 173,867 | ||||||
Bharti Airtel, Ltd. | 31,381 | 141,323 | ||||||
Bharti Infratel, Ltd. | 21,353 | 108,385 | ||||||
Bosch, Ltd. | 277 | 86,524 | ||||||
Cadila Healthcare, Ltd. | 4,054 | 21,211 | ||||||
Cairn India, Ltd. | 8,551 | 30,521 | ||||||
Cipla, Ltd. | 12,709 | 106,174 | ||||||
Coal India, Ltd. | 23,660 | 104,757 | ||||||
Container Corp. Of India, Ltd. | 121 | 1,978 | ||||||
Dabur India, Ltd. | 21,388 | 87,055 | ||||||
Divi’s Laboratories, Ltd. | 1,231 | 14,176 | ||||||
Dr Reddy’s Laboratories, Ltd. | 3,631 | 163,494 | ||||||
Eicher Motors, Ltd. | 412 | 132,184 | ||||||
GAIL India, Ltd. | 10,951 | 70,438 | ||||||
GAIL India, Ltd. GDR | 400 | 15,300 | ||||||
Glenmark Pharmaceuticals, Ltd. | 6,301 | 82,618 | ||||||
Godrej Consumer Products, Ltd. | 4,355 | 97,149 | ||||||
Havells India, Ltd. | 5,479 | 27,544 | ||||||
HCL Technologies, Ltd. | 17,455 | 212,227 | ||||||
Hero MotoCorp, Ltd. | 1,988 | 88,823 | ||||||
Hindalco Industries, Ltd. | 43,845 | 100,003 | ||||||
Hindustan Petroleum Corp., Ltd. | 16,902 | 110,235 | ||||||
Hindustan Unilever, Ltd. | 19,299 | 234,804 | ||||||
Housing Development Finance Corp., Ltd. | 47,997 | 892,050 | ||||||
ICICI Bank, Ltd. | 28,635 | 107,608 | ||||||
ICICI Bank, Ltd. ADR | 3,576 | 26,784 | ||||||
Idea Cellular, Ltd. | 12,501 | 13,630 |
See accompanying notes to financial statements.
57
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
India – (continued) | ||||||||
IDFC Bank, Ltd. | 72,488 | $ | 64,403 | |||||
Indiabulls Housing Finance, Ltd. | 10,241 | 97,929 | ||||||
Infosys, Ltd. | 51,377 | 765,318 | ||||||
Infosys, Ltd. ADR | 7,300 | 108,259 | ||||||
ITC, Ltd. | 112,542 | 399,294 | ||||||
JSW Steel, Ltd. | 1,309 | 31,256 | ||||||
Larsen & Toubro, Ltd. | 7,476 | 148,578 | ||||||
Larsen & Toubro, Ltd. GDR(a) | 2,120 | 42,188 | ||||||
LIC Housing Finance, Ltd. | 11,773 | 96,619 | ||||||
Lupin, Ltd. | 6,933 | 151,541 | ||||||
Mahindra & Mahindra Financial Services, Ltd. | 5,284 | 21,009 | ||||||
Mahindra & Mahindra, Ltd. | 9,545 | 165,895 | ||||||
Mahindra & Mahindra, Ltd. GDR | 1,651 | 29,058 | ||||||
Marico, Ltd. | 6,131 | 23,582 | ||||||
Maruti Suzuki India, Ltd. | 3,223 | 252,412 | ||||||
Motherson Sumi Systems, Ltd. | 18,799 | 90,076 | ||||||
Nestle India, Ltd. | 936 | 82,747 | ||||||
NTPC, Ltd. | 56,409 | 137,095 | ||||||
Oil & Natural Gas Corp., Ltd. | 45,842 | 128,872 | ||||||
Piramal Enterprises, Ltd. | 1,191 | 28,428 | ||||||
Power Finance Corp., Ltd. | 1,932 | 3,464 | ||||||
Reliance Industries, Ltd. | 34,986 | 557,085 | ||||||
Reliance Industries, Ltd. GDR(c) | 3,442 | 108,595 | ||||||
Shree Cement, Ltd. | 111 | 24,042 | ||||||
Shriram Transport Finance Co., Ltd. | 2,627 | 32,978 | ||||||
Siemens, Ltd. | 956 | 15,649 | ||||||
State Bank of India | 38,672 | 142,620 | ||||||
State Bank of India GDR | 1,020 | 37,485 | ||||||
Sun Pharmaceutical Industries, Ltd. | 28,036 | 259,747 | ||||||
Tata Consultancy Services, Ltd. | 15,418 | 537,608 | ||||||
Tata Motors, Ltd.(a) | 5,319 | 23,386 | ||||||
Tata Motors, Ltd.(a) | 40,752 | 282,148 | ||||||
Tata Motors, Ltd. ADR | 1,078 | 37,072 | ||||||
Tata Power Co., Ltd. | 19,125 | 21,331 | ||||||
Tata Steel, Ltd. | 11,716 | 67,496 | ||||||
Tata Steel, Ltd. GDR | 1,300 | 7,319 | ||||||
Tech Mahindra, Ltd. | 2,829 | 20,364 | ||||||
Titan Co., Ltd. | 6,250 | 30,021 | ||||||
UltraTech Cement, Ltd. | 3,292 | 157,640 | ||||||
United Spirits, Ltd.(b) | 2,709 | 77,594 | ||||||
UPL, Ltd. | 12,995 | 123,852 | ||||||
Vedanta, Ltd. | 34,945 | 111,369 | ||||||
Vedanta, Ltd. ADR | 1,433 | 17,798 | ||||||
Wipro, Ltd. | 16,563 | 116,114 | ||||||
Wipro, Ltd. ADR | 2,938 | 28,440 | ||||||
Yes Bank, Ltd. | 8,778 | 149,382 | ||||||
Zee Entertainment Enterprises, Ltd. | 19,332 | 129,032 | ||||||
|
| |||||||
10,288,991 | ||||||||
|
| |||||||
Indonesia – 0.6% | ||||||||
Adaro Energy Tbk PT | 619,000 | 77,878 | ||||||
AKR Corporindo Tbk PT | 22,500 | 10,020 | ||||||
Astra International Tbk PT | 592,500 | 363,922 | ||||||
Bank Central Asia Tbk PT | 357,000 | 410,726 | ||||||
Bank Danamon Indonesia Tbk PT | 28,500 | 7,848 | ||||||
Bank Mandiri Persero Tbk PT | 285,000 | 244,860 | ||||||
Bank Negara Indonesia Persero Tbk PT | 266,500 | 109,290 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 328,500 | 284,672 | ||||||
Bumi Serpong Damai Tbk PT | 103,500 | 13,482 | ||||||
Charoen Pokphand Indonesia Tbk PT | 118,000 | 27,064 | ||||||
Gudang Garam Tbk PT | 20,500 | 97,231 | ||||||
Hanjaya Mandala Sampoerna Tbk PT | 358,500 | 101,915 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 22,500 | 25,719 | ||||||
Indofood CBP Sukses Makmur Tbk PT | 115,000 | 73,195 | ||||||
Indofood Sukses Makmur Tbk PT | 169,000 | 99,412 | ||||||
Jasa Marga Persero Tbk PT | 13,875 | 4,449 | ||||||
Kalbe Farma Tbk PT | 817,000 | 91,873 | ||||||
Lippo Karawaci Tbk PT | 368,500 | 19,693 | ||||||
Matahari Department Store Tbk PT | 78,500 | 88,129 | ||||||
Media Nusantara Citra Tbk PT | 105,000 | 13,678 | ||||||
Pakuwon Jati Tbk PT | 1,357,000 | 56,909 | ||||||
Perusahaan Gas Negara Persero Tbk | 473,000 | 94,793 | ||||||
Semen Indonesia Persero Tbk PT | 112,000 | 76,274 | ||||||
Summarecon Agung Tbk PT | 87,500 | 8,606 | ||||||
Surya Citra Media Tbk PT | 50,000 | 10,392 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 1,653,000 | 488,324 | ||||||
Tower Bersama Infrastructure Tbk PT | 16,500 | 6,099 | ||||||
Unilever Indonesia Tbk PT | 48,500 | 139,677 | ||||||
United Tractors Tbk PT | 64,500 | 101,735 | ||||||
Waskita Karya Persero Tbk PT | 124,000 | 23,470 | ||||||
XL Axiata Tbk PT(b) | 78,125 | 13,395 | ||||||
|
| |||||||
3,184,730 | ||||||||
|
| |||||||
Ireland – 0.5% | ||||||||
Bank of Ireland(b) | 857,888 | 211,737 | ||||||
CRH PLC | 26,465 | 919,904 | ||||||
Experian PLC | 31,029 | 603,487 | ||||||
James Hardie Industries PLC | 13,502 | 214,796 | ||||||
Kerry Group PLC Class A | 4,557 | 326,361 | ||||||
Paddy Power Betfair PLC | 2,362 | 252,869 | ||||||
Ryanair Holdings PLC ADR(b) | 1,263 | 105,157 | ||||||
|
| |||||||
2,634,311 | ||||||||
|
| |||||||
Israel – 0.4% | ||||||||
Azrieli Group, Ltd. | 493 | 21,405 | ||||||
Bank Hapoalim BM | 33,412 | 198,893 | ||||||
Bank Leumi Le-Israel BM(b) | 44,596 | 183,777 | ||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 67,709 | 128,780 | ||||||
Check Point Software Technologies, Ltd.(b) | 3,848 | 325,002 | ||||||
Israel Chemicals, Ltd. | 7,839 | 32,182 | ||||||
Mizrahi Tefahot Bank, Ltd. | 2,082 | 30,483 | ||||||
Mobileye NV(b) | 5,252 | 200,206 | ||||||
Nice-Systems, Ltd. | 2,008 | 137,009 | ||||||
Taro Pharmaceutical Industries, Ltd.(b) | 281 | 29,581 | ||||||
Teva Pharmaceutical Industries, Ltd. | 26,075 | 936,997 | ||||||
|
| |||||||
2,224,315 | ||||||||
|
| |||||||
Italy – 1.3% | ||||||||
Assicurazioni Generali SpA | 38,006 | 566,026 | ||||||
Atlantia SpA | 12,145 | 285,149 |
See accompanying notes to financial statements.
58
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Italy – (continued) | ||||||||
Enel SpA | 242,132 | $ | 1,069,568 | |||||
Eni SpA | 77,071 | 1,257,566 | ||||||
Ferrari NV | 3,877 | 226,137 | ||||||
Intesa Sanpaolo SpA(a) | 403,124 | 1,031,523 | ||||||
Intesa Sanpaolo SpA(a) | 40,245 | 94,830 | ||||||
Leonardo-Finmeccanica SpA(b) | 13,132 | 184,772 | ||||||
Luxottica Group SpA | 5,059 | 272,669 | ||||||
Mediobanca SpA | 18,912 | 154,692 | ||||||
Poste Italiane SpA(c) | 17,493 | 116,332 | ||||||
Prysmian SpA | 6,327 | 162,831 | ||||||
Saipem SpA(b) | 236,317 | 133,352 | ||||||
Snam SpA | 70,600 | 291,457 | ||||||
Telecom Italia SpA/Milano(a)(b) | 202,573 | 146,787 | ||||||
Telecom Italia SpA/Milano(a)(b) | 306,406 | 270,503 | ||||||
Terna Rete Elettrica Nazionale SpA | 45,273 | 207,815 | ||||||
UniCredit SpA | 171,675 | 495,057 | ||||||
UnipolSai SpA | 47,138 | 100,929 | ||||||
|
| |||||||
7,067,995 | ||||||||
|
| |||||||
Japan – 16.9% | ||||||||
ABC-Mart, Inc. | 1,500 | 85,137 | ||||||
Acom Co., Ltd.(b) | 18,400 | 80,614 | ||||||
Aeon Co., Ltd. | 19,500 | 276,864 | ||||||
AEON Financial Service Co., Ltd. | 4,900 | 87,258 | ||||||
Aeon Mall Co., Ltd. | 1,400 | 19,733 | ||||||
Air Water, Inc. | 5,800 | 104,926 | ||||||
Aisin Seiki Co., Ltd. | 5,800 | 252,120 | ||||||
Ajinomoto Co., Inc. | 16,100 | 324,940 | ||||||
Alfresa Holdings Corp. | 6,200 | 102,806 | ||||||
Alps Electric Co., Ltd. | 6,300 | 152,645 | ||||||
Amada Holdings Co., Ltd. | 11,600 | 129,790 | ||||||
ANA Holdings, Inc. | 40,000 | 107,961 | ||||||
Aozora Bank, Ltd. | 39,000 | 138,097 | ||||||
Asahi Glass Co., Ltd. | 32,000 | 218,391 | ||||||
Asahi Group Holdings, Ltd. | 11,300 | 357,500 | ||||||
Asahi Kasei Corp. | 38,000 | 332,156 | ||||||
Asics Corp. | 5,800 | 116,114 | ||||||
Astellas Pharma, Inc. | 68,600 | 954,877 | ||||||
Bandai Namco Holdings, Inc. | 6,300 | 174,197 | ||||||
Bank of Kyoto, Ltd. | 6,000 | 44,652 | ||||||
Benesse Holdings, Inc. | 3,000 | 82,822 | ||||||
Bridgestone Corp. | 20,900 | 755,113 | ||||||
Brother Industries, Ltd. | 5,700 | 103,068 | ||||||
Calbee, Inc. | 3,100 | 97,278 | ||||||
Canon, Inc. | 34,000 | 960,518 | ||||||
Casio Computer Co., Ltd. | 8,700 | 123,300 | ||||||
Central Japan Railway Co. | 4,400 | 725,443 | ||||||
Chiba Bank, Ltd. | 19,000 | 116,800 | ||||||
Chubu Electric Power Co., Inc. | 19,200 | 268,818 | ||||||
Chugai Pharmaceutical Co., Ltd. | 6,800 | 195,602 | ||||||
Chugoku Bank, Ltd. | 6,900 | 99,269 | ||||||
Chugoku Electric Power Co., Inc. | 9,500 | 111,669 | ||||||
Concordia Financial Group, Ltd. | 37,800 | 182,332 | ||||||
Credit Saison Co., Ltd. | 5,900 | 105,065 | ||||||
CYBERDYNE, Inc.(b) | 5,300 | 75,068 | ||||||
Dai Nippon Printing Co., Ltd. | 17,000 | 168,346 | ||||||
Dai-ichi Life Holdings, Inc. | 31,500 | 525,563 | ||||||
Daicel Corp. | 6,600 | 72,997 | ||||||
Daiichi Sankyo Co., Ltd. | 17,400 | 356,772 | ||||||
Daikin Industries, Ltd. | 7,500 | 690,295 | ||||||
Daito Trust Construction Co., Ltd. | 2,100 | 316,526 | ||||||
Daiwa House Industry Co., Ltd. | 18,500 | 506,932 | ||||||
Daiwa House REIT Investment Corp. | 39 | 98,842 | ||||||
Daiwa Securities Group, Inc. | 49,000 | 302,608 | ||||||
DeNA Co., Ltd. | 3,100 | 67,882 | ||||||
Denso Corp. | 14,200 | 616,407 | ||||||
Dentsu, Inc. | 6,400 | 301,796 | ||||||
Don Quijote Holdings Co., Ltd. | 3,900 | 144,618 | ||||||
East Japan Railway Co. | 10,500 | 909,247 | ||||||
Eisai Co., Ltd. | 7,900 | 454,351 | ||||||
Electric Power Development Co., Ltd. | 5,500 | 126,849 | ||||||
FamilyMart UNY Holdings Co., Ltd. | 2,900 | 193,441 | ||||||
FANUC Corp. | 6,200 | 1,053,312 | ||||||
Fast Retailing Co., Ltd. | 1,700 | 609,688 | ||||||
Fuji Electric Co., Ltd. | 22,000 | 114,305 | ||||||
Fuji Heavy Industries, Ltd. | 18,900 | 773,274 | ||||||
FUJIFILM Holdings Corp. | 13,600 | 517,135 | ||||||
Fujitsu, Ltd. | 57,000 | 317,413 | ||||||
Fukuoka Financial Group, Inc. | 28,000 | 124,594 | ||||||
Hachijuni Bank, Ltd. | 16,800 | 97,659 | ||||||
Hakuhodo DY Holdings, Inc. | 8,400 | 103,708 | ||||||
Hamamatsu Photonics KK | 4,700 | 123,912 | ||||||
Hankyu Hanshin Holdings, Inc. | 7,200 | 231,491 | ||||||
Hikari Tsushin, Inc. | 1,000 | 93,368 | ||||||
Hino Motors, Ltd. | 10,000 | 102,028 | ||||||
Hirose Electric Co., Ltd. | 1,100 | 136,657 | ||||||
Hiroshima Bank, Ltd. | 21,000 | 98,307 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 2,100 | 105,329 | ||||||
Hitachi Chemical Co., Ltd. | 4,200 | 105,257 | ||||||
Hitachi Construction Machinery Co., Ltd. | 4,400 | 95,481 | ||||||
Hitachi High-Technologies Corp. | 2,600 | 105,106 | ||||||
Hitachi Metals, Ltd. | 8,400 | 114,079 | ||||||
Hitachi, Ltd. | 154,000 | 834,466 | ||||||
Hokuriku Electric Power Co. | 7,500 | 84,237 | ||||||
Honda Motor Co., Ltd. | 51,300 | 1,502,032 | ||||||
Hoshizaki Corp. | 1,600 | 126,892 | ||||||
Hoya Corp. | 11,700 | 492,637 | ||||||
Hulic Co., Ltd. | 10,400 | 92,645 | ||||||
Idemitsu Kosan Co., Ltd. | 3,700 | 98,500 | ||||||
IHI Corp.(b) | 48,000 | 125,108 | ||||||
Iida Group Holdings Co., Ltd. | 5,700 | 108,346 | ||||||
Inpex Corp. | 29,000 | 291,156 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 9,100 | 98,307 | ||||||
Isuzu Motors, Ltd. | 18,100 | 229,829 | ||||||
ITOCHU Corp. | 46,200 | 614,759 | ||||||
J Front Retailing Co., Ltd. | 8,800 | 118,832 | ||||||
Japan Airlines Co., Ltd. | 4,400 | 128,829 | ||||||
Japan Airport Terminal Co., Ltd. | 2,000 | 72,448 | ||||||
Japan Exchange Group, Inc. | 16,100 | 230,523 | ||||||
Japan Post Bank Co., Ltd. | 13,000 | 156,377 | ||||||
Japan Post Holdings Co., Ltd. | 14,200 | 177,629 | ||||||
Japan Prime Realty Investment Corp. | 28 | 110,550 | ||||||
Japan Real Estate Investment Corp. | 40 | 218,459 | ||||||
Japan Retail Fund Investment Corp. REIT | 79 | 160,255 | ||||||
Japan Tobacco, Inc. | 33,200 | 1,094,190 | ||||||
JFE Holdings, Inc. | 16,000 | 244,181 | ||||||
JGC Corp. | 5,800 | 105,622 | ||||||
JSR Corp. | 7,400 | 116,931 | ||||||
JTEKT Corp. | 7,900 | 126,660 | ||||||
JX Holdings, Inc. | 64,000 | 271,452 |
See accompanying notes to financial statements.
59
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Kajima Corp. | 28,000 | $ | 194,213 | |||||
Kakaku.com, Inc. | 5,100 | 84,566 | ||||||
Kamigumi Co., Ltd. | 10,000 | 95,512 | ||||||
Kaneka Corp. | 11,000 | 89,784 | ||||||
Kansai Electric Power Co., Inc.(b) | 21,700 | 237,773 | ||||||
Kansai Paint Co., Ltd. | 7,100 | 131,061 | ||||||
Kao Corp. | 16,200 | 769,616 | ||||||
Kawasaki Heavy Industries, Ltd. | 47,000 | 147,889 | ||||||
KDDI Corp. | 57,800 | 1,466,619 | ||||||
Keihan Holdings Co., Ltd. | 17,000 | 111,939 | ||||||
Keikyu Corp. | 15,000 | 174,262 | ||||||
Keio Corp. | 18,000 | 148,309 | ||||||
Keisei Electric Railway Co., Ltd. | 4,500 | 109,457 | ||||||
Keyence Corp. | 1,500 | 1,031,423 | ||||||
Kikkoman Corp. | 5,000 | 160,329 | ||||||
Kintetsu Group Holdings Co., Ltd. | 55,000 | 210,314 | ||||||
Kirin Holdings Co., Ltd. | 23,800 | 388,011 | ||||||
Kobe Steel, Ltd.(b) | 11,500 | 110,134 | ||||||
Koito Manufacturing Co., Ltd. | 3,600 | 191,058 | ||||||
Komatsu, Ltd. | 29,700 | 674,161 | ||||||
Konami Holdings Corp. | 3,100 | 125,451 | ||||||
Konica Minolta, Inc. | 15,400 | 153,294 | ||||||
Kose Corp. | 1,300 | 108,227 | ||||||
Kubota Corp. | 31,300 | 447,756 | ||||||
Kuraray Co., Ltd. | 11,600 | 174,644 | ||||||
Kurita Water Industries, Ltd. | 4,100 | 90,482 | ||||||
Kyocera Corp. | 10,500 | 523,222 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 7,000 | 96,986 | ||||||
Kyushu Electric Power Co., Inc. | 14,300 | 155,463 | ||||||
Kyushu Financial Group, Inc. | 14,200 | 96,546 | ||||||
Lawson, Inc. | 2,100 | 147,820 | ||||||
LINE Corp.(b) | 2,000 | 68,762 | ||||||
Lion Corp. | 7,000 | 115,231 | ||||||
LIXIL Group Corp. | 8,600 | 195,691 | ||||||
M3, Inc. | 5,900 | 148,973 | ||||||
Mabuchi Motor Co., Ltd. | 1,900 | 99,370 | ||||||
Makita Corp. | 3,400 | 228,251 | ||||||
Marubeni Corp. | 50,000 | 284,134 | ||||||
Marui Group Co., Ltd. | 7,500 | 109,766 | ||||||
Maruichi Steel Tube, Ltd. | 2,600 | 84,820 | ||||||
Mazda Motor Corp. | 17,300 | 283,599 | ||||||
McDonald’s Holdings Co., Japan, Ltd. | 1,000 | 26,236 | ||||||
Mebuki Financial Group, Inc. | 34,800 | 129,193 | ||||||
Medipal Holdings Corp. | 7,000 | 110,610 | ||||||
MEIJI Holdings Co., Ltd. | 3,600 | 282,728 | ||||||
Minebea Co., Ltd. | 12,600 | 118,400 | ||||||
Miraca Holdings, Inc. | 2,200 | 99,027 | ||||||
MISUMI Group, Inc. | 8,100 | 133,617 | ||||||
Mitsubishi Chemical Holdings Corp. | 41,700 | 271,004 | ||||||
Mitsubishi Corp. | 45,800 | 977,768 | ||||||
Mitsubishi Electric Corp. | 61,700 | 862,007 | ||||||
Mitsubishi Estate Co., Ltd. | 38,000 | 758,306 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 7,100 | 121,443 | ||||||
Mitsubishi Heavy Industries, Ltd. | 96,000 | 438,373 | ||||||
Mitsubishi Logistics Corp. | 5,000 | 70,862 | ||||||
Mitsubishi Materials Corp. | 4,000 | 123,119 | ||||||
Mitsubishi Motors Corp. | 24,600 | 140,469 | ||||||
Mitsubishi Tanabe Pharma Corp. | 7,400 | 145,481 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 398,800 | 2,462,518 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 19,000 | 98,392 | ||||||
Mitsui & Co., Ltd. | 54,700 | 753,658 | ||||||
Mitsui Chemicals, Inc. | 31,000 | 139,538 | ||||||
Mitsui Fudosan Co., Ltd. | 29,000 | 672,568 | ||||||
Mitsui OSK Lines, Ltd. | 45,000 | 125,005 | ||||||
Mixi, Inc. | 2,100 | 76,881 | ||||||
Mizuho Financial Group, Inc. | 760,800 | 1,368,507 | ||||||
MS&AD Insurance Group Holdings, Inc. | 14,700 | 456,748 | ||||||
Murata Manufacturing Co., Ltd. | 6,100 | 818,494 | ||||||
Nabtesco Corp. | 4,200 | 97,911 | ||||||
Nagoya Railroad Co., Ltd. | 29,000 | 140,481 | ||||||
NEC Corp. | 80,000 | 212,629 | ||||||
Nexon Co., Ltd. | 7,200 | 104,572 | ||||||
NGK Insulators, Ltd. | 8,300 | 161,325 | ||||||
NGK Spark Plug Co., Ltd. | 6,300 | 140,330 | ||||||
NH Foods, Ltd. | 5,000 | 135,251 | ||||||
Nidec Corp. | 7,700 | 665,791 | ||||||
Nikon Corp. | 10,900 | 169,806 | ||||||
Nintendo Co., Ltd. | 3,500 | 736,400 | ||||||
Nippon Building Fund, Inc. | 42 | 232,983 | ||||||
Nippon Electric Glass Co., Ltd. | 17,000 | 92,116 | ||||||
Nippon Express Co., Ltd. | 28,000 | 151,001 | ||||||
Nippon Paint Holdings Co., Ltd. | 4,500 | 122,883 | ||||||
Nippon Prologis, Inc. REIT | 52 | 106,510 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 25,100 | 561,030 | ||||||
Nippon Telegraph & Telephone Corp. | 22,000 | 926,514 | ||||||
Nippon Yusen KK | 57,000 | 106,049 | ||||||
Nissan Chemical Industries, Ltd. | 3,600 | 120,530 | ||||||
Nissan Motor Co., Ltd. | 71,800 | 723,633 | ||||||
Nisshin Seifun Group, Inc. | 6,900 | 103,765 | ||||||
Nissin Foods Holdings Co., Ltd. | 2,000 | �� | 105,286 | |||||
Nitori Holdings Co., Ltd. | 2,400 | 274,909 | ||||||
Nitto Denko Corp. | 4,900 | 376,800 | ||||||
NOK Corp. | 4,000 | 81,142 | ||||||
Nomura Holdings, Inc. | 116,800 | 690,075 | ||||||
Nomura Real Estate Holdings, Inc. | 5,200 | 88,632 | ||||||
Nomura Real Estate Master Fund, Inc. | 111 | 168,258 | ||||||
Nomura Research Institute, Ltd. | 3,740 | 114,154 | ||||||
NSK, Ltd. | 14,900 | 172,972 | ||||||
NTT Data Corp. | 3,900 | 188,923 | ||||||
NTT DOCOMO, Inc. | 42,000 | 958,940 | ||||||
Obayashi Corp. | 19,900 | 190,580 | ||||||
Obic Co., Ltd. | 2,200 | 96,386 | ||||||
Odakyu Electric Railway Co., Ltd. | 9,000 | 178,480 | ||||||
Oji Holdings Corp. | 29,000 | 118,352 | ||||||
Olympus Corp. | 8,600 | 297,887 | ||||||
Omron Corp. | 5,900 | 226,874 | ||||||
Ono Pharmaceutical Co., Ltd. | 13,200 | 289,215 | ||||||
Oracle Corp. Japan | 1,600 | 80,799 | ||||||
Oriental Land Co., Ltd. | 6,300 | 356,821 | ||||||
ORIX Corp. | 42,700 | 667,765 | ||||||
Osaka Gas Co., Ltd. | 57,000 | 219,721 | ||||||
Otsuka Corp. | 2,000 | 93,625 | ||||||
Otsuka Holdings Co., Ltd. | 11,400 | 497,794 | ||||||
Panasonic Corp. | 70,900 | 723,072 | ||||||
Park24 Co., Ltd. | 3,500 | 95,126 | ||||||
Pola Orbis Holdings, Inc. | 1,000 | 82,737 | ||||||
Rakuten, Inc.(b) | 27,400 | 269,102 | ||||||
Recruit Holdings Co., Ltd. | 11,500 | 462,426 |
See accompanying notes to financial statements.
60
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Resona Holdings, Inc. | 66,400 | $ | 341,294 | |||||
Ricoh Co., Ltd. | 21,000 | 177,888 | ||||||
Rinnai Corp. | 900 | 72,765 | ||||||
Rohm Co., Ltd. | 3,000 | 173,104 | ||||||
Ryohin Keikaku Co., Ltd. | 800 | 157,140 | ||||||
Sankyo Co., Ltd. | 600 | 19,420 | ||||||
Santen Pharmaceutical Co., Ltd. | 11,600 | 142,221 | ||||||
SBI Holdings, Inc. | 8,500 | 108,368 | ||||||
Secom Co., Ltd. | 6,900 | 505,690 | ||||||
Sega Sammy Holdings, Inc. | 7,300 | 108,841 | ||||||
Seibu Holdings, Inc. | 6,100 | 109,621 | ||||||
Seiko Epson Corp. | 9,000 | 190,980 | ||||||
Sekisui Chemical Co., Ltd. | 12,900 | 206,161 | ||||||
Sekisui House, Ltd. | 17,800 | 296,908 | ||||||
Seven & i Holdings Co., Ltd. | 24,000 | 916,294 | ||||||
Seven Bank, Ltd. | 8,100 | 23,265 | ||||||
Sharp Corp.(b) | 42,000 | 97,226 | ||||||
Shimadzu Corp. | 8,000 | 127,715 | ||||||
Shimamura Co., Ltd. | 800 | 100,073 | ||||||
Shimano, Inc. | 2,500 | 393,107 | ||||||
Shimizu Corp. | 17,000 | 155,811 | ||||||
Shin-Etsu Chemical Co., Ltd. | 12,400 | 963,954 | ||||||
Shinsei Bank, Ltd. | 66,000 | 110,910 | ||||||
Shionogi & Co., Ltd. | 8,600 | 412,838 | ||||||
Shiseido Co., Ltd. | 11,200 | 284,093 | ||||||
Shizuoka Bank, Ltd. | 18,000 | 151,550 | ||||||
Showa Shell Sekiyu KK | 8,600 | 80,149 | ||||||
SMC Corp. | 1,800 | 430,651 | ||||||
SoftBank Group Corp. | 30,100 | 2,003,914 | ||||||
Sohgo Security Services Co., Ltd. | 1,900 | 73,224 | ||||||
Sompo Holdings, Inc. | 10,500 | 356,497 | ||||||
Sony Corp. | 38,200 | 1,072,620 | ||||||
Sony Financial Holdings, Inc. | 7,000 | 109,470 | ||||||
Stanley Electric Co., Ltd. | 5,200 | 142,444 | ||||||
Start Today Co., Ltd. | 6,700 | 115,980 | ||||||
Sumitomo Chemical Co., Ltd. | 48,000 | 228,816 | ||||||
Sumitomo Corp. | 34,700 | 409,224 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 5,700 | 98,230 | ||||||
Sumitomo Electric Industries, Ltd. | 22,300 | 322,450 | ||||||
Sumitomo Heavy Industries, Ltd. | 21,000 | 135,577 | ||||||
Sumitomo Metal Mining Co., Ltd. | 13,000 | 167,968 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 42,300 | 1,617,508 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 9,800 | 351,467 | ||||||
Sumitomo Realty & Development Co., Ltd. | 12,000 | 319,561 | ||||||
Sumitomo Rubber Industries, Ltd. | 6,600 | 105,025 | ||||||
Sundrug Co., Ltd. | 1,300 | 90,170 | ||||||
Suntory Beverage & Food, Ltd. | 4,300 | 178,990 | ||||||
Suruga Bank, Ltd. | 5,800 | 129,740 | ||||||
Suzuken Co., Ltd. | 2,900 | 94,980 | ||||||
Suzuki Motor Corp. | 10,900 | 384,469 | ||||||
Sysmex Corp. | 4,600 | 267,004 | ||||||
T&D Holdings, Inc. | 18,400 | 243,814 | ||||||
Taiheiyo Cement Corp. | 41,000 | 130,064 | ||||||
Taisei Corp. | 32,000 | 224,427 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 1,200 | 99,799 | ||||||
Taiyo Nippon Sanso Corp. | 1,600 | 18,574 | ||||||
Takashimaya Co., Ltd. | 12,000 | 99,181 | ||||||
Takeda Pharmaceutical Co., Ltd. | 22,700 | 941,008 | ||||||
TDK Corp. | 3,800 | 261,945 | ||||||
Teijin, Ltd. | 6,400 | 129,992 | ||||||
Terumo Corp. | 9,800 | 362,558 | ||||||
THK Co., Ltd. | 4,800 | 106,424 | ||||||
Tobu Railway Co., Ltd. | 31,000 | 154,156 | ||||||
Toho Co., Ltd. | 3,100 | 87,842 | ||||||
Toho Gas Co., Ltd. | 13,000 | 105,997 | ||||||
Tohoku Electric Power Co., Inc. | 14,200 | 179,821 | ||||||
Tokio Marine Holdings, Inc. | 21,700 | 892,298 | ||||||
Tokyo Electric Power Co. Holdings, Inc.(b) | 45,100 | 182,511 | ||||||
Tokyo Electron, Ltd. | 5,100 | 482,955 | ||||||
Tokyo Gas Co., Ltd. | 61,000 | 276,614 | ||||||
Tokyo Tatemono Co., Ltd. | 8,100 | 108,546 | ||||||
Tokyu Corp. | 32,000 | 235,675 | ||||||
Tokyu Fudosan Holdings Corp. | 13,900 | 82,231 | ||||||
TonenGeneral Sekiyu KK | 7,000 | 73,940 | ||||||
Toppan Printing Co., Ltd. | 17,000 | 162,661 | ||||||
Toray Industries, Inc. | 46,000 | 373,174 | ||||||
Toshiba Corp.(b) | 118,000 | 286,413 | ||||||
TOTO, Ltd. | 4,400 | 174,476 | ||||||
Toyo Seikan Group Holdings, Ltd. | 5,600 | 104,764 | ||||||
Toyo Suisan Kaisha, Ltd. | 3,000 | 108,930 | ||||||
Toyoda Gosei Co., Ltd. | 800 | 18,753 | ||||||
Toyota Industries Corp. | 5,000 | 238,779 | ||||||
Toyota Motor Corp. | 83,100 | 4,900,431 | ||||||
Toyota Tsusho Corp. | 6,800 | 177,528 | ||||||
Trend Micro, Inc.(b) | 3,800 | 135,371 | ||||||
Tsuruha Holdings, Inc. | 1,200 | 114,202 | ||||||
Unicharm Corp. | 12,100 | 265,321 | ||||||
United Urban Investment Corp. | 93 | 141,850 | ||||||
USS Co., Ltd. | 7,400 | 118,136 | ||||||
West Japan Railway Co. | 4,900 | 301,348 | ||||||
Yahoo! Japan Corp. | 44,100 | 169,768 | ||||||
Yakult Honsha Co., Ltd. | 2,400 | 111,527 | ||||||
Yamada Denki Co., Ltd. | 23,400 | 126,394 | ||||||
Yamaguchi Financial Group, Inc. | 8,000 | 87,315 | ||||||
Yamaha Corp. | 5,400 | 165,285 | ||||||
Yamaha Motor Co., Ltd. | 9,100 | 200,827 | ||||||
Yamato Holdings Co., Ltd. | 10,900 | 222,093 | ||||||
Yamazaki Baking Co., Ltd. | 4,600 | 89,054 | ||||||
Yaskawa Electric Corp. | 8,700 | 135,608 | ||||||
Yokogawa Electric Corp. | 8,200 | 119,026 | ||||||
Yokohama Rubber Co., Ltd. | 4,700 | 84,462 | ||||||
|
| |||||||
93,241,836 | ||||||||
|
| |||||||
Jordan – 0.0%(d) | ||||||||
Hikma Pharmaceuticals PLC | 4,596 | 107,504 | ||||||
|
| |||||||
Luxembourg – 0.2% | ||||||||
ArcelorMittal(b) | 54,019 | 399,748 | ||||||
Eurofins Scientific SE | 323 | 137,977 | ||||||
Millicom International Cellular SA SDR | 2,207 | 94,576 | ||||||
RTL Group SA(b) | 1,049 | 77,152 | ||||||
SES SA | 10,961 | 241,916 | ||||||
Tenaris SA | 14,458 | 258,785 | ||||||
|
| |||||||
1,210,154 | ||||||||
|
| |||||||
Macau – 0.0%(d) | ||||||||
MGM China Holdings, Ltd. | 43,200 | 89,597 | ||||||
Wynn Macau, Ltd. | 62,400 | 99,316 | ||||||
|
| |||||||
188,913 | ||||||||
|
|
See accompanying notes to financial statements.
61
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Malaysia – 0.5% | ||||||||
AirAsia Bhd | 4,600 | $ | 2,348 | |||||
Alliance Financial Group Bhd | 9,200 | 7,629 | ||||||
AMMB Holdings Bhd | 30,600 | 29,399 | ||||||
Astro Malaysia Holdings Bhd | 13,200 | 7,650 | ||||||
Axiata Group Bhd | 72,419 | 76,197 | ||||||
Berjaya Sports Toto Bhd | 2,500 | 1,650 | ||||||
British American Tobacco Malaysia Bhd | 2,800 | 27,838 | ||||||
CIMB Group Holdings Bhd | 107,678 | 108,254 | ||||||
Dialog Group Bhd | 31,000 | 10,642 | ||||||
DiGi.Com Bhd | 113,800 | 122,527 | ||||||
Felda Global Ventures Holdings Bhd | 4,700 | 1,624 | ||||||
Gamuda Bhd | 28,816 | 30,705 | ||||||
Genting Bhd | 71,700 | 127,864 | ||||||
Genting Malaysia Bhd | 102,700 | 104,852 | ||||||
Genting Plantations Bhd | 900 | 2,167 | ||||||
HAP Seng Consolidated Bhd | 9,700 | 19,158 | ||||||
Hartalega Holdings Bhd | 2,400 | 2,584 | ||||||
Hong Leong Bank Bhd | 10,232 | 30,792 | ||||||
Hong Leong Financial Group Bhd | 4,800 | 15,215 | ||||||
IHH Healthcare Bhd | 92,000 | 130,227 | ||||||
IJM Corp. Bhd | 126,600 | 90,308 | ||||||
IOI Corp. Bhd | 38,000 | 37,271 | ||||||
IOI Properties Group Bhd | 31,000 | 14,512 | ||||||
Kuala Lumpur Kepong Bhd | 18,300 | 97,905 | ||||||
Lafarge Malaysia Bhd | 3,500 | 5,610 | ||||||
Malayan Banking Bhd | 106,575 | 194,809 | ||||||
Malaysia Airports Holdings Bhd | 7,024 | 9,489 | ||||||
Maxis Bhd | 73,400 | 97,845 | ||||||
MISC Bhd | 16,700 | 27,362 | ||||||
Petronas Chemicals Group Bhd | 79,100 | 123,076 | ||||||
Petronas Dagangan Bhd | 2,100 | 11,141 | ||||||
Petronas Gas Bhd | 23,000 | 109,206 | ||||||
PPB Group Bhd | 7,800 | 27,576 | ||||||
Public Bank Bhd | 78,500 | 345,078 | ||||||
RHB Capital Bhd | 9,259 | 9,721 | ||||||
SapuraKencana Petroleum Bhd(b) | 192,900 | 69,661 | ||||||
Sime Darby Bhd | 83,135 | 150,110 | ||||||
Telekom Malaysia Bhd | 14,103 | 18,705 | ||||||
Tenaga Nasional Bhd | 98,400 | 304,895 | ||||||
UMW Holdings Bhd | 4,900 | 4,992 | ||||||
Westports Holdings Bhd | 8,800 | 8,435 | ||||||
YTL Corp. Bhd | 80,400 | 27,780 | ||||||
YTL Power International Bhd | 7,400 | 2,458 | ||||||
|
| |||||||
2,647,267 | ||||||||
|
| |||||||
Mexico – 0.8% | ||||||||
Alfa SAB de CV Class A | 89,900 | 111,974 | ||||||
America Movil SAB de CV Series L | 1,069,500 | 675,916 | ||||||
Arca Continental SAB de CV | 16,700 | 87,417 | ||||||
Cemex SAB de CV(b) | 414,796 | 333,826 | ||||||
Coca-Cola Femsa SAB de CV Series L | 16,400 | 104,602 | ||||||
El Puerto de Liverpool SAB de CV Series C1 | 3,000 | 21,778 | ||||||
Fibra Uno Administracion SA de CV REIT | 80,300 | 123,482 | ||||||
Fomento Economico Mexicano SAB de CV | 60,300 | 461,847 | ||||||
Fresnillo PLC | 6,919 | 104,389 | ||||||
Gentera SAB de CV | 17,100 | 27,673 | ||||||
Gruma SAB de CV Class B | 5,900 | 75,434 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 11,900 | 98,428 | ||||||
Grupo Aeroportuario del Sureste SAB de CV Class B | 7,800 | 112,982 | ||||||
Grupo Bimbo SAB de CV Series A | 51,900 | 118,102 | ||||||
Grupo Carso SAB de CV Series A1 | 23,000 | 93,076 | ||||||
Grupo Financiero Banorte SAB de CV Series O | 72,000 | 356,828 | ||||||
Grupo Financiero Inbursa SAB de CV Series O | 76,700 | 116,978 | ||||||
Grupo Financiero Santander Mexico SAB de CV Class B | 69,000 | 99,842 | ||||||
Grupo Lala SAB de CV | 5,300 | 7,756 | ||||||
Grupo Mexico SAB de CV Series B | 113,400 | 309,846 | ||||||
Grupo Televisa SAB Series CPO | 70,700 | 296,712 | ||||||
Industrias Penoles SAB de CV | 4,675 | 87,205 | ||||||
Infraestructura Energetica Nova SAB de CV | 22,700 | 99,498 | ||||||
Kimberly-Clark de Mexico SAB de CV Class A | 51,400 | 93,137 | ||||||
Mexichem SAB de CV | 43,357 | 98,977 | ||||||
OHL Mexico SAB de CV | 6,700 | 6,631 | ||||||
Promotora y Operadora de Infraestructura SAB de CV | 7,200 | 60,462 | ||||||
Wal-Mart de Mexico SAB de CV | 151,900 | 273,548 | ||||||
|
| |||||||
4,458,346 | ||||||||
|
| |||||||
Netherlands – 3.2% | ||||||||
ABN AMRO Group NV(c) | 7,823 | 173,690 | ||||||
Aegon NV | 57,580 | 317,509 | ||||||
AerCap Holdings NV(b) | 5,255 | 218,661 | ||||||
Akzo Nobel NV | 7,126 | 446,384 | ||||||
Altice NV Class A(b) | 11,632 | 231,022 | ||||||
Altice NV Class B(b) | 4,735 | 94,541 | ||||||
ASML Holding NV | 11,144 | 1,253,578 | ||||||
Boskalis Westminster | 3,079 | 107,137 | ||||||
EXOR NV | 3,621 | 156,513 | ||||||
Gemalto NV | 2,542 | 147,250 | ||||||
Heineken Holding NV | 3,025 | 211,028 | ||||||
Heineken NV | 7,490 | 562,959 | ||||||
ING Groep NV | 121,889 | 1,718,880 | ||||||
Koninklijke Ahold Delhaize NV | 40,947 | 865,073 | ||||||
Koninklijke DSM NV | 5,299 | 318,356 | ||||||
Koninklijke KPN NV | 99,331 | 294,821 | ||||||
Koninklijke Philips NV | 30,230 | 924,668 | ||||||
Koninklijke Vopak NV | 2,388 | 113,029 | ||||||
NN Group NV | 9,683 | 328,812 | ||||||
NXP Semiconductors NV(b) | 8,961 | 878,268 | ||||||
Randstad Holding NV | 3,765 | 204,632 | ||||||
Royal Dutch Shell PLC Class A | 134,829 | 3,736,036 | ||||||
Royal Dutch Shell PLC Class B | 116,823 | 3,398,053 | ||||||
Steinhoff International Holdings NV | 97,362 | 507,493 | ||||||
Wolters Kluwer NV | 8,759 | 317,991 | ||||||
|
| |||||||
17,526,384 | ||||||||
|
| |||||||
New Zealand – 0.1% | ||||||||
Auckland International Airport, Ltd. | 30,604 | 133,376 | ||||||
Contact Energy, Ltd. | 26,423 | 85,859 | ||||||
Fletcher Building, Ltd. | 22,342 | 165,138 |
See accompanying notes to financial statements.
62
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
New Zealand – (continued) | ||||||||
Mercury NZ, Ltd. | 5,946 | $ | 12,273 | |||||
Meridian Energy, Ltd. | 54,880 | 99,496 | ||||||
Ryman Healthcare, Ltd. | 15,168 | 85,777 | ||||||
Spark New Zealand, Ltd. | 58,415 | 138,899 | ||||||
|
| |||||||
720,818 | ||||||||
|
| |||||||
Norway – 0.5% | ||||||||
DNB ASA | 28,617 | 426,876 | ||||||
Gjensidige Forsikring ASA | 6,911 | 109,995 | ||||||
Marine Harvest ASA(b) | 11,722 | 212,033 | ||||||
Norsk Hydro ASA | 42,344 | 203,168 | ||||||
Orkla ASA | 24,734 | 224,706 | ||||||
Schibsted ASA Class A | 3,525 | 81,125 | ||||||
Schibsted ASA Class B | 3,222 | 68,500 | ||||||
Statoil ASA | 36,187 | 665,918 | ||||||
Telenor ASA | 21,770 | 326,258 | ||||||
Yara International ASA | 5,558 | 219,538 | ||||||
|
| |||||||
2,538,117 | ||||||||
|
| |||||||
Peru – 0.1% | ||||||||
Cia de Minas Buenaventura SAA ADR | 3,600 | 40,608 | ||||||
Credicorp, Ltd. | 2,000 | 315,720 | ||||||
Southern Copper Corp. | 3,500 | 111,790 | ||||||
|
| |||||||
468,118 | ||||||||
|
| |||||||
Philippines – 0.2% | ||||||||
Aboitiz Equity Ventures, Inc. | 73,760 | 105,048 | ||||||
Aboitiz Power Corp. | 12,500 | 10,485 | ||||||
Alliance Global Group, Inc. | 29,200 | 7,507 | ||||||
Ayala Corp. | 7,980 | 117,262 | ||||||
Ayala Land, Inc. | 226,900 | 146,056 | ||||||
Bank of the Philippine Islands | 6,680 | 11,932 | ||||||
BDO Unibank, Inc. | 54,230 | 122,287 | ||||||
DMCI Holdings, Inc. | 33,730 | 8,997 | ||||||
Energy Development Corp. | 79,600 | 8,246 | ||||||
Globe Telecom, Inc. | 280 | 8,499 | ||||||
GT Capital Holdings, Inc. | 1,210 | 30,912 | ||||||
International Container Terminal Services, Inc. | 4,320 | 6,252 | ||||||
JG Summit Holdings, Inc. | 90,600 | 123,291 | ||||||
Jollibee Foods Corp. | 6,770 | 26,420 | ||||||
Megaworld Corp. | 95,000 | 6,822 | ||||||
Metro Pacific Investments Corp. | 165,000 | 22,105 | ||||||
Metropolitan Bank & Trust Co. | 14,550 | 21,249 | ||||||
PLDT, Inc. | 3,165 | 86,904 | ||||||
Robinsons Land Corp. | 31,800 | 16,632 | ||||||
Security Bank Corp. | 5,920 | 22,626 | ||||||
SM Investments Corp. | 6,525 | 85,972 | ||||||
SM Prime Holdings, Inc. | 261,800 | 149,299 | ||||||
Universal Robina Corp. | 29,180 | 95,970 | ||||||
|
| |||||||
1,240,773 | ||||||||
|
| |||||||
Poland – 0.2% | ||||||||
Alior Bank SA(b) | 1,059 | 13,748 | ||||||
Bank Handlowy w Warszawie SA | 120 | 2,196 | ||||||
Bank Millennium SA(b) | 5,244 | 6,520 | ||||||
Bank Pekao SA | 4,293 | 129,377 | ||||||
Bank Zachodni WBK SA | 1,284 | 97,201 | ||||||
CCC SA | 294 | 14,336 | ||||||
Cyfrowy Polsat SA(b) | 1,629 | 9,600 | ||||||
Eurocash SA | 1,382 | 13,024 | ||||||
Grupa Azoty SA | 626 | 9,398 | ||||||
Grupa Lotos SA(b) | 338 | 3,097 | ||||||
KGHM Polska Miedz SA | 5,578 | 123,579 | ||||||
LPP SA | 19 | 25,824 | ||||||
mBank SA(b) | 125 | 10,039 | ||||||
Orange Polska SA | 5,574 | 7,358 | ||||||
PGE Polska Grupa Energetyczna SA | 36,848 | 92,246 | ||||||
Polski Koncern Naftowy Orlen SA | 10,194 | 208,310 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 74,980 | 101,128 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA(b) | 27,679 | 186,591 | ||||||
Powszechny Zaklad Ubezpieczen SA | 18,571 | 147,748 | ||||||
Synthos SA | 1,938 | 2,117 | ||||||
Tauron Polska Energia SA(b) | 21,367 | 14,588 | ||||||
|
| |||||||
1,218,025 | ||||||||
|
| |||||||
Portugal – 0.1% | ||||||||
EDP – Energias de Portugal SA | 70,094 | 213,958 | ||||||
Galp Energia SGPS SA | 14,227 | 212,934 | ||||||
Jeronimo Martins SGPS SA | 8,311 | 129,212 | ||||||
|
| |||||||
556,104 | ||||||||
|
| |||||||
Qatar – 0.2% | ||||||||
Barwa Real Estate Co. | 826 | 7,542 | ||||||
Commercial Bank QSC | 2,112 | 18,850 | ||||||
Doha Bank QSC | 1,603 | 15,364 | ||||||
Ezdan Holding Group QSC | 26,021 | 107,974 | ||||||
Industries Qatar QSC | 4,936 | 159,274 | ||||||
Masraf Al Rayan QSC | 9,963 | 102,875 | ||||||
Ooredoo QSC | 1,309 | 36,595 | ||||||
Qatar Electricity & Water Co. QSC | 234 | 14,587 | ||||||
Qatar Gas Transport Co., Ltd. | 2,813 | 17,837 | ||||||
Qatar Insurance Co. SAQ | 1,400 | 32,603 | ||||||
Qatar Islamic Bank SAQ | 1,177 | 33,583 | ||||||
Qatar National Bank SAQ | 6,262 | 280,134 | ||||||
|
| |||||||
827,218 | ||||||||
|
| |||||||
Romania – 0.0%(d) | ||||||||
New Europe Property Investments PLC | 9,180 | 106,736 | ||||||
|
| |||||||
Russia – 1.0% | ||||||||
AK Transneft OAO Preference Shares(b) | 53 | 171,866 | ||||||
Alrosa PAO(b) | 93,908 | 149,145 | ||||||
Gazprom PAO(b) | 341,770 | 864,562 | ||||||
Lukoil PJSC(b) | 11,660 | 657,172 | ||||||
Lukoil PJSC ADR | 420 | 23,562 | ||||||
Magnit PJSC GDR | 10,132 | 447,328 | ||||||
MMC Norilsk Nickel PJSC(b) | 1,662 | 275,667 | ||||||
Mobile TeleSystems PJSC ADR | 16,700 | 152,137 | ||||||
Moscow Exchange MICEX-RTS PJSC(b) | 52,245 | 107,026 | ||||||
Novatek PJSC GDR | 2,697 | 350,071 | ||||||
PhosAgro PJSC GDR | 2,025 | 30,881 | ||||||
Rosneft PJSC(b) | 36,030 | 237,657 | ||||||
Sberbank of Russia PJSC(b) | 312,500 | 886,198 | ||||||
Severstal PAO(b) | 8,250 | 126,675 | ||||||
Sistema PJSC FC GDR | 2,473 | 22,257 | ||||||
Surgutneftegas OAO(b) | 267,900 | 135,873 |
See accompanying notes to financial statements.
63
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Russia – (continued) | ||||||||
Surgutneftegas OAO Preference Shares(b) | 223,700 | $ | 117,340 | |||||
Tatneft PAO(b) | 43,020 | 301,065 | ||||||
VTB Bank PJSC(b) | 162,170,000 | 194,280 | ||||||
|
| |||||||
5,250,762 | ||||||||
|
| |||||||
Singapore – 0.9% | ||||||||
Ascendas REIT | 72,375 | 113,720 | ||||||
CapitaLand Commercial Trust | 90,400 | 92,609 | ||||||
CapitaLand Mall Trust REIT | 82,000 | 106,991 | ||||||
CapitaLand, Ltd. | 80,000 | 167,232 | ||||||
City Developments, Ltd. | 16,200 | 92,847 | ||||||
ComfortDelGro Corp., Ltd. | 69,000 | 117,969 | ||||||
DBS Group Holdings, Ltd. | 52,163 | 626,086 | ||||||
Genting Singapore PLC | 164,000 | 102,734 | ||||||
Global Logistic Properties, Ltd. | 90,000 | 137,053 | ||||||
Golden Agri-Resources, Ltd. | 309,500 | 92,119 | ||||||
Hutchison Port Holdings Trust | 222,300 | 96,701 | ||||||
Jardine Cycle & Carriage, Ltd. | 2,111 | 60,245 | ||||||
Keppel Corp., Ltd. | 45,000 | 180,349 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 101,650 | 627,617 | ||||||
SATS, Ltd. | 28,800 | 96,684 | ||||||
Sembcorp Industries, Ltd. | 15,000 | 29,591 | ||||||
Singapore Airlines, Ltd. | 18,000 | 120,482 | ||||||
Singapore Exchange, Ltd. | 26,000 | 128,857 | ||||||
Singapore Press Holdings, Ltd. | 51,000 | 124,614 | ||||||
Singapore Technologies Engineering, Ltd. | 52,000 | 116,259 | ||||||
Singapore Telecommunications, Ltd. | 257,200 | 649,810 | ||||||
StarHub, Ltd. | 9,000 | 17,505 | ||||||
Suntec Real Estate Investment Trust | 87,000 | 99,363 | ||||||
United Overseas Bank, Ltd. | 41,940 | 592,217 | ||||||
UOL Group, Ltd. | 21,340 | 88,480 | ||||||
Wilmar International, Ltd. | 62,000 | 154,067 | ||||||
|
| |||||||
4,832,201 | ||||||||
|
| |||||||
South Africa – 1.6% | ||||||||
Anglo American Platinum, Ltd.(b) | 458 | 8,856 | ||||||
AngloGold Ashanti, Ltd.(b) | 12,132 | 135,364 | ||||||
Aspen Pharmacare Holdings, Ltd. | 10,177 | 211,042 | ||||||
Barclays Africa Group, Ltd. | 11,491 | 141,749 | ||||||
Bid Corp., Ltd. | 9,924 | 177,906 | ||||||
Bidvest Group, Ltd. | 10,954 | 145,186 | ||||||
Brait SE(b) | 12,378 | 79,255 | ||||||
Capitec Bank Holdings, Ltd. | 832 | 42,284 | ||||||
Coronation Fund Managers, Ltd. | 1,931 | 9,954 | ||||||
Discovery, Ltd. | 12,616 | 105,633 | ||||||
Exxaro Resources, Ltd. | 1,216 | 7,958 | ||||||
FirstRand, Ltd. | 98,518 | 383,049 | ||||||
Fortress Income Fund, Ltd. | 34,720 | 82,084 | ||||||
Fortress Income Fund, Ltd. Class A | 16,870 | 20,441 | ||||||
Foschini Group, Ltd. | 8,805 | 102,460 | ||||||
Gold Fields, Ltd. | 25,059 | 79,877 | ||||||
Growthpoint Properties, Ltd. REIT | 69,869 | 132,278 | ||||||
Hyprop Investments, Ltd. | 4,463 | 38,285 | ||||||
Impala Platinum Holdings, Ltd.(b) | 24,519 | 76,632 | ||||||
Imperial Holdings, Ltd. | 2,948 | 39,330 | ||||||
Investec PLC | 24,410 | 161,669 | ||||||
Investec, Ltd. | 4,815 | 31,953 | ||||||
Liberty Holdings, Ltd. | 972 | 7,890 | ||||||
Life Healthcare Group Holdings, Ltd. | 36,795 | 87,716 | ||||||
Massmart Holdings, Ltd. | 923 | 8,515 | ||||||
Mediclinic International PLC(a) | 9,227 | 87,904 | ||||||
Mediclinic International PLC(a) | 2,421 | 23,015 | ||||||
MMI Holdings, Ltd. | 17,750 | 30,620 | ||||||
Mondi PLC | 11,209 | 230,748 | ||||||
Mondi, Ltd. | 4,978 | 101,922 | ||||||
Mr. Price Group, Ltd. | 8,235 | 96,080 | ||||||
MTN Group, Ltd. | 54,310 | 501,082 | ||||||
Naspers, Ltd. Class N | 13,740 | 2,023,663 | ||||||
Nedbank Group, Ltd. | 7,202 | 125,412 | ||||||
Netcare, Ltd. | 41,109 | 95,716 | ||||||
Pick n Pay Stores, Ltd. | 16,148 | 75,243 | ||||||
Pioneer Foods Group, Ltd. | 1,601 | 18,026 | ||||||
PSG Group, Ltd. | 765 | 12,227 | ||||||
Rand Merchant Investment Holdings, Ltd. | 10,911 | 31,756 | ||||||
Redefine Properties, Ltd. REIT | 148,036 | 121,135 | ||||||
Remgro, Ltd. | 15,818 | 258,004 | ||||||
Resilient REIT, Ltd. | 11,867 | 99,284 | ||||||
RMB Holdings, Ltd. | 24,890 | 120,855 | ||||||
Sanlam, Ltd. | 43,625 | 200,659 | ||||||
Sappi, Ltd.(b) | 20,656 | 135,869 | ||||||
Sasol, Ltd. | 18,055 | 526,665 | ||||||
Shoprite Holdings, Ltd. | 13,606 | 170,595 | ||||||
Sibanye Gold, Ltd. | 19,869 | 36,890 | ||||||
SPAR Group, Ltd. | 7,309 | 106,137 | ||||||
Standard Bank Group, Ltd. | 37,708 | 418,442 | ||||||
Telkom SA SOC, Ltd. | 13,170 | 71,258 | ||||||
Tiger Brands, Ltd. | 5,305 | 154,332 | ||||||
Truworths International, Ltd. | 16,502 | 96,140 | ||||||
Tsogo Sun Holdings, Ltd. | 1,344 | 2,713 | ||||||
Vodacom Group, Ltd. | 12,047 | 134,257 | ||||||
Woolworths Holdings, Ltd. | 31,325 | 162,684 | ||||||
|
| |||||||
8,586,699 | ||||||||
|
| |||||||
South Korea – 2.9% | ||||||||
Amorepacific Corp. | 936 | 249,151 | ||||||
Amorepacific Corp. Preference Shares | 150 | 25,522 | ||||||
AMOREPACIFIC Group | 926 | 101,969 | ||||||
BGF retail Co., Ltd. | 220 | 14,900 | ||||||
BNK Financial Group, Inc. | 10,927 | 78,528 | ||||||
Celltrion, Inc.(b) | 2,424 | 215,547 | ||||||
Cheil Worldwide, Inc. | 680 | 8,867 | ||||||
CJ CheilJedang Corp. | 320 | 94,718 | ||||||
CJ Corp. | 610 | 94,444 | ||||||
CJ E&M Corp. | 257 | 15,086 | ||||||
CJ Korea Express Corp.(b) | 100 | 14,820 | ||||||
Coway Co., Ltd. | 1,750 | 127,939 | ||||||
Daelim Industrial Co., Ltd. | 436 | 31,442 | ||||||
Daewoo Engineering & Construction Co., Ltd.(b) | 380 | 1,598 | ||||||
DGB Financial Group, Inc. | 2,699 | 21,832 | ||||||
Dongbu Insurance Co., Ltd. | 1,790 | 92,627 | ||||||
Dongsuh Cos., Inc. | 874 | 19,936 | ||||||
Doosan Heavy Industries & Construction Co., Ltd. | 457 | 10,292 |
See accompanying notes to financial statements.
64
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
South Korea – (continued) | ||||||||
E-MART, Inc. | 761 | $ | 115,303 | |||||
GS Engineering & Construction Corp.(b) | 422 | 9,259 | ||||||
GS Holdings Corp. | 759 | 33,997 | ||||||
GS Retail Co., Ltd. | 360 | 14,188 | ||||||
Hana Financial Group, Inc. | 9,160 | 237,001 | ||||||
Hankook Tire Co., Ltd. | 2,490 | 119,573 | ||||||
Hanmi Pharm Co., Ltd. | 70 | 17,706 | ||||||
Hanmi Science Co., Ltd. | 172 | 8,701 | ||||||
Hanon Systems | 8,270 | 70,526 | ||||||
Hanssem Co., Ltd. | 80 | 13,181 | ||||||
Hanwha Chemical Corp. | 1,630 | 33,334 | ||||||
Hanwha Corp. | 620 | 17,992 | ||||||
Hanwha Life Insurance Co., Ltd. | 1,840 | 9,948 | ||||||
Hotel Shilla Co., Ltd. | 540 | 21,528 | ||||||
Hyosung Corp. | 338 | 40,718 | ||||||
Hyundai Department Store Co., Ltd. | 192 | 17,327 | ||||||
Hyundai Development Co-Engineering & Construction | 880 | 32,750 | ||||||
Hyundai Engineering & Construction Co., Ltd. | 1,336 | 47,343 | ||||||
Hyundai Glovis Co., Ltd. | 725 | 92,741 | ||||||
Hyundai Heavy Industries Co., Ltd.(b) | 1,387 | 167,088 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 2,670 | 69,635 | ||||||
Hyundai Mobis Co., Ltd. | 1,951 | 426,448 | ||||||
Hyundai Motor Co. | 4,090 | 494,403 | ||||||
Hyundai Motor Co. Preference Shares(a) | 377 | 29,872 | ||||||
Hyundai Motor Co. Preference Shares(a) | 1,291 | 106,247 | ||||||
Hyundai Steel Co. | 2,695 | 127,186 | ||||||
Hyundai Wia Corp. | 139 | 8,401 | ||||||
Industrial Bank of Korea | 4,680 | 49,210 | ||||||
Kakao Corp. | 368 | 23,461 | ||||||
Kangwon Land, Inc. | 3,830 | 113,365 | ||||||
KB Financial Group, Inc. | 11,287 | 399,970 | ||||||
KCC Corp. | 90 | 26,788 | ||||||
KEPCO Plant Service & Engineering Co., Ltd. | 180 | 8,078 | ||||||
Kia Motors Corp. | 7,797 | 253,380 | ||||||
Korea Aerospace Industries, Ltd. | 1,920 | 106,508 | ||||||
Korea Electric Power Corp. | 7,420 | 270,617 | ||||||
Korea Gas Corp. | 340 | 13,639 | ||||||
Korea Investment Holdings Co., Ltd. | 790 | 27,406 | ||||||
Korea Zinc Co., Ltd. | 279 | 109,724 | ||||||
Korean Air Lines Co., Ltd.(b) | 303 | 6,861 | ||||||
KT Corp. | 110 | 2,678 | ||||||
KT&G Corp. | 3,383 | 282,897 | ||||||
Kumho Petrochemical Co., Ltd. | 118 | 8,011 | ||||||
LG Chem, Ltd. | 1,363 | 294,538 | ||||||
LG Chem, Ltd. Preference Shares | 93 | 13,821 | ||||||
LG Corp. | 2,977 | 147,889 | ||||||
LG Display Co., Ltd. | 7,240 | 188,523 | ||||||
LG Electronics, Inc. | 3,362 | 143,632 | ||||||
LG Household & Health Care, Ltd. | 278 | 197,256 | ||||||
LG Household & Health Care, Ltd. Preference Shares | 50 | 23,307 | ||||||
LG Innotek Co., Ltd. | 115 | 8,417 | ||||||
LG Uplus Corp. | 3,380 | 32,043 | ||||||
Lotte Chemical Corp. | 509 | 155,507 | ||||||
Lotte Chilsung Beverage Co., Ltd. | 9 | 10,879 | ||||||
Lotte Confectionery Co., Ltd. | 60 | 8,867 | ||||||
Lotte Shopping Co., Ltd. | 183 | 33,561 | ||||||
Mirae Asset Daewoo Co., Ltd. | 1,530 | 9,171 | ||||||
Mirae Asset Securities Co., Ltd.(f) | 780 | 13,894 | ||||||
NAVER Corp. | 797 | 511,405 | ||||||
NCSoft Corp. | 581 | 119,057 | ||||||
NH Investment & Securities Co., Ltd. | 1,200 | 9,588 | ||||||
OCI Co., Ltd.(b) | 142 | 9,253 | ||||||
Orion Corp. | 148 | 80,262 | ||||||
Ottogi Corp. | 17 | 9,318 | ||||||
POSCO | 2,012 | 428,954 | ||||||
Posco Daewoo Corp. | 570 | 12,742 | ||||||
S-1 Corp. | 162 | 11,763 | ||||||
S-Oil Corp. | 1,579 | 110,731 | ||||||
Samsung C&T Corp. | 2,261 | 234,936 | ||||||
Samsung Card Co., Ltd. | 501 | 16,468 | ||||||
Samsung Electro-Mechanics Co., Ltd. | 2,049 | 86,181 | ||||||
Samsung Electronics Co., Ltd. | 2,980 | 4,446,067 | ||||||
Samsung Electronics Co., Ltd. Preference Shares | 520 | 616,956 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 999 | 222,083 | ||||||
Samsung Heavy Industries Co., Ltd.(b) | 11,059 | 84,696 | ||||||
Samsung Life Insurance Co., Ltd. | 2,176 | 202,683 | ||||||
Samsung SDI Co., Ltd. | 1,739 | 156,939 | ||||||
Samsung SDS Co., Ltd. | 1,120 | 129,359 | ||||||
Samsung Securities Co., Ltd. | 1,028 | 26,981 | ||||||
Shinhan Financial Group Co., Ltd. | 12,280 | 460,068 | ||||||
Shinsegae, Inc. | 84 | 12,240 | ||||||
SK Holdings Co., Ltd. | 1,366 | 259,560 | ||||||
SK Hynix, Inc. | 16,620 | 615,097 | ||||||
SK Innovation Co., Ltd. | 1,938 | 235,070 | ||||||
SK Networks Co., Ltd. | 410 | 2,349 | ||||||
SK Telecom Co., Ltd. | 668 | 123,888 | ||||||
Woori Bank | 11,370 | 120,026 | ||||||
Yuhan Corp. | 133 | 21,968 | ||||||
|
| |||||||
15,962,200 | ||||||||
|
| |||||||
Spain – 2.1% | ||||||||
Abertis Infraestructuras SA | 19,015 | 266,645 | ||||||
ACS Actividades de Construccion y Servicios SA | 6,143 | 194,509 | ||||||
Aena SA(c) | 2,002 | 273,770 | ||||||
Amadeus IT Group SA Class A | 14,170 | 645,211 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 207,552 | 1,404,124 | ||||||
Banco de Sabadell SA | 160,970 | 224,623 | ||||||
Banco Popular Espanol SA | 107,122 | 103,722 | ||||||
Banco Santander SA | 456,972 | 2,390,194 | ||||||
Bankia SA | 165,279 | 169,273 | ||||||
Bankinter SA | 21,774 | 169,031 | ||||||
CaixaBank SA | 106,228 | 351,818 | ||||||
Distribuidora Internacional de Alimentacion SA | 21,624 | 106,399 | ||||||
Enagas SA | 6,934 | 176,441 | ||||||
Endesa SA | 9,779 | 207,577 | ||||||
Ferrovial SA | 14,630 | 262,250 | ||||||
Gas Natural SDG SA | 10,670 | 201,562 | ||||||
Grifols SA | 9,157 | 182,350 | ||||||
Iberdrola SA | 164,206 | 1,079,706 | ||||||
Industria de Diseno Textil SA | 33,013 | 1,129,228 |
See accompanying notes to financial statements.
65
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Spain – (continued) | ||||||||
Mapfre SA | 30,119 | $ | 92,127 | |||||
Red Electrica Corp. SA | 12,792 | 241,851 | ||||||
Repsol SA | 31,842 | 450,715 | ||||||
Telefonica SA | 147,017 | 1,367,684 | ||||||
Zardoya Otis SA | 2,192 | 18,565 | ||||||
|
| |||||||
11,709,375 | ||||||||
|
| |||||||
Sweden – 2.0% | ||||||||
Alfa Laval AB | 9,415 | 156,284 | ||||||
Assa Abloy AB Class B | 32,445 | 603,929 | ||||||
Atlas Copco AB Class A | 21,651 | 661,356 | ||||||
Atlas Copco AB Class B | 11,530 | 315,518 | ||||||
Boliden AB | 8,522 | 223,167 | ||||||
Electrolux AB Series B | 7,393 | 184,162 | ||||||
Getinge AB Class B | 6,654 | 107,011 | ||||||
Hennes & Mauritz AB Class B | 30,335 | 846,145 | ||||||
Hexagon AB Class B | 7,633 | 273,489 | ||||||
Husqvarna AB Class B | 11,288 | 88,034 | ||||||
ICA Gruppen AB | 2,978 | 91,098 | ||||||
Industrivarden AB Class C | 4,587 | 85,735 | ||||||
Investor AB Class B | 14,811 | 555,131 | ||||||
Kinnevik AB Class B | 7,332 | 176,186 | ||||||
L E Lundbergforetagen AB Class B | 1,618 | 99,471 | ||||||
Lundin Petroleum AB(b) | 6,690 | 145,883 | ||||||
Nordea Bank AB | 96,395 | 1,074,875 | ||||||
Sandvik AB | 31,213 | 387,216 | ||||||
Securitas AB Class B | 9,964 | 157,281 | ||||||
Skandinaviska Enskilda Banken AB Class A | 43,944 | 462,194 | ||||||
Skanska AB Class B | 10,306 | 244,020 | ||||||
SKF AB Class B | 12,239 | 225,795 | ||||||
Svenska Cellulosa AB SCA Class B | 19,786 | 560,392 | ||||||
Svenska Handelsbanken AB Class A | 49,024 | 683,182 | ||||||
Swedbank AB Class A | 29,126 | 706,301 | ||||||
Swedish Match AB | 5,995 | 191,241 | ||||||
Tele2 AB Class B | 13,500 | 108,555 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 99,549 | 586,253 | ||||||
Telia Co. AB | 75,389 | 304,640 | ||||||
Volvo AB Class B | 49,996 | 585,560 | ||||||
|
| |||||||
10,890,104 | ||||||||
|
| |||||||
Switzerland – 6.3% | ||||||||
ABB, Ltd.(b) | 59,465 | 1,256,760 | ||||||
Actelion, Ltd.(b) | 2,925 | 634,587 | ||||||
Adecco Group AG | 4,930 | 323,299 | ||||||
Aryzta AG(b) | 2,990 | 131,944 | ||||||
Baloise Holding AG | 1,566 | 197,686 | ||||||
Barry Callebaut AG(b) | 50 | 61,298 | ||||||
Chocoladefabriken Lindt & Spruengli AG(a) | 31 | 160,894 | ||||||
Chocoladefabriken Lindt & Spruengli AG(a) | 3 | 182,713 | ||||||
Cie Financiere Richemont SA | 16,558 | 1,098,871 | ||||||
Coca-Cola HBC AG(b) | 6,055 | 132,429 | ||||||
Credit Suisse Group AG(b) | 63,245 | 909,145 | ||||||
Dufry AG(b) | 1,434 | 179,188 | ||||||
EMS-Chemie Holding AG | 266 | 135,441 | ||||||
Galenica AG | 123 | 139,053 | ||||||
Geberit AG | 1,088 | 436,977 | ||||||
Givaudan SA | 301 | 552,630 | ||||||
Glencore PLC(b) | 370,463 | 1,269,604 | ||||||
Julius Baer Group, Ltd.(b) | 6,646 | 295,763 | ||||||
Kuehne + Nagel International AG | 1,633 | 216,266 | ||||||
LafargeHolcim, Ltd.(a)(b) | 13,741 | 725,345 | ||||||
LafargeHolcim, Ltd.(a)(b) | 852 | 44,856 | ||||||
Lonza Group AG(b) | 1,574 | 273,032 | ||||||
Nestle SA | 96,674 | 6,948,429 | ||||||
Novartis AG | 69,466 | 5,064,624 | ||||||
Pargesa Holding SA | 1,409 | 91,914 | ||||||
Partners Group Holding AG | 523 | 245,586 | ||||||
Roche Holding AG | 21,857 | 5,002,153 | ||||||
Schindler Holding AG(a) | 1,326 | 234,318 | ||||||
Schindler Holding AG(a) | 679 | 118,851 | ||||||
SGS SA | 159 | 324,148 | ||||||
Sika AG | 64 | 308,051 | ||||||
Sonova Holding AG | 1,621 | 196,813 | ||||||
STMicroelectronics NV | 22,096 | 251,120 | ||||||
Swatch Group AG(a) | 917 | 285,742 | ||||||
Swatch Group AG(a) | 1,911 | 117,046 | ||||||
Swiss Life Holding AG(b) | 974 | 276,191 | ||||||
Swiss Prime Site AG(b) | 2,149 | 176,238 | ||||||
Swiss Re AG | 10,311 | 979,005 | ||||||
Swisscom AG | 751 | 337,021 | ||||||
Syngenta AG | 2,814 | 1,114,414 | ||||||
UBS Group AG | 114,878 | 1,802,828 | ||||||
Wolseley PLC | 7,362 | 451,386 | ||||||
Zurich Insurance Group AG(b) | 4,551 | 1,255,572 | ||||||
|
| |||||||
34,939,231 | ||||||||
|
| |||||||
Taiwan – 2.6% | ||||||||
Acer, Inc.(b) | 24,000 | 9,755 | ||||||
Advanced Semiconductor Engineering, Inc. | 193,000 | 197,916 | ||||||
Advantech Co., Ltd. | 12,000 | 94,759 | ||||||
Asia Cement Corp. | 34,000 | 27,798 | ||||||
Asia Pacific Telecom Co., Ltd.(b) | 7,000 | 2,248 | ||||||
Asustek Computer, Inc. | 22,000 | 180,893 | ||||||
AU Optronics Corp. | 302,000 | 110,571 | ||||||
Catcher Technology Co., Ltd. | 21,000 | 145,955 | ||||||
Cathay Financial Holding Co., Ltd. | 243,000 | 363,418 | ||||||
Chailease Holding Co., Ltd. | 16,480 | 28,175 | ||||||
Chang Hwa Commercial Bank, Ltd. | 195,624 | 104,097 | ||||||
Cheng Shin Rubber Industry Co., Ltd. | 64,000 | 120,736 | ||||||
Chicony Electronics Co., Ltd. | 4,030 | 9,378 | ||||||
China Airlines, Ltd. | 23,000 | 6,637 | ||||||
China Development Financial Holding Corp. | 480,000 | 120,041 | ||||||
China Life Insurance Co., Ltd. | 130,376 | 129,652 | ||||||
China Steel Corp. | 353,000 | 269,988 | ||||||
Chunghwa Telecom Co., Ltd. | 109,000 | 343,278 | ||||||
Compal Electronics, Inc. | 169,000 | 96,747 | ||||||
CTBC Financial Holding Co., Ltd. | 522,009 | 285,875 | ||||||
Delta Electronics, Inc. | 57,630 | 285,208 | ||||||
E.Sun Financial Holding Co., Ltd. | 256,968 | 146,308 | ||||||
Eclat Textile Co., Ltd. | 8,022 | 84,006 | ||||||
Eva Airways Corp. | 16,800 | 7,611 | ||||||
Evergreen Marine Corp. Taiwan, Ltd.(b) | 23,170 | 7,980 | ||||||
Far Eastern New Century Corp. | 128,620 | 96,578 | ||||||
Far EasTone Telecommunications Co., Ltd. | 53,000 | 119,225 |
See accompanying notes to financial statements.
66
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Taiwan – (continued) | ||||||||
Feng TAY Enterprise Co., Ltd. | 2,273 | $ | 8,498 | |||||
First Financial Holding Co., Ltd. | 305,467 | 163,022 | ||||||
Formosa Chemicals & Fibre Corp. | 97,000 | 289,835 | ||||||
Formosa Petrochemical Corp. | 40,000 | 139,005 | ||||||
Formosa Plastics Corp. | 122,000 | 337,659 | ||||||
Formosa Taffeta Co., Ltd. | 3,000 | 2,746 | ||||||
Foxconn Technology Co., Ltd. | 36,180 | 95,757 | ||||||
Fubon Financial Holding Co., Ltd. | 200,000 | 316,485 | ||||||
Giant Manufacturing Co., Ltd. | 4,000 | 22,712 | ||||||
Highwealth Construction Corp. | 6,900 | 9,720 | ||||||
Hiwin Technologies Corp. | 2,070 | 9,506 | ||||||
Hon Hai Precision Industry Co., Ltd. | 467,650 | 1,221,761 | ||||||
Hotai Motor Co., Ltd. | 9,000 | 103,044 | ||||||
HTC Corp.(b) | 13,000 | 31,866 | ||||||
Hua Nan Financial Holdings Co., Ltd. | 246,235 | 124,153 | ||||||
Innolux Corp. | 310,000 | 111,577 | ||||||
Inventec Corp. | 50,000 | 34,286 | ||||||
Largan Precision Co., Ltd. | 3,000 | 352,788 | ||||||
Lite-On Technology Corp. | 75,419 | 113,729 | ||||||
MediaTek, Inc. | 44,000 | 295,572 | ||||||
Mega Financial Holding Co., Ltd. | 325,601 | 232,363 | ||||||
Merida Industry Co., Ltd. | 2,000 | 8,936 | ||||||
Micro-Star International Co., Ltd. | 33,000 | 75,361 | ||||||
Nan Ya Plastics Corp. | 141,000 | 311,496 | ||||||
Nanya Technology Corp. | 18,000 | 26,976 | ||||||
Nien Made Enterprise Co., Ltd. | 3,000 | 30,950 | ||||||
Novatek Microelectronics Corp. | 24,000 | 79,307 | ||||||
OBI Pharma, Inc.(b) | 1,000 | 8,843 | ||||||
Pegatron Corp. | 53,000 | 126,625 | ||||||
Phison Electronics Corp. | 2,000 | 15,855 | ||||||
Pou Chen Corp. | 80,000 | 99,786 | ||||||
Powertech Technology, Inc. | 9,000 | 24,295 | ||||||
President Chain Store Corp. | 18,000 | 129,014 | ||||||
Quanta Computer, Inc. | 85,000 | 159,034 | ||||||
Realtek Semiconductor Corp. | 4,000 | 12,659 | ||||||
Ruentex Development Co., Ltd.(b) | 8,280 | 9,454 | ||||||
Ruentex Industries, Ltd. | 5,000 | 8,331 | ||||||
Shin Kong Financial Holding Co., Ltd.(b) | 360,551 | 88,379 | ||||||
Siliconware Precision Industries Co., Ltd. | 75,135 | 111,552 | ||||||
SinoPac Financial Holdings Co., Ltd. | 274,641 | 77,376 | ||||||
Standard Foods Corp. | 4,440 | 10,553 | ||||||
Synnex Technology International Corp. | 70,550 | 71,143 | ||||||
TaiMed Biologics, Inc.(b) | 4,000 | 20,665 | ||||||
Taishin Financial Holding Co., Ltd. | 294,899 | 107,971 | ||||||
Taiwan Business Bank | 64,119 | 16,214 | ||||||
Taiwan Cement Corp. | 112,000 | 122,151 | ||||||
Taiwan Cooperative Financial Holding Co., Ltd. | 271,084 | 118,177 | ||||||
Taiwan Fertilizer Co., Ltd. | 7,000 | 8,720 | ||||||
Taiwan Mobile Co., Ltd. | 52,000 | 167,799 | ||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 767,000 | 4,319,417 | ||||||
Teco Electric and Machinery Co., Ltd. | 90,000 | 77,911 | ||||||
Transcend Information, Inc. | 1,000 | 2,644 | ||||||
Uni-President Enterprises Corp. | 142,880 | 236,737 | ||||||
United Microelectronics Corp. | 389,000 | 137,597 | ||||||
Vanguard International Semiconductor Corp. | 39,000 | 68,007 | ||||||
Wistron Corp. | 107,946 | 83,566 | ||||||
WPG Holdings, Ltd. | 66,000 | 77,818 | ||||||
Yuanta Financial Holding Co., Ltd. | 329,022 | 122,507 | ||||||
Yulon Motor Co., Ltd. | 7,000 | 5,821 | ||||||
Zhen Ding Technology Holding, Ltd. | 3,000 | 5,939 | ||||||
|
| |||||||
14,596,503 | ||||||||
|
| |||||||
Thailand – 0.5% | ||||||||
Advanced Info Service PCL(f) | 33,000 | 135,463 | ||||||
Airports of Thailand PCL(f) | 13,800 | 153,374 | ||||||
Bangkok Bank PCL NVDR | 5,100 | 22,715 | ||||||
Bangkok Dusit Medical Services PCL(f) | 148,200 | 95,598 | ||||||
Bangkok Expressway & Metro PCL(f) | 94,400 | 19,639 | ||||||
BEC World PCL(f) | 4,700 | 2,179 | ||||||
Berli Jucker PCL NVDR | 55,900 | 78,440 | ||||||
BTS Group Holdings PCL(f) | 118,600 | 28,316 | ||||||
Bumrungrad Hospital PCL(f) | 16,400 | 82,892 | ||||||
Central Pattana PCL(f) | 56,000 | 88,745 | ||||||
Charoen Pokphand Foods PCL(f) | 108,500 | 89,380 | ||||||
CP ALL PCL(f) | 149,900 | 261,620 | ||||||
Delta Electronics Thailand PCL(f) | 5,400 | 12,290 | ||||||
Energy Absolute PCL(f) | 14,513 | 12,057 | ||||||
Glow Energy PCL(f) | 11,100 | 24,487 | ||||||
Home Product Center PCL(f) | 68,100 | 19,397 | ||||||
Indorama Ventures PCL(f) | 32,500 | 30,403 | ||||||
IRPC PCL(f) | 207,000 | 27,746 | ||||||
Kasikornbank PCL NVDR | 67,200 | 333,086 | ||||||
Krung Thai Bank PCL(f) | 67,900 | 33,561 | ||||||
Minor International PCL(f) | 94,050 | 93,891 | ||||||
PTT Exploration & Production PCL(f) | 47,500 | 127,668 | ||||||
PTT Global Chemical PCL(f) | 76,300 | 134,232 | ||||||
PTT PCL(f) | 29,700 | 308,524 | ||||||
Robinson Department Store PCL(f) | 12,700 | 22,520 | ||||||
Siam Cement PCL | 20,500 | 285,084 | ||||||
Siam Cement PCL NVDR | 5,300 | 73,409 | ||||||
Siam Commercial Bank PCL(f) | 47,800 | 203,558 | ||||||
Thai Oil PCL(f) | 16,600 | 33,492 | ||||||
Thai Union Group PCL(f) | 43,700 | 25,627 | ||||||
TMB Bank PCL(f) | 63,300 | 3,712 | ||||||
True Corp. PCL(f) | 216,512 | 43,229 | ||||||
|
| |||||||
2,906,334 | ||||||||
|
| |||||||
Turkey – 0.2% | ||||||||
Akbank TAS | 67,328 | 149,677 | ||||||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 1,760 | 8,821 | ||||||
Arcelik A/S | 4,778 | 28,796 | ||||||
BIM Birlesik Magazalar A/S | 6,928 | 96,507 | ||||||
Coca-Cola Icecek A/S | 648 | 6,098 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S | 30,919 | 26,282 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 21,527 | 31,456 | ||||||
Ford Otomotiv Sanayi A/S | 1,307 | 11,362 | ||||||
Haci Omer Sabanci Holding A/S | 31,533 | 82,024 | ||||||
KOC Holding A/S | 24,944 | 97,859 | ||||||
Petkim Petrokimya Holding A/S | 11,722 | 12,330 | ||||||
TAV Havalimanlari Holding A/S | 1,388 | 5,536 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 2,262 | 15,845 |
See accompanying notes to financial statements.
67
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Turkey – (continued) | ||||||||
Tupras Turkiye Petrol Rafinerileri A/S | 4,958 | $ | 99,721 | |||||
Turk Hava Yollari AO(b) | 4,688 | 6,677 | ||||||
Turk Telekomunikasyon A/S | 4,204 | 6,310 | ||||||
Turkcell Iletisim Hizmetleri A/S(b) | 31,741 | 87,979 | ||||||
Turkiye Garanti Bankasi A/S | 70,750 | 153,262 | ||||||
Turkiye Halk Bankasi A/S | 29,437 | 78,162 | ||||||
Turkiye Is Bankasi | 62,875 | 92,589 | ||||||
Turkiye Sise ve Cam Fabrikalari A/S | 6,184 | 6,733 | ||||||
Turkiye Vakiflar Bankasi TAO Class D | 6,370 | 7,877 | ||||||
Ulker Biskuvi Sanayi A/S | 1,307 | 6,004 | ||||||
Yapi ve Kredi Bankasi A/S(b) | 7,385 | 7,201 | ||||||
|
| |||||||
1,125,108 | ||||||||
|
| |||||||
United Arab Emirates – 0.1% | ||||||||
Abu Dhabi Commercial Bank PJSC | 31,787 | 59,716 | ||||||
Aldar Properties PJSC | 47,482 | 34,000 | ||||||
DP World, Ltd. | 2,228 | 39,012 | ||||||
Dubai Islamic Bank PJSC | 10,495 | 15,916 | ||||||
Emaar Malls PJSC | 24,972 | 17,813 | ||||||
Emaar Properties PJSC | 108,028 | 209,709 | ||||||
Emirates Telecommunications Group Co. PJSC | 51,533 | 263,775 | ||||||
First Gulf Bank PJSC | 12,276 | 42,949 | ||||||
National Bank of Abu Dhabi PJSC | 5,752 | 15,645 | ||||||
|
| |||||||
698,535 | ||||||||
|
| |||||||
United Kingdom – 11.2% | ||||||||
3i Group PLC | 29,379 | 255,567 | ||||||
Aberdeen Asset Management PLC | 30,660 | 97,478 | ||||||
Admiral Group PLC | 6,596 | 148,907 | ||||||
Anglo American PLC(b) | 45,258 | 648,707 | ||||||
Ashtead Group PLC | 15,243 | 297,593 | ||||||
Associated British Foods PLC | 10,306 | 349,565 | ||||||
AstraZeneca PLC | 39,623 | 2,172,606 | ||||||
Auto Trader Group PLC(c) | 32,164 | 162,551 | ||||||
Aviva PLC | 130,071 | 781,753 | ||||||
Babcock International Group PLC | 6,834 | 80,475 | ||||||
BAE Systems PLC | 101,851 | 744,415 | ||||||
Barclays PLC | 511,733 | 1,412,925 | ||||||
Barratt Developments PLC | 31,500 | 179,980 | ||||||
Berkeley Group Holdings PLC | 4,191 | 145,415 | ||||||
BP PLC | 585,498 | 3,686,805 | ||||||
British American Tobacco PLC | 58,164 | 3,321,487 | ||||||
British Land Co. PLC REIT | 29,352 | 228,312 | ||||||
BT Group PLC | 255,271 | 1,157,296 | ||||||
Bunzl PLC | 9,854 | 256,794 | ||||||
Burberry Group PLC | 13,482 | 249,386 | ||||||
Capita PLC | 19,848 | 130,229 | ||||||
Carnival PLC | 5,639 | 287,423 | ||||||
Centrica PLC | 178,592 | 516,605 | ||||||
CNH Industrial NV | 30,987 | 270,129 | ||||||
Cobham PLC | 56,949 | 115,194 | ||||||
Coca-Cola European Partners PLC | 6,516 | 206,320 | ||||||
Compass Group PLC | 50,038 | 928,060 | ||||||
Croda International PLC | 4,097 | 161,796 | ||||||
DCC PLC | 2,666 | 198,972 | ||||||
Diageo PLC | 78,954 | 2,058,505 | ||||||
Direct Line Insurance Group PLC | 42,400 | 193,534 | ||||||
Dixons Carphone PLC | 31,869 | 139,638 | ||||||
easyJet PLC | 7,064 | 87,723 | ||||||
Fiat Chrysler Automobiles NV | 27,877 | 254,779 | ||||||
G4S PLC | 38,319 | 111,270 | ||||||
GKN PLC | 52,798 | 216,400 | ||||||
GlaxoSmithKline PLC | 152,242 | 2,938,399 | ||||||
Hammerson PLC | 24,578 | 174,019 | ||||||
Hargreaves Lansdown PLC | 8,477 | 127,057 | ||||||
HSBC Holdings PLC | 618,848 | 5,023,178 | ||||||
IMI PLC | 9,126 | 117,276 | ||||||
Imperial Brands PLC | 30,284 | 1,325,618 | ||||||
Inmarsat PLC | 14,395 | 133,671 | ||||||
InterContinental Hotels Group PLC | 5,689 | 255,737 | ||||||
International Consolidated Airlines Group SA | 26,079 | 141,082 | ||||||
Intertek Group PLC | 4,876 | 209,731 | ||||||
Intu Properties PLC | 22,733 | 79,017 | ||||||
ITV PLC | 107,904 | 275,196 | ||||||
J Sainsbury PLC | 56,697 | 174,654 | ||||||
Johnson Matthey PLC | 5,819 | 228,794 | ||||||
Kingfisher PLC | 67,231 | 291,008 | ||||||
Land Securities Group PLC REIT | 23,143 | 304,840 | ||||||
Legal & General Group PLC | 193,029 | 590,566 | ||||||
Lloyds Banking Group PLC | 2,021,908 | 1,561,731 | ||||||
London Stock Exchange Group PLC | 9,177 | 330,435 | ||||||
Marks & Spencer Group PLC | 49,338 | 213,376 | ||||||
Meggitt PLC | 21,015 | 119,085 | ||||||
Merlin Entertainments PLC(c) | 23,016 | 127,580 | ||||||
National Grid PLC | 118,793 | 1,396,820 | ||||||
NEX Group PLC | 10,806 | 62,024 | ||||||
Next PLC | 4,227 | 260,267 | ||||||
Old Mutual PLC | 142,435 | 364,847 | ||||||
Pearson PLC | 24,146 | 244,208 | ||||||
Persimmon PLC | 9,480 | 208,040 | ||||||
Petrofac, Ltd. | 10,300 | 110,599 | ||||||
Provident Financial PLC | 4,673 | 164,507 | ||||||
Prudential PLC | 81,155 | 1,632,043 | ||||||
Randgold Resources, Ltd. | 2,734 | 216,716 | ||||||
Reckitt Benckiser Group PLC | 19,883 | 1,691,781 | ||||||
RELX NV | 32,385 | 546,188 | ||||||
RELX PLC | 33,828 | 605,675 | ||||||
Rio Tinto PLC | 38,967 | 1,520,804 | ||||||
Rio Tinto, Ltd. | 13,742 | 596,040 | ||||||
Rolls-Royce Holdings PLC(b) | 60,069 | 495,818 | ||||||
Royal Bank of Scotland Group PLC(b) | 104,300 | 289,460 | ||||||
Royal Mail PLC | 27,888 | 159,239 | ||||||
RSA Insurance Group PLC | 31,206 | 225,960 | ||||||
Sage Group PLC | 31,977 | 258,806 | ||||||
Schroders PLC | 4,367 | 161,774 | ||||||
Segro PLC | 25,077 | 141,949 | ||||||
Severn Trent PLC | 7,102 | 194,993 | ||||||
Shire PLC | 28,325 | 1,639,389 | ||||||
Sky PLC | 30,045 | 367,910 | ||||||
Smith & Nephew PLC | 25,668 | 387,260 | ||||||
Smiths Group PLC | 12,169 | 212,918 | ||||||
SSE PLC | 31,140 | 597,565 | ||||||
St James’s Place PLC | 16,266 | 203,805 | ||||||
Standard Chartered PLC(b) | 104,891 | 860,082 | ||||||
Standard Life PLC | 59,564 | 273,793 | ||||||
Tate & Lyle PLC | 12,645 | 110,545 | ||||||
Taylor Wimpey PLC | 100,578 | 190,768 | ||||||
Tesco PLC(b) | 263,588 | 673,715 |
See accompanying notes to financial statements.
68
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
United Kingdom – (continued) | ||||||||
TP ICAP PLC | 8,830 | $ | 47,276 | |||||
Travis Perkins PLC | 7,947 | 142,582 | ||||||
Unilever NV | 51,059 | 2,106,518 | ||||||
Unilever PLC | 40,378 | 1,642,729 | ||||||
United Utilities Group PLC | 20,236 | 225,291 | ||||||
Vodafone Group PLC | 834,244 | 2,060,120 | ||||||
Weir Group PLC | 7,013 | 163,780 | ||||||
Whitbread PLC | 5,423 | 253,027 | ||||||
William Hill PLC | 20,508 | 73,539 | ||||||
Wm Morrison Supermarkets PLC | 69,727 | 198,767 | ||||||
Worldpay Group PLC(c) | 63,846 | 212,928 | ||||||
WPP PLC | 39,398 | 884,067 | ||||||
|
| |||||||
62,073,576 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 536,903,887 | ||||||
|
| |||||||
RIGHTS – 0.0%(d) | ||||||||
Qatar – 0.0%(d) | ||||||||
Commercial Bank QSC (expiring 1/22/17)(b)(f) | 380 | 731 | ||||||
|
| |||||||
Spain – 0.0%(d) | ||||||||
Repsol SA (expiring 1/6/17)(b) | 31,842 | 11,822 | ||||||
|
| |||||||
TOTAL RIGHTS | 12,553 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT – 3.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(g)(h) (Cost $16,717,694) | 16,717,694 | 16,717,694 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.2% |
| 553,634,134 | ||||||
Liabilities in Excess of Other Assets – (0.2)% | (934,290 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 552,699,844 | ||||||
|
|
(a) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(b) | Non-income producing security. |
(c) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 0.5% of net assets as of December 31, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Amount shown represents 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 December 31, 2016, total aggregate fair value of security is $0, representing 0.0% of the Portfolio’s net assets. |
(f) | Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with procedures approved by the Board of Trustees. As of December 31, 2016, total aggregate fair value of securities is $2,128,225 representing 0.4% of net assets. |
(g) | The rate shown is the annualized seven-day yield at December 31, 2016. |
(h) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 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 |
At December 31, 2016, open futures contracts purchased were as follows:
| Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
Mini MSCI Emerging Markets Index (long) | 03/17/2017 | 147 | $ | 6,312,915 | $ | (76,365 | ) | |||||||||
Mini MSCI EAFE (long) | 03/17/2017 | 36 | 3,016,080 | 725 | ||||||||||||
|
| |||||||||||||||
Total unrealized appreciation/(depreciation) on open futures contracts purchased |
| $ | (75,640 | ) | ||||||||||||
|
|
During the period ended December 31, 2016, average notional value related to futures contracts was $6,085,329 or 1% of net assets.
See accompanying notes to financial statements.
69
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 28,194,264 | $ | – | $ | – | $ | 28,194,264 | ||||||||
Austria | 785,193 | – | – | 785,193 | ||||||||||||
Belgium | 4,503,640 | – | – | 4,503,640 | ||||||||||||
Brazil | 8,719,945 | – | – | 8,719,945 | ||||||||||||
Canada | 37,883,300 | – | – | 37,883,300 | ||||||||||||
Chile | 1,688,023 | – | – | 1,688,023 | ||||||||||||
China | 31,729,968 | – | – | 31,729,968 | ||||||||||||
Colombia | 355,756 | – | – | 355,756 | ||||||||||||
Czech Republic | 238,009 | – | – | 238,009 | ||||||||||||
Denmark | 6,257,009 | – | – | 6,257,009 | ||||||||||||
Egypt | 145,560 | – | – | 145,560 | ||||||||||||
Finland | 3,708,536 | – | – | 3,708,536 | ||||||||||||
France | 37,541,971 | – | – | 37,541,971 | ||||||||||||
Germany | 35,385,799 | – | – | 35,385,799 | ||||||||||||
Greece | 444,120 | – | – | 444,120 | ||||||||||||
Hong Kong | 12,921,477 | – | 0 | (a) | 12,921,477 | |||||||||||
Hungary | 374,034 | – | – | 374,034 | ||||||||||||
India | 10,288,991 | – | – | 10,288,991 | ||||||||||||
Indonesia | 3,184,730 | – | – | 3,184,730 | ||||||||||||
Ireland | 2,634,311 | – | – | 2,634,311 | ||||||||||||
Israel | 2,224,315 | – | – | 2,224,315 | ||||||||||||
Italy | 7,067,995 | – | – | 7,067,995 | ||||||||||||
Japan | 93,241,836 | – | – | 93,241,836 | ||||||||||||
Jordan | 107,504 | – | – | 107,504 | ||||||||||||
Luxembourg | 1,210,154 | – | – | 1,210,154 | ||||||||||||
Macau | 188,913 | – | – | 188,913 | ||||||||||||
Malaysia | 2,647,267 | – | – | 2,647,267 | ||||||||||||
Mexico | 4,458,346 | – | – | 4,458,346 | ||||||||||||
Netherlands | 17,526,384 | – | – | 17,526,384 | ||||||||||||
New Zealand | 720,818 | – | – | 720,818 | ||||||||||||
Norway | 2,538,117 | – | – | 2,538,117 | ||||||||||||
Peru | 468,118 | – | – | 468,118 | ||||||||||||
Philippines | 1,240,773 | – | – | 1,240,773 | ||||||||||||
Poland | 1,218,025 | – | – | 1,218,025 | ||||||||||||
Portugal | 556,104 | – | – | 556,104 | ||||||||||||
Qatar | 827,218 | – | – | 827,218 | ||||||||||||
Romania | 106,736 | – | – | 106,736 | ||||||||||||
Russia | 5,250,762 | – | – | 5,250,762 | ||||||||||||
Singapore | 4,832,201 | – | – | 4,832,201 | ||||||||||||
South Africa | 8,586,699 | – | – | 8,586,699 | ||||||||||||
South Korea | 15,948,306 | 13,894 | – | 15,962,200 | ||||||||||||
Spain | 11,709,375 | – | – | 11,709,375 | ||||||||||||
Sweden | 10,890,104 | – | – | 10,890,104 | ||||||||||||
Switzerland | 34,939,231 | – | – | 34,939,231 | ||||||||||||
Taiwan | 14,596,503 | – | – | 14,596,503 | ||||||||||||
Thailand | 792,734 | 2,113,600 | – | 2,906,334 | ||||||||||||
Turkey | 1,125,108 | – | – | 1,125,108 | ||||||||||||
United Arab Emirates | 698,535 | – | – | 698,535 | ||||||||||||
United Kingdom | 62,073,576 | – | – | 62,073,576 |
See accompanying notes to financial statements.
70
Table of Contents
State Street Global Equity ex-U.S. Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Rights | ||||||||||||||||
Qatar | $ | – | $ | 731 | $ | – | $ | 731 | ||||||||
Spain | 11,822 | – | – | 11,822 | ||||||||||||
Short-Term Investment | 16,717,694 | – | – | 16,717,694 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 551,505,909 | $ | 2,128,225 | $ | 0 | $ | 553,634,134 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts(b) | 725 | – | – | 725 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments and Other Financial Instruments | $ | 551,506,634 | $ | 2,128,225 | $ | 0 | $ | 553,634,859 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts(b) | $ | (76,365 | ) | $ | – | $ | – | $ | (76,365 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (76,365 | ) | $ | – | $ | – | $ | (76,365 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Fund held a Level 3 security that was valued at $0 at December 31, 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 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | 2,440,800 | $ | 2,440,800 | 373,323,120 | 359,046,226 | 16,717,694 | $ | 16,717,694 | $ | 13,190 | $ | – | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | 2,440,800 | $ | 16,717,694 | $ | 13,190 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
71
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2016 | |||
Common Stocks | 104.0 | % | ||
Short-Term Investment | 2.1 | |||
Rights | 0.0 | ** | ||
Liabilities in Excess of Other Assets | (6.1 | ) | ||
Total | 100.0 | % |
** | Less than 0.05% of net assets. |
Top Five Sectors (excluding short-term investment)* | December 31, 2016 | |||
Real Estate Investment Trusts (REITs) | 10.1 | % | ||
Banks | 7.9 | |||
Software | 4.6 | |||
Insurance | 4.5 | |||
Hotels, Restaurants & Leisure | 4.2 | |||
Total | 31.3 | % |
* | As a percentage of net assets as of the date indicated. The Portfolio’s composition will vary over time. |
72
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – 104.0% | ||||||||
Aerospace & Defense – 1.7% | ||||||||
AAR Corp. | 1,260 | $ | 41,643 | |||||
Aerojet Rocketdyne Holdings, Inc.(a) | 2,000 | 35,900 | ||||||
Aerovironment, Inc.(a) | 700 | 18,781 | ||||||
Astronics Corp.(a) | 719 | 24,331 | ||||||
B/E Aerospace, Inc. | 3,601 | 216,744 | ||||||
BWX Technologies, Inc. | 3,295 | 130,811 | ||||||
Cubic Corp. | 900 | 43,155 | ||||||
Curtiss-Wright Corp. | 1,534 | 150,884 | ||||||
DigitalGlobe, Inc.(a) | 2,300 | 65,895 | ||||||
Ducommun, Inc.(a) | 300 | 7,668 | ||||||
Engility Holdings, Inc.(a) | 600 | 20,220 | ||||||
Esterline Technologies Corp.(a) | 1,100 | 98,120 | ||||||
HEICO Corp. | 681 | 52,539 | ||||||
HEICO Corp. Class A | 1,327 | 90,103 | ||||||
Hexcel Corp. | 3,247 | 167,026 | ||||||
Huntington Ingalls Industries, Inc. | 1,622 | 298,756 | ||||||
KEYW Holding Corp.(a) | 1,200 | 14,148 | ||||||
KLX, Inc.(a) | 1,843 | 83,138 | ||||||
Kratos Defense & Security Solutions, Inc.(a) | 2,000 | 14,800 | ||||||
Mercury Systems, Inc.(a) | 1,300 | 39,286 | ||||||
Moog, Inc. Class A(a) | 1,154 | 75,795 | ||||||
National Presto Industries, Inc. | 151 | 16,066 | ||||||
Orbital ATK, Inc. | 2,094 | 183,707 | ||||||
Sparton Corp.(a) | 300 | 7,155 | ||||||
Spirit AeroSystems Holdings, Inc. Class A | 4,265 | 248,863 | ||||||
TASER International, Inc.(a) | 1,792 | 43,438 | ||||||
Teledyne Technologies, Inc.(a) | 1,250 | 153,750 | ||||||
Triumph Group, Inc. | 1,745 | 46,243 | ||||||
Vectrus, Inc.(a) | 400 | 9,540 | ||||||
|
| |||||||
2,398,505 | ||||||||
|
| |||||||
Air Freight & Logistics – 0.3% | ||||||||
Air Transport Services Group, Inc.(a) | 1,700 | 27,132 | ||||||
Atlas Air Worldwide Holdings, Inc.(a) | 882 | 45,996 | ||||||
Echo Global Logistics, Inc.(a) | 1,000 | 25,050 | ||||||
Forward Air Corp. | 1,000 | 47,380 | ||||||
Hub Group, Inc. Class A(a) | 1,117 | 48,869 | ||||||
Park-Ohio Holdings Corp. | 246 | 10,480 | ||||||
Radiant Logistics, Inc.(a) | 2,100 | 8,190 | ||||||
XPO Logistics, Inc.(a) | 3,400 | 146,744 | ||||||
|
| |||||||
359,841 | ||||||||
|
| |||||||
Airlines – 0.5% | ||||||||
Allegiant Travel Co. | 451 | 75,046 | ||||||
Copa Holdings SA Class A | 1,109 | 100,731 | ||||||
Hawaiian Holdings, Inc.(a) | 1,845 | 105,165 | ||||||
JetBlue Airways Corp.(a) | 11,236 | 251,911 | ||||||
SkyWest, Inc. | 1,700 | 61,965 | ||||||
Spirit Airlines, Inc.(a) | 2,558 | 148,006 | ||||||
|
| |||||||
742,824 | ||||||||
|
| |||||||
Auto Components – 1.1% | ||||||||
Adient PLC(a) | 3,200 | 187,520 | ||||||
American Axle & Manufacturing Holdings, Inc.(a) | 2,600 | 50,180 | ||||||
Cooper Tire & Rubber Co. | 1,900 | 73,815 | ||||||
Cooper-Standard Holdings, Inc.(a) | 529 | 54,688 | ||||||
Dana, Inc. | 5,194 | 98,582 | ||||||
Dorman Products, Inc.(a) | 899 | 65,681 | ||||||
Federal-Mogul Holdings Corp.(a) | 1,000 | 10,310 | ||||||
Fox Factory Holding Corp.(a) | 700 | 19,425 | ||||||
Gentex Corp. | 9,966 | 196,231 | ||||||
Gentherm, Inc.(a) | 1,254 | 42,448 | ||||||
Horizon Global Corp.(a) | 574 | 13,776 | ||||||
LCI Industries | 839 | 90,402 | ||||||
Lear Corp. | 2,579 | 341,382 | ||||||
Metaldyne Performance Group, Inc. | 500 | 11,475 | ||||||
Modine Manufacturing Co.(a) | 1,583 | 23,587 | ||||||
Motorcar Parts of America, Inc.(a) | 600 | 16,152 | ||||||
Spartan Motors, Inc. | 1,100 | 10,175 | ||||||
Standard Motor Products, Inc. | 708 | 37,680 | ||||||
Stoneridge, Inc.(a) | 882 | 15,603 | ||||||
Strattec Security Corp. | 119 | 4,796 | ||||||
Superior Industries International, Inc. | 888 | 23,399 | ||||||
Tenneco, Inc.(a) | 1,935 | 120,879 | ||||||
Tower International, Inc. | 661 | 18,739 | ||||||
Unique Fabricating, Inc. | 400 | 5,840 | ||||||
Visteon Corp. | 1,178 | 94,640 | ||||||
Workhorse Group, Inc.(a) | 400 | 2,824 | ||||||
|
| |||||||
1,630,229 | ||||||||
|
| |||||||
Automobiles – 0.8% | ||||||||
Tesla Motors, Inc.(a) | 4,425 | 945,578 | ||||||
Thor Industries, Inc. | 1,670 | 167,084 | ||||||
Winnebago Industries, Inc. | 900 | 28,485 | ||||||
|
| |||||||
1,141,147 | ||||||||
|
| |||||||
Banks – 7.9% | ||||||||
1st Source Corp. | 500 | 22,330 | ||||||
Access National Corp. | 300 | 8,328 | ||||||
ACNB Corp. | 200 | 6,250 | ||||||
Allegiance Bancshares, Inc.(a) | 400 | 14,460 | ||||||
American National Bankshares, Inc. | 300 | 10,440 | ||||||
Ameris Bancorp | 1,200 | 52,320 | ||||||
Ames National Corp. | 300 | 9,900 | ||||||
Arrow Financial Corp. | 414 | 16,767 | ||||||
Associated Banc-Corp. | 5,300 | 130,910 | ||||||
Atlantic Capital Bancshares, Inc.(a) | 600 | 11,400 | ||||||
Banc of California, Inc. | 1,600 | 27,760 | ||||||
BancFirst Corp. | 276 | 25,682 | ||||||
Banco Latinoamericano de Comercio Exterior SA Class E | 1,000 | 29,440 | ||||||
Bancorp, Inc.(a) | 1,700 | 13,362 | ||||||
BancorpSouth, Inc. | 2,970 | 92,218 | ||||||
Bank of Hawaii Corp. | 1,549 | 137,381 | ||||||
Bank of Marin Bancorp | 272 | 18,972 | ||||||
Bank of NT Butterfield & Son, Ltd. | 400 | 12,576 | ||||||
Bank of the Ozarks, Inc. | 3,154 | 165,869 | ||||||
BankUnited, Inc. | 3,472 | 130,860 | ||||||
Bankwell Financial Group, Inc. | 200 | 6,500 | ||||||
Banner Corp. | 1,100 | 61,391 | ||||||
Bar Harbor Bankshares | 239 | 11,312 | ||||||
Berkshire Hills Bancorp, Inc. | 1,200 | 44,220 | ||||||
Blue Hills Bancorp, Inc. | 826 | 15,487 |
See accompanying notes to financial statements.
73
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
BNC Bancorp | 1,400 | $ | 44,660 | |||||
BOK Financial Corp. | 884 | 73,407 | ||||||
Boston Private Financial Holdings, Inc. | 3,000 | 49,650 | ||||||
Bridge Bancorp, Inc. | 600 | 22,740 | ||||||
Brookline Bancorp, Inc. | 2,300 | 37,720 | ||||||
Bryn Mawr Bank Corp. | 600 | 25,290 | ||||||
C&F Financial Corp. | 100 | 4,985 | ||||||
Camden National Corp. | 582 | 25,870 | ||||||
Capital Bank Financial Corp. Class A | 865 | 33,951 | ||||||
Capital City Bank Group, Inc. | 400 | 8,192 | ||||||
Cardinal Financial Corp. | 1,100 | 36,069 | ||||||
Carolina Financial Corp. | 300 | 9,237 | ||||||
Cascade Bancorp(a) | 1,101 | 8,940 | ||||||
Cathay General Bancorp | 2,554 | 97,129 | ||||||
CenterState Banks, Inc. | 1,600 | 40,272 | ||||||
Central Pacific Financial Corp. | 979 | 30,760 | ||||||
Central Valley Community Bancorp | 300 | 5,988 | ||||||
Century Bancorp, Inc. Class A | 136 | 8,160 | ||||||
Chemical Financial Corp. | 2,345 | 127,029 | ||||||
Chemung Financial Corp. | 200 | 7,270 | ||||||
CIT Group, Inc. | 7,011 | 299,229 | ||||||
Citizens & Northern Corp. | 400 | 10,480 | ||||||
City Holding Co. | 549 | 37,112 | ||||||
CNB Financial Corp. | 500 | 13,370 | ||||||
CoBiz Financial, Inc. | 1,200 | 20,268 | ||||||
Codorus Valley Bancorp, Inc. | 420 | 12,012 | ||||||
Columbia Banking System, Inc. | 2,000 | 89,360 | ||||||
Commerce Bancshares, Inc. | 3,119 | 180,295 | ||||||
Community Bank System, Inc. | 1,500 | 92,685 | ||||||
Community Trust Bancorp, Inc. | 500 | 24,800 | ||||||
ConnectOne Bancorp, Inc. | 923 | 23,952 | ||||||
County Bancorp, Inc. | 300 | 8,091 | ||||||
CU Bancorp(a) | 500 | 17,900 | ||||||
Cullen/Frost Bankers, Inc. | 1,926 | 169,931 | ||||||
Customers Bancorp, Inc.(a) | 800 | 28,656 | ||||||
CVB Financial Corp. | 3,600 | 82,548 | ||||||
Eagle Bancorp, Inc.(a) | 1,100 | 67,045 | ||||||
East West Bancorp, Inc. | 5,085 | 258,471 | ||||||
Enterprise Bancorp, Inc. | 278 | 10,442 | ||||||
Enterprise Financial Services Corp. | 700 | 30,100 | ||||||
Equity Bancshares, Inc. Class A(a) | 200 | 6,728 | ||||||
Farmers Capital Bank Corp. | 249 | 10,470 | ||||||
Farmers National Banc Corp. | 800 | 11,360 | ||||||
FB Financial Corp.(a) | 200 | 5,190 | ||||||
FCB Financial Holdings, Inc. Class A(a) | 1,082 | 51,611 | ||||||
Fidelity Southern Corp. | 700 | 16,569 | ||||||
Financial Institutions, Inc. | 500 | 17,100 | ||||||
First BanCorp(a) | 4,000 | 26,440 | ||||||
First Bancorp, Inc. | 300 | 9,930 | ||||||
First Bancorp/Southern Pines | 700 | 18,998 | ||||||
First Busey Corp. | 1,033 | 31,796 | ||||||
First Business Financial Services, Inc. | 300 | 7,116 | ||||||
First Citizens BancShares, Inc. Class A | 255 | 90,525 | ||||||
First Commonwealth Financial Corp. | 3,000 | 42,540 | ||||||
First Community Bancshares, Inc. | 500 | 15,070 | ||||||
First Community Financial Partners, Inc.(a) | 500 | 5,850 | ||||||
First Connecticut Bancorp, Inc. | 500 | 11,325 | ||||||
First Financial Bancorp | 2,100 | 59,745 | ||||||
First Financial Bankshares, Inc. | 2,251 | 101,745 | ||||||
First Financial Corp. | 400 | 21,120 | ||||||
First Financial Northwest, Inc. | 300 | 5,922 | ||||||
First Foundation, Inc.(a) | 400 | 11,400 | ||||||
First Hawaiian, Inc. | 900 | 31,338 | ||||||
First Horizon National Corp. | 8,115 | 162,381 | ||||||
First Internet Bancorp | 200 | 6,400 | ||||||
First Interstate BancSystem, Inc. Class A | 700 | 29,785 | ||||||
First Merchants Corp. | 1,378 | 51,882 | ||||||
First Mid-Illinois Bancshares, Inc. | 300 | 10,200 | ||||||
First Midwest Bancorp, Inc. | 2,800 | 70,644 | ||||||
First NBC Bank Holding Co.(a) | 500 | 3,650 | ||||||
First Northwest Bancorp(a) | 400 | 6,240 | ||||||
First of Long Island Corp. | 750 | 21,412 | ||||||
First Republic Bank | 5,166 | 475,995 | ||||||
Flushing Financial Corp. | 900 | 26,451 | ||||||
FNB Corp. | 7,237 | 116,009 | ||||||
Franklin Financial Network, Inc.(a) | 355 | 14,857 | ||||||
Fulton Financial Corp. | 6,000 | 112,800 | ||||||
German American Bancorp, Inc. | 543 | 28,567 | ||||||
Glacier Bancorp, Inc. | 2,600 | 94,198 | ||||||
Great Southern Bancorp, Inc. | 368 | 20,111 | ||||||
Great Western Bancorp, Inc. | 2,100 | 91,539 | ||||||
Green Bancorp, Inc.(a) | 700 | 10,640 | ||||||
Guaranty Bancorp | 700 | 16,940 | ||||||
Hancock Holding Co. | 2,700 | 116,370 | ||||||
Hanmi Financial Corp. | 1,100 | 38,390 | ||||||
HarborOne Bancorp, Inc.(a) | 500 | 9,670 | ||||||
Heartland Financial USA, Inc. | 800 | 38,400 | ||||||
Heritage Commerce Corp. | 900 | 12,987 | ||||||
Heritage Financial Corp. | 1,000 | 25,750 | ||||||
Heritage Oaks Bancorp | 800 | 9,864 | ||||||
Hilltop Holdings, Inc. | 2,600 | 77,480 | ||||||
Home BancShares, Inc. | 4,200 | 116,634 | ||||||
HomeTrust Bancshares, Inc.(a) | 600 | 15,540 | ||||||
Hope Bancorp, Inc. | 4,388 | 96,053 | ||||||
Horizon Bancorp | 600 | 16,800 | ||||||
IBERIABANK Corp. | 1,592 | 133,330 | ||||||
Independent Bank Corp.(b) | 933 | 65,730 | ||||||
Independent Bank Corp.(b) | 700 | 15,190 | ||||||
Independent Bank Group, Inc. | 351 | 21,902 | ||||||
International Bancshares Corp. | 1,952 | 79,642 | ||||||
Investors Bancorp, Inc. | 10,500 | 146,475 | ||||||
Lakeland Bancorp, Inc. | 1,300 | 25,350 | ||||||
Lakeland Financial Corp. | 828 | 39,214 | ||||||
LCNB Corp. | 300 | 6,975 | ||||||
LegacyTexas Financial Group, Inc. | 1,548 | 66,657 | ||||||
Live Oak Bancshares, Inc. | 700 | 12,950 | ||||||
Macatawa Bank Corp. | 900 | 9,369 | ||||||
MainSource Financial Group, Inc. | 770 | 26,488 | ||||||
MB Financial, Inc. | 2,600 | 122,798 | ||||||
MBT Financial Corp. | 600 | 6,810 | ||||||
Mercantile Bank Corp. | 500 | 18,850 | ||||||
Merchants Bancshares, Inc. | 251 | 13,604 |
See accompanying notes to financial statements.
74
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Banks – (continued) | ||||||||
Middleburg Financial Corp. | 200 | $ | 6,950 | |||||
Midland States Bancorp, Inc. | 200 | 7,236 | ||||||
MidWestOne Financial Group, Inc. | 251 | 9,438 | ||||||
MutualFirst Financial, Inc. | 200 | 6,620 | ||||||
National Bank Holdings Corp. Class A | 900 | 28,701 | ||||||
National Bankshares, Inc. | 237 | 10,298 | ||||||
National Commerce Corp.(a) | 263 | 9,770 | ||||||
NBT Bancorp, Inc. | 1,500 | 62,820 | ||||||
Nicolet Bankshares, Inc.(a) | 300 | 14,307 | ||||||
Northrim BanCorp, Inc. | 300 | 9,480 | ||||||
OFG Bancorp | 1,400 | 18,340 | ||||||
Old Line Bancshares, Inc. | 400 | 9,592 | ||||||
Old National Bancorp | 4,661 | 84,597 | ||||||
Old Second Bancorp, Inc. | 1,000 | 11,050 | ||||||
Opus Bank | 600 | 18,030 | ||||||
Orrstown Financial Services, Inc. | 200 | 4,480 | ||||||
Pacific Continental Corp. | 900 | 19,665 | ||||||
Pacific Mercantile Bancorp(a) | 900 | 6,570 | ||||||
Pacific Premier Bancorp, Inc.(a) | 900 | 31,815 | ||||||
PacWest Bancorp | 4,179 | 227,505 | ||||||
Park National Corp. | 459 | 54,924 | ||||||
Park Sterling Corp. | 1,700 | 18,343 | ||||||
Peapack Gladstone Financial Corp. | 500 | 15,440 | ||||||
Penns Woods Bancorp, Inc. | 147 | 7,424 | ||||||
People’s Utah Bancorp | 400 | 10,740 | ||||||
Peoples Bancorp, Inc. | 500 | 16,230 | ||||||
Peoples Financial Services Corp. | 239 | 11,639 | ||||||
Pinnacle Financial Partners, Inc. | 1,488 | 103,118 | ||||||
Popular, Inc. | 3,600 | 157,752 | ||||||
Preferred Bank | 400 | 20,968 | ||||||
Premier Financial Bancorp, Inc. | 330 | 6,633 | ||||||
PrivateBancorp, Inc. | 2,772 | 150,215 | ||||||
Prosperity Bancshares, Inc. | 2,374 | 170,406 | ||||||
QCR Holdings, Inc. | 400 | 17,320 | ||||||
Renasant Corp. | 1,461 | 61,683 | ||||||
Republic Bancorp, Inc. Class A | 300 | 11,862 | ||||||
Republic First Bancorp, Inc.(a) | 1,700 | 14,195 | ||||||
S&T Bancorp, Inc. | 1,153 | 45,013 | ||||||
Sandy Spring Bancorp, Inc. | 800 | 31,992 | ||||||
Seacoast Banking Corp. of Florida(a) | 1,000 | 22,060 | ||||||
ServisFirst Bancshares, Inc. | 1,600 | 59,904 | ||||||
Shore Bancshares, Inc. | 400 | 6,100 | ||||||
Sierra Bancorp | 400 | 10,636 | ||||||
Signature Bank(a) | 1,840 | 276,368 | ||||||
Simmons First National Corp. Class A | 1,000 | 62,150 | ||||||
South State Corp. | 838 | 73,241 | ||||||
Southern First Bancshares, Inc.(a) | 200 | 7,200 | ||||||
Southern National Bancorp of Virginia, Inc. | 400 | 6,536 | ||||||
Southside Bancshares, Inc. | 956 | 36,013 | ||||||
Southwest Bancorp, Inc. | 600 | 17,400 | ||||||
State Bank Financial Corp. | 1,200 | 32,232 | ||||||
Sterling Bancorp | 4,600 | 107,640 | ||||||
Stock Yards Bancorp, Inc. | 700 | 32,865 | ||||||
Stonegate Bank | 400 | 16,692 | ||||||
Suffolk Bancorp | 400 | 17,128 | ||||||
Summit Financial Group, Inc. | 300 | 8,259 | ||||||
Sun Bancorp, Inc. | 400 | 10,400 | ||||||
SVB Financial Group(a) | 1,804 | 309,675 | ||||||
Synovus Financial Corp. | 4,400 | 180,752 | ||||||
TCF Financial Corp. | 5,500 | 107,745 | ||||||
Texas Capital Bancshares, Inc.(a) | 1,746 | 136,886 | ||||||
Tompkins Financial Corp. | 493 | 46,608 | ||||||
Towne Bank | 1,900 | 63,175 | ||||||
TriCo Bancshares | 676 | 23,106 | ||||||
TriState Capital Holdings, Inc.(a) | 700 | 15,470 | ||||||
Triumph Bancorp, Inc.(a) | 500 | 13,075 | ||||||
Trustmark Corp. | 2,377 | 84,740 | ||||||
UMB Financial Corp. | 1,628 | 125,551 | ||||||
Umpqua Holdings Corp. | 7,887 | 148,118 | ||||||
Union Bankshares Corp. | 1,500 | 53,610 | ||||||
Union Bankshares, Inc./Morrisville | 100 | 4,545 | ||||||
United Bankshares, Inc. | 2,251 | 104,109 | ||||||
United Community Banks, Inc. | 2,385 | 70,644 | ||||||
Univest Corp. of Pennsylvania | 844 | 26,080 | ||||||
Valley National Bancorp | 8,600 | 100,104 | ||||||
Veritex Holdings, Inc.(a) | 300 | 8,013 | ||||||
Washington Trust Bancorp, Inc. | 513 | 28,754 | ||||||
WashingtonFirst Bankshares, Inc. | 315 | 9,132 | ||||||
Webster Financial Corp. | 3,200 | 173,696 | ||||||
WesBanco, Inc. | 1,442 | 62,093 | ||||||
West Bancorp, Inc. | 500 | 12,350 | ||||||
Westamerica Bancorporation | 885 | 55,693 | ||||||
Western Alliance Bancorp(a) | 3,296 | 160,548 | ||||||
Wintrust Financial Corp. | 1,828 | 132,658 | ||||||
Xenith Bankshares, Inc.(a) | 250 | 7,050 | ||||||
Yadkin Financial Corp. | 1,700 | 58,242 | ||||||
|
| |||||||
11,264,269 | ||||||||
|
| |||||||
Beverages – 0.1% | ||||||||
Boston Beer Co., Inc. Class A(a) | 291 | 49,426 | ||||||
Coca-Cola Bottling Co. Consolidated | 148 | 26,470 | ||||||
Craft Brew Alliance, Inc.(a) | 400 | 6,760 | ||||||
MGP Ingredients, Inc. | 400 | 19,992 | ||||||
National Beverage Corp. | 400 | 20,432 | ||||||
Primo Water Corp.(a) | 700 | 8,596 | ||||||
|
| |||||||
131,676 | ||||||||
|
| |||||||
Biotechnology – 3.8% | ||||||||
ACADIA Pharmaceuticals, Inc.(a) | 3,409 | 98,316 | ||||||
Acceleron Pharma, Inc.(a) | 1,000 | 25,520 | ||||||
Achillion Pharmaceuticals, Inc.(a) | 3,900 | 16,107 | ||||||
Acorda Therapeutics, Inc.(a) | 1,500 | 28,200 | ||||||
Adamas Pharmaceuticals, Inc.(a) | 600 | 10,140 | ||||||
Aduro Biotech, Inc.(a) | 1,154 | 13,156 | ||||||
Advaxis, Inc.(a) | 1,100 | 7,876 | ||||||
Adverum Biotechnologies, Inc.(a) | 1,400 | 4,060 | ||||||
Aevi Genomic Medicine, Inc.(a) | 1,300 | 6,734 | ||||||
Agenus, Inc.(a) | 2,400 | 9,888 | ||||||
Agios Pharmaceuticals, Inc.(a) | 1,068 | 44,568 | ||||||
Aimmune Therapeutics, Inc.(a) | 900 | 18,405 | ||||||
Akebia Therapeutics, Inc.(a) | 1,200 | 12,492 | ||||||
Alder Biopharmaceuticals, Inc.(a) | 1,552 | 32,282 | ||||||
Alkermes PLC(a) | 5,311 | 295,185 | ||||||
Alnylam Pharmaceuticals, Inc.(a) | 2,609 | 97,681 | ||||||
AMAG Pharmaceuticals, Inc.(a) | 1,200 | 41,760 | ||||||
Amicus Therapeutics, Inc.(a) | 4,841 | 24,060 |
See accompanying notes to financial statements.
75
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Biotechnology – (continued) | ||||||||
Anavex Life Sciences Corp.(a) | 1,100 | $ | 4,356 | |||||
Anthera Pharmaceuticals, Inc.(a) | 2,100 | 1,363 | ||||||
Applied Genetic Technologies Corp.(a) | 387 | 3,618 | ||||||
Aptevo Therapeutics, Inc.(a) | 550 | 1,342 | ||||||
Ardelyx, Inc.(a) | 1,100 | 15,620 | ||||||
Arena Pharmaceuticals, Inc.(a) | 8,200 | 11,644 | ||||||
Argos Therapeutics, Inc.(a) | 500 | 2,450 | ||||||
ARIAD Pharmaceuticals, Inc.(a) | 6,100 | 75,884 | ||||||
Array BioPharma, Inc.(a) | 5,683 | 49,954 | ||||||
Arrowhead Pharmaceuticals, Inc.(a) | 2,000 | 3,100 | ||||||
Asterias Biotherapeutics, Inc.(a) | 800 | 3,680 | ||||||
Atara Biotherapeutics, Inc.(a) | 800 | 11,360 | ||||||
Athersys, Inc.(a) | 2,600 | 3,978 | ||||||
Audentes Therapeutics, Inc.(a) | 200 | 3,654 | ||||||
Avexis, Inc.(a) | 200 | 9,546 | ||||||
Axovant Sciences, Ltd.(a) | 837 | 10,396 | ||||||
Bellicum Pharmaceuticals, Inc.(a) | 682 | 9,289 | ||||||
BioCryst Pharmaceuticals, Inc.(a) | 2,500 | 15,825 | ||||||
BioMarin Pharmaceutical, Inc.(a) | 6,077 | 503,419 | ||||||
BioSpecifics Technologies Corp.(a) | 226 | 12,588 | ||||||
BioTime, Inc.(a) | 2,100 | 7,581 | ||||||
Bluebird Bio, Inc.(a) | 1,448 | 89,342 | ||||||
Blueprint Medicines Corp.(a) | 700 | 19,635 | ||||||
Cara Therapeutics, Inc.(a) | 700 | 6,503 | ||||||
Celldex Therapeutics, Inc.(a) | 3,200 | 11,328 | ||||||
Cellular Biomedicine Group, Inc.(a) | 400 | 5,240 | ||||||
ChemoCentryx, Inc.(a) | 800 | 5,920 | ||||||
Chimerix, Inc.(a) | 1,397 | 6,426 | ||||||
Cidara Therapeutics, Inc.(a) | 400 | 4,160 | ||||||
Clovis Oncology, Inc.(a) | 1,080 | 47,974 | ||||||
Coherus Biosciences, Inc.(a) | 1,000 | 28,150 | ||||||
Concert Pharmaceuticals, Inc.(a) | 600 | 6,174 | ||||||
Curis, Inc.(a) | 3,700 | 11,396 | ||||||
Cytokinetics, Inc.(a) | 1,100 | 13,365 | ||||||
CytomX Therapeutics, Inc.(a) | 676 | 7,429 | ||||||
CytRx Corp.(a) | 657 | 245 | ||||||
Dimension Therapeutics, Inc.(a) | 100 | 435 | ||||||
Dynavax Technologies Corp.(a) | 1,338 | 5,285 | ||||||
Eagle Pharmaceuticals, Inc.(a) | 305 | 24,199 | ||||||
Edge Therapeutics, Inc.(a) | 800 | 10,000 | ||||||
Editas Medicine, Inc.(a) | 300 | 4,869 | ||||||
Emergent BioSolutions, Inc.(a) | 1,100 | 36,124 | ||||||
Enanta Pharmaceuticals, Inc.(a) | 500 | 16,750 | ||||||
Epizyme, Inc.(a) | 1,338 | 16,190 | ||||||
Esperion Therapeutics, Inc.(a) | 500 | 6,260 | ||||||
Exact Sciences Corp.(a) | 3,605 | 48,163 | ||||||
Exelixis, Inc.(a) | 7,909 | 117,923 | ||||||
FibroGen, Inc.(a) | 1,800 | 38,520 | ||||||
Five Prime Therapeutics, Inc.(a) | 947 | 47,454 | ||||||
Flexion Therapeutics, Inc.(a) | 900 | 17,118 | ||||||
Fortress Biotech, Inc.(a) | 2,100 | 5,670 | ||||||
Foundation Medicine, Inc.(a) | 500 | 8,850 | ||||||
Galena Biopharma, Inc.(a) | 110 | 213 | ||||||
Genomic Health, Inc.(a) | 600 | 17,634 | ||||||
Geron Corp.(a) | 5,083 | 10,522 | ||||||
Global Blood Therapeutics, Inc.(a) | 538 | 7,774 | ||||||
GlycoMimetics, Inc.(a) | 400 | 2,440 | ||||||
Halozyme Therapeutics, Inc.(a) | 3,652 | 36,082 | ||||||
Heron Therapeutics, Inc.(a) | 1,017 | 13,323 | ||||||
Idera Pharmaceuticals, Inc.(a) | 3,000 | 4,500 | ||||||
Ignyta, Inc.(a) | 1,000 | 5,300 | ||||||
Immune Design Corp.(a) | 500 | 2,750 | ||||||
ImmunoGen, Inc.(a) | 3,700 | 7,548 | ||||||
Immunomedics, Inc.(a) | 2,900 | 10,643 | ||||||
Incyte Corp.(a) | 5,772 | 578,758 | ||||||
Infinity Pharmaceuticals, Inc.(a) | 300 | 405 | ||||||
Inotek Pharmaceuticals Corp.(a) | 600 | 3,660 | ||||||
Inovio Pharmaceuticals, Inc.(a) | 2,211 | 15,344 | ||||||
Insmed, Inc.(a) | 2,033 | 26,897 | ||||||
Insys Therapeutics, Inc.(a) | 753 | 6,928 | ||||||
Intellia Therapeutics, Inc.(a) | 400 | 5,244 | ||||||
Intercept Pharmaceuticals, Inc.(a) | 574 | 62,365 | ||||||
Intrexon Corp.(a) | 1,941 | 47,166 | ||||||
Invitae Corp.(a) | 800 | 6,352 | ||||||
Ionis Pharmaceuticals, Inc.(a) | 4,273 | 204,378 | ||||||
Ironwood Pharmaceuticals, Inc.(a) | 4,500 | 68,805 | ||||||
Juno Therapeutics, Inc. (a) | 2,202 | 41,508 | ||||||
Karyopharm Therapeutics, Inc.(a) | 800 | 7,520 | ||||||
Keryx Biopharmaceuticals, Inc.(a) | 2,603 | 15,254 | ||||||
Kite Pharma, Inc.(a) | 1,373 | 61,565 | ||||||
La Jolla Pharmaceutical Co.(a) | 500 | 8,765 | ||||||
Lexicon Pharmaceuticals, Inc.(a) | 1,421 | 19,652 | ||||||
Ligand Pharmaceuticals, Inc.(a) | 740 | 75,191 | ||||||
Lion Biotechnologies, Inc.(a) | 2,100 | 14,595 | ||||||
Loxo Oncology, Inc.(a) | 477 | 15,319 | ||||||
MacroGenics, Inc.(a) | 1,100 | 22,484 | ||||||
MannKind Corp.(a) | 10,900 | 6,940 | ||||||
MediciNova, Inc.(a) | 1,000 | 6,030 | ||||||
Merrimack Pharmaceuticals, Inc.(a) | 4,105 | 16,748 | ||||||
MiMedx Group, Inc.(a) | 3,393 | 30,062 | ||||||
Minerva Neurosciences, Inc.(a) | 800 | 9,400 | ||||||
Mirati Therapeutics, Inc.(a) | 100 | 475 | ||||||
Momenta Pharmaceuticals, Inc.(a) | 2,200 | 33,110 | ||||||
Myovant Sciences, Ltd.(a) | 400 | 4,976 | ||||||
Myriad Genetics, Inc.(a) | 2,351 | 39,191 | ||||||
NantKwest, Inc.(a) | 200 | 1,144 | ||||||
Natera, Inc.(a) | 900 | 10,539 | ||||||
Neurocrine Biosciences, Inc.(a) | 2,985 | 115,519 | ||||||
NewLink Genetics Corp.(a) | 758 | 7,792 | ||||||
Novavax, Inc.(a) | 9,300 | 11,718 | ||||||
OncoMed Pharmaceuticals, Inc.(a) | 600 | 4,626 | ||||||
Ophthotech Corp.(a) | 1,054 | 5,091 | ||||||
OPKO Health, Inc.(a) | 11,323 | 105,304 | ||||||
Organovo Holdings, Inc.(a) | 2,900 | 9,831 | ||||||
Osiris Therapeutics, Inc.(a) | 1,200 | 5,892 | ||||||
Otonomy, Inc.(a) | 800 | 12,720 | ||||||
OvaScience, Inc.(a) | 1,100 | 1,683 | ||||||
PDL BioPharma, Inc. | 5,555 | 11,777 | ||||||
Pfenex, Inc.(a) | 600 | 5,442 | ||||||
PharmAthene, Inc.(a) | 2,100 | 6,825 | ||||||
Portola Pharmaceuticals, Inc.(a) | 1,641 | 36,824 | ||||||
Progenics Pharmaceuticals, Inc.(a) | 2,300 | 19,872 | ||||||
Protagonist Therapeutics, Inc.(a) | 300 | 6,597 | ||||||
Proteostasis Therapeutics, Inc.(a) | 200 | 2,452 | ||||||
Prothena Corp. PLC(a) | 1,200 | 59,028 | ||||||
PTC Therapeutics, Inc.(a) | 1,100 | 12,001 | ||||||
Puma Biotechnology, Inc.(a) | 962 | 29,533 | ||||||
Ra Pharmaceuticals, Inc.(a) | 300 | 4,557 | ||||||
Radius Health, Inc.(a) | 1,115 | 42,403 | ||||||
REGENXBIO, Inc.(a) | 700 | 12,985 | ||||||
Regulus Therapeutics, Inc.(a) | 2,100 | 4,725 |
See accompanying notes to financial statements.
76
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Biotechnology – (continued) | ||||||||
Repligen Corp.(a) | 1,300 | $ | 40,066 | |||||
Retrophin, Inc.(a) | 1,200 | 22,716 | ||||||
Rigel Pharmaceuticals, Inc.(a) | 3,100 | 7,378 | ||||||
Sage Therapeutics, Inc.(a) | 1,100 | 56,166 | ||||||
Sangamo BioSciences, Inc.(a) | 2,300 | 7,015 | ||||||
Sarepta Therapeutics, Inc.(a) | 1,682 | 46,137 | ||||||
Seattle Genetics, Inc.(a) | 3,400 | 179,418 | ||||||
Selecta Biosciences, Inc.(a) | 200 | 3,430 | ||||||
Seres Therapeutics, Inc.(a) | 646 | 6,395 | ||||||
Sorrento Therapeutics, Inc.(a) | 1,000 | 4,900 | ||||||
Spark Therapeutics, Inc.(a) | 642 | 32,036 | ||||||
Spectrum Pharmaceuticals, Inc.(a) | 2,600 | 11,518 | ||||||
Stemline Therapeutics, Inc.(a) | 600 | 6,420 | ||||||
Syndax Pharmaceuticals, Inc.(a) | 200 | 1,434 | ||||||
Synergy Pharmaceuticals, Inc.(a) | 6,100 | 37,149 | ||||||
Synthetic Biologics, Inc.(a) | 2,500 | 1,906 | ||||||
T2 Biosystems, Inc.(a) | 100 | 526 | ||||||
TESARO, Inc.(a) | 1,027 | 138,111 | ||||||
TG Therapeutics, Inc.(a) | 1,200 | 5,580 | ||||||
Tobira Therapeutics, Inc.(a)(c) | 200 | 2,748 | ||||||
Trevena, Inc.(a) | 1,500 | 8,820 | ||||||
Trovagene, Inc.(a) | 1,500 | 3,150 | ||||||
Ultragenyx Pharmaceutical, Inc.(a) | 1,265 | 88,942 | ||||||
United Therapeutics Corp.(a) | 1,545 | 221,599 | ||||||
Vanda Pharmaceuticals, Inc.(a) | 1,200 | 19,140 | ||||||
Versartis, Inc.(a) | 1,100 | 16,390 | ||||||
Vital Therapies, Inc.(a) | 800 | 3,480 | ||||||
Voyager Therapeutics, Inc.(a) | 400 | 5,096 | ||||||
XBiotech, Inc.(a) | 600 | 6,072 | ||||||
Xencor, Inc.(a) | 1,285 | 33,821 | ||||||
Zafgen, Inc.(a) | 800 | 2,544 | ||||||
ZIOPHARM Oncology, Inc.(a) | 4,100 | 21,935 | ||||||
|
| |||||||
5,376,908 | ||||||||
|
| |||||||
Building Products – 1.1% | ||||||||
AAON, Inc. | 1,400 | 46,270 | ||||||
Advanced Drainage Systems, Inc. | 1,200 | 24,720 | ||||||
American Woodmark Corp.(a) | 516 | 38,829 | ||||||
AO Smith Corp. | 5,116 | 242,243 | ||||||
Apogee Enterprises, Inc. | 1,009 | 54,042 | ||||||
Armstrong Flooring, Inc.(a) | 777 | 15,470 | ||||||
Armstrong World Industries, Inc.(a) | 1,655 | 69,179 | ||||||
Builders FirstSource, Inc.(a) | 2,800 | 30,716 | ||||||
Caesarstone, Ltd.(a) | 827 | 23,694 | ||||||
Continental Building Products, Inc.(a) | 1,200 | 27,720 | ||||||
CSW Industrials, Inc.(a) | 437 | 16,104 | ||||||
Gibraltar Industries, Inc.(a) | 1,100 | 45,815 | ||||||
Griffon Corp. | 1,000 | 26,200 | ||||||
Insteel Industries, Inc. | 600 | 21,384 | ||||||
Lennox International, Inc. | 1,393 | 213,366 | ||||||
Masonite International Corp.(a) | 1,093 | 71,919 | ||||||
NCI Building Systems, Inc.(a) | 928 | 14,523 | ||||||
Owens Corning | 4,036 | 208,096 | ||||||
Patrick Industries, Inc.(a) | 500 | 38,150 | ||||||
PGT Innovations, Inc.(a) | 1,600 | 18,320 | ||||||
Ply Gem Holdings, Inc.(a) | 700 | 11,375 | ||||||
Quanex Building Products Corp. | 1,168 | 23,710 | ||||||
Simpson Manufacturing Co., Inc. | 1,400 | 61,250 | ||||||
Trex Co., Inc.(a) | 1,000 | 64,400 | ||||||
Universal Forest Products, Inc. | 700 | 71,526 | ||||||
USG Corp.(a) | 3,000 | 86,640 | ||||||
|
| |||||||
1,565,661 | ||||||||
|
| |||||||
Capital Markets – 1.9% | ||||||||
Arlington Asset Investment Corp. Class A | 800 | 11,856 | ||||||
Artisan Partners Asset Management, Inc. Class A | 1,255 | 37,336 | ||||||
Associated Capital Group, Inc. Class A | 233 | 7,654 | ||||||
B. Riley Financial, Inc. | 300 | 5,535 | ||||||
BGC Partners, Inc. Class A | 7,700 | 78,771 | ||||||
Calamos Asset Management, Inc. Class A | 900 | 7,695 | ||||||
Cohen & Steers, Inc. | 709 | 23,822 | ||||||
Cowen Group, Inc. Class A(a) | 850 | 13,175 | ||||||
Diamond Hill Investment Group, Inc. | 102 | 21,459 | ||||||
Donnelley Financial Solutions, Inc.(a) | 912 | 20,958 | ||||||
Eaton Vance Corp. | 3,852 | 161,322 | ||||||
Evercore Partners, Inc. Class A | 1,343 | 92,264 | ||||||
FBR & Co. | 400 | 5,200 | ||||||
Federated Investors, Inc. Class B | 3,300 | 93,324 | ||||||
Financial Engines, Inc. | 1,866 | 68,576 | ||||||
GAMCO Investors, Inc. Class A | 133 | 4,108 | ||||||
Greenhill & Co., Inc. | 917 | 25,401 | ||||||
Hennessy Advisors, Inc. | 200 | 6,350 | ||||||
Houlihan Lokey, Inc. | 400 | 12,448 | ||||||
Interactive Brokers Group, Inc. Class A | 2,200 | 80,322 | ||||||
INTL. FCStone, Inc.(a) | 500 | 19,800 | ||||||
Investment Technology Group, Inc. | 1,100 | 21,714 | ||||||
Janus Capital Group, Inc. | 5,000 | 66,350 | ||||||
KCG Holdings, Inc. Class A(a) | 1,800 | 23,850 | ||||||
Ladenburg Thalmann Financial Services, Inc.(a) | 3,400 | 8,296 | ||||||
Lazard, Ltd. Class A | 4,502 | 184,987 | ||||||
Legg Mason, Inc. | 3,800 | 113,658 | ||||||
LPL Financial Holdings, Inc. | 3,150 | 110,912 | ||||||
Manning & Napier, Inc. | 500 | 3,775 | ||||||
Moelis & Co. Class A | 600 | 20,340 | ||||||
NorthStar Asset Management Group, Inc. | 6,400 | 95,488 | ||||||
OM Asset Management PLC | 1,300 | 18,850 | ||||||
Oppenheimer Holdings, Inc. Class A | 500 | 9,300 | ||||||
Piper Jaffray Cos.(a) | 500 | 36,250 | ||||||
PJT Partners, Inc. Class A | 569 | 17,571 | ||||||
Pzena Investment Management, Inc. | 800 | 8,888 | ||||||
Raymond James Financial, Inc. | 4,438 | 307,420 | ||||||
Safeguard Scientifics, Inc.(a) | 700 | 9,415 | ||||||
SEI Investments Co. | 4,525 | 223,354 | ||||||
Silvercrest Asset Management Group, Inc. Class A | 500 | 6,575 | ||||||
Stifel Financial Corp.(a) | 2,254 | 112,587 | ||||||
TD Ameritrade Holding Corp. | 8,787 | 383,113 | ||||||
Virtu Financial, Inc. Class A | 800 | 12,760 | ||||||
Virtus Investment Partners, Inc. | 201 | 23,728 |
See accompanying notes to financial statements.
77
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) | ||||||||
Capital Markets – (continued) | ||||||||
Waddell & Reed Financial, Inc. Class A | 2,839 | $ | 55,389 | |||||
Westwood Holdings Group, Inc. | 280 | 16,797 | ||||||
Wins Finance Holdings, Inc.(a) | 100 | 18,000 | ||||||
WisdomTree Investments, Inc. | 3,900 | 43,446 | ||||||
|
| |||||||
2,750,189 | ||||||||
|
| |||||||
Chemicals – 2.7% | ||||||||
A Schulman, Inc. | 990 | 33,115 | ||||||
AdvanSix, Inc.(a) | 1,100 | 24,354 | ||||||
AgroFresh Solutions, Inc.(a) | 700 | 1,855 | ||||||
American Vanguard Corp. | 952 | 18,231 | ||||||
Ashland Global Holdings, Inc. | 2,203 | 240,766 | ||||||
Axalta Coating Systems, Ltd.(a) | 5,802 | 157,814 | ||||||
Balchem Corp. | 1,100 | 92,312 | ||||||
Cabot Corp. | 2,188 | 110,582 | ||||||
Calgon Carbon Corp. | 1,700 | 28,900 | ||||||
Celanese Corp. Series A | 5,246 | 413,070 | ||||||
Chase Corp. | 273 | 22,809 | ||||||
Chemours Co. | 6,400 | 141,376 | ||||||
Chemtura Corp.(a) | 2,171 | 72,077 | ||||||
Codexis, Inc.(a) | 1,100 | 5,060 | ||||||
Ferro Corp.(a) | 2,809 | 40,253 | ||||||
Flotek Industries, Inc.(a) | 1,900 | 17,841 | ||||||
FutureFuel Corp. | 800 | 11,120 | ||||||
GCP Applied Technologies, Inc.(a) | 2,497 | 66,795 | ||||||
Hawkins, Inc. | 300 | 16,185 | ||||||
HB Fuller Co. | 1,799 | 86,910 | ||||||
Huntsman Corp. | 7,100 | 135,468 | ||||||
Ingevity Corp.(a) | 1,538 | 84,375 | ||||||
Innophos Holdings, Inc. | 700 | 36,582 | ||||||
Innospec, Inc. | 817 | 55,964 | ||||||
KMG Chemicals, Inc. | 300 | 11,667 | ||||||
Koppers Holdings, Inc.(a) | 700 | 28,210 | ||||||
Kraton Corp.(a) | 1,000 | 28,480 | ||||||
Kronos Worldwide, Inc. | 800 | 9,552 | ||||||
LSB Industries, Inc.(a) | 700 | 5,894 | ||||||
Minerals Technologies, Inc. | 1,243 | 96,022 | ||||||
NewMarket Corp. | 253 | 107,232 | ||||||
Olin Corp. | 5,700 | 145,977 | ||||||
OMNOVA Solutions, Inc.(a) | 1,400 | 14,000 | ||||||
Platform Specialty Products Corp.(a) | 6,600 | 64,746 | ||||||
PolyOne Corp. | 2,859 | 91,602 | ||||||
Quaker Chemical Corp. | 426 | 54,502 | ||||||
Rayonier Advanced Materials, Inc. | 1,400 | 21,644 | ||||||
RPM International, Inc. | 4,585 | 246,811 | ||||||
Scotts Miracle-Gro Co. Class A | 1,567 | 149,727 | ||||||
Sensient Technologies Corp. | 1,533 | 120,463 | ||||||
Stepan Co. | 682 | 55,569 | ||||||
TerraVia Holdings, Inc.(a) | 2,600 | 2,990 | ||||||
Trecora Resources(a) | 700 | 9,695 | ||||||
Tredegar Corp. | 807 | 19,368 | ||||||
Trinseo SA | 974 | 57,758 | ||||||
Tronox, Ltd. Class A | 2,169 | 22,362 | ||||||
Valhi, Inc. | 900 | 3,114 | ||||||
Valspar Corp. | 2,785 | 288,554 | ||||||
Valvoline, Inc. | 1,200 | 25,800 | ||||||
Westlake Chemical Corp. | 1,380 | 77,266 | ||||||
WR Grace & Co. | 2,476 | 167,477 | ||||||
|
| |||||||
3,840,296 | ||||||||
|
| |||||||
Commercial Services & Supplies – 1.7% |
| |||||||
ABM Industries, Inc. | 1,900 | 77,596 | ||||||
ACCO Brands Corp.(a) | 3,916 | 51,104 | ||||||
Advanced Disposal Services, Inc.(a) | 800 | 17,776 | ||||||
Aqua Metals, Inc.(a) | 600 | 7,866 | ||||||
ARC Document Solutions, Inc.(a) | 1,400 | 7,112 | ||||||
Brady Corp. Class A | 1,600 | 60,080 | ||||||
Brink’s Co. | 1,554 | 64,103 | ||||||
Casella Waste Systems, Inc. Class A(a) | 1,300 | 16,133 | ||||||
CECO Environmental Corp. | 956 | 13,336 | ||||||
Clean Harbors, Inc.(a) | 1,844 | 102,619 | ||||||
Copart, Inc.(a) | 3,438 | 190,500 | ||||||
Covanta Holding Corp. | 4,100 | 63,960 | ||||||
Deluxe Corp. | 1,681 | 120,376 | ||||||
Ennis, Inc. | 900 | 15,615 | ||||||
Essendant, Inc. | 1,249 | 26,104 | ||||||
G&K Services, Inc. Class A | 691 | 66,647 | ||||||
Healthcare Services Group, Inc. | 2,465 | 96,554 | ||||||
Heritage-Crystal Clean, Inc.(a) | 400 | 6,280 | ||||||
Herman Miller, Inc. | 2,100 | 71,820 | ||||||
HNI Corp. | 1,589 | 88,857 | ||||||
InnerWorkings, Inc.(a) | 1,300 | 12,805 | ||||||
Interface, Inc. | 2,200 | 40,810 | ||||||
KAR Auction Services, Inc. | 4,873 | 207,687 | ||||||
Kimball International, Inc. Class B | 1,200 | 21,072 | ||||||
Knoll, Inc. | 1,790 | 49,995 | ||||||
LSC Communications, Inc. | 912 | 27,068 | ||||||
Matthews International Corp. Class A | 1,131 | 86,917 | ||||||
McGrath RentCorp | 800 | 31,352 | ||||||
Mobile Mini, Inc. | 1,500 | 45,375 | ||||||
MSA Safety, Inc. | 1,079 | 74,807 | ||||||
Multi-Color Corp. | 521 | 40,430 | ||||||
NL Industries, Inc.(a) | 600 | 4,890 | ||||||
Quad/Graphics, Inc. | 1,000 | 26,880 | ||||||
Rollins, Inc. | 3,363 | 113,602 | ||||||
RR Donnelley & Sons Co. | 2,433 | 39,707 | ||||||
SP Plus Corp.(a) | 600 | 16,890 | ||||||
Steelcase, Inc. Class A | 2,900 | 51,910 | ||||||
Team, Inc.(a) | 1,000 | 39,250 | ||||||
Tetra Tech, Inc. | 2,000 | 86,300 | ||||||
TRC Cos., Inc.(a) | 600 | 6,360 | ||||||
UniFirst Corp. | 508 | 72,974 | ||||||
US Ecology, Inc. | 796 | 39,123 | ||||||
Viad Corp. | 654 | 28,841 | ||||||
VSE Corp. | 280 | 10,875 | ||||||
West Corp. | 1,473 | 36,472 | ||||||
|
| |||||||
2,376,830 | ||||||||
|
| |||||||
Communications Equipment – 1.7% |
| |||||||
ADTRAN, Inc. | 1,900 | 42,465 | ||||||
Aerohive Networks, Inc.(a) | 1,200 | 6,840 | ||||||
Applied Optoelectronics, Inc.(a) | 600 | 14,064 | ||||||
Arista Networks, Inc.(a) | 1,435 | 138,865 | ||||||
ARRIS International PLC(a) | 6,630 | 199,762 | ||||||
Bel Fuse, Inc. Class B | 300 | 9,270 | ||||||
Black Box Corp. | 500 | 7,625 | ||||||
Brocade Communications Systems, Inc. | 14,181 | 177,121 |
See accompanying notes to financial statements.
78
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Communications Equipment – (continued) |
| |||||||
CalAmp Corp.(a) | 1,200 | $ | 17,400 | |||||
Calix, Inc.(a) | 1,400 | 10,780 | ||||||
Ciena Corp.(a) | 4,900 | 119,609 | ||||||
Clearfield, Inc.(a) | 400 | 8,280 | ||||||
CommScope Holding Co., Inc.(a) | 4,534 | 168,665 | ||||||
Comtech Telecommunications Corp. | 800 | 9,480 | ||||||
Digi International, Inc.(a) | 900 | 12,375 | ||||||
EchoStar Corp. Class A(a) | 1,621 | 83,303 | ||||||
EMCORE Corp. | 1,300 | 11,310 | ||||||
Extreme Networks, Inc.(a) | 3,500 | 17,605 | ||||||
Finisar Corp.(a) | 3,800 | 115,026 | ||||||
Harmonic, Inc.(a) | 2,600 | 13,000 | ||||||
Infinera Corp.(a) | 4,700 | 39,903 | ||||||
InterDigital, Inc. | 1,238 | 113,091 | ||||||
Ixia(a) | 2,200 | 35,420 | ||||||
KVH Industries, Inc.(a) | 766 | 9,039 | ||||||
Lumentum Holdings, Inc.(a) | 1,800 | 69,570 | ||||||
NETGEAR, Inc.(a) | 1,100 | 59,785 | ||||||
NetScout Systems, Inc.(a) | 3,200 | 100,800 | ||||||
Oclaro, Inc.(a) | 3,800 | 34,010 | ||||||
Palo Alto Networks, Inc.(a) | 3,093 | 386,780 | ||||||
Plantronics, Inc. | 1,148 | 62,864 | ||||||
Quantenna Communications, Inc.(a) | 200 | 3,626 | ||||||
ShoreTel, Inc.(a) | 2,290 | 16,374 | ||||||
Silicom, Ltd. | 200 | 8,218 | ||||||
Sonus Networks, Inc.(a) | 1,600 | 10,080 | ||||||
Ubiquiti Networks, Inc.(a) | 900 | 52,020 | ||||||
ViaSat, Inc.(a) | 1,811 | 119,924 | ||||||
Viavi Solutions, Inc.(a) | 8,300 | 67,894 | ||||||
|
| |||||||
2,372,243 | ||||||||
|
| |||||||
Construction & Engineering – 0.8% |
| |||||||
AECOM(a) | 5,410 | 196,708 | ||||||
Aegion Corp.(a) | 1,200 | 28,440 | ||||||
Ameresco, Inc. Class A(a) | 1,200 | 6,600 | ||||||
Argan, Inc. | 500 | 35,275 | ||||||
Chicago Bridge & Iron Co. NV | 3,657 | 116,110 | ||||||
Comfort Systems USA, Inc. | 1,243 | 41,392 | ||||||
Dycom Industries, Inc.(a) | 1,038 | 83,341 | ||||||
EMCOR Group, Inc. | 2,107 | 149,091 | ||||||
Granite Construction, Inc. | 1,356 | 74,580 | ||||||
Great Lakes Dredge & Dock Corp.(a) | 2,000 | 8,400 | ||||||
HC2 Holdings, Inc.(a) | 1,100 | 6,523 | ||||||
IES Holdings, Inc.(a) | 300 | 5,745 | ||||||
KBR, Inc. | 5,000 | 83,450 | ||||||
Layne Christensen Co.(a) | 600 | 6,522 | ||||||
MasTec, Inc.(a) | 2,300 | 87,975 | ||||||
MYR Group, Inc.(a) | 600 | 22,608 | ||||||
NV5 Global, Inc.(a) | 200 | 6,680 | ||||||
Orion Group Holdings, Inc.(a) | 900 | 8,955 | ||||||
Primoris Services Corp. | 1,386 | 31,573 | ||||||
Tutor Perini Corp.(a) | 1,300 | 36,400 | ||||||
Valmont Industries, Inc. | 777 | 109,479 | ||||||
|
| |||||||
1,145,847 | ||||||||
|
| |||||||
Construction Materials – 0.2% | ||||||||
Eagle Materials, Inc. | 1,682 | 165,727 | ||||||
Forterra, Inc.(a) | 600 | 12,996 | ||||||
Headwaters, Inc.(a) | 2,600 | 61,152 | ||||||
Summit Materials, Inc. Class A(a) | 2,634 | 62,669 | ||||||
United States Lime & Minerals, Inc. | 100 | 7,575 | ||||||
US Concrete, Inc.(a) | 540 | 35,370 | ||||||
|
| |||||||
345,489 | ||||||||
|
| |||||||
Consumer Finance – 0.7% | ||||||||
Ally Financial, Inc. | 15,761 | 299,774 | ||||||
Credit Acceptance Corp.(a) | 284 | 61,773 | ||||||
Encore Capital Group, Inc.(a) | 792 | 22,691 | ||||||
Enova International, Inc.(a) | 900 | 11,295 | ||||||
EZCORP, Inc. Class A(a) | 1,700 | 18,105 | ||||||
Firstcash, Inc. | 1,678 | 78,866 | ||||||
Green Dot Corp. Class A(a) | 1,400 | 32,970 | ||||||
LendingClub Corp.(a) | 11,333 | 59,498 | ||||||
Nelnet, Inc. Class A | 714 | 36,235 | ||||||
OneMain Holdings, Inc.(a) | 1,862 | 41,225 | ||||||
PRA Group, Inc. (a) | 1,614 | 63,107 | ||||||
Regional Management Corp.(a) | 400 | 10,512 | ||||||
Santander Consumer USA Holdings, Inc.(a) | 3,600 | 48,600 | ||||||
SLM Corp.(a) | 14,900 | 164,198 | ||||||
World Acceptance Corp.(a) | 185 | 11,892 | ||||||
|
| |||||||
960,741 | ||||||||
|
| |||||||
Containers & Packaging – 1.2% | ||||||||
AEP Industries, Inc. | 121 | 14,048 | ||||||
AptarGroup, Inc. | 2,184 | 160,415 | ||||||
Bemis Co., Inc. | 3,340 | 159,719 | ||||||
Berry Plastics Group, Inc.(a) | 4,222 | 205,738 | ||||||
Crown Holdings, Inc.(a) | 4,752 | 249,813 | ||||||
Graphic Packaging Holding Co. | 11,342 | 141,548 | ||||||
Greif, Inc. Class A | 900 | 46,179 | ||||||
Greif, Inc. Class B | 200 | 13,510 | ||||||
Multi Packaging Solutions International, Ltd.(a) | 700 | 9,982 | ||||||
Myers Industries, Inc. | 700 | 10,010 | ||||||
Owens-Illinois, Inc.(a) | 5,800 | 100,978 | ||||||
Packaging Corp. of America | 3,297 | 279,652 | ||||||
Silgan Holdings, Inc. | 1,384 | 70,833 | ||||||
Sonoco Products Co. | 3,495 | 184,186 | ||||||
UFP Technologies, Inc.(a) | 200 | 5,090 | ||||||
|
| |||||||
1,651,701 | ||||||||
|
| |||||||
Distributors – 0.2% | ||||||||
Core-Mark Holding Co., Inc. | 1,552 | 66,844 | ||||||
Pool Corp. | 1,467 | 153,067 | ||||||
Weyco Group, Inc. | 243 | 7,606 | ||||||
|
| |||||||
227,517 | ||||||||
|
| |||||||
Diversified Consumer Services – 0.8% |
| |||||||
American Public Education, Inc.(a) | 500 | 12,275 | ||||||
Apollo Education Group, Inc.(a) | 2,904 | 28,749 | ||||||
Ascent Capital Group, Inc. Class A(a) | 300 | 4,878 | ||||||
Bridgepoint Education, Inc.(a) | 1,000 | 10,130 | ||||||
Bright Horizons Family Solutions, Inc.(a) | 1,542 | 107,971 | ||||||
Cambium Learning Group, Inc.(a) | 500 | 2,495 | ||||||
Capella Education Co. | 400 | 35,120 | ||||||
Career Education Corp.(a) | 2,200 | 22,198 | ||||||
Carriage Services, Inc. | 500 | 14,320 |
See accompanying notes to financial statements.
79
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Diversified Consumer Services – (continued) |
| |||||||
Chegg, Inc.(a) | 2,700 | $ | 19,926 | |||||
Collectors Universe, Inc. | 400 | 8,492 | ||||||
DeVry Education Group, Inc. | 2,300 | 71,760 | ||||||
Graham Holdings Co. Class B | 147 | 75,257 | ||||||
Grand Canyon Education, Inc.(a) | 1,606 | 93,871 | ||||||
Houghton Mifflin Harcourt Co.(a) | 4,200 | 45,570 | ||||||
K12, Inc.(a) | 1,100 | 18,876 | ||||||
Liberty Tax, Inc. | 400 | 5,360 | ||||||
LifeLock, Inc.(a) | 2,900 | 69,368 | ||||||
Regis Corp.(a) | 1,207 | 17,525 | ||||||
Service Corp. International | 6,600 | 187,440 | ||||||
ServiceMaster Global Holdings, Inc.(a) | 4,770 | 179,686 | ||||||
Sotheby’s | 1,800 | 71,748 | ||||||
Strayer Education, Inc.(a) | 414 | 33,381 | ||||||
Weight Watchers International, Inc.(a) | 900 | 10,305 | ||||||
|
| |||||||
1,146,701 | ||||||||
|
| |||||||
Diversified Financial Services – 0.9% |
| |||||||
CBOE Holdings, Inc. | 2,904 | 214,577 | ||||||
FactSet Research Systems, Inc. | 1,403 | 229,292 | ||||||
FNFV Group(a) | 2,200 | 30,140 | ||||||
GAIN Capital Holdings, Inc. | 1,200 | 7,896 | ||||||
MarketAxess Holdings, Inc. | 1,286 | 188,939 | ||||||
Marlin Business Services Corp. | 400 | 8,360 | ||||||
Morningstar, Inc. | 692 | 50,904 | ||||||
MSCI, Inc. | 3,262 | 256,980 | ||||||
NewStar Financial, Inc.(a) | 800 | 7,400 | ||||||
On Deck Capital, Inc.(a) | 1,600 | 7,408 | ||||||
PICO Holdings, Inc.(a) | 700 | 10,605 | ||||||
Tiptree Financial, Inc. Class A | 900 | 5,535 | ||||||
Voya Financial, Inc. | 7,150 | 280,423 | ||||||
|
| |||||||
1,298,459 | ||||||||
|
| |||||||
Diversified Telecommunication Services – 0.8% |
| |||||||
8x8, Inc.(a) | 3,000 | 42,900 | ||||||
ATN International, Inc. | 399 | 31,972 | ||||||
Cincinnati Bell, Inc.(a) | 1,413 | 31,581 | ||||||
Cogent Communications Holdings, Inc. | 1,396 | 57,725 | ||||||
Consolidated Communications Holdings, Inc. | 1,700 | 45,645 | ||||||
FairPoint Communications, Inc.(a) | 700 | 13,090 | ||||||
General Communication, Inc. Class A(a) | 1,000 | 19,450 | ||||||
Globalstar, Inc.(a) | 12,500 | 19,750 | ||||||
Hawaiian Telcom Holdco, Inc.(a) | 200 | 4,956 | ||||||
IDT Corp. Class B | 600 | 11,124 | ||||||
Inteliquent, Inc. | 1,100 | 25,212 | ||||||
Intelsat SA(a) | 1,047 | 2,795 | ||||||
Iridium Communications, Inc.(a) | 2,719 | 26,102 | ||||||
Lumos Networks Corp.(a) | 600 | 9,372 | ||||||
ORBCOMM, Inc.(a) | 2,200 | 18,194 | ||||||
pdvWireless, Inc.(a) | 300 | 6,765 | ||||||
SBA Communications Corp. Class A(a) | 4,462 | 460,746 | ||||||
Straight Path Communications, Inc. Class B(a) | 300 | 10,173 | ||||||
Vonage Holdings Corp.(a) | 6,400 | 43,840 | ||||||
Windstream Holdings, Inc. | 3,258 | 23,881 | ||||||
Zayo Group Holdings, Inc.(a) | 5,753 | 189,044 | ||||||
|
| |||||||
1,094,317 | ||||||||
|
| |||||||
Electric Utilities – 1.2% | ||||||||
ALLETE, Inc. | 1,782 | 114,387 | ||||||
Avangrid, Inc. | 2,100 | 79,548 | ||||||
El Paso Electric Co. | 1,363 | 63,379 | ||||||
Empire District Electric Co. | 1,500 | 51,135 | ||||||
Genie Energy, Ltd. Class B(a) | 900 | 5,175 | ||||||
Great Plains Energy, Inc. | 7,563 | 206,848 | ||||||
Hawaiian Electric Industries, Inc. | 3,755 | 124,178 | ||||||
IDACORP, Inc. | 1,784 | 143,701 | ||||||
MGE Energy, Inc. | 1,262 | 82,409 | ||||||
OGE Energy Corp. | 6,983 | 233,581 | ||||||
Otter Tail Corp. | 1,276 | 52,061 | ||||||
PNM Resources, Inc. | 2,851 | 97,789 | ||||||
Portland General Electric Co. | 3,083 | 133,586 | ||||||
Spark Energy, Inc. Class A | 100 | 3,030 | ||||||
Westar Energy, Inc. | 5,014 | 282,539 | ||||||
|
| |||||||
1,673,346 | ||||||||
|
| |||||||
Electrical Equipment – 0.6% |
| |||||||
Allied Motion Technologies, Inc. | 362 | 7,743 | ||||||
American Superconductor Corp.(a) | 700 | 5,159 | ||||||
Atkore International Group, Inc.(a) | 400 | 9,564 | ||||||
AZZ, Inc. | 940 | 60,066 | ||||||
Babcock & Wilcox Enterprises, Inc.(a) | 1,487 | 24,670 | ||||||
Encore Wire Corp. | 654 | 28,351 | ||||||
Energous Corp.(a) | 500 | 8,425 | ||||||
EnerSys | 1,580 | 123,398 | ||||||
FuelCell Energy, Inc.(a) | 1,316 | 2,303 | ||||||
Generac Holdings, Inc.(a) | 2,249 | 91,624 | ||||||
General Cable Corp. | 1,600 | 30,480 | ||||||
Hubbell, Inc. | 1,986 | 231,766 | ||||||
LSI Industries, Inc. | 800 | 7,792 | ||||||
Plug Power, Inc.(a) | 6,100 | 7,320 | ||||||
Powell Industries, Inc. | 300 | 11,700 | ||||||
Power Solutions International, Inc.(a) | 300 | 2,250 | ||||||
Preformed Line Products Co. | 100 | 5,812 | ||||||
Regal Beloit Corp. | 1,533 | 106,160 | ||||||
Sunrun, Inc.(a) | 2,100 | 11,151 | ||||||
Thermon Group Holdings, Inc.(a) | 1,100 | 20,999 | ||||||
TPI Composites, Inc.(a) | 200 | 3,208 | ||||||
Vicor Corp.(a) | 570 | 8,607 | ||||||
|
| |||||||
808,548 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 2.8% |
| |||||||
Agilysys, Inc.(a) | 557 | 5,771 | ||||||
Anixter International, Inc.(a) | 986 | 79,915 | ||||||
Arrow Electronics, Inc.(a) | 3,212 | 229,016 | ||||||
Avnet, Inc. | 4,530 | 215,673 | ||||||
AVX Corp. | 1,600 | 25,008 | ||||||
Badger Meter, Inc. | 1,076 | 39,758 | ||||||
Belden, Inc. | 1,513 | 113,127 | ||||||
Benchmark Electronics, Inc.(a) | 1,680 | 51,240 | ||||||
CDW Corp. | 5,761 | 300,091 | ||||||
Cognex Corp. | 2,866 | 182,335 | ||||||
Coherent, Inc.(a) | 832 | 114,304 | ||||||
Control4 Corp.(a) | 712 | 7,262 | ||||||
CTS Corp. | 1,000 | 22,400 |
See accompanying notes to financial statements.
80
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Electronic Equipment, Instruments & Components – (continued) |
| |||||||
Daktronics, Inc. | 1,245 | $ | 13,322 | |||||
Dolby Laboratories, Inc. Class A | 1,779 | 80,393 | ||||||
Electro Scientific Industries, Inc.(a) | 900 | 5,328 | ||||||
ePlus, Inc.(a) | 212 | 24,422 | ||||||
Fabrinet(a) | 1,200 | 48,360 | ||||||
FARO Technologies, Inc.(a) | 600 | 21,600 | ||||||
Fitbit, Inc. Class A(a) | 4,409 | 32,274 | ||||||
II-VI, Inc.(a) | 2,084 | 61,791 | ||||||
Insight Enterprises, Inc.(a) | 1,252 | 50,631 | ||||||
InvenSense, Inc.(a) | 2,775 | 35,492 | ||||||
IPG Photonics Corp.(a) | 1,296 | 127,928 | ||||||
Itron, Inc.(a) | 1,150 | 72,278 | ||||||
Jabil Circuit, Inc. | 6,500 | 153,855 | ||||||
Keysight Technologies, Inc.(a) | 6,061 | 221,651 | ||||||
Kimball Electronics, Inc.(a) | 944 | 17,181 | ||||||
Knowles Corp.(a) | 2,968 | 49,595 | ||||||
Littelfuse, Inc. | 755 | 114,586 | ||||||
Maxwell Technologies, Inc.(a) | 1,100 | 5,632 | ||||||
Mesa Laboratories, Inc. | 128 | 15,712 | ||||||
Methode Electronics, Inc. | 1,249 | 51,646 | ||||||
MTS Systems Corp. | 543 | 30,788 | ||||||
National Instruments Corp. | 3,693 | 113,818 | ||||||
Novanta, Inc.(a) | 1,100 | 23,100 | ||||||
OSI Systems, Inc.(a) | 675 | 51,381 | ||||||
Park Electrochemical Corp. | 600 | 11,190 | ||||||
PC Connection, Inc. | 400 | 11,236 | ||||||
Plexus Corp.(a) | 1,200 | 64,848 | ||||||
Radisys Corp.(a) | 1,200 | 5,316 | ||||||
Rogers Corp.(a) | 621 | 47,699 | ||||||
Sanmina Corp.(a) | 2,510 | 91,992 | ||||||
ScanSource, Inc.(a) | 909 | 36,678 | ||||||
SYNNEX Corp. | 1,007 | 121,867 | ||||||
Systemax, Inc. | 700 | 6,139 | ||||||
Tech Data Corp.(a) | 1,239 | 104,919 | ||||||
Trimble, Inc.(a) | 8,978 | 270,687 | ||||||
TTM Technologies, Inc.(a) | 2,400 | 32,712 | ||||||
Universal Display Corp.(a) | 1,484 | 83,549 | ||||||
VeriFone Systems, Inc.(a) | 3,728 | 66,097 | ||||||
Vishay Intertechnology, Inc. | 4,800 | 77,760 | ||||||
Vishay Precision Group, Inc.(a) | 400 | 7,560 | ||||||
Zebra Technologies Corp. Class A(a) | 1,878 | 161,057 | ||||||
|
| |||||||
4,009,970 | ||||||||
|
| |||||||
Energy Equipment & Services – 1.3% |
| |||||||
Archrock, Inc. | 2,300 | 30,360 | ||||||
Atwood Oceanics, Inc. | 2,000 | 26,260 | ||||||
Bristow Group, Inc. | 1,100 | 22,528 | ||||||
CARBO Ceramics, Inc.(a) | 631 | 6,600 | ||||||
Dawson Geophysical Co.(a) | 700 | 5,628 | ||||||
Diamond Offshore Drilling, Inc. | 2,300 | 40,710 | ||||||
Dril-Quip, Inc.(a) | 1,375 | 82,569 | ||||||
Ensco PLC Class A | 10,700 | 104,004 | ||||||
Era Group, Inc.(a) | 700 | 11,879 | ||||||
Exterran Corp.(a) | 1,100 | 26,290 | ||||||
Fairmount Santrol Holdings, Inc.(a) | 3,100 | 36,549 | ||||||
Forum Energy Technologies, Inc.(a) | 2,039 | 44,858 | ||||||
Frank’s International NV | 1,200 | 14,772 | ||||||
Geospace Technologies Corp.(a) | 400 | 8,144 | ||||||
Helix Energy Solutions Group, Inc.(a) | 3,809 | 33,595 | ||||||
Hornbeck Offshore Services, Inc.(a) | 1,100 | 7,942 | ||||||
Independence Contract Drilling, Inc.(a) | 1,500 | 10,050 | ||||||
Mammoth Energy Services, Inc.(a) | 300 | 4,560 | ||||||
Matrix Service Co.(a) | 900 | 20,430 | ||||||
McDermott International, Inc.(a) | 8,900 | 65,771 | ||||||
Nabors Industries, Ltd. | 9,687 | 158,867 | ||||||
Natural Gas Services Group, Inc.(a) | 400 | 12,860 | ||||||
Newpark Resources, Inc.(a) | 2,800 | 21,000 | ||||||
Noble Corp. PLC | 8,200 | 48,544 | ||||||
Oceaneering International, Inc. | 3,481 | 98,199 | ||||||
Oil States International, Inc.(a) | 1,767 | 68,913 | ||||||
Parker Drilling Co.(a) | 4,000 | 10,400 | ||||||
Patterson-UTI Energy, Inc. | 5,000 | 134,600 | ||||||
PHI, Inc. NVDR(a) | 400 | 7,208 | ||||||
Pioneer Energy Services Corp.(a) | 2,600 | 17,810 | ||||||
RigNet, Inc.(a) | 400 | 9,260 | ||||||
Rowan Cos. PLC Class A | 4,312 | 81,454 | ||||||
RPC, Inc. | 1,932 | 38,273 | ||||||
SEACOR Holdings, Inc.(a) | 568 | 40,487 | ||||||
Seadrill, Ltd.(a) | 12,683 | 43,249 | ||||||
Smart Sand, Inc.(a) | 400 | 6,620 | ||||||
Superior Energy Services, Inc. | 5,300 | 89,464 | ||||||
Tesco Corp. | 1,600 | 13,200 | ||||||
TETRA Technologies, Inc.(a) | 3,518 | 17,660 | ||||||
Tidewater, Inc. | 1,600 | 5,456 | ||||||
Unit Corp.(a) | 1,748 | 46,969 | ||||||
US Silica Holdings, Inc. | 2,588 | 146,688 | ||||||
Weatherford International PLC(a) | 33,936 | 169,340 | ||||||
Willbros Group, Inc.(a) | 1,400 | 4,536 | ||||||
|
| |||||||
1,894,556 | ||||||||
|
| |||||||
Equity Real Estate Investment Trusts (reits) – 0.1% |
| |||||||
CoreCivic, Inc. REIT | 4,025 | 98,451 | ||||||
MedEquities Realty Trust, Inc. REIT | 700 | 7,770 | ||||||
Quality Care Properties, Inc. REIT(a) | 3,200 | 49,600 | ||||||
|
| |||||||
155,821 | ||||||||
|
| |||||||
Food & Staples Retailing – 0.7% | ||||||||
Andersons, Inc. | 885 | 39,560 | ||||||
Casey’s General Stores, Inc. | 1,372 | 163,103 | ||||||
Chefs’ Warehouse, Inc.(a) | 600 | 9,480 | ||||||
Ingles Markets, Inc. Class A | 500 | 24,050 | ||||||
Natural Grocers by Vitamin Cottage, Inc.(a) | 300 | 3,567 | ||||||
Performance Food Group Co.(a) | 1,257 | 30,168 | ||||||
PriceSmart, Inc. | 691 | 57,698 | ||||||
Rite Aid Corp.(a) | 36,110 | 297,546 | ||||||
Smart & Final Stores, Inc.(a) | 795 | 11,210 | ||||||
SpartanNash Co. | 1,300 | 51,402 | ||||||
Sprouts Farmers Market, Inc.(a) | 4,875 | 92,235 | ||||||
SUPERVALU, Inc.(a) | 8,900 | 41,563 | ||||||
United Natural Foods, Inc.(a) | 1,748 | 83,415 | ||||||
US Foods Holding Corp.(a) | 1,528 | 41,989 | ||||||
Village Super Market, Inc. Class A | 269 | 8,312 | ||||||
Weis Markets, Inc. | 315 | 21,055 | ||||||
|
| |||||||
976,353 | ||||||||
|
|
See accompanying notes to financial statements.
81
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Food Products – 2.1% | ||||||||
AdvancePierre Foods Holdings, Inc. | 800 | $ | 23,824 | |||||
Alico, Inc. | 200 | 5,430 | ||||||
Amplify Snack Brands, Inc.(a) | 947 | 8,343 | ||||||
B&G Foods, Inc. | 2,300 | 100,740 | ||||||
Blue Buffalo Pet Products, Inc.(a) | 2,192 | 52,696 | ||||||
Bunge, Ltd. | 4,934 | 356,432 | ||||||
Cal-Maine Foods, Inc. | 1,100 | 48,593 | ||||||
Calavo Growers, Inc. | 542 | 33,279 | ||||||
Darling Ingredients, Inc.(a) | 5,700 | 73,587 | ||||||
Dean Foods Co. | 3,100 | 67,518 | ||||||
Farmer Brothers Co.(a) | 250 | 9,175 | ||||||
Flowers Foods, Inc. | 6,031 | 120,439 | ||||||
Fresh Del Monte Produce, Inc. | 1,134 | 68,754 | ||||||
Freshpet, Inc.(a) | 700 | 7,105 | ||||||
Hain Celestial Group, Inc.(a) | 3,579 | 139,688 | ||||||
Ingredion, Inc. | 2,601 | 325,021 | ||||||
Inventure Foods, Inc.(a) | 600 | 5,910 | ||||||
J&J Snack Foods Corp. | 505 | 67,382 | ||||||
John B Sanfilippo & Son, Inc. | 278 | 19,568 | ||||||
Lamb Weston Holdings, Inc.(a) | 5,100 | 193,035 | ||||||
Lancaster Colony Corp. | 632 | 89,358 | ||||||
Landec Corp.(a) | 900 | 12,420 | ||||||
Lifeway Foods, Inc.(a) | 200 | 2,302 | ||||||
Limoneira Co. | 400 | 8,604 | ||||||
Omega Protein Corp.(a) | 771 | 19,314 | ||||||
Pilgrim’s Pride Corp. | 2,000 | 37,980 | ||||||
Pinnacle Foods, Inc. | 4,100 | 219,145 | ||||||
Post Holdings, Inc.(a) | 2,326 | 186,987 | ||||||
Sanderson Farms, Inc. | 673 | 63,424 | ||||||
Seaboard Corp.(a) | 9 | 35,568 | ||||||
Seneca Foods Corp. Class A(a) | 249 | 9,972 | ||||||
Snyder’s-Lance, Inc. | 2,772 | 106,279 | ||||||
Tootsie Roll Industries, Inc. | 606 | 24,089 | ||||||
TreeHouse Foods, Inc.(a) | 1,939 | 139,976 | ||||||
WhiteWave Foods Co.(a) | 6,162 | 342,607 | ||||||
|
| |||||||
3,024,544 | ||||||||
|
| |||||||
Gas Utilities – 1.0% | ||||||||
Atmos Energy Corp. | 3,598 | 266,792 | ||||||
Chesapeake Utilities Corp. | 538 | 36,019 | ||||||
Delta Natural Gas Co., Inc. | 300 | 8,799 | ||||||
National Fuel Gas Co. | 2,607 | 147,660 | ||||||
New Jersey Resources Corp. | 3,103 | 110,156 | ||||||
Northwest Natural Gas Co. | 960 | 57,408 | ||||||
ONE Gas, Inc. | 1,787 | 114,297 | ||||||
South Jersey Industries, Inc. | 2,785 | 93,827 | ||||||
Southwest Gas Corp. | 1,659 | 127,113 | ||||||
Spire, Inc. | 1,539 | 99,342 | ||||||
UGI Corp. | 6,082 | 280,259 | ||||||
WGL Holdings, Inc. | 1,783 | 136,007 | ||||||
|
| |||||||
1,477,679 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 2.8% |
| |||||||
Abaxis, Inc. | 800 | 42,216 | ||||||
Abiomed, Inc.(a) | 1,402 | 157,977 | ||||||
Accuray, Inc.(a) | 2,700 | 12,420 | ||||||
Alere, Inc.(a) | 3,099 | 120,768 | ||||||
Align Technology, Inc.(a) | 2,584 | 248,400 | ||||||
Analogic Corp. | 412 | 34,175 | ||||||
AngioDynamics, Inc.(a) | 900 | 15,183 | ||||||
Anika Therapeutics, Inc.(a) | 447 | 21,885 | ||||||
AtriCure, Inc.(a) | 1,100 | 21,527 | ||||||
Atrion Corp. | 46 | 23,331 | ||||||
Avinger, Inc.(a) | 600 | 2,220 | ||||||
AxoGen, Inc.(a) | 800 | 7,200 | ||||||
Cantel Medical Corp. | 1,240 | 97,650 | ||||||
Cardiovascular Systems, Inc.(a) | 1,050 | 25,421 | ||||||
Cerus Corp.(a) | 3,400 | 14,790 | ||||||
ConforMIS, Inc.(a) | 1,200 | 9,720 | ||||||
CONMED Corp. | 1,001 | 44,214 | ||||||
CryoLife, Inc. | 1,100 | 21,065 | ||||||
Cutera, Inc.(a) | 600 | 10,410 | ||||||
Cynosure, Inc. Class A(a) | 826 | 37,666 | ||||||
DexCom, Inc.(a) | 2,913 | 173,906 | ||||||
Endologix, Inc.(a) | 2,723 | 15,576 | ||||||
Entellus Medical, Inc.(a) | 300 | 5,691 | ||||||
Exactech, Inc.(a) | 300 | 8,190 | ||||||
GenMark Diagnostics, Inc.(a) | 1,800 | 22,032 | ||||||
Glaukos Corp.(a) | 568 | 19,482 | ||||||
Globus Medical, Inc. Class A(a) | 2,358 | 58,502 | ||||||
Haemonetics Corp.(a) | 1,866 | 75,013 | ||||||
Halyard Health, Inc.(a) | 1,600 | 59,168 | ||||||
Hill-Rom Holdings, Inc. | 2,358 | 132,378 | ||||||
ICU Medical, Inc.(a) | 494 | 72,791 | ||||||
IDEXX Laboratories, Inc.(a) | 3,138 | 367,993 | ||||||
Inogen, Inc.(a) | 600 | 40,302 | ||||||
Insulet Corp.(a) | 2,000 | 75,360 | ||||||
Integer Holdings Corp.(a) | 1,183 | 34,839 | ||||||
Integra LifeSciences Holdings Corp.(a) | 1,077 | 92,396 | ||||||
Invacare Corp. | 1,100 | 14,355 | ||||||
InVivo Therapeutics Holdings Corp.(a) | 1,100 | 4,620 | ||||||
iRadimed Corp.(a) | 100 | 1,110 | ||||||
iRhythm Technologies, Inc.(a) | 200 | 6,000 | ||||||
IRIDEX Corp.(a) | 300 | 4,218 | ||||||
K2M Group Holdings, Inc.(a) | 900 | 18,036 | ||||||
LeMaitre Vascular, Inc. | 500 | 12,670 | ||||||
Masimo Corp.(a) | 1,430 | 96,382 | ||||||
Meridian Bioscience, Inc. | 1,400 | 24,780 | ||||||
Merit Medical Systems, Inc.(a) | 1,500 | 39,750 | ||||||
Natus Medical, Inc.(a) | 1,134 | 39,463 | ||||||
Neogen Corp.(a) | 1,241 | 81,906 | ||||||
Nevro Corp.(a) | 846 | 61,470 | ||||||
Novocure, Ltd.(a) | 1,655 | 12,992 | ||||||
NuVasive, Inc.(a) | 1,780 | 119,901 | ||||||
NxStage Medical, Inc.(a) | 2,200 | 57,662 | ||||||
OraSure Technologies, Inc.(a) | 1,800 | 15,804 | ||||||
Orthofix International NV(a) | 586 | 21,202 | ||||||
Oxford Immunotec Global PLC(a) | 700 | 10,465 | ||||||
Penumbra, Inc.(a) | 878 | 56,016 | ||||||
Quidel Corp.(a) | 900 | 19,278 | ||||||
ResMed, Inc. | 4,958 | 307,644 | ||||||
Rockwell Medical, Inc.(a) | 1,600 | 10,480 | ||||||
RTI Surgical, Inc.(a) | 1,900 | 6,175 | ||||||
Second Sight Medical Products, Inc.(a) | 116 | 229 | ||||||
Senseonics Holdings, Inc.(a) | 200 | 534 | ||||||
Spectranetics Corp.(a) | 1,422 | 34,839 | ||||||
STAAR Surgical Co.(a) | 1,300 | 14,105 | ||||||
Surmodics, Inc.(a) | 400 | 10,160 |
See accompanying notes to financial statements.
82
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Health Care Equipment & Supplies – (continued) |
| |||||||
Tandem Diabetes Care, Inc.(a) | 600 | $ | 1,290 | |||||
Teleflex, Inc. | 1,531 | 246,721 | ||||||
TransEnterix, Inc.(a) | 2,400 | 3,120 | ||||||
Utah Medical Products, Inc. | 137 | 9,967 | ||||||
Vascular Solutions, Inc.(a) | 600 | 33,660 | ||||||
Veracyte, Inc.(a) | 500 | 3,870 | ||||||
West Pharmaceutical Services, Inc. | 2,587 | 219,455 | ||||||
Wright Medical Group NV(a) | 3,709 | 85,233 | ||||||
Zeltiq Aesthetics, Inc.(a) | 1,200 | 52,224 | ||||||
|
| |||||||
3,979,643 | ||||||||
|
| |||||||
Health Care Providers & Services – 1.6% |
| |||||||
AAC Holdings, Inc.(a) | 300 | 2,172 | ||||||
Acadia Healthcare Co., Inc.(a) | 2,499 | 82,717 | ||||||
Aceto Corp. | 1,000 | 21,970 | ||||||
Addus HomeCare Corp.(a) | 267 | 9,358 | ||||||
Adeptus Health, Inc. Class A(a) | 468 | 3,576 | ||||||
Air Methods Corp.(a) | 1,255 | 39,972 | ||||||
Almost Family, Inc.(a) | 285 | 12,569 | ||||||
Amedisys, Inc.(a) | 1,005 | 42,843 | ||||||
American Renal Associates Holdings, Inc.(a) | 300 | 6,384 | ||||||
AMN Healthcare Services, Inc.(a) | 1,648 | 63,366 | ||||||
BioScrip, Inc.(a) | 3,300 | 3,432 | ||||||
BioTelemetry, Inc.(a) | 900 | 20,115 | ||||||
Brookdale Senior Living, Inc.(a) | 6,660 | 82,717 | ||||||
Capital Senior Living Corp.(a) | 900 | 14,445 | ||||||
Chemed Corp. | 559 | 89,669 | ||||||
Civitas Solutions, Inc.(a) | 500 | 9,950 | ||||||
Community Health Systems, Inc.(a) | 3,667 | 20,499 | ||||||
CorVel Corp.(a) | 294 | 10,760 | ||||||
Cross Country Healthcare, Inc.(a) | 1,100 | 17,171 | ||||||
Diplomat Pharmacy, Inc.(a) | 1,563 | 19,694 | ||||||
Ensign Group, Inc. | 1,570 | 34,870 | ||||||
Genesis Healthcare, Inc.(a) | 1,300 | 5,525 | ||||||
HealthEquity, Inc.(a) | 1,463 | 59,281 | ||||||
HealthSouth Corp. | 3,100 | 127,844 | ||||||
Healthways, Inc.(a) | 1,100 | 25,025 | ||||||
Kindred Healthcare, Inc. | 2,800 | 21,980 | ||||||
Landauer, Inc. | 300 | 14,430 | ||||||
LHC Group, Inc.(a) | 500 | 22,850 | ||||||
LifePoint Health, Inc.(a) | 1,412 | 80,202 | ||||||
Magellan Health, Inc.(a) | 862 | 64,865 | ||||||
MEDNAX, Inc.(a) | 3,279 | 218,578 | ||||||
Molina Healthcare, Inc.(a) | 1,554 | 84,320 | ||||||
National HealthCare Corp. | 400 | 30,316 | ||||||
National Research Corp. Class A | 300 | 5,700 | ||||||
Nobilis Health Corp.(a) | 1,900 | 3,990 | ||||||
Owens & Minor, Inc. | 2,138 | 75,450 | ||||||
PharMerica Corp.(a) | 1,000 | 25,150 | ||||||
Premier, Inc. Class A(a) | 1,545 | 46,906 | ||||||
Providence Service Corp.(a) | 400 | 15,220 | ||||||
Quorum Health Corp.(a) | 966 | 7,023 | ||||||
RadNet, Inc.(a) | 1,200 | 7,740 | ||||||
Select Medical Holdings Corp.(a) | 3,600 | 47,700 | ||||||
Surgery Partners, Inc.(a) | 600 | 9,510 | ||||||
Surgical Care Affiliates, Inc.(a) | 909 | 42,059 | ||||||
Team Health Holdings, Inc.(a) | 2,329 | 101,195 | ||||||
Teladoc, Inc.(a) | 692 | 11,418 | ||||||
Tenet Healthcare Corp.(a) | 2,769 | 41,092 | ||||||
Triple-S Management Corp. Class B(a) | 789 | 16,332 | ||||||
Universal American Corp.(a) | 1,900 | 18,905 | ||||||
US Physical Therapy, Inc. | 400 | 28,080 | ||||||
VCA, Inc.(a) | 2,791 | 191,602 | ||||||
WellCare Health Plans, Inc.(a) | 1,629 | 223,303 | ||||||
|
| |||||||
2,281,840 | ||||||||
|
| |||||||
Health Care Technology – 0.5% |
| |||||||
Allscripts Healthcare Solutions, Inc.(a) | 6,500 | 66,365 | ||||||
athenahealth, Inc.(a) | 1,372 | 144,293 | ||||||
Castlight Health, Inc. Class B(a) | 1,400 | 6,930 | ||||||
Computer Programs & Systems, Inc. | 413 | 9,747 | ||||||
Cotiviti Holdings, Inc.(a) | 400 | 13,760 | ||||||
Evolent Health, Inc. Class A(a) | 500 | 7,400 | ||||||
HealthStream, Inc.(a) | 900 | 22,545 | ||||||
HMS Holdings Corp.(a) | 2,941 | 53,408 | ||||||
Inovalon Holdings, Inc. Class A(a) | 2,000 | 20,600 | ||||||
Medidata Solutions, Inc.(a) | 1,959 | 97,303 | ||||||
NantHealth, Inc.(a) | 200 | 1,988 | ||||||
Omnicell, Inc.(a) | 1,264 | 42,850 | ||||||
Quality Systems, Inc. | 1,700 | 22,355 | ||||||
Tabula Rasa HealthCare, Inc.(a) | 400 | 5,992 | ||||||
Veeva Systems, Inc. Class A(a) | 3,321 | 135,165 | ||||||
Vocera Communications, Inc.(a) | 834 | 15,421 | ||||||
|
| |||||||
666,122 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 4.2% |
| |||||||
Aramark | 8,625 | 308,085 | ||||||
Belmond, Ltd. Class A(a) | 2,800 | 37,380 | ||||||
Biglari Holdings, Inc.(a) | 36 | 17,035 | ||||||
BJ’s Restaurants, Inc.(a) | 800 | 31,440 | ||||||
Bloomin’ Brands, Inc. | 3,900 | 70,317 | ||||||
Bob Evans Farms, Inc. | 700 | 37,247 | ||||||
Bojangles’, Inc.(a) | 300 | 5,595 | ||||||
Boyd Gaming Corp.(a) | 2,800 | 56,476 | ||||||
Brinker International, Inc. | 1,930 | 95,593 | ||||||
Buffalo Wild Wings, Inc.(a) | 655 | 101,132 | ||||||
Caesars Acquisition Co. Class A(a) | 1,600 | 21,600 | ||||||
Caesars Entertainment Corp.(a) | 1,900 | 16,150 | ||||||
Carrols Restaurant Group, Inc.(a) | 1,200 | 18,300 | ||||||
Century Casinos, Inc.(a) | 700 | 5,761 | ||||||
Cheesecake Factory, Inc. | 1,555 | 93,113 | ||||||
Choice Hotels International, Inc. | 1,149 | 64,402 | ||||||
Churchill Downs, Inc. | 456 | 68,605 | ||||||
Chuy’s Holdings, Inc.(a) | 500 | 16,225 | ||||||
ClubCorp Holdings, Inc. | 2,200 | 31,570 | ||||||
Cracker Barrel Old Country Store, Inc. | 664 | 110,875 | ||||||
Dave & Buster’s Entertainment, Inc.(a) | 1,348 | 75,892 | ||||||
Del Frisco’s Restaurant Group, Inc.(a) | 800 | 13,600 | ||||||
Del Taco Restaurants, Inc.(a) | 800 | 11,296 | ||||||
Denny’s Corp.(a) | 2,500 | 32,075 | ||||||
DineEquity, Inc. | 595 | 45,815 | ||||||
Domino’s Pizza, Inc. | 1,739 | 276,918 | ||||||
Dunkin’ Brands Group, Inc. | 3,280 | 172,003 | ||||||
El Pollo Loco Holdings, Inc.(a) | 700 | 8,610 | ||||||
Eldorado Resorts, Inc.(a) | 1,000 | 16,950 |
See accompanying notes to financial statements.
83
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Hotels, Restaurants & Leisure – (continued) |
| |||||||
Empire Resorts, Inc.(a) | 100 | $ | 2,275 | |||||
Extended Stay America, Inc. | 2,500 | 40,375 | ||||||
Fiesta Restaurant Group, Inc.(a) | 899 | 26,835 | ||||||
Golden Entertainment, Inc. | 300 | 3,633 | ||||||
Habit Restaurants, Inc. Class A(a) | 500 | 8,625 | ||||||
Hilton Worldwide Holdings, Inc. | 18,417 | 500,942 | ||||||
Hyatt Hotels Corp. Class A(a) | 1,129 | 62,389 | ||||||
ILG, Inc. | 3,999 | 72,662 | ||||||
International Game Technology PLC | 3,400 | 86,768 | ||||||
International Speedway Corp. Class A | 906 | 33,341 | ||||||
Intrawest Resorts Holdings, Inc.(a) | 500 | 8,925 | ||||||
Isle of Capri Casinos, Inc.(a) | 800 | 19,752 | ||||||
J Alexander’s Holdings, Inc.(a) | 769 | 8,267 | ||||||
Jack in the Box, Inc. | 1,123 | 125,372 | ||||||
Jamba, Inc.(a) | 200 | 2,060 | ||||||
Kona Grill, Inc.(a) | 300 | 3,765 | ||||||
La Quinta Holdings, Inc.(a) | 2,800 | 39,788 | ||||||
Las Vegas Sands Corp. | 12,903 | 689,149 | ||||||
Lindblad Expeditions Holdings, Inc.(a) | 500 | 4,725 | ||||||
Luby’s, Inc.(a) | 1,200 | 5,136 | ||||||
Marcus Corp. | 600 | 18,900 | ||||||
Marriott Vacations Worldwide Corp. | 768 | 65,165 | ||||||
MGM Resorts International(a) | 16,795 | 484,200 | ||||||
Monarch Casino & Resort, Inc.(a) | 400 | 10,312 | ||||||
Nathan’s Famous, Inc.(a) | 100 | 6,490 | ||||||
Noodles & Co.(a) | 100 | 410 | ||||||
Norwegian Cruise Line Holdings, Ltd.(a) | 5,626 | 239,274 | ||||||
Panera Bread Co. Class A(a) | 775 | 158,945 | ||||||
Papa John’s International, Inc. | 988 | 84,553 | ||||||
Penn National Gaming, Inc.(a) | 2,500 | 34,475 | ||||||
Pinnacle Entertainment, Inc.(a) | 1,900 | 27,550 | ||||||
Planet Fitness, Inc. Class A | 900 | 18,090 | ||||||
Popeyes Louisiana Kitchen, Inc.(a) | 717 | 43,364 | ||||||
Potbelly Corp.(a) | 800 | 10,320 | ||||||
Red Lion Hotels Corp.(a) | 500 | 4,175 | ||||||
Red Robin Gourmet Burgers, Inc.(a) | 436 | 24,590 | ||||||
Red Rock Resorts, Inc. Class A | 986 | 22,865 | ||||||
Ruby Tuesday, Inc.(a) | 2,000 | 6,460 | ||||||
Ruth’s Hospitality Group, Inc. | 1,100 | 20,130 | ||||||
Scientific Games Corp. Class A(a) | 1,700 | 23,800 | ||||||
SeaWorld Entertainment, Inc. | 2,290 | 43,350 | ||||||
Shake Shack, Inc. Class A(a) | 530 | 18,969 | ||||||
Six Flags Entertainment Corp. | 2,488 | 149,181 | ||||||
Sonic Corp. | 1,570 | 41,621 | ||||||
Speedway Motorsports, Inc. | 400 | 8,668 | ||||||
Texas Roadhouse, Inc. | 2,355 | 113,605 | ||||||
Vail Resorts, Inc. | 1,362 | 219,704 | ||||||
Wendy’s Co. | 7,327 | 99,061 | ||||||
Wingstop, Inc. | 570 | 16,866 | ||||||
Yum China Holdings, Inc.(a) | 12,400 | 323,888 | ||||||
Zoe’s Kitchen, Inc.(a) | 600 | 14,394 | ||||||
|
| |||||||
5,958,219 | ||||||||
|
| |||||||
Household Durables – 1.0% | ||||||||
Bassett Furniture Industries, Inc. | 300 | 9,120 | ||||||
Beazer Homes USA, Inc.(a) | 1,100 | 14,630 | ||||||
CalAtlantic Group, Inc. | 2,566 | 87,270 | ||||||
Cavco Industries, Inc.(a) | 288 | 28,757 | ||||||
Century Communities, Inc.(a) | 500 | 10,500 | ||||||
CSS Industries, Inc. | 300 | 8,121 | ||||||
Ethan Allen Interiors, Inc. | 800 | 29,480 | ||||||
Flexsteel Industries, Inc. | 200 | 12,334 | ||||||
GoPro, Inc. Class A(a) | 3,300 | 28,743 | ||||||
Green Brick Partners, Inc.(a) | 800 | 8,040 | ||||||
Helen of Troy, Ltd.(a) | 972 | 82,085 | ||||||
Hooker Furniture Corp. | 400 | 15,180 | ||||||
Hovnanian Enterprises, Inc. Class A(a) | 4,100 | 11,193 | ||||||
Installed Building Products, Inc.(a) | 700 | 28,910 | ||||||
iRobot Corp.(a) | 900 | 52,605 | ||||||
KB Home | 2,800 | 44,268 | ||||||
La-Z-Boy, Inc. | 1,833 | 56,915 | ||||||
LGI Homes, Inc.(a) | 500 | 14,365 | ||||||
Libbey, Inc. | 742 | 14,439 | ||||||
Lifetime Brands, Inc. | 400 | 7,100 | ||||||
M/I Homes, Inc.(a) | 800 | 20,144 | ||||||
MDC Holdings, Inc. | 1,365 | 35,026 | ||||||
Meritage Homes Corp.(a) | 1,458 | 50,738 | ||||||
NACCO Industries, Inc. Class A | 141 | 12,768 | ||||||
New Home Co., Inc.(a) | 400 | 4,684 | ||||||
NVR, Inc.(a) | 122 | 203,618 | ||||||
Taylor Morrison Home Corp. Class A(a) | 1,000 | 19,260 | ||||||
Tempur Sealy International, Inc.(a) | 1,849 | 126,250 | ||||||
Toll Brothers, Inc.(a) | 5,483 | 169,973 | ||||||
TopBuild Corp.(a) | 1,452 | 51,691 | ||||||
TRI Pointe Group, Inc.(a) | 5,383 | 61,797 | ||||||
Tupperware Brands Corp. | 1,781 | 93,716 | ||||||
UCP, Inc. Class A(a) | 300 | 3,615 | ||||||
Universal Electronics, Inc.(a) | 539 | 34,792 | ||||||
WCI Communities, Inc.(a) | 700 | 16,415 | ||||||
William Lyon Homes Class A(a) | 800 | 15,224 | ||||||
ZAGG, Inc.(a) | 900 | 6,390 | ||||||
|
| |||||||
1,490,156 | ||||||||
|
| |||||||
Household Products – 0.3% | ||||||||
Central Garden & Pet Co.(a) | 300 | 9,927 | ||||||
Central Garden & Pet Co. Class A(a) | 1,100 | 33,990 | ||||||
Energizer Holdings, Inc. | 2,112 | 94,216 | ||||||
HRG Group, Inc.(a) | 4,000 | 62,240 | ||||||
Oil-Dri Corp. of America | 148 | 5,655 | ||||||
Orchids Paper Products Co. | 260 | 6,807 | ||||||
Spectrum Brands Holdings, Inc. | 860 | 105,204 | ||||||
WD-40 Co. | 480 | 56,112 | ||||||
|
| |||||||
374,151 | ||||||||
|
| |||||||
Independent Power Producers & Energy Traders – 0.3% |
| |||||||
Atlantic Power Corp. | 4,100 | 10,250 | ||||||
Atlantica Yield PLC | 2,000 | 38,700 | ||||||
Calpine Corp.(a) | 12,754 | 145,778 | ||||||
Dynegy, Inc.(a) | 4,484 | 37,935 | ||||||
NRG Yield, Inc. Class A | 1,200 | 18,432 | ||||||
NRG Yield, Inc. Class C | 2,100 | 33,180 | ||||||
Ormat Technologies, Inc. | 1,342 | 71,958 |
See accompanying notes to financial statements.
84
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Independent Power Producers & Energy Traders – (continued) |
| |||||||
Pattern Energy Group, Inc. | 2,300 | $ | 43,677 | |||||
TerraForm Global, Inc. Class A(a) | 3,100 | 12,245 | ||||||
TerraForm Power, Inc. Class A(a) | 3,100 | 39,711 | ||||||
Vivint Solar, Inc.(a) | 100 | 255 | ||||||
|
| |||||||
452,121 | ||||||||
|
| |||||||
Industrial Conglomerates – 0.2% |
| |||||||
Carlisle Cos., Inc. | 2,251 | 248,263 | ||||||
Raven Industries, Inc. | 1,200 | 30,240 | ||||||
|
| |||||||
278,503 | ||||||||
|
| |||||||
Insurance – 4.5% | ||||||||
Alleghany Corp.(a) | 518 | 315,006 | ||||||
Allied World Assurance Co. Holdings AG | 3,069 | 164,836 | ||||||
Ambac Financial Group, Inc.(a) | 1,500 | 33,750 | ||||||
American Equity Investment Life Holding Co. | 2,968 | 66,899 | ||||||
American Financial Group, Inc. | 2,459 | 216,687 | ||||||
American National Insurance Co. | 271 | 33,769 | ||||||
AMERISAFE, Inc. | 681 | 42,460 | ||||||
AmTrust Financial Services, Inc. | 3,070 | 84,057 | ||||||
Arch Capital Group, Ltd.(a) | 4,046 | 349,129 | ||||||
Argo Group International Holdings, Ltd. | 1,010 | 66,559 | ||||||
Aspen Insurance Holdings, Ltd. | 2,088 | 114,840 | ||||||
Assured Guaranty, Ltd. | 4,719 | 178,237 | ||||||
Atlas Financial Holdings, Inc.(a) | 400 | 7,220 | ||||||
Axis Capital Holdings, Ltd. | 3,216 | 209,908 | ||||||
Baldwin & Lyons, Inc. Class B | 300 | 7,560 | ||||||
Blue Capital Reinsurance Holdings, Ltd. | 300 | 5,535 | ||||||
Brown & Brown, Inc. | 4,153 | 186,304 | ||||||
Citizens, Inc.(a) | 1,600 | 15,712 | ||||||
CNA Financial Corp. | 899 | 37,308 | ||||||
CNO Financial Group, Inc. | 6,408 | 122,713 | ||||||
Crawford & Co. Class B | 291 | 3,655 | ||||||
Donegal Group, Inc. Class A | 300 | 5,244 | ||||||
eHealth, Inc.(a) | 600 | 6,390 | ||||||
EMC Insurance Group, Inc. | 300 | 9,003 | ||||||
Employers Holdings, Inc. | 1,100 | 43,560 | ||||||
Endurance Specialty Holdings, Ltd. | 2,324 | 214,738 | ||||||
Enstar Group, Ltd.(a) | 383 | 75,719 | ||||||
Erie Indemnity Co. Class A | 838 | 94,233 | ||||||
Everest Re Group, Ltd. | 1,460 | 315,944 | ||||||
FBL Financial Group, Inc. Class A | 378 | 29,541 | ||||||
Federated National Holding Co. | 400 | 7,476 | ||||||
Fidelity & Guaranty Life | 400 | 9,480 | ||||||
First American Financial Corp. | 3,848 | 140,952 | ||||||
FNF Group | 9,320 | 316,507 | ||||||
Genworth Financial, Inc. Class A(a) | 17,400 | 66,294 | ||||||
Global Indemnity, Ltd.(a) | 254 | 9,705 | ||||||
Greenlight Capital Re, Ltd. Class A(a) | 1,000 | 22,800 | ||||||
Hallmark Financial Services, Inc.(a) | 741 | 8,618 | ||||||
Hanover Insurance Group, Inc. | 1,526 | 138,881 | ||||||
HCI Group, Inc. | 245 | 9,673 | ||||||
Heritage Insurance Holdings, Inc. | 900 | 14,103 | ||||||
Horace Mann Educators Corp. | 1,400 | 59,920 | ||||||
Independence Holding Co. | 200 | 3,910 | ||||||
Infinity Property & Casualty Corp. | 367 | 32,259 | ||||||
Investors Title Co. | 100 | 15,818 | ||||||
James River Group Holdings, Ltd. | 500 | 20,775 | ||||||
Kemper Corp. | 1,383 | 61,267 | ||||||
Kinsale Capital Group, Inc. | 200 | 6,802 | ||||||
Maiden Holdings, Ltd. | 2,400 | 41,880 | ||||||
Markel Corp.(a) | 476 | 430,542 | ||||||
MBIA, Inc.(a) | 4,400 | 47,080 | ||||||
Mercury General Corp. | 937 | 56,417 | ||||||
National General Holdings Corp. | 1,599 | 39,959 | ||||||
National Western Life Group, Inc. Class A | 77 | 23,932 | ||||||
Navigators Group, Inc. | 396 | 46,629 | ||||||
Old Republic International Corp. | 8,422 | 160,018 | ||||||
OneBeacon Insurance Group, Ltd. Class A | 700 | 11,235 | ||||||
Patriot National, Inc.(a) | 100 | 465 | ||||||
Primerica, Inc. | 1,677 | 115,964 | ||||||
ProAssurance Corp. | 1,842 | 103,520 | ||||||
Reinsurance Group of America, Inc. | 2,230 | 280,601 | ||||||
RenaissanceRe Holdings, Ltd. | 1,473 | 200,652 | ||||||
RLI Corp. | 1,305 | 82,385 | ||||||
Safety Insurance Group, Inc. | 538 | 39,651 | ||||||
Selective Insurance Group, Inc. | 2,000 | 86,100 | ||||||
State Auto Financial Corp. | 500 | 13,405 | ||||||
State National Cos., Inc. | 1,000 | 13,860 | ||||||
Stewart Information Services Corp. | 749 | 34,514 | ||||||
Third Point Reinsurance, Ltd.(a) | 2,200 | 25,410 | ||||||
Trupanion, Inc.(a) | 469 | 7,279 | ||||||
United Fire Group, Inc. | 798 | 39,238 | ||||||
United Insurance Holdings Corp. | 600 | 9,084 | ||||||
Universal Insurance Holdings, Inc. | 1,100 | 31,240 | ||||||
Validus Holdings, Ltd. | 2,692 | 148,087 | ||||||
White Mountains Insurance Group, Ltd. | 163 | 136,276 | ||||||
WMIH Corp.(a) | 6,834 | 10,593 | ||||||
WR Berkley Corp. | 3,367 | 223,939 | ||||||
|
| |||||||
6,461,711 | ||||||||
|
| |||||||
Internet & Catalog Retail – 0.7% |
| |||||||
1-800-Flowers.com, Inc. Class A(a) | 900 | 9,630 | ||||||
Blue Nile, Inc. | 400 | 16,252 | ||||||
Duluth Holdings, Inc.(a) | 299 | 7,595 | ||||||
Etsy, Inc.(a) | 3,600 | 42,408 | ||||||
FTD Cos., Inc.(a) | 600 | 14,304 | ||||||
Groupon, Inc.(a) | 13,522 | 44,893 | ||||||
HSN, Inc. | 1,110 | 38,073 | ||||||
Lands’ End, Inc.(a) | 500 | 7,575 | ||||||
Liberty Expedia Holdings, Inc. Class A(a) | 1,887 | 74,857 | ||||||
Liberty Interactive Corp. QVC Group Class A(a) | 15,762 | 314,925 | ||||||
Liberty TripAdvisor Holdings, Inc. Class A(a) | 2,400 | 36,120 | ||||||
Liberty Ventures Series A(a) | 2,880 | 106,186 | ||||||
Nutrisystem, Inc. | 951 | 32,952 | ||||||
Overstock.com, Inc.(a) | 400 | 7,000 | ||||||
PetMed Express, Inc. | 700 | 16,149 | ||||||
Shutterfly, Inc.(a) | 1,251 | 62,775 | ||||||
Travelport Worldwide, Ltd. | 4,100 | 57,810 |
See accompanying notes to financial statements.
85
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Internet & Catalog Retail – (continued) |
| |||||||
Wayfair, Inc. Class A(a) | 1,051 | $ | 36,837 | |||||
|
| |||||||
926,341 | ||||||||
|
| |||||||
Internet Software & Services – 1.9% |
| |||||||
2U, Inc.(a) | 1,305 | 39,346 | ||||||
Actua Corp.(a) | 1,200 | 16,800 | ||||||
Alarm.com Holdings, Inc.(a) | 300 | 8,349 | ||||||
Amber Road, Inc.(a) | 600 | 5,448 | ||||||
Angie’s List, Inc.(a) | 1,335 | 10,987 | ||||||
Appfolio, Inc. Class A(a) | 300 | 7,155 | ||||||
Apptio, Inc. Class A(a) | 200 | 3,706 | ||||||
Autobytel, Inc.(a) | 300 | 4,035 | ||||||
Bankrate, Inc.(a) | 1,600 | 17,680 | ||||||
Bazaarvoice, Inc.(a) | 2,800 | 13,580 | ||||||
Benefitfocus, Inc.(a) | 441 | 13,098 | ||||||
Blucora, Inc.(a) | 1,300 | 19,175 | ||||||
Box, Inc. Class A(a) | 1,665 | 23,077 | ||||||
Brightcove, Inc.(a) | 1,026 | 8,259 | ||||||
Carbonite, Inc.(a) | 600 | 9,840 | ||||||
Care.com, Inc.(a) | 800 | 6,856 | ||||||
ChannelAdvisor Corp.(a) | 800 | 11,480 | ||||||
Cimpress NV(a) | 865 | 79,243 | ||||||
CommerceHub, Inc. Series A(a) | 446 | 6,694 | ||||||
CommerceHub, Inc. Series C(a) | 893 | 13,422 | ||||||
comScore, Inc.(a) | 1,659 | 52,391 | ||||||
Cornerstone OnDemand, Inc.(a) | 1,751 | 74,085 | ||||||
CoStar Group, Inc.(a) | 1,122 | 211,486 | ||||||
Coupa Software, Inc.(a) | 300 | 7,503 | ||||||
DHI Group, Inc.(a) | 1,700 | 10,625 | ||||||
EarthLink Holdings Corp. | 3,500 | 19,740 | ||||||
Endurance International Group Holdings, Inc.(a) | 2,035 | 18,926 | ||||||
Envestnet, Inc.(a) | 1,452 | 51,183 | ||||||
Five9, Inc.(a) | 1,127 | 15,992 | ||||||
Global Sources, Ltd.(a) | 300 | 2,655 | ||||||
GoDaddy, Inc. Class A(a) | 1,753 | 61,267 | ||||||
Gogo, Inc.(a) | 1,910 | 17,610 | ||||||
GrubHub, Inc.(a) | 2,952 | 111,054 | ||||||
GTT Communications, Inc.(a) | 895 | 25,731 | ||||||
Hortonworks, Inc.(a) | 1,378 | 11,451 | ||||||
IAC/InterActiveCorp | 2,511 | 162,688 | ||||||
Instructure, Inc.(a) | 400 | 7,820 | ||||||
Intralinks Holdings, Inc.(a) | 1,400 | 18,928 | ||||||
j2 Global, Inc. | 1,664 | 136,115 | ||||||
Limelight Networks, Inc.(a) | 2,400 | 6,048 | ||||||
Liquidity Services, Inc.(a) | 800 | 7,800 | ||||||
LivePerson, Inc.(a) | 1,800 | 13,590 | ||||||
LogMeIn, Inc. | 860 | 83,033 | ||||||
Marchex, Inc. Class B(a) | 2,000 | 5,300 | ||||||
Match Group, Inc.(a) | 1,000 | 17,100 | ||||||
MeetMe, Inc.(a) | 1,400 | 6,902 | ||||||
MINDBODY, Inc. Class A(a) | 500 | 10,650 | ||||||
New Relic, Inc.(a) | 731 | 20,651 | ||||||
NIC, Inc. | 2,200 | 52,580 | ||||||
Numerex Corp. Class A(a) | 800 | 5,920 | ||||||
Nutanix, Inc. Class A(a) | 500 | 13,280 | ||||||
Pandora Media, Inc.(a) | 7,835 | 102,168 | ||||||
Q2 Holdings, Inc.(a) | 900 | 25,965 | ||||||
QuinStreet, Inc.(a) | 1,200 | 4,512 | ||||||
Quotient Technology, Inc.(a) | 2,100 | 22,575 | ||||||
RealNetworks, Inc.(a) | 1,400 | 6,804 | ||||||
Reis, Inc. | 300 | 6,675 | ||||||
RetailMeNot, Inc.(a) | 1,300 | 12,090 | ||||||
Rightside Group, Ltd.(a) | 400 | 3,308 | ||||||
Shutterstock, Inc.(a) | 650 | 30,888 | ||||||
SPS Commerce, Inc.(a) | 551 | 38,509 | ||||||
Stamps.com, Inc.(a) | 557 | 63,860 | ||||||
TechTarget, Inc.(a) | 500 | 4,265 | ||||||
Trade Desk Inc Class A(a) | 200 | 5,534 | ||||||
TrueCar, Inc.(a) | 1,866 | 23,325 | ||||||
Twilio, Inc. Class A(a) | 700 | 20,195 | ||||||
Twitter, Inc.(a) | 22,486 | 366,522 | ||||||
Web.com Group, Inc.(a) | 1,400 | 29,610 | ||||||
WebMD Health Corp.(a) | 1,298 | 64,342 | ||||||
Xactly Corp.(a) | 800 | 8,800 | ||||||
XO Group, Inc.(a) | 811 | 15,774 | ||||||
Yelp, Inc.(a) | 2,358 | 89,911 | ||||||
Zillow Group, Inc. Class A(a) | 1,929 | 70,312 | ||||||
Zillow Group, Inc. Class C(a) | 3,683 | 134,319 | ||||||
|
| |||||||
2,728,597 | ||||||||
|
| |||||||
IT Services – 3.5% | ||||||||
Acxiom Corp.(a) | 2,800 | 75,040 | ||||||
ALJ Regional Holdings, Inc.(a) | 1,200 | 5,268 | ||||||
Amdocs, Ltd. | 5,221 | 304,123 | ||||||
Black Knight Financial Services, Inc. Class A(a) | 797 | 30,127 | ||||||
Blackhawk Network Holdings, Inc.(a) | 1,953 | 73,579 | ||||||
Booz Allen Hamilton Holding Corp. | 4,100 | 147,887 | ||||||
Broadridge Financial Solutions, Inc. | 4,140 | 274,482 | ||||||
CACI International, Inc. Class A(a) | 920 | 114,356 | ||||||
Cardtronics PLC Class A(a) | 1,628 | 88,840 | ||||||
Cass Information Systems, Inc. | 417 | 30,679 | ||||||
Computer Sciences Corp. | 4,854 | 288,425 | ||||||
Convergys Corp. | 3,142 | 77,167 | ||||||
CoreLogic, Inc.(a) | 3,100 | 114,173 | ||||||
CSG Systems International, Inc. | 1,100 | 53,240 | ||||||
Datalink Corp.(a) | 713 | 8,028 | ||||||
DST Systems, Inc. | 1,232 | 132,009 | ||||||
EPAM Systems, Inc.(a) | 1,674 | 107,655 | ||||||
Euronet Worldwide, Inc.(a) | 1,731 | 125,376 | ||||||
EVERTEC, Inc. | 2,100 | 37,275 | ||||||
ExlService Holdings, Inc.(a) | 1,137 | 57,350 | ||||||
First Data Corp. Class A(a) | 11,147 | 158,176 | ||||||
FleetCor Technologies, Inc.(a) | 3,253 | 460,365 | ||||||
Forrester Research, Inc. | 300 | 12,885 | ||||||
Gartner, Inc.(a) | 2,836 | 286,634 | ||||||
Genpact, Ltd.(a) | 5,217 | 126,982 | ||||||
Hackett Group, Inc. | 790 | 13,951 | ||||||
Information Services Group, Inc.(a) | 1,000 | 3,640 | ||||||
Jack Henry & Associates, Inc. | 2,791 | 247,785 | ||||||
Leidos Holdings, Inc. | 4,648 | 237,699 | ||||||
Lionbridge Technologies, Inc.(a) | 1,900 | 11,020 | ||||||
ManTech International Corp. Class A | 858 | 36,250 | ||||||
MAXIMUS, Inc. | 2,234 | 124,635 | ||||||
MoneyGram International, Inc.(a) | 953 | 11,255 | ||||||
NCI, Inc. Class A | 200 | 2,790 | ||||||
NeuStar, Inc. Class A(a) | 2,000 | 66,800 |
See accompanying notes to financial statements.
86
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
IT Services – (continued) |
| |||||||
Perficient, Inc.(a) | 1,200 | $ | 20,988 | |||||
PFSweb, Inc.(a) | 500 | 4,250 | ||||||
Planet Payment, Inc.(a) | 1,400 | 5,712 | ||||||
Sabre Corp. | 7,288 | 181,836 | ||||||
Science Applications International Corp. | 1,547 | 131,186 | ||||||
ServiceSource International, Inc.(a) | 2,000 | 11,360 | ||||||
Square, Inc. Class A(a) | 1,741 | 23,730 | ||||||
Sykes Enterprises, Inc.(a) | 1,353 | 39,048 | ||||||
Syntel, Inc. | 1,100 | 21,769 | ||||||
TeleTech Holdings, Inc. | 600 | 18,300 | ||||||
Unisys Corp.(a) | 1,700 | 25,415 | ||||||
Vantiv, Inc. Class A(a) | 5,514 | 328,745 | ||||||
Virtusa Corp.(a) | 900 | 22,608 | ||||||
WEX, Inc.(a) | 1,419 | 158,360 | ||||||
|
| |||||||
4,939,253 | ||||||||
|
| |||||||
Leisure Equipment & Products – 0.4% |
| |||||||
Acushnet Holdings Corp.(a) | 800 | 15,768 | ||||||
American Outdoor Brands Corp.(a) | 1,888 | 39,799 | ||||||
Arctic Cat, Inc. | 400 | 6,008 | ||||||
Brunswick Corp. | 3,233 | 176,328 | ||||||
Callaway Golf Co. | 3,112 | 34,108 | ||||||
Escalade, Inc. | 600 | 7,920 | ||||||
JAKKS Pacific, Inc.(a) | 796 | 4,099 | ||||||
Johnson Outdoors, Inc. Class A | 200 | 7,938 | ||||||
Malibu Boats, Inc. Class A(a) | 600 | 11,448 | ||||||
Marine Products Corp. | 387 | 5,368 | ||||||
MCBC Holdings, Inc. | 500 | 7,290 | ||||||
Nautilus, Inc.(a) | 1,000 | 18,500 | ||||||
Polaris Industries, Inc. | 2,178 | 179,445 | ||||||
Sturm Ruger & Co., Inc. | 665 | 35,045 | ||||||
Vista Outdoor, Inc.(a) | 2,121 | 78,265 | ||||||
|
| |||||||
627,329 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 1.1% |
| |||||||
Accelerate Diagnostics, Inc.(a) | 800 | 16,600 | ||||||
Albany Molecular Research, Inc.(a) | 896 | 16,809 | ||||||
Bio-Rad Laboratories, Inc. Class A(a) | 723 | 131,789 | ||||||
Bio-Techne Corp. | 1,359 | 139,746 | ||||||
Bruker Corp. | 3,673 | 77,794 | ||||||
Cambrex Corp.(a) | 1,100 | 59,345 | ||||||
Charles River Laboratories International, Inc.(a) | 1,658 | 126,323 | ||||||
ChromaDex Corp.(a) | 1,700 | 5,627 | ||||||
Enzo Biochem, Inc.(a) | 1,300 | 9,022 | ||||||
Fluidigm Corp.(a) | 944 | 6,872 | ||||||
INC Research Holdings, Inc. Class A(a) | 1,494 | 78,585 | ||||||
Luminex Corp.(a) | 1,300 | 26,299 | ||||||
Medpace Holdings, Inc.(a) | 300 | 10,821 | ||||||
NanoString Technologies, Inc.(a) | 500 | 11,150 | ||||||
NeoGenomics, Inc.(a) | 1,800 | 15,426 | ||||||
Pacific Biosciences of California, Inc.(a) | 2,600 | 9,880 | ||||||
PAREXEL International Corp.(a) | 1,831 | 120,333 | ||||||
Patheon NV(a) | 1,200 | 34,452 | ||||||
PRA Health Sciences, Inc.(a) | 894 | 49,277 | ||||||
QIAGEN NV(a) | 8,008 | 224,384 | ||||||
Quintiles IMS Holdings, Inc.(a) | 4,927 | 374,698 | ||||||
VWR Corp.(a) | 2,648 | 66,280 | ||||||
|
| |||||||
1,611,512 | ||||||||
|
| |||||||
Machinery – 4.0% | ||||||||
Actuant Corp. Class A | 2,000 | 51,900 | ||||||
AGCO Corp. | 2,488 | 143,956 | ||||||
Alamo Group, Inc. | 392 | 29,831 | ||||||
Albany International Corp. Class A | 948 | 43,892 | ||||||
Allison Transmission Holdings, Inc. | 4,957 | 167,001 | ||||||
Altra Industrial Motion Corp. | 874 | 32,251 | ||||||
American Railcar Industries, Inc. | 296 | 13,406 | ||||||
Astec Industries, Inc. | 686 | 46,278 | ||||||
Barnes Group, Inc. | 1,756 | 83,269 | ||||||
Blue Bird Corp.(a) | 200 | 3,090 | ||||||
Briggs & Stratton Corp. | 1,400 | 31,164 | ||||||
Chart Industries, Inc.(a) | 1,200 | 43,224 | ||||||
CIRCOR International, Inc. | 600 | 38,928 | ||||||
CLARCOR, Inc. | 1,685 | 138,962 | ||||||
Colfax Corp.(a) | 3,438 | 123,527 | ||||||
Columbus McKinnon Corp. | 700 | 18,928 | ||||||
Crane Co. | 1,748 | 126,066 | ||||||
DMC Global, Inc. | 500 | 7,925 | ||||||
Donaldson Co., Inc. | 4,470 | 188,098 | ||||||
Douglas Dynamics, Inc. | 777 | 26,146 | ||||||
Energy Recovery, Inc.(a) | 1,200 | 12,420 | ||||||
EnPro Industries, Inc. | 745 | 50,183 | ||||||
ESCO Technologies, Inc. | 890 | 50,418 | ||||||
ExOne Co.(a) | 200 | 1,868 | ||||||
Federal Signal Corp. | 2,000 | 31,220 | ||||||
Franklin Electric Co., Inc. | 1,549 | 60,256 | ||||||
FreightCar America, Inc. | 400 | 5,972 | ||||||
Gencor Industries, Inc.(a) | 500 | 7,850 | ||||||
Global Brass & Copper Holdings, Inc. | 700 | 24,010 | ||||||
Gorman-Rupp Co. | 600 | 18,570 | ||||||
Graco, Inc. | 1,932 | 160,530 | ||||||
Graham Corp. | 300 | 6,645 | ||||||
Greenbrier Cos., Inc. | 894 | 37,146 | ||||||
Hardinge, Inc. | 400 | 4,432 | ||||||
Harsco Corp. | 2,700 | 36,720 | ||||||
Hillenbrand, Inc. | 2,000 | 76,700 | ||||||
Hurco Cos., Inc. | 166 | 5,495 | ||||||
Hyster-Yale Materials Handling, Inc. | 389 | 24,806 | ||||||
IDEX Corp. | 2,742 | 246,944 | ||||||
ITT, Inc. | 3,260 | 125,738 | ||||||
John Bean Technologies Corp. | 990 | 85,090 | ||||||
Joy Global, Inc. | 3,500 | 98,000 | ||||||
Kadant, Inc. | 400 | 24,480 | ||||||
Kennametal, Inc. | 2,700 | 84,402 | ||||||
Lincoln Electric Holdings, Inc. | 2,186 | 167,601 | ||||||
Lindsay Corp. | 408 | 30,441 | ||||||
Lydall, Inc.(a) | 600 | 37,110 | ||||||
Manitowoc Co., Inc.(a) | 4,300 | 25,714 | ||||||
Manitowoc Foodservice, Inc.(a) | 4,600 | 88,918 | ||||||
Meritor, Inc.(a) | 2,900 | 36,018 | ||||||
Middleby Corp.(a) | 1,973 | 254,142 | ||||||
Milacron Holdings Corp.(a) | 500 | 9,315 | ||||||
Miller Industries, Inc. | 400 | 10,580 | ||||||
Mueller Industries, Inc. | 2,000 | 79,920 |
See accompanying notes to financial statements.
87
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Machinery – (continued) |
| |||||||
Mueller Water Products, Inc. Class A | 5,600 | $ | 74,536 | |||||
Navistar International Corp.(a) | 1,700 | 53,329 | ||||||
NN, Inc. | 916 | 17,450 | ||||||
Nordson Corp. | 2,031 | 227,574 | ||||||
Omega Flex, Inc. | 100 | 5,576 | ||||||
Oshkosh Corp. | 2,608 | 168,503 | ||||||
Proto Labs, Inc.(a) | 833 | 42,775 | ||||||
RBC Bearings, Inc.(a) | 769 | 71,371 | ||||||
Rexnord Corp.(a) | 2,890 | 56,615 | ||||||
SPX Corp.(a) | 1,400 | 33,208 | ||||||
SPX FLOW, Inc.(a) | 1,200 | 38,472 | ||||||
Standex International Corp. | 515 | 45,243 | ||||||
Sun Hydraulics Corp. | 848 | 33,895 | ||||||
Supreme Industries, Inc. Class A | 400 | 6,280 | ||||||
Tennant Co. | 676 | 48,131 | ||||||
Terex Corp. | 3,700 | 116,661 | ||||||
Timken Co. | 2,600 | 103,220 | ||||||
Titan International, Inc. | 1,500 | 16,815 | ||||||
Toro Co. | 3,774 | 211,155 | ||||||
TriMas Corp.(a) | 1,500 | 35,250 | ||||||
Trinity Industries, Inc. | 5,269 | 146,267 | ||||||
Wabash National Corp.(a) | 2,200 | 34,804 | ||||||
WABCO Holdings, Inc.(a) | 1,920 | 203,808 | ||||||
Wabtec Corp. | 3,060 | 254,041 | ||||||
Watts Water Technologies, Inc. Class A | 983 | 64,092 | ||||||
Woodward, Inc. | 1,904 | 131,471 | ||||||
|
| |||||||
5,618,038 | ||||||||
|
| |||||||
Marine – 0.1% | ||||||||
Costamare, Inc. | 900 | 5,040 | ||||||
Kirby Corp.(a) | 1,840 | 122,360 | ||||||
Matson, Inc. | 1,482 | 52,448 | ||||||
Scorpio Bulkers, Inc.(a) | 2,133 | 10,772 | ||||||
|
| |||||||
190,620 | ||||||||
|
| |||||||
Media – 2.7% | ||||||||
AMC Entertainment Holdings, Inc. Class A | 1,284 | 43,207 | ||||||
AMC Networks, Inc. Class A(a) | 2,086 | 109,181 | ||||||
Cable One, Inc. | 164 | 101,964 | ||||||
Central European Media Enterprises, Ltd. Class A(a) | 2,600 | 6,630 | ||||||
Cinemark Holdings, Inc. | 3,716 | 142,546 | ||||||
Clear Channel Outdoor Holdings, Inc. Class A | 1,200 | 6,060 | ||||||
Daily Journal Corp.(a) | 38 | 9,188 | ||||||
DISH Network Corp. Class A(a) | 7,764 | 449,769 | ||||||
Entercom Communications Corp. Class A | 900 | 13,770 | ||||||
Entravision Communications Corp. Class A | 2,200 | 15,400 | ||||||
Eros International PLC(a) | 947 | 12,358 | ||||||
EW Scripps Co. Class A(a) | 2,000 | 38,660 | ||||||
Gannett Co., Inc. | 4,100 | 39,811 | ||||||
Global Eagle Entertainment, Inc.(a) | 1,600 | 10,336 | ||||||
Gray Television, Inc.(a) | 2,100 | 22,785 | ||||||
Hemisphere Media Group, Inc.(a) | 100 | 1,120 | ||||||
IMAX Corp.(a) | 2,000 | 62,800 | ||||||
John Wiley & Sons, Inc. Class A | 1,550 | 84,475 | ||||||
Liberty Broadband Corp. Class A(a) | 926 | 67,098 | ||||||
Liberty Broadband Corp. Class C(a) | 3,691 | 273,392 | ||||||
Liberty Media Corp.-Liberty Braves Class A(a) | 494 | 10,122 | ||||||
Liberty Media Corp.-Liberty Braves Class C(a) | 1,010 | 20,796 | ||||||
Liberty Media Corp.-Liberty Media Class A(a) | 736 | 23,074 | ||||||
Liberty Media Corp.-Liberty Media Class C(a) | 1,550 | 48,562 | ||||||
Liberty Media Corp.-Liberty SiriusXM Class A(a) | 3,272 | 112,949 | ||||||
Liberty Media Corp.-Liberty SiriusXM Class C(a) | 6,459 | 219,089 | ||||||
Lions Gate Entertainment Corp. Class A | 1,624 | 43,686 | ||||||
Lions Gate Entertainment Corp. Class B(a) | 3,658 | 89,767 | ||||||
Live Nation Entertainment, Inc.(a) | 4,559 | 121,269 | ||||||
Loral Space & Communications, Inc.(a) | 400 | 16,420 | ||||||
Madison Square Garden Co. Class A(a) | 677 | 116,112 | ||||||
MDC Partners, Inc. Class A | 1,700 | 11,135 | ||||||
Media General, Inc.(a) | 3,800 | 71,554 | ||||||
Meredith Corp. | 1,347 | 79,675 | ||||||
MSG Networks, Inc. Class A(a) | 2,021 | 43,452 | ||||||
National CineMedia, Inc. | 2,100 | 30,933 | ||||||
New Media Investment Group, Inc. | 1,600 | 25,584 | ||||||
New York Times Co. Class A | 4,200 | 55,860 | ||||||
Nexstar Broadcasting Group, Inc. Class A | 1,100 | 69,630 | ||||||
Radio One, Inc. Class D(a) | 800 | 2,320 | ||||||
Reading International, Inc. Class A(a) | 600 | 9,960 | ||||||
Regal Entertainment Group Class A | 2,800 | 57,680 | ||||||
Saga Communications, Inc. Class A | 144 | 7,243 | ||||||
Salem Media Group, Inc. | 800 | 5,000 | ||||||
Scholastic Corp. | 895 | 42,504 | ||||||
Sinclair Broadcast Group, Inc. Class A | 2,262 | 75,438 | ||||||
Sirius XM Holdings, Inc. | 62,590 | 278,525 | ||||||
Thomson Reuters Corp. | 10,547 | 461,748 | ||||||
Time, Inc. | 3,700 | 66,045 | ||||||
Townsquare Media, Inc. Class A(a) | 300 | 3,123 | ||||||
Tribune Media Co. Class A | 2,832 | 99,063 | ||||||
tronc, Inc. | 900 | 12,483 | ||||||
World Wrestling Entertainment, Inc. Class A | 1,227 | 22,577 | ||||||
|
| |||||||
3,863,928 | ||||||||
|
| |||||||
Metals & Mining – 1.5% | ||||||||
AK Steel Holding Corp.(a) | 10,800 | 110,268 | ||||||
Alcoa Corp. | 5,200 | 146,016 | ||||||
Allegheny Technologies, Inc. | 3,800 | 60,534 | ||||||
Ampco-Pittsburgh Corp. | 300 | 5,025 | ||||||
Carpenter Technology Corp. | 1,555 | 56,244 | ||||||
Century Aluminum Co.(a) | 1,700 | 14,552 | ||||||
Cliffs Natural Resources, Inc.(a) | 7,542 | 63,428 |
See accompanying notes to financial statements.
88
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Metals & Mining – (continued) |
| |||||||
Coeur Mining, Inc.(a) | 6,200 | $ | 56,358 | |||||
Commercial Metals Co. | 4,200 | 91,476 | ||||||
Compass Minerals International, Inc. | 1,214 | 95,117 | ||||||
Ferroglobe PLC | 2,200 | 23,826 | ||||||
Ferroglobe Representation & Warranty Insurance Trust(a)(d) | 2,200 | – | ||||||
Gold Resource Corp. | 1,700 | 7,395 | ||||||
Handy & Harman, Ltd.(a) | 200 | 5,110 | ||||||
Haynes International, Inc. | 400 | 17,196 | ||||||
Hecla Mining Co. | 13,484 | 70,656 | ||||||
Kaiser Aluminum Corp. | 611 | 47,469 | ||||||
Materion Corp. | 655 | 25,938 | ||||||
Olympic Steel, Inc. | 300 | 7,269 | ||||||
Real Industry, Inc.(a) | 928 | 5,661 | ||||||
Reliance Steel & Aluminum Co. | 2,509 | 199,566 | ||||||
Royal Gold, Inc. | 2,258 | 143,044 | ||||||
Ryerson Holding Corp.(a) | 500 | 6,675 | ||||||
Schnitzer Steel Industries, Inc. Class A | 872 | 22,411 | ||||||
Southern Copper Corp. | 2,903 | 92,722 | ||||||
Steel Dynamics, Inc. | 8,200 | 291,756 | ||||||
Stillwater Mining Co.(a) | 4,500 | 72,495 | ||||||
SunCoke Energy, Inc. | 2,200 | 24,948 | ||||||
Tahoe Resources, Inc. | 10,884 | 102,527 | ||||||
TimkenSteel Corp.(a) | 1,300 | 20,124 | ||||||
United States Steel Corp. | 5,400 | 178,254 | ||||||
Worthington Industries, Inc. | 1,600 | 75,904 | ||||||
|
| |||||||
2,139,964 | ||||||||
|
| |||||||
Mortgage Real Estate Investment – 0.2% |
| |||||||
AGNC Investment Corp. REIT | 11,693 | 211,994 | ||||||
|
| |||||||
Multi-utilities – 0.5% | ||||||||
Avista Corp. | 2,200 | 87,978 | ||||||
Black Hills Corp. | 1,793 | 109,982 | ||||||
MDU Resources Group, Inc. | 6,800 | 195,636 | ||||||
NorthWestern Corp. | 1,755 | 99,807 | ||||||
Unitil Corp. | 500 | 22,670 | ||||||
Vectren Corp. | 2,892 | 150,818 | ||||||
|
| |||||||
666,891 | ||||||||
|
| |||||||
Multiline Retail – 0.2% | ||||||||
Big Lots, Inc. | 1,520 | 76,319 | ||||||
Dillard’s, Inc. Class A | 705 | 44,196 | ||||||
Fred’s, Inc. Class A | 1,200 | 22,272 | ||||||
JC Penney Co., Inc.(a) | 10,900 | 90,579 | ||||||
Ollie’s Bargain Outlet Holdings, Inc.(a) | 702 | 19,972 | ||||||
Sears Holdings Corp.(a) | 400 | 3,716 | ||||||
Tuesday Morning Corp.(a) | 1,500 | 8,100 | ||||||
|
| |||||||
265,154 | ||||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 3.3% |
| |||||||
Abraxas Petroleum Corp.(a) | 4,100 | 10,537 | ||||||
Adams Resources & Energy, Inc. | 166 | 6,582 | ||||||
Alon USA Energy, Inc. | 1,100 | 12,518 | ||||||
Antero Resources Corp.(a) | 6,274 | 148,380 | ||||||
Ardmore Shipping Corp. | 700 | 5,180 | ||||||
Bill Barrett Corp.(a) | 1,600 | 11,184 | ||||||
California Resources Corp.(a) | 1,102 | 23,462 | ||||||
Callon Petroleum Co.(a) | 5,304 | 81,522 | ||||||
Carrizo Oil & Gas, Inc.(a) | 2,100 | 78,435 | ||||||
Cheniere Energy, Inc.(a) | 7,068 | 292,827 | ||||||
Clayton Williams Energy, Inc.(a) | 238 | 28,384 | ||||||
Clean Energy Fuels Corp.(a) | 2,900 | 8,294 | ||||||
Cobalt International Energy, Inc.(a) | 13,700 | 16,714 | ||||||
CONSOL Energy, Inc. | 8,100 | 147,663 | ||||||
Contango Oil & Gas Co.(a) | 600 | 5,604 | ||||||
Continental Resources, Inc.(a) | 3,047 | 157,042 | ||||||
CVR Energy, Inc. | 500 | 12,695 | ||||||
Delek US Holdings, Inc. | 2,100 | 50,547 | ||||||
Denbury Resources, Inc.(a) | 11,815 | 43,479 | ||||||
DHT Holdings, Inc. | 3,096 | 12,817 | ||||||
Diamondback Energy, Inc.(a) | 2,800 | 282,968 | ||||||
Dorian LPG, Ltd.(a) | 1,200 | 9,852 | ||||||
Eclipse Resources Corp.(a) | 2,700 | 7,209 | ||||||
Energen Corp. | 3,412 | 196,770 | ||||||
EP Energy Corp. Class A(a) | 1,300 | 8,515 | ||||||
Evolution Petroleum Corp. | 800 | 8,000 | ||||||
EXCO Resources, Inc.(a) | 4,656 | 4,068 | ||||||
Extraction Oil & Gas, Inc.(a) | 1,300 | 26,052 | ||||||
Frontline, Ltd. | 2,220 | 15,784 | ||||||
GasLog, Ltd. | 1,400 | 22,540 | ||||||
Gener8 Maritime, Inc.(a) | 1,300 | 5,824 | ||||||
Golar LNG, Ltd. | 3,300 | 75,702 | ||||||
Green Plains, Inc. | 1,247 | 34,729 | ||||||
Gulfport Energy Corp.(a) | 4,400 | 95,216 | ||||||
HollyFrontier Corp. | 5,655 | 185,258 | ||||||
International Seaways, Inc.(a) | 399 | 5,602 | ||||||
Jones Energy, Inc. Class A(a) | 1,900 | 9,500 | ||||||
Kosmos Energy, Ltd.(a) | 5,300 | 37,153 | ||||||
Laredo Petroleum, Inc.(a) | 4,900 | 69,286 | ||||||
Matador Resources Co.(a) | 2,900 | 74,704 | ||||||
Navios Maritime Acquisition Corp. | 4,500 | 7,650 | ||||||
Nordic American Tankers, Ltd. | 3,340 | 28,056 | ||||||
Northern Oil and Gas, Inc.(a) | 1,600 | 4,400 | ||||||
Oasis Petroleum, Inc.(a) | 8,100 | 122,634 | ||||||
Overseas Shipholding Group, Inc. Class A | 1,200 | 4,596 | ||||||
Pacific Ethanol, Inc.(a) | 1,000 | 9,500 | ||||||
Panhandle Oil and Gas, Inc. Class A | 500 | 11,775 | ||||||
Par Pacific Holdings, Inc.(a) | 989 | 14,380 | ||||||
Parsley Energy, Inc. Class A(a) | 5,749 | 202,595 | ||||||
PBF Energy, Inc. Class A | 3,449 | 96,158 | ||||||
PDC Energy, Inc.(a) | 1,960 | 142,257 | ||||||
QEP Resources, Inc. | 8,423 | 155,067 | ||||||
Renewable Energy Group, Inc.(a) | 1,500 | 14,550 | ||||||
REX American Resources Corp.(a) | 234 | 23,108 | ||||||
Rice Energy, Inc.(a) | 5,542 | 118,322 | ||||||
Ring Energy, Inc.(a) | 1,400 | 18,186 | ||||||
RSP Permian, Inc.(a) | 3,461 | 154,430 | ||||||
Sanchez Energy Corp.(a) | 1,900 | 17,157 | ||||||
Scorpio Tankers, Inc. | 5,500 | 24,915 | ||||||
SemGroup Corp. Class A | 2,329 | 97,236 | ||||||
Ship Finance International, Ltd. | 2,000 | 29,700 | ||||||
SM Energy Co. | 3,356 | 115,715 | ||||||
Synergy Resources Corp.(a) | 6,800 | 60,588 | ||||||
Targa Resources Corp. | 5,871 | 329,187 | ||||||
Teekay Corp. | 1,443 | 11,587 | ||||||
Teekay Tankers, Ltd. Class A | 3,900 | 8,814 | ||||||
W&T Offshore, Inc.(a) | 1,200 | 3,324 |
See accompanying notes to financial statements.
89
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Oil, Gas & Consumable Fuels – (continued) |
| |||||||
Western Refining, Inc. | 2,762 | $ | 104,542 | |||||
Westmoreland Coal Co.(a) | 600 | 10,602 | ||||||
Whiting Petroleum Corp.(a) | 7,100 | 85,342 | ||||||
World Fuel Services Corp. | 2,401 | 110,230 | ||||||
WPX Energy, Inc.(a) | 11,800 | 171,926 | ||||||
|
| |||||||
4,637,127 | ||||||||
|
| |||||||
Paper & Forest Products – 0.3% |
| |||||||
Boise Cascade Co.(a) | 1,300 | 29,250 | ||||||
Clearwater Paper Corp.(a) | 579 | 37,954 | ||||||
Deltic Timber Corp. | 408 | 31,445 | ||||||
Domtar Corp. | 2,214 | 86,412 | ||||||
KapStone Paper and Packaging Corp. | 2,998 | 66,106 | ||||||
Louisiana-Pacific Corp.(a) | 5,126 | 97,035 | ||||||
Neenah Paper, Inc. | 646 | 55,039 | ||||||
PH Glatfelter Co. | 1,500 | 35,835 | ||||||
Schweitzer-Mauduit International, Inc. | 1,100 | 50,083 | ||||||
|
| |||||||
489,159 | ||||||||
|
| |||||||
Personal Products – 0.4% | ||||||||
Avon Products, Inc. | 15,700 | 79,128 | ||||||
Edgewell Personal Care Co.(a) | 2,079 | 151,746 | ||||||
elf Beauty, Inc.(a) | 300 | 8,682 | ||||||
Herbalife, Ltd.(a) | 2,602 | 125,260 | ||||||
Inter Parfums, Inc. | 600 | 19,650 | ||||||
Lifevantage Corp.(a) | 500 | 4,075 | ||||||
Medifast, Inc. | 400 | 16,652 | ||||||
Natural Health Trends Corp. | 251 | 6,237 | ||||||
Nature’s Sunshine Products, Inc. | 300 | 4,500 | ||||||
Nu Skin Enterprises, Inc. Class A | 1,900 | 90,782 | ||||||
Nutraceutical International Corp. | 300 | 10,485 | ||||||
Revlon, Inc. Class A(a) | 400 | 11,660 | ||||||
Synutra International, Inc.(a) | 700 | 3,745 | ||||||
USANA Health Sciences, Inc.(a) | 408 | 24,970 | ||||||
|
| |||||||
557,572 | ||||||||
|
| |||||||
Pharmaceuticals – 0.8% | ||||||||
AcelRx Pharmaceuticals, Inc.(a) | 500 | 1,300 | ||||||
Aclaris Therapeutics, Inc.(a) | 358 | 9,716 | ||||||
Aerie Pharmaceuticals, Inc.(a) | 1,000 | 37,850 | ||||||
Agile Therapeutics, Inc.(a) | 800 | 4,560 | ||||||
Akorn, Inc.(a) | 2,844 | 62,084 | ||||||
Amphastar Pharmaceuticals, Inc.(a) | 1,200 | 22,104 | ||||||
ANI Pharmaceuticals, Inc.(a) | 286 | 17,337 | ||||||
Aratana Therapeutics, Inc.(a) | 1,100 | 7,898 | ||||||
Axsome Therapeutics, Inc.(a) | 700 | 4,725 | ||||||
Bio-Path Holdings, Inc.(a) | 4,400 | 5,940 | ||||||
Catalent, Inc.(a) | 3,582 | 96,571 | ||||||
Cempra, Inc.(a) | 1,500 | 4,200 | ||||||
Clearside Biomedical, Inc.(a) | 300 | 2,682 | ||||||
Collegium Pharmaceutical, Inc.(a) | 467 | 7,271 | ||||||
Corcept Therapeutics, Inc.(a) | 2,500 | 18,150 | ||||||
Depomed, Inc.(a) | 2,100 | 37,842 | ||||||
Dermira, Inc.(a) | 800 | 24,264 | ||||||
Durect Corp.(a) | 4,200 | 5,628 | ||||||
Egalet Corp.(a) | 700 | 5,355 | ||||||
Endocyte, Inc.(a) | 2,200 | 5,610 | ||||||
Flex Pharma, Inc.(a) | 400 | 2,112 | ||||||
Heska Corp.(a) | 258 | 18,473 | ||||||
Horizon Pharma PLC(a) | 5,737 | 92,825 | ||||||
Impax Laboratories, Inc.(a) | 2,566 | 33,999 | ||||||
Innoviva, Inc.(a) | 2,700 | 28,890 | ||||||
Intersect ENT, Inc.(a) | 1,000 | 12,100 | ||||||
Intra-Cellular Therapies, Inc.(a) | 1,156 | 17,444 | ||||||
Lannett Co., Inc.(a) | 897 | 19,779 | ||||||
Lipocine, Inc.(a) | 1,200 | 4,416 | ||||||
Medicines Co.(a) | 2,459 | 83,458 | ||||||
MyoKardia, Inc.(a) | 400 | 5,180 | ||||||
Nektar Therapeutics(a) | 4,800 | 58,896 | ||||||
Neos Therapeutics, Inc.(a) | 500 | 2,925 | ||||||
Novan, Inc.(a) | 200 | 5,404 | ||||||
Ocular Therapeutix, Inc.(a) | 1,000 | 8,370 | ||||||
Omeros Corp.(a) | 1,600 | 15,872 | ||||||
Pacira Pharmaceuticals, Inc.(a) | 1,237 | 39,955 | ||||||
Paratek Pharmaceuticals, Inc.(a) | 500 | 7,700 | ||||||
Phibro Animal Health Corp. Class A | 600 | 17,580 | ||||||
Prestige Brands Holdings, Inc.(a) | 1,816 | 94,614 | ||||||
Reata Pharmaceuticals, Inc. Class A(a) | 300 | 6,549 | ||||||
Revance Therapeutics, Inc.(a) | 700 | 14,490 | ||||||
SciClone Pharmaceuticals, Inc.(a) | 1,700 | 18,360 | ||||||
Sucampo Pharmaceuticals, Inc. Class A(a) | 762 | 10,325 | ||||||
Supernus Pharmaceuticals, Inc.(a) | 1,600 | 40,400 | ||||||
Teligent, Inc.(a) | 1,400 | 9,254 | ||||||
Tetraphase Pharmaceuticals, Inc.(a) | 1,200 | 4,836 | ||||||
TherapeuticsMD, Inc.(a) | 5,000 | 28,850 | ||||||
Theravance Biopharma, Inc.(a) | 1,504 | 47,948 | ||||||
Titan Pharmaceuticals, Inc.(a) | 200 | 800 | ||||||
WaVe Life Sciences, Ltd.(a) | 200 | 5,230 | ||||||
Zogenix, Inc.(a) | 800 | 9,720 | ||||||
|
| |||||||
1,147,841 | ||||||||
|
| |||||||
Professional Services – 0.8% | ||||||||
Acacia Research Corp. | 1,700 | 11,050 | ||||||
Advisory Board Co.(a) | 1,428 | 47,481 | ||||||
Barrett Business Services, Inc. | 239 | 15,320 | ||||||
CBIZ, Inc.(a) | 1,700 | 23,290 | ||||||
CEB, Inc. | 1,132 | 68,599 | ||||||
CRA International, Inc. | 300 | 10,980 | ||||||
Exponent, Inc. | 931 | 56,139 | ||||||
Franklin Covey Co.(a) | 383 | 7,717 | ||||||
FTI Consulting, Inc.(a) | 1,400 | 63,112 | ||||||
GP Strategies Corp.(a) | 400 | 11,440 | ||||||
Heidrick & Struggles International, Inc. | 600 | 14,490 | ||||||
Hill International, Inc.(a) | 1,100 | 4,785 | ||||||
Huron Consulting Group, Inc.(a) | 720 | 36,468 | ||||||
ICF International, Inc.(a) | 602 | 33,230 | ||||||
Insperity, Inc. | 543 | 38,526 | ||||||
Kelly Services, Inc. Class A | 1,000 | 22,920 | ||||||
Kforce, Inc. | 800 | 18,480 | ||||||
Korn/Ferry International | 1,955 | 57,536 | ||||||
ManpowerGroup, Inc. | 2,402 | 213,466 | ||||||
Mistras Group, Inc.(a) | 587 | 15,074 | ||||||
Navigant Consulting, Inc.(a) | 1,600 | 41,888 | ||||||
On Assignment, Inc.(a) | 1,760 | 77,722 | ||||||
Resources Connection, Inc. | 1,400 | 26,950 | ||||||
RPX Corp.(a) | 1,700 | 18,360 | ||||||
TransUnion(a) | 1,800 | 55,674 |
See accompanying notes to financial statements.
90
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Professional Services – (continued) |
| |||||||
TriNet Group, Inc.(a) | 1,400 | $ | 35,868 | |||||
TrueBlue, Inc.(a) | 1,400 | 34,510 | ||||||
WageWorks, Inc.(a) | 1,254 | 90,915 | ||||||
|
| |||||||
1,151,990 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITS) – 10.1% |
| |||||||
Acadia Realty Trust REIT | 2,747 | 89,772 | ||||||
AG Mortgage Investment Trust, Inc. REIT | 900 | 15,399 | ||||||
Agree Realty Corp. | 856 | 39,419 | ||||||
Alexander’s, Inc. REIT | 73 | 31,162 | ||||||
Alexandria Real Estate Equities, Inc. | 2,777 | 308,608 | ||||||
Altisource Residential Corp. REIT | 1,727 | 19,066 | ||||||
American Assets Trust, Inc. REIT | 1,342 | 57,813 | ||||||
American Campus Communities, Inc. | 4,572 | 227,548 | ||||||
American Homes 4 Rent Class A | 5,797 | 121,621 | ||||||
Annaly Capital Management, Inc. | 36,124 | 360,156 | ||||||
Anworth Mortgage Asset Corp. REIT | 3,200 | 16,544 | ||||||
Apollo Commercial Real Estate Finance, Inc. REIT | 2,440 | 40,553 | ||||||
Apple Hospitality REIT, Inc. | 5,900 | 117,882 | ||||||
Ares Commercial Real Estate Corp. REIT | 900 | 12,357 | ||||||
Armada Hoffler Properties, Inc. REIT | 1,000 | 14,570 | ||||||
ARMOUR Residential REIT, Inc. | 1,200 | 26,028 | ||||||
Ashford Hospitality Prime, Inc. | 823 | 11,234 | ||||||
Ashford Hospitality Trust, Inc. REIT | 2,651 | 20,572 | ||||||
Bluerock Residential Growth REIT, Inc. | 600 | 8,232 | ||||||
Brandywine Realty Trust | 6,100 | 100,711 | ||||||
Brixmor Property Group, Inc. | 6,791 | 165,836 | ||||||
Camden Property Trust | 3,020 | 253,891 | ||||||
Capstead Mortgage Corp. | 3,210 | 32,710 | ||||||
Care Capital Properties, Inc. | 3,052 | 76,300 | ||||||
CareTrust REIT, Inc. | 2,200 | 33,704 | ||||||
CatchMark Timber Trust, Inc. Class A, REIT | 1,300 | 14,638 | ||||||
CBL & Associates Properties, Inc. | 5,900 | 67,850 | ||||||
Cedar Realty Trust, Inc. | 2,753 | 17,977 | ||||||
Chatham Lodging Trust REIT | 1,283 | 26,366 | ||||||
Chesapeake Lodging Trust | 2,000 | 51,720 | ||||||
Chimera Investment Corp. | 6,715 | 114,289 | ||||||
City Office REIT, Inc. | 600 | 7,902 | ||||||
Colony Capital, Inc. Class A | 3,982 | 80,636 | ||||||
Colony Starwood Homes | 2,219 | 63,929 | ||||||
Columbia Property Trust, Inc. | 4,269 | 92,210 | ||||||
Communications Sales & Leasing, Inc.(a) | 4,400 | 111,804 | ||||||
Community Healthcare Trust, Inc. REIT | 400 | 9,212 | ||||||
CorEnergy Infrastructure Trust, Inc. | 360 | 12,557 | ||||||
CoreSite Realty Corp. REIT | 1,141 | 90,561 | ||||||
Corporate Office Properties Trust | 3,300 | 103,026 | ||||||
Cousins Properties, Inc. REIT | 12,101 | 102,980 | ||||||
CubeSmart REIT | 6,242 | 167,098 | ||||||
CyrusOne, Inc. REIT | 2,446 | 109,410 | ||||||
CYS Investments, Inc. REIT | 5,100 | 39,423 | ||||||
DCT Industrial Trust, Inc. REIT | 3,184 | 152,450 | ||||||
DDR Corp. REIT | 10,903 | 166,489 | ||||||
DiamondRock Hospitality Co. REIT | 7,200 | 83,016 | ||||||
Douglas Emmett, Inc. | 4,937 | 180,497 | ||||||
Duke Realty Corp. | 12,158 | 322,917 | ||||||
DuPont Fabros Technology, Inc. REIT | 2,553 | 112,153 | ||||||
Dynex Capital, Inc. REIT | 1,500 | 10,230 | ||||||
Easterly Government Properties, Inc. | 1,100 | 22,022 | ||||||
EastGroup Properties, Inc. | 1,128 | 83,292 | ||||||
Education Realty Trust, Inc. | 2,596 | 109,811 | ||||||
Empire State Realty Trust, Inc. Class A | 4,324 | 87,302 | ||||||
EPR Properties REIT | 2,205 | 158,253 | ||||||
Equity Commonwealth(a) | 4,343 | 131,332 | ||||||
Equity LifeStyle Properties, Inc. | 2,733 | 197,049 | ||||||
Equity One, Inc. | 3,200 | 98,208 | ||||||
Farmland Partners, Inc. REIT | 400 | 4,464 | ||||||
FelCor Lodging Trust, Inc. REIT | 4,600 | 36,846 | ||||||
First Industrial Realty Trust, Inc. REIT | 4,073 | 114,248 | ||||||
First Potomac Realty Trust REIT | 1,946 | 21,348 | ||||||
Forest City Realty Trust, Inc. Class A | 8,001 | 166,741 | ||||||
Four Corners Property Trust, Inc. REIT | 2,109 | 43,277 | ||||||
Franklin Street Properties Corp. REIT | 3,561 | 46,151 | ||||||
Gaming and Leisure Properties, Inc. | 6,596 | 201,970 | ||||||
GEO Group, Inc. REIT | 2,600 | 93,418 | ||||||
Getty Realty Corp. | 905 | 23,068 | ||||||
Gladstone Commercial Corp. | 800 | 16,080 | ||||||
Global Medical REIT, Inc. | 500 | 4,460 | ||||||
Global Net Lease, Inc. | 5,725 | 44,827 | ||||||
Government Properties Income Trust REIT | 2,457 | 46,843 | ||||||
Gramercy Property Trust REIT | 14,941 | 137,158 | ||||||
Great Ajax Corp. | 400 | 5,308 | ||||||
Hannon Armstrong Sustainable Infrastructure Capital, Inc. | 1,497 | 28,428 | ||||||
Healthcare Realty Trust, Inc. REIT | 3,953 | 119,855 | ||||||
Healthcare Trust of America, Inc. Class A | 4,766 | 138,738 | ||||||
Hersha Hospitality Trust | 1,400 | 30,100 | ||||||
Highwoods Properties, Inc. | 3,370 | 171,904 | ||||||
Hospitality Properties Trust | 5,600 | 177,744 | ||||||
Hudson Pacific Properties, Inc. REIT | 3,700 | 128,686 | ||||||
Independence Realty Trust, Inc. | 1,873 | 16,707 | ||||||
InfraREIT, Inc.(a) | 1,300 | 23,283 | ||||||
Invesco Mortgage Capital, Inc. REIT | 3,800 | 55,480 | ||||||
Investors Real Estate Trust | 4,100 | 29,233 | ||||||
iStar, Inc.(a) | 2,400 | 29,688 | ||||||
Kilroy Realty Corp. REIT | 3,188 | 233,425 | ||||||
Kite Realty Group Trust REIT | 2,783 | 65,345 |
See accompanying notes to financial statements.
91
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Real Estate Investment Trusts (REITS) – (continued) |
| |||||||
Ladder Capital Corp. REIT | 1,319 | $ | 18,097 | |||||
Lamar Advertising Co. Class A | 2,901 | 195,063 | ||||||
LaSalle Hotel Properties | 3,776 | 115,055 | ||||||
Lexington Realty Trust REIT | 7,900 | 85,320 | ||||||
Liberty Property Trust REIT | 5,127 | 202,517 | ||||||
Life Storage, Inc. REIT | 1,638 | 139,656 | ||||||
LTC Properties, Inc. | 1,354 | 63,611 | ||||||
Mack-Cali Realty Corp. REIT | 3,100 | 89,962 | ||||||
Medical Properties Trust, Inc. REIT | 10,177 | 125,177 | ||||||
MFA Financial, Inc. | 13,400 | 102,242 | ||||||
Monmouth Real Estate Investment Corp. | 2,279 | 34,732 | ||||||
Monogram Residential Trust, Inc. | 6,100 | 66,002 | ||||||
MTGE Investment Corp. | 1,500 | 23,550 | ||||||
National Health Investors, Inc. REIT | 1,362 | 101,020 | ||||||
National Retail Properties, Inc. | 5,000 | 221,000 | ||||||
National Storage Affiliates Trust | 1,200 | 26,484 | ||||||
New Residential Investment Corp. REIT | 8,500 | 133,620 | ||||||
New Senior Investment Group, Inc. REIT | 2,600 | 25,454 | ||||||
New York Mortgage Trust, Inc. REIT | 3,700 | 24,420 | ||||||
New York REIT, Inc. | 6,000 | 60,720 | ||||||
NexPoint Residential Trust, Inc. REIT | 600 | 13,404 | ||||||
NorthStar Realty Europe Corp. REIT | 2,000 | 25,140 | ||||||
NorthStar Realty Finance Corp. | 6,400 | 96,960 | ||||||
Omega Healthcare Investors, Inc. | 6,432 | 201,064 | ||||||
One Liberty Properties, Inc. | 400 | 10,048 | ||||||
Orchid Island Capital, Inc. | 700 | 7,581 | ||||||
Outfront Media, Inc. | 4,967 | 123,529 | ||||||
Owens Realty Mortgage, Inc. REIT | 300 | 5,556 | ||||||
Paramount Group, Inc. REIT | 6,400 | 102,336 | ||||||
Parkway, Inc. REIT(a) | 1,412 | 31,417 | ||||||
Pebblebrook Hotel Trust | 2,600 | 77,350 | ||||||
Pennsylvania Real Estate Investment Trust | 2,392 | 45,352 | ||||||
PennyMac Mortgage Investment Trust REIT | 2,241 | 36,685 | ||||||
Physicians Realty Trust REIT | 4,800 | 91,008 | ||||||
Piedmont Office Realty Trust, Inc. Class A | 5,005 | 104,655 | ||||||
Potlatch Corp. REIT | 1,400 | 58,310 | ||||||
Preferred Apartment Communities, Inc. Class A | 800 | 11,928 | ||||||
PS Business Parks, Inc. REIT | 691 | 80,515 | ||||||
QTS Realty Trust, Inc. Class A, REIT | 1,648 | 81,823 | ||||||
RAIT Financial Trust | 3,093 | 10,392 | ||||||
Ramco-Gershenson Properties Trust | 2,900 | 48,082 | ||||||
Rayonier, Inc. | 4,362 | 116,029 | ||||||
Redwood Trust, Inc. | 2,600 | 39,546 | ||||||
Regency Centers Corp. | 3,681 | 253,805 | ||||||
Resource Capital Corp. REIT | 975 | 8,122 | ||||||
Retail Opportunity Investments Corp. | 3,700 | 78,181 | ||||||
Retail Properties of America, Inc. Class A | 8,300 | 127,239 | ||||||
Rexford Industrial Realty, Inc. REIT | 2,207 | 51,180 | ||||||
RLJ Lodging Trust REIT | 4,200 | 102,858 | ||||||
Ryman Hospitality Properties, Inc. | 1,527 | 96,216 | ||||||
Sabra Health Care REIT, Inc. | 2,200 | 53,724 | ||||||
Saul Centers, Inc. REIT | 312 | 20,782 | ||||||
Select Income REIT | 2,200 | 55,440 | ||||||
Senior Housing Properties Trust | 8,300 | 157,119 | ||||||
Seritage Growth Properties Class A REIT | 838 | 35,791 | ||||||
Silver Bay Realty Trust Corp. REIT | 1,100 | 18,854 | ||||||
Spirit Realty Capital, Inc. REIT | 16,977 | 184,370 | ||||||
STAG Industrial, Inc. REIT | 2,600 | 62,062 | ||||||
Starwood Property Trust, Inc. | 8,700 | 190,965 | ||||||
STORE Capital Corp. | 5,247 | 129,653 | ||||||
Summit Hotel Properties, Inc. REIT | 2,900 | 46,487 | ||||||
Sun Communities, Inc. REIT | 2,399 | 183,787 | ||||||
Sunstone Hotel Investors, Inc. REIT | 7,543 | 115,031 | ||||||
Tanger Factory Outlet Centers, Inc. | 3,358 | 120,149 | ||||||
Taubman Centers, Inc. | 2,092 | 154,662 | ||||||
Terreno Realty Corp. | 1,600 | 45,584 | ||||||
Tier REIT, Inc. | 1,555 | 27,041 | ||||||
Two Harbors Investment Corp. | 12,200 | 106,384 | ||||||
UMH Properties, Inc. | 800 | 12,040 | ||||||
Universal Health Realty Income Trust REIT | 400 | 26,236 | ||||||
Urban Edge Properties | 3,100 | 85,281 | ||||||
Urstadt Biddle Properties, Inc. Class A | 1,000 | 24,110 | ||||||
VEREIT, Inc. | 34,084 | 288,351 | ||||||
Washington Prime Group, Inc. REIT | 6,700 | 69,747 | ||||||
Washington Real Estate Investment Trust | 2,602 | 85,059 | ||||||
Weingarten Realty Investors REIT | 4,117 | 147,347 | ||||||
Western Asset Mortgage Capital Corp. | 1,400 | 14,098 | ||||||
Whitestone REIT | 900 | 12,942 | ||||||
WP Carey, Inc. | 3,702 | 218,751 | ||||||
Xenia Hotels & Resorts, Inc. | 3,500 | 67,970 | ||||||
|
| |||||||
14,404,950 | ||||||||
|
| |||||||
Real Estate Management & Development – 0.5% |
| |||||||
Alexander & Baldwin, Inc. | 1,618 | 72,600 | ||||||
Altisource Portfolio Solutions SA(a) | 400 | 10,636 | ||||||
AV Homes, Inc.(a) | 400 | 6,320 | ||||||
Consolidated-Tomoka Land Co. | 123 | 6,571 | ||||||
Forestar Group, Inc.(a) | 1,100 | 14,630 | ||||||
FRP Holdings, Inc.(a) | 245 | 9,236 | ||||||
HFF, Inc. Class A | 1,246 | 37,691 | ||||||
Howard Hughes Corp.(a) | 1,347 | 153,693 | ||||||
Jones Lang LaSalle, Inc. | 1,563 | 157,926 | ||||||
Kennedy-Wilson Holdings, Inc. | 2,800 | 57,400 | ||||||
Marcus & Millichap, Inc.(a) | 500 | 13,360 |
See accompanying notes to financial statements.
92
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State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Real Estate Management & Development – (continued) |
| |||||||
RE/MAX Holdings, Inc. Class A REIT | 600 | $ | 33,600 | |||||
Realogy Holdings Corp. | 5,025 | 129,293 | ||||||
RMR Group, Inc. Class A | 246 | 9,717 | ||||||
St. Joe Co.(a) | 1,700 | 32,300 | ||||||
Stratus Properties, Inc.(a) | 200 | 6,550 | ||||||
Tejon Ranch Co.(a) | 500 | 12,715 | ||||||
Trinity Place Holdings, Inc.(a) | 600 | 5,562 | ||||||
|
| |||||||
769,800 | ||||||||
|
| |||||||
Road & Rail – 0.7% | ||||||||
AMERCO | 208 | 76,875 | ||||||
ArcBest Corp. | 800 | 22,120 | ||||||
Avis Budget Group, Inc.(a) | 2,902 | 106,445 | ||||||
Celadon Group, Inc. | 900 | 6,435 | ||||||
Covenant Transportation Group, Inc. Class A(a) | 400 | 7,736 | ||||||
Genesee & Wyoming, Inc. Class A(a) | 2,046 | 142,013 | ||||||
Heartland Express, Inc. | 1,500 | 30,540 | ||||||
Hertz Global Holdings, Inc.(a) | 2,516 | 54,245 | ||||||
Knight Transportation, Inc. | 2,300 | 76,015 | ||||||
Landstar System, Inc. | 1,529 | 130,424 | ||||||
Marten Transport, Ltd. | 793 | 18,477 | ||||||
Old Dominion Freight Line, Inc.(a) | 2,409 | 206,668 | ||||||
Roadrunner Transportation Systems, Inc.(a) | 1,000 | 10,390 | ||||||
Saia, Inc.(a) | 900 | 39,735 | ||||||
Swift Transportation Co.(a) | 2,531 | 61,655 | ||||||
Universal Logistics Holdings, Inc. | 300 | 4,905 | ||||||
USA Truck, Inc.(a) | 300 | 2,613 | ||||||
Werner Enterprises, Inc. | 1,500 | 40,425 | ||||||
YRC Worldwide, Inc.(a) | 1,100 | 14,608 | ||||||
|
| |||||||
1,052,324 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 2.7% |
| |||||||
Acacia Communications, Inc.(a) | 200 | 12,350 | ||||||
Advanced Energy Industries, Inc.(a) | 1,400 | 76,650 | ||||||
Advanced Micro Devices, Inc.(a) | 26,100 | 295,974 | ||||||
Alpha & Omega Semiconductor, Ltd.(a) | 587 | 12,485 | ||||||
Ambarella, Inc.(a) | 1,100 | 59,543 | ||||||
Amkor Technology, Inc.(a) | 3,352 | 35,364 | ||||||
Applied Micro Circuits Corp.(a) | 2,500 | 20,625 | ||||||
Axcelis Technologies, Inc.(a) | 975 | 14,186 | ||||||
Brooks Automation, Inc. | 2,300 | 39,261 | ||||||
Cabot Microelectronics Corp. | 881 | 55,653 | ||||||
Cavium, Inc.(a) | 2,301 | 143,674 | ||||||
CEVA, Inc.(a) | 700 | 23,485 | ||||||
Cirrus Logic, Inc.(a) | 2,240 | 126,650 | ||||||
Cohu, Inc. | 900 | 12,510 | ||||||
Cree, Inc.(a) | 3,500 | 92,365 | ||||||
Cypress Semiconductor Corp. | 11,139 | 127,430 | ||||||
Diodes, Inc.(a) | 1,292 | 33,166 | ||||||
DSP Group, Inc.(a) | 700 | 9,135 | ||||||
Entegris, Inc.(a) | 5,100 | 91,290 | ||||||
Exar Corp.(a) | 1,400 | 15,092 | ||||||
FormFactor, Inc.(a) | 2,265 | 25,368 | ||||||
GigPeak, Inc.(a) | 2,900 | 7,308 | ||||||
Impinj, Inc.(a) | 200 | 7,068 | ||||||
Inphi Corp.(a) | 1,449 | 64,654 | ||||||
Integrated Device Technology, Inc.(a) | 4,811 | 113,347 | ||||||
Intersil Corp. Class A | 4,600 | 102,580 | ||||||
IXYS Corp. | 830 | 9,877 | ||||||
Kopin Corp.(a) | 2,100 | 5,964 | ||||||
Lattice Semiconductor Corp.(a) | 3,980 | 29,293 | ||||||
MACOM Technology Solutions Holdings, Inc.(a) | 852 | 39,431 | ||||||
Marvell Technology Group, Ltd. | 14,062 | 195,040 | ||||||
Maxim Integrated Products, Inc. | 9,925 | 382,807 | ||||||
MaxLinear, Inc. Class A(a) | 1,900 | 41,420 | ||||||
Microsemi Corp.(a) | 3,947 | 213,020 | ||||||
MKS Instruments, Inc. | 1,847 | 109,712 | ||||||
Monolithic Power Systems, Inc. | 1,423 | 116,586 | ||||||
Nanometrics, Inc.(a) | 800 | 20,048 | ||||||
NeoPhotonics Corp.(a) | 1,000 | 10,810 | ||||||
NVE Corp. | 226 | 16,143 | ||||||
ON Semiconductor Corp.(a) | 14,607 | 186,385 | ||||||
PDF Solutions, Inc.(a) | 900 | 20,295 | ||||||
Photronics, Inc.(a) | 2,200 | 24,860 | ||||||
Power Integrations, Inc. | 1,000 | 67,850 | ||||||
Rambus, Inc.(a) | 4,000 | 55,080 | ||||||
Rudolph Technologies, Inc.(a) | 1,053 | 24,587 | ||||||
Semtech Corp.(a) | 2,332 | 73,575 | ||||||
Sigma Designs, Inc.(a) | 1,200 | 7,200 | ||||||
Silicon Laboratories, Inc.(a) | 1,429 | 92,885 | ||||||
SunPower Corp.(a) | 1,955 | 12,923 | ||||||
Synaptics, Inc.(a) | 1,238 | 66,332 | ||||||
Teradyne, Inc. | 7,168 | 182,067 | ||||||
Tessera Holding Corp. | 1,742 | 76,996 | ||||||
Ultra Clean Holdings, Inc.(a) | 1,100 | 10,670 | ||||||
Ultratech, Inc.(a) | 722 | 17,314 | ||||||
Veeco Instruments, Inc.(a) | 1,501 | 43,754 | ||||||
Versum Materials, Inc.(a) | 3,500 | 98,245 | ||||||
Xcerra Corp.(a) | 1,800 | 13,752 | ||||||
|
| |||||||
3,882,134 | ||||||||
|
| |||||||
Software – 4.6% | ||||||||
A10 Networks, Inc.(a) | 1,500 | 12,465 | ||||||
ACI Worldwide, Inc.(a) | 4,100 | 74,415 | ||||||
American Software, Inc. Class A | 900 | 9,297 | ||||||
ANSYS, Inc.(a) | 3,144 | 290,789 | ||||||
Aspen Technology, Inc.(a) | 2,855 | 156,111 | ||||||
Atlassian Corp. PLC Class A(a) | 900 | 21,672 | ||||||
Barracuda Networks, Inc.(a) | 700 | 15,001 | ||||||
Blackbaud, Inc. | 1,702 | 108,928 | ||||||
Blackline, Inc.(a) | 300 | 8,289 | ||||||
Bottomline Technologies de, Inc.(a) | 1,400 | 35,028 | ||||||
BroadSoft, Inc.(a) | 1,012 | 41,745 | ||||||
Cadence Design Systems, Inc.(a) | 10,702 | 269,904 | ||||||
Callidus Software, Inc.(a) | 2,303 | 38,690 | ||||||
CDK Global, Inc. | 5,535 | 330,384 | ||||||
CommVault Systems, Inc.(a) | 1,342 | 68,979 | ||||||
Dell Technologies, Inc. Class V(a) | 7,674 | 421,840 | ||||||
Digimarc Corp.(a) | 340 | 10,200 | ||||||
Ebix, Inc. | 900 | 51,345 | ||||||
Ellie Mae, Inc.(a) | 1,158 | 96,901 | ||||||
EnerNOC, Inc.(a) | 900 | 5,400 | ||||||
Everbridge, Inc.(a) | 300 | 5,535 | ||||||
Exa Corp.(a) | 500 | 7,680 | ||||||
Fair Isaac Corp. | 1,101 | 131,261 |
See accompanying notes to financial statements.
93
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Software – (continued) |
| |||||||
FireEye, Inc.(a) | 5,353 | $ | 63,701 | |||||
Fortinet, Inc.(a) | 5,082 | 153,070 | ||||||
Gigamon, Inc.(a) | 1,100 | 50,105 | ||||||
Globant SA(a) | 900 | 30,015 | ||||||
Glu Mobile, Inc.(a) | 4,400 | 8,536 | ||||||
Guidance Software, Inc.(a) | 800 | 5,664 | ||||||
Guidewire Software, Inc.(a) | 2,506 | 123,621 | ||||||
HubSpot, Inc.(a) | 975 | 45,825 | ||||||
Imperva, Inc.(a) | 973 | 37,363 | ||||||
Jive Software, Inc.(a) | 1,950 | 8,483 | ||||||
Manhattan Associates, Inc.(a) | 2,506 | 132,893 | ||||||
Mentor Graphics Corp. | 3,700 | 136,493 | ||||||
MicroStrategy, Inc. Class A(a) | 321 | 63,365 | ||||||
Mitek Systems, Inc.(a) | 1,000 | 6,150 | ||||||
MobileIron, Inc.(a) | 2,404 | 9,015 | ||||||
Model N, Inc.(a) | 700 | 6,195 | ||||||
Monotype Imaging Holdings, Inc. | 1,393 | 27,651 | ||||||
Nuance Communications, Inc.(a) | 7,945 | 118,381 | ||||||
Park City Group, Inc.(a) | 400 | 5,080 | ||||||
Paycom Software, Inc.(a) | 1,500 | 68,235 | ||||||
Paylocity Holding Corp.(a) | 700 | 21,007 | ||||||
Pegasystems, Inc. | 1,261 | 45,396 | ||||||
Progress Software Corp. | 1,700 | 54,281 | ||||||
Proofpoint, Inc.(a) | 1,396 | 98,627 | ||||||
PROS Holdings, Inc.(a) | 800 | 17,216 | ||||||
PTC, Inc.(a) | 3,993 | 184,756 | ||||||
QAD, Inc. Class A | 300 | 9,120 | ||||||
Qualys, Inc.(a) | 1,064 | 33,676 | ||||||
Rapid7, Inc.(a) | 700 | 8,519 | ||||||
RealPage, Inc.(a) | 1,881 | 56,430 | ||||||
RingCentral, Inc. Class A(a) | 1,985 | 40,891 | ||||||
Rosetta Stone, Inc.(a) | 600 | 5,346 | ||||||
Rubicon Project, Inc.(a) | 1,207 | 8,956 | ||||||
Sapiens International Corp. NV | 800 | 11,472 | ||||||
SecureWorks Corp. Class A(a) | 400 | 4,236 | ||||||
ServiceNow, Inc.(a) | 5,527 | 410,877 | ||||||
Silver Spring Networks, Inc.(a) | 1,300 | 17,303 | ||||||
Splunk, Inc.(a) | 4,584 | 234,472 | ||||||
SS&C Technologies Holdings, Inc. | 5,952 | 170,227 | ||||||
Synchronoss Technologies, Inc.(a) | 1,397 | 53,505 | ||||||
Synopsys, Inc.(a) | 5,383 | 316,843 | ||||||
Tableau Software, Inc. Class A(a) | 1,885 | 79,453 | ||||||
Take-Two Interactive Software, Inc.(a) | 2,950 | 145,406 | ||||||
Tangoe, Inc.(a) | 900 | 7,092 | ||||||
Telenav, Inc.(a) | 1,052 | 7,417 | ||||||
TiVo Corp.(a) | 4,000 | 83,600 | ||||||
Tyler Technologies, Inc.(a) | 1,219 | 174,037 | ||||||
Ultimate Software Group, Inc.(a) | 966 | 176,150 | ||||||
Varonis Systems, Inc.(a) | 390 | 10,452 | ||||||
VASCO Data Security International, Inc.(a) | 1,000 | 13,650 | ||||||
Verint Systems, Inc.(a) | 2,129 | 75,047 | ||||||
VirnetX Holding Corp.(a) | 1,600 | 3,520 | ||||||
VMware, Inc. Class A(a) | 2,883 | 226,979 | ||||||
Workday, Inc. Class A(a) | 4,148 | 274,141 | ||||||
Workiva, Inc.(a) | 700 | 9,555 | ||||||
Zendesk, Inc.(a) | 2,787 | 59,084 | ||||||
Zix Corp.(a) | 1,800 | 8,892 | ||||||
Zynga, Inc. Class A(a) | 26,200 | 67,334 | ||||||
|
| |||||||
6,536,665 | ||||||||
|
| |||||||
Specialty Retail – 2.0% | ||||||||
Aaron’s, Inc. | 2,238 | 71,594 | ||||||
Abercrombie & Fitch Co. Class A | 2,296 | 27,552 | ||||||
America’s Car-Mart, Inc.(a) | 244 | 10,675 | ||||||
American Eagle Outfitters, Inc. | 5,950 | 90,262 | ||||||
Asbury Automotive Group, Inc.(a) | 722 | 44,547 | ||||||
Ascena Retail Group, Inc.(a) | 5,763 | 35,673 | ||||||
At Home Group, Inc.(a) | 300 | 4,389 | ||||||
Barnes & Noble Education, Inc.(a) | 1,300 | 14,911 | ||||||
Barnes & Noble, Inc. | 2,154 | 24,017 | ||||||
Big 5 Sporting Goods Corp. | 600 | 10,410 | ||||||
Boot Barn Holdings, Inc.(a) | 700 | 8,764 | ||||||
Buckle, Inc. | 984 | 22,435 | ||||||
Build-A-Bear Workshop, Inc.(a) | 500 | 6,875 | ||||||
Burlington Stores, Inc.(a) | 2,478 | 210,010 | ||||||
Cabela’s, Inc.(a) | 1,753 | 102,638 | ||||||
Caleres, Inc. | 1,500 | 49,230 | ||||||
Camping World Holdings, Inc. Class A | 400 | 13,036 | ||||||
Cato Corp. Class A | 900 | 27,072 | ||||||
Chico’s FAS, Inc. | 4,400 | 63,316 | ||||||
Children’s Place, Inc. | 681 | 68,747 | ||||||
Citi Trends, Inc. | 500 | 9,420 | ||||||
Conn’s, Inc.(a) | 643 | 8,134 | ||||||
Container Store Group, Inc.(a) | 900 | 5,715 | ||||||
CST Brands, Inc. | 2,583 | 124,371 | ||||||
Destination XL Group, Inc.(a) | 1,200 | 5,100 | ||||||
Dick’s Sporting Goods, Inc. | 3,077 | 163,389 | ||||||
DSW, Inc. Class A | 2,300 | 52,095 | ||||||
Express, Inc.(a) | 2,449 | 26,351 | ||||||
Finish Line, Inc. Class A | 1,400 | 26,334 | ||||||
Five Below, Inc.(a) | 1,854 | 74,086 | ||||||
Francesca’s Holdings Corp.(a) | 1,375 | 24,791 | ||||||
GameStop Corp. Class A | 3,600 | 90,936 | ||||||
Genesco, Inc.(a) | 705 | 43,781 | ||||||
GNC Holdings, Inc. Class A | 2,303 | 25,425 | ||||||
Group 1 Automotive, Inc. | 752 | 58,611 | ||||||
Guess?, Inc. | 2,000 | 24,200 | ||||||
Haverty Furniture Cos., Inc. | 700 | 16,590 | ||||||
Hibbett Sports, Inc.(a) | 834 | 31,108 | ||||||
Kirkland’s, Inc.(a) | 500 | 7,755 | ||||||
Lithia Motors, Inc. Class A | 823 | 79,691 | ||||||
Lumber Liquidators Holdings, Inc.(a) | 876 | 13,788 | ||||||
MarineMax, Inc.(a) | 878 | 16,989 | ||||||
Michaels Cos., Inc.(a) | 3,191 | 65,256 | ||||||
Monro Muffler Brake, Inc. | 1,098 | 62,806 | ||||||
Murphy USA, Inc.(a) | 1,294 | 79,542 | ||||||
Office Depot, Inc. | 19,100 | 86,332 | ||||||
Party City Holdco, Inc.(a) | 900 | 12,780 | ||||||
Penske Automotive Group, Inc. | 1,377 | 71,384 | ||||||
Pier 1 Imports, Inc. | 2,700 | 23,058 | ||||||
Rent-A-Center, Inc. | 1,700 | 19,125 | ||||||
RH(a) | 1,329 | 40,800 | ||||||
Sally Beauty Holdings, Inc.(a) | 5,085 | 134,346 | ||||||
Sears Hometown and Outlet Stores, Inc.(a) | 400 | 1,880 | ||||||
Select Comfort Corp.(a) | 1,576 | 35,649 | ||||||
Shoe Carnival, Inc. | 500 | 13,490 |
See accompanying notes to financial statements.
94
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Specialty Retail – (continued) |
| |||||||
Sonic Automotive, Inc. Class A | 900 | $ | 20,610 | |||||
Sportsman’s Warehouse Holdings, Inc.(a) | 900 | 8,451 | ||||||
Stage Stores, Inc. | 1,300 | 5,681 | ||||||
Stein Mart, Inc. | 1,053 | 5,770 | ||||||
Tailored Brands, Inc. | 1,652 | 42,209 | ||||||
Tile Shop Holdings, Inc.(a) | 1,119 | 21,876 | ||||||
Tilly’s, Inc. Class A(a) | 400 | 5,276 | ||||||
Vitamin Shoppe, Inc.(a) | 800 | 19,000 | ||||||
West Marine, Inc.(a) | 982 | 10,282 | ||||||
Williams-Sonoma, Inc. | 3,148 | 152,332 | ||||||
Winmark Corp. | 112 | 14,129 | ||||||
Zumiez, Inc.(a) | 600 | 13,110 | ||||||
|
| |||||||
2,799,987 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 0.4% |
| |||||||
3D Systems Corp.(a) | 3,900 | 51,831 | ||||||
Avid Technology, Inc.(a) | 1,100 | 4,840 | ||||||
CPI Card Group, Inc. | 669 | 2,776 | ||||||
Cray, Inc.(a) | 1,366 | 28,276 | ||||||
Diebold Nixdorf, Inc. | 2,351 | 59,128 | ||||||
Eastman Kodak Co.(a) | 600 | 9,300 | ||||||
Electronics For Imaging, Inc.(a) | 1,605 | 70,395 | ||||||
Immersion Corp.(a) | 935 | 9,939 | ||||||
NCR Corp.(a) | 4,367 | 177,126 | ||||||
Nimble Storage, Inc.(a) | 2,100 | 16,632 | ||||||
Pure Storage, Inc. Class A(a) | 2,300 | 26,013 | ||||||
Stratasys, Ltd.(a) | 1,682 | 27,820 | ||||||
Super Micro Computer, Inc.(a) | 1,272 | 35,680 | ||||||
USA Technologies, Inc.(a) | 700 | 3,010 | ||||||
|
| |||||||
522,766 | ||||||||
|
| |||||||
Textiles, Apparel & Luxury Goods – 0.8% |
| |||||||
Carter’s, Inc. | 1,739 | 150,232 | ||||||
Columbia Sportswear Co. | 987 | 57,542 | ||||||
Crocs, Inc.(a) | 2,500 | 17,150 | ||||||
Culp, Inc. | 400 | 14,860 | ||||||
Deckers Outdoor Corp.(a) | 1,120 | 62,037 | ||||||
Delta Apparel, Inc.(a) | 300 | 6,219 | ||||||
Fossil Group, Inc.(a) | 1,400 | 36,204 | ||||||
G-III Apparel Group, Ltd.(a) | 1,481 | 43,778 | ||||||
Iconix Brand Group, Inc.(a) | 1,400 | 13,076 | ||||||
Kate Spade & Co.(a) | 4,600 | 85,882 | ||||||
lululemon athletica, Inc.(a) | 3,432 | 223,046 | ||||||
Movado Group, Inc. | 500 | 14,375 | ||||||
Oxford Industries, Inc. | 530 | 31,869 | ||||||
Perry Ellis International, Inc.(a) | 400 | 9,964 | ||||||
Sequential Brands Group, Inc.(a) | 1,310 | 6,131 | ||||||
Skechers U.S.A., Inc. Class A(a) | 4,647 | 114,223 | ||||||
Steven Madden, Ltd.(a) | 2,100 | 75,075 | ||||||
Superior Uniform Group, Inc. | 400 | 7,848 | ||||||
Unifi, Inc.(a) | 500 | 16,315 | ||||||
Vera Bradley, Inc.(a) | 700 | 8,204 | ||||||
Vince Holding Corp.(a) | 700 | 2,835 | ||||||
Wolverine World Wide, Inc. | 3,400 | 74,630 | ||||||
|
| |||||||
1,071,495 | ||||||||
|
| |||||||
Thrifts & Mortgage Finance – 1.3% |
| |||||||
Astoria Financial Corp. | 3,100 | 57,815 | ||||||
Bank Mutual Corp. | 1,400 | 13,230 | ||||||
BankFinancial Corp. | 500 | 7,410 | ||||||
Bear State Financial, Inc. | 600 | 6,090 | ||||||
Beneficial Bancorp, Inc. | 2,400 | 44,160 | ||||||
BofI Holding, Inc.(a) | 2,100 | 59,955 | ||||||
BSB Bancorp, Inc.(a) | 279 | 8,077 | ||||||
Capitol Federal Financial, Inc. | 4,500 | 74,070 | ||||||
Charter Financial Corp. | 500 | 8,335 | ||||||
Clifton Bancorp, Inc. | 720 | 12,182 | ||||||
Dime Community Bancshares, Inc. | 1,000 | 20,100 | ||||||
ESSA Bancorp, Inc. | 300 | 4,716 | ||||||
Essent Group, Ltd.(a) | 2,600 | 84,162 | ||||||
EverBank Financial Corp. | 3,500 | 68,075 | ||||||
Federal Agricultural Mortgage Corp. Class C | 300 | 17,181 | ||||||
First Defiance Financial Corp. | 348 | 17,658 | ||||||
Flagstar Bancorp, Inc.(a) | 700 | 18,858 | ||||||
Hingham Institution for Savings | 46 | 9,052 | ||||||
Home Bancorp, Inc. | 300 | 11,583 | ||||||
HomeStreet, Inc.(a) | 774 | 24,458 | ||||||
Impac Mortgage Holdings, Inc.(a) | 389 | 5,454 | ||||||
Kearny Financial Corp. | 3,100 | 48,205 | ||||||
Lake Sunapee Bank Group | 300 | 7,077 | ||||||
LendingTree, Inc.(a) | 248 | 25,135 | ||||||
Meridian Bancorp, Inc. | 1,600 | 30,240 | ||||||
Meta Financial Group, Inc. | 281 | 28,915 | ||||||
MGIC Investment Corp.(a) | 12,100 | 123,299 | ||||||
Nationstar Mortgage Holdings, Inc.(a) | 1,100 | 19,866 | ||||||
New York Community Bancorp, Inc. | 16,723 | 266,063 | ||||||
NMI Holdings, Inc. Class A(a) | 1,700 | 18,105 | ||||||
Northfield Bancorp, Inc. | 1,400 | 27,958 | ||||||
Northwest Bancshares, Inc. | 3,400 | 61,302 | ||||||
OceanFirst Financial Corp. | 1,000 | 30,030 | ||||||
Ocwen Financial Corp.(a) | 3,400 | 18,326 | ||||||
Oritani Financial Corp. | 1,300 | 24,375 | ||||||
PennyMac Financial Services, Inc. Class A(a) | 500 | 8,325 | ||||||
PHH Corp.(a) | 1,800 | 27,288 | ||||||
Provident Bancorp, Inc.(a) | 200 | 3,580 | ||||||
Provident Financial Holdings, Inc. | 200 | 4,044 | ||||||
Provident Financial Services, Inc. | 2,100 | 59,430 | ||||||
Radian Group, Inc. | 7,500 | 134,850 | ||||||
SI Financial Group, Inc. | 600 | 9,240 | ||||||
Southern Missouri Bancorp, Inc. | 200 | 7,076 | ||||||
Territorial Bancorp, Inc. | 255 | 8,374 | ||||||
TFS Financial Corp. | 1,929 | 36,728 | ||||||
TrustCo Bank Corp. NY | 3,100 | 27,125 | ||||||
United Community Financial Corp. | 1,600 | 14,304 | ||||||
United Financial Bancorp, Inc. | 1,700 | 30,872 | ||||||
Walker & Dunlop, Inc.(a) | 900 | 28,080 | ||||||
Walter Investment Management Corp.(a) | 1,100 | 5,225 | ||||||
Washington Federal, Inc. | 3,200 | 109,920 | ||||||
Waterstone Financial, Inc. | 900 | 16,560 | ||||||
Western New England Bancorp, Inc. | 900 | 8,415 | ||||||
WSFS Financial Corp. | 1,000 | 46,350 | ||||||
|
| |||||||
1,887,303 | ||||||||
|
| |||||||
Tobacco – 0.1% | ||||||||
Alliance One International, Inc.(a) | 300 | 5,760 | ||||||
Turning Point Brands, Inc.(a) | 200 | 2,450 |
See accompanying notes to financial statements.
95
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Tobacco – (continued) |
| |||||||
Universal Corp. | 741 | $ | 47,239 | |||||
Vector Group, Ltd. | 3,250 | 73,905 | ||||||
|
| |||||||
129,354 | ||||||||
|
| |||||||
Trading Companies & Distributors – 1.1% |
| |||||||
Air Lease Corp. | 3,500 | 120,155 | ||||||
Aircastle, Ltd. | 1,600 | 33,360 | ||||||
Applied Industrial Technologies, Inc. | 1,261 | 74,903 | ||||||
Beacon Roofing Supply, Inc.(a) | 2,049 | 94,398 | ||||||
BMC Stock Holdings, Inc.(a) | 1,825 | 35,588 | ||||||
CAI International, Inc.(a) | 500 | 4,335 | ||||||
DXP Enterprises, Inc.(a) | 500 | 17,370 | ||||||
GATX Corp. | 1,485 | 91,446 | ||||||
GMS, Inc.(a) | 300 | 8,784 | ||||||
H&E Equipment Services, Inc. | 1,100 | 25,575 | ||||||
HD Supply Holdings, Inc.(a) | 7,030 | 298,845 | ||||||
Herc Holdings, Inc.(a) | 838 | 33,654 | ||||||
Kaman Corp. | 899 | 43,988 | ||||||
Lawson Products, Inc.(a) | 200 | 4,760 | ||||||
MRC Global, Inc.(a) | 3,200 | 64,832 | ||||||
MSC Industrial Direct Co., Inc. Class A | 1,658 | 153,183 | ||||||
Neff Corp. Class A(a) | 600 | 8,460 | ||||||
NOW, Inc.(a) | 3,800 | 77,786 | ||||||
Rush Enterprises, Inc. Class A(a) | 1,000 | 31,900 | ||||||
Rush Enterprises, Inc. Class B(a) | 200 | 6,174 | ||||||
SiteOne Landscape Supply, Inc.(a) | 400 | 13,892 | ||||||
Textainer Group Holdings, Ltd. | 800 | 5,960 | ||||||
Titan Machinery, Inc.(a) | 600 | 8,742 | ||||||
Triton International, Ltd. | 1,300 | 20,540 | ||||||
Univar, Inc.(a) | 1,601 | 45,420 | ||||||
Veritiv Corp.(a) | 291 | 15,641 | ||||||
Watsco, Inc. | 901 | 133,456 | ||||||
WESCO International, Inc.(a) | 1,728 | 114,999 | ||||||
Willis Lease Finance Corp.(a) | 100 | 2,558 | ||||||
|
| |||||||
1,590,704 | ||||||||
|
| |||||||
Transportation Infrastructure – 0.2% |
| |||||||
Macquarie Infrastructure Corp. | 2,616 | 213,727 | ||||||
Wesco Aircraft Holdings, Inc.(a) | 1,900 | 28,405 | ||||||
|
| |||||||
242,132 | ||||||||
|
| |||||||
Water Utilities – 0.3% | ||||||||
American States Water Co. | 1,246 | 56,768 | ||||||
Aqua America, Inc. | 6,215 | 186,699 | ||||||
AquaVenture Holdings, Ltd.(a) | 200 | 4,906 | ||||||
Artesian Resources Corp. Class A | 251 | 8,017 | ||||||
California Water Service Group | 1,676 | 56,816 | ||||||
Connecticut Water Service, Inc. | 400 | 22,340 | ||||||
Consolidated Water Co., Ltd. | 500 | 5,425 | ||||||
Global Water Resources, Inc. | 300 | 2,730 | ||||||
Middlesex Water Co. | 500 | 21,470 | ||||||
SJW Group | 600 | 33,588 | ||||||
York Water Co. | 400 | 15,280 | ||||||
|
| |||||||
414,039 | ||||||||
|
| |||||||
Wireless Telecommunication Services – 0.7% |
| |||||||
Boingo Wireless, Inc.(a) | 1,200 | 14,628 | ||||||
NII Holdings, Inc.(a) | 1,800 | 3,870 | ||||||
Shenandoah Telecommunications Co. | 1,550 | 42,315 | ||||||
Spok Holdings, Inc. | 700 | 14,525 | ||||||
Sprint Corp.(a) | 26,574 | 223,753 | ||||||
T-Mobile US, Inc.(a) | 10,041 | 577,458 | ||||||
Telephone & Data Systems, Inc. | 3,300 | 95,271 | ||||||
United States Cellular Corp.(a) | 500 | 21,860 | ||||||
|
| |||||||
993,680 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 147,855,316 | |||||||
|
| |||||||
RIGHTS – 0.0%(e) | ||||||||
Biotechnology – 0.0%(e) | ||||||||
Dyax Corp. (CVR)(a)(c) (Cost $1,120) | 1,009 | 1,120 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 2.1% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(f)(g) (Cost $3,020,616) | 3,020,616 | 3,020,616 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 106.1% |
| 150,877,052 | ||||||
Liabilities in Excess of Other |
| (8,608,431 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 142,268,621 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(c) | Fair valued as determined in good faith by the Trust’s Oversight Committee in accordance with procedures approved by the Board of Trustees. as of December 31, 2016, total aggregate fair value of securities is $3,868 representing 0.0% of net assets. |
(d) | 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 December 31, 2016, total aggregate fair value of security is $0, representing 0.0% of the Portfolio’s net assets. |
(e) | Amount shown represents less than 0.05% of net assets. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2016. |
(g) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
CVR | Contingent Value Rights | |
NVDR | Non Voting Depositary Receipt | |
REIT | Real Estate Investment Trust |
See accompanying notes to financial statements.
96
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
At December 31, 2016, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Appreciation/ (Depreciation) | ||||||||||||
E-mini S&P MidCap 400 Index (long) | 03/17/2017 | 12 | $ | 1,990,920 | $ | (26,814 | ) | |||||||||
Russell 2000 Index Mini (long) | 03/17/2017 | 12 | 814,140 | (10,826 | ) | |||||||||||
|
| |||||||||||||||
Total unrealized appreciation/(depreciation) on open futures contracts purchased |
| $ | (37,640 | ) | ||||||||||||
|
|
During the period ended December 31, 2016, average notional value related to futures contracts was $1,609,938 or 1% of net assets.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 2,398,505 | $ | – | $ | – | $ | 2,398,505 | ||||||||
Air Freight & Logistics | 359,841 | – | – | 359,841 | ||||||||||||
Airlines | 742,824 | – | – | 742,824 | ||||||||||||
Auto Components | 1,630,229 | – | – | 1,630,229 | ||||||||||||
Automobiles | 1,141,147 | – | – | 1,141,147 | ||||||||||||
Banks | 11,264,269 | – | – | 11,264,269 | ||||||||||||
Beverages | 131,676 | – | – | 131,676 | ||||||||||||
Biotechnology | 5,374,160 | 2,748 | – | 5,376,908 | ||||||||||||
Building Products | 1,565,661 | – | – | 1,565,661 | ||||||||||||
Capital Markets | 2,750,189 | – | – | 2,750,189 | ||||||||||||
Chemicals | 3,840,296 | – | – | 3,840,296 | ||||||||||||
Commercial Services & Supplies | 2,376,830 | – | – | 2,376,830 | ||||||||||||
Communications Equipment | 2,372,243 | – | – | 2,372,243 | ||||||||||||
Construction & Engineering | 1,145,847 | – | – | 1,145,847 | ||||||||||||
Construction Materials | 345,489 | – | – | 345,489 | ||||||||||||
Consumer Finance | 960,741 | – | – | 960,741 | ||||||||||||
Containers & Packaging | 1,651,701 | – | – | 1,651,701 | ||||||||||||
Distributors | 227,517 | – | – | 227,517 | ||||||||||||
Diversified Consumer Services | 1,146,701 | – | – | 1,146,701 | ||||||||||||
Diversified Financial Services | 1,298,459 | – | – | 1,298,459 | ||||||||||||
Diversified Telecommunication Services | 1,094,317 | – | – | 1,094,317 | ||||||||||||
Electric Utilities | 1,673,346 | – | – | 1,673,346 | ||||||||||||
Electrical Equipment | 808,548 | – | – | 808,548 | ||||||||||||
Electronic Equipment, Instruments & Components | 4,009,970 | – | – | 4,009,970 | ||||||||||||
Energy Equipment & Services | 1,894,556 | – | – | 1,894,556 | ||||||||||||
Equity Real Estate Investment Trusts (REITs) | 155,821 | – | – | 155,821 | ||||||||||||
Food & Staples Retailing | 976,353 | – | – | 976,353 | ||||||||||||
Food Products | 3,024,544 | – | – | 3,024,544 | ||||||||||||
Gas Utilities | 1,477,679 | – | – | 1,477,679 | ||||||||||||
Health Care Equipment & Supplies | 3,979,643 | – | – | 3,979,643 | ||||||||||||
Health Care Providers & Services | 2,281,840 | – | – | 2,281,840 | ||||||||||||
Health Care Technology | 666,122 | – | – | 666,122 | ||||||||||||
Hotels, Restaurants & Leisure | 5,958,219 | – | – | 5,958,219 | ||||||||||||
Household Durables | 1,490,156 | – | – | 1,490,156 | ||||||||||||
Household Products | 374,151 | – | – | 374,151 | ||||||||||||
Independent Power Producers & Energy Traders | 452,121 | – | – | 452,121 | ||||||||||||
Industrial Conglomerates | 278,503 | – | – | 278,503 | ||||||||||||
Insurance | 6,461,711 | – | – | 6,461,711 | ||||||||||||
Internet & Catalog Retail | 926,341 | – | – | 926,341 |
See accompanying notes to financial statements.
97
Table of Contents
State Street Small/Mid Cap Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Internet Software & Services | $ | 2,728,597 | $ | – | $ | – | $ | 2,728,597 | ||||||||
IT Services | 4,939,253 | – | – | 4,939,253 | ||||||||||||
Leisure Equipment & Products | 627,329 | – | – | 627,329 | ||||||||||||
Life Sciences Tools & Services | 1,611,512 | – | – | 1,611,512 | ||||||||||||
Machinery | 5,618,038 | – | – | 5,618,038 | ||||||||||||
Marine | 190,620 | – | – | 190,620 | ||||||||||||
Media | 3,863,928 | – | – | 3,863,928 | ||||||||||||
Metals & Mining | 2,139,964 | – | 0 | (a) | 2,139,964 | |||||||||||
Mortgage Real Estate Investment | 211,994 | – | – | 211,994 | ||||||||||||
Multi-Utilities | 666,891 | – | – | 666,891 | ||||||||||||
Multiline Retail | 265,154 | – | – | 265,154 | ||||||||||||
Oil, Gas & Consumable Fuels | 4,637,127 | – | – | 4,637,127 | ||||||||||||
Paper & Forest Products | 489,159 | – | – | 489,159 | ||||||||||||
Personal Products | 557,572 | – | – | 557,572 | ||||||||||||
Pharmaceuticals | 1,147,841 | – | – | 1,147,841 | ||||||||||||
Professional Services | 1,151,990 | – | – | 1,151,990 | ||||||||||||
Real Estate Investment Trusts (REITs) | 14,404,950 | – | – | 14,404,950 | ||||||||||||
Real Estate Management & Development | 769,800 | – | – | 769,800 | ||||||||||||
Road & Rail | 1,052,324 | – | – | 1,052,324 | ||||||||||||
Semiconductors & Semiconductor Equipment | 3,882,134 | – | – | 3,882,134 | ||||||||||||
Software | 6,536,665 | – | – | 6,536,665 | ||||||||||||
Specialty Retail | 2,799,987 | – | – | 2,799,987 | ||||||||||||
Technology Hardware, Storage & Peripherals | 522,766 | – | – | 522,766 | ||||||||||||
Textiles, Apparel & Luxury Goods | 1,071,495 | – | – | 1,071,495 | ||||||||||||
Thrifts & Mortgage Finance | 1,887,303 | – | – | 1,887,303 | ||||||||||||
Tobacco | 129,354 | – | – | 129,354 | ||||||||||||
Trading Companies & Distributors | 1,590,704 | – | – | 1,590,704 | ||||||||||||
Transportation Infrastructure | 242,132 | – | – | 242,132 | ||||||||||||
Water Utilities | 414,039 | – | – | 414,039 | ||||||||||||
Wireless Telecommunication Services | 993,680 | – | – | 993,680 | ||||||||||||
Rights | ||||||||||||||||
Biotechnology | – | 1,120 | – | 1,120 | ||||||||||||
Short-Term Investment | 3,020,616 | – | – | 3,020,616 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 150,873,184 | $ | 3,868 | $ | 0 | (a) | $ | 150,877,052 | |||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts(b) | $ | (37,640 | ) | $ | – | $ | – | $ | (37,640 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (37,640 | ) | $ | – | $ | – | $ | (37,640 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Fund held a Level 3 security that was valued at $0 at December 31, 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 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 976,457 | $ | 976,457 | 116,987,182 | 117,963,639 | – | $ | – | $ | 6,876 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 7,974,367 | 4,953,751 | 3,020,616 | 3,020,616 | 2,036 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | 976,457 | $ | 3,020,616 | $ | 8,912 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
98
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
December 31, 2016
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) | $ | 239,096,607 | $ | 536,916,440 | $ | 147,856,436 | ||||||
Investments in affiliated issuers, at value (Note 2) | 11,977,648 | 16,717,694 | 3,020,616 | |||||||||
|
|
|
|
|
| |||||||
Total Investments | 251,074,255 | 553,634,134 | 150,877,052 | |||||||||
Foreign currency, at value | – | 2,455,480 | – | |||||||||
Cash at broker | – | 445,200 | 120,000 | |||||||||
Cash | – | 1,299 | 37 | |||||||||
Receivable from broker – variation margin on open futures contracts | – | 149,973 | – | |||||||||
Receivable for investments sold | 374,966 | 2,972 | – | |||||||||
Receivable for fund shares sold | 7,209,232 | 19,705,499 | 1,310,448 | |||||||||
Dividends receivable – unaffiliated issuers (Note 2) | 1,351,532 | 504,214 | 207,489 | |||||||||
Dividends receivable – affiliated issuers (Note 2) | 2,735 | 1,717 | 964 | |||||||||
Receivable from Advisor (Note 5) | 34,817 | 114,341 | 58,137 | |||||||||
Receivable for foreign taxes recoverable | 320 | 314,244 | – | |||||||||
Prepaid expenses and other assets | 323 | 545 | 114 | |||||||||
|
|
|
|
|
| |||||||
Total assets | 260,048,180 | 577,329,618 | 152,574,241 | |||||||||
|
|
|
|
|
| |||||||
Liabilities |
| |||||||||||
Payable for investments purchased | 1,589,739 | 24,150,792 | 1,238,180 | |||||||||
Payable for when issued/delayed securities purchased | 8,476,940 | – | – | |||||||||
Payable to broker – variation margin on open futures contracts | – | – | 11,662 | |||||||||
Payable for fund shares repurchased | – | 279,566 | 8,993,675 | |||||||||
Deferred foreign taxes payable | – | 24,836 | – | |||||||||
Advisory fee payable (Note 5) | 788 | 742 | 1,530 | |||||||||
Custodian fees payable (Note 5) | – | 94,806 | – | |||||||||
Registration and filing fees payable | 14,726 | 20,241 | 13,674 | |||||||||
Professional fees payable | 58,544 | 55,992 | 46,565 | |||||||||
Printing and postage fees payable | 1,935 | 2,141 | 126 | |||||||||
Accrued expenses and other liabilities | – | 658 | 208 | |||||||||
|
|
|
|
|
| |||||||
Total liabilities | 10,142,672 | 24,629,774 | 10,305,620 | |||||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 249,905,508 | $ | 552,699,844 | $ | 142,268,621 | ||||||
|
|
|
|
|
| |||||||
Net Assets Consist of: |
| |||||||||||
Paid-in Capital | $ | 256,094,199 | $ | 559,182,548 | $ | 131,220,299 | ||||||
Undistributed (distribution in excess of) net investment income (loss) | (127,004 | ) | (429,427 | ) | (3,954 | ) | ||||||
Accumulated net realized gain (loss) on investments, foreign currency transactions and futures contracts | (285,977 | ) | (5,325,734 | ) | 111,747 | |||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||
Investments** | (5,775,710 | ) | (576,472 | ) | 10,978,169 | |||||||
Foreign currency transactions | – | (75,431 | ) | – | ||||||||
Futures contracts | – | (75,640 | ) | (37,640 | ) | |||||||
|
|
|
|
|
| |||||||
Net Assets | $ | 249,905,508 | $ | 552,699,844 | $ | 142,268,621 | ||||||
|
|
|
|
|
| |||||||
Net Asset Value Per Share |
| |||||||||||
Net asset value per share | $ | 9.91 | $ | 8.73 | $ | 10.65 | ||||||
|
|
|
|
|
| |||||||
Shares outstanding | 25,208,512 | 63,279,738 | 13,359,642 | |||||||||
|
|
|
|
|
| |||||||
Cost of Investments: |
| |||||||||||
Investments in unaffiliated issuers | $ | 244,872,317 | $ | 537,468,076 | $ | 136,878,267 | ||||||
Investments in affiliated issuers | 11,977,648 | 16,717,694 | 3,020,616 | |||||||||
|
|
|
|
|
| |||||||
Total cost of investments | $ | 256,849,965 | $ | 554,185,770 | $ | 139,898,883 | ||||||
|
|
|
|
|
| |||||||
Foreign currency, at cost | $ | – | $ | 2,493,182 | $ | – | ||||||
|
|
|
|
|
| |||||||
** Includes deferred foreign taxes | $ | – | $ | 24,836 | $ | – | ||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
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State Street Institutional Investment Trust
For the Year Ended December 31, 2016
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 | $ | 3,448,914 | $ | – | $ | – | ||||||
Dividend income – unaffiliated issuers (Note 2) | – | 8,984,972 | 1,293,903 | |||||||||
Dividend income – affiliated issuers (Note 2) | 53,243 | 13,190 | 8,912 | |||||||||
Foreign taxes withheld | (32 | ) | (805,139 | ) | (1,924 | ) | ||||||
|
|
|
|
|
| |||||||
Total investment income (loss) | 3,502,125 | 8,193,023 | 1,300,891 | |||||||||
|
|
|
|
|
| |||||||
Expenses |
| |||||||||||
Advisory Fee (Note 5) | 18,641 | 47,179 | 13,585 | |||||||||
Custodian fees (Note 5) | – | 466,836 | – | |||||||||
Trustees’ fees and expenses (Note 6) | 19,532 | 20,774 | 18,978 | |||||||||
Registration and filing fees | 10,939 | 19,156 | 14,183 | |||||||||
Professional fees | 146,815 | 144,991 | 126,429 | |||||||||
Printing and postage fees | 5,658 | 4,965 | 5,388 | |||||||||
Insurance expense | 7,915 | 8,153 | 116 | |||||||||
Miscellaneous expenses | 3,193 | 7,004 | 271 | |||||||||
|
|
|
|
|
| |||||||
Total expenses | 212,693 | 719,058 | 178,950 | |||||||||
|
|
|
|
|
| |||||||
Expenses waived/reimbursed by the Adviser (Note 5) | (196,091 | ) | (472,780 | ) | (153,859 | ) | ||||||
|
|
|
|
|
| |||||||
Net expenses | 16,602 | 246,278 | 25,091 | |||||||||
|
|
|
|
|
| |||||||
Net Investment Income (Loss) | 3,485,523 | 7,946,745 | 1,275,800 | |||||||||
|
|
|
|
|
| |||||||
Realized and Unrealized Gain (Loss) |
| |||||||||||
Net realized gain (loss) on: | ||||||||||||
Investments – unaffiliated issuers* | (287,487 | ) | (5,176,349 | ) | 1,034,999 | |||||||
Foreign currency transactions | – | (283,492 | ) | – | ||||||||
Futures contracts | – | 852,673 | 407,521 | |||||||||
|
|
|
|
|
| |||||||
Net realized gain (loss) | (287,487 | ) | (4,607,168 | ) | 1,442,520 | |||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation on: | ||||||||||||
Investments – unaffiliated issuers** | (4,935,390 | ) | 13,336,772 | 12,713,120 | ||||||||
Foreign currency translations | – | (62,976 | ) | – | ||||||||
Futures contracts | – | (139,090 | ) | (54,982 | ) | |||||||
|
|
|
|
|
| |||||||
Net change in unrealized appreciation/depreciation | (4,935,390 | ) | 13,134,706 | 12,658,138 | ||||||||
|
|
|
|
|
| |||||||
Net realized and unrealized gain (loss) | (5,222,877 | ) | 8,527,538 | 14,100,658 | ||||||||
|
|
|
|
|
| |||||||
Net Increase (Decrease) in Net Assets From Operations | $ | (1,737,354 | ) | $ | 16,474,283 | $ | 15,376,458 | |||||
|
|
|
|
|
| |||||||
* Includes foreign capital gain taxes | $ | – | $ | (1,987 | ) | $ | – | |||||
|
|
|
|
|
| |||||||
** Includes foreign deferred taxes | $ | – | $ | (24,836 | ) | $ | – | |||||
|
|
|
|
|
|
See accompanying notes to financial statements.
100
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Aggregate Bond Index Portfolio | State Street Global Equity ex-U.S. Index Portfolio | |||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||||||||||
Net investment income (loss) | $ | 3,485,523 | $ | 1,450,870 | $ | 7,946,745 | $ | 2,457,575 | ||||||||
Net realized gain (loss) | (287,487 | ) | 516,297 | (4,607,168 | ) | (999,233 | ) | |||||||||
Net change in unrealized appreciation/depreciation | (4,935,390 | ) | (1,351,934 | ) | 13,134,706 | (10,001,735 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets resulting from operations | (1,737,354 | ) | 615,233 | 16,474,283 | (8,543,393 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Distributions to Shareholders from: | ||||||||||||||||
Net investment income | (3,169,215 | ) | (1,321,087 | ) | (8,017,668 | ) | (2,500,924 | ) | ||||||||
Net realized gains | (287,585 | ) | (939,187 | ) | – | – | ||||||||||
Return of capital | – | (143,433 | ) | – | – | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total distributions to shareholders | (3,456,800 | ) | (2,403,707 | ) | (8,017,668 | ) | (2,500,924 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
From Beneficial Interest Transactions: | ||||||||||||||||
Proceeds from sale of shares sold | 189,555,151 | 43,053,139 | 473,015,931 | 88,218,101 | ||||||||||||
Reinvestment of distributions | 3,456,799 | 2,403,707 | 8,017,668 | 2,500,924 | ||||||||||||
Cost of shares redeemed | (21,754,269 | ) | (39,871,948 | ) | (54,251,622 | ) | (11,674,037 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets | 171,257,681 | 5,584,898 | 426,781,977 | 79,044,988 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Voluntary contribution from Adviser | – | 1,087 | – | 670 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) in net assets during the period | 166,063,527 | 3,797,511 | 435,238,592 | 68,001,341 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at Beginning of Period | 83,841,981 | 80,044,470 | 117,461,252 | 49,459,911 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Net Assets at End of Period | $ | 249,905,508 | $ | 83,841,981 | $ | 552,699,844 | $ | 117,461,252 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Undistributed (distribution in excess of) net investment income (loss) | $ | (127,004 | ) | $ | (25,248 | ) | $ | (429,427 | ) | $ | (74,567 | ) | ||||
|
|
|
|
|
|
|
| |||||||||
Shares of Beneficial Interest: | ||||||||||||||||
Shares sold | 18,529,423 | 4,249,283 | 54,609,188 | 9,497,332 | ||||||||||||
Reinvestment of distributions | 341,605 | 239,374 | 925,828 | 300,231 | ||||||||||||
Shares redeemed | (2,139,740 | ) | (3,906,083 | ) | (6,157,992 | ) | (1,291,303 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 16,731,288 | 582,574 | 49,377,024 | 8,506,260 | ||||||||||||
|
|
|
|
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
101
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Small/Mid Cap Equity Index Portfolio | ||||||||
Year Ended 12/31/16 | For the Period 8/11/15* - 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 1,275,800 | $ | 159,432 | ||||
Net realized gain (loss) | 1,442,520 | (72,317 | ) | |||||
Net change in unrealized appreciation/depreciation | 12,658,138 | (1,717,609 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 15,376,458 | (1,630,494 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | (1,296,402 | ) | (170,569 | ) | ||||
Net realized gains | (1,204,195 | ) | (37,397 | ) | ||||
Return of capital | – | – | ||||||
|
|
|
| |||||
Total distributions to shareholders | (2,500,597 | ) | (207,966 | ) | ||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Proceeds from sale of shares sold | 120,269,317 | 32,157,103 | ||||||
Reinvestment of distributions | 2,500,596 | 207,966 | ||||||
Cost of shares redeemed | (21,528,449 | ) | (2,375,313 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets | 101,241,464 | 29,989,756 | ||||||
|
|
|
| |||||
Voluntary contribution from Adviser | – | – | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 114,117,325 | 28,151,296 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | 28,151,296 | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 142,268,621 | $ | 28,151,296 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | (3,954 | ) | $ | (443 | ) | ||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Shares sold | 12,187,686 | 3,259,393 | ||||||
Reinvestment of distributions | 233,482 | 22,778 | ||||||
Shares redeemed | (2,089,826 | ) | (253,871 | ) | ||||
|
|
|
| |||||
Net increase (decrease) | 10,331,342 | 3,028,300 | ||||||
|
|
|
|
See accompanying notes to financial statements.
102
Table of Contents
State Street Institutional Investment Trust
Selected data for a share outstanding throughout each period
State Street Aggregate Bond Index Portfolio | ||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | For the Period 9/19/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 9.89 | $ | 10.14 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations: |
| |||||||||||
Net investment income (loss)(a) | 0.23 | 0.20 | 0.04 | |||||||||
Net realized and unrealized gain (loss) | 0.01 | (0.13 | ) | 0.16 | ||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.24 | 0.07 | 0.20 | |||||||||
|
|
|
|
|
| |||||||
Voluntary contribution from Adviser | – | 0.00 | (b) | 0.00 | (b) | |||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: |
| |||||||||||
Net investment income | (0.21 | ) | (0.19 | ) | (0.04 | ) | ||||||
Net realized gains | (0.01 | ) | (0.11 | ) | (0.02 | ) | ||||||
Return of capital | – | (0.02 | ) | – | ||||||||
|
|
|
|
|
| |||||||
Total distributions | (0.22 | ) | (0.32 | ) | (0.06 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 9.91 | $ | 9.89 | $ | 10.14 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 2.39 | % | 0.65 | %(e) | 2.00 | %(d)(f) | ||||||
Ratios and Supplemental Data: |
| |||||||||||
Net assets, end of period (in 000s) | $ | 249,906 | $ | 83,842 | $ | 80,044 | ||||||
Ratios to average net assets: |
| |||||||||||
Total expenses | 0.14 | % | 0.17 | % | 0.25 | %(g) | ||||||
Net expenses | 0.01 | % | 0.03 | % | 0.04 | %(g) | ||||||
Net investment income (loss) | 2.24 | % | 2.00 | % | 1.52 | %(g) | ||||||
Portfolio turnover rate | 194 | % | 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.
103
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 Portfolio | ||||||||||||
Year Ended 12/31/16 | 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) | 0.22 | 0.25 | 0.05 | |||||||||
Net realized and unrealized gain (loss) | 0.20 | (0.79 | ) | (0.82 | ) | |||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.42 | (0.54 | ) | (0.77 | ) | |||||||
|
|
|
|
|
| |||||||
Voluntary contribution from Adviser | – | 0.00 | (b) | 0.00 | (b) | |||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: |
| |||||||||||
Net investment income | (0.14 | ) | (0.18 | ) | (0.06 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 8.73 | $ | 8.45 | $ | 9.17 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 5.06 | % | (5.84 | )%(e) | (7.72 | )%(d)(f) | ||||||
Ratios and Supplemental Data: |
| |||||||||||
Net assets, end of period (in 000s) | $ | 552,700 | $ | 117,461 | $ | 49,460 | ||||||
Ratios to average net assets: |
| |||||||||||
Total expenses | 0.23 | % | 0.48 | % | 0.73 | %(g) | ||||||
Net expenses | 0.08 | % | 0.08 | % | 0.31 | %(g) | ||||||
Net investment income (loss) | 2.51 | % | 2.73 | % | 1.77 | %(g) | ||||||
Portfolio turnover rate | 8 | % | 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.
104
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 | ||||||||
Year Ended 12/31/16 | 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) | 0.15 | 0.06 | ||||||
Net realized and unrealized gain (loss) | 1.38 | (0.69 | ) | |||||
|
|
|
| |||||
Total from investment operations | 1.53 | (0.63 | ) | |||||
|
|
|
| |||||
Distributions to shareholders from: |
| |||||||
Net investment income | (0.09 | ) | (0.06 | ) | ||||
Net realized gains | (0.09 | ) | (0.01 | ) | ||||
|
|
|
| |||||
Total distributions | (0.18 | ) | (0.07 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 10.65 | $ | 9.30 | ||||
|
|
|
| |||||
Total return(b) | 16.46 | % | 6.30 | %(c) | ||||
Ratios and Supplemental Data: |
| |||||||
Net assets, end of period (in 000s) | $ | 142,269 | $ | 28,151 | ||||
Ratios to average net assets: |
| |||||||
Total expenses | 0.22 | % | 0.41 | %(d) | ||||
Net expenses | 0.03 | % | 0.03 | %(d) | ||||
Net investment income (loss) | 1.55 | % | 1.61 | %(d) | ||||
Portfolio turnover rate | 21 | % | 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.
105
Table of Contents
State Street Institutional Investment Trust
December 31, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2016, the Trust consists of thirty-three (33) 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. 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 and Portfolios:
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 |
The financial statements of the State Street Aggregate Bond Index Portfolio, State Street Global Equity ex-U.S. Index Portfolio and the State Street Small/Mid Cap Equity Index Portfolio (each a “Portfolio” and collectively the “Portfolios”), including the Schedules of Investments on this report, should be read in conjunction with these financial statements.
State Street Aggregate Bond Index Fund, State Street Global Equity ex-U.S. Index Fund and State Street Small/Mid Cap Equity Index Fund (each a “Fund” and collectively the “Funds”) each are part of a master-feeder structure and each Fund invests substantially all of its assets in its respective master portfolio as shown below. Each Portfolio is a separate series of the Trust. The performance of each Fund is directly affected by the performance of its respective Portfolio.
106
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
Fund Name | Portfolio Name | Fund Ownership Interest in Portfolio at 12/31/16 | ||||
State Street Aggregate Bond Index Fund | State Street Aggregate Bond Index Portfolio | 35.6 | % | |||
State Street Global Equity ex-U.S. Index Fund | State Street Global Equity ex-U.S. Index Portfolio | 40.6 | % | |||
State Street Small/Mid Cap Equity Index Fund | State Street Small/Mid Cap Equity Index Portfolio | 10.2 | % |
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 and Class 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 would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund 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 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 Portfolios 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 Portfolios. The Board has responsibility for determining the fair value of investments.
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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. |
• | Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value, pursuant to the valuation policy and procedures approved by the Board. |
• | 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. |
• | Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. Certain government inflation-indexed securities may require a calculated fair valuation as the cumulative inflation is contained within the price provided by the pricing service or broker. For these securities, the inflation component of the price is “cleaned” from the pricing service or broker price utilizing the published inflation factors in order to ensure proper accrual of income. |
• | Debt obligations (including convertible debt securities) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated bid prices. |
• | Exchange-traded futures contracts are valued at the closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
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.
Various inputs are used in determining the value of the Portfolio’s 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 asset or liability; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other 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 December 31, 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 year ended December 31, 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 year ended December 31, 2016 in the amount of $454,384,980. At December 31, 2016, these investments were valued at exchange closing prices in accordance with the Portfolio’s valuation policy. At December 31, 2015, these investments applied factor prices provided by an independent third party in accordance with the Portfolio’s valuation policy and procedures. The State Street Global Equity ex-U.S. Index Portfolio had transfers from Level 1 to Level 2 during the year ended December 31, 2016 in the amount of $1,905,755 due to inactive trading of the foreign market shares in those securities. At December 31, 2016, these investments were valued using alternative valuation procedures under the valuation policy and procedures adopted by the Board. At December 31, 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. Interest income is recorded daily on an accrual basis. All premiums and discounts are amortized/accreted for financial reporting purposes. Non-cash dividends received in the form of stock are recorded as dividend income at fair value. Distributions received by the 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 to return of capital or capital gains distributions at year end based
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December 31, 2016
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 Fund or 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.
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 December 31, 2016, if any, are disclosed in the Portfolios’ Statements of Assets and Liabilities.
Distributions
The following Funds and Portfolios declare and distribute from net investment income, if any, to its shareholders:
Name | Frequency | |
State Street Aggregate Bond Index Fund | Monthly | |
State Street Global Equity ex-U.S. Index Fund | Annually | |
State Street Small/Mid Cap Equity Index Fund | Annually | |
State Street Aggregate Bond Index Portfolio | Monthly | |
State Street Global Equity ex-U.S. Index Portfolio | Annually | |
State Street Small/Mid Cap Equity Index Portfolio | 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.
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December 31, 2016
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 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 Portfolio’s objectives. A futures contract is a standardized, exchange-traded agreement to buy or sell a financial instrument at a set price on a future date. Upon entering into a futures contract, the 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 December 31, 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 equitization and return enhancement | |
State Street Small/Mid Cap Equity Index Portfolio | Cash equitization and return enhancement |
The following tables summarize the value of the Portfolios’ derivative instruments as of December 31, 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) | $725 | $ | 725 |
(a) | Unrealized appreciation on open futures contracts. |
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December 31, 2016
Liability Derivatives
Equity Contracts Risk | Total | |||||
State Street Global Equity ex-U.S. Index Portfolio | ||||||
Futures Contracts(a) | $(76,365) | $ | (76,365 | ) | ||
State Street Small/Mid Cap Equity Index Portfolio | ||||||
Futures Contracts(a) | $(37,640) | $ | (37,640 | ) |
(a) | Unrealized depreciation on open futures contracts. |
Net Realized Gain (Loss)
Equity Contracts Risk | Total | |||||
State Street Global Equity ex-U.S. Index Portfolio | ||||||
Futures Contracts(a) | $852,673 | $ | 852,673 | |||
State Street Small/Mid Cap Equity Index Portfolio | ||||||
Futures Contracts(a) | $407,521 | $ | 407,521 |
(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) | $(139,090) | $ | (139,090 | ) | ||
State Street Small/Mid Cap Equity Index Portfolio | ||||||
Futures Contracts(a) | $(54,982) | $ | (54,982 | ) |
(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 | % |
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December 31, 2016
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, administration and sub-transfer agency 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 prior to April 30, 2017 except with the approval of the Funds’ Board.
With respect to the State Street Aggregate Bond Index Portfolio, SSGA FM agrees to waive up to the portion of the management fee and/or expenses attributable to acquired fund fees and expenses in connection with the Portfolio’s investments in To Be Announced (“TBA”) securities. This fee waiver and/or expense reimbursement may only be terminated with approval of the Portfolio’s Board.
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 Cap 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 Portfolio’s Board.
For the period ended December 31, 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”), an affiliate of the Adviser, 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.
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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.
Other Transactions with Affiliates
The Portfolios may invest in affiliated entities, including securities issued by State Street Corporation, 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 December 31, 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 Funds and 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 year ended December 31, 2016, were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
State Street Aggregate Bond Index Portfolio | $ | 406,533,568 | $ | 290,699,380 | $ | 61,687,935 | $ | 4,474,303 | ||||||||
State Street Global Equity ex-U.S. Index Portfolio | – | – | 440,666,477 | 23,797,402 | ||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | – | – | 124,255,337 | 16,946,621 |
8. | Income Tax Information |
The Funds and the Portfolios 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 and each
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December 31, 2016
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 the Portfolios file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Funds’ 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. 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, foreign currencies, REITs, amortization and accretion of premium and discount for financial statement purposes, passive foreign investment companies, and wash sale loss deferrals.
The tax character of distributions paid during the year ended December 31, 2016, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Aggregate Bond Index Fund | $ | 1,376,959 | $ | 59,776 | $ | – | $ | 1,436,735 | ||||||||
State Street Global Equity ex-U.S. Index Fund | 2,979,405 | – | – | 2,979,405 | ||||||||||||
State Street Small/Mid Cap Equity Index Fund | 167,382 | 606 | – | 167,988 | ||||||||||||
State Street Aggregate Bond Index Portfolio | 3,456,800 | – | – | 3,456,800 | ||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 8,017,668 | – | – | 8,017,668 | ||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 1,988,642 | 511,955 | – | 2,500,597 |
The tax character of distributions paid during the year ended December 31, 2015 was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Aggregate Bond Index Fund | $ | 2,255,223 | $ | 153 | $ | 94,809 | $ | 2,350,185 | ||||||||
State Street Global Equity ex-U.S. Index Fund | 1,175,011 | – | – | 1,175,011 | ||||||||||||
State Street Small/Mid Cap Equity Index Fund | 26,008 | 1,624 | – | 27,632 | ||||||||||||
State Street Aggregate Bond Index Portfolio | 2,260,274 | – | 143,433 | 2,403,707 | ||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 2,495,329 | – | 5,595 | 2,500,924 | ||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 181,912 | 15,133 | 10,921 | 207,966 |
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December 31, 2016
At December 31, 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 Aggregate Bond Index Fund | $ | – | $ | – | $ | 56,072 | $ | (1,738,400 | ) | $ | – | $ | (1,682,328 | ) | ||||||||||
State Street Global Equity ex-U.S. Index Fund | – | – | – | (4,639,800 | ) | – | (4,639,800 | ) | ||||||||||||||||
State Street Aggregate Bond Index Portfolio | – | – | – | (5,782,310 | ) | (406,380 | ) | (6,188,690 | ) | |||||||||||||||
State Street Global Equity ex-U.S. Index Portfolio | – | (1,367,134 | ) | – | (5,104,393 | ) | (11,177 | ) | (6,482,704 | ) | ||||||||||||||
State Street Small/Mid Cap Equity Index Fund | 2,247 | – | 40,667 | 751,992 | – | 794,906 | ||||||||||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 263,146 | – | 217,511 | 10,567,657 | – | 11,048,314 |
As of December 31, 2016, the Funds and Portfolios 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** | |||||||
State Street Global Equity ex-U.S. Index Portfolio | $ | 417,665 | $ | 949,469 |
** | Must be utilized prior to losses subject to expiration. |
At December 31, 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 Fund | $ | 90,780,997 | $ | – | $ | 1,738,400 | $ | (1,738,400 | ) | |||||||
State Street Global Equity ex-U.S. Index Fund | 229,039,559 | – | 4,639,800 | (4,639,800 | ) | |||||||||||
State Street Small/Mid Cap Equity Index Fund | 13,749,789 | 751,992 | – | 751,992 | ||||||||||||
State Street Aggregate Bond Index Portfolio | 256,856,565 | 463,492 | 6,245,802 | (5,782,310 | ) | |||||||||||
State Street Global Equity ex-U.S. Index Portfolio | 558,638,677 | 27,984,759 | 32,989,302 | (5,004,543 | ) | |||||||||||
State Street Small/Mid Cap Equity Index Portfolio | 140,309,395 | 16,758,333 | 6,190,676 | 10,567,657 |
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9. | Line of Credit |
The 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 2017 unless extended or renewed. Prior to October 13, 2016, the participant/participants could borrow up to $360 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 13, 2016, interest was calculated at a rate per annum equal to the sum of the New York Fed Bank Rate plus 1%.
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’ invest. 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.
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 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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Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of State Street Institutional Investment Trust:
We have audited the accompanying statements of assets and liabilities of State Street Aggregate Bond Index Fund, State Street Global Equity ex-U.S. Index Fund and State Street Small/Mid Cap Equity Index Fund (collectively, the “Funds”), and State Street Aggregate Bond Index Portfolio, State Street Global Equity ex-U.S. Index Portfolio and State Street Small/Mid Cap Equity Portfolio (collectively, the “Portfolios”) (six of the series constituting the State Street Institutional Investment Trust), including the schedules of investments of the Portfolios, as of December 31, 2016, and the related statements of operations, the statements of changes in net assets and the financial highlights for each of the years or periods indicated therein. These financial statements and financial highlights are the responsibility of the Funds’ and Portfolios’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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 Funds’ and Portfolios’ 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 Funds’ and Portfolios’ 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 December 31, 2016, by correspondence with the custodian, broker and others or by other appropriate auditing procedures where replies from brokers and 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 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 and State Street Small/Mid Cap Equity Portfolio (six of the series constituting State Street Institutional Investment Trust) at December 31, 2016, the results of their operations, the changes in their net assets and the financial highlights for each of the years or periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
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December 31, 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 July 1, 2016 to December 31, 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 U.S. Securities and Exchange Commission (the “SEC”) 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 | |||||||||||||||
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. |
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Other Information — (continued)
December 31, 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 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. |
Tax Information
For federal income tax purposes, the following information is furnished with respect to the distributions of the Trust for its fiscal year ended December 31, 2016.
Percentage of distributions which qualify for the corporate dividends received deduction:
Percentage | ||||
State Street Small/Mid Cap Equity Index Fund | 38.44 | % | ||
State Street Small/Mid Cap Equity Index Portfolio | 37.58 |
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended December 31, 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 are noted below:
Amount | ||||
State Street Global Equity ex-U.S. Index Fund | $ | 2,696,537 | ||
State Street Small/Mid Cap Equity Index Fund | 70,168 | |||
State Street Global Equity ex-U.S. Index Portfolio | 7,636,567 | |||
State Street Small/Mid Cap Equity Index Portfolio | 909,008 |
Long term capital gains dividends were paid from the following Funds during the year ended December 31, 2016:
Amount | ||||
State Street Aggregate Bond Index Fund | $ | 59,776 | ||
State Street Small/Mid Cap Equity Index Fund | 606 | |||
State Street Small/Mid Cap Equity Index Portfolio | 511,955 |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Foreign Tax Credit
The Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Funds to its shareholders. For the year ended December 31, 2016, the total amounts of foreign taxes that will be passed through are:
Amount | ||||
State Street Global Equity ex-U.S. Index Fund | $ | 260,323 | ||
State Street Global Equity ex-U.S. Index Portfolio | 680,314 |
The amount of foreign source income earned on the following Funds during the year ended December 31, 2016 were as follows:
Amount | ||||
State Street Global Equity ex-U.S. Index Fund | $ | 3,067,277 | ||
State Street Global Equity ex-U.S. Index Portfolio | 8,986,377 |
Proxy Voting Policies and Procedures and Records
The Funds have adopted the proxy voting policies of the Adviser. 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 1-800-997-7327 (toll free) or (ii) on the website of the SEC, 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 1-800-997-7327 (toll free) and on the Funds’ website at www.ssgafunds.com.
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||
William L. Boyan (1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. | |||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 | ||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||||
Independent Trustees (continued) |
| |||||||||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | ||||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 | ||||||||
Interested Trustee(2) | ||||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held | Term of Office and Length of | Principal Occupation During Past Five Years | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office and Length of | Principal Occupation During Past Five Years | |||
Officers: (continued) | ||||||
Brian Harris SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1973 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1976 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1983 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about the Funds’ directors and is available, without charge, upon request and by calling 1-800-997-7327.
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Trustees
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 | SSIITCOREAR IBG-22819 |
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
Annual Report
31 December 2016
State Street Institutional Investment Trust
State Street Global Value Spotlight Fund
State Street International Value Spotlight Fund
State Street European Value Spotlight Fund
State Street Asia Pacific Value Spotlight Fund
State Street U.S. Value Spotlight 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
Annual Report
December 31, 2016
1 | ||||
2 | ||||
4 | ||||
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7 | ||||
8 | ||||
10 | ||||
11 | ||||
13 | ||||
14 | ||||
16 | ||||
18 | ||||
19 | ||||
22 | ||||
24 | ||||
36 | ||||
37 |
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 Global Value Spotlight Fund
Portfolio Statistics (Unaudited)
The Fund has less than six months of operations as of December 31, 2016, and, therefore, no performance information is provided in this report.
Portfolio Composition* | December 31, 2016 | |||
Common Stocks | 94.2 | % | ||
Short-Term Investment | 5.8 | |||
Other Assets in Excess of Liabilities | 0.0 | ** | ||
Total | 100.0 | % |
Sector Breakdown as of December 31, 2016* | December 31, 2016 | |||
Banks | 13.7 | % | ||
Oil, Gas & Consumable Fuels | 9.0 | |||
Insurance | 8.7 | |||
Health Care Providers & Services | 8.1 | |||
Chemicals | 5.8 | |||
Machinery | 5.5 | |||
Software | 5.0 | |||
Airlines | 4.9 | |||
Textiles, Apparel & Luxury Goods | 3.2 | |||
Capital Markets | 3.1 | |||
Household Durables | 2.9 | |||
Aerospace & Defense | 2.8 | |||
Construction & Engineering | 2.8 | |||
Electrical Equipment | 2.7 | |||
Energy Equipment & Services | 2.7 | |||
Food Products | 2.6 | |||
Containers & Packaging | 2.5 | |||
Technology Hardware, Storage & Peripherals | 2.5 | |||
Pharmaceuticals | 2.4 | |||
Communications Equipment | 1.9 | |||
Specialty Retail | 1.4 | |||
Short-Term Investment | 5.8 | |||
Other Assets in Excess of Liabilities | 0.0 | ** | ||
Total | 100.0 | % |
* | 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 Global Value Spotlight Fund
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – 94.2% |
| |||||||
Australia – 2.9% |
| |||||||
Woodside Petroleum, Ltd. | 2,710 | $ | 61,145 | |||||
|
| |||||||
China – 2.4% |
| |||||||
China Construction Bank Corp. Class H | 66,000 | 50,821 | ||||||
|
| |||||||
Hong Kong – 2.6% |
| |||||||
WH Group, Ltd.(a) | 66,500 | 53,779 | ||||||
|
| |||||||
Hungary – 2.4% |
| |||||||
Richter Gedeon Nyrt | 2,404 | 50,981 | ||||||
|
| |||||||
Italy – 3.3% |
| |||||||
Eni SpA | 4,266 | 69,608 | ||||||
|
| |||||||
Japan – 8.1% |
| |||||||
Alfresa Holdings Corp. | 3,200 | 53,061 | ||||||
Sony Financial Holdings, Inc. | 4,000 | 62,554 | ||||||
Trend Micro, Inc.(b) | 1,500 | 53,436 | ||||||
|
| |||||||
169,051 | ||||||||
|
| |||||||
Netherlands – 2.6% |
| |||||||
Koninklijke DSM NV | 906 | 54,431 | ||||||
|
| |||||||
Panama – 2.6% |
| |||||||
Copa Holdings SA Class A | 600 | 54,498 | ||||||
|
| |||||||
South Korea – 5.3% |
| |||||||
Samsung Electronics Co., Ltd. Preference Shares | 45 | 53,390 | ||||||
Samsung Life Insurance Co., Ltd. | 619 | 57,657 | ||||||
|
| |||||||
111,047 | ||||||||
|
| |||||||
Spain – 2.8% |
| |||||||
ACS Actividades de Construccion y Servicios SA | 1,864 | 59,021 | ||||||
|
| |||||||
Sweden – 4.6% |
| |||||||
Telefonaktiebolaget LM Ericsson Class B | 6,840 | 40,281 | ||||||
Volvo AB Class B | 4,694 | 54,977 | ||||||
|
| |||||||
95,258 | ||||||||
|
| |||||||
Switzerland – 9.0% |
| |||||||
ABB, Ltd.(b) | 2,677 | 56,577 | ||||||
Credit Suisse Group AG(b) | 4,436 | 63,767 | ||||||
Swatch Group AG | 213 | 66,372 | ||||||
|
| |||||||
186,716 | ||||||||
|
| |||||||
Thailand – 3.0% |
| |||||||
Bangkok Bank PCL | 13,700 | 61,785 | ||||||
|
| |||||||
United Kingdom – 7.5% |
| |||||||
Barclays PLC | 20,627 | 56,952 | ||||||
easyJet PLC | 3,795 | 47,127 | ||||||
Standard Chartered PLC(b) | 6,325 | 51,864 | ||||||
|
| |||||||
155,943 | ||||||||
|
| |||||||
United States – 35.1% |
| |||||||
AGCO Corp. | 1,022 | 59,133 | ||||||
Cigna Corp. | 445 | 59,358 | ||||||
Citigroup, Inc. | 1,096 | 65,135 | ||||||
ConocoPhillips | 1,159 | 58,112 | ||||||
Guess?, Inc. | 2,390 | 28,919 | ||||||
McKesson Corp. | 422 | 59,270 | ||||||
MetLife, Inc. | 1,130 | 60,896 | ||||||
Mosaic Co. | 2,254 | 66,110 | ||||||
National Oilwell Varco, Inc. | 1,484 | 55,561 | ||||||
Oracle Corp. | 1,295 | 49,793 | ||||||
Owens-Illinois, Inc.(b) | 2,935 | 51,098 | ||||||
Tempur Sealy International, Inc.(b) | 878 | 59,950 | ||||||
United Technologies Corp. | 538 | 58,976 | ||||||
|
| |||||||
732,311 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,966,395 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 5.8% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(c)(d) | 120,334 | 120,334 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.0% |
| 2,086,729 | ||||||
Other Assets in Excess of | 47 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 2,086,776 | ||||||
|
|
(a) | Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 2.6% of net assets as of December 31, 2016, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Non-income producing security. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
(d) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(e) | Amount is less than 0.05% of net assets. |
At December 31, 2016, open forward foreign currency exchange contracts were as follows:
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||||
JP Morgan Chase Bank, N.A. | CHF | 27,266 | USD | 27,000 | 03/01/2017 | $ | 78 | |||||||||||||||||
JP Morgan Chase Bank, N.A. | SEK | 247,632 | USD | 27,000 | 03/01/2017 | (347 | ) | |||||||||||||||||
Royal Bank of Canada | CHF | 27,288 | USD | 27,000 | 03/01/2017 | 56 | ||||||||||||||||||
Royal Bank of Canada | SEK | 247,921 | USD | 27,000 | 03/01/2017 | (379 | ) | |||||||||||||||||
Westpac Banking Corp. | CHF | 27,278 | USD | 27,000 | 03/01/2017 | 66 | ||||||||||||||||||
Westpac Banking Corp. | SEK | 247,768 | USD | 27,000 | 03/01/2017 | (363 | ) | |||||||||||||||||
|
| |||||||||||||||||||||||
Total | $ | (889 | ) | |||||||||||||||||||||
|
|
See accompanying notes to financial statements.
2
Table of Contents
State Street Institutional Investment Trust
State Street Global Value Spotlight Fund
Schedule of Investments — (continued)
December 31, 2016
During the period ended December 31, 2016, average notional value related to foreign currency exchange contracts was $266,000 or 12.8% of net assets.
CHF | – Swiss franc | |
SEK | – Swedish krona | |
USD | – U.S. dollar |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 61,145 | $ | – | $ | – | $ | 61,145 | ||||||||
China | 50,821 | – | – | 50,821 | ||||||||||||
Hong Kong | 53,779 | – | – | 53,779 | ||||||||||||
Hungary | 50,981 | – | – | 50,981 | ||||||||||||
Italy | 69,608 | – | – | 69,608 | ||||||||||||
Japan | 169,051 | – | – | 169,051 | ||||||||||||
Netherlands | 54,431 | – | – | 54,431 | ||||||||||||
Panama | 54,498 | – | – | 54,498 | ||||||||||||
South Korea | 111,047 | – | – | 111,047 | ||||||||||||
Spain | 59,021 | – | – | 59,021 | ||||||||||||
Sweden | 95,258 | – | – | 95,258 | ||||||||||||
Switzerland | 186,716 | – | – | 186,716 | ||||||||||||
Thailand | 61,785 | – | – | 61,785 | ||||||||||||
United Kingdom | 155,943 | – | – | 155,943 | ||||||||||||
United States | 732,311 | – | – | 732,311 | ||||||||||||
Short-Term Investment | 120,334 | – | – | 120,334 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,086,729 | $ | – | $ | – | $ | 2,086,729 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | – | 200 | – | 200 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments and Other Financial Instruments | $ | 2,086,729 | $ | 200 | $ | – | $ | 2,086,929 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | (1,089 | ) | $ | – | $ | (1,089 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | – | $ | (1,089 | ) | $ | – | $ | (1,089 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Forward Foreign Currency Exchange Contracts are valued at unrealized appreciation (depreciation). |
Affiliate Table
Number of shares held at 9/23/16* | Value at 9/23/16* | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | $ | – | 2,231,130 | 2,110,796 | 120,334 | $ | 120,334 | $ | 133 | $ | – | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | – | $ | 120,334 | $ | 133 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations. |
See accompanying notes to financial statements.
3
Table of Contents
State Street Institutional Investment Trust
State Street International Value Spotlight Fund
Portfolio Statistics (Unaudited)
The Fund has less than six months of operations as of December 31, 2016, and, therefore, no performance information is provided in this report.
Portfolio Composition* | December 31, 2016 | |||
Common Stocks | 98.2 | % | ||
Short-Term Investment | 1.8 | |||
Other Assets in Excess of Liabilities | 0.0 | ** | ||
Total | 100.0 | % |
Sector Breakdown as of December 31, 2016* | December 31, 2016 | |||
Banks | 17.4 | % | ||
Machinery | 9.5 | |||
Oil, Gas & Consumable Fuels | 9.3 | |||
Chemicals | 8.9 | |||
Pharmaceuticals | 8.3 | |||
Capital Markets | 6.2 | |||
Insurance | 6.1 | |||
Electrical Equipment | 5.8 | |||
Communications Equipment | 3.3 | |||
Auto Components | 3.2 | |||
Textiles, Apparel & Luxury Goods | 3.2 | |||
Construction & Engineering | 3.1 | |||
Health Care Providers & Services | 2.9 | |||
Electronic Equipment, Instruments & Components | 2.8 | |||
Industrial Conglomerates | 2.8 | |||
Food Products | 2.7 | |||
Technology Hardware, Storage & Peripherals | 2.7 | |||
Short-Term Investment | 1.8 | |||
Other Assets in Excess of Liabilities | 0.0 | ** | ||
Total | 100.0 | % |
* | 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.
4
Table of Contents
State Street Institutional Investment Trust
State Street International Value Spotlight Fund
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – 98.2% |
| |||||||
Australia – 3.4% |
| |||||||
Incitec Pivot, Ltd. | 29,620 | $ | 77,212 | |||||
|
| |||||||
Canada – 3.1% |
| |||||||
Suncor Energy, Inc. | 2,119 | 69,367 | ||||||
|
| |||||||
China – 9.0% |
| |||||||
China Construction Bank Corp. Class H | 94,000 | 72,381 | ||||||
PetroChina Co., Ltd. Class H | 92,000 | 68,586 | ||||||
Shanghai Industrial Holdings, Ltd. | 23,000 | 62,297 | ||||||
|
| |||||||
203,264 | ||||||||
|
| |||||||
France – 9.5% |
| |||||||
Alstom SA(a) | 2,554 | 70,511 | ||||||
Sanofi | 796 | 64,564 | ||||||
Vallourec SA(a) | 11,267 | 77,839 | ||||||
|
| |||||||
212,914 | ||||||||
|
| |||||||
Germany – 6.5% |
| |||||||
Deutsche Bank AG(a) | 4,056 | 73,796 | ||||||
Schaeffler AG Preference Shares | 4,953 | 73,426 | ||||||
|
| |||||||
147,222 | ||||||||
|
| |||||||
Hong Kong – 2.7% |
| |||||||
WH Group, Ltd.(b) | 74,000 | 59,844 | ||||||
|
| |||||||
Hungary – 2.7% |
| |||||||
Richter Gedeon Nyrt | 2,822 | 59,845 | ||||||
|
| |||||||
Israel – 2.7% |
| |||||||
Teva Pharmaceutical Industries, Ltd. ADR | 1,704 | 61,770 | ||||||
|
| |||||||
Italy – 6.0% |
| |||||||
Assicurazioni Generali SpA | 4,192 | 62,432 | ||||||
Eni SpA | 4,406 | 71,892 | ||||||
|
| |||||||
134,324 | ||||||||
|
| |||||||
Japan – 18.0% |
| |||||||
Alfresa Holdings Corp. | 4,000 | 66,327 | ||||||
Hirose Electric Co., Ltd. | 500 | 62,117 | ||||||
JSR Corp. | 4,200 | 66,366 | ||||||
Sony Financial Holdings, Inc. | 4,700 | 73,501 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,900 | 72,654 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 1,800 | 64,555 | ||||||
|
| |||||||
405,520 | ||||||||
|
| |||||||
Netherlands – 2.6% |
| |||||||
Koninklijke DSM NV | 959 | 57,615 | ||||||
|
| |||||||
South Korea – 5.6% |
| |||||||
KB Financial Group, Inc. | 1,862 | 65,983 | ||||||
Samsung Electronics Co., Ltd. Preference Shares | 51 | 60,509 | ||||||
|
| |||||||
126,492 | ||||||||
|
| |||||||
Spain – 3.1% |
| |||||||
ACS Actividades de Construccion y Servicios SA | 2,237 | 70,831 | ||||||
|
| |||||||
Sweden – 6.1% |
| |||||||
Telefonaktiebolaget LM Ericsson Class B | 12,683 | 74,692 | ||||||
Volvo AB Class B | 5,321 | 62,320 | ||||||
|
| |||||||
137,012 | ||||||||
|
| |||||||
Switzerland – 8.8% | ||||||||
ABB, Ltd.(a) | 2,874 | 60,740 | ||||||
Credit Suisse Group AG(a) | 4,453 | 64,012 | ||||||
Swatch Group AG | 232 | 72,293 | ||||||
|
| |||||||
197,045 | ||||||||
|
| |||||||
Thailand – 2.4% | ||||||||
Bangkok Bank PCL NVDR | 11,900 | 53,003 | ||||||
|
| |||||||
United Kingdom – 6.0% | ||||||||
CNH Industrial NV | 8,300 | 72,355 | ||||||
Standard Chartered PLC(a) | 7,672 | 62,909 | ||||||
|
| |||||||
135,264 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 2,208,544 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 1.8% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(c)(d) (Cost $41,185) | 41,185 | 41,185 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.0% |
| 2,249,729 | ||||||
Other Assets in Excess of | 467 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 2,250,196 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 2.7% of net assets as of December 31, 2016, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2016. |
(e) | Amount is less than 0.05% of net assets. |
ADR | American Depositary Receipt | |
NVDR | Non Voting Depositary Receipt |
See accompanying notes to financial statements.
5
Table of Contents
State Street Institutional Investment Trust
State Street International Value Spotlight Fund
Schedule of Investments — (continued)
December 31, 2016
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 77,212 | $ | – | $ | – | $ | 77,212 | ||||||||
Canada | 69,367 | – | – | 69,367 | ||||||||||||
China | 203,264 | – | – | 203,264 | ||||||||||||
France | 212,914 | – | – | 212,914 | ||||||||||||
Germany | 147,222 | – | – | 147,222 | ||||||||||||
Hong Kong | 59,844 | – | – | 59,844 | ||||||||||||
Hungary | 59,845 | – | – | 59,845 | ||||||||||||
Israel | 61,770 | – | – | 61,770 | ||||||||||||
Italy | 134,324 | – | – | 134,324 | ||||||||||||
Japan | 405,520 | – | – | 405,520 | ||||||||||||
Netherlands | 57,615 | – | – | 57,615 | ||||||||||||
South Korea | 126,492 | – | – | 126,492 | ||||||||||||
Spain | 70,831 | – | – | 70,831 | ||||||||||||
Sweden | 137,012 | – | – | 137,012 | ||||||||||||
Switzerland | 197,045 | – | – | 197,045 | ||||||||||||
Thailand | 53,003 | – | – | 53,003 | ||||||||||||
United Kingdom | 135,264 | – | – | 135,264 | ||||||||||||
Short-Term Investment | 41,185 | – | – | 41,185 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,249,729 | $ | – | $ | – | $ | 2,249,729 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of shares held at 7/14/16* | Value at 7/14/16* | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | – | $ | – | 2,115,497 | 2,115,497 | – | $ | – | $ | 137 | – | |||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 206,949 | 165,764 | 41,185 | $ | 41,185 | $ | 67 | – | ||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | – | $ | 41,185 | $ | 204 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations. |
See accompanying notes to financial statements.
6
Table of Contents
State Street Institutional Investment Trust
State Street European Value Spotlight Fund
Portfolio Statistics (Unaudited)
The Fund has less than six months of operations as of December 31, 2016, and, therefore, no performance information is provided in this report.
Portfolio Composition* | December 31, 2016 | |||
Common Stocks | 95.9 | % | ||
Short-Term Investment | 4.0 | |||
Other Assets in Excess of Liabilities | 0.1 | |||
Total | 100.0 | % |
Sector Breakdown as of December 31, 2016* | December 31, 2016 | |||
Pharmaceuticals | 13.2 | % | ||
Banks | 12.4 | |||
Machinery | 9.4 | |||
Oil, Gas & Consumable Fuels | 9.0 | |||
Insurance | 8.4 | |||
Chemicals | 7.7 | |||
Auto Components | 6.5 | |||
Electrical Equipment | 6.1 | |||
Airlines | 3.5 | |||
Construction & Engineering | 3.5 | |||
Textiles, Apparel & Luxury Goods | 3.1 | |||
Capital Markets | 2.9 | |||
Semiconductors & Semiconductor Equipment | 2.9 | |||
Communications Equipment | 2.8 | |||
Diversified Telecommunication Services | 2.3 | |||
Diversified Financial Services | 2.2 | |||
Short-Term Investment | 4.0 | |||
Other Assets in Excess of Liabilities | 0.1 | |||
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.
7
Table of Contents
State Street Institutional Investment Trust
State Street European Value Spotlight Fund
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – 95.9% | ||||||||
Austria – 4.7% | ||||||||
ANDRITZ AG | 573 | $ | 28,825 | |||||
Erste Group Bank AG(a) | 679 | 19,928 | ||||||
|
| |||||||
48,753 | ||||||||
|
| |||||||
France – 19.2% | ||||||||
Alstom SA(a) | 1,166 | 32,191 | ||||||
AXA SA | 1,261 | 31,901 | ||||||
BNP Paribas SA | 250 | 15,966 | ||||||
Cie Generale des Etablissements Michelin | 192 | 21,406 | ||||||
Sanofi | 430 | 34,877 | ||||||
Societe Generale SA | 633 | 31,210 | ||||||
TOTAL SA | 650 | 33,402 | ||||||
|
| |||||||
200,953 | ||||||||
|
| |||||||
Germany – 9.1% | ||||||||
Allianz SE | 122 | 20,203 | ||||||
BASF SE | 294 | 27,385 | ||||||
Continental AG | 123 | 23,832 | ||||||
Schaeffler AG Preference Shares | 1,560 | 23,126 | ||||||
|
| |||||||
94,546 | ||||||||
|
| |||||||
Hungary – 3.0% | ||||||||
Richter Gedeon Nyrt | 1,483 | 31,449 | ||||||
|
| |||||||
Italy – 6.9% | ||||||||
Assicurazioni Generali SpA | 2,317 | 34,507 | ||||||
Eni SpA | 2,301 | 37,546 | ||||||
|
| |||||||
72,053 | ||||||||
|
| |||||||
Netherlands – 10.2% | ||||||||
Akzo Nobel NV | 507 | 31,759 | ||||||
ASM International NV | 674 | 30,309 | ||||||
Euronext NV(b) | 543 | 22,454 | ||||||
Koninklijke DSM NV | 370 | 22,229 | ||||||
|
| |||||||
106,751 | ||||||||
|
| |||||||
Spain – 3.5% | ||||||||
ACS Actividades de Construccion y Servicios SA | 1,172 | 37,110 | ||||||
|
| |||||||
Sweden – 6.2% | ||||||||
Telefonaktiebolaget LM Ericsson Class B | 5,001 | 29,451 | ||||||
Volvo AB Class B | 3,010 | 35,254 | ||||||
|
| |||||||
64,705 | ||||||||
|
| |||||||
Switzerland – 15.9% | ||||||||
ABB, Ltd.(a) | 1,473 | 31,131 | ||||||
Credit Suisse Group AG(a) | 2,137 | 30,719 | ||||||
Novartis AG | 485 | 35,361 | ||||||
Roche Holding AG | 162 | 37,075 | ||||||
Swatch Group AG | 103 | 32,095 | ||||||
|
| |||||||
166,381 | ||||||||
|
| |||||||
United Kingdom – 17.2% | ||||||||
Barclays PLC | 11,374 | 31,404 | ||||||
BT Group PLC | 5,349 | 24,250 | ||||||
CNH Industrial NV | 3,845 | 33,519 | ||||||
easyJet PLC | 2,893 | 35,926 | ||||||
Standard Chartered PLC(a) | 3,855 | 31,610 | ||||||
Tullow Oil PLC(a) | 5,833 | 22,538 | ||||||
|
| |||||||
179,247 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,001,948 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 4.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(c)(d) | 41,566 | 41,566 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.9% |
| 1,043,514 | ||||||
Other Assets in Excess of | 688 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 1,044,202 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 2.2% of net assets as of December 31, 2016, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Austria | $ | 48,753 | $ | – | $ | – | $ | 48,753 | ||||||||
France | 200,953 | – | – | 200,953 | ||||||||||||
Germany | 94,546 | – | – | 94,546 |
See accompanying notes to financial statements.
8
Table of Contents
State Street Institutional Investment Trust
State Street European Value Spotlight Fund
Schedule of Investments — (continued)
December 31, 2016
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Hungary | $ | 31,449 | $ | – | $ | – | $ | 31,449 | ||||||||
Italy | 72,053 | – | – | 72,053 | ||||||||||||
Netherlands | 106,751 | – | – | 106,751 | ||||||||||||
Spain | 37,110 | – | – | 37,110 | ||||||||||||
Sweden | 64,705 | – | – | 64,705 | ||||||||||||
Switzerland | 166,381 | – | – | 166,381 | ||||||||||||
United Kingdom | 179,247 | – | – | 179,247 | ||||||||||||
Short-Term Investment | 41,566 | – | – | 41,566 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,043,514 | $ | – | $ | – | $ | 1,043,514 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of shares held at 9/23/16* | Value at 9/23/16* | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | $ | – | 1,128,507 | 1,086,941 | 41,566 | $ | 41,566 | $ | 72 | $ | – | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | – | $ | 41,566 | $ | 72 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations. |
See accompanying notes to financial statements.
9
Table of Contents
State Street Institutional Investment Trust
State Street Asia Pacific Value Spotlight Fund
Portfolio Statistics (Unaudited)
The Fund has less than six months of operations as of December 31, 2016, and, therefore, no performance information is provided in this report.
Portfolio Composition* | December 31, 2016 | |||
Common Stocks | 95.1 | % | ||
Short-Term Investment | 5.2 | |||
Liabilities in Excess of Other Assets | (0.3 | ) | ||
Total | 100.0 | % |
Sector Breakdown as of December 31, 2016* | December 31, 2016 | |||
Banks | 17.2 | % | ||
Insurance | 8.4 | |||
Machinery | 6.8 | |||
Automobiles | 6.1 | |||
Wireless Telecommunication Services | 5.7 | |||
Chemicals | 5.1 | |||
Food Products | 5.1 | |||
Tobacco | 5.0 | |||
Semiconductors & Semiconductor Equipment | 4.5 | |||
Technology Hardware, Storage & Peripherals | 4.3 | |||
Textiles, Apparel & Luxury Goods | 4.2 | |||
Health Care Providers & Services | 4.1 | |||
Electronic Equipment, Instruments & Components | 3.9 | |||
Trading Companies & Distributors | 3.6 | |||
Oil, Gas & Consumable Fuels | 3.4 | |||
Software | 2.9 | |||
Auto Components | 2.7 | |||
Industrial Conglomerates | 2.1 | |||
Short-Term Investment | 5.2 | |||
Liabilities in Excess of Other Assets | (0.3 | ) | ||
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.
10
Table of Contents
State Street Institutional Investment Trust
State Street Asia Pacific Value Spotlight Fund
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – 95.1% | ||||||||
Australia – 8.8% | ||||||||
Incitec Pivot, Ltd. | 18,191 | $ | 47,420 | |||||
QBE Insurance Group, Ltd. | 6,318 | 56,820 | ||||||
Woodside Petroleum, Ltd. | 2,896 | 65,342 | ||||||
|
| |||||||
169,582 | ||||||||
|
| |||||||
China – 12.2% | ||||||||
ANTA Sports Products, Ltd. | 27,000 | 80,619 | ||||||
China Construction Bank Corp. Class H | 80,000 | 61,601 | ||||||
China Mobile, Ltd. | 5,000 | 53,011 | ||||||
Shanghai Industrial Holdings, Ltd. | 15,000 | 40,628 | ||||||
|
| |||||||
235,859 | ||||||||
|
| |||||||
Hong Kong – 5.1% | ||||||||
WH Group, Ltd.(a) | 123,000 | 99,470 | ||||||
|
| |||||||
Japan – 45.5% | ||||||||
Alfresa Holdings Corp. | 4,800 | 79,592 | ||||||
Hirose Electric Co., Ltd. | 600 | 74,540 | ||||||
ITOCHU Corp. | 5,300 | 70,524 | ||||||
Japan Tobacco, Inc. | 1,500 | 49,436 | ||||||
Kansai Paint Co., Ltd. | 2,700 | 49,840 | ||||||
KDDI Corp. | 2,300 | 58,360 | ||||||
Komatsu, Ltd. | 2,100 | 47,668 | ||||||
Kurita Water Industries, Ltd. | 1,600 | 35,310 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 8,000 | 49,399 | ||||||
SMC Corp. | 200 | 47,850 | ||||||
Sony Financial Holdings, Inc. | 4,600 | 71,937 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 1,800 | 68,830 | ||||||
Suzuki Motor Corp. | 1,500 | 52,909 | ||||||
Toyota Motor Corp. | 1,100 | 64,867 | ||||||
Trend Micro, Inc.(b) | 1,600 | 56,999 | ||||||
|
| |||||||
878,061 | ||||||||
|
| |||||||
Singapore – 2.5% | ||||||||
United Overseas Bank, Ltd. | 3,400 | 48,010 | ||||||
|
| |||||||
South Korea – 14.3% | ||||||||
Hyundai Mobis Co., Ltd. | 239 | 52,240 | ||||||
KT&G Corp. | 545 | 45,575 | ||||||
Samsung Electronics Co., Ltd. Preference Shares | 70 | 83,052 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 156 | 34,680 | ||||||
Shinhan Financial Group Co., Ltd. | 1,599 | 59,906 | ||||||
|
| |||||||
275,453 | ||||||||
|
| |||||||
Taiwan – 4.5% | ||||||||
Taiwan Semiconductor Manufacturing Co., Ltd. ADR | 3,000 | 86,250 | ||||||
|
| |||||||
United Kingdom – 2.2% | ||||||||
Standard Chartered PLC(b) | 5,200 | 41,784 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 1,834,469 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 5.2% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(c)(d) | 100,447 | 100,447 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 100.3% | 1,934,916 | |||||||
Liabilities in Excess of Other | (5,296 | ) | ||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 1,929,620 | ||||||
|
|
(a) | Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 5.1% of net assets as of December 31, 2016, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(b) | Non-income producing security. |
(c) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2016. |
ADR | American Depositary Receipt |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 169,582 | $ | – | $ | – | $ | 169,582 | ||||||||
China | 235,859 | – | – | 235,859 | ||||||||||||
Hong Kong | 99,470 | – | – | 99,470 | ||||||||||||
Japan | 878,061 | – | – | 878,061 | ||||||||||||
Singapore | 48,010 | – | – | 48,010 | ||||||||||||
South Korea | 275,453 | – | – | 275,453 |
See accompanying notes to financial statements.
11
Table of Contents
State Street Institutional Investment Trust
State Street Asia Pacific Value Spotlight Fund
Schedule of Investments — (continued)
December 31, 2016
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Taiwan | $ | 86,250 | $ | – | $ | – | $ | 86,250 | ||||||||
United Kingdom | 41,784 | – | – | 41,784 | ||||||||||||
Short-Term Investment | 100,447 | – | – | 100,447 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,934,916 | $ | – | $ | – | $ | 1,934,916 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of shares held at 9/23/16* | Value at 9/23/16* | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | $ | – | 2,117,319 | 2,016,872 | 100,447 | $ | 100,447 | $ | 106 | $ | – | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | – | $ | 100,447 | $ | 106 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations. |
See accompanying notes to financial statements.
12
Table of Contents
State Street Institutional Investment Trust
State Street U.S. Value Spotlight Fund
Portfolio Statistics (Unaudited)
The Fund has less than six months of operations as of December 31, 2016, and, therefore, no performance information is provided in this report.
Portfolio Composition* | December 31, 2016 | |||
Common Stocks | 91.7 | % | ||
Short-Term Investment | 9.7 | |||
Liabilities in Excess of Other Assets | (1.4 | ) | ||
Total | 100.0 | % |
Sector Breakdown as of December 31, 2016* | December 31, 2016 | |||
Oil, Gas & Consumable Fuels | 11.6 | % | ||
Banks | 10.5 | |||
Pharmaceuticals | 7.4 | |||
Software | 6.8 | |||
Insurance | 6.6 | |||
Health Care Providers & Services | 5.8 | |||
Aerospace & Defense | 5.3 | |||
Communications Equipment | 5.2 | |||
Specialty Retail | 5.0 | |||
Machinery | 3.4 | |||
Energy Equipment & Services | 3.3 | |||
Chemicals | 3.1 | |||
Electronic Equipment, Instruments & Components | 3.1 | |||
Household Durables | 3.1 | |||
Containers & Packaging | 2.7 | |||
Airlines | 2.6 | |||
Multiline Retail | 2.5 | |||
Food & Staples Retailing | 2.2 | |||
Electric Utilities | 1.5 | |||
Short-Term Investment | 9.7 | |||
Liabilities in Excess of Other Assets | (1.4 | ) | ||
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.
13
Table of Contents
State Street Institutional Investment Trust
State Street U.S. Value Spotlight Fund
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – 91.7% | ||||||||
Aerospace & Defense – 5.3% | ||||||||
General Dynamics Corp. | 141 | $ | 24,345 | |||||
United Technologies Corp. | 284 | 31,132 | ||||||
|
| |||||||
55,477 | ||||||||
|
| |||||||
Airlines – 2.6% | ||||||||
Copa Holdings SA Class A | 300 | 27,249 | ||||||
|
| |||||||
Banks – 10.5% | ||||||||
Citigroup, Inc. | 753 | 44,751 | ||||||
PNC Financial Services Group, Inc. | 243 | 28,421 | ||||||
Wells Fargo & Co. | 656 | 36,152 | ||||||
|
| |||||||
109,324 | ||||||||
|
| |||||||
Chemicals – 3.1% | ||||||||
Mosaic Co. | 1,110 | 32,556 | ||||||
|
| |||||||
Communications Equipment – 5.2% |
| |||||||
Cisco Systems, Inc. | 931 | 28,135 | ||||||
F5 Networks, Inc.(a) | 183 | 26,484 | ||||||
|
| |||||||
54,619 | ||||||||
|
| |||||||
Containers & Packaging – 2.7% |
| |||||||
Owens-Illinois, Inc.(a) | 1,624 | 28,274 | ||||||
|
| |||||||
Electric Utilities – 1.5% | ||||||||
FirstEnergy Corp. | 504 | 15,609 | ||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 3.1% |
| |||||||
Jabil Circuit, Inc. | 1,360 | 32,191 | ||||||
|
| |||||||
Energy Equipment & Services – 3.3% |
| |||||||
National Oilwell Varco, Inc. | 919 | 34,407 | ||||||
|
| |||||||
Food & Staples Retailing – 2.2% |
| |||||||
Wal-Mart Stores, Inc. | 336 | 23,224 | ||||||
|
| |||||||
Health Care Providers & Services – 5.8% |
| |||||||
Cigna Corp. | 226 | 30,146 | ||||||
McKesson Corp. | 219 | 30,759 | ||||||
|
| |||||||
60,905 | ||||||||
|
| |||||||
Household Durables – 3.1% | ||||||||
Tempur Sealy International, Inc.(a) | 467 | 31,887 | ||||||
|
| |||||||
Insurance – 6.6% | ||||||||
Hartford Financial Services Group, Inc. | 717 | 34,165 | ||||||
MetLife, Inc. | 636 | 34,274 | ||||||
|
| |||||||
68,439 | ||||||||
|
| |||||||
Machinery – 3.4% | ||||||||
AGCO Corp. | 617 | 35,700 | ||||||
|
| |||||||
Multiline Retail – 2.5% | ||||||||
Nordstrom, Inc. | 543 | 26,026 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 11.6% |
| |||||||
Chevron Corp. | 269 | 31,661 | ||||||
ConocoPhillips | 762 | 38,207 | ||||||
EQT Corp. | 381 | 24,917 | ||||||
Occidental Petroleum Corp. | 378 | 26,925 | ||||||
|
| |||||||
121,710 | ||||||||
|
| |||||||
Pharmaceuticals – 7.4% | ||||||||
Eli Lilly & Co. | 361 | 26,552 | ||||||
Johnson & Johnson | 205 | 23,618 | ||||||
Merck & Co., Inc. | 455 | 26,786 | ||||||
|
| |||||||
76,956 | ||||||||
|
| |||||||
Software – 6.8% | ||||||||
CA, Inc. | 575 | 18,268 | ||||||
Microsoft Corp. | 397 | 24,669 | ||||||
Oracle Corp. | 744 | 28,607 | ||||||
|
| |||||||
71,544 | ||||||||
|
| |||||||
Specialty Retail – 5.0% | ||||||||
Guess?, Inc. | 1,857 | 22,470 | ||||||
Michaels Cos., Inc.(a) | 1,447 | 29,591 | ||||||
|
| |||||||
52,061 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 958,158 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT – 9.7% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(b)(c) (Cost $101,767) | 101,767 | 101,767 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.4% (Cost $1,022,926) | 1,059,925 | |||||||
Liabilities in Excess of Other |
| (14,580 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% | $ | 1,045,345 | ||||||
|
|
(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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 55,477 | $ | – | $ | – | $ | 55,477 | ||||||||
Airlines | 27,249 | – | – | 27,249 |
See accompanying notes to financial statements.
14
Table of Contents
State Street Institutional Investment Trust
State Street U.S. Value Spotlight Fund
Schedule of Investments — (continued)
December 31, 2016
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Banks | $ | 109,324 | $ | – | $ | – | $ | 109,324 | ||||||||
Chemicals | 32,556 | – | – | 32,556 | ||||||||||||
Communications Equipment | 54,619 | – | – | 54,619 | ||||||||||||
Containers & Packaging | 28,274 | – | – | 28,274 | ||||||||||||
Electric Utilities | 15,609 | – | – | 15,609 | ||||||||||||
Electronic Equipment, Instruments & Components | 32,191 | – | – | 32,191 | ||||||||||||
Energy Equipment & Services | 34,407 | – | – | 34,407 | ||||||||||||
Food & Staples Retailing | 23,224 | – | – | 23,224 | ||||||||||||
Health Care Providers & Services | 60,905 | – | – | 60,905 | ||||||||||||
Household Durables | 31,887 | – | – | 31,887 | ||||||||||||
Insurance | 68,439 | – | – | 68,439 | ||||||||||||
Machinery | 35,700 | – | – | 35,700 | ||||||||||||
Multiline Retail | 26,026 | – | – | 26,026 | ||||||||||||
Oil, Gas & Consumable Fuels | 121,710 | – | – | 121,710 | ||||||||||||
Pharmaceuticals | 76,956 | – | – | 76,956 | ||||||||||||
Software | 71,544 | – | – | 71,544 | ||||||||||||
Specialty Retail | 52,061 | – | – | 52,061 | ||||||||||||
Short-Term Investment | 101,767 | – | – | 101,767 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,059,925 | $ | – | $ | – | $ | 1,059,925 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of shares held at 9/23/16* | Value at 9/23/16* | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | $ | – | 1,028,392 | 926,625 | 101,767 | $ | 101,767 | $ | 106 | $ | – | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | – | $ | 101,767 | $ | 106 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations. |
See accompanying notes to financial statements.
15
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
December 31, 2016
State Street Global Value Spotlight Fund | State Street International Value Spotlight Fund | State Street European Value Spotlight Fund | State Street Asia Pacific Value Spotlight Fund | State Street U.S. Value Spotlight Fund | ||||||||||||||||
Assets | ||||||||||||||||||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 1,966,395 | $ | 2,208,544 | $ | 1,001,948 | $ | 1,834,469 | $ | 958,158 | ||||||||||
Investments in affiliated issuers, at value (Note 2) | 120,334 | 41,185 | 41,566 | 100,447 | 101,767 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total investments | 2,086,729 | 2,249,729 | 1,043,514 | 1,934,916 | 1,059,925 | |||||||||||||||
Foreign currency, at value | 6,689 | 7,726 | 4,436 | 1,453 | – | |||||||||||||||
Unrealized appreciation on forward foreign currency exchange contracts | 200 | – | – | – | – | |||||||||||||||
Dividends receivable – unaffiliated issuers (Note 2) | 1,683 | – | 613 | 1,998 | 895 | |||||||||||||||
Dividends receivable – affiliated issuers (Note 2) | 39 | 25 | 15 | 26 | 32 | |||||||||||||||
Receivable from Adviser (Note 4) | 22,718 | 31,296 | 25,002 | 21,145 | 13,143 | |||||||||||||||
Receivable for foreign taxes recoverable | 77 | 177 | – | 126 | – | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total assets | 2,118,135 | 2,288,953 | 1,073,580 | 1,959,664 | 1,073,995 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Liabilities | ||||||||||||||||||||
Unrealized depreciation on forward foreign currency exchange contracts | 1,089 | – | – | – | – | |||||||||||||||
Advisory fee payable (Note 4) | 1,332 | 1,434 | 653 | 1,238 | 584 | |||||||||||||||
Custodian fees payable (Note 4) | – | – | – | – | 338 | |||||||||||||||
Administration fees payable (Note 4) | 89 | 96 | 44 | 83 | 45 | |||||||||||||||
Transfer agent fees payable (Note 4) | 730 | 5,318 | 728 | 730 | 729 | |||||||||||||||
Registration and filing fees payable | 1,353 | 1,337 | 1,312 | 1,353 | 1,312 | |||||||||||||||
Professional fees payable | 26,625 | 26,625 | 26,625 | 26,625 | 25,625 | |||||||||||||||
Printing and postage fees payable | – | 3,883 | – | – | – | |||||||||||||||
Accrued expenses and other liabilities | 141 | 64 | 16 | 15 | 17 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total liabilities | 31,359 | 38,757 | 29,378 | 30,044 | 28,650 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 2,086,776 | $ | 2,250,196 | $ | 1,044,202 | $ | 1,929,620 | $ | 1,045,345 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets Consist of: | ||||||||||||||||||||
Paid-in Capital | $ | 2,000,000 | $ | 2,000,000 | $ | 1,000,000 | $ | 2,000,000 | $ | 1,000,000 | ||||||||||
Undistributed (distribution in excess of) net investment income (loss) | 2,425 | – | 1,558 | – | – | |||||||||||||||
Accumulated net realized gain (loss) on investments, foreign currency transactions and forward foreign currency exchange contracts | 23,006 | 46,706 | 2,882 | 10,877 | 8,346 | |||||||||||||||
Net unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments** | 62,293 | 203,612 | 39,714 | (81,226 | ) | 36,999 | ||||||||||||||
Foreign currency transactions and forward foreign currency exchange contracts | (948 | ) | (122 | ) | 48 | (31 | ) | – | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Assets | $ | 2,086,776 | $ | 2,250,196 | $ | 1,044,202 | $ | 1,929,620 | $ | 1,045,345 | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
16
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
December 31, 2016
State Street Global Value Spotlight Fund | State Street International Value Spotlight Fund | State Street European Value Spotlight Fund | State Street Asia Pacific Value Spotlight Fund | State Street U.S. Value Spotlight Fund | ||||||||||||||||
Net Asset Value Per Share | ||||||||||||||||||||
Class K | ||||||||||||||||||||
Net assets | $ | 2,086,776 | $ | 2,250,196 | $ | 1,044,202 | $ | 1,929,620 | $ | 1,045,345 | ||||||||||
Shares outstanding | 200,000 | 200,000 | 100,000 | 200,000 | 100,000 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, offering and redemption price per share | $ | 10.43 | $ | 11.25 | $ | 10.44 | $ | 9.65 | $ | 10.45 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Cost of Investments: | ||||||||||||||||||||
Investments in unaffiliated issuers | $ | 1,903,976 | $ | 2,004,932 | $ | 962,234 | $ | 1,915,695 | $ | 921,159 | ||||||||||
Investments in affiliated issuers | 120,334 | 41,185 | 41,566 | 100,447 | 101,767 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total cost of investments | $ | 2,024,310 | $ | 2,046,117 | $ | 1,003,800 | $ | 2,016,142 | $ | 1,022,926 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Foreign currency, at cost | $ | 6,759 | $ | 7,838 | $ | 4,395 | $ | 1,502 | $ | – | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
** Includes deferred foreign taxes | $ | 126 | $ | – | $ | – | $ | – | $ | – | ||||||||||
|
|
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
17
Table of Contents
State Street Institutional Investment Trust
For the Period Ended December 31, 2016
State Street Global Value Spotlight Fund(a) | State Street International Value Spotlight Fund(b) | State Street European Value Spotlight Fund(a) | State Street Asia Pacific Value Spotlight Fund(a) | State Street U.S. Value Spotlight Fund(a) | ||||||||||||||||
Investment Income | ||||||||||||||||||||
Dividend income – unaffiliated issuers (Note 2) | $ | 6,144 | $ | 13,092 | $ | 1,382 | $ | 12,569 | $ | 5,242 | ||||||||||
Dividend income – affiliated issuers (Note 2) | 133 | 204 | 72 | 106 | 106 | |||||||||||||||
Foreign taxes withheld | (287 | ) | (1,310 | ) | (293 | ) | (1,581 | ) | – | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total Investment Income (loss) | 5,990 | 11,986 | 1,161 | 11,094 | 5,348 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses | ||||||||||||||||||||
Advisory fees (Note 4) | 4,133 | 7,522 | 2,050 | 3,999 | 1,814 | |||||||||||||||
Administration fees (Note 4) | 276 | 502 | 137 | 267 | 140 | |||||||||||||||
Custodian fees (Note 4) | 8,051 | 14,762 | 11,420 | 6,562 | 3,662 | |||||||||||||||
Trustees’ fees and expenses (Note 5) | 957 | 1,793 | 955 | 957 | 955 | |||||||||||||||
Transfer agent fees (Note 4) | 3,661 | 11,149 | 3,660 | 3,661 | 3,660 | |||||||||||||||
Registration and filing fees | 1,920 | 1,904 | 1,879 | 1,920 | 1,879 | |||||||||||||||
Professional fees | 27,667 | 29,526 | 27,665 | 27,667 | 26,665 | |||||||||||||||
Printing and postage fees | 5,462 | 10,597 | 4,410 | 5,468 | 1,061 | |||||||||||||||
Miscellaneous expenses | 30 | 80 | 23 | 30 | 23 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total expenses | 52,157 | 77,835 | 52,199 | 50,531 | 39,859 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Expenses waived/reimbursed by the Adviser (Note 4) | (48,024 | ) | (70,312 | ) | (50,149 | ) | (46,532 | ) | (38,045 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net expenses | 4,133 | 7,523 | 2,050 | 3,999 | 1,814 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Investment Income (Loss) | 1,857 | 4,463 | (889 | ) | 7,095 | 3,534 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Realized and Unrealized Gain (Loss) | ||||||||||||||||||||
Net realized gain (loss) on: | ||||||||||||||||||||
Investments – unaffiliated issuers | 23,506 | 84,844 | 2,922 | 11,587 | 9,052 | |||||||||||||||
Foreign currency transactions and forward foreign currency exchange contracts | 8,668 | (1,261 | ) | 3,287 | (4,325 | ) | – | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net realized gain (loss) | 32,174 | 83,583 | 6,209 | 7,262 | 9,052 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||||||
Investments – unaffiliated issuers* | 62,293 | 203,612 | 39,714 | (81,226 | ) | 36,999 | ||||||||||||||
Foreign currency transactions and forward foreign currency exchange contracts | (948 | ) | (122 | ) | 48 | (31 | ) | – | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net change in unrealized appreciation (depreciation) | 61,345 | 203,490 | 39,762 | (81,257 | ) | 36,999 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net realized and unrealized gain (loss) | 93,519 | 287,073 | 45,971 | (73,995 | ) | 46,051 | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net Increase (Decrease) in Net Assets from Operations | $ | 95,376 | $ | 291,536 | $ | 45,082 | $ | (66,900 | ) | $ | 49,585 | |||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
* Includes foreign deferred taxes | $ | (126 | ) | $ | – | $ | – | $ | – | $ | – | |||||||||
|
|
|
|
|
|
|
|
|
|
(a) | For the period September 22, 2016 (inception date) through December 31, 2016. |
(b) | For the period July 13, 2016 (inception date) through December 31, 2016. |
See accompanying notes to financial statements.
18
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets
State Street Global Value Spotlight Fund | State Street International Value Spotlight Fund | |||||||
For the Period 9/22/16* - 12/31/16 | For the Period 7/13/16* - 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 1,857 | $ | 4,463 | ||||
Net realized gain (loss) | 32,174 | 83,583 | ||||||
Net change in unrealized appreciation (depreciation) | 61,345 | 203,490 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 95,376 | 291,536 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | (8,100 | ) | (3,800 | ) | ||||
Net realized gains | (500 | ) | (37,540 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (8,600 | ) | (41,340 | ) | ||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Proceeds from sale of shares sold | 2,000,000 | 2,000,000 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 2,000,000 | 2,000,000 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 2,086,776 | 2,250,196 | ||||||
|
|
|
| |||||
Net assets at beginning of period | – | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 2,086,776 | $ | 2,250,196 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 2,425 | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Shares sold | 200,000 | 200,000 | ||||||
|
|
|
| |||||
Net increase (decrease) | 200,000 | 200,000 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
19
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street European Value Spotlight Fund | State Street Asia Pacific Value Spotlight Fund | |||||||
For the Period 9/22/16* - 12/31/16 | For the Period 9/22/16* - 12/31/16 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | (889 | ) | $ | 7,095 | |||
Net realized gain (loss) | 6,209 | 7,262 | ||||||
Net change in unrealized appreciation (depreciation) | 39,762 | (81,257 | ) | |||||
|
| �� |
|
| ||||
Net increase (decrease) in net assets resulting from operations | 45,082 | (66,900 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | (840 | ) | (3,480 | ) | ||||
Net realized gains | (40 | ) | – | |||||
|
|
|
| |||||
Total distributions to shareholders | (880 | ) | (3,480 | ) | ||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Proceeds from sale of shares sold | 1,000,000 | 2,000,000 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 1,000,000 | 2,000,000 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 1,044,202 | 1,929,620 | ||||||
|
|
|
| |||||
Net assets at beginning of period | – | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 1,044,202 | $ | 1,929,620 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 1,558 | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Shares sold | 100,000 | 200,000 | ||||||
|
|
|
| |||||
Net increase (decrease) | 100,000 | 200,000 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
20
Table of Contents
State Street Institutional Investment Trust
Statements of Changes in Net Assets — (continued)
State Street U.S. Value Spotlight Fund | ||||
For the Period 9/22/16* - 12/31/16 | ||||
Increase (Decrease) in Net Assets from Operations: | ||||
Net investment income (loss) | $ | 3,534 | ||
Net realized gain (loss) | 9,052 | |||
Net change in unrealized appreciation (depreciation) | 36,999 | |||
|
| |||
Net increase (decrease) in net assets resulting from operations | 49,585 | |||
|
| |||
Distributions to Shareholders from: | ||||
Net investment income | (3,530 | ) | ||
Net realized gains | (710 | ) | ||
|
| |||
Total distributions to shareholders | (4,240 | ) | ||
|
| |||
From Beneficial Interest Transactions: | ||||
Proceeds from sale of shares sold | 1,000,000 | |||
|
| |||
Net increase (decrease) in net assets from beneficial interest transactions | 1,000,000 | |||
|
| |||
Net increase (decrease) in net assets during the period | 1,045,345 | |||
|
| |||
Net assets at beginning of period | – | |||
|
| |||
Net Assets at End of Period | $ | 1,045,345 | ||
|
| |||
Undistributed (distribution in excess of) net investment income (loss) | $ | – | ||
|
| |||
Shares of Beneficial Interest: | ||||
Shares sold | 100,000 | |||
|
| |||
Net increase (decrease) | 100,000 | |||
|
|
* | Inception date. |
See accompanying notes to financial statements.
21
Table of Contents
State Street Institutional Investment Trust
Class K
Selected data for a share outstanding throughout each period
State Street Global Value Spotlight Fund | State Street International Value Spotlight Fund | State Street European Value Spotlight Fund | ||||||||||
For the Period 9/23/16*- 12/31/16 | For the Period 7/14/16* - 12/31/16 | For the Period 9/23/16* - 12/31/16 | ||||||||||
Net asset value, beginning of period | $ | 10.00 | $ | 10.00 | $ | 10.00 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss)(a) | 0.01 | 0.02 | (0.01 | ) | ||||||||
Net realized and unrealized gain (loss) | 0.46 | 1.44 | 0.46 | |||||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.47 | 1.46 | 0.45 | |||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.04 | ) | (0.02 | ) | (0.01 | ) | ||||||
Net realized gains | (0.00 | )(b) | (0.19 | ) | (0.00 | )(b) | ||||||
|
|
|
|
|
| |||||||
Total distributions | (0.04 | ) | (0.21 | ) | (0.01 | ) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 10.43 | $ | 11.25 | $ | 10.44 | ||||||
|
|
|
|
|
| |||||||
Total return(c) | 4.73 | % | 14.57 | % | 4.49 | % | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 2,087 | $ | 2,250 | $ | 1,044 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 9.46 | %(d) | 7.76 | %(d) | 19.10 | %(d) | ||||||
Net expenses | 0.75 | %(d) | 0.75 | %(d) | 0.75 | %(d) | ||||||
Net investment income (loss) | 0.34 | %(d) | 0.44 | %(d) | (0.33 | )%(d) | ||||||
Portfolio turnover rate | 18 | %(e) | 26 | %(e) | 28 | %(e) |
* | Commencement of operations. |
(a) | Net investment income per share is calculated using the average shares method. |
(b) | Amount shown represents less than $0.005. |
(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 the Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(d) | Annualized. |
(e) | Not annualized. |
See accompanying notes to financial statements.
22
Table of Contents
State Street Institutional Investment Trust
Financial Highlights — (continued)
Class K
Selected data for a share outstanding throughout each period
State Street Asia Pacific Value Spotlight Fund | State Street U.S. Value Spotlight Fund | |||||||
For the Period 9/23/16* - 12/31/16 | For the Period 9/23/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 10.00 | $ | 10.00 | ||||
|
|
|
| |||||
Income (loss) from investment operations | ||||||||
Net investment income (loss)(a) | 0.04 | 0.04 | ||||||
Net realized and unrealized gain (loss) | (0.37 | ) | 0.46 | |||||
|
|
|
| |||||
Total from investment operations | (0.33 | ) | 0.50 | |||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | (0.02 | ) | (0.04 | ) | ||||
Net realized gains | – | (0.01 | ) | |||||
|
|
|
| |||||
Total distributions | (0.02 | ) | (0.05 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 9.65 | $ | 10.45 | ||||
|
|
|
| |||||
Total return(b) | (3.33 | )% | 4.92 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 1,930 | $ | 1,045 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 9.48 | %(c) | 14.28 | %(c) | ||||
Net expenses | 0.75 | %(c) | 0.65 | %(c) | ||||
Net investment income (loss) | 1.33 | %(c) | 1.27 | %(c) | ||||
Portfolio turnover rate | 8 | %(d) | 11 | %(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 of the Fund. Total return for periods of less than one year is not annualized. Results represent past performance and are not indicative of future results. |
(c) | Annualized. |
(d) | Not annualized. |
See accompanying notes to financial statements.
23
Table of Contents
State Street Institutional Investment Trust
December 31, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2016, the Trust consists of thirty-three (33) 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 financial statements herein relate to the following funds:
Fund | Classes | Commencement of Operations | Diversification Classification | |||
State Street Global Value Spotlight Fund | Class A Class I Class K | Not commenced Not commenced September 23, 2016 | Non-diversified | |||
State Street International Value Spotlight Fund | Class A Class I Class K | Not commenced Not commenced July 14, 2016 | Non-diversified | |||
State Street European Value Spotlight Fund | Class A Class I Class K | Not commenced Not commenced September 23, 2016 | Non-diversified | |||
State Street Asia Pacific Value Spotlight Fund | Class A Class I Class K | Not commenced Not commenced September 23, 2016 | Non-diversified | |||
State Street U.S. Value Spotlight Fund | Class A Class I Class K | Not commenced Not commenced September 23, 2016 | Non-diversified |
The State Street Global Value Spotlight Fund, State Street European Value Spotlight Fund, State Street Asia Pacific Value Spotlight Fund and State Street U.S. Value Spotlight Fund were formed on September 22, 2016 and commenced operations on September 23, 2016. The State Street International Value Spotlight Fund was formed on July 13, 2016 and commenced operations on July 14, 2016.
Class K shares of the Funds 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
24
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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 each 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. 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. |
• | 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 the valuation the 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.
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 asset or liability; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or |
25
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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 December 31, 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 December 31, 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 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.
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.
26
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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 December 31, 2016, if any, are disclosed in the Funds’ Statements of Assets and Liabilities.
Distributions
Distributions from net investment income, if any, are declared and paid annually. 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 |
Forward Foreign Currency Exchange Contracts
Certain Funds may engage in forward foreign currency exchange 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 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 Funds give up the opportunity to profit from favorable exchange rate movements during the term of the contract.
For the period ended December 31, 2016, the State Street Global Value Spotlight Fund entered into forward foreign currency exchange contracts to offset the Fund’s exposure to the component currencies.
Risks associated with Derivatives
Derivative financial instruments involve, to varying degrees, elements of credit, market and/or interest rate risk in excess of the amounts reported in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
Derivative transactions can create investment leverage and may be highly volatile. Use of derivatives other than for hedging purposes may be considered speculative. When a 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
27
Table of Contents
State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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.
Certain derivatives, including forward foreign currency contracts and some swap contracts, as applicable, are entered into over the counter (“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 or received 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.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
The following tables summarize the value of the Funds’ derivative instruments as of December 31, 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
State Street Global Value Spotlight Fund | Interest Rate Contracts Risk | Foreign Currency Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $– | $ | 200 | $ | – | $ | – | $ | – | $ | 200 |
(a) | Unrealized appreciation on forward foreign currency exchange contracts. |
Liability Derivatives
State Street Global Value Spotlight Fund | Interest Rate Contracts Risk | Foreign Currency Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $– | $ | 1,089 | $ | – | $ | – | $ | – | $ | 1,089 |
(a) | Unrealized depreciation on forward foreign currency exchange contracts. |
Net Change in UnrealizedAppreciation (Depreciation)
State Street Global Value Spotlight Fund | Interest Rate Contracts Risk | Foreign Currency Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $– | $ | 8,444 | $ | – | $ | – | $ | – | $ | 8,444 |
(a) | Net realized gain/loss on forward foreign currency exchange contracts. |
Net Realized Gain (Loss)
State Street Global Value Spotlight Fund | Interest Rate Contracts Risk | Foreign Currency Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $– | $ | (889 | ) | $ | – | $ | – | $ | – | $ | (889 | ) |
(a) | Net change in unrealized appreciation (depreciation) on forward foreign currency exchange transactions. |
For financial reporting purposes, the Funds do not offset derivative assets or liabilities, including those that may be subject to an enforceable Foreign Exchange Master Agreement that allows for net
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
settlement between counterparties, on their Statements of Assets and Liabilities. The following tables set forth the Funds’ net exposure to derivative assets and liabilities available for offset and net of collateral at December 31, 2016:
State Street Global Value Spotlight Fund
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 | ||||||||||||
JP Morgan Chase Bank, N.A. | $ | 78 | (78 | ) | $ | – | $ | – | ||||||||
Royal Bank of Canada | 56 | (56 | ) | – | – | |||||||||||
Westpac Banking Corp. | 66 | (66 | ) | – | – | |||||||||||
$ | 200 | $ | (200 | ) | $ | – | $ | – | ||||||||
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 | ||||||||||||
JP Morgan Chase Bank, N.A. | (347 | ) | $ | 78 | $ | – | (269 | ) | ||||||||
Royal Bank of Canada | (379 | ) | 56 | – | (323 | ) | ||||||||||
Westpac Banking Corp. | (363 | ) | 66 | – | (297 | ) | ||||||||||
$ | (1,089 | ) | $ | 200 | $ | – | $ | (889 | ) |
The amount presented on the Schedule of Investments and Statement of Assets and Liabilities are not net amounts but gross.
4. | Fees and Transactions with Affiliates |
Advisory Fee
The Trust, on behalf of the Funds, has entered into an investment advisory agreement with SSGA FM. For the services provided under the investment advisory agreement, each Fund pays the Adviser a fee at an annual rate set forth below, of the Fund’s average daily net assets.
Fund | Percentage of average daily net assets | |||
State Street Global Value Spotlight Fund | 0.75 | % | ||
State Street International Value Spotlight Fund | 0.75 | % | ||
State Street European Value Spotlight Fund | 0.75 | % | ||
State Street Asia Pacific Value Spotlight Fund | 0.75 | % | ||
State Street U.S. Value Spotlight Fund | 0.65 | % |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
The Adviser entered into a sub-advisory agreement with State Street Global Advisors Ireland Limited (the “Sub-Adviser”), a wholly-owned subsidiary of State Street Corporation, pursuant to which the Sub-Adviser will be responsible for the day-to-day management of the assets of the Funds. The Sub-Adviser receives fees from the Adviser for its services provided to the Funds.
SSGA FM is contractually obligated until April 30, 2018, to waive its management fee and/or to reimburse the Funds for expenses to the extent that total expenses (exclusive of non-recurring account fees, extraordinary expenses, acquired fund fees and expenses, administration fees and any class-specific expenses, such as distribution, shareholder servicing and sub-transfer agency fees) exceed the following percentages of average daily net assets on an annual basis.
Fund | Percentage of average net assets | |
State Street Global Value Spotlight Fund | 0.70% | |
State Street International Value Spotlight Fund | 0.70% | |
State Street European Value Spotlight Fund | 0.70% | |
State Street Asia Pacific Value Spotlight Fund | 0.70% | |
State Street U.S. Value Spotlight Fund | 0.60% |
For the period ended December 31, 2016, SSGA FM reimbursed or waived the fees under these agreements as shown on the Funds’ respective Statements of Operations.
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 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.
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, and 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 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 Funds’ net assets attributable to its Class A shares. As of December 31, 2016, the Funds’ Class A shares have not commenced operations. In addition to payments
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2016, are disclosed in the Schedules 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 December 31, 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 an individual class of 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 Global Value Spotlight Fund | 1 | 100% | ||||
State Street International Value Spotlight Fund | 1 | 100% | ||||
State Street European Value Spotlight Fund | 1 | 100% | ||||
State Street Asia Pacific Value Spotlight Fund | 1 | 100% | ||||
State Street U.S. Value Spotlight Fund | 1 | 100 | % |
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 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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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
6. | Investment Transactions |
Purchases and sales of investments (excluding short term investments) for the period ended December 31, 2016, were as follows:
Other Securities | ||||||||
Purchases | Sales | |||||||
State Street Global Value Spotlight Fund | $ | 2,227,398 | $ | 346,927 | ||||
State Street International Value Spotlight Fund | 2,450,140 | 530,191 | ||||||
State Street European Value Spotlight Fund | 1,219,998 | 260,685 | ||||||
State Street Asia Pacific Value Spotlight Fund | 2,063,366 | 159,258 | ||||||
State Street U.S. Value Spotlight Fund | 1,017,852 | 105,745 |
7. | Income Tax Information |
The Funds intend to qualify as regulated investment companies under Subchapter M of the Internal Revenue Code of 1986, as amended. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA has analyzed the Funds’ tax positions and does not believe there are 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, foreign currencies, forward foreign currency contracts, wash sales deferrals and REITs.
The tax character of distributions paid during the period ended December 31, 2016, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Global Value Spotlight Fund | $ | 8,600 | $ | – | $ | – | $ | 8,600 | ||||||||
State Street International Value Spotlight Fund | 41,340 | – | – | 41,340 | ||||||||||||
State Street European Value Spotlight Fund | 880 | – | – | 880 | ||||||||||||
State Street Asia Pacific Value Spotlight Fund | 3,480 | – | – | 3,480 | ||||||||||||
State Street U.S. Value Spotlight Fund | 4,240 | – | – | 4,240 |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
At December 31, 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 Global Value Spotlight Fund | $ | 24,574 | $ | – | $ | – | $ | 62,202 | $ | – | $ | 86,776 | ||||||||||||
State Street International Value Spotlight Fund | 47,038 | – | – | 203,158 | – | 250,196 | ||||||||||||||||||
State Street European Value Spotlight Fund | 4,688 | – | – | 39,514 | – | 44,202 | ||||||||||||||||||
State Street Asia Pacific Value Spotlight Fund | 10,877 | – | – | (81,257 | ) | – | (70,380 | ) | ||||||||||||||||
State Street U.S. Value Spotlight Fund | 8,237 | – | – | 37,108 | – | 45,345 |
At December 31, 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 Global Value Spotlight Fund | $ | 2,024,342 | $ | 106,419 | $ | 44,032 | $ | 62,387 | ||||||||
State Street International Value Spotlight Fund | 2,046,449 | 249,154 | 45,874 | 203,280 | ||||||||||||
State Street European Value Spotlight Fund | 1,004,048 | 61,421 | 21,955 | 39,466 | ||||||||||||
State Street Asia Pacific Value Spotlight Fund | 2,016,142 | 50,988 | 132,214 | (81,226 | ) | |||||||||||
State Street U.S. Value Spotlight Fund | 1,022,817 | 69,970 | 32,862 | 37,108 |
8. | Line of Credit |
The 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. This agreement expires in October 2017 unless extended or renewed. Prior to October 13, 2016, the Participant/Participants could borrow up to $360 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 13, 2016, interest was 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 December 31, 2016.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
9. | Risks |
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 political development may affect the value of the Funds’ investments more than if the Funds 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 Funds’ invest. Foreign markets may be less liquid than investments in the U.S. and may be subject to the risks of currency fluctuations. To the extent that a Fund invests in securities of issuers located in emerging markets, these risks may be even more pronounced.
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.
10. | 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
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of State Street Institutional Investment Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of State Street Global Value Spotlight Fund, State Street International Value Spotlight Fund, State Street European Value Spotlight Fund, State Street Asia Pacific Value Spotlight Fund and State Street U.S. Value Spotlight Fund (collectively, the “Funds”) (five of the funds constituting State Street Institutional Investment Trust) as of December 31, 2016, and the related statements of operations, statements 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 Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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 Funds’ 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 Funds’ 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 December 31, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers 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 Global Value Spotlight Fund, State Street International Value Spotlight Fund, State Street European Value Spotlight Fund, State Street Asia Pacific Value Spotlight Fund and State Street U.S. Value Spotlight Fund (five of the funds constituting State Street Institutional Investment Trust) at December 31, 2016, and the results of their operations, the changes in their net assets and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
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State Street Institutional Investment Trust
December 31, 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 July 1, 2016 to December 31, 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 | ||||||||||||||||
State Street Global Value Spotlight Fund | 0.75 | % | $ | 1,047.30 | $ | 2.10 | $ | 1,021.40 | $ | 3.81 | (b) | |||||||||
State Street International Value Spotlight Fund | 0.75 | 1,145.70 | 3.76 | 1,021.40 | 3.81 | (c) | ||||||||||||||
State Street European Value Spotlight Fund | 0.75 | 1,044.90 | 2.10 | 1,021.40 | 3.81 | (b) | ||||||||||||||
State Street Asia Pacific Value Spotlight Fund | 0.75 | 966.70 | 2.02 | 1,021.40 | 3.81 | (b) | ||||||||||||||
State Street U.S. Value Spotlight Fund | 0.65 | 1,049.20 | 1.82 | 1,021.90 | 3.30 | (b) |
(a) | Actual period is from commencement of operations as defined in the notes to financial statements. |
(b) | Hypothetical expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 100, then divided by 366. |
(c) | Hypothetical expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 171, then divided by 366. |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Tax Information
For federal tax income tax purposes, the following information is furnished with respect to the
distributions from the Funds for the fiscal year ended December 31, 2016.
Percentage of distributions which qualify for the corporate dividends received deduction:
Percentage | ||
State Street Global Value Spotlight Fund | 10.36% | |
State Street U.S. Value Spotlight Fund | 38.46 |
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended December 31, 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 are noted below:
Amount | ||||
State Street Global Value Spotlight Fund | $ | 5,852 | ||
State Street International Value Spotlight Fund | 10,097 | |||
State Street European Value Spotlight Fund | 880 | |||
State Street Asia Pacific Value Spotlight Fund | 5,061 | |||
State Street U.S. Value Spotlight Fund | 4,240 |
Foreign Tax Credit
The Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Funds to its shareholders. For the year ended December 31, 2016, the total amount of foreign taxes that will be passed through are:
Amount | ||||
State Street Global Value Spotlight Fund | $ | 287 | ||
State Street International Value Spotlight Fund | 1,310 | |||
State Street European Value Spotlight Fund | 227 | |||
State Street Asia Pacific Value Spotlight Fund | 1,581 |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
The amount of foreign source income earned on the following Funds during the year ended December 31, 2016 were as follows:
Amount | ||||
State Street Global Value Spotlight Fund | $ | 2,677 | ||
State Street International Value Spotlight Fund | 13,092 | |||
State Street European Value Spotlight Fund | 1,382 | |||
State Street Asia Pacific Value Spotlight Fund | 12,569 |
Proxy Voting Policies and Procedures and Records
The Funds have adopted the proxy voting policies of the Adviser. 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 1-800-997-7327 (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 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 1-800-997-7327 (toll free) and on the Funds’ website at www.ssgafunds.com.
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
State Street Global Value Spotlight Fund
State Street International Value Spotlight Fund
State Street European Value Spotlight Fund
State Street Asia Pacific Value Spotlight Fund
State Street U.S. Value Spotlight Fund
Trustee Considerations in Approval of
Investment Advisory and Subadvisory Agreements
Overview of the Contract Review Process
Under the Investment Company Act of 1940, an investment advisory agreement between a mutual fund and its investment adviser must be approved by the fund’s board of trustees, including by a vote of a majority of those trustees who are not “interested persons” of the fund (the “Independent Trustees”) cast in-person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Independent Trustees on the Board of Trustees (the “Board”) of State Street Institutional Investment Trust (the “Trust”), met in-person on November 16-17, 2015, with respect to the State Street Global Value Spotlight Fund, State Street International Value Spotlight Fund, State Street European Value Spotlight Fund and State Street Asia Pacific Value Spotlight Fund, and on September 20-21, 2016, with respect to the State Street U.S. Value Spotlight Fund, each a new series of the Trust (each, a “New Fund” and collectively, the “New Funds”), 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”) and the investment sub-advisory agreement (the “Sub-Advisory Agreement,” and together with the Advisory Agreement, the “Advisory Agreements”) between SSGA FM and State Street Global Advisors Ireland Limited (the “Sub-Adviser” and together with SSGA FM, the “Advisers”). The Independent Trustees also discussed the New Funds with representatives of SSGA FM at their in-person meeting held on May 19-20, 2016 (the “May Meeting”). The Independent Trustees also considered information regarding the annual approval of advisory agreements for other funds in the fund complex (the “Other Funds”) at the May Meeting, to the extent such information was applicable to the New Funds. Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of SSGA FM, reviewed information furnished by the Advisers and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel that is independent of the Advisers in connection with their consideration of approval of the Advisory Agreements. 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 included for the New Funds: |
• | Comparisons of each 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 (the “Expense Group” and/or “Expense Universe”); and |
• | Comparisons of each New Fund’s contractual and estimated actual management fees to the contractual and actual management fees of comparable mutual funds. |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
• | Comparative information regarding fees charged by the Advisers for managing institutional accounts using investment strategies and techniques similar to those used in managing the New Funds, to the extent applicable. |
Information about Portfolio Management
• | Descriptions of the investment management services to be provided by the Advisers, including their 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 Funds. |
Information about the Advisers
• | Reports detailing the financial results and condition of the Advisers and their affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals who will be responsible for managing the New Funds; |
• | Information relating to compliance with and the administration of the Code of Ethics adopted by the Advisers; |
• | SSGA FM’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Advisers to overseeing compliance by the New Funds and their service providers, including the Advisers’ record of compliance with investment policies and restrictions and other operating policies of the Other Funds; |
• | A description of the business continuity and disaster recovery plans of the Advisers; and |
• | Information regarding the Advisers’ risk management processes. |
Other Relevant Information
• | Information concerning the nature, extent, quality and cost of services to be provided to each New Fund by SSGA FM in its capacity as administrator; |
• | The entrepreneurial risk to be undertaken by SSGA FM as sponsor of each New Fund; |
• | Information concerning the nature, extent, quality and cost of various non-investment management services to be provided to each New Fund by affiliates of SSGA FM, including the custodian, sub-administrator, fund accountant, transfer agent and securities lending agent of each New Fund, and the role of SSGA FM in managing each New Fund’s relationship with these service providers; |
• | The terms of the Advisory Agreement and Sub-Advisory Agreement and agreements with other service providers of the New Funds; |
• | Draft responses to the letter from Joseph P. Barri, LLC (co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”), reviewed prior to such date by Independent Counsel, requesting specific information regarding the Other Funds, certain of which was applicable to the New Funds, from each of: |
• | SSGA FM, with respect to its operations relating to the Other Funds and their approximate profit margins before taxes from such operations for the Other Funds’ last fiscal year; and the |
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Other Information — (continued)
December 31, 2016 (Unaudited)
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, and securities lending agent for the Other Funds, with respect to its operations relating to the Other Funds; and |
• | State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Other Funds (the “Distributor”), with respect to its operations relating to the Other Funds, together with the Other Funds’ related distribution plans and arrangements under SEC Rule 12b-1. |
• | Draft responses to the letter from Independent Counsel, reviewed prior to such date by Independent Counsel, requesting specific information from the Sub-Adviser with respect to its operations, financial condition, Form ADV, and the nature, extent and quality of services to be provided to each New Fund. |
In addition to the information identified above, the Board considered information provided by SSGA FM and other service providers of the New 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 SSGA FM relating to the performance of the Other Funds and the investment strategies used in pursuing each Other Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by 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 Agreements, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreements were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to the New Funds.
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 November 16-17, 2015 and September 20-21, 2016 the Board, including a majority of the Independent Trustees, voted to approve the Advisory Agreements with respect to the New 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 to be provided to each New Fund by the Advisers.
The Board considered the Advisers’ management capabilities and investment process with respect to the types of investments to be held by each 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 each New Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also took into account the compensation paid to
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Other Information — (continued)
December 31, 2016 (Unaudited)
recruit and retain investment personnel, and the time and attention to be devoted to each New Fund by senior management.
The Board reviewed the compliance programs of the Advisers 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 SSGA FM in monitoring each New Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Advisers can be expected to provide high quality investment management and related services for each New Fund.
Fund Performance
Because the New Funds have not yet commenced operations, the Board noted that they could not draw any conclusions regarding the performance of the New Funds. The Board, however, considered, at the May Meeting, the performance of other comparable funds or accounts, if any, managed by the Advisers and the performance of their respective benchmarks and/or peer groups. The Board also noted that it reviews at its regularly scheduled meetings information about the performance of the Other Funds and is generally satisfied with the performance of these Other Funds.
Management Fees and Expenses
The Board reviewed the contractual management fee rate to be payable by each New Fund and the actual management fee rate to be payable by each New Fund, net of waivers. As part of its review, the Board considered each New Fund’s management fee and total expense ratio (both before and after giving effect to any expense caps), as compared to its Expense Group and Expense Universe. The Board also considered the comparability of the fees to be charged and the services to be provided to each New Fund by the Advisers to the fees charged and services provided to other clients of the Advisers, including institutional accounts, to the extent applicable. In addition, the Board considered that SSGA FM agreed to waive fees or pay expenses of each New Fund to limit the total expenses borne by each New Fund’s shareholders. Among other information, the Board considered the following expense information in its evaluation of each New Fund:
The Board considered that each New Fund’s contractual management fee was below the median of its Expense Group. The Board also considered that each New Fund’s expected actual management fees and total expenses were each below the medians of their respective Expense Group and Expense Universe.
Profitability
Because the New Funds have not yet commenced operations, the Board noted that they could not draw any conclusions regarding the profitability of the New Funds. The Board, however, reviewed the level of profits realized by SSGA FM in providing investment advisory and other services to the Other Funds. The Board considered other direct and indirect benefits received by the Advisers 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 Advisers as a result of securities transactions effected for
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Other Information — (continued)
December 31, 2016 (Unaudited)
the Other Funds and other investment advisory clients, together with the ranges of profitability of each of the affiliated service providers with respect to their services to the Other Funds.
The Board concluded that the expected profitability of the Advisers with respect to each New Fund, and the expected profitability range of the affiliated service providers with respect to their services to each New Fund, was 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 Advisers and their affiliates, on the one hand, and each New Fund, on the other hand, can expect to realize benefits from economies of scale as each 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 each New Fund in view of the fact that the New Funds have not yet commenced operations. The Board concluded that, in light of the fact that the New Funds have not yet commenced operations, and the comparatively low expected management fees and expense ratio of each New Fund, it does not appear that the Advisers or their affiliates are expected to realize benefits from economies of scale in managing the assets of the New Funds to such an extent that the proposed advisory fees should be reduced or that breakpoints in such fees should be implemented for any of the New Funds at this time.
Conclusions
In reaching its decision to approve the Advisory Agreements, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of its deliberations, the Board, including the Independent Trustees, concluded that the Advisers possess the capability and resources to perform the duties required of them under the Advisory Agreements.
Further, based upon its review of the Advisory Agreements, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreements are reasonable, fair, and in the best interests of each New Fund and its shareholders, and (2) the rates to be payable under the Advisory Agreements are fair and reasonable in light of the usual and customary charges made for services of the same nature and quality.
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Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected:1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||
William L. Boyan (1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 | ||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003-Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 |
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Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 –1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | ||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 |
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Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Interested Trustee(2) | ||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005- present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
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Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
Officers (continued) | ||||||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about Funds’ directors and is available, without charge, upon request and by calling 1-800-997-7327.
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Trustees
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 | SSIITSPOTLTAR |
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
Annual Report
31 December 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 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before you invest.
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Annual Report
December 31, 2016
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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 Hedged International Developed Equity Index Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Hedged International Developed Equity Index Fund (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of a broad-based developed market (ex-U.S. and Canada) large and mid-capitalization equity index, hedged to the U.S. dollar, over the long term. The Fund’s benchmark is the MSCI EAFE (Europe, Australasia, Far East) 100% Hedged to USD Index (the “Index”). The Fund currently intends to gain all of its investment exposure to, and track the performance of, the Index constituents by investing in the State Street International Developed Equity Index Portfolio and employ its currency hedging strategy by directly entering into currency hedging transactions.
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 6.27%, and the Index was 6.15% (Net). The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses, which would have a negative impact on returns. The cumulative effect of small weighting differences between the securities and currencies in the Fund and the Index contributed to the difference between the Fund’s performance and that of the Index
During the first quarter of 2016, the Fund’s performance was -5.88%. Geopolitical concerns and disappointing global macroeconomic data were the primary drivers of Fund performance during the quarter. A diplomatic dispute between Iran and Saudi Arabia, North Korean claims of a successful hydrogen bomb test and terrorist attacks in Turkey, Indonesia and Pakistan contributed to the Fund’s negative performance in the first quarter. The Fund’s performance was also hurt by economic weakness in China and falling oil prices. The Fund’s performance during the second quarter of 2016 was +0.12%. Positive performance in April and May was offset by negative performance in June. Recovering oil prices, dovish comments from central bankers and earnings data helped performance but was offset by the surprise British referendum vote supporting the withdrawal of the United Kingdom’s membership from the European Union. During the third quarter of 2016, the Fund’s performance was +5.77%. Accommodative monetary policy and a strong earnings season were key drivers of Fund performance during the quarter. Despite multiple terrorist attacks in France and Germany, the Fund had positive performance on the back of a lack of a US interest rate hike, additional fiscal and monetary stimulus in Japan and a rate cut by the Bank of England. The Fund’s performance during the fourth quarter of 2016 was +6.62%. Geopolitical developments and positive global macroeconomic data were chief factors affecting Fund performance during the quarter. The Fund’s performance was helped by the unexpected results of the Presidential election in the U.S. and the ensuing market optimism regarding President-elect Trump’s expected policy initiatives. The resignation of Italian Prime Minister Matteo Renzi and macroeconomic data like Euro-zone retail sales, UK services and Germany factory orders also helped lead the Fund’s positive performance in the quarter.
The Fund used 1-month forward currency contracts in order to replicate the hedging component of the Index during the Reporting Period. The Fund’s use of 1-month forward currency contracts helped the Fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance were Royal Dutch Shell Plc Class B, Royal Dutch Shell Plc Class A, and BP p.l.c. The top negative contributors to the Fund’s performance were Roche Holding Ltd Genusssch., Teva Pharmaceutical Industries Limited, and Novo Nordisk A/S Class B.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Class K
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Year Ended December 31, 2016
Total Return One Year December 31, 2016 | Total Return Cumulative Inception to Date December 31, 2016 | |||||||
State Street Hedged International Developed Equity Index Fund Class K | 6.27 | % | –2.09 | % | ||||
MSCI EAFE (Europe, Australasia, Far East) 100% Hedged to USD Index(b) | 6.15 | % | –1.13 | % |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The MSCI EAFE (Europe, Australasia, Far East) 100% Hedged to USD Index represents a close estimation of the performance that can be achieved by hedging the currency exposures of its parent index, the MSCI EAFE Index, to the USD, the “home” currency for the hedged index. The index is 100% hedged to the USD by selling each foreign currency forward at the one-month Forward weight. The parent index is composed of large and mid cap stocks across 21 developed markets countries and its local performance is calculated in 13 different currencies, including the Euro. Index returns are net of dividend withholding taxes. |
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2016 | |||
Mutual Funds and Exchange Traded Products | 93.7 | % | ||
Short-Term Investment | 4.3 | |||
Other Assets in Excess of Liabilities | 2.0 | |||
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 and financial statements of the State Street International Developed Equity Index Portfolio.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Schedule of Investments
December 31, 2016
Security Description | Shares | Value | ||||||
MUTUAL FUND AND EXCHANGE TRADED |
| |||||||
State Street International Developed Equity Index Portfolio(a) | $ | 1,981,054,583 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 4.3% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier | 90,100,871 | 90,100,871 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 98.0% |
| 2,071,155,454 | ||||||
Other Assets in Excess of | 42,238,713 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 2,113,394,167 | ||||||
|
|
(a) | Affiliated fund managed by SSGA Funds Management, Inc. |
(b) | The Fund invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
At December 31, 2016, open forward foreign currency exchange contracts were as follows:
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
BNP Paribas SA | USD | 241,588,533 | JPY | 28,183,718,305 | 01/04/2017 | $ | 51,783 | |||||||||||||
BNP Paribas SA | USD | 56,301,330 | SEK | 511,376,531 | 01/04/2017 | (10,846 | ) | |||||||||||||
BNP Paribas SA | USD | 31,426,199 | DKK | 221,507,566 | 01/04/2017 | (4,681 | ) | |||||||||||||
BNP Paribas SA | USD | 25,298,885 | SGD | 36,549,299 | 01/04/2017 | – | ||||||||||||||
BNP Paribas SA | USD | 13,285,361 | ILS | 51,130,174 | 01/04/2017 | (138 | ) | |||||||||||||
BNP Paribas SA | USD | 12,873,236 | NOK | 110,802,520 | 01/04/2017 | (748 | ) | |||||||||||||
BNP Paribas SA | USD | 3,640,546 | NZD | 5,220,581 | 01/04/2017 | (235 | ) | |||||||||||||
BNP Paribas SA | NZD | 5,220,581 | USD | 3,696,093 | 01/04/2017 | 55,782 | ||||||||||||||
BNP Paribas SA | NOK | 105,241,520 | USD | 12,364,046 | 01/04/2017 | 137,606 | ||||||||||||||
BNP Paribas SA | ILS | 51,130,174 | USD | 13,346,256 | 01/04/2017 | 61,033 | ||||||||||||||
BNP Paribas SA | SGD | 33,954,299 | USD | 23,704,481 | 01/04/2017 | 201,817 | ||||||||||||||
BNP Paribas SA | DKK | 222,092,566 | USD | 31,724,110 | 01/04/2017 | 219,608 | ||||||||||||||
BNP Paribas SA | SEK | 487,534,531 | USD | 52,920,980 | 01/04/2017 | (745,062 | ) | |||||||||||||
BNP Paribas SA | JPY | 25,528,579,305 | USD | 224,496,147 | 01/04/2017 | 5,620,343 | ||||||||||||||
BNP Paribas SA | NZD | 5,220,581 | USD | 3,636,683 | 02/02/2017 | (190 | ) | |||||||||||||
BNP Paribas SA | NOK | 110,802,520 | USD | 12,874,732 | 02/02/2017 | (1,283 | ) | |||||||||||||
BNP Paribas SA | ILS | 51,130,174 | USD | 13,293,513 | 02/02/2017 | (444 | ) | |||||||||||||
BNP Paribas SA | SGD | 36,549,299 | USD | 25,290,132 | 02/02/2017 | (5,359 | ) | |||||||||||||
BNP Paribas SA | DKK | 221,507,566 | USD | 31,473,084 | 02/02/2017 | 172 | ||||||||||||||
BNP Paribas SA | SEK | 511,376,531 | USD | 56,396,018 | 02/02/2017 | 2,057 | ||||||||||||||
BNP Paribas SA | JPY | 28,183,718,305 | USD | 241,976,409 | 02/02/2017 | (52,203 | ) | |||||||||||||
Bank of America | USD | 241,598,888 | JPY | 28,183,718,305 | 01/04/2017 | 41,428 | ||||||||||||||
Bank of America | USD | 147,558,582 | AUD | 203,782,050 | 01/04/2017 | (30 | ) | |||||||||||||
Bank of America | AUD | 188,404,050 | USD | 139,079,870 | 01/04/2017 | 2,656,525 | ||||||||||||||
Bank of America | JPY | 25,528,579,305 | USD | 224,496,147 | 01/04/2017 | 5,620,343 | ||||||||||||||
Bank of America | AUD | 203,782,050 | USD | 147,444,464 | 02/02/2017 | (7,644 | ) |
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
5
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
December 31, 2016
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||
Bank of America | JPY | 28,183,718,305 | USD | 241,993,031 | 02/02/2017 | $ | (35,582 | ) | ||||||||||||
Bank of Montreal | ILS | 4,081,000 | USD | 1,060,972 | 02/02/2017 | (97 | ) | |||||||||||||
Bank of Montreal | NOK | 10,658,000 | USD | 1,238,456 | 02/02/2017 | (77 | ) | |||||||||||||
Bank of Montreal | DKK | 24,457,000 | USD | 3,475,120 | 02/02/2017 | 146 | ||||||||||||||
Bank of Montreal | SEK | 34,825,000 | USD | 3,840,613 | 02/02/2017 | 155 | ||||||||||||||
Bank of Montreal | CHF | 10,217,000 | USD | 10,071,457 | 02/02/2017 | (1,729 | ) | |||||||||||||
Bank of Montreal | JPY | 3,168,986,000 | USD | 27,209,577 | 02/02/2017 | (4,195 | ) | |||||||||||||
Citibank N.A. | USD | 180,593,674 | GBP | 146,152,773 | 01/04/2017 | (77 | ) | |||||||||||||
Citibank N.A. | USD | 70,614,529 | HKD | 547,485,035 | 01/04/2017 | – | ||||||||||||||
Citibank N.A. | HKD | 2,440,000 | USD | 314,324 | 01/04/2017 | (387 | ) | |||||||||||||
Citibank N.A. | AUD | 557,000 | USD | 414,352 | 01/04/2017 | 11,029 | ||||||||||||||
Citibank N.A. | HKD | 3,488,000 | USD | 449,583 | 01/04/2017 | (299 | ) | |||||||||||||
Citibank N.A. | EUR | 1,550,000 | USD | 1,656,253 | 01/04/2017 | 21,390 | ||||||||||||||
Citibank N.A. | GBP | 1,855,000 | USD | 2,270,155 | 01/04/2017 | (21,975 | ) | |||||||||||||
Citibank N.A. | HKD | 541,557,035 | USD | 69,830,122 | 01/04/2017 | (19,815 | ) | |||||||||||||
Citibank N.A. | GBP | 144,775,273 | USD | 181,077,817 | 01/04/2017 | 2,186,327 | ||||||||||||||
Citibank N.A. | GBP | 146,152,773 | USD | 180,723,750 | 02/02/2017 | (10,595 | ) | |||||||||||||
Citibank N.A. | HKD | 547,485,035 | USD | 70,623,638 | 02/03/2017 | (2,330 | ) | |||||||||||||
HSBC Bank USA | AUD | 905,000 | USD | 655,792 | 01/04/2017 | 482 | ||||||||||||||
JP Morgan Chase Bank, N.A. | GBP | 1,298,000 | USD | 1,603,978 | 01/04/2017 | 105 | ||||||||||||||
JP Morgan Chase Bank, N.A. | EUR | 2,518,000 | USD | 2,630,162 | 01/04/2017 | (25,699 | ) | |||||||||||||
JP Morgan Chase Bank, N.A. | GBP | 20,725,000 | USD | 25,627,064 | 02/02/2017 | (1,730 | ) | |||||||||||||
JP Morgan Chase Bank, N.A. | EUR | 52,366,000 | USD | 55,314,625 | 02/02/2017 | (375 | ) | |||||||||||||
Morgan Stanley Bank, N.A. | DKK | 1,416,000 | USD | 198,145 | 01/04/2017 | (2,719 | ) | |||||||||||||
Morgan Stanley Bank, N.A. | SEK | 3,255,000 | USD | 353,850 | 01/04/2017 | (4,448 | ) | |||||||||||||
Morgan Stanley Bank, N.A. | CHF | 482,000 | USD | 478,233 | 01/04/2017 | 3,987 | ||||||||||||||
Morgan Stanley Bank, N.A. | CHF | 784,000 | USD | 765,950 | 01/04/2017 | (5,438 | ) | |||||||||||||
Morgan Stanley Bank, N.A. | JPY | 250,338,000 | USD | 2,128,745 | 01/04/2017 | (17,591 | ) | |||||||||||||
Royal Bank of Canada | USD | 299,129,997 | EUR | 283,558,657 | 01/04/2017 | (46,515 | ) | |||||||||||||
Royal Bank of Canada | USD | 1,496,058 | GBP | 1,196,000 | 01/04/2017 | (18,222 | ) | |||||||||||||
Royal Bank of Canada | NOK | 5,561,000 | USD | 653,261 | 01/04/2017 | 7,211 | ||||||||||||||
Royal Bank of Canada | AUD | 1,293,000 | USD | 929,092 | 01/04/2017 | �� | (7,169 | ) | ||||||||||||
Royal Bank of Canada | SEK | 18,310,000 | USD | 1,987,295 | 01/04/2017 | (28,204 | ) | |||||||||||||
Royal Bank of Canada | AUD | 12,623,000 | USD | 9,317,983 | 01/04/2017 | 177,671 | ||||||||||||||
Royal Bank of Canada | EUR | 276,194,157 | USD | 293,529,207 | 01/04/2017 | 2,213,431 | ||||||||||||||
Royal Bank of Canada | EUR | 283,558,657 | USD | 299,531,516 | 02/02/2017 | 4,206 | ||||||||||||||
Societe Generale | USD | 299,111,849 | EUR | 283,558,657 | 01/04/2017 | (28,367 | ) | |||||||||||||
Societe Generale | EUR | 276,194,157 | USD | 293,526,169 | 01/04/2017 | 2,210,393 | ||||||||||||||
Societe Generale | EUR | 283,558,657 | USD | 299,537,187 | 02/02/2017 | 9,877 | ||||||||||||||
Standard Chartered Bank | SEK | 2,277,000 | USD | 247,289 | 01/04/2017 | (3,355 | ) | |||||||||||||
Standard Chartered Bank | GBP | 798,000 | USD | 1,013,166 | 01/04/2017 | 27,117 | ||||||||||||||
Standard Chartered Bank | CHF | 1,121,000 | USD | 1,088,671 | 01/04/2017 | (14,296 | ) | |||||||||||||
Standard Chartered Bank | JPY | 154,073,000 | USD | 1,357,316 | 01/04/2017 | 36,332 | ||||||||||||||
Standard Chartered Bank | JPY | 357,884,000 | USD | 3,043,917 | 01/04/2017 | (24,493 | ) |
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
6
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
December 31, 2016
Counterparty | Amount Sold | Amount Bought | Settlement Date | Net Unrealized Appreciation/ (Depreciation) | ||||||||||||||||||
Toronto Dominion Bank | USD | 173,726,149 | CHF | 176,566,571 | 01/04/2017 | $ | – | |||||||||||||||
Toronto Dominion Bank | CHF | 170,619,571 | USD | 167,907,859 | 01/04/2017 | 33,041 | ||||||||||||||||
Toronto Dominion Bank | CHF | 176,566,571 | USD | 174,044,492 | 02/02/2017 | (36,734 | ) | |||||||||||||||
Westpac Banking Corp. | USD | 180,593,675 | GBP | 146,152,774 | 01/04/2017 | (77 | ) | |||||||||||||||
Westpac Banking Corp. | USD | 285,876 | DKK | 2,001,000 | 01/04/2017 | (2,028 | ) | |||||||||||||||
Westpac Banking Corp. | SGD | 2,595,000 | USD | 1,811,554 | 01/04/2017 | 15,333 | ||||||||||||||||
Westpac Banking Corp. | CHF | 3,560,000 | USD | 3,503,403 | 01/04/2017 | 672 | ||||||||||||||||
Westpac Banking Corp. | EUR | 3,600,000 | USD | 3,745,832 | 01/04/2017 | (51,267 | ) | |||||||||||||||
Westpac Banking Corp. | EUR | 7,061,000 | USD | 7,503,852 | 01/04/2017 | 56,262 | ||||||||||||||||
Westpac Banking Corp. | JPY | 4,547,983,000 | USD | 39,993,449 | 01/04/2017 | 1,000,153 | ||||||||||||||||
Westpac Banking Corp. | GBP | 144,775,274 | USD | 181,077,674 | 01/04/2017 | 2,186,183 | ||||||||||||||||
Westpac Banking Corp. | SGD | 1,469,000 | USD | 1,016,558 | 02/02/2017 | (125 | ) | |||||||||||||||
Westpac Banking Corp. | AUD | 14,045,000 | USD | 10,161,965 | 02/02/2017 | (681 | ) | |||||||||||||||
Westpac Banking Corp. | GBP | 146,152,774 | USD | 180,725,213 | 02/02/2017 | (9,133 | ) | |||||||||||||||
Westpac Banking Corp. | USD | 2,581,909 | HKD | 20,013,000 | 02/03/2017 | (218 | ) | |||||||||||||||
|
| |||||||||||||||||||||
Total | $ | 23,615,095 | ||||||||||||||||||||
|
|
During the period ended December 31, 2016, average notional value related to forward foreign currency exchange contracts was $4,520,597,246 or 214% 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 | |
JPY | – Japanese yen | |
NOK | – Norwegian krone | |
NZD | – New Zealand dollar | |
SEK | – Swedish krona | |
SGD | – Singapore dollar | |
USD | – U.S. dollar |
At December 31, 2016, open futures contracts purchased were as follows:
Futures Contracts | Expiration | Number of | Notional | Unrealized | ||||||||||||
Mini MSCI EAFE (long) | 03/17/2017 | 1,575 | $ | 131,953,500 | $ | (498,675 | ) |
During the period ended December 31, 2016, average notional value related to futures contracts was $55,788,788 or 3% of net assets.
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
7
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Schedule of Investments — (continued)
December 31, 2016
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Mutual Fund and Exchange Traded Products | $ | 1,981,054,583 | $ | – | $ | – | $ | 1,981,054,583 | ||||||||
Short-Term Investment | 90,100,871 | – | – | 90,100,871 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 2,071,155,454 | $ | – | $ | – | $ | 2,071,155,454 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | – | 24,870,000 | – | 24,870,000 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments and Other Financial Instruments | $ | 2,071,155,454 | $ | 24,870,000 | $ | – | $ | 2,096,025,454 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | (1,254,905 | ) | $ | – | $ | (1,254,905 | ) | ||||||
Futures Contracts(b) | (498,675 | ) | – | – | (498,675 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (498,675 | ) | $ | (1,254,905 | ) | $ | – | $ | (1,753,580 | ) | |||||
|
|
|
|
|
|
|
|
(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 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 30,478,470 | $ | 30,478,470 | 186,702,730 | 217,181,200 | – | $ | – | $ | 95,780 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 166,257,785 | 76,156,914 | 90,100,871 | 90,100,871 | 59,427 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | 30,478,470 | $ | 90,100,871 | $ | 155,207 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
8
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Statement of Assets and Liabilities
December 31, 2016
Assets | ||||
Investment in corresponding Portfolio, at value (Note 2) | $ | 1,981,054,583 | ||
Investments in affiliated issuers, at value (Note 2) | 90,100,871 | |||
|
| |||
Total Investments | 2,071,155,454 | |||
Foreign currency, at value | 24,836 | |||
Cash at broker | 6,615,000 | |||
Receivable from broker - variation margin on open futures contracts | 2,997,067 | |||
Receivable for fund shares sold | 7,714,007 | |||
Unrealized appreciation on forward foreign currency exchange contracts | 24,870,000 | |||
Dividends receivable - affiliated issuers (Note 2) | 32,550 | |||
Receivable from Adviser (Note 4) | 1,647,392 | |||
Receivable for foreign taxes recoverable | 1,062,164 | |||
Prepaid expenses and other assets | 4,020 | |||
|
| |||
Total assets | 2,116,122,490 | |||
|
| |||
Liabilities | ||||
Unrealized depreciation on forward foreign currency contracts | 1,254,905 | |||
Payable for fund shares repurchased | 975,976 | |||
Advisory fee payable (Note 4) | 243,968 | |||
Custodian fees payable (Note 4) | 89,524 | |||
Administration fees payable (Note 4) | 87,142 | |||
Transfer agent fees payable (Note 4) | 4,408 | |||
Registration and filing fees payable | 35,337 | |||
Professional fees payable | 37,063 | |||
|
| |||
Total liabilities | 2,728,323 | |||
|
| |||
Net assets | $ | 2,113,394,167 | ||
|
| |||
Net assets consist of: | ||||
Paid-in Capital | $ | 2,066,592,044 | ||
Undistributed (distribution in excess of) net investment income (loss) | (1,792,658 | ) | ||
Accumulated net realized gain (loss) on investments, foreign currency transactions, and futures contracts | 63,274,279 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investments | (37,432,174 | ) | ||
Foreign currency transactions | 23,551,891 | |||
Foreign currency transactions allocated from Portfolio | (96,798 | ) | ||
Futures contracts | (498,675 | ) | ||
Futures contracts allocated from Portfolio | (203,742 | ) | ||
|
| |||
Net assets | $ | 2,113,394,167 | ||
|
| |||
Class K | ||||
Net assets | $ | 2,113,394,167 | ||
Shares outstanding | 230,176,688 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 9.18 | ||
|
| |||
Cost of Investments | ||||
Investment in Portfolio | $ | 2,018,486,757 | ||
Investments in affiliated issuers | 90,100,871 | |||
|
| |||
Total cost of investments | $ | 2,108,587,628 | ||
|
| |||
Foreign currency, at cost | $ | 25,084 | ||
|
|
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
9
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Statement of Operations
For the Year Ended December 31, 2016
Investment Income |
| |||
Dividend income allocated from the Portfolio (Note 2) | $ | 31,680,944 | ||
Expenses allocated from the Portfolio (Note 2) | (1,651,980 | ) | ||
Dividend Income – unaffiliated issuers (Note 2) | 16,283,791 | |||
Dividend income – affiliated issuers (Note 2) | 155,207 | |||
Foreign taxes withheld | (3,660,605 | ) | ||
|
| |||
Total Investment Income (Loss) | 42,807,357 | |||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 2,080,898 | |||
Administration fees (Note 4) | 743,178 | |||
Custodian fees (Note 4) | 440,788 | |||
Trustees’ fees and expenses (Note 5) | 18,734 | |||
Transfer agent fees (Note 4) | 15,881 | |||
Registration and filing fees | 45,984 | |||
Professional fees | 56,067 | |||
Printing and postage expenses | 26,636 | |||
Insurance expense | 6,998 | |||
Miscellaneous expenses | 30,613 | |||
|
| |||
Total Expenses | 3,465,777 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 4) | (2,132,587 | ) | ||
|
| |||
Net expenses | 1,333,190 | |||
|
| |||
Net Investment Income (Loss) | 41,474,167 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions allocated from Portfolio | (3,980,757 | ) | ||
Investment transactions – unaffiliated issuers | (984,986 | ) | ||
Foreign currency transactions allocated from the Portfolio | (1,213,740 | ) | ||
Foreign currency and forward foreign currency exchange contract transactions | 87,666,801 | |||
Futures contracts | 2,681,745 | |||
Futures contracts allocated from the Portfolio | 1,392,988 | |||
|
| �� | ||
Net realized gain (loss) | 85,562,051 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment transactions | 44,316,144 | |||
Investment transactions allocated from the Portfolio | (37,432,174 | ) | ||
Foreign currency transactions allocated from the Portfolio | (96,798 | ) | ||
Foreign currency and forward foreign currency exchange contract transactions | 34,727,462 | |||
Futures contracts | (553,584 | ) | ||
Futures contracts allocated from the Portfolio | (203,742 | ) | ||
|
| |||
Net change in unrealized appreciation (depreciation) | 40,757,308 | |||
|
| |||
Net realized and unrealized gain (loss) | 126,319,359 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 167,793,526 | ||
|
|
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
10
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Statement of Changes in Net Assets
Year Ended 12/31/16(a) | For the Period 5/29/15* – 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 41,474,167 | $ | 5,051,671 | ||||
Net realized gain (loss) | 85,562,051 | 22,806,665 | ||||||
Net change in unrealized appreciation/depreciation | 40,757,308 | (55,436,806 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 167,793,526 | (27,578,470 | ) | |||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Class K | (43,018,705 | ) | (5,281,836 | ) | ||||
Net realized gain on investments | ||||||||
Class K | (42,866,234 | ) | (2,836,197 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (85,884,939 | ) | (8,118,033 | ) | ||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Class K | ||||||||
Shares sold | 1,160,698,056 | 1,035,865,022 | ||||||
Reinvestment of distributions | 82,901,472 | 8,118,033 | ||||||
Shares redeemed | (170,657,622 | ) | (49,742,878 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 1,072,941,906 | 994,240,177 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 1,154,850,493 | 958,543,674 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 958,543,674 | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 2,113,394,167 | $ | 958,543,674 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | (1,622,041 | ) | $ | (77,503 | ) | ||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Class K | ||||||||
Shares sold | 134,135,836 | 110,940,307 | ||||||
Reinvestment of distributions | 9,040,510 | 916,257 | ||||||
Shares redeemed | (19,448,178 | ) | (5,408,044 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 123,728,168 | 106,448,520 | ||||||
|
|
|
| |||||
* | Inception date. |
(a) | Effective April 29, 2016, the Fund invests substantially all of its investable assets in the State Street International Developed Equity Index Portfolio (Note 1). |
See accompanying notes to financial statements and financial statements of the State Street International Developed Equity Index Portfolio.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Financial Highlights
Selected data for a share outstanding throughout each period
Class K | ||||||||
Year Ended 12/31/16(a) | 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) | 0.24 | 0.09 | ||||||
Net realized and unrealized gain (loss) | 0.34 | (1.00 | ) | |||||
|
|
|
| |||||
Total from investment operations | 0.58 | (0.91 | ) | |||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | (0.20 | ) | (0.06 | ) | ||||
Net realized gains | (0.20 | ) | (0.03 | ) | ||||
|
|
|
| |||||
Total distributions | (0.40 | ) | (0.09 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 9.18 | $ | 9.00 | ||||
|
|
|
| |||||
Total return(c) | 6.27 | % | (9.01 | )% | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 2,113,394 | $ | 958,544 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.34 | % | 0.38 | %(d) | ||||
Net expenses | 0.20 | % | 0.20 | %(d) | ||||
Net investment income (loss) | 2.79 | % | 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 State Street International Developed Equity Index Portfolio.
12
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements
December 31, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2016, the Trust consists of thirty-three (33) 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 (the “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 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 Portfolio. The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in 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 the net assets of the Portfolio (100% at December 31, 2016). The performance of the Fund was 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 would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 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.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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 December 31, 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:
• | 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 closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
• | Forward foreign currency 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 the valuation the 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.
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 asset or liability; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or |
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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 December 31, 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 Funds had no material transfers between levels for the period ended December 31, 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 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. The Fund is allocated a pro-rata share of the expense of its respective Portfolio. Class specific expenses are borne by each class.
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.
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.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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 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 December 31, 2016, if any, are disclosed in the Fund’s Statement of Assets and Liabilities.
3. | Derivative Financial Instruments |
Forward Foreign Currency Exchange Contracts
The Fund may engage in forward foreign currency exchange 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 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 December 31, 2016, the Fund entered into forward foreign currency exchange contracts to offset the Fund’s exposure to the component currencies.
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
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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 December 31, 2016, the Fund entered into futures contracts for cash equitization, return enhancement and to facilitate daily liquidity.
The following tables summarize the value of the Fund’s derivative instruments as of December 31, 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) | $ | – | $ | 24,870,000 | $ | – | $ | – | $ | – | $ | 24,870,000 |
(a) | Unrealized appreciation on forward foreign currency exchange contracts. |
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) | $ | – | $ | (1,254,905 | ) | $ | – | $ | – | $ | – | $ | (1,254,905 | ) | ||||||||||
Futures Contracts(b) | $ | – | $ | – | $ | – | $ | (498,675 | ) | $ | – | $ | (498,675 | ) |
(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) | $ | – | $ | 87,297,798 | $ | – | $ | – | $ | – | $ | 87,297,798 | ||||||||||||
Futures Contracts(b) | $ | – | $ | – | $ | – | $ | 2,681,745 | $ | – | $ | 2,681,745 |
(a) | Net realized gain (loss) on forward foreign currency exchange contracts. |
(b) | Net realized gain (loss) on futures contracts. |
17
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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) | $ | – | $ | 34,771,473 | $ | – | $ | – | $ | – | $ | 34,771,473 | ||||||||||||
Futures Contracts(b) | $ | – | $ | – | $ | – | $ | (553,584 | ) | $ | – | $ | (553,584 | ) |
(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 December 31, 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 | $ | 8,318,296 | $ | (43,256 | ) | $ | – | $ | 8,275,040 | |||||||
Bank of Montreal | 301 | (301 | ) | – | – | |||||||||||
BNP Paribas SA | 6,350,201 | (821,189 | ) | – | 5,529,012 | |||||||||||
Citibank N.A. | 2,218,746 | (55,478 | ) | – | 2,163,268 | |||||||||||
HSBC Bank USA | 482 | – | – | 482 | ||||||||||||
JP Morgan Chase Bank, N.A. | 105 | (105 | ) | – | – | |||||||||||
Morgan Stanley Bank, N.A. | 3,987 | (3,987 | ) | – | – | |||||||||||
Royal Bank of Canada | 2,402,519 | (100,110 | ) | – | 2,302,409 | |||||||||||
Societe Generale | 2,220,270 | (28,367 | ) | – | 2,191,903 | |||||||||||
Standard Chartered Bank | 63,449 | (42,144 | ) | – | 21,305 | |||||||||||
Toronto Dominion Bank | 33,041 | (33,041 | ) | – | – | |||||||||||
Westpac Banking Corp. | 3,258,603 | (63,529 | ) | – | 3,195,074 | |||||||||||
$ | 24,870,000 | $ | (1,191,507 | ) | $ | – | $ | 23,678,493 |
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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 | $ | (43,256 | ) | $ | 43,256 | $ | – | $ | – | |||||||
Bank of Montreal | (6,098 | ) | 301 | – | (5,797 | ) | ||||||||||
BNP Paribas SA | (821,189 | ) | 821,189 | – | – | |||||||||||
Citibank N.A. | (55,478 | ) | 55,478 | – | – | |||||||||||
JP Morgan Chase Bank, N.A. | (27,804 | ) | 105 | – | (27,699 | ) | ||||||||||
Morgan Stanley Bank, N.A. | (30,196 | ) | 3,987 | – | (26,209 | ) | ||||||||||
Royal Bank of Canada | (100,110 | ) | 100,110 | – | – | |||||||||||
Societe Generale | (28,367 | ) | 28,367 | – | – | |||||||||||
Standard Chartered Bank | (42,144 | ) | 42,144 | – | – | |||||||||||
Toronto Dominion Bank | (36,734 | ) | 33,041 | – | (3,693 | ) | ||||||||||
Westpac Banking Corp. | (63,529 | ) | 63,529 | – | – | |||||||||||
$ | (1,254,905 | ) | $ | 1,191,507 | $ | – | $ | (63,398 | ) |
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 FM, has agreed to reduce its advisory fee by the amount of the advisory fee it bears indirectly through its investment in the Portfolio. For the services provided under its Investment Advisory Agreement, the Portfolio pays the Adviser a management fee at an annual rate of 0.11% of the Portfolio’s average daily net assets. 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 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 year ended December 31, 2016, SSGA FM reimbursed or waived the fees under these agreements as 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”), a subsidiary of State Street Corporation, an affiliate of the Adviser, serves as custodian and sub-administrator to the Fund. For its administration services, the Fund pays SSGA FM a fee at the annual rate of 0.05% of its average daily net assets. 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.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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, and charges related to compliance and regulatory services.
Distributor
State Street Global Markets LLC ( the “Distributor” or “SSGM”), an affiliate of the Adviser, serves as the distributor of the Fund. SSGM is a wholly owned subsidiary of State Street Corporation.
Other Transactions with Affiliates
The Fund may invest in affiliated entities, included securities issued by State Street Corporation, 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 December 31, 2016 are disclosed in the Schedule 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 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 year ended December 31, 2016, were $370,406,925 and $1,229,922, respectively.
7. | Income Tax Information |
The Fund 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. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the 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 booktax differences. These adjustments have no impact on net asset values or results of operations.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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, futures contracts, passive foreign investment companies and wash sale loss deferrals.
The tax character of distributions paid during the year ended December 31, 2016, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Hedged International Developed Equity Index Fund | $ | 58,069,806 | $ | 27,815,133 | $ | – | $ | 85,884,939 |
The tax character of distributions paid during the year ended December 31, 2015 was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Hedged International Developed Equity Index Fund | $ | 6,565,099 | $ | 1,552,934 | $ | – | $ | 8,118,033 |
At December 31, 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 Hedged International Developed Equity Index Fund | $ | 36,901,519 | $ | – | $ | 50,835,946 | $ | (40,935,342 | ) | $ | – | $ | 46,802,123 |
* | The Trust has elected to defer certain qualified late-year losses and recognizes such losses in the next taxable year. |
As of December 31, 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 | $ | 2,112,336,087 | $ | – | $ | 41,180,633 | $ | (41,180,633 | ) |
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 development may affect the value of the Fund’s investments more than if the Fund were more broadly diversified.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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.
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.
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of State Street Institutional Investment Trust:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of State Street Hedged International Developed Equity Index Fund (one of the funds constituting State Street Institutional Investment Trust) (the “Fund”) as of December 31, 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 Fund’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 Fund’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 Fund’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 December 31, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and 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 Hedged International Developed Equity Index Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 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
February 27, 2017
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information
December 31, 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 July 1, 2016 to December 31, 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 Hedged International Developed Equity Index Fund | ||||||||||||||||||||
Class K | 0.23 | % | $ | 1,127.80 | $ | 1.23 | $ | 1,024.00 | $ | 1.17 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Tax Information
For federal tax income tax purposes, the following information is furnished with respect to the distributions from the Fund for the fiscal year ended December 31, 2016.
Qualified Dividend Income
A portion of dividends distributed by the Fund during the fiscal year ended December 31, 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 are noted below:
Amount | ||||
State Street Hedged International Developed Equity Index Fund | $ | 43,507,698 |
Long term capital gains dividends were paid from the Fund during the year ended December 31, 2016:
Amount | ||||
State Street Hedged International Developed Equity Index Fund | $ | 27,815,133 |
Foreign Tax Credit
The Fund has made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Funds to its shareholders. For the year ended December 31, 2016, the total amount of foreign taxes that will be passed through are:
Amount | ||||
State Street Hedged International Developed Equity Index Fund | $ | 3,469,726 |
The amount of foreign source income earned on the Fund during the year ended December 31, 2016 were as follows:
Amount | ||||
State Street Hedged International Developed Equity Index Fund | $ | 47,883,278 |
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 1-800-997-7327 (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 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 1-800-997-7327 (toll free) and on the Funds’ website at www.ssgafunds.com.
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Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||||
Independent Trustees | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected:1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||||
William L. Boyan (1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. | |||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 |
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State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||||
Independent Trustees (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 | ||||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 –1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 |
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Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||||
Independent Trustees (continued) | ||||||||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 | ||||||||
Interested Trustee(2) | ||||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
28
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). |
29
Table of Contents
State Street Institutional Investment Trust
State Street Hedged International Developed Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | |||
Officers: (continued) | ||||||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1973 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1976 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1983 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about Funds’ directors and is available, without charge, upon request and by calling 1-800-997-7327.
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Table of Contents
Trustees
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Michael A. Jessee
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 | IBG-22855 |
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
Annual Report
31 December 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
Annual Report
December 31, 2016
1 | ||||
2 | ||||
3 | ||||
15 | ||||
16 | ||||
17 | ||||
18 | ||||
19 | ||||
26 | ||||
27 |
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 International Developed Equity Index Portfolio
MANAGEMENT DISCUSSION OF FUND PERFORMANCE
The State Street International Developed Equity Index Portfolio (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return performance of a broad-based developed market (ex-U.S. and Canada) large and mid-capitalization equity index over the long term. The Fund’s benchmark is the MSCI EAFE (Europe, Australasia, Far East) Index (the “Index”).
For the period from April 29, 2016 (inception) through December 31, 2016 (the “Reporting Period”), the total return for the Fund was 1.00%, and the Index was 1.20% (Net). The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses, which would have a negative impact on returns. The cumulative effect of small weighting differences between the securities and currencies in the Fund and the Index contributed to the difference between the Fund’s performance and that of the Index.
The Fund’s performance from inception through the end of the second quarter of 2016 was -3.50%. Positive performance in April and May was offset by negative performance in June and the overall strength of the U.S. dollar versus other currencies. Recovering oil prices, dovish comments from central bankers and earnings data helped performance but was offset by the surprise British referendum vote supporting the withdrawal of the United Kingdom’s membership from the European Union. During the third quarter of 2016, the Fund’s performance was +5.91%. Accommodative monetary policy and a strong earnings season were key drivers of Fund performance during the quarter. Despite multiple terrorist attacks in France and Germany, the Fund had positive performance on the back of a lack of a U.S. interest rate hike, additional fiscal and monetary stimulus in Japan and a rate cut by the Bank of England. The Fund’s performance during the fourth quarter of 2016 was -1.17%. The strong dollar, geopolitical developments and global macroeconomic data were chief factors affecting Fund performance during the quarter. The Fund’s performance was helped by the unexpected results of the Presidential election in the U.S. and the ensuing market optimism regarding President-elect Trump’s expected policy initiatives. The resignation of Italian Prime Minister Matteo Renzi and macroeconomic data like Euro-zone retail sales, UK services and Germany factory orders also helped the Fund’s performance in the quarter. However, the Fund’s performance was negatively impacted by the strength of the U.S. dollar versus other major currencies.
The Fund used MSCI EAFE Index futures contracts in order to gain exposure to the Index during the Reporting Period. The Fund’s use of index futures helped the fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance were Royal Dutch Shell Plc Class B, Royal Dutch Shell Plc Class A, and BP p.l.c. The top negative contributors to the Fund’s performance were Roche Holding Ltd Genusssch., Teva Pharmaceutical Industries Limited, and Novo Nordisk A/S Class B.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
1
Table of Contents
State Street International Developed Equity Index Portfolio
Portfolio Statistics (Unaudited)
Top Five Holdings
As of December 31, 2016
Description | | Market Value | | | % Of Net Assets | | ||
Nestle SA | $ | 35,294,359 | 1.8 | |||||
Novartis AG | 25,709,532 | 1.3 | ||||||
HSBC Holdings PLC | 25,497,257 | 1.3 | ||||||
Roche Holding AG | 25,391,127 | 1.3 | ||||||
Toyota Motor Corp. | 24,867,772 | 1.3 |
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular security.)
Top Five Sectors (excluding short-term investments)* | December 31, 2016 | |||
Banks | 13.1 | % | ||
Pharmaceuticals | 8.5 | |||
Insurance | 5.7 | |||
Oil & Gas | 5.1 | |||
Telecommunications | 4.7 | |||
Total | 37.1 | % |
* | 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.
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Table of Contents
State Street International Developed Equity Index Portfolio
Schedule of Investments
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – 97.7% |
| |||||||
Australia – 7.3% | ||||||||
AGL Energy, Ltd. | 106,141 | $ | 1,697,764 | |||||
Alumina, Ltd. | 419,565 | 555,967 | ||||||
Amcor, Ltd. | 185,979 | 2,013,277 | ||||||
AMP, Ltd. | 486,944 | 1,777,084 | ||||||
APA Group | 170,346 | 1,057,088 | ||||||
Aristocrat Leisure, Ltd. | 83,749 | 939,961 | ||||||
ASX, Ltd. | 32,633 | 1,175,334 | ||||||
Aurizon Holdings, Ltd. | 307,536 | 1,124,568 | ||||||
AusNet Services | 245,512 | 280,885 | ||||||
Australia & New Zealand Banking Group, Ltd. | 464,371 | 10,228,755 | ||||||
Bank of Queensland, Ltd. | 66,249 | 569,414 | ||||||
Bendigo & Adelaide Bank, Ltd. | 76,836 | 707,145 | ||||||
BHP Billiton PLC | 337,298 | 5,445,258 | ||||||
BHP Billiton, Ltd. | 509,874 | 9,252,144 | ||||||
Boral, Ltd. | 173,969 | 681,503 | ||||||
Brambles, Ltd. | 248,097 | 2,227,623 | ||||||
Caltex Australia, Ltd. | 39,734 | 876,376 | ||||||
Challenger, Ltd. | 92,804 | 755,321 | ||||||
CIMIC Group, Ltd. | 13,823 | 349,723 | ||||||
Coca-Cola Amatil, Ltd. | 92,076 | 674,723 | ||||||
Cochlear, Ltd. | 8,884 | 788,352 | ||||||
Commonwealth Bank of Australia | 271,311 | 16,189,960 | ||||||
Computershare, Ltd. | 77,865 | 702,520 | ||||||
Crown Resorts, Ltd. | 54,466 | 456,702 | ||||||
CSL, Ltd. | 72,907 | 5,300,840 | ||||||
Dexus Property Group REIT | 148,887 | 1,037,123 | ||||||
Domino’s Pizza Enterprises, Ltd. | 10,034 | 472,193 | ||||||
DUET Group | 368,606 | 731,327 | ||||||
Flight Centre Travel Group, Ltd. | 6,354 | 144,009 | ||||||
Fortescue Metals Group, Ltd. | 243,023 | 1,036,481 | ||||||
Goodman Group REIT | 282,689 | 1,459,476 | ||||||
GPT Group REIT | 304,306 | 1,108,350 | ||||||
Harvey Norman Holdings, Ltd. | 74,061 | 275,646 | ||||||
Healthscope, Ltd. | 281,376 | 466,575 | ||||||
Incitec Pivot, Ltd. | 273,735 | 713,561 | ||||||
Insurance Australia Group, Ltd. | 382,446 | 1,658,805 | ||||||
LendLease Group | 86,686 | 917,687 | ||||||
Macquarie Group, Ltd. | 49,432 | 3,118,348 | ||||||
Medibank Pvt, Ltd. | 429,874 | 877,786 | ||||||
Mirvac Group REIT | 548,883 | 846,560 | ||||||
National Australia Bank, Ltd. | 421,763 | 9,366,573 | ||||||
Newcrest Mining, Ltd. | 117,598 | 1,724,342 | ||||||
Oil Search, Ltd. | 231,227 | 1,200,483 | ||||||
Orica, Ltd. | 57,261 | 733,060 | ||||||
Origin Energy, Ltd. | 286,955 | 1,369,297 | ||||||
Qantas Airways, Ltd. | 64,362 | 155,193 | ||||||
QBE Insurance Group, Ltd. | 217,482 | 1,955,885 | ||||||
Ramsay Health Care, Ltd. | 23,413 | 1,157,914 | ||||||
REA Group, Ltd. | 9,620 | 384,723 | ||||||
Santos, Ltd. | 314,465 | 915,370 | ||||||
Scentre Group REIT | 820,148 | 2,755,552 | ||||||
SEEK, Ltd. | 54,873 | 591,235 | ||||||
Sonic Healthcare, Ltd. | 67,055 | 1,039,067 | ||||||
South32, Ltd. | 836,284 | 1,665,271 | ||||||
Stockland REIT | 394,899 | 1,309,634 | ||||||
Suncorp Group, Ltd. | 206,556 | 2,022,148 | ||||||
Sydney Airport | 169,273 | 734,198 | ||||||
Tabcorp Holdings, Ltd. | 144,764 | 504,201 | ||||||
Tatts Group, Ltd. | 237,214 | 769,514 | ||||||
Telstra Corp., Ltd. | 668,058 | 2,467,078 | ||||||
TPG Telecom, Ltd. | 56,237 | 277,719 | ||||||
Transurban Group Stapled Security | 318,966 | 2,383,541 | ||||||
Treasury Wine Estates, Ltd. | 114,482 | 885,334 | ||||||
Vicinity Centres REIT | 511,437 | 1,107,291 | ||||||
Vocus Communications, Ltd. | 84,519 | 236,845 | ||||||
Wesfarmers, Ltd. | 179,788 | 5,485,973 | ||||||
Westfield Corp. | 302,874 | 2,057,137 | ||||||
Westpac Banking Corp. | 530,059 | 12,512,390 | ||||||
Woodside Petroleum, Ltd. | 117,026 | 2,640,452 | ||||||
Woolworths, Ltd. | 198,862 | 3,470,302 | ||||||
|
| |||||||
144,569,936 | ||||||||
|
| |||||||
Austria – 0.2% | ||||||||
ANDRITZ AG | 11,932 | 600,255 | ||||||
Erste Group Bank AG(a) | 49,398 | 1,449,753 | ||||||
OMV AG | 23,829 | 843,485 | ||||||
Raiffeisen Bank International AG (a) | 17,134 | 314,093 | ||||||
Voestalpine AG | 18,532 | 728,893 | ||||||
|
| |||||||
3,936,479 | ||||||||
|
| |||||||
Belgium – 1.2% | ||||||||
Ageas | 29,695 | 1,177,975 | ||||||
Anheuser-Busch InBev SA | 120,814 | 12,812,942 | ||||||
Colruyt SA | 11,037 | 547,198 | ||||||
Groupe Bruxelles Lambert SA | 12,499 | 1,050,974 | ||||||
KBC Group NV | 40,514 | 2,513,932 | ||||||
Proximus SADP | 23,118 | 667,138 | ||||||
Solvay SA | 12,191 | 1,431,789 | ||||||
Telenet Group Holding NV(a) | 9,109 | 506,519 | ||||||
UCB SA | 20,854 | 1,339,762 | ||||||
Umicore SA | 14,193 | 810,629 | ||||||
|
| |||||||
22,858,858 | ||||||||
|
| |||||||
Chile – 0.0%(b) | ||||||||
Antofagasta PLC | 67,870 | 566,079 | ||||||
|
| |||||||
China – 0.0%(b) | ||||||||
Yangzijiang Shipbuilding Holdings, Ltd. | 386,100 | 217,811 | ||||||
|
| |||||||
Denmark – 1.6% | ||||||||
AP Moeller – Maersk A/S Class A | 599 | 906,629 | ||||||
AP Moeller – Maersk A/S Class B | 1,034 | 1,653,039 | ||||||
Carlsberg A/S Class B | 16,892 | 1,460,473 | ||||||
Chr Hansen Holding A/S | 15,346 | 851,376 | ||||||
Coloplast A/S Class B | 17,552 | 1,185,894 | ||||||
Danske Bank A/S | 110,580 | 3,359,964 | ||||||
DONG Energy A/S(a)(c) | 14,003 | 531,552 | ||||||
DSV A/S | 29,051 | 1,294,809 | ||||||
Genmab A/S(a) | 9,005 | 1,498,374 | ||||||
ISS A/S | 25,755 | 870,976 | ||||||
Novo Nordisk A/S Class B | 303,361 | 10,960,423 | ||||||
Novozymes A/S Class B | 38,086 | 1,315,537 | ||||||
Pandora A/S | 18,007 | 2,360,217 | ||||||
TDC A/S(a) | 129,400 | 665,581 | ||||||
Tryg A/S | 20,264 | 367,075 | ||||||
Vestas Wind Systems A/S | 35,897 | 2,337,273 | ||||||
William Demant Holding A/S(a) | 21,003 | 365,863 | ||||||
|
| |||||||
31,985,055 | ||||||||
|
|
See accompanying notes to financial statements.
3
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Finland – 0.9% | ||||||||
Elisa Oyj | 21,489 | $ | 701,045 | |||||
Fortum Oyj | 67,299 | 1,034,231 | ||||||
Kone Oyj Class B | 52,724 | 2,367,345 | ||||||
Metso Oyj | 17,839 | 509,905 | ||||||
Neste Oyj | 19,205 | 739,361 | ||||||
Nokia Oyj(d) | 75,703 | 364,585 | ||||||
Nokia Oyj(d) | 830,824 | 4,020,518 | ||||||
Nokian Renkaat Oyj | 16,736 | 625,244 | ||||||
Orion Oyj Class B | 16,157 | 720,689 | ||||||
Sampo Oyj Class A | 69,664 | 3,129,432 | ||||||
Stora Enso Oyj Class R | 83,346 | 897,553 | ||||||
UPM-Kymmene Oyj | 84,411 | 2,078,019 | ||||||
Wartsila Oyj Abp | 22,564 | 1,015,757 | ||||||
|
| |||||||
18,203,684 | ||||||||
|
| |||||||
France – 9.7% | ||||||||
Accor SA | 27,213 | 1,016,944 | ||||||
Aeroports de Paris | 5,090 | 546,531 | ||||||
Air Liquide SA | 61,911 | 6,899,011 | ||||||
Airbus Group SE | 92,389 | 6,123,588 | ||||||
Alstom SA(a) | 24,765 | 683,714 | ||||||
Arkema SA | 9,980 | 978,324 | ||||||
Atos SE | 14,054 | 1,486,051 | ||||||
AXA SA | 308,393 | 7,801,781 | ||||||
BNP Paribas SA | 168,001 | 10,729,402 | ||||||
Bollore SA(a)(d) | 677 | 2,335 | ||||||
Bollore SA(d) | 143,645 | 507,557 | ||||||
Bouygues SA | 30,676 | 1,101,543 | ||||||
Bureau Veritas SA | 41,281 | 801,592 | ||||||
Cap Gemini SA | 26,500 | 2,240,263 | ||||||
Carrefour SA | 92,508 | 2,233,442 | ||||||
Casino Guichard Perrachon SA | 9,801 | 471,291 | ||||||
Christian Dior SE | 8,581 | 1,803,374 | ||||||
Cie de Saint-Gobain | 80,079 | 3,737,924 | ||||||
Cie Generale des Etablissements Michelin | 28,388 | 3,164,895 | ||||||
CNP Assurances | 29,292 | 543,765 | ||||||
Credit Agricole SA | 183,070 | 2,274,636 | ||||||
Danone SA | 94,168 | 5,979,286 | ||||||
Dassault Aviation SA | 384 | 429,973 | ||||||
Dassault Systemes SE | 19,699 | 1,504,085 | ||||||
Edenred | 33,018 | 655,943 | ||||||
Eiffage SA | 9,128 | 637,839 | ||||||
Electricite de France SA | 43,962 | 448,851 | ||||||
Engie SA | 227,806 | 2,912,174 | ||||||
Essilor International SA | 31,970 | 3,619,880 | ||||||
Eurazeo SA | 7,199 | 422,027 | ||||||
Eutelsat Communications SA | 29,017 | 562,992 | ||||||
Fonciere Des Regions | 5,751 | 503,103 | ||||||
Gecina SA REIT | 6,372 | 883,458 | ||||||
Groupe Eurotunnel SE | 73,525 | 700,591 | ||||||
Hermes International | 4,053 | 1,667,212 | ||||||
ICADE | 6,016 | 430,153 | ||||||
Iliad SA | 4,163 | 802,002 | ||||||
Imerys SA | 6,262 | 476,011 | ||||||
Ingenico Group SA | 8,184 | 654,915 | ||||||
JCDecaux SA | 12,680 | 373,542 | ||||||
Kering | 12,276 | 2,761,832 | ||||||
Klepierre REIT | 33,888 | 1,334,836 | ||||||
L’Oreal SA | 40,089 | 7,332,023 | ||||||
Lagardere SCA | 20,176 | 561,702 | ||||||
Legrand SA | 43,167 | 2,456,365 | ||||||
LVMH Moet Hennessy Louis Vuitton SE | 44,376 | 8,490,533 | ||||||
Natixis SA | 151,944 | 859,009 | ||||||
Orange SA | 309,510 | 4,712,387 | ||||||
Pernod Ricard SA | 32,983 | 3,581,509 | ||||||
Peugeot SA(a) | 80,059 | 1,308,432 | ||||||
Publicis Groupe SA | 31,347 | 2,167,296 | ||||||
Remy Cointreau SA | 4,070 | 347,805 | ||||||
Renault SA | 31,118 | 2,773,763 | ||||||
Rexel SA | 48,002 | 791,602 | ||||||
Safran SA | 48,670 | 3,512,319 | ||||||
Sanofi | 183,618 | 14,893,306 | ||||||
Schneider Electric SE | 89,624 | 6,249,439 | ||||||
SCOR SE | 25,924 | 897,682 | ||||||
SEB SA | 3,738 | 507,617 | ||||||
SFR Group SA(a) | 18,549 | 524,917 | ||||||
Societe BIC SA | 4,605 | 627,298 | ||||||
Societe Generale SA | 122,362 | 6,032,971 | ||||||
Sodexo SA | 14,450 | 1,664,332 | ||||||
Suez Environment Co. | 51,360 | 759,220 | ||||||
Technip SA | 16,580 | 1,185,845 | ||||||
Thales SA | 15,925 | 1,547,498 | ||||||
TOTAL SA | 356,204 | 18,304,404 | ||||||
Unibail-Rodamco SE | 15,445 | 3,693,897 | ||||||
Valeo SA | 36,241 | 2,087,478 | ||||||
Veolia Environnement SA | 75,779 | 1,292,834 | ||||||
Vinci SA | 80,848 | 5,517,255 | ||||||
Vivendi SA | 160,329 | 3,053,227 | ||||||
Wendel SA | 4,850 | 585,218 | ||||||
Zodiac Aerospace | 32,358 | 744,537 | ||||||
|
| |||||||
191,972,388 | ||||||||
|
| |||||||
Germany – 9.1% |
| |||||||
adidas AG | 29,223 | 4,628,067 | ||||||
Allianz SE | 72,416 | 11,991,781 | ||||||
Axel Springer SE | 8,400 | 408,707 | ||||||
BASF SE | 145,444 | 13,547,377 | ||||||
Bayer AG | 130,939 | 13,690,637 | ||||||
Bayerische Motoren Werke AG | 52,867 | 4,948,830 | ||||||
Bayerische Motoren Werke AG Preference Shares | 8,795 | 674,403 | ||||||
Beiersdorf AG | 15,235 | 1,295,171 | ||||||
Brenntag AG | 25,724 | 1,432,590 | ||||||
Commerzbank AG | 177,217 | 1,354,420 | ||||||
Continental AG | 17,144 | 3,321,780 | ||||||
Covestro AG(c) | 11,551 | 794,115 | ||||||
Daimler AG | 152,624 | 11,384,517 | ||||||
Deutsche Bank AG(a) | 214,489 | 3,902,507 | ||||||
Deutsche Boerse AG(a) | 29,503 | 2,412,912 | ||||||
Deutsche Lufthansa AG | 40,148 | 519,587 | ||||||
Deutsche Post AG | 155,105 | 5,109,952 | ||||||
Deutsche Telekom AG | 519,977 | 8,969,830 | ||||||
Deutsche Wohnen AG | 53,784 | 1,692,784 | ||||||
E.ON SE | 316,155 | 2,234,212 | ||||||
Evonik Industries AG | 27,051 | 809,739 | ||||||
Fraport AG Frankfurt Airport Services Worldwide | 6,934 | 410,807 |
See accompanying notes to financial statements.
4
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Germany – (continued) | ||||||||
Fresenius Medical Care AG & Co. KGaA | 34,718 | $ | 2,945,983 | |||||
Fresenius SE & Co. KGaA | 65,420 | 5,124,069 | ||||||
Fuchs Petrolub SE Preference Shares | 11,891 | 500,176 | ||||||
GEA Group AG | 30,765 | 1,240,540 | ||||||
Hannover Rueck SE | 9,355 | 1,014,347 | ||||||
HeidelbergCement AG | 23,311 | 2,179,170 | ||||||
Henkel AG & Co. KGaA | 16,537 | 1,726,449 | ||||||
Henkel AG & Co. KGaA Preference Shares | 27,885 | 3,330,875 | ||||||
HOCHTIEF AG | 3,385 | 475,032 | ||||||
HUGO BOSS AG | 10,709 | 656,597 | ||||||
Infineon Technologies AG | 176,400 | 3,071,816 | ||||||
Innogy SE(a)(c) | 20,508 | 714,033 | ||||||
KS AG | 30,127 | 721,008 | ||||||
Lanxess AG | 14,473 | 951,798 | ||||||
Linde AG | 29,662 | 4,883,744 | ||||||
MAN SE | 5,739 | 570,999 | ||||||
Merck KGaA | 19,837 | 2,074,523 | ||||||
METRO AG | 26,815 | 893,322 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 25,768 | 4,882,671 | ||||||
OSRAM Licht AG | 13,010 | 683,713 | ||||||
Porsche Automobil Holding SE Preference Shares | 23,397 | 1,276,839 | ||||||
ProSiebenSat.1 Media SE | 34,882 | 1,346,947 | ||||||
RWE AG(a) | 74,602 | 929,681 | ||||||
SAP SE | 155,620 | 13,592,449 | ||||||
Schaeffler AG Preference Shares | 27,293 | 404,605 | ||||||
Siemens AG | 121,083 | 14,916,795 | ||||||
Symrise AG | 20,690 | 1,262,011 | ||||||
Telefonica Deutschland Holding AG | 123,988 | 532,260 | ||||||
ThyssenKrupp AG | 59,004 | 1,408,988 | ||||||
TUI AG | 83,995 | 1,207,059 | ||||||
United Internet AG | 19,109 | 747,658 | ||||||
Volkswagen AG | 5,155 | 743,542 | ||||||
Volkswagen AG Preference Shares | 28,837 | 4,055,950 | ||||||
Vonovia SE | 72,813 | 2,373,489 | ||||||
Zalando SE(a)(c) | 14,199 | 543,493 | ||||||
|
| |||||||
179,517,356 | ||||||||
|
| |||||||
Hong Kong – 3.1% | ||||||||
AIA Group, Ltd. | 1,912,000 | 10,789,163 | ||||||
ASM Pacific Technology, Ltd. | 41,900 | 443,960 | ||||||
Bank of East Asia, Ltd. | 181,383 | 694,824 | ||||||
BOC Hong Kong Holdings, Ltd. | 585,000 | 2,093,826 | ||||||
Cathay Pacific Airways, Ltd. | 209,000 | 274,959 | ||||||
Cheung Kong Infrastructure Holdings, Ltd. | 99,000 | 787,847 | ||||||
Cheung Kong Property Holdings, Ltd. | 419,679 | 2,573,888 | ||||||
CK Hutchison Holdings, Ltd. | 431,500 | 4,892,057 | ||||||
CLP Holdings, Ltd. | 256,500 | 2,357,187 | ||||||
First Pacific Co., Ltd. | 314,000 | 219,508 | ||||||
Galaxy Entertainment Group, Ltd. | 358,000 | 1,560,708 | ||||||
Hang Lung Group, Ltd. | 145,000 | 504,956 | ||||||
Hang Lung Properties, Ltd. | 354,000 | 750,632 | ||||||
Hang Seng Bank, Ltd. | 120,800 | 2,248,304 | ||||||
Henderson Land Development Co., Ltd. | 168,868 | 898,448 | ||||||
HK Electric Investments & HK Electric Investments, Ltd.(c) | 455,490 | 375,994 | ||||||
HKT Trust & HKT, Ltd. | 424,000 | 519,531 | ||||||
Hong Kong & China Gas Co., Ltd. | 1,206,000 | 2,137,253 | ||||||
Hong Kong Exchanges & Clearing, Ltd. | 179,309 | 4,236,911 | ||||||
Hongkong Land Holdings, Ltd. | 195,000 | 1,234,350 | ||||||
Hysan Development Co., Ltd. | 105,000 | 434,049 | ||||||
Jardine Matheson Holdings, Ltd. | 39,200 | 2,165,800 | ||||||
Kerry Properties, Ltd. | 118,000 | 320,373 | ||||||
Li & Fung, Ltd. | 766,000 | 336,903 | ||||||
Link REIT | 353,500 | 2,297,956 | ||||||
Melco Crown Entertainment, Ltd. ADR | 32,723 | 520,296 | ||||||
MTR Corp., Ltd. | 238,645 | 1,160,421 | ||||||
New World Development Co., Ltd. | 849,709 | 898,682 | ||||||
NWS Holdings, Ltd. | 267,962 | 436,860 | ||||||
PCCW, Ltd. | 748,000 | 405,203 | ||||||
Power Assets Holdings, Ltd. | 225,500 | 1,987,956 | ||||||
Sands China, Ltd. | 380,000 | 1,651,716 | ||||||
Shangri-La Asia, Ltd. | 162,000 | 170,919 | ||||||
Sino Land Co., Ltd. | 479,556 | 718,732 | ||||||
SJM Holdings, Ltd. | 256,000 | 200,755 | ||||||
Sun Hung Kai Properties, Ltd. | 226,000 | 2,856,645 | ||||||
Swire Pacific, Ltd. Class A | 84,500 | 807,056 | ||||||
Swire Properties, Ltd. | 193,600 | 534,369 | ||||||
Techtronic Industries Co., Ltd. | 206,500 | 740,434 | ||||||
WH Group, Ltd.(c) | 1,210,309 | 978,781 | ||||||
Wharf Holdings, Ltd. | 215,000 | 1,429,516 | ||||||
Wheelock & Co., Ltd. | 127,000 | 715,006 | ||||||
Yue Yuen Industrial Holdings, Ltd. | 111,000 | 403,017 | ||||||
|
| |||||||
61,765,751 | ||||||||
|
| |||||||
Ireland – 0.7% | ||||||||
Bank of Ireland(a) | 4,567,642 | 1,127,347 | ||||||
CRH PLC | 128,778 | 4,476,231 | ||||||
Experian PLC | 150,309 | 2,923,378 | ||||||
James Hardie Industries PLC | 75,134 | 1,195,267 | ||||||
Kerry Group PLC Class A | 25,143 | 1,800,680 | ||||||
Paddy Power Betfair PLC | 13,096 | 1,402,020 | ||||||
Ryanair Holdings PLC ADR(a) | 4,562 | 379,832 | ||||||
|
| |||||||
13,304,755 | ||||||||
|
| |||||||
Israel – 0.6% | ||||||||
Azrieli Group, Ltd. | 7,782 | 337,877 | ||||||
Bank Hapoalim BM | 158,678 | 944,568 | ||||||
Bank Leumi Le-Israel BM(a) | 217,589 | 896,668 | ||||||
Bezeq The Israeli Telecommunication Corp., Ltd. | 319,597 | 607,863 |
See accompanying notes to financial statements.
5
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Israel – (continued) | ||||||||
Check Point Software Technologies, Ltd.(a) | 20,975 | $ | 1,771,549 | |||||
Elbit Systems, Ltd. | 3,969 | 402,196 | ||||||
Frutarom Industries, Ltd. | 6,562 | 336,058 | ||||||
Israel Chemicals, Ltd. | 90,984 | 373,520 | ||||||
Mizrahi Tefahot Bank, Ltd. | 25,993 | 380,576 | ||||||
Nice-Systems, Ltd. | 9,356 | 638,376 | ||||||
Teva Pharmaceutical Industries, Ltd. | 133,383 | 4,793,075 | ||||||
Teva Pharmaceutical Industries, Ltd. ADR | 12,263 | 444,534 | ||||||
|
| |||||||
11,926,860 | ||||||||
|
| |||||||
Italy – 1.8% | ||||||||
Assicurazioni Generali SpA | 180,730 | 2,691,624 | ||||||
Atlantia SpA | 66,085 | 1,551,592 | ||||||
Enel SpA | 1,188,713 | 5,250,893 | ||||||
Eni SpA | 405,087 | 6,609,797 | ||||||
Ferrari NV | 18,308 | 1,067,863 | ||||||
Intesa Sanpaolo SpA(d) | 1,979,759 | 5,065,854 | ||||||
Intesa Sanpaolo SpA(d) | 134,298 | 316,448 | ||||||
Leonardo-Finmeccanica SpA(a) | 61,820 | 869,830 | ||||||
Luxottica Group SpA | 27,127 | 1,462,084 | ||||||
Mediobanca SpA | 91,509 | 748,506 | ||||||
Poste Italiane SpA(c) | 85,106 | 565,972 | ||||||
Prysmian SpA | 30,924 | 795,857 | ||||||
Saipem SpA(a) | 1,096,115 | 618,528 | ||||||
Snam SpA | 392,219 | 1,619,194 | ||||||
Telecom Italia SpA/Milano(a)(d) | 1,631,737 | 1,440,539 | ||||||
Telecom Italia SpA/Milano(a)(d) | 963,350 | 698,056 | ||||||
Terna Rete Elettrica Nazionale SpA | 220,464 | 1,011,990 | ||||||
UniCredit SpA | 834,021 | 2,405,055 | ||||||
UnipolSai SpA | 194,056 | 415,502 | ||||||
|
| |||||||
35,205,184 | ||||||||
|
| |||||||
Japan – 23.6% | ||||||||
ABC-Mart, Inc. | 5,800 | 329,198 | ||||||
Acom Co., Ltd.(a) | 52,500 | 230,012 | ||||||
Aeon Co., Ltd. | 104,600 | 1,485,125 | ||||||
AEON Financial Service Co., Ltd. | 20,500 | 365,058 | ||||||
Aeon Mall Co., Ltd. | 16,200 | 228,343 | ||||||
Air Water, Inc. | 25,000 | 452,266 | ||||||
Aisin Seiki Co., Ltd. | 31,900 | 1,386,659 | ||||||
Ajinomoto Co., Inc. | 88,100 | 1,778,089 | ||||||
Alfresa Holdings Corp. | 29,300 | 485,842 | ||||||
Alps Electric Co., Ltd. | 28,500 | 690,539 | ||||||
Amada Holdings Co., Ltd. | 56,400 | 631,046 | ||||||
ANA Holdings, Inc. | 198,000 | 534,406 | ||||||
Aozora Bank, Ltd. | 185,000 | 655,078 | ||||||
Asahi Glass Co., Ltd. | 150,000 | 1,023,706 | ||||||
Asahi Group Holdings, Ltd. | 63,400 | 2,005,796 | ||||||
Asahi Kasei Corp. | 200,000 | 1,748,189 | ||||||
Asics Corp. | 27,100 | 542,534 | ||||||
Astellas Pharma, Inc. | 344,100 | 4,789,697 | ||||||
Bandai Namco Holdings, Inc. | 31,200 | 862,691 | ||||||
Bank of Kyoto, Ltd. | 41,000 | 305,123 | ||||||
Benesse Holdings, Inc. | 7,800 | 215,338 | ||||||
Bridgestone Corp. | 100,900 | 3,645,498 | ||||||
Brother Industries, Ltd. | 38,300 | 692,543 | ||||||
Calbee, Inc. | 15,100 | 473,837 | ||||||
Canon, Inc. | 170,600 | 4,819,540 | ||||||
Casio Computer Co., Ltd. | 37,900 | 537,135 | ||||||
Central Japan Railway Co. | 22,400 | 3,693,162 | ||||||
Chiba Bank, Ltd. | 110,000 | 676,212 | ||||||
Chubu Electric Power Co., Inc. | 106,700 | 1,493,901 | ||||||
Chugai Pharmaceutical Co., Ltd. | 32,900 | 946,367 | ||||||
Chugoku Bank, Ltd. | 30,400 | 437,358 | ||||||
Chugoku Electric Power Co., Inc. | 44,000 | 517,203 | ||||||
Concordia Financial Group, Ltd. | 175,700 | 847,506 | ||||||
Credit Saison Co., Ltd. | 21,200 | 377,523 | ||||||
CYBERDYNE, Inc.(a) | 22,800 | 322,936 | ||||||
Dai Nippon Printing Co., Ltd. | 85,000 | 841,728 | ||||||
Dai-ichi Life Holdings, Inc. | 166,200 | 2,772,969 | ||||||
Daicel Corp. | 39,700 | 439,088 | ||||||
Daiichi Sankyo Co., Ltd. | 93,300 | 1,913,036 | ||||||
Daikin Industries, Ltd. | 36,500 | 3,359,433 | ||||||
Daito Trust Construction Co., Ltd. | 11,200 | 1,688,138 | ||||||
Daiwa House Industry Co., Ltd. | 87,300 | 2,392,170 | ||||||
Daiwa House REIT Investment Corp. | 196 | 496,743 | ||||||
Daiwa Securities Group, Inc. | 262,000 | 1,618,027 | ||||||
DeNA Co., Ltd. | 17,400 | 381,014 | ||||||
Denso Corp. | 76,700 | 3,329,465 | ||||||
Dentsu, Inc. | 34,500 | 1,626,870 | ||||||
Don Quijote Holdings Co., Ltd. | 19,000 | 704,548 | ||||||
East Japan Railway Co. | 53,000 | 4,589,531 | ||||||
Eisai Co., Ltd. | 39,400 | 2,266,002 | ||||||
Electric Power Development Co., Ltd. | 23,900 | 551,215 | ||||||
FamilyMart UNY Holdings Co., Ltd. | 11,800 | 787,105 | ||||||
FANUC Corp. | 31,000 | 5,266,558 | ||||||
Fast Retailing Co., Ltd. | 8,600 | 3,084,306 | ||||||
Fuji Electric Co., Ltd. | 96,000 | 498,787 | ||||||
Fuji Heavy Industries, Ltd. | 95,500 | 3,907,283 | ||||||
FUJIFILM Holdings Corp. | 70,900 | 2,695,945 | ||||||
Fujitsu, Ltd. | 293,000 | 1,631,616 | ||||||
Fukuoka Financial Group, Inc. | 134,000 | 596,270 | ||||||
Hachijuni Bank, Ltd. | 56,700 | 329,597 | ||||||
Hakuhodo DY Holdings, Inc. | 27,200 | 335,817 | ||||||
Hamamatsu Photonics KK | 21,800 | 574,742 | ||||||
Hankyu Hanshin Holdings, Inc. | 40,400 | 1,298,924 | ||||||
Hikari Tsushin, Inc. | 3,900 | 364,136 | ||||||
Hino Motors, Ltd. | 34,000 | 346,894 | ||||||
Hirose Electric Co., Ltd. | 5,100 | 633,592 | ||||||
Hiroshima Bank, Ltd. | 90,000 | 421,314 | ||||||
Hisamitsu Pharmaceutical Co., Inc. | 10,400 | 521,627 | ||||||
Hitachi Chemical Co., Ltd. | 14,100 | 353,361 | ||||||
Hitachi Construction Machinery Co., Ltd. | 19,300 | 418,813 | ||||||
Hitachi High-Technologies Corp. | 11,800 | 477,018 | ||||||
Hitachi Metals, Ltd. | 28,800 | 391,128 | ||||||
Hitachi, Ltd. | 749,000 | 4,058,542 | ||||||
Hokuriku Electric Power Co. | 30,100 | 338,072 | ||||||
Honda Motor Co., Ltd. | 259,200 | 7,589,214 | ||||||
Hoshizaki Corp. | 7,900 | 626,527 | ||||||
Hoya Corp. | 61,200 | 2,576,870 |
See accompanying notes to financial statements.
6
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Hulic Co., Ltd. | 50,000 | $ | 445,407 | |||||
Idemitsu Kosan Co., Ltd. | 11,800 | 314,134 | ||||||
IHI Corp.(a) | 235,000 | 612,509 | ||||||
Iida Group Holdings Co., Ltd. | 26,200 | 498,010 | ||||||
Inpex Corp. | 151,700 | 1,523,048 | ||||||
Isetan Mitsukoshi Holdings, Ltd. | 55,600 | 600,643 | ||||||
Isuzu Motors, Ltd. | 98,200 | 1,246,917 | ||||||
ITOCHU Corp. | 241,300 | 3,210,851 | ||||||
J Front Retailing Co., Ltd. | 40,200 | 542,847 | ||||||
Japan Airlines Co., Ltd. | 19,600 | 573,876 | ||||||
Japan Airport Terminal Co., Ltd. | 5,500 | 199,233 | ||||||
Japan Exchange Group, Inc. | 87,300 | 1,249,976 | ||||||
Japan Post Bank Co., Ltd. | 61,200 | 736,174 | ||||||
Japan Post Holdings Co., Ltd. | 67,000 | 838,110 | ||||||
Japan Prime Realty Investment Corp. | 138 | 544,854 | ||||||
Japan Real Estate Investment Corp. | 220 | 1,201,526 | ||||||
Japan Retail Fund Investment Corp. REIT | 380 | 770,849 | ||||||
Japan Tobacco, Inc. | 175,500 | 5,784,044 | ||||||
JFE Holdings, Inc. | 87,100 | 1,329,258 | ||||||
JGC Corp. | 34,100 | 620,983 | ||||||
JSR Corp. | 33,300 | 526,188 | ||||||
JTEKT Corp. | 38,300 | 614,061 | ||||||
JX Holdings, Inc. | 352,100 | 1,493,410 | ||||||
Kajima Corp. | 139,000 | 964,127 | ||||||
Kakaku.com, Inc. | 18,200 | 301,786 | ||||||
Kamigumi Co., Ltd. | 40,000 | 382,047 | ||||||
Kaneka Corp. | 49,000 | 399,949 | ||||||
Kansai Electric Power Co., Inc.(a) | 104,800 | 1,148,321 | ||||||
Kansai Paint Co., Ltd. | 33,200 | 612,849 | ||||||
Kao Corp. | 80,900 | 3,843,331 | ||||||
Kawasaki Heavy Industries, Ltd. | 218,000 | 685,952 | ||||||
KDDI Corp. | 291,700 | 7,401,605 | ||||||
Keihan Holdings Co., Ltd. | 84,000 | 553,110 | ||||||
Keikyu Corp. | 73,000 | 848,073 | ||||||
Keio Corp. | 88,000 | 725,065 | ||||||
Keisei Electric Railway Co., Ltd. | 23,000 | 559,446 | ||||||
Keyence Corp. | 7,800 | 5,363,399 | ||||||
Kikkoman Corp. | 23,000 | 737,514 | ||||||
Kintetsu Group Holdings Co., Ltd. | 267,000 | 1,020,980 | ||||||
Kirin Holdings Co., Ltd. | 127,000 | 2,070,481 | ||||||
Kobe Steel, Ltd.(a) | 53,600 | 513,321 | ||||||
Koito Manufacturing Co., Ltd. | 17,300 | 918,138 | ||||||
Komatsu, Ltd. | 143,600 | 3,259,579 | ||||||
Konami Holdings Corp. | 15,400 | 623,209 | ||||||
Konica Minolta, Inc. | 73,400 | 730,633 | ||||||
Kose Corp. | 5,500 | 457,881 | ||||||
Kubota Corp. | 171,800 | 2,457,653 | ||||||
Kuraray Co., Ltd. | 56,000 | 843,109 | ||||||
Kurita Water Industries, Ltd. | 17,800 | 392,825 | ||||||
Kyocera Corp. | 49,500 | 2,466,618 | ||||||
Kyowa Hakko Kirin Co., Ltd. | 40,300 | 558,364 | ||||||
Kyushu Electric Power Co., Inc. | 69,300 | 753,396 | ||||||
Kyushu Financial Group, Inc. | 61,500 | 418,138 | ||||||
Lawson, Inc. | 10,300 | 725,023 | ||||||
LINE Corp.(a) | 8,000 | 275,046 | ||||||
Lion Corp. | 39,000 | 642,003 | ||||||
LIXIL Group Corp. | 42,100 | 957,975 | ||||||
M3, Inc. | 29,000 | 732,242 | ||||||
Mabuchi Motor Co., Ltd. | 6,500 | 339,949 | ||||||
Makita Corp. | 18,800 | 1,262,091 | ||||||
Marubeni Corp. | 264,100 | 1,500,797 | ||||||
Marui Group Co., Ltd. | 28,700 | 420,036 | ||||||
Maruichi Steel Tube, Ltd. | 10,400 | 339,281 | ||||||
Mazda Motor Corp. | 91,100 | 1,493,404 | �� | |||||
McDonald’s Holdings Co., Japan, Ltd. | 8,000 | 209,886 | ||||||
Mebuki Financial Group, Inc. | 137,900 | 511,945 | ||||||
Medipal Holdings Corp. | 28,900 | 456,661 | ||||||
MEIJI Holdings Co., Ltd. | 18,100 | 1,421,494 | ||||||
Minebea Co., Ltd. | 57,600 | 541,258 | ||||||
Miraca Holdings, Inc. | 9,700 | 436,619 | ||||||
MISUMI Group, Inc. | 44,200 | 729,119 | ||||||
Mitsubishi Chemical Holdings Corp. | 206,600 | 1,342,674 | ||||||
Mitsubishi Corp. | 235,300 | 5,023,338 | ||||||
Mitsubishi Electric Corp. | 309,700 | 4,326,799 | ||||||
Mitsubishi Estate Co., Ltd. | 194,000 | 3,871,351 | ||||||
Mitsubishi Gas Chemical Co., Inc. | 30,000 | 513,139 | ||||||
Mitsubishi Heavy Industries, Ltd. | 499,000 | 2,278,625 | ||||||
Mitsubishi Logistics Corp. | 15,000 | 212,586 | ||||||
Mitsubishi Materials Corp. | 16,800 | 517,100 | ||||||
Mitsubishi Motors Corp. | 116,800 | 666,942 | ||||||
Mitsubishi Tanabe Pharma Corp. | 36,200 | 711,678 | ||||||
Mitsubishi UFJ Financial Group, Inc. | 2,019,700 | 12,471,282 | ||||||
Mitsubishi UFJ Lease & Finance Co., Ltd. | 81,700 | 423,087 | ||||||
Mitsui & Co., Ltd. | 265,100 | 3,652,555 | ||||||
Mitsui Chemicals, Inc. | 141,000 | 634,672 | ||||||
Mitsui Fudosan Co., Ltd. | 140,000 | 3,246,881 | ||||||
Mitsui OSK Lines, Ltd. | 202,000 | 561,135 | ||||||
Mixi, Inc. | 5,600 | 205,016 | ||||||
Mizuho Financial Group, Inc. | 3,838,000 | 6,903,694 | ||||||
MS&AD Insurance Group Holdings, Inc. | 78,200 | 2,429,775 | ||||||
Murata Manufacturing Co., Ltd. | 29,700 | 3,985,125 | ||||||
Nabtesco Corp. | 18,700 | 435,935 | ||||||
Nagoya Railroad Co., Ltd. | 146,000 | 707,249 | ||||||
NEC Corp. | 385,000 | 1,023,278 | ||||||
Nexon Co., Ltd. | 29,000 | 421,194 | ||||||
NGK Insulators, Ltd. | 39,100 | 759,975 | ||||||
NGK Spark Plug Co., Ltd. | 29,600 | 659,329 | ||||||
NH Foods, Ltd. | 27,000 | 730,355 | ||||||
Nidec Corp. | 37,100 | 3,207,901 | ||||||
Nikon Corp. | 51,400 | 800,736 | ||||||
Nintendo Co., Ltd. | 18,200 | 3,829,279 | ||||||
Nippon Building Fund, Inc. | 236 | 1,309,144 | ||||||
Nippon Electric Glass Co., Ltd. | 76,000 | 411,815 | ||||||
Nippon Express Co., Ltd. | 134,000 | 722,648 | ||||||
Nippon Paint Holdings Co., Ltd. | 25,500 | 696,339 | ||||||
Nippon Prologis, Inc. REIT | 256 | 524,357 | ||||||
Nippon Steel & Sumitomo Metal Corp. | 130,500 | 2,916,907 | ||||||
Nippon Telegraph & Telephone Corp. | 110,700 | 4,662,052 |
See accompanying notes to financial statements.
7
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Nippon Yusen KK | 268,000 | $ | 498,615 | |||||
Nissan Chemical Industries, Ltd. | 20,000 | 669,610 | ||||||
Nissan Motor Co., Ltd. | 384,000 | 3,870,125 | ||||||
Nisshin Seifun Group, Inc. | 33,100 | 497,770 | ||||||
Nissin Foods Holdings Co., Ltd. | 9,400 | 494,843 | ||||||
Nitori Holdings Co., Ltd. | 13,300 | 1,523,454 | ||||||
Nitto Denko Corp. | 26,100 | 2,007,038 | ||||||
NOK Corp. | 13,100 | 265,740 | ||||||
Nomura Holdings, Inc. | 584,100 | 3,450,965 | ||||||
Nomura Real Estate Holdings, Inc. | 22,600 | 385,209 | ||||||
Nomura Real Estate Master Fund, Inc. | 666 | 1,009,549 | ||||||
Nomura Research Institute, Ltd. | 21,890 | 668,139 | ||||||
NSK, Ltd. | 70,500 | 818,425 | ||||||
NTT Data Corp. | 19,500 | 944,614 | ||||||
NTT DOCOMO, Inc. | 221,400 | 5,054,985 | ||||||
Obayashi Corp. | 96,800 | 927,042 | ||||||
Obic Co., Ltd. | 10,900 | 477,550 | ||||||
Odakyu Electric Railway Co., Ltd. | 45,500 | 902,315 | ||||||
Oji Holdings Corp. | 133,000 | 542,787 | ||||||
Olympus Corp. | 45,800 | 1,586,419 | ||||||
Omron Corp. | 28,500 | 1,095,919 | ||||||
Ono Pharmaceutical Co., Ltd. | 65,000 | 1,424,165 | ||||||
Oracle Corp. Japan | 4,900 | 247,447 | ||||||
Oriental Land Co., Ltd. | 34,500 | 1,954,019 | ||||||
ORIX Corp. | 206,000 | 3,221,537 | ||||||
Osaka Gas Co., Ltd. | 311,000 | 1,198,831 | ||||||
Otsuka Corp. | 9,100 | 425,996 | ||||||
Otsuka Holdings Co., Ltd. | 63,300 | 2,764,067 | ||||||
Panasonic Corp. | 343,800 | 3,506,238 | ||||||
Park24 Co., Ltd. | 18,200 | 494,654 | ||||||
Pola Orbis Holdings, Inc. | 4,200 | 347,494 | ||||||
Rakuten, Inc.(a) | 146,700 | 1,440,776 | ||||||
Recruit Holdings Co., Ltd. | 59,800 | 2,404,613 | ||||||
Resona Holdings, Inc. | 347,200 | 1,784,596 | ||||||
Ricoh Co., Ltd. | 103,900 | 880,123 | ||||||
Rinnai Corp. | 5,600 | 452,763 | ||||||
Rohm Co., Ltd. | 14,800 | 853,980 | ||||||
Ryohin Keikaku Co., Ltd. | 3,800 | 746,414 | ||||||
Sankyo Co., Ltd. | 5,100 | 165,066 | ||||||
Santen Pharmaceutical Co., Ltd. | 58,800 | 720,916 | ||||||
SBI Holdings, Inc. | 38,100 | 485,744 | ||||||
Secom Co., Ltd. | 34,100 | 2,499,137 | ||||||
Sega Sammy Holdings, Inc. | 32,200 | 480,094 | ||||||
Seibu Holdings, Inc. | 28,800 | 517,553 | ||||||
Seiko Epson Corp. | 43,000 | 912,462 | ||||||
Sekisui Chemical Co., Ltd. | 63,900 | 1,021,217 | ||||||
Sekisui House, Ltd. | 95,000 | 1,584,623 | ||||||
Seven & i Holdings Co., Ltd. | 120,600 | 4,604,379 | ||||||
Seven Bank, Ltd. | 69,300 | 199,044 | ||||||
Sharp Corp.(a) | 221,000 | 511,596 | ||||||
Shimadzu Corp. | 37,000 | 590,680 | ||||||
Shimamura Co., Ltd. | 3,700 | 462,837 | ||||||
Shimano, Inc. | 11,700 | 1,839,739 | ||||||
Shimizu Corp. | 89,000 | 815,716 | ||||||
Shin-Etsu Chemical Co., Ltd. | 62,200 | 4,835,319 | ||||||
Shinsei Bank, Ltd. | 309,000 | 519,261 | ||||||
Shionogi & Co., Ltd. | 46,100 | 2,213,006 | ||||||
Shiseido Co., Ltd. | 59,900 | 1,519,391 | ||||||
Shizuoka Bank, Ltd. | 86,000 | 724,071 | ||||||
Showa Shell Sekiyu KK | 34,700 | 323,393 | ||||||
SMC Corp. | 9,300 | 2,225,031 | ||||||
SoftBank Group Corp. | 152,400 | 10,146,063 | ||||||
Sohgo Security Services Co., Ltd. | 11,200 | 431,637 | ||||||
Sompo Holdings, Inc. | 56,000 | 1,901,316 | ||||||
Sony Corp. | 201,500 | 5,657,929 | ||||||
Sony Financial Holdings, Inc. | 22,800 | 356,558 | ||||||
Stanley Electric Co., Ltd. | 23,600 | 646,478 | ||||||
Start Today Co., Ltd. | 30,300 | 524,506 | ||||||
Sumitomo Chemical Co., Ltd. | 242,000 | 1,153,616 | ||||||
Sumitomo Corp. | 183,700 | 2,166,411 | ||||||
Sumitomo Dainippon Pharma Co., Ltd. | 26,900 | 463,574 | ||||||
Sumitomo Electric Industries, Ltd. | 118,600 | 1,714,913 | ||||||
Sumitomo Heavy Industries, Ltd. | 94,000 | 606,868 | ||||||
Sumitomo Metal Mining Co., Ltd. | 73,000 | 943,207 | ||||||
Sumitomo Mitsui Financial Group, Inc. | 213,400 | 8,160,192 | ||||||
Sumitomo Mitsui Trust Holdings, Inc. | 52,400 | 1,879,275 | ||||||
Sumitomo Realty & Development Co., Ltd. | 57,000 | 1,517,915 | ||||||
Sumitomo Rubber Industries, Ltd. | 29,600 | 471,022 | ||||||
Sundrug Co., Ltd. | 6,200 | 430,042 | ||||||
Suntory Beverage & Food, Ltd. | 20,800 | 865,812 | ||||||
Suruga Bank, Ltd. | 26,800 | 599,487 | ||||||
Suzuken Co., Ltd. | 13,600 | 445,424 | ||||||
Suzuki Motor Corp. | 52,300 | 1,844,748 | ||||||
Sysmex Corp. | 24,600 | 1,427,890 | ||||||
T&D Holdings, Inc. | 89,500 | 1,185,941 | ||||||
Taiheiyo Cement Corp. | 200,000 | 634,458 | ||||||
Taisei Corp. | 177,000 | 1,241,360 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 5,900 | 490,676 | ||||||
Taiyo Nippon Sanso Corp. | 23,300 | 270,487 | ||||||
Takashimaya Co., Ltd. | 53,000 | 438,050 | ||||||
Takeda Pharmaceutical Co., Ltd. | 113,900 | 4,721,623 | ||||||
TDK Corp. | 20,500 | 1,413,126 | ||||||
Teijin, Ltd. | 31,200 | 633,710 | ||||||
Terumo Corp. | 53,000 | 1,960,775 | ||||||
THK Co., Ltd. | 21,300 | 472,258 | ||||||
Tobu Railway Co., Ltd. | 153,000 | 760,835 | ||||||
Toho Co., Ltd. | 18,800 | 532,722 | ||||||
Toho Gas Co., Ltd. | 63,000 | 513,679 | ||||||
Tohoku Electric Power Co., Inc. | 67,900 | 859,847 | ||||||
Tokio Marine Holdings, Inc. | 109,100 | 4,486,163 | ||||||
Tokyo Electric Power Co. Holdings, Inc.(a) | 218,600 | 884,633 | ||||||
Tokyo Electron, Ltd. | 24,200 | 2,291,671 | ||||||
Tokyo Gas Co., Ltd. | 296,000 | 1,342,259 | ||||||
Tokyo Tatemono Co., Ltd. | 36,300 | 486,448 | ||||||
Tokyu Corp. | 177,000 | 1,303,580 | ||||||
Tokyu Fudosan Holdings Corp. | 90,400 | 534,797 | ||||||
TonenGeneral Sekiyu KK | 50,000 | 528,143 | ||||||
Toppan Printing Co., Ltd. | 80,000 | 765,465 | ||||||
Toray Industries, Inc. | 227,000 | 1,841,535 | ||||||
Toshiba Corp.(a) | 653,000 | 1,584,981 | ||||||
TOTO, Ltd. | 22,500 | 892,206 |
See accompanying notes to financial statements.
8
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Japan – (continued) | ||||||||
Toyo Seikan Group Holdings, Ltd. | 28,500 | $ | 533,176 | |||||
Toyo Suisan Kaisha, Ltd. | 14,500 | 526,493 | ||||||
Toyoda Gosei Co., Ltd. | 9,700 | 227,374 | ||||||
Toyota Industries Corp. | 27,200 | 1,298,958 | ||||||
Toyota Motor Corp. | 421,700 | 24,867,772 | ||||||
Toyota Tsusho Corp. | 32,200 | 840,648 | ||||||
Trend Micro, Inc.(a) | 18,100 | 644,794 | ||||||
Tsuruha Holdings, Inc. | 5,700 | 542,462 | ||||||
Unicharm Corp. | 64,800 | 1,420,894 | ||||||
United Urban Investment Corp. | 461 | 703,150 | ||||||
USS Co., Ltd. | 36,100 | 576,312 | ||||||
West Japan Railway Co. | 25,900 | 1,592,838 | ||||||
Yahoo! Japan Corp. | 212,100 | 816,504 | ||||||
Yakult Honsha Co., Ltd. | 14,300 | 664,518 | ||||||
Yamada Denki Co., Ltd. | 100,200 | 541,227 | ||||||
Yamaguchi Financial Group, Inc. | 27,000 | 294,689 | ||||||
Yamaha Corp. | 25,200 | 771,329 | ||||||
Yamaha Motor Co., Ltd. | 43,800 | 966,616 | ||||||
Yamato Holdings Co., Ltd. | 52,600 | 1,071,753 | ||||||
Yamazaki Baking Co., Ltd. | 22,000 | 425,910 | ||||||
Yaskawa Electric Corp. | 44,800 | 698,302 | ||||||
Yokogawa Electric Corp. | 38,300 | 555,939 | ||||||
Yokohama Rubber Co., Ltd. | 20,700 | 371,991 | ||||||
|
| |||||||
467,587,135 | ||||||||
|
| |||||||
Jordan – 0.0%(b) | ||||||||
Hikma Pharmaceuticals PLC | 23,594 | 551,884 | ||||||
|
| |||||||
Luxembourg – 0.3% | ||||||||
ArcelorMittal(a) | 281,900 | 2,086,095 | ||||||
Eurofins Scientific SE | 1,766 | 754,389 | ||||||
Millicom International Cellular SA SDR | 10,834 | 464,267 | ||||||
RTL Group SA(a) | 6,365 | 468,131 | ||||||
SES SA | 60,931 | 1,344,786 | ||||||
Tenaris SA | 72,792 | 1,302,912 | ||||||
|
| |||||||
6,420,580 | ||||||||
|
| |||||||
Macau – 0.0%(b) | ||||||||
MGM China Holdings, Ltd. | 169,200 | 350,920 | ||||||
Wynn Macau, Ltd. | 272,400 | 433,555 | ||||||
|
| |||||||
784,475 | ||||||||
|
| |||||||
MEXICO – 0.0%(b) | ||||||||
Fresnillo PLC | 35,255 | 531,902 | ||||||
|
| |||||||
Netherlands – 4.4% | ||||||||
ABN AMRO Group NV(c) | 45,150 | 1,002,442 | ||||||
Aegon NV | 288,008 | 1,588,143 | ||||||
AerCap Holdings NV(a) | 26,299 | 1,094,301 | ||||||
Akzo Nobel NV | 40,224 | 2,519,696 | ||||||
Altice NV Class A(a) | 57,665 | 1,145,281 | ||||||
Altice NV Class B(a) | 21,103 | 421,351 | ||||||
ASML Holding NV | 58,686 | 6,601,534 | ||||||
Boskalis Westminster | 14,615 | 508,547 | ||||||
EXOR NV | 16,949 | �� | 732,598 | |||||
Gemalto NV | 12,582 | 728,836 | ||||||
Heineken Holding NV | 16,975 | 1,184,196 | ||||||
Heineken NV | 36,024 | 2,707,617 | ||||||
ING Groep NV | 615,932 | 8,685,877 | ||||||
Koninklijke Ahold Delhaize NV | 198,952 | 4,203,188 | ||||||
Koninklijke DSM NV | 28,803 | 1,730,443 | ||||||
Koninklijke KPN NV | 538,480 | 1,598,244 | ||||||
Koninklijke Philips NV | 147,213 | 4,502,914 | ||||||
Koninklijke Vopak NV | 12,737 | 602,867 | ||||||
NN Group NV | 51,944 | 1,763,898 | ||||||
NXP Semiconductors NV(a) | 47,089 | 4,615,193 | ||||||
Randstad Holding NV | 20,126 | 1,093,874 | ||||||
Royal Dutch Shell PLC Class A | 683,864 | 18,949,488 | ||||||
Royal Dutch Shell PLC Class B | 592,336 | 17,229,389 | ||||||
Wolters Kluwer NV | 48,012 | 1,743,051 | ||||||
|
| |||||||
86,952,968 | ||||||||
|
| |||||||
New Zealand – 0.2% | ||||||||
Auckland International Airport, Ltd. | 146,479 | 638,374 | ||||||
Contact Energy, Ltd. | 116,874 | 379,772 | ||||||
Fletcher Building, Ltd. | 106,395 | 786,406 | ||||||
Mercury NZ, Ltd. | 76,048 | 156,964 | ||||||
Meridian Energy, Ltd. | 192,725 | 349,407 | ||||||
Ryman Healthcare, Ltd. | 46,924 | 265,360 | ||||||
Spark New Zealand, Ltd. | 282,139 | 670,868 | ||||||
|
| |||||||
3,247,151 | ||||||||
|
| |||||||
Norway – 0.7% | ||||||||
DNB ASA | 158,107 | 2,358,463 | ||||||
Gjensidige Forsikring ASA | 32,985 | 524,989 | ||||||
Marine Harvest ASA(a) | 59,901 | 1,083,516 | ||||||
Norsk Hydro ASA | 200,287 | 960,983 | ||||||
Orkla ASA | 135,099 | 1,227,359 | ||||||
Schibsted ASA Class A | 13,202 | 303,834 | ||||||
Schibsted ASA Class B | 15,363 | 326,618 | ||||||
Statoil ASA | 176,464 | 3,247,313 | ||||||
Telenor ASA | 122,399 | 1,834,343 | ||||||
Yara International ASA | 26,541 | 1,048,357 | ||||||
|
| |||||||
12,915,775 | ||||||||
|
| |||||||
Portugal – 0.2% | ||||||||
EDP – Energias de Portugal SA | 384,520 | 1,173,726 | ||||||
Galp Energia SGPS SA | 79,888 | 1,195,676 | ||||||
Jeronimo Martins SGPS SA | 36,591 | 568,881 | ||||||
|
| |||||||
2,938,283 | ||||||||
|
| |||||||
Singapore – 1.2% | ||||||||
Ascendas REIT | 402,050 | 631,725 | ||||||
CapitaLand Commercial Trust | 343,000 | 351,381 | ||||||
CapitaLand Mall Trust REIT | 390,000 | 508,860 | ||||||
CapitaLand, Ltd. | 392,000 | 819,437 | ||||||
City Developments, Ltd. | 72,400 | 414,946 | ||||||
ComfortDelGro Corp., Ltd. | 335,000 | 572,749 | ||||||
DBS Group Holdings, Ltd. | 277,472 | 3,330,355 | ||||||
Genting Singapore PLC | 953,000 | 596,985 | ||||||
Global Logistic Properties, Ltd. | 415,000 | 631,965 | ||||||
Golden Agri-Resources, Ltd. | 1,326,600 | 394,849 | ||||||
Hutchison Port Holdings Trust | 935,800 | 407,073 | ||||||
Jardine Cycle & Carriage, Ltd. | 17,233 | 491,809 | ||||||
Keppel Corp., Ltd. | 223,000 | 893,729 | ||||||
Oversea-Chinese Banking Corp., Ltd. | 505,726 | 3,122,500 | ||||||
SATS, Ltd. | 114,700 | 385,059 | ||||||
Sembcorp Industries, Ltd. | 177,900 | 350,948 | ||||||
Singapore Airlines, Ltd. | 91,100 | 609,772 | ||||||
Singapore Exchange, Ltd. | 123,000 | 609,594 |
See accompanying notes to financial statements.
9
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Singapore – (continued) | ||||||||
Singapore Press Holdings, Ltd. | 244,000 | $ | 596,193 | |||||
Singapore Technologies Engineering, Ltd. | 247,000 | 552,232 | ||||||
Singapore Telecommunications, Ltd. | 1,281,000 | 3,236,416 | ||||||
StarHub, Ltd. | 120,500 | 234,377 | ||||||
Suntec Real Estate Investment Trust | 417,500 | 476,829 | ||||||
United Overseas Bank, Ltd. | 199,660 | 2,819,315 | ||||||
UOL Group, Ltd. | 87,800 | 364,035 | ||||||
Wilmar International, Ltd. | 294,000 | 730,574 | ||||||
|
| |||||||
24,133,707 | ||||||||
|
| |||||||
South Africa – 0.1% | ||||||||
Investec PLC | 100,975 | 668,766 | ||||||
Mediclinic International PLC | 60,148 | 573,021 | ||||||
Mondi PLC | 61,712 | 1,270,398 | ||||||
|
| |||||||
2,512,185 | ||||||||
|
| |||||||
Spain – 3.0% | ||||||||
Abertis Infraestructuras SA | 101,501 | 1,423,339 | ||||||
ACS Actividades de Construccion y Servicios SA | 31,096 | 984,611 | ||||||
Aena SA(c) | 10,618 | 1,451,994 | ||||||
Amadeus IT Group SA Class A | 70,531 | 3,211,527 | ||||||
Banco Bilbao Vizcaya Argentaria SA | 1,046,790 | 7,081,708 | ||||||
Banco de Sabadell SA | 783,804 | 1,093,747 | ||||||
Banco Popular Espanol SA | 512,183 | 495,927 | ||||||
Banco Santander SA | 2,315,420 | 12,110,816 | ||||||
Bankia SA | 751,511 | 769,669 | ||||||
Bankinter SA | 107,017 | 830,769 | ||||||
CaixaBank SA | 517,295 | 1,713,237 | ||||||
Distribuidora Internacional de Alimentacion SA | 91,007 | 447,792 | ||||||
Enagas SA | 34,959 | 889,561 | ||||||
Endesa SA | 49,055 | 1,041,283 | ||||||
Ferrovial SA | 80,948 | 1,451,031 | ||||||
Gas Natural SDG SA | 56,324 | 1,063,993 | ||||||
Grifols SA | 46,071 | 917,443 | ||||||
Iberdrola SA | 862,452 | 5,670,890 | ||||||
Industria de Diseno Textil SA | 173,871 | 5,947,352 | ||||||
Mapfre SA | 157,588 | 482,026 | ||||||
Red Electrica Corp. SA | 68,565 | 1,296,317 | ||||||
Repsol SA | 169,655 | 2,401,423 | ||||||
Telefonica SA | 741,186 | 6,895,175 | ||||||
Zardoya Otis SA | 36,394 | 308,244 | ||||||
|
| |||||||
59,979,874 | ||||||||
|
| |||||||
Sweden – 2.8% | ||||||||
Alfa Laval AB | 44,577 | 739,957 | ||||||
Assa Abloy AB Class B | 157,355 | 2,928,993 | ||||||
Atlas Copco AB Class A | 105,295 | 3,216,362 | ||||||
Atlas Copco AB Class B | 64,266 | 1,758,639 | ||||||
Boliden AB | 42,485 | 1,112,562 | ||||||
Electrolux AB Series B | 37,284 | 928,755 | ||||||
Getinge AB Class B | 32,302 | 519,486 | ||||||
Hennes & Mauritz AB Class B | 152,272 | 4,247,377 | ||||||
Hexagon AB Class B | 42,874 | 1,536,170 | ||||||
Husqvarna AB Class B | 62,660 | 488,680 | ||||||
ICA Gruppen AB | 13,522 | 413,641 | ||||||
Industrivarden AB Class C | 27,746 | 518,600 | ||||||
Investor AB Class B | 73,785 | 2,765,536 | ||||||
Kinnevik AB Class B | 36,626 | 880,111 | ||||||
L E Lundbergforetagen AB Class B | 6,443 | 396,101 | ||||||
Lundin Petroleum AB(a) | 30,763 | 670,822 | ||||||
Nordea Bank AB | 485,186 | 5,410,182 | ||||||
Sandvik AB | 174,167 | 2,160,648 | ||||||
Securitas AB Class B | 46,973 | 741,467 | ||||||
Skandinaviska Enskilda Banken AB Class A | 239,582 | 2,519,875 | ||||||
Skanska AB Class B | 52,118 | 1,234,020 | ||||||
SKF AB Class B | 66,891 | 1,234,059 | ||||||
Svenska Cellulosa AB SCA Class B | 98,553 | 2,791,283 | ||||||
Svenska Handelsbanken AB Class A | 245,174 | 3,416,664 | ||||||
Swedbank AB Class A | 141,931 | 3,441,802 | ||||||
Swedish Match AB | 30,182 | 962,810 | ||||||
Tele2 AB Class B | 66,816 | 537,273 | ||||||
Telefonaktiebolaget LM Ericsson Class B | 496,366 | 2,923,143 | ||||||
Telia Co. AB | 428,370 | 1,731,002 | ||||||
Volvo AB Class B | 249,404 | 2,921,052 | ||||||
|
| |||||||
55,147,072 | ||||||||
|
| |||||||
Switzerland — 9.0% | ||||||||
ABB, Ltd.(a) | 300,004 | 6,340,420 | ||||||
Actelion, Ltd.(a) | 15,172 | 3,291,608 | ||||||
Adecco Group AG | 25,044 | 1,642,330 | ||||||
Aryzta AG(a) | 14,306 | 631,302 | ||||||
Baloise Holding AG | 7,877 | 994,361 | ||||||
Barry Callebaut AG(a) | 370 | 453,604 | ||||||
Chocoladefabriken Lindt & Spruengli AG(d) | 154 | 799,282 | ||||||
Chocoladefabriken Lindt & Spruengli AG(d) | 16 | 974,467 | ||||||
Cie Financiere Richemont SA | 83,349 | 5,531,451 | ||||||
Coca-Cola HBC AG(a) | 29,579 | 646,922 | ||||||
Credit Suisse Group AG(a) | 308,246 | 4,431,027 | ||||||
Dufry AG(a) | 7,183 | 897,566 | ||||||
EMS-Chemie Holding AG | 1,306 | 664,983 | ||||||
Galenica AG | 619 | 699,789 | ||||||
Geberit AG | 6,027 | 2,420,644 | ||||||
Givaudan SA | 1,441 | 2,645,650 | ||||||
Glencore PLC(a) | 1,948,998 | 6,679,360 | ||||||
Julius Baer Group, Ltd.(a) | 33,901 | 1,508,675 | ||||||
Kuehne + Nagel International AG | 8,156 | 1,080,137 | ||||||
LafargeHolcim, Ltd.(a)(d) | 67,726 | 3,575,048 | ||||||
LafargeHolcim, Ltd.(a)(d) | 4,070 | 214,277 | ||||||
Lonza Group AG(a) | 8,784 | 1,523,707 | ||||||
Nestle SA | 491,053 | 35,294,359 | ||||||
Novartis AG | 352,630 | 25,709,532 | ||||||
Pargesa Holding SA | 5,778 | 376,919 | ||||||
Partners Group Holding AG | 2,615 | 1,227,932 | ||||||
Roche Holding AG | 110,947 | 25,391,127 | ||||||
Schindler Holding AG(d) | 6,656 | 1,176,187 | ||||||
Schindler Holding AG(d) | 3,298 | 577,276 |
See accompanying notes to financial statements.
10
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Switzerland – (continued) | ||||||||
SGS SA | 883 | $ | 1,800,144 | |||||
Sika AG | 355 | 1,708,722 | ||||||
Sonova Holding AG | 8,060 | 978,604 | ||||||
STMicroelectronics NV | 101,844 | 1,157,450 | ||||||
Swatch Group AG(d) | 4,685 | 1,459,871 | ||||||
Swatch Group AG(d) | 8,419 | 515,652 | ||||||
Swiss Life Holding AG(a) | 4,833 | 1,370,464 | ||||||
Swiss Prime Site AG(a) | 10,706 | 877,990 | ||||||
Swiss Re AG | 51,571 | 4,896,543 | ||||||
Swisscom AG | 4,173 | 1,872,687 | ||||||
Syngenta AG | 14,496 | 5,740,778 | ||||||
UBS Group AG | 580,633 | 9,112,113 | ||||||
Wolseley PLC | 40,993 | 2,513,401 | ||||||
Zurich Insurance Group AG (a) | 23,979 | 6,615,547 | ||||||
|
| |||||||
178,019,908 | ||||||||
|
| |||||||
United Kingdom – 15.4% |
| |||||||
3i Group PLC | 159,169 | 1,384,607 | ||||||
Aberdeen Asset Management PLC | 149,307 | 474,696 | ||||||
Admiral Group PLC | 32,886 | 742,412 | ||||||
Anglo American PLC(a) | 222,106 | 3,183,564 | ||||||
Ashtead Group PLC | 79,925 | 1,560,397 | ||||||
Associated British Foods PLC | 54,450 | 1,846,867 | ||||||
AstraZeneca PLC | 200,525 | 10,995,176 | ||||||
Auto Trader Group PLC(c) | 157,716 | 797,066 | ||||||
Aviva PLC | 634,210 | 3,811,728 | ||||||
Babcock International Group PLC | 40,052 | 471,642 | ||||||
BAE Systems PLC | 495,675 | 3,622,822 | ||||||
Barclays PLC | 2,690,224 | 7,427,867 | ||||||
Barratt Developments PLC | 155,655 | 889,357 | ||||||
Berkeley Group Holdings PLC | 20,771 | 720,692 | ||||||
BP PLC | 2,969,777 | 18,700,299 | ||||||
British American Tobacco PLC | 294,873 | 16,838,882 | ||||||
British Land Co. PLC REIT | 160,732 | 1,250,240 | ||||||
BT Group PLC | 1,345,316 | 6,099,122 | ||||||
Bunzl PLC | 53,748 | 1,400,665 | ||||||
Burberry Group PLC | 67,953 | 1,256,972 | ||||||
Capita PLC | 96,562 | 633,572 | ||||||
Centrica PLC | 887,526 | 2,567,307 | ||||||
CNH Industrial NV | 155,532 | 1,355,851 | ||||||
Cobham PLC | 281,893 | 570,201 | ||||||
Coca-Cola European Partners PLC | 32,974 | 1,044,075 | ||||||
Compass Group PLC | 262,962 | 4,877,182 | ||||||
Croda International PLC | 20,453 | 807,717 | ||||||
DCC PLC | 15,020 | 1,120,991 | ||||||
Diageo PLC | 399,396 | 10,413,134 | ||||||
Direct Line Insurance Group PLC | 208,724 | 952,718 | ||||||
Dixons Carphone PLC | 154,993 | 679,119 | ||||||
easyJet PLC | 28,875 | 358,578 | ||||||
Fiat Chrysler Automobiles NV | 134,034 | 1,224,991 | ||||||
G4S PLC | 247,368 | 718,301 | ||||||
GKN PLC | 263,639 | 1,080,564 | ||||||
GlaxoSmithKline PLC | 771,500 | 14,890,602 | ||||||
Hammerson PLC | 122,096 | 864,473 | ||||||
Hargreaves Lansdown PLC | 41,540 | 622,619 | ||||||
HSBC Holdings PLC | 3,141,224 | 25,497,257 | ||||||
IMI PLC | 44,363 | 570,098 | ||||||
Imperial Brands PLC | 152,688 | 6,683,594 | ||||||
Inmarsat PLC | 71,204 | 661,194 | ||||||
InterContinental Hotels Group PLC | 30,719 | 1,380,909 | ||||||
International Consolidated Airlines Group SA | 130,111 | 703,876 | ||||||
Intertek Group PLC | 27,259 | 1,172,490 | ||||||
Intu Properties PLC | 156,211 | 542,971 | ||||||
ITV PLC | 583,442 | 1,487,999 | ||||||
J Sainsbury PLC | 252,674 | 778,356 | ||||||
Johnson Matthey PLC | 29,432 | 1,157,218 | ||||||
Kingfisher PLC | 341,817 | 1,479,548 | ||||||
Land Securities Group PLC REIT | 130,410 | 1,717,764 | ||||||
Legal & General Group PLC | 962,446 | 2,944,573 | ||||||
Lloyds Banking Group PLC | 10,209,884 | 7,886,160 | ||||||
London Stock Exchange Group PLC | 48,048 | 1,730,056 | ||||||
Marks & Spencer Group PLC | 273,085 | 1,181,031 | ||||||
Meggitt PLC | 120,068 | 680,388 | ||||||
Merlin Entertainments PLC(c) | 113,079 | 626,811 | ||||||
National Grid PLC | 599,288 | 7,046,692 | ||||||
NEX Group PLC | 50,386 | 289,193 | ||||||
Next PLC | 21,555 | 1,327,193 | ||||||
Old Mutual PLC | 751,187 | 1,924,166 | ||||||
Pearson PLC | 131,987 | 1,334,889 | ||||||
Persimmon PLC | 52,097 | 1,143,276 | ||||||
Petrofac, Ltd. | 44,356 | 476,286 | ||||||
Provident Financial PLC | 23,000 | 809,684 | ||||||
Prudential PLC | 409,920 | 8,243,571 | ||||||
Randgold Resources, Ltd. | 15,183 | 1,203,510 | ||||||
Reckitt Benckiser Group PLC | 100,465 | 8,548,248 | ||||||
RELX NV | 155,340 | 2,619,879 | ||||||
RELX PLC | 167,752 | 3,003,526 | ||||||
Rio Tinto PLC | 196,766 | 7,679,381 | ||||||
Rio Tinto, Ltd. | 66,068 | 2,865,606 | ||||||
Rolls-Royce Holdings PLC(a) | 282,929 | 2,335,335 | ||||||
Royal Bank of Scotland Group PLC(a) | 529,605 | 1,469,796 | ||||||
Royal Mail PLC | 139,794 | 798,215 | ||||||
RSA Insurance Group PLC | 156,809 | 1,135,439 | ||||||
Sage Group PLC | 170,412 | 1,379,230 | ||||||
Schroders PLC | 21,465 | 795,166 | ||||||
Segro PLC | 144,328 | 816,970 | ||||||
Severn Trent PLC | 39,903 | 1,095,582 | ||||||
Sky PLC | 157,671 | 1,930,727 | ||||||
Smith & Nephew PLC | 145,640 | 2,197,311 | ||||||
Smiths Group PLC | 60,781 | 1,063,473 | ||||||
SSE PLC | 158,007 | 3,032,097 | ||||||
St James’s Place PLC | 81,049 | 1,015,502 | ||||||
Standard Chartered PLC(a) | 509,840 | 4,180,571 | ||||||
Standard Life PLC | 316,600 | 1,455,289 | ||||||
Tate & Lyle PLC | 75,937 | 663,858 | ||||||
Taylor Wimpey PLC | 482,410 | 914,998 | ||||||
Tesco PLC(a) | 1,271,774 | 3,250,579 | ||||||
TP ICAP PLC | 41,174 | 220,448 | ||||||
Travis Perkins PLC | 39,316 | 705,393 | ||||||
Unilever NV | 258,338 | 10,658,133 |
See accompanying notes to financial statements.
11
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
United Kingdom – (continued) | ||||||||
Unilever PLC | 203,969 | $ | 8,298,226 | |||||
United Utilities Group PLC | 112,170 | 1,248,811 | ||||||
Vodafone Group PLC | 4,219,883 | 10,420,771 | ||||||
Weir Group PLC | 34,531 | 806,429 | ||||||
Whitbread PLC | 29,449 | 1,374,035 | ||||||
William Hill PLC | 143,001 | 512,781 | ||||||
Wm Morrison Supermarkets PLC | 346,172 | 986,813 | ||||||
Worldpay Group PLC(c) | 279,733 | 932,915 | ||||||
WPP PLC | 205,542 | 4,612,238 | ||||||
|
| |||||||
305,961,592 | ||||||||
|
| |||||||
United States – 0.6% | ||||||||
Carnival PLC | 31,472 | 1,604,145 | ||||||
Mobileye NV(a) | 26,837 | 1,023,026 | ||||||
QIAGEN NV(a) | 34,355 | 966,775 | ||||||
Shire PLC | 111,068 | 6,428,374 | ||||||
Shire PLC ADR | 10,670 | 1,817,954 | ||||||
Taro Pharmaceutical Industries, Ltd.(a) | 2,744 | 288,861 | ||||||
|
| |||||||
12,129,135 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 1,935,843,822 | |||||||
|
| |||||||
RIGHTS – 0.0%(b) | ||||||||
Spain – 0.0%(b) | ||||||||
Repsol SA (expiring 1/6/17)(a) | 169,655 | 62,988 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 2.0% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(e)(f) | 39,019,139 | 39,019,139 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 99.7% |
| 1,974,925,949 | ||||||
Other Assets in Excess of | 6,138,729 | |||||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 1,981,064,678 | |||||
|
|
(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 0.5% of net assets as of December 31, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(d) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(e) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2016. |
ADR | American Depositary Receipt | |
REIT | Real Estate Investment Trust | |
SDR | Swedish Depositary Receipt |
At December 31, 2016, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized | ||||||||||||
Mini MSCI EAFE (long) | 03/17/2017 | 490 | $ | 41,052,200 | $ | (203,740 | ) |
During the period ended December 31, 2016, average notional value related to futures contracts was $37,558,458 or 1.9% of net assets.
See accompanying notes to financial statements.
12
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 144,569,936 | $ | – | $ | – | $ | 144,569,936 | ||||||||
Austria | 3,936,479 | – | – | 3,936,479 | ||||||||||||
Belgium | 22,858,858 | – | – | 22,858,858 | ||||||||||||
Chile | 566,079 | – | – | 566,079 | ||||||||||||
China | 217,811 | – | – | 217,811 | ||||||||||||
Denmark | 31,985,055 | – | – | 31,985,055 | ||||||||||||
Finland | 18,203,684 | – | – | 18,203,684 | ||||||||||||
France | 191,972,388 | – | – | 191,972,388 | ||||||||||||
Germany | 179,517,356 | – | – | 179,517,356 | ||||||||||||
Hong Kong | 61,765,751 | – | – | 61,765,751 | ||||||||||||
Ireland | 13,304,755 | – | – | 13,304,755 | ||||||||||||
Israel | 11,926,860 | – | – | 11,926,860 | ||||||||||||
Italy | 35,205,184 | – | – | 35,205,184 | ||||||||||||
Japan | 467,587,135 | – | – | 467,587,135 | ||||||||||||
Jordan | 551,884 | – | – | 551,884 | ||||||||||||
Luxembourg | 6,420,580 | – | – | 6,420,580 | ||||||||||||
Macau | 784,475 | – | – | 784,475 | ||||||||||||
Mexico | 531,902 | – | – | 531,902 | ||||||||||||
Netherlands | 86,952,968 | – | – | 86,952,968 | ||||||||||||
New Zealand | 3,247,151 | – | – | 3,247,151 | ||||||||||||
Norway | 12,915,775 | – | – | 12,915,775 | ||||||||||||
Portugal | 2,938,283 | – | – | 2,938,283 | ||||||||||||
Singapore | 24,133,707 | – | – | 24,133,707 | ||||||||||||
South Africa | 2,512,185 | – | – | 2,512,185 | ||||||||||||
Spain | 59,979,874 | – | – | 59,979,874 | ||||||||||||
Sweden | 55,147,072 | – | – | 55,147,072 | ||||||||||||
Switzerland | 178,019,908 | – | – | 178,019,908 | ||||||||||||
United Kingdom | 305,961,592 | – | – | 305,961,592 | ||||||||||||
United States | 12,129,135 | – | – | 12,129,135 | ||||||||||||
Rights | ||||||||||||||||
Spain | 62,988 | – | – | 62,988 | ||||||||||||
Short-Term Investment | 39,019,139 | – | – | 39,019,139 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 1,974,925,949 | $ | – | $ | – | $ | 1,974,925,949 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts (a) | $ | (203,740 | ) | $ | – | $ | – | $ | (203,740 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Other Financial Instruments | $ | (203,740 | ) | $ | – | $ | – | $ | (203,740 | ) | ||||||
|
|
|
|
|
|
|
|
(a) | Futures Contracts are valued at unrealized appreciation (depreciation). |
See accompanying notes to financial statements.
13
Table of Contents
State Street Master Funds
State Street International Developed Equity Index Portfolio
Schedule of Investments — (continued)
December 31, 2016
Affiliate Table
Number of shares held at 4/29/16* | Value at 4/29/16* | Shares purchased | Shares sold | Number of shares heldat 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | – | $ | – | 265,658,299 | 265,658,299 | – | $ | – | $ | 56,328 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 164,905,604 | 125,886,465 | 39,019,139 | 39,019,139 | 26,835 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total |
| $ | – | $ | 39,019,139 | $ | 83,163 | $ | – | |||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations. |
See accompanying notes to financial statements.
14
Table of Contents
State Street International Developed Equity Index Portfolio
Statement of Assets and Liabilities
December 31, 2016
Assets |
| |||
Investments in unaffiliated issuers, at value (Note 2) | $ | 1,935,906,810 | ||
Investments in affiliated issuers, at value (Note 2) | 39,019,139 | |||
|
| |||
Total investments | 1,974,925,949 | |||
Foreign currency, at value | 3,556,224 | |||
Cash at broker | 2,058,000 | |||
Receivable from broker – variation margin on open futures contracts | 876,792 | |||
Receivable for investments sold | 14,753 | |||
Dividends receivable – unaffiliated issuers (Note 2) | 1,775,899 | |||
Dividends receivable – affiliated issuers (Note 2) | 13,199 | |||
Receivable for foreign taxes recoverable | 1,214,741 | |||
Prepaid expenses and other assets | 181 | |||
|
| |||
Total assets | 1,984,435,738 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 3,111,630 | |||
Advisory fee payable (Note 4) | 178,901 | |||
Custodian fees payable (Note 4) | 54,174 | |||
Professional fees payable | 24,304 | |||
Printing and postage fees payable | 2,051 | |||
|
| |||
Total liabilities | 3,371,060 | |||
|
| |||
Net Assets | $ | 1,981,064,678 | ||
|
| |||
Cost of Investments: | ||||
Investments in unaffiliated issuers | $ | 1,973,351,896 | ||
Investments in affiliated issuers | 39,019,139 | |||
|
| |||
Total cost of investments | $ | 2,012,371,035 | ||
|
| |||
Foreign currency, at cost | $ | 3,534,578 | ||
|
|
See accompanying notes to financial statements.
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State Street International Developed Equity Index Portfolio
Statement of Operations
For the Period Ended December 31, 2016(a)
Investment Income |
| |||
Dividend income – unaffiliated issuers (Note 2) | $ | 31,600,591 | ||
Dividend income – affiliated issuers (Note 2) | 83,163 | |||
Foreign taxes withheld | (2,264,605 | ) | ||
|
| |||
Total investment income (loss) | 29,419,149 | |||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 1,187,390 | |||
Administration and custody fees | 385,419 | |||
Trustees’ fees and expenses (Note 5) | 21,614 | |||
Professional fees | 54,187 | |||
Printing and postage fees | 2,754 | |||
Insurance expense | 184 | |||
Miscellaneous expenses | 440 | |||
|
| |||
Total expenses | 1,651,988 | |||
|
| |||
Net expenses | 1,651,988 | |||
|
| |||
Net Investment Income (Loss) | 27,767,161 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions – unaffiliated issuers | (3,973,837 | ) | ||
Foreign currency transactions | (1,213,747 | ) | ||
Futures contracts | 1,386,047 | |||
|
| |||
Net realized gain (loss) | (3,801,537 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment transactions – unaffiliated issuers | (37,445,086 | ) | ||
Foreign currency translations | (96,799 | ) | ||
Futures contracts | (203,740 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation | (37,745,625 | ) | ||
|
| |||
Net realized and unrealized gain (loss) | (41,547,162 | ) | ||
|
| |||
Net Increase (decrease) in Net Assets from Operations | $ | (13,780,001 | ) | |
|
|
(a) | For the period April 29, 2016 (inception date) through December 31, 2016. |
See accompanying notes to financial statements.
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State Street International Developed Equity Index Portfolio
Statement of Changes in Net Assets
For the Period 4/29/16* – 12/31/16 | ||||
Increase (Decrease) in Net Assets From Operations: | ||||
Net investment income (loss) | $ | 27,767,161 | ||
Net realized gain (loss) | (3,801,537 | ) | ||
Net change in unrealized appreciation/depreciation | (37,745,625 | ) | ||
|
| |||
Net increase (decrease) in net assets resulting from operations | (13,780,001 | ) | ||
|
| |||
Capital Transactions: | ||||
In-kind subscriptions (Note 1) | 31,466,206 | |||
Contributions | 1,989,271,659 | |||
Withdrawals | (25,893,186 | ) | ||
|
| |||
Net increase (decrease) in net assets from capital transactions | 1,994,844,679 | |||
|
| |||
Net increase (decrease) in net assets during the period | 1,981,064,678 | |||
|
| |||
Net assets at beginning of period | – | |||
|
| |||
Net assets at end of period | $ | 1,981,064,678 | ||
|
|
* | Inception date. |
See accompanying notes to financial statements.
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State Street International Developed Equity Index Portfolio
Financial Highlights
The following table includes selected supplemental data and ratios to average net assets:
For the Period 4/29/16* – 12/31/16 | ||||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 1,981,065 | ||
Ratios to average net assets: | ||||
Total expenses | 0.15 | %(a) | ||
Net investment income (loss) | 2.57 | %(a) | ||
Total return(b) | 1.00 | % | ||
Portfolio turnover rate | 1 | %(c) |
* | Commencement of operations. |
(a) | Annualized. |
(b) | Total return for periods of less than one year are not annualized. Results represent past performance and are not indicative of future results. |
(c) | Not annualized. |
See accompanying notes to financial statements.
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State Street International Developed Equity Index Portfolio
Notes to Financial Statements
December 31, 2016
1. | Organization |
State Street Master Funds (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company. The Trust consists of six (6) 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 29, 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 Funds Management, Inc. (the “Adviser” or “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.
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State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
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 price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value, pursuant to the valuation policy and procedures approved by the Board. |
• | 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 closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
• | Forward foreign currency 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 the valuation the 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.
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 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 asset or liability; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets |
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Notes to Financial Statements — (continued)
December 31, 2016
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 December 31, 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 period ended December 31, 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 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.
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.
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State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
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 December 31, 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 December 31, 2016, the Portfolio entered into futures contracts for cash equitization, return enhancement and to facilitate daily liquidity.
The following tables summarize the value of the Portfolio’s derivative instruments as of December 31, 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) | $– | $ | – | $ | – | $ | (203,740 | ) | $ | – | $ | (203,740 | ) |
(a) | Unrealized appreciation (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) | $– | $ | – | $ | – | $ | 1,386,047 | $ | – | $ | 1,386,047 |
(a) | Net realized gain (loss) on futures contracts. |
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
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) | $– | $ | – | $ | – | $ | (203,740 | ) | $ | – | $ | (203,740 | ) |
(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 Fees
State Street Bank and Trust Company (“State Street”), a subsidiary of State Street Corporation, serves as sub-administrator for the Portfolio for a fee that is paid by the Adviser. State Street also serves as custodian and transfer agent of the Portfolio for separate fees that are paid by the Portfolio. As consideration for State Street’s services as sub-administrator, transfer agent, custodian and accounting agent for the Portfolio, State Street receives annual fees which is accrued daily and payable monthly at the following 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 | $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.
Other Transactions with Affiliates
The Portfolio may invest in affiliated entities, including 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 December 31, 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
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
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 in-kind transactions, short term investments and derivative contracts) for the period ended December 31, 2016, were as follows:
U.S. Government Obligations | Other Securities | |||||||||||||||
Purchases | Sales | Purchases | Sales | |||||||||||||
State Street International Developed Equity Index Portfolio | $ | – | $ | – | $ | 704,693,599 | $ | 21,852,645 |
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.
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 December 31, 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 | $ | 2,016,709,542 | $ | 82,010,121 | $ | 123,793,714 | $ | (41,783,593 | ) |
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 Participant may borrow to fund shareholder redemptions. The agreement expires in October 2017 unless extended or renewed. Prior to October 13, 2016, the Participant could borrow up to $360 million at any time outstanding, subject to asset coverage and other limitations as specified in the agreements.
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
The Participants are charged an annual commitment fee which is calculated based on the unused portion of the shared credit line. Commitment fees are allocated among each of the Participants based on relative net assets. Commitment fees are ordinary fund operating expenses. A Participant incurs and pays the interest expense related to its borrowing. Interest is calculated at a rate per annum equal to the sum of 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 13, 2016, interest was 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 December 31, 2016.
9. | 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.
10. | 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 International Developed Equity Index Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of State Street Institutional Investment Trust:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of State Street International Developed Equity Index Portfolio (one of the portfolios constituting State Street Institutional Investment Trust) (the “Portfolio”) as of December 31, 2016, and the related statement of operations, statement of changes in net assets, and the financial highlights for the period from April 29, 2016 (commencement of operations) to December 31, 2016. 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 December 31, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and 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 International Developed Equity Index Portfolio (one of the portfolios constituting State Street Institutional Investment Trust) at December 31, 2016, and the results of its operations, the changes in its net assets and the financial highlights for the period from April 29, 2016 (commencement of operations) to December 31, 2016, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
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Other Information
December 31, 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 July 1, 2016 to December 31, 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 International Developed Equity Index Portfolio | 0.16 | % | $ | 1,046.60 | $ | 0.82 | $ | 1,024.30 | $ | 0.81 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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State Street Master Funds
State Street International Developed Equity Index Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Records
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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State Street Master Funds
State Street International Developed Equity Index Portfolio
Other Information — (continued)
December 31, 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 (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 State Street Master Funds (the “Trust”), met in-person on August 18-19, 2015, including in executive sessions attended by the Independent Trustees, to consider a proposal to approve, with respect to State Street International Developed Equity Index Portfolio, a new series of the Trust (the “New Fund”), 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 SSGA FM, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel that is independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. The Independent Trustees considered, among other things, the following:
Information about Fees and Expenses
• | A report prepared by an independent third-party provider of investment company data, which included 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 (the “Expense Group” and/or “Expense Universe”); 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 regarding fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing the New Fund, to the extent applicable. |
Information about Portfolio Management
• | Descriptions of the investment management services to be provided by the Adviser, including its investment strategies and processes; |
• | Information concerning the allocation of brokerage; and |
• | 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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Other Information — (continued)
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• | 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 the Code of Ethics adopted by the Adviser; |
• | SSGA FM’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, extent, quality and cost of services to be provided to the New Fund by SSGA FM in its capacity as administrator; |
• | The entrepreneurial risk to be undertaken by SSGA FM as sponsor of the New Fund; |
• | Information concerning the nature, extent, quality and cost of various non-investment management services to be provided to the New Fund by affiliates of SSGA FM, including the custodian, sub-administrator, fund accountant, transfer agent and securities lending agent of the New Fund, and the role of SSGA FM in managing the New Fund’s relationship with these service providers; |
• | Copies of the Advisory Agreement and agreements with other service providers of the New Fund; |
• | Draft responses to the letter from Joseph P. Barri, LLC (co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”), 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, and securities lending agent for the Other Funds, with respect to its operations relating to the Other Funds; and |
• | State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Other Funds (the “Distributor”), with respect to its operations relating to the Other Funds, together with the Other Funds’ related distribution plans and arrangements under SEC Rule 12b-1. |
In addition to the information identified above, the Board considered information provided by SSGA FM and other service providers of the New Fund throughout the year at meetings of the Board and its
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committees. At such meetings, the Trustees received, among other things, presentations by the portfolio managers and other investment professionals of SSGA FM relating to the performance of the Other Funds and the investment strategies used in pursuing each Other Fund’s investment objective.
The Independent Trustees were assisted throughout the contract review process by 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 New Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on August 18-19, 2015 the Board, including a majority of the Independent Trustees, voted to approve the Advisory Agreement with respect to the New Fund.
Nature, Extent and Quality of Services
In considering whether to approve the Advisory Agreement, the Board evaluated the nature, extent and quality of services to be provided to the New Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments to be held by the New Fund, including the education, experience and number of investment professionals and other personnel who will provide portfolio management, investment research, and similar services to the New Fund. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention to be devoted to the New Fund by senior management.
The Board reviewed the compliance programs of the Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of SSGA FM in monitoring the New Fund’s securities lending activities.
On the basis of the foregoing and other relevant information, the Board concluded that the Adviser can be expected to provide high quality investment management and related services for the New Fund.
Fund Performance
Because the New Fund has not yet commenced operations, the Board noted that they could not draw any conclusions regarding the performance of the New Fund. The Board, however, considered, at this and at prior meetings, the performance of other comparable funds or accounts, if any, managed by the Adviser and the performance of their respective benchmarks and/or peer groups. The Board also noted that it
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Other Information — (continued)
December 31, 2016 (Unaudited)
reviews at its regularly scheduled meetings information about the performance of the Other Funds and is generally satisfied with the performance of these Other Funds.
Management Fees and Expenses
The Board reviewed the contractual management fee rate to be payable by the New Fund and the actual management fee rate to be payable by the New Fund. 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 third party provider of investment company data. 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, to the extent applicable. Among other information, the Board considered the following expense information in its evaluation of the New Fund:
The Board considered that the New Fund’s contractual management fee was below the median of its Expense Group. The Board also considered that the New Fund’s expected actual management fees and total expenses were each below the medians of their respective Expense Group and Expense Universe.
Profitability
Because the New Fund has not yet commenced operations, the Board noted that they could not draw any conclusions regarding the profitability of the New Fund. The Board, however, reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Other Funds. The Board considered other direct and indirect benefits received by the Adviser and the affiliated service providers in connection with their relationships with the Other Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Other Funds and other investment advisory clients, together with the ranges of profitability of each of the affiliated service providers with respect to their services to the Other Funds.
The Board concluded that the expected profitability of the Adviser with respect to New Fund, and the expected profitability range of the affiliated service providers with respect to their services to the New Fund, was 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 has 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 expected management fees 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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Other Information — (continued)
December 31, 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 its 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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Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held | Term of Office Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||||
Independent Trustees | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||||
William L. Boyan(1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 –2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. | |||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 |
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Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||||
Independent Trustees (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003-Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 | ||||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). |
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Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||||
Independent Trustees (continued) | ||||||||||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | ||||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 | ||||||||
Interested Trustee(2) | ||||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
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Other Information — (continued)
December 31, 2016 (Unaudited)
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held | Term of Office Time Served | Principal Occupation During Past Five Years | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007 – present).* |
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Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office Time Served | Principal Occupation During Past Five Years | |||
Officers: (continued) | ||||||
Brian Harris SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about Funds’ directors and is available, without charge, upon request and by calling 1-877-521-4083.
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Trustees
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.
SSIITHIDEAR | ||
IBG-22999 |
Table of Contents
Annual Report
31 December 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 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.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Annual Report
December 31, 2016
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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 Emerging Markets Equity Index Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Emerging Markets Equity Index Fund (the “Fund”) seeks to provide investment results that, before fees and expenses, correspond generally to the total return of an index that tracks the performance of emerging market equity securities. The Fund’s benchmark is the MSCI Emerging Markets Index (the “Index”).
For the 12-month period ended December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class K shares was 10.81%, and the Index was 11.19% (Net). The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses, which would have a negative impact on returns. Fees and expenses, cash drag, compounding, and the cumulative effect of security weighting differences compared to the Index contributed to the difference between the Fund’s performance and that of the Index.
During the first quarter of 2016, the Fund’s performance was +6.01%. Surging metal prices, appreciation of local currencies (relative to the U.S. Dollar) and strengthening oil prices were primary drivers of Fund performance during the quarter. On a regional basis, Latin America notably improved, with regional heavyweight Brazil as the top performing country represented in the Index, as both the material and financial sectors notably strengthened. The Fund’s performance during the second quarter of 2016 was +0.85%. Once again, strengthening metal and oil prices were key factors. Another key factor affecting Fund performance was the British referendum vote in June in favor of the United Kingdom withdrawing its membership from the European Union (i.e. “Brexit”). The Brexit vote caused risk assets to sharply sell off on Friday, June 24th. However, emerging markets equities proved resilient amid the market stress, quickly rebounding following Friday’s fall as investors focused on the likely implications of easier monetary policy for an extended period. During the third quarter of 2016, the Fund’s performance was +8.90%. Continuing the trend, strong oil and metal prices were key drivers of the positive performance. In addition, favorable GDP numbers coming out of China helped propel that market, as well as the overall emerging Asia region. China’s surge came on the back of 2016 second quarter GDP being reported at +6.7%, outpacing consensus estimates and lending support to the theory that easing by the People’s Bank of China had begun showing positive results. The Fund’s performance during the fourth quarter of 2016 was -4.82%. Weakening local currencies (relative to the U.S. Dollar), mixed performance in metals, and general weakness from the Asian region were chief factors affecting Fund performance during the quarter. Korean equities performed lower due to the deepening political scandal concerning President Park Geun-hye and her sharing of confidential information with Choi Soon-sil, the daughter of a former mentor, which resulted in her impeachment and Prime Minister Hwang Kyo-ahn assuming leadership of the country on December 9th. The Chinese market was pressured over the fourth quarter, falling on liquidity concerns related to the January currency conversion reset date and fears of potential outflows.
The Fund used exchange traded equity futures contracts in order to equitize cash and income receivables, and the Fund also utilized an index equity swap benchmarked to the MSCI India Index (net) to get equity exposure to local securities in India. The Fund’s use of each of the aforementioned derivatives helped the Fund track the Index.
On an individual security level, the top positive contributors to the Fund’s performance were Samsung Electronics Co., Ltd., Taiwan Semiconductor Manufacturing Co., Ltd., and Tencent Holdings Ltd. The top negative contributors to the Fund’s performance were Ping An Insurance (Group) Company of China, Ltd. Class H, Baidu, Inc. Sponsored ADR Class A, and China Life Insurance Co. Ltd. Class H.
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State Street Emerging Markets Equity Index Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
December 31, 2016
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Periods Ended December 31, 2016
Total Return One Year December 31, 2016 | Total Return Average Annual Inception to Date* December 31, 2016 | |||||||
State Street Emerging Markets Equity Index Fund Class K | 10.81 | % | 10.54 | % | ||||
MSCI Emerging Markets Index(b) | 11.19 | % | 11.56 | % |
* | Inception date is December 18, 2015. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The MSCI Emerging Markets Index is a free float-adjusted market capitalization index that is designed to measure equity market performance of emerging market countries. Index returns are net of dividend withholding taxes. |
Line graph is based on cumulative total return.
3
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2016 | |||
Common Stocks | 97.0 | % | ||
Short-Term Investment | 1.9 | |||
Rights | 0.0 | ** | ||
Other Assets in Excess of Liabilities | 1.1 | |||
Total | 100.0 | % |
Top Five Sectors (excluding short-term investments)* | December 31, 2016 | |||
Banks | 16.5 | % | ||
Internet Software & Services | 8.1 | |||
Oil, Gas & Consumable Fuels | 8.2 | |||
Technology Hardware, Storage & Peripherals | 5.4 | |||
Semiconductors & Semiconductor Equipment | 4.9 | |||
Total | 43.1 | % |
* | 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.
4
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – 97.0% | ||||||||
Brazil – 7.5% | ||||||||
AES Tiete Energia SA | 17,481 | $ | 75,194 | |||||
Ambev SA | 435,263 | 2,193,232 | ||||||
Banco Bradesco SA | 76,680 | 686,532 | ||||||
Banco Bradesco SA Preference Shares | 256,290 | 2,283,593 | ||||||
Banco do Brasil SA | 79,898 | 689,567 | ||||||
Banco Santander Brasil SA | 38,100 | 345,683 | ||||||
BB Seguridade Participacoes SA | 65,137 | 566,374 | ||||||
BM&FBovespa SA | 158,515 | 803,606 | ||||||
BR Malls Participacoes SA(a) | 52,600 | 193,127 | ||||||
Braskem SA Class A, Preference Shares | 14,900 | 156,796 | ||||||
BRF SA | 56,023 | 830,525 | ||||||
CCR SA | 79,945 | 392,025 | ||||||
Centrais Eletricas Brasileiras SA(a) | 19,100 | 133,859 | ||||||
Centrais Eletricas Brasileiras SA Class B, Preference Shares(a) | 21,000 | 167,048 | ||||||
CETIP SA – Mercados Organizados | 20,400 | 279,546 | ||||||
Cia Brasileira de Distribuicao Preference Shares | 14,500 | 243,916 | ||||||
Cia de Saneamento Basico do Estado de Sao Paulo | 31,100 | 275,100 | ||||||
Cia Energetica de Minas Gerais Preference Shares | 68,100 | 161,321 | ||||||
Cia Paranaense de Energia Preference Shares | 9,900 | 83,222 | ||||||
Cia Siderurgica Nacional SA(a) | 56,300 | 187,684 | ||||||
Cielo SA | 93,264 | 799,193 | ||||||
Cosan SA Industria e Comercio | 11,600 | 135,970 | ||||||
CPFL Energia SA | 18,386 | 142,413 | ||||||
Duratex SA(a) | 28,078 | 58,663 | ||||||
EDP – Energias do Brasil SA | 28,850 | 118,779 | ||||||
Embraer SA | 60,517 | 297,500 | ||||||
Engie Brasil Energia SA | 15,000 | 161,305 | ||||||
Equatorial Energia SA | 18,500 | 309,214 | ||||||
Fibria Celulose SA | 23,035 | 225,700 | ||||||
Gerdau SA Preference Shares | 84,800 | 281,390 | ||||||
Hypermarcas SA | 31,700 | 254,500 | ||||||
Itau Unibanco Holding SA Preference Shares | 297,941 | 3,098,689 | ||||||
Itausa – Investimentos Itau SA Preference Shares | 356,319 | 906,480 | ||||||
JBS SA | 65,600 | 229,772 | ||||||
Klabin SA | 50,706 | 276,065 | ||||||
Kroton Educacional SA | 128,521 | 526,373 | ||||||
Localiza Rent a Car SA | 14,700 | 154,556 | ||||||
Lojas Americanas SA | 17,000 | 65,134 | ||||||
Lojas Americanas SA Preference Shares | 53,540 | 279,651 | ||||||
Lojas Renner SA | 59,911 | 426,503 | ||||||
M Dias Branco SA | 3,200 | 113,077 | ||||||
Multiplan Empreendimentos Imobiliarios SA | 7,600 | 138,657 | ||||||
Natura Cosmeticos SA | 15,600 | 110,336 | ||||||
Odontoprev SA | 25,600 | 99,106 | ||||||
Petroleo Brasileiro SA(a) | 275,314 | 1,432,949 | ||||||
Petroleo Brasileiro SA Preference Shares(a) | 362,398 | 1,655,716 | ||||||
Porto Seguro SA | 10,900 | 90,088 | ||||||
Qualicorp SA | 19,803 | 117,125 | ||||||
Raia Drogasil SA | 21,600 | 406,091 | ||||||
Rumo Logistica Operadora Multimodal SA(a) | 72,495 | 136,762 | ||||||
Sul America SA | 16,800 | 92,912 | ||||||
Suzano Papel e Celulose SA Class A, Preference Shares | 37,500 | 163,610 | ||||||
Telefonica Brasil SA Preference Shares | 41,655 | 564,154 | ||||||
Tim Participacoes SA | 78,200 | 188,130 | ||||||
Ultrapar Participacoes SA | 33,282 | 699,958 | ||||||
Vale SA | 118,533 | 935,241 | ||||||
Vale SA Preference Shares | 176,929 | 1,268,788 | ||||||
WEG SA | 51,700 | 246,213 | ||||||
|
| |||||||
27,954,713 | ||||||||
|
| |||||||
Chile – 1.2% | ||||||||
AES Gener SA | 291,284 | 104,030 | ||||||
Aguas Andinas SA Class A | 235,960 | 122,855 | ||||||
Banco de Chile | 2,245,441 | 263,170 | ||||||
Banco de Credito e Inversiones | 3,432 | 173,674 | ||||||
Banco Santander Chile | 6,005,188 | 334,067 | ||||||
Cencosud SA | 129,946 | 364,722 | ||||||
Cia Cervecerias Unidas SA | 13,337 | 139,287 | ||||||
Colbun SA | 726,392 | 142,917 | ||||||
Embotelladora Andina SA Class B, Preference Shares | 25,379 | 94,395 | ||||||
Empresa Nacional de Telecomunicaciones SA(a) | 13,308 | 141,207 | ||||||
Empresas CMPC SA | 114,169 | 233,423 | ||||||
Empresas COPEC SA | 41,262 | 395,405 | ||||||
Enel Americas SA | 2,637,601 | 428,728 | ||||||
Enel Chile SA | 1,798,790 | 166,536 | ||||||
Enel Generacion Chile SA | 298,866 | 197,194 | ||||||
Itau CorpBanca | 14,637,944 | 122,780 | ||||||
Latam Airlines Group SA(a) | 27,607 | 232,608 | ||||||
SACI Falabella | 56,343 | 445,799 | ||||||
Sociedad Quimica y Minera de Chile SA Class B, Preference Shares | 8,816 | 251,258 | ||||||
|
| |||||||
4,354,055 | ||||||||
|
| |||||||
China – 25.3% | ||||||||
3SBio, Inc.(a)(b) | 94,800 | 92,316 | ||||||
58.com, Inc. ADR(a) | 7,700 | 215,600 | ||||||
AAC Technologies Holdings, Inc. | 68,500 | 622,434 | ||||||
Agricultural Bank of China, Ltd. Class H | 2,290,000 | 939,257 | ||||||
Air China, Ltd. Class H | 164,000 | 104,706 | ||||||
Alibaba Group Holding, Ltd. ADR(a) | 103,682 | 9,104,316 | ||||||
Alibaba Health Information Technology, Ltd.(a) | 298,500 | 150,152 | ||||||
Aluminum Corp. of China, Ltd. Class H(a) | 356,000 | 146,934 | ||||||
Anhui Conch Cement Co., Ltd. Class H | 112,500 | 306,166 |
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)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
China – (continued) | ||||||||
ANTA Sports Products, Ltd. | 90,000 | $ | 268,729 | |||||
AviChina Industry & Technology Co., Ltd. Class H | 192,000 | 132,240 | ||||||
Baidu, Inc. ADR(a) | 25,100 | 4,126,691 | ||||||
Bank of China, Ltd. Class H | 7,324,000 | 3,249,590 | ||||||
Bank of Communications Co., Ltd. Class H | 814,000 | 588,992 | ||||||
Beijing Capital International Airport Co., Ltd. Class H | 136,000 | 137,523 | ||||||
Beijing Enterprises Holdings, Ltd. | 47,000 | 222,174 | ||||||
Beijing Enterprises Water Group, Ltd.(a) | 398,000 | 264,883 | ||||||
Belle International Holdings, Ltd. | 575,000 | 323,352 | ||||||
Brilliance China Automotive Holdings, Ltd. | 276,000 | 380,191 | ||||||
Byd Co., Ltd. Class H | 58,000 | 305,592 | ||||||
CGN Power Co., Ltd. | 966,700 | 265,579 | ||||||
China Cinda Asset Management Co., Ltd. Class H | 796,481 | 288,671 | ||||||
China CITIC Bank Corp., Ltd. Class H | 831,000 | 528,408 | ||||||
China Coal Energy Co., Ltd. Class H(a) | 193,000 | 91,607 | ||||||
China Communications Construction Co., Ltd. Class H | 413,000 | 475,157 | ||||||
China Communications Services Corp., Ltd. Class H | 216,000 | 137,627 | ||||||
China Conch Venture Holdings, Ltd. | 123,500 | 219,820 | ||||||
China Construction Bank Corp. Class H | 7,774,000 | 5,986,055 | ||||||
China Everbright Bank Co., Ltd. Class H | 286,700 | 130,534 | ||||||
China Everbright International, Ltd. | 225,000 | 255,090 | ||||||
China Everbright, Ltd. | 86,000 | 163,722 | ||||||
China Evergrande Group | 375,000 | 233,615 | ||||||
China Galaxy Securities Co., Ltd. Class H | 269,500 | 242,973 | ||||||
China Huarong Asset Management Co., Ltd.(a)(b) | 445,000 | 160,135 | ||||||
China Huishan Dairy Holdings Co., Ltd. | 364,100 | 141,354 | ||||||
China Jinmao Holdings Group, Ltd. | 338,000 | 91,114 | ||||||
China Life Insurance Co., Ltd. Class H | 687,000 | 1,789,905 | ||||||
China Longyuan Power Group Corp., Ltd. Class H | 290,000 | 226,669 | ||||||
China Medical System Holdings, Ltd. | 114,000 | 180,561 | ||||||
China Mengniu Dairy Co., Ltd. | 256,000 | 493,301 | ||||||
China Merchants Bank Co., Ltd. Class H | 359,000 | 841,802 | ||||||
China Merchants Port Holdings Co., Ltd. | 117,146 | 290,706 | ||||||
China Minsheng Banking Corp., Ltd. Class H | 548,000 | 585,945 | ||||||
China Mobile, Ltd. | 567,500 | 6,016,716 | ||||||
China National Building Material Co., Ltd. Class H | 260,000 | 126,426 | ||||||
China Oilfield Services, Ltd. Class H | 164,000 | 152,299 | ||||||
China Overseas Land & Investment, Ltd. | 356,000 | 943,591 | ||||||
China Pacific Insurance Group Co., Ltd. Class H | 242,400 | 845,710 | ||||||
China Petroleum & Chemical Corp. Class H | 2,358,000 | 1,672,739 | ||||||
China Power International Development, Ltd. | 299,000 | 108,368 | ||||||
China Railway Construction Corp., Ltd. Class H | 180,500 | 232,343 | ||||||
China Railway Group, Ltd. Class H | 364,000 | 299,532 | ||||||
China Resources Beer Holdings Co., Ltd.(a) | 149,333 | 296,619 | ||||||
China Resources Gas Group, Ltd. | 82,000 | 230,564 | ||||||
China Resources Land, Ltd. | 256,000 | 575,849 | ||||||
China Resources Power Holdings Co., Ltd. | 176,000 | 279,670 | ||||||
China Shenhua Energy Co., Ltd. Class H | 315,500 | 594,120 | ||||||
China Southern Airlines Co., Ltd. Class H | 178,000 | 92,522 | ||||||
China State Construction International Holdings, Ltd. | 168,000 | 251,356 | ||||||
China Taiping Insurance Holdings Co., Ltd.(a) | 147,400 | 304,186 | ||||||
China Telecom Corp., Ltd. Class H | 1,278,000 | 590,114 | ||||||
China Unicom Hong Kong, Ltd. | 552,000 | 642,908 | ||||||
China Vanke Co., Ltd. Class H | 120,000 | 273,953 | ||||||
Chongqing Changan Automobile Co., Ltd. Class B | 77,300 | 110,569 | ||||||
Chongqing Rural Commercial Bank Co., Ltd. Class H | 227,000 | 133,217 | ||||||
CITIC Securities Co., Ltd. Class H | 204,000 | 414,675 | ||||||
CITIC, Ltd. | 406,000 | 581,261 | ||||||
CNOOC, Ltd. | 1,648,000 | 2,061,820 | ||||||
COSCO SHIPPING Ports, Ltd. | 151,272 | 151,991 | ||||||
Country Garden Holdings Co., Ltd. | 513,000 | 287,163 | ||||||
CRRC Corp., Ltd. Class H | 377,000 | 338,433 | ||||||
CSPC Pharmaceutical Group, Ltd. | 396,000 | 422,909 | ||||||
Ctrip.com International, Ltd. ADR(a) | 34,467 | 1,378,680 | ||||||
Dongfeng Motor Group Co., Ltd. Class H | 248,000 | 242,142 | ||||||
ENN Energy Holdings, Ltd. | 72,000 | 296,241 | ||||||
Far East Horizon, Ltd. | 183,000 | 156,962 |
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)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
China – (continued) |
| |||||||
Fosun International, Ltd. | 235,000 | $ | 332,807 | |||||
Fuyao Glass Industry Group Co., Ltd. Class H (b) | 42,056 | 130,456 | ||||||
Geely Automobile Holdings, Ltd. | 495,000 | 473,092 | ||||||
GF Securities Co., Ltd. Class H | 123,800 | 258,357 | ||||||
GOME Electrical Appliances Holding, Ltd. | 1,146,000 | 138,942 | ||||||
Great Wall Motor Co., Ltd. Class H | 283,500 | 264,736 | ||||||
Guangdong Investment, Ltd. | 256,000 | 338,113 | ||||||
Guangzhou Automobile Group Co., Ltd. Class H | 192,000 | 232,288 | ||||||
Guangzhou R&F Properties Co., Ltd. Class H | 89,600 | 108,401 | ||||||
Haitian International Holdings, Ltd. | 58,000 | 113,858 | ||||||
Haitong Securities Co., Ltd. Class H | 286,000 | 490,614 | ||||||
Hengan International Group Co., Ltd. | 68,000 | 499,487 | ||||||
HengTen Networks Group, Ltd.(a) | 1,955,500 | 98,366 | ||||||
Huaneng Power International, Inc. Class H | 386,000 | 255,901 | ||||||
Huaneng Renewables Corp., Ltd. Class H | 370,000 | 120,261 | ||||||
Huatai Securities Co., Ltd. | 133,000 | 253,884 | ||||||
Industrial & Commercial Bank of China, Ltd. Class H | 6,798,000 | 4,077,143 | ||||||
JD.com, Inc. ADR(a) | 61,767 | 1,571,352 | ||||||
Jiangsu Expressway Co., Ltd. Class H | 110,000 | 139,040 | ||||||
Jiangxi Copper Co., Ltd. Class H | 119,000 | 166,072 | ||||||
Kingsoft Corp., Ltd. | 73,000 | 149,707 | ||||||
Kunlun Energy Co., Ltd. | 294,000 | 219,936 | ||||||
Lenovo Group, Ltd. | 680,000 | 412,220 | ||||||
Longfor Properties Co., Ltd. | 134,500 | 170,702 | ||||||
NetEase, Inc. ADR | 7,273 | 1,566,168 | ||||||
New China Life Insurance Co., Ltd. Class H | 70,800 | 325,091 | ||||||
New Oriental Education & Technology Group, Inc. ADR(a) | 12,300 | 517,830 | ||||||
People’s Insurance Co. Group of China, Ltd. Class H | 637,000 | 251,410 | ||||||
PetroChina Co., Ltd. Class H | 1,952,000 | 1,455,223 | ||||||
PICC Property & Casualty Co., Ltd. Class H | 424,000 | 660,624 | ||||||
Ping An Insurance Group Co. of China, Ltd. Class H | 481,000 | 2,407,125 | ||||||
Qunar Cayman Islands, Ltd. ADR(a) | 3,200 | 96,416 | ||||||
Semiconductor Manufacturing International Corp.(a) | 250,800 | 394,000 | ||||||
Shandong Weigao Group Medical Polymer Co., Ltd. Class H | 176,000 | 117,588 | ||||||
Shanghai Electric Group Co., Ltd. Class H(a) | 268,000 | 119,946 | ||||||
Shanghai Fosun Pharmaceutical Group Co., Ltd. Class H | 38,000 | 116,404 | ||||||
Shanghai Industrial Holdings, Ltd. | 46,000 | 124,595 | ||||||
Shanghai Lujiazui Finance & Trade Zone Development Co., Ltd. Class B | 85,160 | 124,674 | ||||||
Shanghai Pharmaceuticals Holding Co., Ltd. Class H | 62,200 | 142,641 | ||||||
Shenzhou International Group Holdings, Ltd. | 51,000 | 322,650 | ||||||
SINA Corp.(a) | 5,400 | 328,266 | ||||||
Sino-Ocean Group Holding, Ltd. | 280,500 | 125,541 | ||||||
Sinopec Engineering Group Co., Ltd. Class H | 111,700 | 93,214 | ||||||
Sinopec Shanghai Petrochemical Co., Ltd. Class H | 316,000 | 171,182 | ||||||
Sinopharm Group Co., Ltd. Class H | 111,200 | 458,245 | ||||||
Sinotrans, Ltd. Class H | 184,000 | 82,114 | ||||||
SOHO China, Ltd. | 208,500 | 102,729 | ||||||
Sunac China Holdings, Ltd. | 176,700 | 147,000 | ||||||
Sunny Optical Technology Group Co., Ltd. | 67,100 | 293,822 | ||||||
TAL Education Group ADR(a) | 3,900 | 273,585 | ||||||
Tencent Holdings, Ltd. | 524,300 | 12,828,297 | ||||||
Tingyi Cayman Islands Holding Corp. | 180,000 | 218,930 | ||||||
TravelSky Technology, Ltd. Class H | 86,000 | 180,804 | ||||||
Tsingtao Brewery Co., Ltd. Class H | 32,000 | 120,931 | ||||||
Vipshop Holdings, Ltd. ADR(a) | 37,588 | 413,844 | ||||||
Want Want China Holdings, Ltd. | 520,000 | 333,335 | ||||||
Weibo Corp. ADR(a) | 3,100 | 125,860 | ||||||
Weichai Power Co., Ltd. Class H | 93,000 | 143,222 | ||||||
Yanzhou Coal Mining Co., Ltd. Class H | 174,000 | 118,721 | ||||||
Yum China Holdings, Inc.(a) | 37,700 | 984,724 | ||||||
YY, Inc. ADR(a) | 2,600 | 102,492 | ||||||
Zhejiang Expressway Co., Ltd. Class H | 130,000 | 124,079 | ||||||
Zhuzhou CRRC Times Electric Co., Ltd. | 50,000 | 253,768 | ||||||
Zijin Mining Group Co., Ltd. Class H | 532,000 | 171,543 | ||||||
ZTE Corp. Class H | 73,600 | 127,965 | ||||||
|
| |||||||
94,690,169 | ||||||||
|
| |||||||
Colombia – 0.4% |
| |||||||
Bancolombia SA Preference Shares | 41,016 | 371,357 | ||||||
Cementos Argos SA | 41,568 | 164,223 |
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)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Colombia – (continued) |
| |||||||
Corp. Financiera Colombiana SA | 7,857 | $ | 97,048 | |||||
Ecopetrol SA(a) | 451,863 | 207,719 | ||||||
Grupo Argos SA | 26,778 | 171,979 | ||||||
Grupo Aval Acciones y Valores SA Preference Shares | 325,832 | 131,874 | ||||||
Grupo de Inversiones Suramericana SA | 21,363 | 271,841 | ||||||
Grupo de Inversiones Suramericana SA Preference Shares | 9,115 | 112,343 | ||||||
Interconexion Electrica SA ESP | 34,983 | 116,299 | ||||||
|
| |||||||
1,644,683 | ||||||||
|
| |||||||
Czech Republic – 0.2% | ||||||||
CEZ A/S | 14,730 | 247,245 | ||||||
Komercni banka A/S | 6,933 | 239,508 | ||||||
Moneta Money Bank A/S(a)(b) | 35,831 | 115,810 | ||||||
O2 Czech Republic A/S | 6,222 | 63,099 | ||||||
|
| |||||||
665,662 | ||||||||
|
| |||||||
Egypt – 0.1% | ||||||||
Commercial International Bank Egypt SAE | 69,397 | 279,617 | ||||||
Global Telecom Holding SAE(a) | 258,206 | 101,118 | ||||||
Talaat Moustafa Group | 49,329 | 24,705 | ||||||
|
| |||||||
405,440 | ||||||||
|
| |||||||
Greece – 0.4% | ||||||||
Alpha Bank AE(a) | 126,329 | 253,166 | ||||||
Eurobank Ergasias SA(a) | 179,074 | 121,827 | ||||||
FF Group(a) | 3,021 | 61,274 | ||||||
Hellenic Telecommunications Organization SA | 22,463 | 211,577 | ||||||
JUMBO SA | 9,208 | 146,265 | ||||||
National Bank of Greece SA(a) | 524,073 | 137,086 | ||||||
OPAP SA | 20,149 | 178,518 | ||||||
Piraeus Bank SA(a) | 633,039 | 139,549 | ||||||
Titan Cement Co. SA | 4,442 | 104,480 | ||||||
|
| |||||||
1,353,742 | ||||||||
|
| |||||||
Hong Kong – 0.5% | ||||||||
Alibaba Pictures Group, Ltd.(a) | 1,035,900 | 168,349 | ||||||
China Gas Holdings, Ltd. | 158,000 | 214,385 | ||||||
Fullshare Holdings, Ltd. | 621,100 | 289,996 | ||||||
GCL-Poly Energy Holdings, Ltd.(a) | 1,201,000 | 144,061 | ||||||
Haier Electronics Group Co., Ltd. | 116,000 | 182,532 | ||||||
Nine Dragons Paper Holdings, Ltd. | 147,000 | 133,289 | ||||||
Shimao Property Holdings, Ltd. | 112,500 | 147,134 | ||||||
Sino Biopharmaceutical, Ltd. | 404,000 | 284,509 | ||||||
Sun Art Retail Group, Ltd. | 215,000 | 188,569 | ||||||
|
| |||||||
1,752,824 | ||||||||
|
| |||||||
Hungary – 0.3% |
| |||||||
MOL Hungarian Oil & Gas PLC | 3,356 | 236,487 | ||||||
OTP Bank PLC | 22,121 | 634,548 | ||||||
Richter Gedeon Nyrt | 12,758 | 270,555 | ||||||
|
| |||||||
1,141,590 | ||||||||
|
| |||||||
India – 8.1% |
| |||||||
ACC, Ltd. | 4,283 | 83,931 | ||||||
Adani Ports & Special Economic Zone, Ltd. | 76,720 | 302,324 | ||||||
Ambuja Cements, Ltd. | 56,616 | 171,842 | ||||||
Apollo Hospitals Enterprise, Ltd. | 6,873 | 119,779 | ||||||
Ashok Leyland, Ltd. | 99,357 | 117,114 | ||||||
Asian Paints, Ltd. | 26,187 | 343,591 | ||||||
Aurobindo Pharma, Ltd. | 24,461 | 240,754 | ||||||
Axis Bank, Ltd. | 155,344 | 1,030,667 | ||||||
Bajaj Auto, Ltd. | 7,773 | 301,666 | ||||||
Bajaj Finance, Ltd. | 15,683 | 194,934 | ||||||
Bajaj Finserv, Ltd. | 3,378 | 143,342 | ||||||
Bharat Forge, Ltd. | 10,392 | 139,030 | ||||||
Bharat Heavy Electricals, Ltd. | 55,416 | 98,756 | ||||||
Bharat Petroleum Corp., Ltd. | 47,922 | 447,623 | ||||||
Bharti Airtel, Ltd. | 94,568 | 425,883 | ||||||
Bharti Infratel, Ltd. | 52,473 | 266,347 | ||||||
Bosch, Ltd. | 730 | 228,024 | ||||||
Cadila Healthcare, Ltd. | 19,347 | 101,225 | ||||||
Cairn India, Ltd. | 42,320 | 151,054 | ||||||
Cipla, Ltd. | 32,757 | 273,659 | ||||||
Coal India, Ltd. | 64,403 | 285,150 | ||||||
Container Corp. Of India, Ltd. | 2,893 | 47,280 | ||||||
Dabur India, Ltd. | 51,225 | 208,500 | ||||||
Divi’s Laboratories, Ltd. | 7,375 | 84,931 | ||||||
Dr Reddy’s Laboratories, Ltd. | 8,764 | 394,619 | ||||||
Dr Reddy’s Laboratories, Ltd. ADR | 1,788 | 80,961 | ||||||
Eicher Motors, Ltd. | 1,263 | 405,213 | ||||||
GAIL India, Ltd. | 19,695 | 126,681 | ||||||
GAIL India, Ltd. GDR | 1,438 | 55,003 | ||||||
Glenmark Pharmaceuticals, Ltd. | 12,387 | 162,416 | ||||||
Godrej Consumer Products, Ltd. | 11,331 | 252,765 | ||||||
Havells India, Ltd. | 22,551 | 113,370 | ||||||
HCL Technologies, Ltd. | 52,695 | 640,694 | ||||||
Hero MotoCorp, Ltd. | 4,822 | 215,445 | ||||||
Hindalco Industries, Ltd. | 105,784 | 241,275 | ||||||
Hindustan Petroleum Corp., Ltd. | 39,069 | 254,809 | ||||||
Hindustan Unilever, Ltd. | 60,959 | 741,666 | ||||||
Housing Development Finance Corp., Ltd. | 139,161 | 2,586,381 | ||||||
ICICI Bank, Ltd. | 75,817 | 284,914 | ||||||
ICICI Bank, Ltd. ADR | 12,741 | 95,430 | ||||||
Idea Cellular, Ltd. | 112,238 | 122,375 | ||||||
IDFC Bank, Ltd. | 119,713 | 106,361 | ||||||
Indiabulls Housing Finance, Ltd. | 27,337 | 261,407 | ||||||
Infosys, Ltd. | 159,049 | 2,369,214 | ||||||
Infosys, Ltd. ADR | 11,030 | 163,575 | ||||||
ITC, Ltd. | 314,756 | 1,116,741 | ||||||
JSW Steel, Ltd. | 7,554 | 180,374 | ||||||
Larsen & Toubro, Ltd. | 23,130 | 459,686 | ||||||
Larsen & Toubro, Ltd. GDR | 6,479 | 128,932 | ||||||
LIC Housing Finance, Ltd. | 28,342 | 232,599 | ||||||
Lupin, Ltd. | 20,910 | 457,050 | ||||||
Mahindra & Mahindra Financial Services, Ltd. | 24,326 | 96,720 | ||||||
Mahindra & Mahindra, Ltd. | 26,382 | 458,527 | ||||||
Mahindra & Mahindra, Ltd. GDR | 7,826 | 137,738 |
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)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
India – (continued) |
| |||||||
Marico, Ltd. | 44,298 | $ | 170,384 | |||||
Maruti Suzuki India, Ltd. | 9,926 | 777,364 | ||||||
Motherson Sumi Systems, Ltd. | 39,185 | 187,755 | ||||||
Nestle India, Ltd. | 2,245 | 198,469 | ||||||
NTPC, Ltd. | 151,559 | 368,346 | ||||||
Oil & Natural Gas Corp., Ltd. | 118,940 | 334,371 | ||||||
Piramal Enterprises, Ltd. | 7,469 | 178,279 | ||||||
Power Finance Corp., Ltd. | 59,484 | 106,663 | ||||||
Reliance Industries, Ltd. | 109,061 | 1,736,588 | ||||||
Reliance Industries, Ltd. GDR(b) | 5,573 | 175,828 | ||||||
Shree Cement, Ltd. | 747 | 161,793 | ||||||
Shriram Transport Finance Co., Ltd. | 14,367 | 180,355 | ||||||
Siemens, Ltd. | 6,217 | 101,769 | ||||||
State Bank of India | 112,208 | 413,816 | ||||||
State Bank of India GDR | 3,420 | 125,685 | ||||||
Sun Pharmaceutical Industries, Ltd. | 89,521 | 829,392 | ||||||
Tata Consultancy Services, Ltd. | 43,858 | 1,529,279 | ||||||
Tata Motors, Ltd.(c) | 34,155 | 150,167 | ||||||
Tata Motors, Ltd.(c) | 134,850 | 933,638 | ||||||
Tata Motors, Ltd. ADR | 2,430 | 83,568 | ||||||
Tata Power Co., Ltd. | 103,538 | 115,483 | ||||||
Tata Steel, Ltd. | 18,685 | 107,645 | ||||||
Tata Steel, Ltd. GDR | 10,534 | 59,306 | ||||||
Tech Mahindra, Ltd. | 20,798 | 149,711 | ||||||
Titan Co., Ltd. | 27,739 | 133,239 | ||||||
UltraTech Cement, Ltd. | 8,318 | 398,313 | ||||||
United Spirits, Ltd.(a) | 6,295 | 180,308 | ||||||
UPL, Ltd. | 32,448 | 309,253 | ||||||
Vedanta, Ltd. | 85,019 | 270,953 | ||||||
Vedanta, Ltd. ADR | 3,228 | 40,092 | ||||||
Wipro, Ltd. | 39,815 | 279,121 | ||||||
Wipro, Ltd. ADR | 12,048 | 116,625 | ||||||
Yes Bank, Ltd. | 29,433 | 500,886 | ||||||
Zee Entertainment Enterprises, Ltd. | 52,498 | 350,399 | ||||||
|
| |||||||
30,505,190 | ||||||||
|
| |||||||
Indonesia – 2.5% |
| |||||||
Adaro Energy Tbk PT | 1,370,000 | 172,362 | ||||||
AKR Corporindo Tbk PT | 174,500 | 77,714 | ||||||
Astra International Tbk PT | 1,873,600 | 1,150,792 | ||||||
Bank Central Asia Tbk PT | 1,140,500 | 1,312,136 | ||||||
Bank Danamon Indonesia Tbk PT | 325,500 | 89,635 | ||||||
Bank Mandiri Persero Tbk PT | 858,900 | 737,930 | ||||||
Bank Negara Indonesia Persero Tbk PT | 680,100 | 278,905 | ||||||
Bank Rakyat Indonesia Persero Tbk PT | 1,016,000 | 880,445 | ||||||
Bumi Serpong Damai Tbk PT | 694,500 | 90,469 | ||||||
Charoen Pokphand Indonesia Tbk PT | 677,500 | 155,389 | ||||||
Gudang Garam Tbk PT | 44,000 | 208,692 | ||||||
Hanjaya Mandala Sampoerna Tbk PT | 850,000 | 241,640 | ||||||
Indocement Tunggal Prakarsa Tbk PT | 135,500 | 154,886 | ||||||
Indofood CBP Sukses Makmur Tbk PT | 219,000 | 139,390 | ||||||
Indofood Sukses Makmur Tbk PT | 401,500 | 236,176 | ||||||
Jasa Marga Persero Tbk PT | 196,389 | 62,973 | ||||||
Kalbe Farma Tbk PT | 1,932,000 | 217,256 | ||||||
Lippo Karawaci Tbk PT | 1,752,500 | 93,657 | ||||||
Matahari Department Store Tbk PT | 234,800 | 263,600 | ||||||
Media Nusantara Citra Tbk PT | 416,000 | 54,190 | ||||||
Pakuwon Jati Tbk PT | 2,097,500 | 87,963 | ||||||
Perusahaan Gas Negara Persero Tbk | 1,003,500 | 201,110 | ||||||
Semen Indonesia Persero Tbk PT | 272,500 | 185,577 | ||||||
Summarecon Agung Tbk PT | 911,500 | 89,645 | ||||||
Surya Citra Media Tbk PT | 558,000 | 115,970 | ||||||
Telekomunikasi Indonesia Persero Tbk PT | 4,661,500 | 1,377,084 | ||||||
Tower Bersama Infrastructure Tbk PT | 224,500 | 82,985 | ||||||
Unilever Indonesia Tbk PT | 143,600 | 413,560 | ||||||
United Tractors Tbk PT | 154,500 | 243,691 | ||||||
Waskita Karya Persero Tbk PT | 428,500 | 81,104 | ||||||
XL Axiata Tbk PT(a) | 351,500 | 60,268 | ||||||
|
| |||||||
9,557,194 | ||||||||
|
| |||||||
Malaysia – 2.4% | ||||||||
AirAsia Bhd | 113,000 | 57,684 | ||||||
Alliance Financial Group Bhd | 98,800 | 81,930 | ||||||
AMMB Holdings Bhd | 166,300 | 159,776 | ||||||
Astro Malaysia Holdings Bhd | 146,400 | 84,851 | ||||||
Axiata Group Bhd | 242,610 | 255,265 | ||||||
Berjaya Sports Toto Bhd | 68,400 | 45,132 | ||||||
British American Tobacco Malaysia Bhd | 12,900 | 128,252 | ||||||
CIMB Group Holdings Bhd | 276,597 | 278,077 | ||||||
Dialog Group Bhd | 292,500 | 100,412 | ||||||
DiGi.Com Bhd | 317,100 | 341,416 | ||||||
Felda Global Ventures Holdings Bhd | 125,800 | 43,466 | ||||||
Gamuda Bhd | 154,800 | 164,945 | ||||||
Genting Bhd | 212,600 | 379,135 | ||||||
Genting Malaysia Bhd | 270,000 | 275,658 | ||||||
Genting Plantations Bhd | 23,600 | 56,817 | ||||||
HAP Seng Consolidated Bhd | 56,000 | 110,602 | ||||||
Hartalega Holdings Bhd | 59,200 | 63,740 | ||||||
Hong Leong Bank Bhd | 59,700 | 179,659 | ||||||
Hong Leong Financial Group Bhd | 23,900 | 75,760 | ||||||
IHH Healthcare Bhd | 304,500 | 431,024 | ||||||
IJM Corp. Bhd | 262,100 | 186,964 | ||||||
IOI Corp. Bhd | 206,800 | 202,836 | ||||||
IOI Properties Group Bhd | 139,700 | 65,397 | ||||||
Kuala Lumpur Kepong Bhd | 39,100 | 209,184 | ||||||
Lafarge Malaysia Bhd | 33,800 | 54,173 | ||||||
Malayan Banking Bhd | 326,383 | 596,598 | ||||||
Malaysia Airports Holdings Bhd | 72,400 | 97,803 | ||||||
Maxis Bhd | 171,300 | 228,349 | ||||||
MISC Bhd | 102,500 | 167,939 | ||||||
Petronas Chemicals Group Bhd | 217,700 | 338,731 |
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)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Malaysia – (continued) |
| |||||||
Petronas Dagangan Bhd | 18,600 | $ | 98,680 | |||||
Petronas Gas Bhd | 62,800 | 298,181 | ||||||
PPB Group Bhd | 43,600 | 154,145 | ||||||
Public Bank Bhd | 251,500 | 1,105,568 | ||||||
RHB Capital Bhd | 68,410 | 71,826 | ||||||
SapuraKencana Petroleum Bhd(a) | 365,700 | 132,063 | ||||||
Sime Darby Bhd | 216,269 | 390,499 | ||||||
Telekom Malaysia Bhd | 103,800 | 137,675 | ||||||
Tenaga Nasional Bhd | 313,600 | 971,699 | ||||||
UMW Holdings Bhd | 40,800 | 41,564 | ||||||
Westports Holdings Bhd | 92,300 | 88,473 | ||||||
YTL Corp. Bhd | 398,400 | 137,655 | ||||||
YTL Power International Bhd | 182,800 | 60,716 | ||||||
|
| |||||||
9,150,319 | ||||||||
|
| |||||||
Mexico – 3.4% |
| |||||||
Alfa SAB de CV Class A | 254,940 | 317,538 | ||||||
America Movil SAB de CV Series L | 3,065,621 | 1,937,450 | ||||||
Arca Continental SAB de CV | 38,200 | 199,961 | ||||||
Cemex SAB de CV Series CPO(a) | 1,304,482 | 1,049,842 | ||||||
Coca-Cola Femsa SAB de CV Series L | 45,100 | 287,656 | ||||||
El Puerto de Liverpool SAB de CV Series C1 | 17,300 | 125,584 | ||||||
Fibra Uno Administracion SA de CV REIT | 240,358 | 369,611 | ||||||
Fomento Economico Mexicano SAB de CV | 169,980 | 1,301,902 | ||||||
Gentera SAB de CV | 88,700 | 143,546 | ||||||
Gruma SAB de CV Class B | 19,700 | 251,874 | ||||||
Grupo Aeroportuario del Pacifico SAB de CV Class B | 33,100 | 273,778 | ||||||
Grupo Aeroportuario del Sureste SAB de CV Class B | 18,900 | 273,764 | ||||||
Grupo Bimbo SAB de CV Series A | 148,915 | 338,865 | ||||||
Grupo Carso SAB de CV Series A1 | 52,000 | 210,433 | ||||||
Grupo Financiero Banorte SAB de CV Series O | 231,003 | 1,144,839 | ||||||
Grupo Financiero Inbursa SAB de CV Series O | 211,626 | 322,758 | ||||||
Grupo Financiero Santander Mexico SAB de CV Class B | 166,291 | 240,620 | ||||||
Grupo Lala SAB de CV | 55,800 | 81,662 | ||||||
Grupo Mexico SAB de CV Series B | 350,636 | 958,052 | ||||||
Grupo Televisa SAB Series CPO | 226,429 | 950,273 | ||||||
Industrias Penoles SAB de CV | 12,675 | 236,433 | ||||||
Infraestructura Energetica Nova SAB de CV | 51,600 | 226,172 | ||||||
Kimberly-Clark de Mexico SAB de CV Class A | 138,889 | 251,667 | ||||||
Mexichem SAB de CV | 98,810 | 225,568 | ||||||
OHL Mexico SAB de CV | 65,100 | 64,432 | ||||||
Promotora y Operadora de Infraestructura SAB de CV | 24,200 | 203,218 | ||||||
Wal-Mart de Mexico SAB de CV | 488,094 | 878,979 | ||||||
|
| |||||||
12,866,477 | ||||||||
|
| |||||||
Netherlands – 0.4% |
| |||||||
Steinhoff International Holdings NV | 276,409 | 1,440,763 | ||||||
|
| |||||||
Peru – 0.4% |
| |||||||
Cia de Minas Buenaventura SAA ADR | 17,400 | 196,272 | ||||||
Credicorp, Ltd. | 6,200 | 978,732 | ||||||
Southern Copper Corp. | 7,767 | 248,078 | ||||||
|
| |||||||
1,423,082 | ||||||||
|
| |||||||
Philippines – 1.2% |
| |||||||
Aboitiz Equity Ventures, Inc. | 187,950 | 267,676 | ||||||
Aboitiz Power Corp. | 132,800 | 111,396 | ||||||
Alliance Global Group, Inc. | 185,300 | 47,637 | ||||||
Ayala Corp. | 22,440 | 329,745 | ||||||
Ayala Land, Inc. | 685,400 | 441,193 | ||||||
Bank of the Philippine Islands | 65,600 | 117,179 | ||||||
BDO Unibank, Inc. | 148,820 | 335,584 | ||||||
DMCI Holdings, Inc. | 374,330 | 99,846 | ||||||
Energy Development Corp. | 910,900 | 94,365 | ||||||
Globe Telecom, Inc. | 2,995 | 90,912 | ||||||
GT Capital Holdings, Inc. | 7,170 | 183,171 | ||||||
International Container Terminal Services, Inc. | 44,590 | 64,536 | ||||||
JG Summit Holdings, Inc. | 270,840 | 368,566 | ||||||
Jollibee Foods Corp. | 39,240 | 153,132 | ||||||
Megaworld Corp. | 1,060,000 | 76,122 | ||||||
Metro Pacific Investments Corp. | 1,206,000 | 161,568 | ||||||
Metropolitan Bank & Trust Co. | 59,490 | 86,879 | ||||||
PLDT, Inc. | 8,805 | 241,767 | ||||||
Robinsons Land Corp. | 158,300 | 82,792 | ||||||
Security Bank Corp. | 10,160 | 38,831 | ||||||
SM Investments Corp. | 21,900 | 288,549 | ||||||
SM Prime Holdings, Inc. | 781,500 | 445,673 | ||||||
Universal Robina Corp. | 79,160 | 260,350 | ||||||
|
| |||||||
4,387,469 | ||||||||
|
| |||||||
Poland – 1.1% |
| |||||||
Alior Bank SA(a) | 8,745 | 113,526 | ||||||
Bank Handlowy w Warszawie SA | 2,948 | 53,949 | ||||||
Bank Millennium SA(a) | 54,732 | 68,050 | ||||||
Bank Pekao SA | 14,693 | 442,800 | ||||||
Bank Zachodni WBK SA | 3,134 | 237,248 | ||||||
CCC SA | 2,835 | 138,242 | ||||||
Cyfrowy Polsat SA(a) | 18,302 | 107,857 | ||||||
Eurocash SA | 6,893 | 64,962 | ||||||
Grupa Azoty SA | 4,028 | 60,474 | ||||||
Grupa Lotos SA(a) | 8,341 | 76,430 | ||||||
Jastrzebska Spolka Weglowa SA(a) | 4,560 | 73,081 | ||||||
KGHM Polska Miedz SA | 12,827 | 284,177 | ||||||
LPP SA | 119 | 161,742 | ||||||
mBank SA(a) | 1,334 | 107,137 | ||||||
Orange Polska SA | 63,322 | 83,584 |
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)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Poland – (continued) |
| |||||||
PGE Polska Grupa Energetyczna SA | 76,902 | $ | 192,518 | |||||
Polski Koncern Naftowy Orlen SA | 29,838 | 609,727 | ||||||
Polskie Gornictwo Naftowe i Gazownictwo SA | 161,720 | 218,116 | ||||||
Powszechna Kasa Oszczednosci Bank Polski SA(a) | 81,424 | 548,900 | ||||||
Powszechny Zaklad Ubezpieczen SA | 50,878 | 404,776 | ||||||
Synthos SA | 53,096 | 58,002 | ||||||
Tauron Polska Energia SA(a) | 88,588 | 60,483 | ||||||
|
| |||||||
4,165,781 | ||||||||
|
| |||||||
Qatar – 0.8% |
| |||||||
Barwa Real Estate Co. | 9,242 | 84,390 | ||||||
Commercial Bank QSC | 14,442 | 128,897 | ||||||
Doha Bank QSC | 11,424 | 109,490 | ||||||
Ezdan Holding Group QSC | 72,153 | 299,399 | ||||||
Industries Qatar QSC | 13,707 | 442,295 | ||||||
Masraf Al Rayan QSC | 33,387 | 344,744 | ||||||
Ooredoo QSC | 7,361 | 205,786 | ||||||
Qatar Electricity & Water Co. QSC | 2,481 | 154,662 | ||||||
Qatar Gas Transport Co., Ltd. | 25,044 | 158,803 | ||||||
Qatar Insurance Co. SAQ | 10,925 | 254,419 | ||||||
Qatar Islamic Bank SAQ | 5,330 | 152,081 | ||||||
Qatar National Bank SAQ | 19,306 | 863,664 | ||||||
|
| |||||||
3,198,630 | ||||||||
|
| |||||||
Romania – 0.1% |
| |||||||
New Europe Property Investments PLC | 21,578 | 250,889 | ||||||
|
| |||||||
Russia – 4.4% |
| |||||||
Alrosa PJSC | 241,716 | 383,895 | ||||||
Gazprom PAO | 1,091,868 | 2,762,056 | ||||||
Inter RAO UES PJSC | 2,780,000 | 174,125 | ||||||
Lukoil PJSC | 39,265 | 2,213,023 | ||||||
Magnit PJSC(a) | 7,131 | 1,281,258 | ||||||
MMC Norilsk Nickel PJSC(a) | 5,098 | 845,578 | ||||||
Mobile TeleSystems PJSC ADR | 46,770 | 426,075 | ||||||
Moscow Exchange MICEX-RTS PJSC(a) | 125,082 | 256,234 | ||||||
Novatek OAO | 87,050 | 1,123,709 | ||||||
PhosAgro PJSC GDR | 9,018 | 137,524 | ||||||
Rosneft PJSC | 108,440 | 715,280 | ||||||
Rostelecom PJSC | 84,040 | 115,644 | ||||||
Rushhydro PJSC | 10,994,000 | 166,229 | ||||||
Sberbank of Russia PJSC(a) | 995,794 | 2,823,907 | ||||||
Severstal PAO | 19,200 | 294,808 | ||||||
Sistema JSFC | 262,100 | 99,484 | ||||||
Sistema PJSC FC GDR | 16,136 | 145,224 | ||||||
Surgutneftegas OAO | 648,700 | 329,006 | ||||||
Surgutneftegas OJSC Preference Shares | 628,100 | 329,465 | ||||||
Tatneft PAO | 130,430 | 912,783 | ||||||
Transneft PJSC Preference Shares | 141 | 457,229 | ||||||
VTB Bank PJSC | 482,870,000 | 578,478 | ||||||
|
| |||||||
16,571,014 | ||||||||
|
| |||||||
South Africa – 6.4% |
| |||||||
Anglo American Platinum, Ltd.(a) | 4,867 | 94,105 | ||||||
AngloGold Ashanti, Ltd.(a) | 37,646 | 420,038 | ||||||
Aspen Pharmacare Holdings, Ltd. | 33,613 | 697,037 | ||||||
Barclays Africa Group, Ltd. | 39,864 | 491,748 | ||||||
Bid Corp., Ltd. | 30,729 | 550,875 | ||||||
Bidvest Group, Ltd. | 29,051 | 385,045 | ||||||
Brait SE(a) | 30,816 | 197,313 | ||||||
Capitec Bank Holdings, Ltd. | 3,652 | 185,604 | ||||||
Coronation Fund Managers, Ltd. | 20,517 | 105,758 | ||||||
Discovery, Ltd. | 32,479 | 271,945 | ||||||
Exxaro Resources, Ltd. | 13,896 | 90,946 | ||||||
FirstRand, Ltd. | 311,597 | 1,211,526 | ||||||
Fortress Income Fund, Ltd. | 68,639 | 162,274 | ||||||
Fortress Income Fund, Ltd. Class A | 91,302 | 110,631 | ||||||
Foschini Group, Ltd. | 19,401 | 225,761 | ||||||
Gold Fields, Ltd. | 75,693 | 241,277 | ||||||
Growthpoint Properties, Ltd. REIT | 194,020 | 367,326 | ||||||
Hyprop Investments, Ltd. | 22,361 | 191,822 | ||||||
Impala Platinum Holdings, Ltd.(a) | 57,534 | 179,817 | ||||||
Imperial Holdings, Ltd. | 14,116 | 188,323 | ||||||
Investec, Ltd. | 22,347 | 148,299 | ||||||
Liberty Holdings, Ltd. | 10,330 | 83,849 | ||||||
Life Healthcare Group Holdings, Ltd. | 90,759 | 216,361 | ||||||
Massmart Holdings, Ltd. | 10,646 | 98,216 | ||||||
MMI Holdings, Ltd. | 96,450 | 166,381 | ||||||
Mondi, Ltd. | 10,862 | 222,395 | ||||||
Mr. Price Group, Ltd. | 21,926 | 255,817 | ||||||
MTN Group, Ltd. | 153,570 | 1,416,887 | ||||||
Naspers, Ltd. Class N | 40,467 | 5,960,086 | ||||||
Nedbank Group, Ltd. | 18,090 | 315,011 | ||||||
Netcare, Ltd. | 87,391 | 203,476 | ||||||
Pick n Pay Stores, Ltd. | 34,091 | 158,850 | ||||||
Pioneer Foods Group, Ltd. | 11,527 | 129,785 | ||||||
PSG Group, Ltd. | 8,789 | 140,476 | ||||||
Rand Merchant Investment Holdings, Ltd. | 61,674 | 179,497 | ||||||
Redefine Properties, Ltd. REIT | 428,932 | 350,987 | ||||||
Remgro, Ltd. | 48,697 | 794,286 | ||||||
Resilient REIT, Ltd. | 26,437 | 221,181 | ||||||
RMB Holdings, Ltd. | 64,497 | 313,170 | ||||||
Sanlam, Ltd. | 130,891 | 602,051 | ||||||
Sappi, Ltd.(a) | 49,555 | 325,958 | ||||||
Sasol, Ltd. | 51,211 | 1,493,826 | ||||||
Shoprite Holdings, Ltd. | 39,974 | 501,202 | ||||||
Sibanye Gold, Ltd. | 67,061 | 124,510 | ||||||
SPAR Group, Ltd. | 18,251 | 265,030 | ||||||
Standard Bank Group, Ltd. | 119,758 | 1,328,942 | ||||||
Telkom SA SOC, Ltd. | 23,774 | 128,632 | ||||||
Tiger Brands, Ltd. | 14,813 | 430,936 | ||||||
Truworths International, Ltd. | 41,521 | 241,900 | ||||||
Tsogo Sun Holdings, Ltd. | 33,135 | 66,876 | ||||||
Vodacom Group, Ltd. | 33,726 | 375,857 | ||||||
Woolworths Holdings, Ltd. | 90,847 | 471,806 | ||||||
|
| |||||||
24,101,707 | ||||||||
|
|
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)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
South Korea – 14.0% |
| |||||||
Amorepacific Corp. | 2,940 | $ | 782,588 | |||||
Amorepacific Corp. Preference Shares | 830 | 141,220 | ||||||
AMOREPACIFIC Group | 2,533 | 278,928 | ||||||
BGF retail Co., Ltd. | 1,780 | 120,553 | ||||||
BNK Financial Group, Inc. | 23,530 | 169,101 | ||||||
Celltrion, Inc.(a) | 7,298 | 648,953 | ||||||
Cheil Worldwide, Inc. | 6,230 | 81,241 | ||||||
CJ CheilJedang Corp. | 721 | 213,411 | ||||||
CJ Corp. | 1,331 | 206,075 | ||||||
CJ E&M Corp. | 1,843 | 108,187 | ||||||
CJ Korea Express Corp.(a) | 655 | 97,073 | ||||||
Coway Co., Ltd. | 4,887 | 357,279 | ||||||
Daelim Industrial Co., Ltd. | 2,566 | 185,046 | ||||||
Daewoo Engineering & Construction Co., Ltd.(a) | 11,250 | 47,317 | ||||||
DGB Financial Group, Inc. | 16,060 | 129,911 | ||||||
Dongbu Insurance Co., Ltd. | 4,512 | 233,482 | ||||||
Dongsuh Cos., Inc. | 3,452 | 78,740 | ||||||
Doosan Heavy Industries & Construction Co., Ltd. | 4,311 | 97,085 | ||||||
E-MART, Inc. | 1,778 | 269,394 | ||||||
GS Engineering & Construction Corp.(a) | 4,736 | 103,911 | ||||||
GS Holdings Corp. | 4,691 | 210,120 | ||||||
GS Retail Co., Ltd. | 2,570 | 101,285 | ||||||
Hana Financial Group, Inc. | 27,239 | 704,768 | ||||||
Hankook Tire Co., Ltd. | 6,760 | 324,623 | ||||||
Hanmi Pharm Co., Ltd. | 475 | 120,146 | ||||||
Hanmi Science Co., Ltd. | 1,051 | 53,168 | ||||||
Hanon Systems | 16,860 | 143,780 | ||||||
Hanssem Co., Ltd. | 960 | 158,172 | ||||||
Hanwha Chemical Corp. | 9,660 | 197,551 | ||||||
Hanwha Corp. | 4,060 | 117,820 | ||||||
Hanwha Life Insurance Co., Ltd. | 20,860 | 112,780 | ||||||
Hanwha Techwin Co., Ltd. | 3,287 | 118,248 | ||||||
Hotel Shilla Co., Ltd. | 3,070 | 122,388 | ||||||
Hyosung Corp. | 1,931 | 232,622 | ||||||
Hyundai Department Store Co., Ltd. | 1,373 | 123,909 | ||||||
Hyundai Development Co-Engineering & Construction | 5,200 | 193,525 | ||||||
Hyundai Engineering & Construction Co., Ltd. | 6,646 | 235,510 | ||||||
Hyundai Glovis Co., Ltd. | 1,710 | 218,741 | ||||||
Hyundai Heavy Industries Co., Ltd.(a) | 3,927 | 473,074 | ||||||
Hyundai Marine & Fire Insurance Co., Ltd. | 5,650 | 147,355 | ||||||
Hyundai Mobis Co., Ltd. | 6,301 | 1,377,268 | ||||||
Hyundai Motor Co. | 14,248 | 1,722,312 | ||||||
Hyundai Motor Co. Preference Shares(c) | 3,422 | 281,625 | ||||||
Hyundai Motor Co. Preference Shares(c) | 2,039 | 161,560 | ||||||
Hyundai Steel Co. | 7,288 | 343,944 | ||||||
Hyundai Wia Corp. | 1,548 | 93,562 | ||||||
Industrial Bank of Korea | 22,900 | 240,793 | ||||||
Kakao Corp. | 2,771 | 176,658 | ||||||
Kangwon Land, Inc. | 10,659 | 315,499 | ||||||
KB Financial Group, Inc. | 36,441 | 1,291,335 | ||||||
KCC Corp. | 535 | 159,242 | ||||||
KEPCO Plant Service & Engineering Co., Ltd. | 2,030 | 91,096 | ||||||
Kia Motors Corp. | 24,113 | 783,603 | ||||||
Korea Aerospace Industries, Ltd. | 6,242 | 346,261 | ||||||
Korea Electric Power Corp. | 23,787 | 867,542 | ||||||
Korea Gas Corp. | 2,660 | 106,704 | ||||||
Korea Investment Holdings Co., Ltd. | 3,520 | 122,113 | ||||||
Korea Zinc Co., Ltd. | 771 | 303,217 | ||||||
Korean Air Lines Co., Ltd.(a) | 3,096 | 70,107 | ||||||
KT Corp. | 2,630 | 64,019 | ||||||
KT&G Corp. | 10,807 | 903,715 | ||||||
Kumho Petrochemical Co., Ltd. | 1,752 | 118,947 | ||||||
LG Chem, Ltd. | 4,245 | 917,325 | ||||||
LG Chem, Ltd. Preference Shares | 732 | 108,788 | ||||||
LG Corp. | 8,846 | 439,444 | ||||||
LG Display Co., Ltd. | 21,656 | 563,902 | ||||||
LG Electronics, Inc. | 10,039 | 428,889 | ||||||
LG Household & Health Care, Ltd. | 863 | 612,346 | ||||||
LG Household & Health Care, Ltd. Preference Shares | 200 | 93,227 | ||||||
LG Innotek Co., Ltd. | 1,379 | 100,930 | ||||||
LG Uplus Corp. | 19,680 | 186,567 | ||||||
Lotte Chemical Corp. | 1,401 | 428,025 | ||||||
Lotte Chilsung Beverage Co., Ltd. | 59 | 71,320 | ||||||
Lotte Confectionery Co., Ltd. | 537 | 79,363 | ||||||
Lotte Shopping Co., Ltd. | 1,014 | 185,959 | ||||||
Mirae Asset Daewoo Co., Ltd. | 16,210 | 97,169 | ||||||
Mirae Asset Securities Co., Ltd. | 6,700 | 119,347 | ||||||
NAVER Corp. | 2,588 | 1,660,623 | ||||||
NCSoft Corp. | 1,594 | 326,639 | ||||||
NH Investment & Securities Co., Ltd. | 13,420 | 107,222 | ||||||
OCI Co., Ltd.(a) | 1,506 | 98,131 | ||||||
Orion Corp. | 327 | 177,335 | ||||||
Ottogi Corp. | 100 | 54,810 | ||||||
POSCO | 6,811 | 1,452,088 | ||||||
Posco Daewoo Corp. | 4,400 | 98,361 | ||||||
S-1 Corp. | 1,714 | 124,456 | ||||||
S-Oil Corp. | 4,103 | 287,733 | ||||||
Samsung Biologics Co., Ltd.(a) | 1,510 | 188,781 | ||||||
Samsung C&T Corp. | 6,974 | 724,654 | ||||||
Samsung Card Co., Ltd. | 3,246 | 106,695 | ||||||
Samsung Electro-Mechanics Co., Ltd. | 5,126 | 215,599 | ||||||
Samsung Electronics Co., Ltd. | 9,153 | 13,655,991 | ||||||
Samsung Electronics Co., Ltd. Preference Shares | 1,628 | 1,931,548 | ||||||
Samsung Fire & Marine Insurance Co., Ltd. | 3,052 | 678,475 | ||||||
Samsung Heavy Industries Co., Ltd.(a) | 23,033 | 176,399 |
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)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
South Korea – (continued) |
| |||||||
Samsung Life Insurance Co., Ltd. | 6,507 | $ | 606,092 | |||||
Samsung SDI Co., Ltd. | 5,192 | 468,561 | ||||||
Samsung SDS Co., Ltd. | 3,156 | 364,516 | ||||||
Samsung Securities Co., Ltd. | 5,292 | 138,894 | ||||||
Shinhan Financial Group Co., Ltd. | 39,448 | 1,477,912 | ||||||
Shinsegae, Inc. | 690 | 100,546 | ||||||
SK Holdings Co., Ltd. | 4,206 | 799,203 | ||||||
SK Hynix, Inc. | 53,770 | 1,989,997 | ||||||
SK Innovation Co., Ltd. | 5,953 | 722,069 | ||||||
SK Networks Co., Ltd. | 11,200 | 64,170 | ||||||
SK Telecom Co., Ltd. | 1,832 | 339,765 | ||||||
Woori Bank | 27,810 | 293,573 | ||||||
Yuhan Corp. | 752 | 124,213 | ||||||
|
| |||||||
52,387,854 | ||||||||
|
| |||||||
Taiwan – 11.8% |
| |||||||
Acer, Inc.(a) | 273,000 | 110,965 | ||||||
Advanced Semiconductor Engineering, Inc. | 583,000 | 597,851 | ||||||
Advantech Co., Ltd. | 29,000 | 229,002 | ||||||
Asia Cement Corp. | 216,000 | 176,599 | ||||||
Asia Pacific Telecom Co., Ltd.(a) | 190,000 | 61,016 | ||||||
Asustek Computer, Inc. | 66,000 | 542,679 | ||||||
AU Optronics Corp. | 791,000 | 289,609 | ||||||
Casetek Holdings, Ltd. | 14,000 | 37,314 | ||||||
Catcher Technology Co., Ltd. | 61,000 | 423,966 | ||||||
Cathay Financial Holding Co., Ltd. | 759,000 | 1,135,121 | ||||||
Chailease Holding Co., Ltd. | 93,000 | 158,997 | ||||||
Chang Hwa Commercial Bank, Ltd. | 451,560 | 240,288 | ||||||
Cheng Shin Rubber Industry Co., Ltd. | 176,000 | 332,024 | ||||||
Chicony Electronics Co., Ltd. | 48,205 | 112,178 | ||||||
China Airlines, Ltd. | 237,000 | 68,389 | ||||||
China Development Financial Holding Corp. | 1,238,000 | 309,606 | ||||||
China Life Insurance Co., Ltd. | 317,200 | 315,438 | ||||||
China Steel Corp. | 1,086,000 | 830,615 | ||||||
Chunghwa Telecom Co., Ltd. | 352,000 | 1,108,567 | ||||||
Compal Electronics, Inc. | 388,000 | 222,117 | ||||||
CTBC Financial Holding Co., Ltd. | 1,614,040 | 883,918 | ||||||
Delta Electronics, Inc. | 181,000 | 895,762 | ||||||
E.Sun Financial Holding Co., Ltd. | 743,900 | 423,549 | ||||||
Eclat Textile Co., Ltd. | 17,206 | 180,180 | ||||||
Eva Airways Corp. | 197,950 | 89,673 | ||||||
Evergreen Marine Corp. Taiwan, Ltd.(a) | 150,000 | 51,662 | ||||||
Far Eastern New Century Corp. | 290,000 | 217,754 | ||||||
Far EasTone Telecommunications Co., Ltd. | 145,000 | 326,181 | ||||||
Feng TAY Enterprise Co., Ltd. | 29,880 | 111,717 | ||||||
First Financial Holding Co., Ltd. | 900,350 | 480,500 | ||||||
Formosa Chemicals & Fibre Corp. | 296,000 | 884,446 | ||||||
Formosa Petrochemical Corp. | 104,000 | 361,414 | ||||||
Formosa Plastics Corp. | 385,000 | 1,065,562 | ||||||
Formosa Taffeta Co., Ltd. | 68,000 | 62,242 | ||||||
Foxconn Technology Co., Ltd. | 83,830 | 221,872 | ||||||
Fubon Financial Holding Co., Ltd. | 612,000 | 968,445 | ||||||
Giant Manufacturing Co., Ltd. | 26,000 | 147,631 | ||||||
Highwealth Construction Corp. | 82,000 | 115,511 | ||||||
Hiwin Technologies Corp. | 19,380 | 88,996 | ||||||
Hon Hai Precision Industry Co., Ltd. | 1,427,000 | 3,728,114 | ||||||
Hotai Motor Co., Ltd. | 23,000 | 263,334 | ||||||
HTC Corp.(a) | 61,000 | 149,524 | ||||||
Hua Nan Financial Holdings Co., Ltd. | 669,060 | 337,343 | ||||||
Innolux Corp. | 818,000 | 294,418 | ||||||
Inventec Corp. | 232,000 | 159,087 | ||||||
Largan Precision Co., Ltd. | 9,000 | 1,058,364 | ||||||
Lite-On Technology Corp. | 192,958 | 290,973 | ||||||
MediaTek, Inc. | 137,000 | 920,305 | ||||||
Mega Financial Holding Co., Ltd. | 1,002,000 | 715,070 | ||||||
Merida Industry Co., Ltd. | 19,000 | 84,892 | ||||||
Micro-Star International Co., Ltd. | 60,000 | 137,019 | ||||||
Nan Ya Plastics Corp. | 436,000 | 963,207 | ||||||
Nanya Technology Corp. | 62,000 | 92,916 | ||||||
Nien Made Enterprise Co., Ltd. | 14,000 | 144,435 | ||||||
Novatek Microelectronics Corp. | 53,000 | 175,137 | ||||||
OBI Pharma, Inc.(a) | 10,000 | 88,430 | ||||||
Pegatron Corp. | 177,000 | 422,880 | ||||||
Phison Electronics Corp. | 14,000 | 110,987 | ||||||
Pou Chen Corp. | 201,000 | 250,712 | ||||||
Powertech Technology, Inc. | 60,000 | 161,966 | ||||||
President Chain Store Corp. | 52,000 | 372,708 | ||||||
Quanta Computer, Inc. | 252,000 | 471,488 | ||||||
Realtek Semiconductor Corp. | 43,000 | 136,089 | ||||||
Ruentex Development Co., Ltd.(a) | 75,000 | 85,637 | ||||||
Ruentex Industries, Ltd. | 57,000 | 94,973 | ||||||
Shin Kong Financial Holding Co., Ltd.(a) | 738,000 | 180,899 | ||||||
Siliconware Precision Industries Co., Ltd. | 198,000 | 293,968 | ||||||
SinoPac Financial Holdings Co., Ltd. | 925,050 | 260,618 | ||||||
Standard Foods Corp. | 40,300 | 95,783 | ||||||
Synnex Technology International Corp. | 133,700 | 134,824 | ||||||
TaiMed Biologics, Inc.(a) | 15,000 | 77,492 | ||||||
Taishin Financial Holding Co., Ltd. | 778,535 | 285,045 | ||||||
Taiwan Business Bank | 377,200 | 95,386 | ||||||
Taiwan Cement Corp. | 302,000 | 329,371 | ||||||
Taiwan Cooperative Financial Holding Co., Ltd. | 700,850 | 305,530 | ||||||
Taiwan Fertilizer Co., Ltd. | 66,000 | 82,221 | ||||||
Taiwan Mobile Co., Ltd. | 156,000 | 503,398 |
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)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Taiwan – (continued) |
| |||||||
Taiwan Semiconductor Manufacturing Co., Ltd. | 2,274,000 | $ | 12,806,199 | |||||
Teco Electric and Machinery Co., Ltd. | 172,000 | 148,897 | ||||||
Transcend Information, Inc. | 20,000 | 52,872 | ||||||
Uni-President Enterprises Corp. | 444,000 | 735,660 | ||||||
United Microelectronics Corp. | 1,097,000 | 388,029 | ||||||
Vanguard International Semiconductor Corp. | 84,000 | 146,477 | ||||||
Wistron Corp. | 225,863 | 174,851 | ||||||
WPG Holdings, Ltd. | 134,000 | 157,994 | ||||||
Yuanta Financial Holding Co., Ltd. | 874,000 | 325,421 | ||||||
Yulon Motor Co., Ltd. | 73,000 | 60,703 | ||||||
Zhen Ding Technology Holding, Ltd. | 40,000 | 79,183 | ||||||
|
| |||||||
44,310,185 | ||||||||
|
| |||||||
Thailand – 2.3% |
| |||||||
Advanced Info Service PCL | 98,200 | 403,105 | ||||||
Airports of Thailand PCL | 39,800 | 442,339 | ||||||
Bangkok Bank PCL | 12,400 | 55,922 | ||||||
Bangkok Bank PCL NVDR | 11,400 | 50,776 | ||||||
Bangkok Dusit Medical Services PCL | 353,600 | 228,094 | ||||||
Bangkok Expressway & Metro PCL | 620,699 | 129,130 | ||||||
Banpu PCL | 140,500 | 75,330 | ||||||
BEC World PCL | 97,800 | 45,335 | ||||||
Berli Jucker PCL | 105,700 | 148,320 | ||||||
BTS Group Holdings PCL | 526,784 | 125,773 | ||||||
Bumrungrad Hospital PCL | 32,900 | 166,289 | ||||||
Central Pattana PCL | 122,100 | 193,496 | ||||||
Charoen Pokphand Foods PCL | 248,600 | 204,792 | ||||||
CP ALL PCL | 454,600 | 793,413 | ||||||
Delta Electronics Thailand PCL | 47,200 | 107,421 | ||||||
Electricity Generating PCL | 11,900 | 66,129 | ||||||
Energy Absolute PCL | 100,200 | 83,242 | ||||||
Glow Energy PCL | 49,000 | 108,097 | ||||||
Home Product Center PCL | 378,600 | 107,838 | ||||||
Indorama Ventures PCL | 136,400 | 127,599 | ||||||
IRPC PCL | 950,200 | 127,364 | ||||||
Kasikornbank PCL NVDR | 166,900 | 827,264 | ||||||
KCE Electronics PCL | 24,600 | 83,808 | ||||||
Krung Thai Bank PCL | 322,800 | 159,550 | ||||||
Minor International PCL | 197,300 | 196,967 | ||||||
PTT Exploration & Production PCL | 126,400 | 339,733 | ||||||
PTT Global Chemical PCL | 188,400 | 331,445 | ||||||
PTT PCL | 91,900 | 954,658 | ||||||
Robinson Department Store PCL | 47,300 | 83,873 | ||||||
Siam Cement PCL | 39,150 | 544,441 | ||||||
Siam Commercial Bank PCL | 164,200 | 699,250 | ||||||
Thai Oil PCL | 72,000 | 145,265 | ||||||
Thai Union Group PCL | 182,700 | 107,139 | ||||||
TMB Bank PCL | 1,184,300 | 69,450 | ||||||
True Corp. PCL | 904,037 | 180,502 | ||||||
|
| |||||||
8,513,149 | ||||||||
|
| |||||||
Turkey – 1.0% |
| |||||||
Akbank TAS | 204,851 | 455,406 | ||||||
Anadolu Efes Biracilik Ve Malt Sanayii A/S | 18,700 | 93,723 | ||||||
Arcelik A/S | 21,341 | 128,619 | ||||||
BIM Birlesik Magazalar A/S | 19,256 | 268,235 | ||||||
Coca-Cola Icecek A/S | 6,886 | 64,796 | ||||||
Emlak Konut Gayrimenkul Yatirim Ortakligi A/S | 174,919 | 148,683 | ||||||
Eregli Demir ve Celik Fabrikalari TAS | 128,672 | 188,019 | ||||||
Ford Otomotiv Sanayi A/S | 5,804 | 50,457 | ||||||
Haci Omer Sabanci Holding A/S | 83,626 | 217,528 | ||||||
KOC Holding A/S | 57,776 | 226,663 | ||||||
Petkim Petrokimya Holding A/S | 60,908 | 64,066 | ||||||
TAV Havalimanlari Holding A/S | 13,461 | 53,689 | ||||||
Tofas Turk Otomobil Fabrikasi A/S | 12,158 | 85,164 | ||||||
Tupras Turkiye Petrol Rafinerileri A/S | 11,425 | 229,793 | ||||||
Turk Hava Yollari AO(a) | 53,467 | 76,151 | ||||||
Turk Telekomunikasyon A/S | 44,340 | 66,555 | ||||||
Turkcell Iletisim Hizmetleri A/S(a) | 80,068 | 221,931 | ||||||
Turkiye Garanti Bankasi A/S | 214,961 | 465,659 | ||||||
Turkiye Halk Bankasi A/S | 57,517 | 152,720 | ||||||
Turkiye Is Bankasi Class C | 144,015 | 212,076 | ||||||
Turkiye Sise ve Cam Fabrikalari A/S | 59,530 | 64,817 | ||||||
Turkiye Vakiflar Bankasi TAO Class D | 71,797 | 88,787 | ||||||
Ulker Biskuvi Sanayi A/S | 14,465 | 66,453 | ||||||
Yapi ve Kredi Bankasi A/S(a) | 83,552 | 81,471 | ||||||
|
| |||||||
3,771,461 | ||||||||
|
| |||||||
United Arab Emirates – 0.8% |
| |||||||
Abu Dhabi Commercial Bank PJSC | 178,149 | 334,675 | ||||||
Aldar Properties PJSC | 288,000 | 206,224 | ||||||
DP World, Ltd. | 15,138 | 265,066 | ||||||
Dubai Islamic Bank PJSC | 111,489 | 169,075 | ||||||
DXB Entertainments PJSC(a) | 280,045 | 99,120 | ||||||
Emaar Malls PJSC | 176,151 | 125,654 | ||||||
Emaar Properties PJSC | 326,218 | 633,269 | ||||||
Emirates Telecommunications Group Co. PJSC | 159,266 | 815,214 | ||||||
First Gulf Bank PJSC | 81,983 | 286,826 | ||||||
National Bank of Abu Dhabi PJSC | 61,113 | 166,223 | ||||||
|
| |||||||
3,101,346 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 363,665,388 | ||||||
|
| |||||||
RIGHTS – 0.0%(d) |
| |||||||
Qatar – 0.0%(d) |
| |||||||
Commercial Bank QSC (expiring 1/22/17)(a) | 2,600 | 4,998 | ||||||
|
|
See accompanying notes to financial statements.
14
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
SHORT-TERM INVESTMENT – 1.9% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier | 7,130,539 | $ | 7,130,539 | |||||
|
| |||||||
TOTAL INVESTMENTS – 98.9% |
| 370,800,925 | ||||||
Other Assets in Excess of | 4,007,256 | |||||||
|
| |||||||
NET ASSETS – 100.0% | $ | 374,808,181 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 0.3% of net assets as of December 31, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Reflects separate holdings of the issuer’s common stock traded on different securities exchanges. |
(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 December 31, 2016 are shown in the Affiliate Table below. |
(f) | The rate shown is the annualized seven-day yield at December 31, 2016. |
ADR | American Depositary Receipt | |||
GDR | Global Depositary Receipt | |||
NVDR | Non Voting Depositary Receipt | |||
REIT | Real Estate Investment Trust |
At December 31, 2016, open futures contracts purchased were as follows:
Futures Contracts | Expiration Date | Number of Contracts | Notional Value | Unrealized Depreciation | ||||||||||||
Mini MSCI Emerging Markets Index (long) | 03/17/2017 | 279 | $ | 11,981,655 | $ | (154,358 | ) |
During the period ended December 31, 2016, average notional value related to futures contracts was $7,614,225 or 2% of net assets.
During the period ended December 31, 2016, average notional value related to forward foreign currency exchange contracts was $3,636,018 or 1% of net assets.
During the period ended December 31, 2016, average notional value related to swap contracts was $13,351,606 or 4% of net assets.
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Brazil | $ | 27,954,713 | $ | – | $ | – | $ | 27,954,713 | ||||||||
Chile | 4,354,055 | – | – | 4,354,055 | ||||||||||||
China | 94,690,169 | – | – | 94,690,169 | ||||||||||||
Colombia | 1,644,683 | – | – | 1,644,683 | ||||||||||||
Czech Republic | 665,662 | – | – | 665,662 | ||||||||||||
Egypt | 405,440 | – | – | 405,440 | ||||||||||||
Greece | 1,353,742 | – | – | 1,353,742 | ||||||||||||
Hong Kong | 1,752,824 | – | – | 1,752,824 | ||||||||||||
Hungary | 1,141,590 | – | – | 1,141,590 | ||||||||||||
India | 30,505,190 | – | – | 30,505,190 | ||||||||||||
Indonesia | 9,557,194 | – | – | 9,557,194 | ||||||||||||
Malaysia | 9,150,319 | – | – | 9,150,319 | ||||||||||||
Mexico | 12,866,477 | – | – | 12,866,477 | ||||||||||||
Netherlands | 1,440,763 | – | – | 1,440,763 | ||||||||||||
Peru | 1,423,082 | – | – | 1,423,082 | ||||||||||||
Philippines | 4,387,469 | – | – | 4,387,469 | ||||||||||||
Poland | 4,165,781 | – | – | 4,165,781 | ||||||||||||
Qatar | 3,198,630 | – | – | 3,198,630 | ||||||||||||
Romania | 250,889 | – | – | 250,889 | ||||||||||||
Russia | 16,571,014 | – | – | 16,571,014 |
See accompanying notes to financial statements.
15
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Schedule of Investments — (continued)
December 31, 2016
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
South Africa | $ | 24,101,707 | $ | – | $ | – | $ | 24,101,707 | ||||||||
South Korea | 52,268,507 | 119,347 | – | 52,387,854 | ||||||||||||
Taiwan | 44,310,185 | – | – | 44,310,185 | ||||||||||||
Thailand | 1,478,403 | 7,034,746 | – | 8,513,149 | ||||||||||||
Turkey | 3,771,461 | – | – | 3,771,461 | ||||||||||||
United Arab Emirates | 3,101,346 | – | – | 3,101,346 | ||||||||||||
Rights | ||||||||||||||||
Qatar | – | 4,998 | – | 4,998 | ||||||||||||
Short-Term Investment | 7,130,539 | – | – | 7,130,539 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 363,641,834 | $ | 7,159,091 | $ | – | $ | 370,800,925 | ||||||||
|
|
|
|
|
|
|
| |||||||||
Liabilities: | ||||||||||||||||
Other Financial Instruments: | ||||||||||||||||
Futures Contracts(a) | $ | (154,358 | ) | $ | – | $ | – | $ | (154,358 | ) | ||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments and Other Financial Instruments | $ | 363,487,476 | $ | 7,159,091 | $ | – | $ | 370,646,567 | ||||||||
|
|
|
|
|
|
|
|
(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 12/31/16 | Value at 12/31/16 | Dividend Income | ||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 15,604,398 | $ | 15,604,398 | 146,189,133 | 161,793,531 | – | $ | – | $ | 61,550 | ||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 45,163,572 | 38,033,033 | 7,130,539 | 7,130,539 | 14,502 | |||||||||||||||||||||
|
|
|
|
|
| |||||||||||||||||||||||
TOTAL | $ | 15,604,398 | $ | 7,130,539 | $ | 76,052 | ||||||||||||||||||||||
|
|
|
|
|
|
See accompanying notes to financial statements.
16
Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Statement of Assets and Liabilities
December 31, 2016
Assets | ||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 363,670,386 | ||
Investments in affiliated issuers, at value (Note 2) | 7,130,539 | |||
|
| |||
Total Investments | 370,800,925 | |||
Foreign currency, at value | 1,709,969 | |||
Cash at broker for futures contracts | 558,000 | |||
Cash | 6,706 | |||
Receivable from broker – variation margin on open futures contracts | 1,378,545 | |||
Receivable for fund shares sold | 649,000 | |||
Dividends receivable – unaffiliated issuers (Note 2) | 300,725 | |||
Dividends receivable – affiliated issuers (Note 2) | 4,247 | |||
Receivable for foreign taxes recoverable | 10,054 | |||
Prepaid expenses and other assets | 795 | |||
|
| |||
Total Assets | 375,418,966 | |||
|
| |||
Liabilities | ||||
Payable for investments purchased | 6,706 | |||
Payable for fund shares repurchased | 108,000 | |||
Deferred foreign taxes payable | 187,594 | |||
Advisory fee payable (Note 4) | 44,195 | |||
Due to adviser (Note 4) | 101,342 | |||
Custodian fees payable (Note 4) | 110,249 | |||
Administration fees payable (Note 4) | 15,785 | |||
Transfer agent fees payable (Note 4) | 3,179 | |||
Registration and filing fees payable | 6,164 | |||
Professional fees payable | 23,821 | |||
Printing and postage fees payable | 3,750 | |||
|
| |||
Total Liabilities | 610,785 | |||
|
| |||
Net Assets | $ | 374,808,181 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 354,983,997 | ||
Undistributed (distribution in excess of) net investment income (loss) | (114,932 | ) | ||
Accumulated net realized gain (loss) on investments, foreign currency transactions, futures contracts and swap contracts | (5,122,682 | ) | ||
Net unrealized appreciation (depreciation) on: | ||||
Investments* | 25,224,068 | |||
Foreign currency transactions | (7,912 | ) | ||
Futures contracts | (154,358 | ) | ||
|
| |||
Net Assets | $ | 374,808,181 | ||
|
| |||
Class K | ||||
Net assets | $ | 374,808,181 | ||
Shares outstanding | 34,643,881 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 10.82 | ||
|
| |||
Cost of Investments: | ||||
Investments in unaffiliated issuers | $ | 338,259,416 | ||
Investments in affiliated issuers | 7,130,539 | |||
|
| |||
Total cost of investments | $ | 345,389,955 | ||
|
| |||
Foreign currency, at cost | $ | 1,718,451 | ||
|
| |||
* Includes deferred foreign taxes | $ | 187,594 | ||
|
|
See accompanying notes to financial statements.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
For the Year Ended December 31, 2016
Investment Income |
| |||
Dividend income – unaffiliated issuers (Note 2) | $ | 7,304,931 | ||
Dividend income – affiliated issuers (Note 2) | 76,052 | |||
Foreign taxes withheld | (912,086 | ) | ||
|
| |||
Total Investment Income (Loss) | 6,468,897 | |||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 421,748 | |||
Administration fees (Note 4) | 150,624 | |||
Custodian fees (Note 4) | 998,197 | |||
Trustees’ fees and expenses (Note 5) | 20,994 | |||
Transfer agent fees (Note 4) | 11,097 | |||
Registration and filing fees | 28,543 | |||
Professional fees | 34,271 | |||
Printing and postage fees | 18,593 | |||
Miscellaneous expenses | 17,796 | |||
|
| |||
Total expenses | 1,701,863 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 4) | (1,186,432 | ) | ||
|
| |||
Net expenses | 515,431 | |||
|
| |||
Net Investment Income (Loss) | 5,953,466 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments transactions – unaffiliated issuers* | (3,452,019 | ) | ||
Foreign currency and forward foreign currency exchange contract transactions | (121,420 | ) | ||
Futures contracts | 964,340 | |||
Swap contracts | (89,820 | ) | ||
|
| |||
Net realized gain (loss) | (2,698,919 | ) | ||
|
| |||
Net change in unrealized appreciation/(depreciation) on: | ||||
Investment transactions – unaffiliated issuers** | 25,614,462 | |||
Foreign currency and forward foreign currency exchange contract transactions | (5,459 | ) | ||
Futures contracts | (149,061 | ) | ||
Swap contracts | (397,691 | ) | ||
|
| |||
Net change in unrealized appreciation/depreciation | 25,062,251 | |||
|
| |||
Net Realized and Unrealized Gain (Loss) | 22,363,332 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 28,316,798 | ||
|
| |||
* Includes foreign capital gain taxes | $ | (9,374 | ) | |
|
| |||
**Includes foreign deferred taxes | $ | (186,902 | ) | |
|
|
See accompanying notes to financial statements.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Statements of Changes in Net Assets
Year Ended 12/31/16 | For the Period 12/18/15* – 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 5,953,466 | $ | 404,988 | ||||
Net realized gain (loss) | (2,698,919 | ) | (90,505 | ) | ||||
Net change in unrealized appreciation (depreciation) | 25,062,251 | (453 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 28,316,798 | 314,030 | ||||||
|
|
|
| |||||
Distributions to Shareholders From: | ||||||||
Class K | ||||||||
Net investment income | (7,284,652 | ) | (400,494 | ) | ||||
Net realized gains | (1,121,498 | ) | – | |||||
|
|
|
| |||||
Total distributions to shareholders | (8,406,150 | ) | (400,494 | ) | ||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Class K | ||||||||
Proceeds from sale of shares sold | 261,800,037 | 165,493,458 | ||||||
Reinvestment of distributions | 8,406,150 | 400,494 | ||||||
Cost of shares redeemed | (81,116,142 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 189,090,045 | 165,893,952 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 209,000,693 | 165,807,488 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 165,807,488 | – | ||||||
|
|
|
| |||||
Net assets at end of period | $ | 374,808,181 | $ | 165,807,488 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | (114,932 | ) | $ | (90,526 | ) | ||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Class K | ||||||||
Shares sold | 25,354,524 | 16,549,346 | ||||||
Reinvestment of distributions | 782,695 | 40,049 | ||||||
Shares redeemed | (8,082,733 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) | 18,054,486 | 16,589,395 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
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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 | ||||||||
Year Ended 12/31/16 | 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) | 0.21 | 0.02 | ||||||
Net realized and unrealized gain (loss) | 0.87 | (0.01 | ) | |||||
|
|
|
| |||||
Total from investment operations | 1.08 | 0.01 | ||||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | (0.22 | ) | (0.02 | ) | ||||
Net realized gains | (0.03 | ) | – | |||||
|
|
|
| |||||
Total distributions | (0.25 | ) | (0.02 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 10.82 | $ | 9.99 | ||||
|
|
|
| |||||
Total return(b) | 10.81 | % | 0.14 | % | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 374,808 | $ | 165,807 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.56 | % | 0.83 | %(c) | ||||
Net expenses | 0.18 | % | 0.17 | %(c) | ||||
Net investment income (loss) | 1.98 | % | 8.03 | %(c) | ||||
Portfolio turnover rate | 14 | % | 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 for the Fund. 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.
20
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
December 31, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31 2016, the Trust consists of thirty-three (33) 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 financial statements herein relate only to:
Fund | Classes | Commencement of Operations | Diversification Classification | |||
State Street Emerging Markets Equity Index Fund | Class A | Not commenced | Diversified | |||
State Street Emerging Markets Equity Index Fund | Class I | Not commenced | Diversified | |||
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 Class K 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 would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 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
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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. |
• | Rights and warrants are valued at the last reported sale price obtained from independent pricing services or brokers on the valuation date. If no price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value, pursuant to the valuation policy and procedures approved by the Board. |
• | 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 closing settlement price on the primary market on which they are traded most extensively. Exchange-traded futures contracts traded on a recognized exchange for which there were no sales on that day are valued at the last reported sale price obtained from independent pricing services or brokers or at fair value. |
• | Forward foreign currency 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 the valuation the policy and procedures approved by the Board. |
• | Swap agreements are valued daily based upon prices supplied by Board approved pricing vendors or through brokers. Depending on the product and terms of the transaction, the value of agreements is determined using a series of techniques including valuation models that incorporate a number of market data factors, such as discounted cash flows, yields, curves, trades and values of the underlying reference instruments. In the event the advisor is unable to obtain an independent, third–party valuation, the agreements will be fair valued. |
In the event prices or quotations are not readily available or that the application of these valuation methods results in a price for an investment that is deemed to be not representative of the fair value of such investment, fair value will be determined in good faith by the Committee, in accordance with the valuation policy and procedures approved by the Board.
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.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
The three levels of the fair value hierarchy are as follows:
• | Level 1 – Unadjusted quoted prices in active markets for identical asset or liability; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other 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 December 31, 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.
For the year ended December 31, 2016, the Fund had transfers from Level 2 to Level 1 in the amount of $257,613,449. At December 31, 2015, these investments applied factor prices provided by an independent third party in accordance with the Fund’s valuation policy and procedures. At December 31, 2016, these investments were valued at exchange closing prices in accordance with the Fund’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. 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 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.
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
23
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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 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 December 31, 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 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.
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 December 31, 2016, the Fund entered into futures contracts for cash equitization, daily liquidity and return enhancement.
Forward Foreign Currency Exchange Contracts
The Fund may engage in forward foreign currency exchange contracts to acquire exposure to foreign currencies or to hedge the Fund’s investments against currency fluctuations. A forward foreign currency
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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 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.
The Fund entered into forward foreign currency exchange contracts during the period ended December 31, 2016, however, there were none outstanding as of December 31, 2016.
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 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
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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 during the period ended December 31, 2016, however, there were none outstanding as of December 31, 2016.
Risks associated with Derivatives
Derivative financial instruments involve, to varying degrees, elements of credit, market and/or interest rate risk in excess of the amounts reported in the Statement of Assets and Liabilities. Such risks involve the possibility that there will be no liquid market for these agreements, that the counterparty to the agreements may default on its obligation to perform or disagree as to the meaning of the contractual terms in the agreements, and that there may be unfavorable changes in interest rates and/or market values associated with these transactions.
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.
Certain derivatives, including forward foreign currency contracts and some swap contracts, as applicable, are entered into over the counter (“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
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Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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 Statement of Assets and Liabilities as cash pledged as collateral and cash received as collateral, respectively. Non-cash collateral pledged or received by the Fund, if any, is noted in the Schedule 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 December 31, 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 Currency Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Futures Contracts(a) | $ | – | $ | – | $ | – | $ | (154,358 | ) | $ | – | $ | (154,358 | ) |
(a) | Unrealized depreciation on open futures contracts. The Statement of Assets and Liabilities only reflects the net variation margin as of December 31, 2016. |
Net Realized Gain (Loss)
Interest Rate Contracts Risk | Foreign Currency Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Forward Foreign Currency Exchange Contracts(a) | $ | – | $ | 71,879 | $ | – | $ | – | $ | – | $ | 71,879 | ||||||||||||
Futures Contracts(b) | $ | – | $ | – | $ | – | $ | 964,340 | $ | – | $ | 964,340 | ||||||||||||
Swap Contracts(c) | – | – | – | (89,820 | ) | – | (89,820 | ) |
(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. |
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Table of Contents
State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
Net Change in Unrealized Appreciation (Depreciation)
Interest Rate Contracts Risk | Foreign Currency Exchange Contracts Risk | Credit Contracts Risk | Equity Contracts Risk | Commodity Contracts Risk | Total | |||||||||||||||||||
Futures Contracts(a) | $ | – | $ | – | $ | – | $ | (149,061 | ) | $ | – | $ | (149,061 | ) | ||||||||||
Swap Contracts(b) | – | – | – | (397,691 | ) | – | (397,691 | ) |
(a) | Net change in unrealized appreciation (depreciation) on futures contracts. |
(b) | Net change in unrealized appreciation (depreciation) on swap contracts. |
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 December 31, 2016, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $1,186,432.
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 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, and charges related to compliance and regulatory services.
Distribution Fees
State Street Global Markets LLC (the “ Distributor” or “SSGM”) , an affiliate of the Adviser, serves as the distributor of the Fund. SSGM is a wholly owned subsidiary of State Street Corporation.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
Other Transactions with Affiliates
The Fund may invest in affiliated entities, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Fund owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2016 are disclosed in the Schedule 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 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 year ended December 31, 2016, were $231,580,045 and $39,036,802, respectively.
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. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the 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, nontaxable dividend adjustments to income, foreign currencies, passive foreign investment companies and total return swaps.
The tax character of distributions paid during the year ended December 31, 2016, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Emerging Markets Equity Index Fund | $ | 7,559,097 | $ | 847,053 | $ | – | $ | 8,406,150 |
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
The tax character of distributions paid during the year ended December 31, 2015 was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Emerging Markets Equity Index Fund | $ | 400,494 | $ | – | $ | – | $ | 400,494 |
At December 31, 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 Emerging Markets Equity Index Fund | $– | $ | – | $ | – | $ | 22,124,925 | $ | (2,300,741 | ) | $ | 19,824,184 |
* | The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year. |
As of December 31, 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 | $ | 348,481,186 | $ | 38,315,366 | $ | (15,995,627 | ) | $ | 22,319,739 |
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. This agreement expires in October 2017 unless extended or renewed. Prior to October 13, 2016, the participants could borrow up to $360 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR Rate. Prior to October 13, 2016, 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 December 31, 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.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Notes to Financial Statements — (continued)
December 31, 2016
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.
Market and Credit Risk
In the normal course of business, the Fund trades financial instruments and enters into 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.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of State Street Institutional Investment Trust:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of State Street Emerging Markets Equity Index Fund (one of the funds constituting State Street Institutional Investment Trust) (the “Fund”) as of December 31, 2016, and the related statement of operations for the year then ended and the statements 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 Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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 Fund’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 Fund’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 December 31, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers and 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 Emerging Markets Equity Index Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 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
February 27, 2017
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
December 31, 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 July 1, 2016 to December 31, 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 | 0.17 | % | $ | 1,036.50 | $ | 0.87 | $ | 1,024.30 | $ | 0.87 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Tax Information
For federal tax income tax purposes, the following information is furnished with respect to the distributions from the Fund for the fiscal year ended December 31, 2016.
Percentage of distributions which qualify for the corporate dividends received deduction was 0.02%.
Qualified Dividend Income
A portion of dividends distributed by the Fund during the fiscal year ended December 31, 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 amounted to $3,901,859.
Long term capital gains dividends amounting to $847,053 were paid from the Fund during the year ended December 31, 2016.
Foreign Tax Credit
The Fund has made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Fund to its shareholders. For the year ended December 31, 2016, the total amount of foreign taxes that will be passed through is $540,986.
The amount of foreign source income earned on the Fund during the year ended December 31, 2016 was $7,304,566.
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Proxy Voting Policies and Procedures
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 is contained in the Fund’s Statement of Additional Information, which is available (i) without charge, upon request, by calling the Fund at 1-877-997-7327, (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 Fund 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 1-877-997-7327 (toll free), or (2) on the website of the Securities and Exchange Commission (“SEC”) at www.sec.gov.
Quarterly Portfolio Schedule
The Fund files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year on Form N-Q. The Fund’s Forms N-Q are available on the SEC’s website at www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, DC. Information on the operation of the Public Reference Room may be obtained by calling 1-800-SEC-0330. The information on Form N-Q is available upon request, without charge, by calling 1-877-997-7327 (toll-free).
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||
William L. Boyan(1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. |
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 | ||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 |
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | ||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 |
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||||
Interested Trustee(2) | ||||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held | Term of Office and Length of | Principal Occupation During Past Five Years | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | 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).* |
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State Street Institutional Investment Trust
State Street Emerging Markets Equity Index Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office and Length of | Principal Occupation During Past Five Years | |||
Officers: (continued) | ||||||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about the Fund’s directors and is available, without charge, upon request and by calling 1-800-997-7327.
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Trustees
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Michael A. Jessee
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 | SSIITEMAR IBG-22831 |
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
Annual Report
31 December 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 1-800-997-7327 or visiting www.ssgafunds.com. Please read the prospectus carefully before investing in the Fund.
Table of Contents
State Street Institutional Investment Trust
Annual Report
December 31, 2016
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10 | ||||
11 | ||||
State Street Disciplined International Equity Fund | ||||
State Street Disciplined U.S. Equity Fund | ||||
14 | ||||
16 | ||||
17 | ||||
18 | ||||
19 | ||||
27 | ||||
28 |
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 Disciplined International Equity Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Disciplined International Equity Fund (the “Fund”) seeks to provide long-term capital growth. The Fund’s benchmark is the MSCI EAFE Net Dividend Index (the “Index”).
For the period from February 18, 2016 (inception) through December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class I shares was 3.39%, and the Index was 10.27% (Net). The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses, which would have a negative impact on returns.
The Fund was incepted midway through the first quarter of 2016, coinciding with significant uncertainty and volatility in the international equity markets. The Fund’s strategy to seek to favor securities with low security-specific risk provided some downside protection during February. Performance during the month was driven by lower beta, higher quality stocks coupled with larger active weights in the defensive sectors. However, during March, market sentiment increased sharply as positive economic data and verbal support from global central banks improved investor confidence. The recovery of commodity prices continued through March with a significant increase in risk appetite which hurt performance as the Fund’s portfolio favored stocks with relatively reasonable valuations and robust free cash flow that were not rewarded by the market.
International equity markets faced another set of challenges during the second quarter of 2016 as optimism on the commodity led reflation trade reversed dramatically in late June as the Brexit vote (Britain’s vote in favor of the United Kingdom withdrawing from the European Union) renewed broader economic concerns. The Fund’s defensive posture hurt performance during April and May but was a benefit in June as positive value was added due to substantial underweights in the financials and consumer discretionary sectors as compared to the Index.
Across the developed world, mixed economic releases pointed to a continuation of muddling through, thus alleviating the Brexit concerns that dominated the market during the second quarter. The securities of companies from certain countries that were sold off during the second quarter saw a rather strong recovery during the third quarter. The Fund’s strategy designed for lower risk positioning faced a strong headwind on performance as the market reverted to favoring higher risk and higher beta securities. Rising interest rate concerns drove negative allocation effect from the Fund’s overweight of the utilities sector as compared to the Index. The same rate dynamic caused a significant lag in performance from the underweight of the financials sector and lower exposure to bank stocks versus the Index. Also, diminishing risk aversion saw investors rotating into riskier technology names at the expense of the more defensive health care and consumer staple stocks that the Fund owned.
Portfolio positioning into the fourth quarter of 2016 continued to reflect the long-term challenges in the global economic recovery, with low allocations to the cyclical industries and the financial sector.
However, international equity investors accelerated their rotation into cyclicals after the U.S. elections. The Fund was negatively affected by the performance of the financials sector as this segment of the market rallied heavily on a more hawkish rate outlook and a sharp steepening in yield curves. In addition, lower allocations to energy companies and an emphasis on telecommunication services hurt overall Fund performance for the quarter.
In summary, the “risk on” rally which was sustained through the second half of the year benefitted pro-cyclical, higher beta equities which negatively impacted Fund performance as the Fund was more defensively positioned.
1
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
On an individual security level, the top positive contributors to the Fund’s performance were Konami Holdings Corp., Sika AG-BR, and Actelion Ltd.-Reg. The top negative contributors to the Fund’s performance were Eutelsat Communications, Associated British Foods Plc, and Taisho Pharmaceutical Holdings.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
2
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
Performance Summary (Unaudited)
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Period Ended December 31, 2016
Cumulative Total Return Inception to Date December 31, 2016* | ||||
State Street Disciplined International Equity Fund Class I | 3.39 | % | ||
MSCI EAFE Net Dividend Index(b) | 10.27 | % |
* | Inception date is February 18, 2016. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The MSCI EAFE Net Dividend Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 21 developed market country indexes: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. Index returns are net of dividend withholding taxes. |
Line graph is based on cumulative total return. |
3
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2016 | |||
Common Stocks | 101.8 | % | ||
Liabilities in Excess of Other Assets | (1.8 | ) | ||
Total | 100.0 | % |
Sector Breakdown* | December 31, 2016 | |||
Pharmaceuticals | 10.7 | % | ||
Diversified Telecommunication Services | 6.9 | |||
Real Estate Management & Development | 6.1 | |||
Food Products | 5.4 | |||
Construction & Engineering | 5.2 | |||
Food & Staples Retailing | 5.0 | |||
Health Care Equipment & Supplies | 4.6 | |||
Health Care Providers & Services | 4.0 | |||
Electric Utilities | 3.8 | |||
Banks | 3.6 | |||
Chemicals | 3.5 | |||
Real Estate Investment Trusts (REITs) | 3.5 | |||
Insurance | 3.3 | |||
Road & Rail | 2.8 | |||
Airlines | 2.5 | |||
Industrial Conglomerates | 2.4 | |||
Technology Hardware, Storage & Peripherals | 2.2 | |||
Multi-Utilities | 2.1 | |||
Electrical Equipment | 1.9 | |||
Media | 1.9 | |||
Air Freight & Logistics | 1.4 | |||
Building Products | 1.4 | |||
Professional Services | 1.4 | |||
Auto Components | 1.3 | |||
Automobiles | 1.3 | |||
Biotechnology | 1.3 | |||
Household Durables | 1.3 | |||
Life Sciences Tools & Services | 1.3 | |||
Paper & Forest Products | 1.3 | |||
Transportation Infrastructure | 1.3 | |||
Household Products | 1.2 | |||
Software | 1.2 | |||
Tobacco | 1.2 | |||
Wireless Telecommunication Services | 1.2 | |||
Beverages | 0.9 | |||
Specialty Retail | 0.9 | |||
Metals & Mining | 0.5 | |||
Liabilities in Excess of Other Assets | (1.8 | ) | ||
Total | 100.0 | % |
* | As a percentage of net assets as of the date indicated. The Fund’s composition will vary over time. |
4
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – 101.8% | ||||||||
Australia – 6.3% | ||||||||
AGL Energy, Ltd. | 2,835 | $ | 45,347 | |||||
CIMIC Group, Ltd. | 1,241 | 31,397 | ||||||
Cochlear, Ltd. | 337 | 29,905 | ||||||
Mirvac Group REIT | 15,771 | 24,324 | ||||||
Qantas Airways, Ltd. | 13,342 | 32,171 | ||||||
Stockland REIT | 7,407 | 24,564 | ||||||
|
| |||||||
187,708 | ||||||||
|
| |||||||
Belgium – 2.2% | ||||||||
Colruyt SA | 693 | 34,358 | ||||||
Proximus SADP | 1,114 | 32,148 | ||||||
|
| |||||||
66,506 | ||||||||
|
| |||||||
Denmark – 1.4% | ||||||||
Danske Bank A/S | 1,394 | 42,357 | ||||||
|
| |||||||
France – 6.1% | ||||||||
Eutelsat Communications SA | 1,178 | 22,856 | ||||||
Gecina SA REIT | 201 | 27,868 | ||||||
Orange SA | 2,190 | 33,343 | ||||||
Peugeot SA(a) | 1,240 | 20,266 | ||||||
Sanofi | 493 | 39,987 | ||||||
Vinci SA | 549 | 37,465 | ||||||
|
| |||||||
181,785 | ||||||||
|
| |||||||
Germany – 7.7% | ||||||||
Deutsche Post AG | 1,259 | 41,478 | ||||||
Fresenius Medical Care AG & Co. KGaA | 445 | 37,760 | ||||||
Fresenius SE & Co. KGaA | 538 | 42,139 | ||||||
METRO AG | 1,312 | 43,709 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 138 | 26,149 | ||||||
OSRAM Licht AG | 751 | 39,467 | ||||||
|
| |||||||
230,702 | ||||||||
|
| |||||||
Hong Kong – 12.8% | ||||||||
BOC Hong Kong Holdings, Ltd. | 6,500 | 23,265 | ||||||
CK Hutchison Holdings, Ltd. | 3,000 | 34,012 | ||||||
CLP Holdings, Ltd. | 3,500 | 32,164 | ||||||
Hang Seng Bank, Ltd. | 2,200 | 40,946 | ||||||
Hongkong Land Holdings, Ltd. | 6,500 | 41,145 | ||||||
Jardine Matheson Holdings, Ltd. | 700 | 38,675 | ||||||
Link REIT | 3,500 | 22,752 | ||||||
Sun Hung Kai Properties, Ltd. | 3,000 | 37,920 | ||||||
Swire Pacific, Ltd. Class A | 4,000 | 38,204 | ||||||
WH Group, Ltd.(b) | 50,500 | 40,839 | ||||||
Wharf Holdings, Ltd. | 5,000 | 33,245 | ||||||
|
| |||||||
383,167 | ||||||||
|
| |||||||
Japan – 27.4% | ||||||||
Asahi Glass Co., Ltd. | 6,000 | 40,948 | ||||||
Asahi Group Holdings, Ltd. | 900 | 28,473 | ||||||
Astellas Pharma, Inc. | 2,700 | 37,583 | ||||||
Bridgestone Corp. | 1,100 | 39,743 | ||||||
Canon, Inc. | 1,300 | 36,726 | ||||||
Central Japan Railway Co. | 200 | 32,975 | ||||||
Chubu Electric Power Co., Inc. | 2,900 | 40,603 | ||||||
Daiichi Sankyo Co., Ltd. | 1,700 | 34,857 | ||||||
Daito Trust Construction Co., Ltd. | 200 | 30,145 | ||||||
Hoya Corp. | 1,000 | 42,106 | ||||||
Japan Airlines Co., Ltd. | 300 | 8,784 | ||||||
Konami Holdings Corp. | 900 | 36,421 | ||||||
Kuraray Co., Ltd. | 1,600 | 24,089 | ||||||
MEIJI Holdings Co., Ltd. | 200 | 15,707 | ||||||
Mitsubishi Tanabe Pharma Corp. | 2,100 | 41,285 | ||||||
Nikon Corp. | 2,500 | 38,946 | ||||||
Nippon Telegraph & Telephone Corp. | 900 | 37,903 | ||||||
NTT DOCOMO, Inc. | 1,600 | 36,531 | ||||||
Seiko Epson Corp. | 1,400 | 29,708 | ||||||
Shionogi & Co., Ltd. | 700 | 33,603 | ||||||
Sumitomo Chemical Co., Ltd. | 9,000 | 42,903 | ||||||
Suzuken Co., Ltd. | 1,200 | 39,302 | ||||||
Suzuki Motor Corp. | 500 | 17,636 | ||||||
Taisho Pharmaceutical Holdings Co., Ltd. | 400 | 33,266 | ||||||
Tokyu Corp. | 3,000 | 22,095 | ||||||
|
| |||||||
822,338 | ||||||||
|
| |||||||
Netherlands – 2.1% | ||||||||
Koninklijke Ahold Delhaize NV | 1,609 | 33,993 | ||||||
Koninklijke KPN NV | 9,585 | 28,449 | ||||||
|
| |||||||
62,442 | ||||||||
|
| |||||||
Norway – 2.6% | ||||||||
Orkla ASA | 4,606 | 41,845 | ||||||
Telenor ASA | 2,336 | 35,009 | ||||||
|
| |||||||
76,854 | ||||||||
|
| |||||||
Singapore – 4.9% | ||||||||
CapitaLand Commercial Trust | 9,800 | 10,039 | ||||||
ComfortDelGro Corp., Ltd. | 17,500 | 29,920 | ||||||
Singapore Airlines, Ltd. | 4,700 | 31,459 | ||||||
Singapore Press Holdings, Ltd. | 13,900 | 33,964 | ||||||
Wilmar International, Ltd. | 17,000 | 42,244 | ||||||
|
| |||||||
147,626 | ||||||||
|
| |||||||
South Africa – 1.3% | ||||||||
Mondi PLC | 1,925 | 39,628 | ||||||
|
| |||||||
Spain – 3.9% | ||||||||
ACS Actividades de Construccion y Servicios SA | 1,250 | 39,580 | ||||||
Aena SA(b) | 279 | 38,153 | ||||||
Endesa SA | 1,796 | 38,123 | ||||||
|
| |||||||
115,856 | ||||||||
|
| |||||||
Sweden – 3.2% | ||||||||
Boliden AB | 609 | 15,948 | ||||||
Skanska AB Class B | 1,892 | 44,798 | ||||||
Swedish Match AB | 1,085 | 34,611 | ||||||
|
| |||||||
95,357 | ||||||||
|
| |||||||
Switzerland – 12.6% | ||||||||
ABB, Ltd.(a) | 828 | 17,499 | ||||||
Actelion, Ltd.(a) | 179 | 38,835 | ||||||
Adecco Group AG | 641 | 42,035 | ||||||
Lonza Group AG(a) | 227 | 39,376 | ||||||
Nestle SA | 316 | 22,712 | ||||||
Novartis AG | 404 | 29,455 | ||||||
Roche Holding AG | 150 | 34,329 | ||||||
Sika AG | 8 | 38,506 | ||||||
Sonova Holding AG | 320 | 38,853 | ||||||
Swiss Re AG | 418 | 39,688 |
See accompanying notes to financial statements.
5
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Switzerland – (continued) | ||||||||
Swisscom AG | 78 | $ | 35,004 | |||||
|
| |||||||
376,292 | ||||||||
|
| |||||||
United Kingdom – 7.3% | ||||||||
Direct Line Insurance Group PLC | 7,160 | 32,682 | ||||||
GlaxoSmithKline PLC | 1,848 | 35,668 | ||||||
Kingfisher PLC | 6,474 | 28,022 | ||||||
National Grid PLC | 1,409 | 16,568 | ||||||
Reckitt Benckiser Group PLC | 409 | 34,800 | ||||||
Smith & Nephew PLC | 1,877 | 28,319 | ||||||
Wm Morrison Supermarkets PLC | 14,697 | 41,896 | ||||||
|
| |||||||
217,955 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 3,046,573 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.8% |
| 3,046,573 | ||||||
Liabilities in Excess of Other |
| (52,463 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 2,994,110 | |||||
|
|
(a) | Non-income producing security. |
(b) | Securities purchased pursuant to Rule 144A of the Securities Act of 1933. These securities, which represent 2.6% of net assets as of December 31, 2016, are considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
REIT | Real Estate Investment Trust |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 187,708 | $ | – | $ | – | $ | 187,708 | ||||||||
Belgium | 66,506 | – | – | 66,506 | ||||||||||||
Denmark | 42,357 | – | – | 42,357 | ||||||||||||
France | 181,785 | – | – | 181,785 | ||||||||||||
Germany | 230,702 | – | – | 230,702 | ||||||||||||
Hong Kong | 383,167 | – | – | 383,167 | ||||||||||||
Japan | 822,338 | – | – | 822,338 | ||||||||||||
Netherlands | 62,442 | – | – | 62,442 | ||||||||||||
Norway | 76,854 | – | – | 76,854 | ||||||||||||
Singapore | 147,626 | – | – | 147,626 | ||||||||||||
South Africa | 39,628 | – | – | 39,628 | ||||||||||||
Spain | 115,856 | – | – | 115,856 | ||||||||||||
Sweden | 95,357 | – | – | 95,357 | ||||||||||||
Switzerland | 376,292 | – | – | 376,292 | ||||||||||||
United Kingdom | 217,955 | – | – | 217,955 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,046,573 | $ | – | $ | – | $ | 3,046,573 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
6
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined International Equity Fund
Schedule of Investments — (continued)
December 31, 2016
Affiliate Table
Number of shares held at 2/19/16* | Value at 2/19/16* | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | – | $ | – | 3,163,490 | 3,163,490 | – | $ | – | $ | 153 | $ | – | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | – | 50,502 | 50,502 | – | – | 17 | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | – | $ | – | $ | 170 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations. |
See accompanying notes to financial statements.
7
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
MANAGEMENT’S DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Disciplined U.S. Equity Fund (the “Fund”) seeks to provide long-term capital growth. The Fund’s benchmark is the Russell 1000 Index (the “Index”).
For the period from February 18, 2016 (inception) through December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class I shares was 14.07%, and the Index was 19.71%. The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses of any kind, which would have a negative impact on returns.
The Fund was incepted midway through the first quarter of 2016, coinciding relatively closely with a sharp upturn in U.S. large cap markets through the month of March. The Fund’s strategy to seek to favor securities with low security-specific risk was challenged as a result in March. Underperformance this month was driven by the portfolio’s exposure to lower beta, higher quality stocks coupled with larger active weights in the defensive sectors.
Additionally, the Fund’s performance was challenged over the second and third quarters of 2016. More specifically, the Fund’s strategy designed for lower risk positioning faced a strong headwind on performance as the market reverted to favoring higher risk and higher beta securities. This was particularly evident in early April as well as over the third quarter of 2016 following the risk-on environment subsequent to the initial shock from the surprise results of the UK “Brexit” referendum. Investor risk appetites largely accelerated over this period with technology, financials and materials being the top overall performing sectors.
Portfolio positioning into the fourth quarter of 2016 continued to reflect the long-term challenges and political uncertainty facing the U.S. economy. Lower weight positions to financial companies detracted from performance relative to the Index as this segment of the market rallied heavily on a more hawkish rate outlook and a steepening in yield curves. In addition, higher allocations to health care and utility companies caused additional detractions to performance relative to the Index. In summary, the “risk on” rally which was sustained through the second half of the year benefitted pro-cyclical, higher beta equities which negatively impacted Fund performance as the Fund was more defensively positioned.
Comparing the Fund’s performance to that of the Index at the individual stock level, security selection within the financial sector was challenged over the Reporting Period. More specifically, an underweight position to Bank of America Corp., relative to the Index, negatively impacted performance against the Index during the Reporting Period. Shares of the U.S. bank returned 83.3% over the Reporting Period and were particularly strong over the fourth quarter of 2016 after the bank released favorable financial results for the third quarter of 2016, which included earnings outpacing estimates, while additionally benefiting from results of the U.S. election in November. On the positive side over the Reporting Period, security selection was favorable within the technology sector. More specifically, an overweighting to Computer Sciences Corp. positively impacted performance relative to the Index over the Reporting Period as the company’s shares increased significantly and were particularly strong in late May following the announcement of fourth quarter of 2016 financial results and that the company was merging with Hewlett Packard’s Enterprise Services segment.
On an individual security level, top positive contributors to the Fund’s performance were Computer Sciences Corp, F5 Networks Inc. and Texas Instruments Inc. The top negative contributors to the Fund’s performance were HCA Holdings Inc., Kroger CO and Cardinal Health INC.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
8
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
Performance Summary (Unaudited)
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Period Ended December 31, 2016
Cumulative Total Return Inception to Date December 31, 2016* | ||||
State Street Disciplined U.S. Equity Fund Class I | 14.07 | % | ||
Russell 1000 Index(b) | 19.71 | % |
* | Inception date is February 18, 2016. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The Russell 1000® Index measures the performance of the large-cap segment of the U.S. equity universe. It is a subset of the Russell 3000® Index and includes approximately 1,000 of the largest securities based on a combination of their market cap and current index membership. The Russell 1000 Index represents approximately 90% of the U.S. market. Index returns are net of dividend withholding taxes. |
Line graph is based on cumulative total return. |
9
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2016 | |||
Common Stocks | 101.2 | % | ||
Short-Term Investment | 0.6 | |||
Liabilities in Excess of Other Assets | (1.8 | ) | ||
Total | 100.0 | % |
Sector Breakdown* | December 31, 2016 | |||
Electric Utilities | 10.9 | % | ||
Food Products | 6.5 | |||
Insurance | 6.5 | |||
Health Care Providers & Services | 5.5 | |||
Aerospace & Defense | 5.1 | |||
Pharmaceuticals | 5.0 | |||
Health Care Equipment & Supplies | 4.8 | |||
Semiconductors & Semiconductor Equipment | 4.3 | |||
Specialty Retail | 4.3 | |||
Banks | 3.5 | |||
Real Estate Investment Trusts (REITs) | 3.0 | |||
Diversified Telecommunication Services | 2.7 | |||
Household Products | 2.7 | |||
Food & Staples Retailing | 2.5 | |||
IT Services | 2.5 | |||
Hotels, Restaurants & Leisure | 2.4 | |||
Technology Hardware, Storage & Peripherals | 2.4 | |||
Life Sciences Tools & Services | 2.3 | |||
Communications Equipment | 2.2 | |||
Tobacco | 1.7 | |||
Internet Software & Services | 1.6 | |||
Chemicals | 1.5 | |||
Commercial Services & Supplies | 1.5 | |||
Air Freight & Logistics | 1.4 | |||
Diversified Financial Services | 1.4 | |||
Media | 1.4 | |||
Software | 1.3 | |||
Airlines | 1.2 | |||
Beverages | 1.2 | |||
Multi-Utilities | 1.2 | |||
Multiline Retail | 1.2 | |||
Metals & Mining | 1.1 | |||
Biotechnology | 1.0 | |||
Consumer Finance | 1.0 | |||
Oil, Gas & Consumable Fuels | 0.9 | |||
Electronic Equipment, Instruments & Components | 0.8 | |||
Capital Markets | 0.7 | |||
Short-Term Investment | 0.6 | |||
Liabilities in Excess of Other Assets | (1.8 | ) | ||
Total | 100.0 | % |
* | As a percentage of net assets as of the date indicated. The Fund’s composition will vary over time. |
10
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – 101.2% | ||||||||
Aerospace & Defense – 5.1% | ||||||||
General Dynamics Corp. | 293 | $ | 50,589 | |||||
Huntington Ingalls Industries, Inc. | 189 | 34,812 | ||||||
Northrop Grumman Corp. | 146 | 33,957 | ||||||
Spirit AeroSystems Holdings, Inc. Class A | 910 | 53,099 | ||||||
|
| |||||||
172,457 | ||||||||
|
| |||||||
Air Freight & Logistics – 1.4% | ||||||||
United Parcel Service, Inc. Class B | 403 | 46,200 | ||||||
|
| |||||||
Airlines – 1.2% | ||||||||
Delta Air Lines, Inc. | 798 | 39,254 | ||||||
|
| |||||||
Banks – 3.5% | ||||||||
Citigroup, Inc. | 546 | 32,449 | ||||||
JPMorgan Chase & Co. | 681 | 58,763 | ||||||
US Bancorp | 503 | 25,839 | ||||||
|
| |||||||
117,051 | ||||||||
|
| |||||||
Beverages – 1.2% | ||||||||
PepsiCo, Inc. | 383 | 40,073 | ||||||
|
| |||||||
Biotechnology – 1.0% | ||||||||
Amgen, Inc. | 230 | 33,628 | ||||||
|
| |||||||
Capital Markets – 0.7% | ||||||||
Morgan Stanley | 589 | 24,885 | ||||||
|
| |||||||
Chemicals – 1.5% | ||||||||
Dow Chemical Co. | 856 | 48,980 | ||||||
|
| |||||||
Commercial Services & Supplies – 1.5% | ||||||||
Waste Management, Inc. | 699 | 49,566 | ||||||
|
| |||||||
Communications Equipment – 2.2% | ||||||||
Cisco Systems, Inc. | 1,587 | 47,959 | ||||||
Motorola Solutions, Inc. | 316 | 26,193 | ||||||
|
| |||||||
74,152 | ||||||||
|
| |||||||
Consumer Finance – 1.0% | ||||||||
Ally Financial, Inc. | 1,793 | 34,103 | ||||||
|
| |||||||
Diversified Financial Services – 1.4% | ||||||||
Berkshire Hathaway, Inc. Class B(a) | 290 | 47,264 | ||||||
|
| |||||||
Diversified Telecommunication Services – 2.7% |
| |||||||
AT&T, Inc. | 867 | 36,874 | ||||||
Verizon Communications, Inc. | 1,024 | 54,661 | ||||||
|
| |||||||
91,535 | ||||||||
|
| |||||||
Electric Utilities – 10.9% | ||||||||
American Electric Power Co., Inc. | 644 | 40,546 | ||||||
Edison International | 618 | 44,490 | ||||||
Entergy Corp. | 528 | 38,792 | ||||||
Exelon Corp. | 1,325 | 47,024 | ||||||
FirstEnergy Corp. | 1,125 | 34,841 | ||||||
PG&E Corp. | 704 | 42,782 | ||||||
Pinnacle West Capital Corp. | 574 | 44,789 | ||||||
PPL Corp. | 1,059 | 36,059 | ||||||
Southern Co. | 728 | 35,811 | ||||||
|
| |||||||
365,134 | ||||||||
|
| |||||||
Electronic Equipment, Instruments & Components – 0.8% |
| |||||||
Corning, Inc. | 1,083 | 26,285 | ||||||
|
| |||||||
Food & Staples Retailing – 2.5% | ||||||||
Kroger Co. | 944 | 32,577 | ||||||
Wal-Mart Stores, Inc. | 741 | 51,218 | ||||||
|
| |||||||
83,795 | ||||||||
|
| |||||||
Food Products – 6.5% | ||||||||
Archer-Daniels-Midland Co. | 1,140 | 52,041 | ||||||
Bunge, Ltd. | 610 | 44,067 | ||||||
Ingredion, Inc. | 420 | 52,483 | ||||||
J.M. Smucker Co. | 212 | 27,149 | ||||||
Tyson Foods, Inc. Class A | 696 | 42,929 | ||||||
|
| |||||||
218,669 | ||||||||
|
| |||||||
Health Care Equipment & Supplies – 4.8% |
| |||||||
Baxter International, Inc. | 1,030 | 45,670 | ||||||
C.R. Bard, Inc. | 166 | 37,294 | ||||||
Hologic, Inc.(a) | 1,069 | 42,888 | ||||||
Intuitive Surgical, Inc.(a) | 54 | 34,245 | ||||||
|
| |||||||
160,097 | ||||||||
|
| |||||||
Health Care Providers & Services – 5.5% |
| |||||||
Cardinal Health, Inc. | 437 | 31,451 | ||||||
Express Scripts Holding Co.(a) | 489 | 33,638 | ||||||
HCA Holdings, Inc.(a) | 539 | 39,897 | ||||||
McKesson Corp. | 120 | 16,854 | ||||||
Quest Diagnostics, Inc. | 298 | 27,386 | ||||||
UnitedHealth Group, Inc. | 218 | 34,889 | ||||||
|
| |||||||
184,115 | ||||||||
|
| |||||||
Hotels, Restaurants & Leisure – 2.4% | ||||||||
Carnival Corp. | 749 | 38,993 | ||||||
Darden Restaurants, Inc. | 570 | 41,450 | ||||||
|
| |||||||
80,443 | ||||||||
|
| |||||||
Household Products – 2.7% | ||||||||
Colgate-Palmolive Co. | 583 | 38,152 | ||||||
Procter & Gamble Co. | 637 | 53,559 | ||||||
|
| |||||||
91,711 | ||||||||
|
| |||||||
Insurance – 6.5% | ||||||||
Allstate Corp. | 730 | 54,108 | ||||||
American International Group, Inc. | 589 | 38,468 | ||||||
Everest Re Group, Ltd. | 214 | 46,310 | ||||||
Principal Financial Group, Inc. | 289 | 16,721 | ||||||
Prudential Financial, Inc. | 247 | 25,703 | ||||||
Travelers Cos., Inc. | 308 | 37,705 | ||||||
|
| |||||||
219,015 | ||||||||
|
| |||||||
Internet Software & Services – 1.6% | ||||||||
eBay, Inc.(a) | 1,766 | 52,433 | ||||||
|
| |||||||
IT Services – 2.5% | ||||||||
Accenture PLC Class A | 283 | 33,148 | ||||||
International Business Machines Corp. | 296 | 49,133 | ||||||
|
| |||||||
82,281 | ||||||||
|
| |||||||
Life Sciences Tools & Services – 2.3% | ||||||||
Agilent Technologies, Inc. | 1,036 | 47,200 | ||||||
Thermo Fisher Scientific, Inc. | 209 | 29,490 | ||||||
|
| |||||||
76,690 | ||||||||
|
| |||||||
Media – 1.4% | ||||||||
Comcast Corp. Class A | 668 | 46,125 | ||||||
|
|
See accompanying notes to financial statements.
11
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
Schedule of Investments — (continued)
December 31, 2016
Security Description | Shares | Value | ||||||
COMMON STOCKS – (continued) |
| |||||||
Metals & Mining – 1.1% | ||||||||
Reliance Steel & Aluminum Co. | 456 | $ | 36,270 | |||||
|
| |||||||
Multi-Utilities – 1.2% | ||||||||
Public Service Enterprise Group, Inc. | 926 | 40,633 | ||||||
|
| |||||||
Multiline Retail – 1.2% | ||||||||
Target Corp. | 541 | 39,077 | ||||||
|
| |||||||
Oil, Gas & Consumable Fuels – 0.9% | ||||||||
Valero Energy Corp. | 441 | 30,129 | ||||||
|
| |||||||
Pharmaceuticals – 5.0% | ||||||||
Eli Lilly & Co. | 511 | 37,584 | ||||||
Johnson & Johnson | 448 | 51,614 | ||||||
Merck & Co., Inc. | 712 | 41,916 | ||||||
Pfizer, Inc. | 1,163 | 37,774 | ||||||
|
| |||||||
168,888 | ||||||||
|
| |||||||
Real Estate Investment Trusts (REITs) – 3.0% |
| |||||||
AGNC Investment Corp. REIT | 1,646 | 29,842 | ||||||
Annaly Capital Management, Inc. | 4,092 | 40,797 | ||||||
Gaming and Leisure Properties, Inc. | 940 | 28,783 | ||||||
|
| |||||||
99,422 | ||||||||
|
| |||||||
Semiconductors & Semiconductor Equipment – 4.3% |
| |||||||
Intel Corp. | 1,224 | 44,394 | ||||||
Texas Instruments, Inc. | 731 | 53,341 | ||||||
Xilinx, Inc. | 777 | 46,908 | ||||||
|
| |||||||
144,643 | ||||||||
|
| |||||||
Software – 1.3% | ||||||||
Microsoft Corp. | 704 | 43,747 | ||||||
|
| |||||||
Specialty Retail – 4.3% | ||||||||
Best Buy Co., Inc. | 642 | 27,394 | ||||||
Foot Locker, Inc. | 575 | 40,762 | ||||||
Lowe’s Cos., Inc. | 536 | 38,120 | ||||||
Staples, Inc. | 4,141 | 37,476 | ||||||
|
| |||||||
143,752 | ||||||||
|
| |||||||
Technology Hardware, Storage & Peripherals – 2.4% |
| |||||||
Apple, Inc. | 499 | 57,794 | ||||||
HP, Inc. | 1,613 | 23,937 | ||||||
|
| |||||||
81,731 | ||||||||
|
| |||||||
Tobacco – 1.7% | ||||||||
Altria Group, Inc. | 820 | 55,448 | ||||||
|
| |||||||
TOTAL COMMON STOCKS |
| 3,389,681 | ||||||
|
| |||||||
SHORT-TERM INVESTMENT – 0.6% |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42%(b)(c) | 20,233 | 20,233 | ||||||
|
| |||||||
TOTAL INVESTMENTS – 101.8% |
| 3,409,914 | ||||||
Liabilities in Excess of Other |
| (61,416 | ) | |||||
|
| |||||||
NET ASSETS – 100.0% |
| $ | 3,348,498 | |||||
|
|
(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 December 31, 2016 are shown in the Affiliate Table below. |
(c) | The rate shown is the annualized seven-day yield at December 31, 2016. |
REIT | Real Estate Investment Trust |
The following table summarizes the value of the Fund’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Aerospace & Defense | $ | 172,457 | $ | – | $ | – | $ | 172,457 | ||||||||
Air Freight & Logistics | 46,200 | – | – | 46,200 | ||||||||||||
Airlines | 39,254 | – | – | 39,254 | ||||||||||||
Banks | 117,051 | – | – | 117,051 | ||||||||||||
Beverages | 40,073 | – | – | 40,073 | ||||||||||||
Biotechnology | 33,628 | – | – | 33,628 | ||||||||||||
Capital Markets | 24,885 | – | – | 24,885 | ||||||||||||
Chemicals | 48,980 | – | – | 48,980 | ||||||||||||
Commercial Services & Supplies | 49,566 | – | – | 49,566 | ||||||||||||
Communications Equipment | 74,152 | – | – | 74,152 | ||||||||||||
Consumer Finance | 34,103 | – | – | 34,103 | ||||||||||||
Diversified Financial Services | 47,264 | – | – | 47,264 | ||||||||||||
Diversified Telecommunication Services | 91,535 | – | – | 91,535 | ||||||||||||
Electric Utilities | 365,134 | – | – | 365,134 |
See accompanying notes to financial statements.
12
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined U.S. Equity Fund
Schedule of Investments — (continued)
December 31, 2016
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Electronic Equipment, Instruments & Components | $ | 26,285 | $ | – | $ | – | $ | 26,285 | ||||||||
Food & Staples Retailing | 83,795 | – | – | 83,795 | ||||||||||||
Food Products | 218,669 | – | – | 218,669 | ||||||||||||
Health Care Equipment & Supplies | 160,097 | – | – | 160,097 | ||||||||||||
Health Care Providers & Services | 184,115 | – | – | 184,115 | ||||||||||||
Hotels, Restaurants & Leisure | 80,443 | – | – | 80,443 | ||||||||||||
Household Products | 91,711 | – | – | 91,711 | ||||||||||||
Insurance | 219,015 | – | – | 219,015 | ||||||||||||
Internet Software & Services | 52,433 | – | – | 52,433 | ||||||||||||
IT Services | 82,281 | – | – | 82,281 | ||||||||||||
Life Sciences Tools & Services | 76,690 | – | – | 76,690 | ||||||||||||
Media | 46,125 | – | – | 46,125 | ||||||||||||
Metals & Mining | 36,270 | – | – | 36,270 | ||||||||||||
Multi-Utilities | 40,633 | – | – | 40,633 | ||||||||||||
Multiline Retail | 39,077 | – | – | 39,077 | ||||||||||||
Oil, Gas & Consumable Fuels | 30,129 | – | – | 30,129 | ||||||||||||
Pharmaceuticals | 168,888 | – | – | 168,888 | ||||||||||||
Real Estate Investment Trusts (REITs) | 99,422 | – | – | 99,422 | ||||||||||||
Semiconductors & Semiconductor Equipment | 144,643 | – | – | 144,643 | ||||||||||||
Software | 43,747 | – | – | 43,747 | ||||||||||||
Specialty Retail | 143,752 | – | – | 143,752 | ||||||||||||
Technology Hardware, Storage & Peripherals | 81,731 | – | – | 81,731 | ||||||||||||
Tobacco | 55,448 | – | – | 55,448 | ||||||||||||
Short-Term Investment | 20,233 | – | – | 20,233 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | 3,409,914 | $ | – | $ | – | $ | 3,409,914 | ||||||||
|
|
|
|
|
|
|
|
Affiliate Table
Number of shares held at 2/19/16* | Value at 2/19/16* | Shares purchased | Shares sold | Number of shares held at 12/31/16 | Value at 12/31/16 | Dividend income | Realized gain (loss) | |||||||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | – | $ | – | 99,055 | 78,822 | 20,233 | $ | 20,233 | $ | 247 | $ | – | ||||||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||||||||||||||
Total | $ | – | $ | 20,233 | $ | 247 | $ | – | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
* | Commencement of operations. |
See accompanying notes to financial statements.
13
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities
December 31, 2016
State Street Disciplined International Equity Fund | State Street Disciplined U.S. Equity Fund | |||||||
Assets |
| |||||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 3,046,573 | $ | 3,389,681 | ||||
Investments in affiliated issuers, at value (Note 2) | – | 20,233 | ||||||
|
|
|
| |||||
Total investments | 3,046,573 | 3,409,914 | ||||||
Foreign currency, at value | 720 | – | ||||||
Receivable for investments sold | 47,849 | – | ||||||
Dividends receivable – unaffiliated issuers (Note 2) | 4,677 | 7,097 | ||||||
Dividends receivable – affiliated issuers (Note 2) | 7 | 15 | ||||||
Receivable for foreign taxes recoverable | 2,851 | – | ||||||
Prepaid expenses and other assets | 11 | 11 | ||||||
|
|
|
| |||||
Total assets | 3,102,688 | 3,417,037 | ||||||
|
|
|
| |||||
Liabilities |
| |||||||
Due to custodian (Note 3) | 39,691 | – | ||||||
Due to adviser (Note3) | 22,308 | 25,193 | ||||||
Advisory fee payable (Note 3) | 2,189 | 1,876 | ||||||
Custodian fees payable (Note 3) | 2,688 | 1,658 | ||||||
Administration fees payable (Note 3) | 129 | 144 | ||||||
Transfer agent fees payable (Note 3) | 5,878 | 5,878 | ||||||
Registration and filing fees payable | 4,733 | 4,735 | ||||||
Professional fees payable | 27,522 | 26,441 | ||||||
Printing and postage fees payable | 1,861 | 1,035 | ||||||
Accrued expenses and other liabilities | 1,579 | 1,579 | ||||||
|
|
|
| |||||
Total liabilities | 108,578 | 68,539 | ||||||
|
|
|
| |||||
Net Assets | $ | 2,994,110 | $ | 3,348,498 | ||||
|
|
|
| |||||
Net Assets Consist of: |
| |||||||
Paid-in Capital | $ | 2,999,387 | $ | 3,000,000 | ||||
Undistributed (distribution in excess of) net investment income (loss) | (4,081 | ) | – | |||||
Accumulated net realized gain (loss) on investments and foreign currency transactions | (17,642 | ) | 67,349 | |||||
Net unrealized appreciation (depreciation) on: | ||||||||
Investments | 16,536 | 281,149 | ||||||
Foreign currency transactions | (90 | ) | – | |||||
|
|
|
| |||||
Net Assets | $ | 2,994,110 | $ | 3,348,498 | ||||
|
|
|
| |||||
Class I |
| |||||||
Net assets | $ | 2,994,110 | $ | 3,348,498 | ||||
Shares outstanding | 300,038 | 300,000 | ||||||
|
|
|
| |||||
Net asset value, offering and redemption price per share | $ | 9.98 | $ | 11.16 | ||||
|
|
|
|
See accompanying notes to financial statements.
14
Table of Contents
State Street Institutional Investment Trust
Statements of Assets and Liabilities — (continued)
December 31, 2016
State Street Disciplined International Equity Fund | State Street Disciplined U.S. Equity Fund | |||||||
Cost of Investments: |
| |||||||
Investments in unaffiliated issuers | $ | 3,030,037 | $ | 3,108,532 | ||||
Investments in affiliated issuers | – | 20,233 | ||||||
|
|
|
| |||||
Total cost of investments | $ | 3,030,037 | $ | 3,128,765 | ||||
|
|
|
| |||||
Foreign currency, at cost | $ | 728 | $ | – | ||||
|
|
|
|
See accompanying notes to financial statements.
15
Table of Contents
State Street Institutional Investment Trust
For the Period Ended December 31, 2016(a)
State Street Disciplined International Equity Fund | State Street Disciplined U.S. Equity Fund | |||||||
Investment Income |
| |||||||
Dividend income – unaffiliated issuers (Note 2) | $ | 100,942 | $ | 72,057 | ||||
Dividend income – affiliated issuers (Note 2) | 170 | 247 | ||||||
Foreign taxes withheld | (10,532 | ) | – | |||||
|
|
|
| |||||
Total Investment Income (loss) | 90,580 | 72,304 | ||||||
|
|
|
| |||||
Expenses |
| |||||||
Advisory fee (Note 3) | 23,102 | 18,400 | ||||||
Administration fees (Note 3) | 1,359 | 1,416 | ||||||
Custodian fees (Note 3) | 30,291 | 15,945 | ||||||
Trustees’ fees and expenses (Note 4) | 14,714 | 14,715 | ||||||
Transfer agent fees (Note 3) | 11,134 | 11,123 | ||||||
Registration and filing fees | 13,139 | 13,141 | ||||||
Professional fees | 37,131 | 36,050 | ||||||
Printing and postage fees | 17,337 | 16,635 | ||||||
Insurance expense | 11 | 11 | ||||||
Miscellaneous expenses | 6,395 | 6,400 | ||||||
|
|
|
| |||||
Total expenses | 154,613 | 133,836 | ||||||
|
|
|
| |||||
Expenses waived/reimbursed by the Adviser (Note 3) | (131,511 | ) | (115,436 | ) | ||||
|
|
|
| |||||
Net expenses | 23,102 | 18,400 | ||||||
|
|
|
| |||||
Net Investment Income (Loss) | 67,478 | 53,904 | ||||||
|
|
|
| |||||
Realized and Unrealized Gain (Loss) |
| |||||||
Net realized gain (loss) on: | ||||||||
Investments – unaffiliated issuers | 17,669 | 88,325 | ||||||
Foreign currency transactions | (1,160 | ) | – | |||||
|
|
|
| |||||
Net realized gain (loss) | 16,509 | 88,325 | ||||||
|
|
|
| |||||
Net change in unrealized appreciation/depreciation on: | ||||||||
Investments – unaffiliated issuers | 16,536 | 281,149 | ||||||
Foreign currency translations | (90 | ) | – | |||||
|
|
|
| |||||
Net change in unrealized appreciation/depreciation | 16,446 | 281,149 | ||||||
|
|
|
| |||||
Net realized and unrealized gain (loss) | 32,955 | 369,474 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Operations | $ | 100,433 | $ | 423,378 | ||||
|
|
|
|
(a) | For the period Feburary 18, 2016 (inception date) through December 31, 2016. |
See accompanying notes to financial statements.
16
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* - 12/31/16 | For the Period 2/18/16* - 12/31/16 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 67,478 | $ | 53,904 | ||||
Net realized gain (loss) | 16,509 | 88,325 | ||||||
Net change in unrealized appreciation/depreciation | 16,446 | 281,149 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 100,433 | 423,378 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | (71,409 | ) | (52,500 | ) | ||||
Net realized gain on investments | (35,314 | ) | (22,380 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (106,723 | ) | (74,880 | ) | ||||
|
|
|
| |||||
From Beneficial Interest Transactions: | ||||||||
Class I | ||||||||
Shares sold | 3,000,400 | 3,000,000 | ||||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 3,000,400 | 3,000,000 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets from Beneficial Interest Transactions | 3,000,400 | 3,000,000 | ||||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 2,994,110 | 3,348,498 | ||||||
|
|
|
| |||||
Net Assets at Beginning of Period | – | – | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 2,994,110 | $ | 3,348,498 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | (4,081 | ) | $ | – | |||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Class I | ||||||||
Shares sold | 300,038 | 300,000 | ||||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 300,038 | 300,000 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
17
Table of Contents
State Street Institutional Investment Trust
Selected data for a share outstanding throughout each period
State Street Disciplined International Equity Fund | State Street Disciplined U.S. Equity Fund | |||||||
Class I | Class I | |||||||
For the Period 2/19/16* - 12/31/16 | For the Period 2/19/16* - 12/31/16 | |||||||
Net asset value, beginning of period | $ | 10.00 | $ | 10.00 | ||||
|
|
|
| |||||
Income (loss) from investment operations |
| |||||||
Net investment income (loss)(a) | 0.22 | 0.18 | ||||||
Net realized and unrealized gain (loss) | 0.12 | 1.23 | ||||||
|
|
|
| |||||
Total from investment operations | 0.34 | 1.41 | ||||||
|
|
|
| |||||
Distributions to shareholders from: |
| |||||||
Net investment income | (0.24 | ) | (0.18 | ) | ||||
Net realized gains | (0.12 | ) | (0.07 | ) | ||||
|
|
|
| |||||
Total distributions | (0.36 | ) | (0.25 | ) | ||||
|
|
|
| |||||
Net asset value, end of period | $ | 9.98 | $ | 11.16 | ||||
|
|
|
| |||||
Total return(b) | 3.39 | %(c) | 14.07 | %(c) | ||||
Ratios and Supplemental Data: |
| |||||||
Net assets, end of period (in 000s) | $ | 2,994 | $ | 3,348 | ||||
Ratios to average net assets: |
| |||||||
Total expenses | 5.69 | %(d) | 4.73 | %(d) | ||||
Net expenses | 0.85 | %(d) | 0.65 | %(d) | ||||
Net investment income (loss) | 2.48 | %(d) | 1.90 | %(d) | ||||
Portfolio turnover rate | 35 | %(c) | 33 | %(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.
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State Street Institutional Investment Trust
December 31, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2016, the Trust consists of thirty-three (33) 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 with no par value. The financial statements herein relate to the following Funds:
Fund | Class | Commencement of Operations | Diversification Classification | |||
State Street Disciplined International Equity Fund | Class A | Not commenced | ||||
Class I | February 19, 2016 | Diversified | ||||
Class K | Not commenced | |||||
State Street Disciplined U.S. Equity Fund | Class A | Not commenced | ||||
Class I | February 19, 2016 | Diversified | ||||
Class K | Not commenced |
The Funds were formed on February 18, 2016.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. Each Fund is an investment company under U.S. GAAP and follows the accounting and reporting guidance applicable to investment companies.
Security Valuation
Each Fund’s investments are valued at fair value each day that the 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 each 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
Notes to Financial Statements — (continued)
December 31, 2016
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. 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. |
• | 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 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 asset or liability; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other 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 December 31, 2016, is disclosed in each Fund’s respective Schedule of Investments.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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 December 31, 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. 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 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.
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 State Street Disciplined International Equity 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 invests. These foreign taxes, if any, are paid by the Fund and are reflected in the Statements of Operations, if applicable. Foreign taxes payable or deferred as of December 31, 2016, if any, are disclosed in the Fund’s Statements of Assets and Liabilities.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
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, 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 December 31, 2016, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $131,511 and $115,436 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 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.
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 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”), an affiliate of the Adviser, 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
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
compensate the Distributor (or others) for services in connection with the distribution of the Funds’ 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 each Fund’s net assets attributable to its Class A shares. As of December 31, 2016, the Funds’ Class A shares have not commenced 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, including securities issued by State Street Corporation, affiliated funds, or entities deemed to be affiliates as a result of the Funds owning more than five percent of the entity’s voting securities or outstanding shares. Amounts relating to these transactions during the period ended December 31, 2016, are disclosed in the Schedules 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 December 31, 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 Holders | Percentage of Affiliated Ownership | ||||
State Street Disciplined International Equity Fund | 1 | 99.98 | % | |||
State Street Disciplined U.S. Equity Fund | 1 | 100.00 | % |
Due to Custodian
In certain circumstances, the Funds may have cash overdrafts with the custodian. The Due to Custodian amount, if any, reflects cash overdrawn with State Street as custodian who is an affiliate of the Funds. As of December 31, 2016, the State Street Disciplined International Equity Fund has a cash overdraft related to distributions.
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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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
5. | Investment Transactions |
Purchases and sales of investments (excluding short term investments) for the period ended December 31, 2016, were as follows:
Purchases | Sales | |||||||
State Street Disciplined International Equity Fund | $ | 4,153,479 | $ | 1,082,508 | ||||
State Street Disciplined U.S. Equity Fund | 4,116,882 | 1,085,409 |
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. Each Fund will not be subject to federal income taxes to the extent it distributes its taxable income, including any net realized capital gains, for each fiscal year. Therefore, no provision for federal income tax is required.
The Funds file federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the Funds’ tax positions taken 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 distribution re-designations, distributions in excess of current earnings, foreign currencies, REITs, and passive foreign investment companies.
The tax character of distributions paid during the period ended December 31, 2016, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Disciplined International Equity Fund | $ | 106,723 | $ | – | $ | – | $ | 106,723 | ||||||||
State Street Disciplined U.S. Equity Fund | 74,880 | – | – | 74,880 |
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
At December 31, 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 International Equity Fund | $ | – | $ | – | $ | – | $ | 12,924 | $ | (18,201 | ) | $ | (5,277 | ) | ||||||||||
State Street Disciplined U.S. Equity Fund | 65,490 | – | 1 | 283,007 | – | 348,498 |
* | The Fund has elected to defer certain qualified late-year losses and recognize such losses in the next taxable year. |
As of December 31, 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 | $ | 3,033,559 | $ | 173,243 | $ | 160,229 | $ | 13,014 | ||||||||
State Street Disciplined U.S. Equity Fund | 3,126,907 | 325,212 | 42,205 | 283,007 |
7. | Line of Credit |
The 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. This agreement expires in October 2017 unless extended or renewed. Prior to October 13, 2016, the Participants could borrow up to $360 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 Disciplined International Equity Fund
State Street Disciplined U.S. Equity 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 13, 2016, interest was 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 December 31, 2016.
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State Street Institutional Investment Trust
Notes to Financial Statements — (continued)
December 31, 2016
8. | Risks |
Concentration of 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 political development may affect the value of the Funds’ investments more than if the Funds 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 State Street Disciplined International Equity 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.
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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State Street Institutional Investment Trust
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of State Street Institutional Investment Trust:
We have audited the accompanying statements of assets and liabilities, including the schedules of investments, of State Street Disciplined International Equity Fund and State Street Disciplined U.S. Equity Fund (collectively, the “Funds”) (two of the funds constituting State Street Institutional Investment Trust) as of December 31, 2016, and the related statements of operations, 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 Funds’ management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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 Funds’ 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 Funds’ 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 December 31, 2016, by correspondence with the custodian and brokers. 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 Disciplined International Equity Fund and State Street Disciplined U.S. Equity Fund (two of the funds constituting State Street Institutional Investment Trust) at December 31, 2016, and the results of their operations, the changes in their net assets and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
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State Street Institutional Investment Trust
December 31, 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 July 1, 2016 to December 31, 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 U.S. Securities and Exchange Commission (the “SEC”) 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 Disciplined International Equity Fund |
| |||||||||||||||||||
Class I | 0.85 | % | $ | 995.10 | $ | 4.26 | $ | 1,020.90 | $ | 4.32 | ||||||||||
State Street Disciplined U.S. Equity Fund |
| |||||||||||||||||||
Class I | 0.65 | 1,043.70 | 3.34 | 1,021.90 | 3.30 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Tax Information
For federal tax income tax purposes, the following information is furnished with respect to the distributions from the Funds for the fiscal year ended December 31, 2016.
Percentage of distributions which qualify for the corporate dividends received deduction:
Percentage | ||||
State Street Disciplined International Equity Fund | 0.02 | % | ||
State Street Disciplined U.S. Equity Fund | 43.91 |
Qualified Dividend Income
A portion of dividends distributed by the Funds during the fiscal year ended December 31, 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 are noted below:
Amount | ||||
State Street Disciplined International Equity Fund | $ | 84,172 | ||
State Street Disciplined U.S. Equity Fund | 63,981 |
Foreign Tax Credit
The Funds have made an election under Internal Revenue Code Section 853 to pass through foreign taxes paid by the Funds to its shareholders. For the year ended December 31, 2016, the total amount of foreign taxes that will be passed through are:
Amount | ||||
State Street Disciplined International Equity Fund | $ | 10,026 |
The amount of foreign source income earned on the following Funds during the year ended December 31, 2016 were as follows:
Amount | ||||
State Street Disciplined International Equity Fund | $ | 100,915 |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 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 1-800-997-7327 (toll free) or (ii) on the website of 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 1-800-997-7327 (toll free) and on the Funds’ website at www.ssgafunds.com.
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 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 (the “Independent Trustees”) cast in-person at a meeting called for the purpose of considering such approval.
Consistent with these requirements, the Independent Trustees on the Board of Trustees (the “Board”) of the State Street Institutional Investment Trust (the “Trust”), met in-person on November 16-17, 2015, with respect to State Street Disciplined International Equity Fund, and on February 15-16, 2016, with respect to State Street Disciplined U.S. Equity Fund, each a new series of the Trust (each, a “New Fund”, and collectively, the “New Funds”), to consider a proposal to approve the investment advisory agreement (the “Advisory Agreement”) with SSGA Funds Management, Inc. (the “Adviser”). The Independent Trustees also discussed the State Street Disciplined International Equity Fund with representatives of the Adviser at their in-person meeting held on August 18-19, 2015 and the State Street Disciplined U.S. Equity Fund at their in-person meeting held on November 16-17, 2015. Prior to voting on the proposal, the Independent Trustees, as well as the Trustees who are “interested persons” of the Adviser, reviewed information furnished by the Adviser and others reasonably necessary to permit the Board to evaluate the proposal fully. The Independent Trustees were separately represented by co-counsel that is independent of the Adviser in connection with their consideration of approval of the Advisory Agreement. The Independent Trustees considered the information provided with respect to the Adviser and other service providers of the New Fund at the in-person meetings of the Board and its committees held in August and November of 2015 as well as at other meetings held throughout the year, which included, among other things, the following:
Information about Fees and Expenses
• | A report prepared by an independent third-party provider of investment company data, which included for each New Fund: |
• | Comparisons of each 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 each New Fund’s contractual and estimated actual management fees to the contractual and actual management fees of comparable mutual funds. |
• | Comparative information regarding fees charged by the Adviser for managing institutional accounts using investment strategies and techniques similar to those used in managing each New Fund, to the extent applicable. |
Information about Portfolio Management
• | Descriptions of the investment management services to be provided by the Adviser to the New Funds as well as such services provided to other funds in the fund complex (the “Other Funds”), including its investment strategies and processes; |
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Other Information — (continued)
December 31, 2016 (Unaudited)
• | 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; |
• | Information concerning the allocation of brokerage and the benefits to be received by the Adviser as a result of brokerage allocation, including information concerning the acquisition of any research through “soft dollar” benefits to be received in connection with each New Fund’s brokerage; and |
• | Information regarding the procedures and processes to be used to value the assets of each New Fund and the assistance to be provided by the Adviser to its affiliates in monitoring the effectiveness of such procedures and processes. |
Information about the Adviser
• | Reports detailing the financial results and condition of the Adviser and its affiliates; |
• | Descriptions of the qualifications, education and experience of the individual investment professionals who will be responsible for managing the New Funds; |
• | A copy of the Code of Ethics adopted by the Adviser, together with information relating to compliance with and the administration of such Code; |
• | A copy of the Adviser’s proxy voting policies and procedures; |
• | Information concerning the resources devoted by the Adviser to overseeing compliance by the New Funds and its service providers, including the Adviser’s record of compliance with investment policies and restrictions and other operating policies of 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 Funds by the Adviser in its role as administrator, and by affiliates of the Adviser, including the custodian, sub-administrator, fund accountant, transfer agent and securities lending agent of the New Funds, and the role of the Adviser in managing the New Funds’ relationship with these affiliated service providers; |
• | The entrepreneurial risk undertaken by the Adviser as sponsor of the New Funds; |
• | Copies of the Advisory Agreement and agreements with other service providers of the New Funds; |
• | Draft responses to the letter dated March 11, 2015 from Joseph P. Barri, LLC (co-counsel along with the law firm of Sullivan & Worcester LLP (together, “Independent Counsel”) to the Independent Trustees reviewed prior to such date by Independent Counsel, requesting specific information regarding the Other Funds, certain of which was applicable to the New Funds, from each of: |
• | The Adviser, with respect to its operations relating to the Other Funds and its approximate profit margins before taxes from such operations for the Other Funds’ last fiscal year; and the |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
relevant operations of other affiliated service providers to the Other Funds, together with their approximate profit margins from such relevant operations for the Other Funds’ last fiscal year; |
• | State Street Bank and Trust Company (“State Street”), the sub-administrator, custodian, transfer agent, securities lending agent, and shareholder services for the Other Funds, with respect to its operations relating to the Other Funds; and |
• | State Street Global Markets, LLC, the principal underwriter and distributor of the shares of the Other Funds (the “Distributor”), with respect to its operations relating to the Other Funds, together with the Other Funds’ related distribution plans and arrangements under SEC Rule 12b-1. |
The Independent Trustees were assisted throughout the contract review process by their independent legal counsel. The Independent Trustees relied upon the advice of such counsel and their own business judgment in determining the material factors to be considered in evaluating the Advisory Agreement, and the weight to be given to each such factor. The conclusions reached with respect to the Advisory Agreement were based on a comprehensive evaluation of all the information provided and not any single factor. Moreover, each Trustee may have placed varying emphasis on particular factors in reaching conclusions with respect to each New Fund.
Results of the Process
Based on a consideration of the foregoing and such other information as deemed relevant, including the factors and conclusions described below, on November 16-17, 2015, the Board, including a majority of the Independent Trustees, voted to approve the Advisory Agreement with respect to the State Street Disciplined International Equity Fund and on February 15-16, 2016, the Board, including a majority of the Independent Trustees, voted to approve the Advisory Agreement with respect to the State Street Disciplined U.S. Equity 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 each New Fund by the Adviser.
The Board considered the Adviser’s management capabilities and investment process with respect to the types of investments to be held by each 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 Funds. The Board evaluated, where relevant, the abilities and experience of such investment personnel in analyzing particular markets, industries and specific issuers of securities in these markets and industries. The Board also took into account the compensation paid to recruit and retain investment personnel, and the time and attention to be devoted to each New Fund by senior management.
The Board reviewed the compliance programs of the Adviser and various affiliated service providers. Among other things, the Board considered compliance and reporting matters relating to personal trading by investment personnel, selective disclosure of portfolio holdings, late trading, frequent trading, portfolio valuation, business continuity, the allocation of investment opportunities and the voting of proxies. The Board also considered the role of the Adviser in monitoring each New Fund’s securities lending activities.
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
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 each New Fund.
Fund Performance
Because each New Fund has not yet commenced operations, the Board noted that they could not draw any conclusions regarding the performance of each New Fund. The Board requested information regarding the performance of other comparable funds or accounts managed by the Adviser and the performance of their respective benchmarks and/or peer groups and noted that there were no such comparable accounts. The Board also noted that it reviews at its regularly scheduled meetings information about the performance of the Other Funds and is generally satisfied with the performance of these Other Funds.
Management Fees and Expenses
The Board reviewed the contractual management fee rate to be payable by each New Fund and the actual management fee rate to be payable by each New Fund, net of waivers. As part of its review, the Board considered each 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 third-party provider of investment company data. The Board also requested information about the comparability of the fees to be charged and the services to be provided to each New Fund by the Adviser to the fees charged and services provided to other clients of the Adviser, including institutional accounts, using a substantially similar investment strategy to the New Fund and noted that there were no such comparable accounts. In addition, the Board considered that the Adviser agreed to waive fees or pay expenses of each New Fund to limit the total expenses borne by the New Fund’s shareholders. Among other information, the Board considered the following expense information in its evaluation of each New Fund:
The Board considered that each New Fund’s contractual management fee was below the median of its Expense Group. The Board also considered that each New Fund’s expected actual management fees and total expenses were each below the medians of their respective Expense Group and Expense Universe.
Profitability
Because the New Funds have not yet commenced operations, the Board noted that they could not draw any conclusions regarding the profitability of the New Funds. The Board, however, reviewed the level of profits realized by the Adviser and its affiliates in providing investment advisory and other services to the Other Funds. The Board considered other direct and indirect benefits received by the Adviser and the affiliated service providers in connection with their relationships with the Other Funds, including the benefits of research services that may be available to the Adviser as a result of securities transactions effected for the Other Funds and other investment advisory clients, together with the ranges of profitability of each of the affiliated service providers with respect to their services to the Other Funds.
The Board concluded that the expected profitability of the Adviser with respect to each New Fund, and the expected profitability range of each of the affiliated service providers with respect to its services to each New Fund, were expected to be reasonable in relation to the services provided.
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
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 Funds, on the other hand, can expect to realize benefits from economies of scale as the New Funds’ 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 Funds in view of the fact that the New Funds had not yet commenced operations. The Board concluded that, in light of the fact that the New Funds have not yet commenced operations, and the comparatively low management fee and expense ratio of each 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 each New Fund to such an extent that the proposed advisory fees should be reduced or that breakpoints in such fees should be implemented for each New Fund at this time.
Conclusions
In reaching its decision to approve the Advisory Agreement, the Board did not identify any single factor as being controlling, but based its recommendation on each of the factors it considered. Each Trustee may have contributed different weight to the various factors. Based upon the materials reviewed, the representations made and the considerations described above, and as part of their deliberations, the Board, including the Independent Trustees, concluded that the Adviser possesses the capability and resources to perform the duties required of it under the Advisory Agreement.
Further, based upon its review of the Advisory Agreement, the materials provided, and the considerations described above, the Board, including the Independent Trustees, concluded that (1) the terms of the Advisory Agreement are reasonable, fair, and in the best interests of each 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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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past | |||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 –Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||
William L. Boyan (1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. | |||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past | |||||||
Independent Trustees (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 | — | |||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | — |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past | |||||||
Independent Trustees (continued) | ||||||||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | — | |||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009). Trustee, Randolph-Macon College (2004 – 2016). | 78 | — | |||||||
Interested Trustee(2) | ||||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers: (continued) | ||||||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). |
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State Street Institutional Investment Trust
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers: (continued) | ||||||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about Funds’ directors and is available, without charge, upon request and by calling 1-800-997-7327.
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Table of Contents
Trustees
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 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 | SSIITDISCAR IBG-22894 |
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
31 December 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 1-800-997-7327 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 Disciplined Global Equity Fund
Annual Report
December 31, 2016
1 | ||||
3 | ||||
4 | ||||
5 | ||||
6 | ||||
7 | ||||
8 | ||||
13 | ||||
14 |
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 Disciplined Global Equity Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited)
The State Street Disciplined Global Equity Fund (the “Fund”) seeks to provide competitive long-term returns while maintaining low long-term volatility relative to the broad global equity market. The Fund seeks to achieve its investment objective by investing substantially all of its investable assets in the Disciplined Global Equity Portfolio. The Fund’s benchmark is the MSCI World Index (the “Index”).
For the period from February 18, 2016 (inception) through December 31, 2016 (the “Reporting Period”), the total return for the Fund’s Class I shares was 9.85%, and the Index was 15.56% (Net). The Fund and Index returns reflect the reinvestment of dividends and other income. The Fund’s performance reflects the expenses of managing the Fund, including brokerage and advisory expenses. The Index is unmanaged and Index returns do not reflect fees and expenses, which would have a negative impact on returns.
The Fund was incepted midway through the first quarter of 2016, coinciding with significant uncertainty and volatility in the global equity markets. The Fund’s strategy to favor securities with low security-specific risk provided some downside protection during February. Performance during the month was driven by lower beta, higher quality stocks coupled with larger active weights in the defensive sectors. However, during March market sentiment increased sharply as positive economic data and verbal support from global central banks improved investor confidence. The recovery of commodity prices continued through March with a significant increase in risk appetite which hurt Fund performance as the Fund portfolio favored stocks with relatively reasonable valuations and robust free cash flow that were not rewarded by the market.
Global equity markets faced another set of challenges during the second quarter of 2016 as optimism on the commodity led reflation trade reversed dramatically in late June as the Brexit vote (Britain’s vote in favor of the United Kingdom withdrawing from the European Union) renewed broader economic concerns. In light of this, the Fund overall fared well, particularly in June as positive value was added due to defensive tilts and stock selection, while underweights to the United Kingdom and most European countries contributed to relative performance versus the Index.
Across the developed world, mixed economic releases pointed to a continuation of muddling through, thus alleviating the Brexit concerns that dominated the market during the second quarter. Countries that were sold off during the second quarter saw a rather strong recovery during the third quarter. The Fund’s strategy designed for lower risk positioning faced a strong headwind on performance as the market reverted to favoring higher risk and higher beta securities. Rising interest rate concerns drove a negative allocation effect from the Fund’s overweight of the utilities sector as compared to the Index. The same rate dynamic caused a significant lag in performance from the Fund’s underweight of the financials sector and lower exposure to bank stocks versus the Index. Also, diminishing risk aversion saw investors rotating into riskier technology names at the expense of the more defensive health care and consumer staple stocks that the Fund owned.
Portfolio positioning into the fourth quarter of 2016 continued to reflect the long term challenges in the global economic recovery, with low allocations to the cyclical industries and the financials sector. However, global equity investors accelerated their rotation into cyclicals after the U.S. elections. The Fund was negatively affected by the performance of the financials sector as this segment of the market rallied heavily on a more hawkish rate outlook and a sharp steepening in yield curves. Financials were also perceived to benefit from a more benign regulatory environment envisaged under the Trump
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
MANAGEMENT DISCUSSION OF FUND PERFORMANCE (Unaudited) — (continued)
administration. In addition, lower allocations to energy companies and an emphasis on telecommunication services hurt overall Fund performance for the quarter.
In summary, the “risk on” rally which was sustained through the second half of the year benefitted pro-cyclical, higher beta equities which negatively impacted Fund performance as the Fund was more defensively positioned.
On an individual security level, the top positive contributors to the Fund’s performance were Quest Diagnostics Inc., Cintas Corporation, and Waste Management Inc. The top negative contributors to the Fund’s performance were Koninklijke Ahold Delhaize N, L Brands Inc., Amerisourcebergen Corporation.
The views expressed above reflect those of the Fund’s portfolio manager only through the Reporting Period, and do not necessarily represent the views of the Adviser as a whole. Any such views are subject to change at any time based upon market or other conditions and the Adviser disclaims any responsibility to update such views. These views may not be relied on as investment advice and, because investment decisions for a fund are based on numerous factors, may not be relied on as an indication of trading intent on behalf of any fund.
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Table of Contents
State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Performance Summary (Unaudited)
Growth of a $10,000 Investment (a)
Investment Performance (a)
For the Period Ended December 31, 2016
Cumulative Total Return Inception to Date* December 31, 2016 | ||||
State Street Disciplined Global Equity Fund Class I | 9.85 | % | ||
MSCI World Index(b) | 15.56 | % |
* | Inception date is February 18, 2016. |
(a) | Total returns and performance graph information represent past performance and are not indicative of future results, which may be lower or higher than performance data quoted. Investment return and principal value of an investment will fluctuate so that an investor’s share, when redeemed, may be worth more or less than its original cost. The graph and table above do not reflect the deduction of taxes that a shareholder would pay on fund distributions, sales, or the redemption of fund shares. |
(b) | The MSCI World Index is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed markets. |
Line graph is based on cumulative total return. |
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Table of Contents
State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Statement of Assets and Liabilities
December 31, 2016
Assets |
| |||
Investment in State Street Disciplined Global Equity Portfolio | $ | 3,217,389 | ||
Receivable for investments sold | 4,921 | |||
Receivable from adviser (Note 3) | 5,160 | |||
Prepaid expenses and other assets | 11 | |||
|
| |||
Total assets | 3,227,481 | |||
|
| |||
Liabilities | ||||
Advisory fee payable (Note 3) | 2,071 | |||
Custodian fees payable (Note 3) | 1,113 | |||
Administration fees payable (Note 3) | 138 | |||
Transfer agent fees payable (Note 3) | 6,362 | |||
Registration and filing fees payable | 1,694 | |||
Professional fees payable | 21,582 | |||
Printing and postage fees payable | 3 | |||
Accrued expenses and other liabilities | 520 | |||
|
| |||
Total liabilities | 33,483 | |||
|
| |||
Net Assets | $ | 3,193,998 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 3,000,000 | ||
Undistributed (distribution in excess of) net investment income (loss) | 15 | |||
Accumulated net realized gain (loss) on investments | 6,953 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investment in State Street Disciplined Global Equity Portfolio | 187,030 | |||
|
| |||
Net Assets | $ | 3,193,998 | ||
|
| |||
Net Asset Value Per Share | ||||
Class I | ||||
Net assets | $ | 3,193,998 | ||
Shares outstanding | 300,000 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 10.65 | ||
|
| |||
Cost of Investments: | ||||
Investment in State Street Disciplined Global Equity Portfolio | $ | 3,030,359 | ||
|
| |||
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 December 31, 2016(a)
Investment Income | ||||
Dividend income from State Street Disciplined Global Equity Portfolio (Note 2) | $ | 84,310 | ||
|
| |||
Expenses | ||||
Advisory fee (Note 3) | 21,006 | |||
Administration fees (Note 3) | 1,400 | |||
Custodian fees (Note 3) | 11,899 | |||
Trustees’ fees and expenses (Note 4) | 14,715 | |||
Transfer agent fees (Note 3) | 11,049 | |||
Registration and filing fees | 28,941 | |||
Professional fees | 31,184 | |||
Printing and postage fees | 29,159 | |||
Insurance expense | 11 | |||
Miscellaneous expenses | 1,168 | |||
|
| |||
Total expenses | 150,532 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 3) | (129,525 | ) | ||
|
| |||
Net expenses | 21,007 | |||
|
| |||
Net Investment Income (Loss) | 63,303 | |||
|
| |||
Realized and Unrealized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment in State Street Disciplined Global Equity Portfolio | 13,403 | |||
Capital gain distributions from State Street Disciplined Global Equity Portfolio | 30,762 | |||
|
| |||
Net realized gain (loss) | 44,165 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investment in State Street Disciplined Global Equity Portfolio | 187,030 | |||
|
| |||
Net Realized and Unrealized Gain (Loss) | 231,195 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 294,498 | ||
|
|
(a) | For the period February 18, 2016 (inception date) through December 31, 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* - 12/31/16 | ||||
Increase (Decrease) in Net Assets from Operations: |
| |||
Net investment income (loss) | $ | 63,303 | ||
Net realized gain (loss) | 44,165 | |||
Net change in unrealized appreciation/depreciation | 187,030 | |||
|
| |||
Net increase (decrease) in net assets resulting from operations | 294,498 | |||
|
| |||
Distributions to Shareholders from: |
| |||
Net investment income | (94,050 | ) | ||
Net realized gains | (6,450 | ) | ||
|
| |||
Total distributions to shareholders | (100,500 | ) | ||
|
| |||
Net Increase (Decrease) from Capital Share Transactions: Class I |
| |||
Shares sold | 3,000,000 | |||
|
| |||
Net increase (decrease) in net assets from capital share transactions | 3,000,000 | |||
|
| |||
Net increase (decrease) in net assets during the period | 3,193,998 | |||
|
| |||
Net assets at beginning of period | – | |||
|
| |||
Net Assets at End of Period | $ | 3,193,998 | ||
|
| |||
Undistributed (distribution in excess of) net investment income (loss) | $ | 15 | ||
|
| |||
Shares of Beneficial Interest: | ||||
Class I | ||||
Shares sold | 300,000 | |||
|
| |||
Net increase (decrease) | 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 the period
Class I | ||||
For the Period 2/19/16* - 12/31/16 | ||||
Net asset value, beginning of period | $ | 10.00 | ||
|
| |||
Income (loss) from investment operations | ||||
Net investment income (loss)(a) | 0.21 | |||
Net realized and unrealized gain (loss) | 0.77 | |||
|
| |||
Total from investment operations | 0.98 | |||
|
| |||
Distributions to shareholders from: | ||||
Net investment income | (0.31 | ) | ||
Net realized gains | (0.02 | ) | ||
|
| |||
Total distributions | (0.33 | ) | ||
|
| |||
Net asset value, end of period | $ | 10.65 | ||
|
| |||
Total return(b) | 9.85 | % | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 3,194 | ||
Ratios to average net assets: | ||||
Total expenses | 5.37 | %(c) | ||
Net expenses | 0.75 | %(c) | ||
Net investment income (loss) | 2.26 | %(c) | ||
Portfolio turnover rate(d) | 38 | % |
* | 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. |
(c) | Annualized. |
(d) | Portfolio turnover rate is from the State Street Disciplined Global Equity Portfolio. |
See accompanying notes to financial statements and financial statements of the Master Portfolio.
7
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
December 31, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2016, the Trust consists of thirty-three (33) 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 the following fund (the “Fund”):
Fund | Classes | Commencement of Operations | Diversification Classification | |||
State Street Disciplined Global Equity Fund | Class A Class C Class I Class K | Not commenced Not commenced February 19, 2016 Not commenced | Diversified |
The Fund is part of a master-feeder structure and invests substantially all of its assets (99.97% at December 31, 2016) in State Street Disciplined Global Equity Portfolio (the “Portfolio”), a series of a separately registered investment company called SSGA Active Trust. 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 would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 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 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)
December 31, 2016
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. 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 December 31, 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 the trade date for financial reporting purposes. Dividend income and capital gain distributions, if any, are recognized daily on the ex-dividend date, net of 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. 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
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 assets on an annual basis. This waiver and/or reimbursement may not be terminated prior to April 30,
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Notes to Financial Statements — (continued)
December 31, 2016
2017 except with the approval of the Board. For the period ended December 31, 2016, fees waived and expenses reimbursed by the Adviser, pursuant to the agreement, were $122,989.
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 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 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 December 31, 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 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, and charges related to compliance and regulatory services.
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 December 31, 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%
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Notes to Financial Statements — (continued)
December 31, 2016
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.
5. | Income 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. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the 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.
The tax character of distributions paid during the period ended December 31, 2016, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Disciplined Global Equity Fund | $ | 100,500 | $ | – | $ | – | $ | 100,500 |
At December 31, 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 Fund | $ | 6,968 | $ | – | $ | – | $ | 187,030 | $ | – | $ | 193,998 |
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Notes to Financial Statements — (continued)
December 31, 2016
As of December 31, 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 Fund | $ | 3,030,359 | $ | 187,030 | $ | – | $ | 187,030 |
6. | 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 Participant may borrow to fund shareholder redemptions. This agreement expires in October 2017 unless extended or renewed. Prior to October 13, 2016, the Participant could borrow up to $360 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 13, 2016, interest was 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 December 31, 2016.
7. | Risks |
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.
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 Investment Trust
State Street Disciplined Global Equity Fund
Report of Independent Registered Public Accounting Firm
To the Board of Trustees of State Street Institutional Investment Trust and Shareholders of State Street Disciplined Global Equity Fund:
We have audited the accompanying statement of assets and liabilities of State Street Disciplined Global Equity Fund (one of the funds constituting State Street Institutional Investment Trust) (the “Fund”) as of December 31, 2016, and the related statement of operations, 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 Fund’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 Fund’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 Fund’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 December 31, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers 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 Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2016, and the results of its operations, 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
February 27, 2017
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
December 31, 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 July 1, 2016 to December 31, 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 U.S. Securities and Exchange Commission (the “SEC”) 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 Disciplined Global Equity Fund | 0.75 | % | $ | 1,011.50 | $ | 3.79 | $ | 1,021.40 | $ | 3.81 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Tax Information
For federal tax income tax purposes, the following information is furnished with respect to the distributions from the Fund for the fiscal year ended December 31, 2016.
Percentage of distributions which qualify for the corporate dividends received deduction:
Percentage | ||||
State Street Disciplined Global Equity Fund | 18.49 | % |
Qualified Dividend Income
A portion of dividends distributed by the Fund during the fiscal year ended December 31, 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 amounted to $47,010.
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 1-800-997-7327 (toll free) or (ii) on the website of the SEC, 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 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 1-800-997-7327 (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)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||
William L. Boyan (1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. |
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State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 | ||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 |
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Table of Contents
State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | ||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 |
18
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||||
Interested Trustee(2) | ||||||||||||
James E. Ross SSGA Funds State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
19
Table of Contents
State Street Institutional Investment Trust
State Street Disciplined Global Equity Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about Funds’ directors and is available, without charge, upon request and by calling 1-800-997-7327.
20
Table of Contents
Trustees
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 |
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
Semi-Annual Report
31 December 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
SEMI-ANNUAL REPORT
DECEMBER 31, 2016 (UNAUDITED)
1 | ||||
2 | ||||
5 | ||||
6 | ||||
7 | ||||
8 | ||||
9 | ||||
14 |
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 DECEMBER 31, 2016
DESCRIPTION | Quest Diagnostics, Inc. | Waste Management, Inc. | Central Japan Railway Co. | DTE Energy Co. | eBay, Inc. | |||||||||
MARKET VALUE | $53,302 | 50,559 | 49,462 | 48,467 | 47,267 | |||||||||
% OF NET ASSETS | 1.7 | 1.6 | 1.5 | 1.5 | 1.5 | |||||||||
(The five largest holdings are subject to change, and there are no guarantees the Portfolio will continue to remain invested in any particular company.)
INDUSTRY BREAKDOWN AS OF DECEMBER 31, 2016*
INDUSTRY | PERCENT OF | |||||||||
Electric Utilities | 9.3 | % | ||||||||
Health Care Providers & Services | 8.4 | |||||||||
Diversified Telecommunication Services | 6.6 | |||||||||
Pharmaceuticals | 6.1 | |||||||||
Food & Staples Retailing | 5.9 | |||||||||
Health Care Equipment & Supplies | 5.6 | |||||||||
Insurance | 5.5 | |||||||||
Multi-Utilities | 5.3 | |||||||||
Commercial Services & Supplies | 2.9 | |||||||||
Food Products | 2.8 | |||||||||
Banks | 2.7 | |||||||||
Household Products | 2.5 | |||||||||
Real Estate Investment Trusts (REITs) | 2.4 | |||||||||
Beverages | 2.1 | |||||||||
Tobacco | 2.1 | |||||||||
Metals & Mining | 2.0 | |||||||||
Software | 2.0 | |||||||||
Media | 1.9 | |||||||||
Airlines | 1.6 | |||||||||
Auto Components | 1.6 | |||||||||
Automobiles | 1.5 | |||||||||
Internet Software & Services | 1.5 | |||||||||
Road & Rail | 1.5 | |||||||||
Electronic Equipment, Instruments & Components | 1.3 | |||||||||
Specialty Retail | 1.3 | |||||||||
Industrial Conglomerates | 1.2 | |||||||||
Life Sciences Tools & Services | 1.2 | |||||||||
Computers & Peripherals | 1.1 | |||||||||
Communications Equipment | 1.1 | |||||||||
Consumer Finance | 1.1 | |||||||||
Technology Hardware, Storage & Peripherals | 1.1 | |||||||||
Containers & Packaging | 1.0 | |||||||||
Household Durables | 1.0 | |||||||||
Electrical Equipment | 0.9 | |||||||||
Construction & Engineering | 0.8 | |||||||||
Oil, Gas & Consumable Fuels | 0.8 | |||||||||
Multiline Retail | 0.7 | |||||||||
Air Freight & Logistics | 0.5 | |||||||||
Real Estate Management & Development | 0.5 | |||||||||
Building Products | 0.4 | |||||||||
Short-Term Investment | 0.0 | ** | ||||||||
Other Assets in Excess of Liabilities | 0.2 | |||||||||
TOTAL | 100.0 | % |
* | The Portfolio’s industry breakdown is expressed as a percentage of net assets and may change over time. |
** | Amount shown represents less than 0.05% of net assets. |
1
Table of Contents
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
December 31, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
COMMON STOCKS — 99.8% | ||||||||
AUSTRALIA — 1.5% | ||||||||
Qantas Airways, Ltd. | 6,574 | $ | 15,852 | |||||
Telstra Corp., Ltd. | 8,632 | 31,877 | ||||||
|
| |||||||
47,729 | ||||||||
|
| |||||||
CANADA — 4.0% | ||||||||
BCE, Inc. | 761 | 32,930 | ||||||
Metro, Inc. | 802 | 24,017 | ||||||
Shaw Communications, Inc. Class B | 1,757 | 35,296 | ||||||
TELUS Corp. | 1,156 | 36,851 | ||||||
|
| |||||||
129,094 | ||||||||
|
| |||||||
DENMARK — 1.2% | ||||||||
Novo Nordisk A/S Class B | 306 | 11,056 | ||||||
Vestas Wind Systems A/S | 419 | 27,281 | ||||||
|
| |||||||
38,337 | ||||||||
|
| |||||||
FRANCE — 2.0% | ||||||||
Peugeot SA (a) | 1,992 | 32,556 | ||||||
Sanofi | 393 | 31,876 | ||||||
|
| |||||||
64,432 | ||||||||
|
| |||||||
GERMANY — 3.2% | ||||||||
Fresenius SE & Co. KGaA | 280 | 21,931 | ||||||
METRO AG | 1,377 | 45,874 | ||||||
Muenchener Rueckversicherungs-Gesellschaft AG in Muenchen | 79 | 14,969 | ||||||
RWE AG (a) | 1,673 | 20,849 | ||||||
|
| |||||||
103,623 | ||||||||
|
| |||||||
HONG KONG — 5.6% | ||||||||
CK Hutchison Holdings, Ltd. | 1,500 | 17,006 | ||||||
CLP Holdings, Ltd. | 4,500 | 41,354 | ||||||
Hang Seng Bank, Ltd. | 1,100 | 20,473 | ||||||
Jardine Matheson Holdings, Ltd. | 400 | 22,100 | ||||||
Link REIT | 5,500 | 35,753 | ||||||
Power Assets Holdings, Ltd. | 3,000 | 26,448 | ||||||
WH Group, Ltd. (b) | 20,000 | 16,174 | ||||||
|
| |||||||
179,308 | ||||||||
|
| |||||||
ITALY — 1.3% | ||||||||
Enel SpA | 9,520 | 42,053 | ||||||
|
| |||||||
JAPAN — 10.7% | ||||||||
Asahi Glass Co., Ltd. | 2,000 | 13,649 | ||||||
Astellas Pharma, Inc. | 2,500 | 34,799 | ||||||
Bridgestone Corp. | 700 | 25,291 | ||||||
Central Japan Railway Co. | 300 | 49,462 | ||||||
Daiichi Sankyo Co., Ltd. | 1,500 | 30,756 | ||||||
Hoya Corp. | 500 | 21,053 | ||||||
Kirin Holdings Co., Ltd. | 2,100 | 34,236 | ||||||
Mitsubishi Materials Corp. | 600 | 18,468 | ||||||
Nippon Telegraph & Telephone Corp. | 1,000 | 42,114 | ||||||
Sekisui Chemical Co., Ltd. | 2,100 | 33,561 | ||||||
Sumitomo Rubber Industries, Ltd. | 1,600 | 25,461 | ||||||
Suzuki Motor Corp. | 500 | 17,636 | ||||||
|
| |||||||
346,486 | ||||||||
|
| |||||||
NETHERLANDS — 1.4% | ||||||||
Koninklijke Ahold Delhaize NV | 2,135 | 45,105 | ||||||
Royal Dutch Shell PLC Class A | 7 | 194 | ||||||
|
| |||||||
45,299 | ||||||||
|
| |||||||
NEW ZEALAND — 1.1% | ||||||||
Spark New Zealand, Ltd. | 14,782 | 35,149 | ||||||
|
| |||||||
NORWAY — 0.8% | ||||||||
Norsk Hydro ASA | 5,426 | 26,034 | ||||||
|
| |||||||
SINGAPORE — 1.2% | ||||||||
Ascendas REIT | 6,500 | 10,213 | ||||||
Singapore Airlines, Ltd. | 1,900 | 12,718 | ||||||
UOL Group, Ltd. | 3,700 | 15,341 | ||||||
|
| |||||||
38,272 | ||||||||
|
| |||||||
SPAIN — 0.8% | ||||||||
ACS Actividades de Construccion y Servicios SA | 780 | 24,698 | ||||||
|
| |||||||
SWEDEN — 1.1% | ||||||||
Swedish Match AB | 1,133 | 36,143 | ||||||
|
| |||||||
SWITZERLAND — 3.4% | ||||||||
Sonova Holding AG | 246 | 29,868 | ||||||
Swiss Re AG | 460 | 43,676 | ||||||
Swisscom AG | 78 | 35,003 | ||||||
|
| |||||||
108,547 | ||||||||
|
| |||||||
UNITED KINGDOM — 1.2% | ||||||||
Direct Line Insurance Group PLC | 8,421 | 38,438 | ||||||
|
| |||||||
UNITED STATES — 59.3% | ||||||||
Agilent Technologies, Inc. | 875 | 39,865 | ||||||
AGNC Investment Corp. REIT | 1,953 | 35,408 | ||||||
Ally Financial, Inc. | 1,825 | 34,712 | ||||||
Altria Group, Inc. | 458 | 30,970 | ||||||
Ameren Corp. | 768 | 40,289 | ||||||
American Electric Power Co., Inc. | 520 | 32,739 | ||||||
Annaly Capital Management, Inc. | 3,380 | 33,699 | ||||||
Anthem, Inc. | 235 | 33,786 | ||||||
Archer-Daniels-Midland Co. | 859 | 39,213 | ||||||
Avery Dennison Corp. | 452 | 31,739 | ||||||
Axis Capital Holdings, Ltd. | 669 | 43,666 | ||||||
Baxter International, Inc. | 832 | 36,891 | ||||||
C.R. Bard, Inc. | 196 | 44,033 | ||||||
Cardinal Health, Inc. | 391 | 28,140 | ||||||
Cintas Corp. | 366 | 42,295 | ||||||
Citrix Systems, Inc. (a) | 446 | 39,832 | ||||||
Colgate-Palmolive Co. | 229 | 14,986 | ||||||
Consolidated Edison, Inc. | 285 | 20,999 | ||||||
Corning, Inc. | 1,700 | 41,259 | ||||||
Delta Air Lines, Inc. | 481 | 23,660 | ||||||
DTE Energy Co. | 492 | 48,467 | ||||||
eBay, Inc. (a) | 1,592 | 47,267 | ||||||
Edison International | 520 | 37,435 | ||||||
Eli Lilly & Co. | 330 | 24,272 | ||||||
Entergy Corp. | 494 | 36,294 | ||||||
Exelon Corp. | 554 | 19,661 | ||||||
Express Scripts Holding Co. (a) | 534 | 36,734 | ||||||
Foot Locker, Inc. | 581 | 41,187 | ||||||
HCA Holdings, Inc. (a) | 522 | 38,638 | ||||||
Hologic, Inc. (a) | 824 | 33,059 | ||||||
IDEXX Laboratories, Inc. (a) | 175 | 20,522 | ||||||
Johnson & Johnson | 386 | 44,471 | ||||||
JPMorgan Chase & Co. | 474 | 40,901 | ||||||
Kimberly-Clark Corp. | 190 | 21,683 | ||||||
Lincoln National Corp. | 250 | 16,568 |
See accompanying notes to financial statements.
2
Table of Contents
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Security Description | Shares | Value | ||||||
McKesson Corp. | 123 | $ | 17,275 | |||||
Motorola Solutions, Inc. | 441 | 36,555 | ||||||
NetApp, Inc. | 984 | 34,706 | ||||||
Newmont Mining Corp. | 568 | 19,352 | ||||||
PepsiCo, Inc. | 309 | 32,331 | ||||||
Pfizer, Inc. | 501 | 16,272 | ||||||
Pinnacle West Capital Corp. | 493 | 38,469 | ||||||
PNC Financial Services Group, Inc. | 196 | 22,924 | ||||||
PPL Corp. | 719 | 24,482 | ||||||
Principal Financial Group, Inc. | 280 | 16,201 | ||||||
Procter & Gamble Co. | 498 | 41,872 | ||||||
Public Service Enterprise Group, Inc. | 846 | 37,122 | ||||||
Quest Diagnostics, Inc. | 580 | 53,302 | ||||||
Synopsys, Inc. (a) | 458 | 26,958 | ||||||
Sysco Corp. | 659 | 36,489 | ||||||
Target Corp. | 297 | 21,452 | ||||||
Thomson Reuters Corp. | 588 | 25,764 | ||||||
Tyson Foods, Inc. Class A | 599 | 36,946 | ||||||
United Parcel Service, Inc. Class B | 152 | 17,425 | ||||||
UnitedHealth Group, Inc. | 168 | 26,887 | ||||||
Universal Health Services, Inc. Class B | 141 | 15,000 | ||||||
Valero Energy Corp. | 364 | 24,868 | ||||||
Wal-Mart Stores, Inc. | 574 | 39,675 | ||||||
Waste Management, Inc. | 713 | 50,559 | ||||||
|
| |||||||
1,908,226 | ||||||||
|
| |||||||
TOTAL COMMON STOCKS | 3,211,868 | |||||||
|
| |||||||
SHORT-TERM INVESTMENT — 0.0% (c) |
| |||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class 0.42% (d) (e) | 875 | 875 | ||||||
|
| |||||||
TOTAL INVESTMENTS — 99.8% | 3,212,743 | |||||||
OTHER ASSETS IN EXCESS OF LIABILITIES — 0.2% | 5,642 | |||||||
|
| |||||||
NET ASSETS — 100.0% | $ | 3,218,385 | ||||||
|
|
(a) | Non-income producing security. |
(b) | Security purchased pursuant to Rule 144A of the Securities Act of 1933. This security, which represents 0.5% of net assets as of December 31, 2016, is considered liquid and may be resold in transactions exempt from registration, normally to qualified institutional buyers. |
(c) | Amount shown represents less than 0.05% of net assets. |
(d) | The rate shown is the annualized seven-day yield at December 31, 2016. |
(e) | The Portfolio invested in certain money market funds managed by SSGA Funds Management, Inc. Amounts related to these transactions during the period ended December 31, 2016 are shown in the Affiliate Table below. |
REIT Real Estate Investment Trust
The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 — Quoted Prices | Level 2 — Other Significant Observable Inputs | Level 3 — Significant Unobservable Inputs | Total | ||||||||||||
ASSETS: | ||||||||||||||||
INVESTMENTS: | ||||||||||||||||
Common Stocks | ||||||||||||||||
Australia | $ | 47,729 | $ | — | $ | — | $ | 47,729 | ||||||||
Canada | 129,094 | — | — | 129,094 | ||||||||||||
Denmark | 38,337 | — | — | 38,337 | ||||||||||||
France | 64,432 | — | — | 64,432 | ||||||||||||
Germany | 103,623 | — | — | 103,623 | ||||||||||||
Hong Kong | 179,308 | — | — | 179,308 | ||||||||||||
Italy | 42,053 | — | — | 42,053 | ||||||||||||
Japan | 346,486 | — | — | 346,486 | ||||||||||||
Netherlands | 45,299 | — | — | 45,299 | ||||||||||||
New Zealand | 35,149 | — | — | 35,149 | ||||||||||||
Norway | 26,034 | — | — | 26,034 | ||||||||||||
Singapore | 38,272 | — | — | 38,272 | ||||||||||||
Spain | 24,698 | — | — | 24,698 | ||||||||||||
Sweden | 36,143 | — | — | 36,143 | ||||||||||||
Switzerland | 108,547 | — | — | 108,547 | ||||||||||||
United Kingdom | 38,438 | — | — | 38,438 | ||||||||||||
United States | 1,908,226 | — | — | 1,908,226 | ||||||||||||
Short-Term Investment | 875 | — | — | 875 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
TOTAL INVESTMENTS | $ | 3,212,743 | $ | — | $ | — | $ | 3,212,743 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
3
Table of Contents
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
SCHEDULE OF INVESTMENTS (continued)
December 31, 2016 (Unaudited)
Affiliate Table
Number of Shares Held at 6/30/16 | Value at 6/30/16 | Shares Purchased | Shares Sold | Number of Shares Held at 12/31/16 | Value at 12/31/16 | Dividend Income | Realized Gain (Loss) | |||||||||||||||||||||||||
State Street Institutional Liquid Reserves Fund, Premier Class | 34,046 | $ | 34,046 | 103,466 | 137,512 | — | $ | — | $ | 32 | $ | — | ||||||||||||||||||||
State Street Institutional U.S. Government Money Market Fund, Premier Class | — | — | 32,817 | 31,942 | 875 | 875 | 9 | — | ||||||||||||||||||||||||
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|
|
|
|
|
|
| |||||||||||||||||||||||||
TOTAL | $ | 34,046 | $ | 875 | $ | 41 | $ | — | ||||||||||||||||||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
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Table of Contents
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
STATEMENT OF ASSETS AND LIABILITIES
December 31, 2016 (Unaudited)
ASSETS | ||||
Investments in unaffiliated issuers, at value (Note 2) | $ | 3,211,868 | ||
Investments in affiliated issuers, at value (Note 2) | 875 | |||
|
| |||
Total Investments | 3,212,743 | |||
Foreign currency, at value | 602 | |||
Dividends receivable — unaffiliated issuers (Note 2) | 5,943 | |||
Dividends receivable — affiliated issuers (Note 2) | 3 | |||
Receivable from Adviser (Note 3) | 3,431 | |||
Receivable for foreign taxes recoverable | 1,284 | |||
|
| |||
TOTAL ASSETS | 3,224,006 | |||
|
| |||
LIABILITIES | ||||
Payable for fund shares repurchased | 4,922 | |||
Advisory fee payable (Note 3) | 699 | |||
|
| |||
TOTAL LIABILITIES | 5,621 | |||
|
| |||
NET ASSETS | $ | 3,218,385 | ||
|
| |||
NET ASSETS CONSIST OF: | ||||
Paid-in Capital | $ | 3,016,956 | ||
Undistributed (distribution in excess of) net investment income (loss) | 551 | |||
Accumulated net realized gain (loss) on investments and foreign currency transactions | 14,862 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 186,103 | |||
Foreign currency transactions | (87 | ) | ||
|
| |||
NET ASSETS | $ | 3,218,385 | ||
|
| |||
NET ASSET VALUE PER SHARE | ||||
Net asset value per share | $ | 10.67 | ||
|
| |||
Shares outstanding (unlimited amount authorized, no par value) | 301,536 | |||
|
| |||
COST OF INVESTMENTS: | ||||
Investments in unaffiliated issuers | $ | 3,025,765 | ||
Investments in affiliated issuers | 875 | |||
|
| |||
Total cost of investments | $ | 3,026,640 | ||
|
| |||
Foreign currency, at cost | $ | 614 | ||
|
|
See accompanying notes to financial statements.
5
Table of Contents
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
For the Six Months Ended December 31, 2016 (Unaudited)
INVESTMENT INCOME | ||||
Dividend income — unaffiliated issuers (Note 2) | $ | 40,217 | ||
Dividend income — affiliated issuers (Note 2) | 41 | |||
Foreign taxes withheld | (1,872 | ) | ||
|
| |||
TOTAL INVESTMENT INCOME (LOSS) | 38,386 | |||
|
| |||
EXPENSES | ||||
Advisory fees (Note 3) | 4,172 | |||
Trustees’ fee (Note 4) | 150 | |||
Line of Credit fee (Note 7) | 2,608 | |||
Miscellaneous expenses | 13 | |||
|
| |||
TOTAL EXPENSES | 6,943 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 3) | (6,943 | ) | ||
|
| |||
NET EXPENSES | — | |||
|
| |||
NET INVESTMENT INCOME (LOSS) | 38,386 | |||
|
| |||
REALIZED AND UNREALIZED GAIN (LOSS) | ||||
Net realized gain (loss) on: | ||||
Investments — unaffiliated issuers | 31,707 | |||
Foreign currency transactions | (1,546 | ) | ||
|
| |||
Net realized gain (loss) | 30,161 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments — unaffiliated issuers | (20,624 | ) | ||
Foreign currency translations | 356 | |||
|
| |||
Net change in unrealized appreciation/depreciation | (20,268 | ) | ||
|
| |||
NET REALIZED AND UNREALIZED GAIN (LOSS) | 9,893 | |||
|
| |||
NET INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS | $ | 48,279 | ||
|
|
See accompanying notes to financial statements.
6
Table of Contents
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
STATEMENTS OF CHANGES IN NET ASSETS
Six Months Ended 12/31/16 (Unaudited) | For the Period 2/18/16* - 6/30/16 | |||||||
INCREASE (DECREASE) IN NET ASSETS FROM OPERATIONS: | ||||||||
Net investment income (loss) | $ | 38,386 | $ | 45,676 | ||||
Net realized gain (loss) | 30,161 | 16,262 | ||||||
Net change in unrealized appreciation/depreciation | (20,268 | ) | 206,284 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 48,279 | 268,222 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM: | ||||||||
Net investment income | (84,310 | ) | — | |||||
Net realized gains | (30,762 | ) | — | |||||
|
|
|
| |||||
Total distributions to shareholders | (115,072 | ) | — | |||||
|
|
|
| |||||
FROM BENEFICIAL INTEREST TRANSACTIONS: | ||||||||
Proceeds from sale of shares sold | 59,527 | 3,036,146 | ||||||
Reinvestment of distributions | 115,072 | — | ||||||
Cost of shares redeemed | (159,746 | ) | (34,043 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 14,853 | 3,002,103 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | (51,940 | ) | 3,270,325 | |||||
|
|
|
| |||||
Net assets at beginning of period | 3,270,325 | — | ||||||
|
|
|
| |||||
NET ASSETS AT END OF PERIOD | $ | 3,218,385 | $ | 3,270,325 | ||||
|
|
|
| |||||
Undistributed (distribution in excess of) net investment income (loss) | $ | 551 | $ | 46,475 | ||||
|
|
|
| |||||
SHARES OF BENEFICIAL INTEREST: | ||||||||
Shares sold | 5,386 | 303,384 | ||||||
Reinvestment of distributions | 10,805 | — | ||||||
Shares redeemed | (14,855 | ) | (3,184 | ) | ||||
|
|
|
| |||||
Net increase (decrease) | 1,336 | 300,200 | ||||||
|
|
|
|
* | Inception date. |
See accompanying notes to financial statements.
7
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SSGA Active Trust
State Street Disciplined Global Equity Portfolio
Selected data for a share outstanding throughout each period
Six Months Ended 12/31/16 (Unaudited) | For the Period 2/19/16* - 6/30/16 | |||||||
Net asset value, beginning of period | $ | 10.89 | $ | 10.00 | ||||
|
|
|
| |||||
Income (loss) from investment operations: | ||||||||
Net investment income (loss) (a) | 0.13 | 0.15 | ||||||
Net realized and unrealized gain (loss) | 0.03 | 0.74 | ||||||
|
|
|
| |||||
Total from investment operations | 0.16 | 0.89 | ||||||
|
|
|
| |||||
Distributions to shareholders from: | ||||||||
Net investment income | (0.28 | ) | — | |||||
Net realized gains | (0.10 | ) | — | |||||
|
|
|
| |||||
Total distributions | (0.38 | ) | — | |||||
|
|
|
| |||||
Net asset value, end of period | $ | 10.67 | $ | 10.89 | ||||
|
|
|
| |||||
Total return (b) | 1.50 | %(c) | 8.90 | %(c) | ||||
Ratios and Supplemental Data: | ||||||||
Net assets, end of period (in 000s) | $ | 3,218 | $ | 3,270 | ||||
Ratios to average net assets: | ||||||||
Total expenses | 0.42 | %(d) | 0.27 | %(d) | ||||
Net expenses | — | %(d) | — | %(d) | ||||
Net investment income (loss) | 2.30 | %(d) | 4.00 | %(d) | ||||
Portfolio turnover rate | 17 | %(c) | 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. 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
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
December 31, 2016 (Unaudited)
1. | Organization |
SSGA Active Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 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 represents 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 the following Portfolio:
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 would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 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 price is obtained from pricing services or brokers, valuation will be based upon the intrinsic value, pursuant to the valuation policy and procedures approved by the Board. |
• | 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. |
9
Table of Contents
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2016 (Unaudited)
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.
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 asset or liability; |
• | Level 2 — Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other 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 December 31, 2016, is disclosed in the Portfolio’s Schedule of Investments.
The Portfolio had transfers from Level 2 to Level 1 during the period ended December 31, 2016 in the amount of $1,051,226, resulting from the temporary suspension of trading/halt or delisting of securities. At December 31, 2016 these investments were valued at exchange closing prices in accordance with the Portfolio’s valuation policy. 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.
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 the prior calendar year’s to 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.
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.
10
Table of Contents
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 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.
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 December 31, 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 Portfolio. 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 period ended December 31, 2016, were as follows:
Purchases | Sales | |||||||
State Street Disciplined Global Equity Portfolio | $ | 543,431 | $ | 545,548 |
11
Table of Contents
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2016 (Unaudited)
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.
The Portfolio files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. As of June 30, 2016, 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.
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 December 31, 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 | $ | 3,027,463 | $ | 255,986 | $ | 70,706 | $ | 185,280 |
7. | 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 Participant may borrow to fund shareholder redemptions. This agreement expires in October 2017 unless extended or renewed. Prior to October 13, 2016, the Participant could borrow up to $360 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 1% plus the greater of the New York Fed Bank Rate and 1-month LIBOR rate. Prior to October 13, 2016, interest was 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 December 31, 2016.
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.
12
Table of Contents
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
NOTES TO FINANCIAL STATEMENTS (continued)
December 31, 2016 (Unaudited)
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.
13
Table of Contents
SSGA Active Trust
State Street Disciplined Global Equity Portfolio
December 31, 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 Portfolios’ investment adviser to vote proxies relating to the Portfolios’ portfolio of securities are available (i) without charge, upon request by calling 1-800-997-7327 (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 Portfolios’ 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 1-800-997-7327 (toll free) and on the Funds’ website at www.ssgafunds.com.
14
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 Rosenberg, Treasurer
Ann Carpenter, Vice President; Deputy Treasurer
Michael P. Riley, Vice President
Chad C. Hallett, Deputy Treasurer
Darlene Anderson-Vasquez, Deputy Treasurer
Sujata Upreti, Assistant Treasurer
Daniel Foley, Assistant Treasurer
Christopher A. Madden, Secretary
Patricia A. Morisette, Assistant Secretary
Brian Harris, Chief Compliance Officer; Anti-Money Laundering Officer; Code of Ethics Compliance 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.
SSIITDISCGBLAR IBG-22895 |
Table of Contents
Annual Report
31 December 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
Annual Report
December 31, 2016
1 | ||||
2 | ||||
3 | ||||
4 | ||||
7 | ||||
13 | ||||
14 |
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
December 31, 2016
Assets | ||||
Investment in corresponding Portfolio, at value (Note 1) | $ | 13,289,952,517 | ||
Receivable from Adviser (Note 3) | 2,246 | |||
Prepaid expenses and other assets | 39,321 | |||
|
| |||
Total assets | 13,289,994,084 | |||
|
| |||
Liabilities | ||||
Payable for fund shares repurchased | 223,433 | |||
Administration fees payable (Note 3) | 526,239 | |||
Shareholder servicing fee payable (Note 3) | 131,441 | |||
Distribution fees payable (Note 3) | 52,337 | |||
Trustees’ fees and expenses payable (Note 4) | 5,809 | |||
Transfer agent fees payable (Note 3) | 20,768 | |||
Distribution payable | 154,558 | |||
Registration and filing fees payable | 76,803 | |||
Professional fees payable | 23,038 | |||
Printing fees payable | 13,302 | |||
Accrued expenses and other liabilities | 34,797 | |||
|
| |||
Total liabilities | 1,262,525 | |||
|
| |||
Net Assets | $ | 13,288,731,559 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 13,288,398,442 | ||
Undistributed net investment income | 41,267 | |||
Accumulated net realized gain (loss) on investments | 291,850 | |||
|
| |||
Net Assets | $ | 13,288,731,559 | ||
|
| |||
Premier Class | ||||
Net assets | $ | 12,651,785,354 | ||
Shares outstanding | 12,651,565,713 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investment Class | ||||
Net assets | $ | 609,544,561 | ||
Shares outstanding | 609,531,842 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investor Class | ||||
Net assets | $ | 27,401,644 | ||
Shares outstanding | 27,401,649 | |||
|
| |||
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 Year Ended December 31, 2016
Income and Expenses Allocated from Portfolio | ||||
Interest income allocated from portfolio (Note 2) | $ | 37,412,210 | ||
Expenses allocated from Portfolio (Note 2) | (7,956,736 | ) | ||
|
| |||
Total investment income (loss) allocated from portfolio | 29,455,474 | |||
|
| |||
Expenses | ||||
Administration fees (Note 3) | 6,006,871 | |||
Shareholder servicing fees (Note 3) | ||||
Investment Class | 1,666,257 | |||
Investor Class | 599 | |||
Distribution fees (Note 3) | ||||
Investment Class | 666,503 | |||
Custodian fees (Note 3) | 17,488 | |||
Trustees’ fees and expenses (Note 4) | 27,286 | |||
Transfer agent fees (Note 3) | 58,767 | |||
Registration and filing fees | 229,442 | |||
Professional fees | 40,758 | |||
Printing fees | 26,425 | |||
Insurance expense | 53,224 | |||
Miscellaneous expenses | 59,529 | |||
|
| |||
Total expenses | 8,853,149 | |||
|
| |||
Shareholder servicing fees waived | ||||
Investment Class | (427,971 | ) | ||
Distribution fees waived | ||||
Investment Class | (666,503 | ) | ||
|
| |||
Net Expenses | 7,758,675 | |||
|
| |||
Net Investment Income (Loss) | 21,696,799 | |||
|
| |||
Realized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments allocated from Portfolio | 291,850 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 21,988,649 | ||
|
|
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
Statement of Changes in Net Assets
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 21,696,799 | $ | 44,230 | ||||
Net realized gain (loss) | 291,850 | 112,061 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 21,988,649 | 156,291 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | (21,685,174 | ) | (124,494 | ) | ||||
Investment Class | (9,269 | ) | – | |||||
Investor Class(a) | (2,356 | ) | – | |||||
|
|
|
| |||||
Total distributions from net investment income | (21,696,799 | ) | (124,494 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) from Beneficial Interest Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 27,604,079,644 | 34,794,959,292 | ||||||
Reinvestment of distributions | 20,452,809 | 108,212 | ||||||
Shares redeemed | (25,385,988,943 | ) | (32,720,944,051 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 2,238,543,510 | 2,074,123,453 | ||||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 1,316,642,508 | 1,531,621,992 | ||||||
Shares redeemed | (1,431,796,980 | ) | (1,548,193,858 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (115,154,472 | ) | (16,571,866 | ) | ||||
|
|
|
| |||||
Investor Class(a) | ||||||||
Shares sold | 27,400,040 | – | ||||||
Reinvestment of distributions | 1,649 | – | ||||||
Shares redeemed | (40 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 27,401,649 | – | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 2,150,790,687 | 2,057,551,587 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 2,151,082,537 | 2,057,583,384 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 11,137,649,022 | 9,080,065,638 | ||||||
|
|
|
| |||||
Net assets at end of period | $ | 13,288,731,559 | $ | 11,137,649,022 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 41,267 | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Premier Class | ||||||||
Shares sold | 27,604,060,177 | 34,794,959,292 | ||||||
Reinvestment of distributions | 20,452,809 | 108,212 | ||||||
Shares redeemed | (25,385,988,943 | ) | (32,720,944,051 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 2,238,524,043 | 2,074,123,453 | ||||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 1,316,661,975 | 1,531,621,992 | ||||||
Shares redeemed | (1,431,796,980 | ) | (1,548,193,859 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (115,135,005 | ) | (16,571,867 | ) | ||||
|
|
|
| |||||
Investor Class(a) | ||||||||
Shares sold | 27,400,040 | – | ||||||
Reinvestment of distributions | 1,649 | – | ||||||
Shares redeemed | (40 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 27,401,649 | – | ||||||
|
|
|
|
(a) | For the period December 22, 2016 (inception date) through December 31, 2016. |
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 | ||||||||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss) | 0.0019 | 0.0000 | (b)(c) | – | (c) | 0.0000 | (b)(c) | 0.0000 | (b)(c) | |||||||||||
Net realized gain (loss) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | 0.0019 | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.0019 | ) | (0.0000 | )(b) | – | (0.0000 | )(b) | – | ||||||||||||
Net realized gains | – | – | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.0019 | ) | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 0.19 | % | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 12,651,785 | $ | 10,412,966 | $ | 8,338,818 | $ | 11,949,583 | $ | 10,151,078 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | ||||||||||
Net expenses | 0.12 | % | 0.04 | % | 0.04 | % | 0.07 | % | 0.08 | % | ||||||||||
Net investment income (loss) | 0.19 | % | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) |
(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) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
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
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Investment Class | ||||||||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations | ||||||||||||||||||||
Net investment income (loss) | 0.0000 | (b) | 0.0000 | (b)(c) | (0.0010 | )(c) | 0.0000 | (b)(c) | 0.0000 | (b)(c) | ||||||||||
Net realized gain (loss) | 0.0000 | (b) | 0.0000 | (b) | 0.0010 | 0.0000 | (b) | 0.0000 | (b) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
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) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | (0.0000 | )(b) | – | (0.0000 | )(b) | (0.0000 | )(b) | (0.0000 | )(b) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 609,545 | $ | 724,683 | $ | 741,248 | $ | 1,407,207 | $ | 1,475,932 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||
Net expenses | 0.31 | % | 0.04 | % | 0.05 | % | 0.07 | % | 0.08 | % | ||||||||||
Net investment income (loss) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) |
(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) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
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
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Investor Class | ||||
For the Period Ended 12/22/16* - 12/31/16 | ||||
Net asset value, beginning of period | $ | 1.0000 | ||
|
| |||
Income (loss) from investment operations | ||||
Net investment income (loss) | 0.0001 | |||
Net realized gain (loss) | (0.0000 | )(b) | ||
|
| |||
Total from investment operations | 0.0001 | |||
|
| |||
Distributions to shareholders from: | ||||
Net investment income | (0.0001 | ) | ||
|
| |||
Net asset value, end of period | $ | 1.0000 | ||
|
| |||
Total return(c) | 0.00 | %(d) | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 27,402 | ||
Total expenses | 0.18 | %(e) | ||
Net investment income (loss) | 0.31 | %(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%. |
(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 Treasury Money Market Fund
December 31, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2016, the Trust consists of thirty-three (33) 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. 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 fund (the “Fund”):
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 December 22, 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 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 (94.90% at December 31, 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.
The Fund operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act, to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Fund is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Fund’s weekly liquid assets.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the
7
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
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.
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.
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 December 31, 2016, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.
Investment Transactions and Income Recognition
Investment transactions are accounted 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 the Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of the Portfolio less expenses of the Fund.
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. 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.
8
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
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.
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 year ended December 31, 2016, the Adviser 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 the 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 the 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 the 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 December 31, 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 | |||
12/31/2017 | $ | 7,917,168 | ||
12/31/2018 | $ | 8,650,278 |
Administrator, Sub-Administrator and Custodian 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 fees are accrued daily and paid monthly.
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 (the “Distributor” or “SSGM”), an affiliate of the Adviser, 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
9
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
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 0.10% 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 December 31, 2016, the Fund was charged $666,503 but did not make any payments to SSGM under the 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 Plan. During the period ended December 31, 2016, SSGM paid $195,887 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 and Investor Class shares made payments under the Shareholder Servicing Plan at an annual rate up to 0.25% and 0.08%, respectively, of the eligible average daily net assets of the Investment Class shares and Investor Class shares, respectively. During the period ended December 31, 2016, the Fund’s Investment Class shares and Investor Class shares paid SSGM $1,238,286 and $599, respectively, under the shareholder servicing agreement which SSGM subsequently paid to financial intermediaries.
During the period ended December 31, 2016, SSGM voluntarily agreed to waive shareholder services fees of $427,971.
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, 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.
10
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
The Fund files federal and various state and local tax returns as required. No income tax returns are currently under examination. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the 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.
The tax character of distributions paid during the period ended December 31, 2016, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Treasury Money Market Fund | $ | 21,696,799 | $ | – | $ | – | $ | 21,696,799 |
The tax character of distributions paid during the period ended December 31, 2015, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Treasury Money Market Fund | $ | 124,494 | $ | – | $ | – | $ | 124,494 |
At December 31, 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 Treasury | $ | 333,117 | $ | – | $ | – | $ | – | $ | – | $ | 333,117 |
At December 31, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
6. | Risks |
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
11
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
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. | 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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Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
State Street Institutional Investment Trust:
We have audited the accompanying statement of assets and liabilities of the State Street Institutional Treasury Money Market Fund (one of the funds constituting State Street Institutional Investment Trust) (the “Fund”) as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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 Fund’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 Fund’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. 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 the State Street Institutional Treasury Money Market Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
December 31, 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 July 1, 2016 to December 31, 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 U.S. Securities and Exchange Commission (the “SEC”) 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 Treasury Money Market Fund | ||||||||||||||||||||
Premier Class | 0.12 | % | $ | 1,001.10 | $ | 0.60 | (a) | $ | 1,024.50 | $ | 0.61 | |||||||||
Investment Class | 0.34 | 1,000.00 | 1.71 | (a) | 1,023.40 | 1.73 | ||||||||||||||
Investor Class | 0.18 | 1,000.00 | 0.05 | (b) | 1,024.20 | 0.92 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
(b) | Actual period is from commencement of operations on 12/22/2016. |
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Proxy Voting Policies
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 SEC’s website at www.sec.gov, or (iv) at the SEC’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 SEC at www.sec.gov.
Quarterly Portfolio Schedule
The Fund will file its complete schedule of investments with the SEC 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 SEC’s website at www.sec.gov, or (iv) at the SEC’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 SEC on Form N-MFP. The Fund’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995-present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected:1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011- Present); Board Director and Chairman, SPDR Europe II, PLC (2013- Present). | |||||
William L. Boyan(1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959-1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984-2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995-2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995-2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. |
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 | — | |||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003-Present); Board member, Regenesis Biomedical (health care services) (April 2012-present), Chairman, (January 2014-present). | 78 | — |
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999-present); Chief Executive Officer, IEmily.com (health internet company) (2000-2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998-1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994-1998); President and CEO, Emerson Hospital (1984-1994); Honorary Consul for Monaco in Boston (2015-present). | 78 | Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009). | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | — | |||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007). | 78 | — | |||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016). | 78 | — |
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Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||||
Interested Trustee(2) | ||||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006-present); Chairman and Director, SSGA Funds Management, Inc. (2012-present); Principal, State Street Global Advisors (2006-present); President, SSGA Funds Management, Inc. (2005-2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
Officers | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005-present)*; Managing Director, State Street Global Advisors (2005-present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | 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).* |
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State Street Institutional Investment Trust
State Street Institutional Treasury Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
Officers (continued) | ||||||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009-July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1973 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011-present); Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1976 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1983 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015-present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about the Fund’s directors and is available, without charge, upon request and by calling 1-877-521-4083.
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Table of Contents
Trustees
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
Annual Report
31 December 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
Annual Report
December 31, 2016
1 | ||||
2 | ||||
3 | ||||
4 | ||||
5 | ||||
6 | ||||
7 | ||||
12 | ||||
13 |
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 Statistics (Unaudited)
Portfolio Composition* | December 31, 2016 | |||
Treasury Debt | 100.0 | % | ||
Other Assets in Excess of Liabilities | 0.0 | ** | ||
Total | 100.0 | % |
Maturity Ladder* | December 31, 2016 | |||
2 to 30 Days | 39.1 | % | ||
31 to 60 Days | 12.6 | |||
61 to 90 Days | 26.7 | |||
Over 90 Days | 21.6 | |||
Total | 100.0 | % | ||
Average days to maturity | 43 | |||
Weighted average life | 87 |
* | 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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Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
December 31, 2016
Name of Issuer and Title of Issue | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY DEBT – 100.0% | ||||||||||||||||||||
U.S. Treasury Bill(a) | 0.370 | % | 01/05/2017 | 01/05/2017 | $ | 1,351,740,000 | $ | 1,351,691,252 | ||||||||||||
U.S. Treasury Bill(a) | 0.400 | % | 01/12/2017 | 01/12/2017 | 1,888,000,000 | 1,887,750,413 | ||||||||||||||
U.S. Treasury Bill(a) | 0.420 | % | 01/19/2017 | 01/19/2017 | 1,559,735,000 | 1,559,382,252 | ||||||||||||||
U.S. Treasury Bill(a) | 0.430 | % | 01/26/2017 | 01/26/2017 | 575,000,000 | 574,831,531 | ||||||||||||||
U.S. Treasury Bill(a) | 0.430 | % | 02/02/2017 | 02/02/2017 | 126,500,000 | 126,455,584 | ||||||||||||||
U.S. Treasury Bill(a) | 0.450 | % | 02/09/2017 | 02/09/2017 | 100,000,000 | 99,952,333 | ||||||||||||||
U.S. Treasury Bill(a) | 0.450 | % | 02/16/2017 | 02/16/2017 | 175,000,000 | 174,887,076 | ||||||||||||||
U.S. Treasury Bill(a) | 0.480 | % | 02/23/2017 | 02/23/2017 | 375,000,000 | 374,735,000 | ||||||||||||||
U.S. Treasury Bill(a) | 0.490 | % | 03/02/2017 | 03/02/2017 | 301,000,000 | 300,751,475 | ||||||||||||||
U.S. Treasury Bill(a) | 0.490 | % | 03/09/2017 | 03/09/2017 | 751,000,000 | 750,302,837 | ||||||||||||||
U.S. Treasury Bill(a) | 0.510 | % | 03/16/2017 | 03/16/2017 | 808,000,000 | 807,114,634 | ||||||||||||||
U.S. Treasury Bill(a) | 0.510 | % | 03/23/2017 | 03/23/2017 | 949,000,000 | 947,906,252 | ||||||||||||||
U.S. Treasury Bill(a) | 0.510 | % | 03/30/2017 | 03/30/2017 | 924,000,000 | 922,789,927 | ||||||||||||||
U.S. Treasury Bill(a) | 0.530 | % | 04/06/2017 | 04/06/2017 | 100,000,000 | 99,870,694 | ||||||||||||||
U.S. Treasury Bill(a) | 0.550 | % | 04/13/2017 | 04/13/2017 | 177,000,000 | 176,751,758 | ||||||||||||||
U.S. Treasury Bill(a) | 0.550 | % | 04/20/2017 | 04/20/2017 | 175,000,000 | 174,750,965 | ||||||||||||||
U.S. Treasury Bill(a) | 0.560 | % | 04/27/2017 | 04/27/2017 | 100,000,000 | 99,844,528 | ||||||||||||||
U.S. Treasury Bill(a) | 0.620 | % | 05/18/2017 | 05/18/2017 | 150,000,000 | 149,645,265 | ||||||||||||||
U.S. Treasury Bill(a) | 0.620 | % | 05/25/2017 | 05/25/2017 | 150,000,000 | 149,632,200 | ||||||||||||||
U.S. Treasury Bill(a) | 0.620 | % | 06/15/2017 | 06/15/2017 | 102,000,000 | 101,698,463 | ||||||||||||||
U.S. Treasury Bill(a) | 0.630 | % | 06/01/2017 | 06/01/2017 | 153,000,000 | 152,606,666 | ||||||||||||||
U.S. Treasury Bill(a) | 0.630 | % | 06/08/2017 | 06/08/2017 | 100,000,000 | 99,730,083 | ||||||||||||||
U.S. Treasury Note(b) | 0.630 | % | 01/03/2017 | 05/01/2017 | 364,900,000 | 364,929,272 | ||||||||||||||
U.S. Treasury Note(b) | 0.633 | % | 01/03/2017 | 07/31/2017 | 358,500,000 | 358,442,601 | ||||||||||||||
U.S. Treasury Note(b) | 0.640 | % | 01/03/2017 | 01/31/2017 | 650,000,000 | 650,008,368 | ||||||||||||||
U.S. Treasury Note(b) | 0.724 | % | 01/03/2017 | 10/31/2017 | 180,500,000 | 180,462,219 | ||||||||||||||
U.S. Treasury Note(b) | 0.730 | % | 01/03/2017 | 07/31/2018 | 159,000,000 | 159,072,477 | ||||||||||||||
U.S. Treasury Note(b) | 0.746 | % | 01/04/2017 | 04/30/2018 | 423,820,000 | 424,086,990 | ||||||||||||||
U.S. Treasury Note(a) | 0.385 | % | 01/15/2017 | 01/15/2017 | 101,000,000 | 101,013,979 | ||||||||||||||
U.S. Treasury Note(b) | 0.828 | % | 01/03/2017 | 01/31/2018 | 333,000,000 | 333,590,807 | ||||||||||||||
U.S. Treasury Note(a) | 0.412 | % | 02/28/2017 | 02/28/2017 | 123,000,000 | 123,500,520 | ||||||||||||||
U.S. Treasury Note(a) | 0.465 | % | 01/31/2017 | 01/31/2017 | 219,500,000 | 219,975,090 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS(c)(d) – 100.0% |
| 13,998,163,511 | ||||||||||||||||||
Other Assets in Excess of Liabilities – 0.0%(e) |
| 6,137,728 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% |
| $ | 14,004,301,239 | |||||||||||||||||
|
|
(a) | The rate shown is the yield-to-maturity from date of acquisition. |
(b) | Variable Rate Security – Interest rate shown is rate in effect at December 31, 2016. |
(c) | Unless otherwise indicated, the values of the securities of the Fund 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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State Street Master Funds
State Street Treasury Money Market Portfolio
Statement of Assets and Liabilities
December 31, 2016
Assets |
| |||
Investments in securities, at value and cost (Note 2) | $ | 13,998,163,511 | ||
Cash | 695 | |||
Interest receivable (Note 2) | 7,089,076 | |||
Prepaid expenses and other assets | 1,691 | |||
|
| |||
Total assets | 14,005,254,973 | |||
|
| |||
Liabilities | ||||
Advisory fee payable (Note 3) | 587,158 | |||
Administration, custody and transfer agent fees payable (Note 3) | 185,315 | |||
Trustees’ fees and expenses payable (Note 4) | 59,828 | |||
Professional fees payable | 64,320 | |||
Printing fees payable | 11,363 | |||
Accrued expenses and other liabilities | 45,750 | |||
|
| |||
Total liabilities | 953,734 | |||
|
| |||
Net Assets | $ | 14,004,301,239 | ||
|
|
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 Year Ended December 31, 2016
Investment Income |
| |||
Interest income | $ | 39,633,440 | ||
|
| |||
Expenses | ||||
Advisory fee (Note 3) | 6,364,215 | |||
Administration, custodian and transfer agent fees (Note 3) | 1,530,534 | |||
Trustees’ fees and expenses (Note 4) | 273,329 | |||
Professional fees | 171,777 | |||
Printing fees | 16,138 | |||
Insurance expense | 16,327 | |||
Miscellaneous expenses | 60,616 | |||
|
| |||
Total expenses | 8,432,936 | |||
|
| |||
Net Investment Income (Loss) | 31,200,504 | |||
|
| |||
Realized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments | 309,711 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 31,510,215 | ||
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street Treasury Money Market Portfolio
Statement of Changes in Net Assets
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 31,200,504 | $ | (3,202,509 | ) | |||
Net realized gain (loss) | 309,711 | 119,782 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 31,510,215 | (3,082,727 | ) | |||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 24,797,217,848 | 26,921,306,751 | ||||||
Withdrawals | (22,661,554,484 | ) | (25,328,556,655 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital transactions | 2,135,663,364 | 1,592,750,096 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 2,167,173,579 | 1,589,667,369 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 11,837,127,660 | 10,247,460,291 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 14,004,301,239 | $ | 11,837,127,660 | ||||
|
|
|
|
See accompanying notes to financial statements.
5
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State Street Master Funds
State Street Treasury Money Market Portfolio
Selected data for a share outstanding throughout each period:
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Total return(b) | 0.25 | % | (0.04 | )% | (0.02 | )% | 0.00 | %(a) | 0.02 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 14,004,301 | $ | 11,837,128 | $ | 10,247,460 | $ | 14,558,022 | $ | 12,712,060 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | ||||||||||
Net investment income (loss) | 0.25 | % | (0.03 | )% | (0.02 | )% | 0.00 | %(a) | 0.02 | % |
(a) | Amount is less than 0.005%. |
(b) | Results represent past performance and are not indicative of future results. |
See accompanying notes to financial statements.
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Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
December 31, 2016
1. | Organization |
State Street Master Funds (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 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 of beneficial interest with no par value. The financial statements herein relate only to the Portfolio.
The Portfolio operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act, to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Portfolio is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Portfolio’s weekly liquid assets.
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.
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State Street Master Funds
State Street Treasury Money Market Portfolio
Notes to Financial Statements – (continued)
December 31, 2016
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 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 December 31, 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 premiums and discounts are amortized/accreted for financial reporting purposes.
All of the net investment income and realized 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 series of the Trust, are applied to that series within the Trust. Other expenses which cannot be attributed to a specific series of the Trust 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 series within the Trust.
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State Street Master Funds
State Street Treasury Money Market Portfolio
Notes to Financial Statements – (continued)
December 31, 2016
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”), 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 Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
Administrator, Sub-Administrator, Custodian and Transfer Agent 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.
Other Transactions with Affiliates
In December 2015, State Street, the Portfolio’s custodian, announced a review of the manner in which it invoiced certain expenses to certain of its Investment Servicing clients, primarily in the United States, during an 18-year period going back to 1998 and its determination that it had incorrectly invoiced clients for certain expenses. State Street informed its clients that it will pay to them the expenses it concluded were incorrectly invoiced to them, plus interest.
The amounts in the table below represent the refunded expenses and interest credited to the Portfolio for the periods in question.
Refunded Custody Expense* | Interest* | Total | % of Net Assets at 12/31/16 | |||||||||
$2,142 | $ | 11 | $ | 2,153 | 0.00 | %** |
* | Refunded Custody Expense and Interest appear on the Statement of Operations in Administration, custody and transfer agent fees and Interest income, respectively. |
** | Amount is less than 0.005% of net assets. |
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State Street Master Funds
State Street Treasury Money Market Portfolio
Notes to Financial Statements – (continued)
December 31, 2016
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 its 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. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the 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 December 31, 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).
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Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Notes to Financial Statements – (continued)
December 31, 2016
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. | 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 statement.
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State Street Treasury Money Market Portfolio
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Owners of Beneficial Interest of
State Street Master Funds:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of the State Street Treasury Money Market Portfolio (one of the portfolios constituting State Street Master Funds) (the “Portfolio”) as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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 audits.
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 December 31, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers 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 the State Street Treasury Money Market Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
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Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
December 31, 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 Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio 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 July 1, 2016 to December 31, 2016.
The table below illustrates your Portfolio’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 Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”. |
• | Based on hypothetical 5% return – This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
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 | % | $ | 1,001.40 | $ | 0.35 | $ | 1,024.80 | $ | 0.36 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
December 31, 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 SEC’s website at www.sec.gov, or (iii) at the SEC’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 SEC at www.sec.gov.
Quarterly Portfolio Schedule
The Portfolio will file their complete schedules of investments with the SEC 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 SEC’s website at www.sec.gov, or (iii) at the SEC’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 SEC on Form N-MFP. The Portfolio’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.
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Table of Contents
State Street Treasury Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||||
Independent Trustees | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995-present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected:1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011-Present); Board Director and Chairman, SPDR Europe II, PLC (2013-Present). | |||||||
William L. Boyan(1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959-1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984-2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995-2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995-2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. | |||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 | — |
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Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||||
Independent Trustees (continued) | ||||||||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed healthcare); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003-Present); Board member, Regenesis Biomedical (health care services) (April 2012-present), Chairman, (January 2014-present). | 78 | — | |||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999-present); Chief Executive Officer, IEmily.com (health internet company) (2000-2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998-1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994-1998); President and CEO, Emerson Hospital (1984-1994); Honorary Consul for Monaco in Boston (2015-present). | 78 | Trustee, Eastern Enterprise (utilities) (1988-2000); Director, Berkshire Life Insurance Company of America (1993-2009). |
16
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||||
Independent Trustees (continued) | ||||||||||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | — | |||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987-1999); President, Boston Stock Exchange Depository Trust Company, 1981-1982; Treasurer, Nantucket Educational Trust, (2002-2007). | 78 | — | |||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989-2009); Trustee, Randolph-Macon College (2004-2016). | 78 | — | |||||||
Interested Trustee(2) | ||||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006-present); Chairman and Director, SSGA Funds Management, Inc. (2012-present); Principal, State Street Global Advisors (2006-present); President, SSGA Funds Management, Inc. (2005-2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016-present); SSGA SPDR ETFs Europe II plc (Director) (November 2016-present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
17
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
Officers | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001-present)*; Senior Managing Director, State Street Global Advisors (1992-present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015-present); Director, Credit Suisse (April 2008-July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005-present)*; Managing Director, State Street Global Advisors (2005-present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014-present); Vice President, State Street Bank and Trust Company (2001-November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016-present); Senior Vice President, John Hancock Investments (September 2007-May 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009-July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (April 2007-present).* |
18
Table of Contents
State Street Master Funds
State Street Treasury Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
Officers (continued) | ||||||
Brian Harris SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1973 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013-present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011-present); Clerk, SSGA Funds Management, Inc. (2013-present); Associate, Financial Services Group, Dechert LLP (2005-2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1976 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013-present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1983 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015-present); Regulatory Advisor, JPMorgan (2014-2015); Claims Case Manager, Liberty Mutual Insurance (2012-2014); Contract Attorney, Various Law Firms (2011-2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about the Portfolio’s directors and is available, without charge, upon request and by calling 1-877-521-4083.
19
Table of Contents
Trustees
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 | SSTTRAR1 |
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
Annual Report
31 December 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
Annual Report
December 31, 2016
1 | ||||
2 | ||||
3 | ||||
5 | ||||
9 | ||||
16 | ||||
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.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
December 31, 2016
Assets | ||||
Investment in corresponding Portfolio, at value (Note 1) | $ | 10,628,950,948 | ||
Receivable for fund shares sold | 96,896 | |||
Receivable from Adviser (Note 3) | 9,579 | |||
Prepaid expenses and other assets | 5,799 | |||
|
| |||
Total assets | 10,629,063,222 | |||
|
| |||
Liabilities | ||||
Payable for fund shares repurchased | 1,632 | |||
Administration fees payable (Note 3) | 444,449 | |||
Shareholder servicing fee payable (Note 3) | 399,698 | |||
Distribution fees payable (Note 3) | 4,082 | |||
Trustees’ fees and expenses payable (Note 4) | 419 | |||
Transfer agent fees payable (Note 3) | 13,257 | |||
Distribution payable | 227,184 | |||
Registration and filing fees payable | 61,824 | |||
Professional fees payable | 23,384 | |||
Printing fees payable | 12,009 | |||
Accrued expenses and other liabilities | 175,255 | |||
|
| |||
Total liabilities | 1,363,193 | |||
|
| |||
Net Assets | $ | 10,627,700,029 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 10,627,679,390 | ||
Accumulated net realized gain (loss) on investments | 20,639 | |||
|
| |||
Net Assets | $ | 10,627,700,029 | ||
|
| |||
Premier Class | ||||
Net Assets | $ | 2,515,246,438 | ||
Shares outstanding | 2,515,382,976 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investment Class | ||||
Net Assets | $ | 48,170,246 | ||
Shares outstanding | 48,177,695 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investor Class | ||||
Net Assets | $ | 101,461,027 | ||
Shares outstanding | 101,461,003 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Trust Class | ||||
Net Assets | $ | 7,962,822,318 | ||
Shares outstanding | 7,963,124,479 | |||
|
| |||
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
Statement of Operations
For the Year Ended December 31, 2016
Income and Expenses allocated from Portfolio | ||||
Interest income allocated from Portfolio (Note 2) | $ | 15,262,093 | ||
Expenses allocated from Portfolio (Note 2) | (3,088,679 | ) | ||
|
| |||
Total investment income (loss) allocated from portfolio | 12,173,414 | |||
|
| |||
Expenses | ||||
Administration fees (Note 3) | 2,184,065 | |||
Shareholder servicing fees (Note 3) | ||||
Investment Class | 141,419 | |||
Investor Class | 20,311 | |||
Trust Class | 1,454,733 | |||
Distribution fees (Note 3) | ||||
Investment Class | 56,567 | |||
Custodian fees (Note 3) | 17,529 | |||
Trustees’ fees and expenses (Note 4) | 19,429 | |||
Transfer agent fees (Note 3) | 60,239 | |||
Registration and filing fees | 149,100 | |||
Professional fees | 40,507 | |||
Printing fees | 1,021 | |||
Insurance expense | 11,182 | |||
Miscellaneous expenses | 19,778 | |||
|
| |||
Total expenses | 4,175,880 | |||
|
| |||
Expenses waived/reimbursed by the Adviser (Note 3) | (366,047 | ) | ||
Shareholder servicing fees waived | ||||
Investment Class | (33,949 | ) | ||
Distribution fees waived | ||||
Investment Class | (56,567 | ) | ||
|
| |||
Net expenses | 3,719,317 | |||
|
| |||
Net Investment Income (Loss) | 8,454,097 | |||
|
| |||
Realized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments allocated from Portfolio | 21,479 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 8,475,576 | ||
|
|
See accompanying notes to financial statements.
2
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Statement of Changes in Net Assets
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 8,454,097 | $ | 46,247 | ||||
Net realized gain (loss) | 21,479 | 695 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 8,475,576 | 46,942 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | (3,353,545 | ) | (46,249 | ) | ||||
Investment Class | (595 | ) | – | |||||
Investor Class(a) | (48,938 | ) | – | |||||
Trust Class(b) | (5,051,019 | ) | – | |||||
|
|
|
| |||||
Total distributions from net investment income | (8,454,097 | ) | (46,249 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) from Beneficial Interest Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 7,753,184,699 | 10,751,778,055 | ||||||
Reinvestment of distributions | 2,911,753 | 40,118 | ||||||
Shares redeemed | (6,925,506,261 | ) | (11,758,126,363 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 830,590,191 | (1,006,308,190 | ) | |||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 226,954,326 | 222,890,448 | ||||||
Reinvestment of distributions | 127 | – | ||||||
Shares redeemed | (238,825,342 | ) | (237,630,175 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (11,870,889 | ) | (14,739,727 | ) | ||||
|
|
|
| |||||
Investor Class(a) | ||||||||
Shares sold | 195,611,352 | – | ||||||
Reinvestment of distributions | 48,938 | – | ||||||
Shares redeemed | (94,199,287 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 101,461,003 | – | ||||||
|
|
|
| |||||
Trust Class(b) | ||||||||
Shares sold | 8,942,479,868 | – | ||||||
Proceeds from shares issued in connection with the tax-free transfer of assets from SSGA U.S. Treasury Money Market Fund (Note 7) | 7,472,208,291 | – | ||||||
Reinvestment of distributions | 4,709,007 | – | ||||||
Shares redeemed | (8,456,591,527 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 7,962,805,639 | – | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 8,882,985,944 | (1,021,047,917 | ) | |||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 8,883,007,423 | (1,021,047,224 | ) | |||||
|
|
|
| |||||
Net Assets at Beginning of Period | 1,744,692,606 | 2,765,739,830 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 10,627,700,029 | $ | 1,744,692,606 | ||||
|
|
|
|
See accompanying notes to financial statements.
3
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Statement of Changes in Net Assets — (continued)
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Shares of Beneficial Interest: | ||||||||
Premier Class | ||||||||
Shares sold | $ | 7,753,201,302 | $ | 10,751,778,055 | ||||
Reinvestment of distributions | 2,911,753 | 40,118 | ||||||
Shares redeemed | (6,925,506,261 | ) | (11,758,126,363 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 830,606,794 | (1,006,308,190 | ) | |||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 226,937,723 | 222,890,448 | ||||||
Reinvestment of distributions | 127 | – | ||||||
Shares redeemed | (238,825,342 | ) | (237,630,175 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (11,887,492 | ) | (14,739,727 | ) | ||||
|
|
|
| |||||
Investor Class(a) | ||||||||
Shares sold | 195,611,352 | – | ||||||
Reinvestment of distributions | 48,938 | – | ||||||
Shares redeemed | (94,199,287 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 101,461,003 | – | ||||||
|
|
|
| |||||
Trust Class(b) | ||||||||
Shares sold | 8,942,798,708 | – | ||||||
Shares issued in connection with the tax-free transfer of assets from SSGA U.S. Treasury Money Market Fund (Note 7) | 7,472,208,291 | – | ||||||
Reinvestment of distributions | 4,709,007 | – | ||||||
Shares redeemed | (8,456,591,527 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 7,963,124,479 | – | ||||||
|
|
|
|
(a) | For the period October 14, 2016 (inception date) through December 31, 2016. |
(b) | For the period August 29, 2016 (inception date) through December 31, 2016. |
See accompanying notes to financial statements.
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)
Premier Class | ||||||||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss) | 0.0019 | 0.0000 | (b)(c) | 0.0000 | (b)(c) | (0.0001 | )(b)(c) | 0.0002 | (b)(c) | |||||||||||
Net realized gain (loss) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0001 | 0.0000 | (b) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | 0.0019 | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0002 | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.0019 | ) | (0.0000 | )(b) | – | (0.0000 | )(b) | (0.0002 | ) | |||||||||||
Net realized gains | – | – | – | (0.0000 | )(b) | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.0019 | ) | (0.0000 | )(b) | – | (0.0000 | )(b) | (0.0002 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 0.19 | % | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.02 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 2,515,246 | $ | 1,684,652 | $ | 2,690,959 | $ | 2,679,596 | $ | 2,203,141 | ||||||||||
Ratios to average net assets | ||||||||||||||||||||
Total expenses | 0.14 | % | 0.14 | % | 0.13 | % | 0.13 | % | 0.14 | % | ||||||||||
Net expenses | 0.12 | % | 0.06 | % | 0.05 | % | 0.08 | % | 0.11 | % | ||||||||||
Net investment income (loss) | 0.20 | % | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 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) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
See accompanying notes to financial statements.
5
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 | ||||||||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations | ||||||||||||||||||||
Net investment income (loss) | 0.0000 | (b) | 0.0000 | (b)(c) | 0.0000 | (b)(c) | (0.0001 | )(b)(c) | 0.0000 | (b)(c) | ||||||||||
Net realized gain (loss) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0001 | 0.0000 | (b) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
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 investment income | (0.0000 | )(b) | – | – | – | – | ||||||||||||||
Net realized gains | – | – | – | (0.0000 | )(b) | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.0000 | )(b) | – | – | (0.0000 | )(b) | – | |||||||||||||
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|
|
|
|
|
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|
| |||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
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|
| |||||||||||
Total return(d) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 48,170 | $ | 60,041 | $ | 74,781 | $ | 73,449 | $ | 95,222 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.49 | % | 0.49 | % | 0.48 | % | 0.48 | % | 0.49 | % | ||||||||||
Net expenses | 0.31 | % | 0.06 | % | 0.05 | % | 0.08 | % | 0.13 | % | ||||||||||
Net investment income (loss) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) |
(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) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
See accompanying notes to financial statements.
6
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)
Investor Class | ||||
For the Period 10/14/16* - 12/31/16 | ||||
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 asset value, end of period | $ | 1.0000 | ||
|
| |||
Total return(c) | 0.04 | % | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 101,461 | ||
Total expenses | 0.20 | %(d) | ||
Net expenses | 0.20 | %(d) | ||
Net investment income (loss) | 0.19 | %(d) |
* | 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) | Annualized. |
See accompanying notes to financial statements.
7
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)
Trust Class | ||||
For the Period Ended 8/29/16* - 12/31/16 | ||||
Net asset value, beginning of period | $ | 1.0000 | ||
|
| |||
Income (loss) from investment operations | ||||
Net investment income (loss) | 0.0007 | |||
Net realized gain (loss) | 0.0000 | (b) | ||
|
| |||
Total from investment operations | 0.0007 | |||
|
| |||
Distributions to shareholders from: | ||||
Net investment income | (0.0007 | ) | ||
|
| |||
Net asset value, end of period | $ | 1.0000 | ||
|
| |||
Total return(c) | 0.07 | % | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 7,962,822 | ||
Total expenses | 0.18 | %(d) | ||
Net expenses | 0.18 | %(d) | ||
Net investment income (loss) | 0.19 | %(d) |
* | Commecement 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) | Annualized. |
See accompanying notes to financial statements.
8
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
December 31, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2016, the Trust consists of thirty-three (33) 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. 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 fund (the “Fund”):
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 Trust Class | Not commenced October 24, 2007 October 24, 2007 Not commenced October 14, 2016 Not commenced August 29, 2016 | 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 December 31, 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.
The Fund operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act, to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Fund is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Fund’s weekly liquid assets.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
9
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
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.
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.
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 December 31, 2016, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.
Investment Transactions and Income Recognition
Investment transactions are accounted 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 the Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of the Portfolio less expenses of the Fund.
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. 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
10
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
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.
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 Fees and Sub-Transfer Agency Fees, as measured on an annualized basis) exceed 0.07% of average daily net assets on an annual basis. This waiver and/or reimbursement may not be terminated during the relevant period except with approval of the Board. For the period ended December 31, 2016, the Adviser waived fees in the amount of $366,047.
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 year ended December 31, 2016, the Adviser 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 the 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 the 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 the 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 December 31, 2016, SSGA FM has not
11
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
recouped any expenses from the Fund. Waived/reduced fees subject to potential recovery by year of expiration are as follows:
Expiration Date | Amount | |||
12/31/2017 | $ | 1,802,611 | ||
12/31/2018 | $ | 1,116,105 | ||
12/31/2019 | $ | 366,047 |
Administrator, Sub-Administrator and Custodian 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 fees are accrued daily and paid monthly.
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 (the “Distributor” or “SSGM”), an affiliate of the Adviser, 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 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 0.10% 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 December 31, 2016, the Fund was charged $56,579 but paid $12 to SSGM under the Rule 12b-1 Plan, as SSGM voluntarily agreed to waive $56,567 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 Plan. During the period ended December 31, 2016, SSGM paid $8,487 to WMS.
Under the Fund’s Shareholder Servicing Plan and other shareholder servicing arrangements, the Fund compensates financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Fund’s Investment Class shares, Investor Class shares and Trust Class shares made payments for these services at an annual rate up to 0.25%, 0.08% and 0.056%, respectively, of the eligible average daily net assets of the Investment Class shares, Investor Class shares and Trust Class shares, respectively. During the period ended December 31, 2016, the Fund’s Investment Class shares, Investor Class shares and Trust Class shares paid SSGM $107,470, $20,311 and $1,454,733, respectively, for these services which SSGM subsequently paid in part to financial intermediaries.
During the period ended December 31, 2016, SSGM voluntarily agreed to waive shareholder services fees of $33,949.
12
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
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, 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. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the 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.
The tax character of distributions paid during the year ended December 31, 2016, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Treasury Plus Money Market Fund | $ | 8,454,097 | $ | – | $ | – | $ | 8,454,097 |
The tax character of distributions paid during the year ended December 31, 2015 was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Treasury Plus Money Market Fund | $ | 46,247 | $ | – | $ | – | $ | 46,247 |
13
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
At December 31, 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 Treasury Plus Money Market Fund | $ | 20,639 | $ | – | $ | – | $ | – | $ | – | $ | 20,639 |
At December 31, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
6. | Risks |
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. | Reorganization |
On August 29, 2016, State Street Institutional Treasury Plus Money Market Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA U.S. Treasury Money Market Fund (“Acquired Fund”) in exchange for Trust Class shares of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board.
The reorganization provides shareholders of the Acquired Fund access to a larger portfolio with a similar investment objective. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Acquired Fund were carried forward to align ongoing reporting of the Fund’s realized gains and losses with amounts distributable to shareholders for tax purposes. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders.
For every one share of SSGA U.S. Treasury Money Market Fund N Class exchanged, a shareholder received one share of the Fund’s Trust Class.
14
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
The Fund received net assets from SSGA U.S. Treasury Money Market Fund as the result of the tax-free reorganization as follows:
Shares of the Fund Issued | Net Assets Received from Acquired Fund | Net Assets of the Fund Immediately Prior to Combination | Net Assets of Immediately | |||||||||||||
SSGA U.S. Treasury Money Market Fund | 7,472,208,291 | $ | 7,471,889,450 | $ | 1,776,618,840 | $ | 9,248,508,290 |
Immediately following, the Fund transferred to the Portfolio all of the assets and liabilities received from the Acquired Fund in exchange for an interest in the Portfolio.
Assuming the acquisition had been completed on January 1, 2016, the beginning of the annual reporting period of the Acquiring Fund, the Acquiring Fund’s pro forma results of operations for the period ended December 31, 2016, are as follows:
Net Investment income (loss) $18,025,356
Total net realized gain (loss) $39,294
Net increase (decrease) in net assets resulting from operations $18,064,650
Because the combined investment portfolios have been managed as a single portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Fund that have been included in the Acquiring Fund’s accompanying Statement of Operations as of December 31, 2016.
The statement of operations, statement of changes in net assets and the financial highlights for the current period do not include any pre-merger activity of the Acquired Fund and prior reporting periods of the accounting survivor (the Fund) are not restated.
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.
15
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
State Street Institutional Investment Trust:
We have audited the accompanying statement of assets and liabilities of the State Street Institutional Treasury Plus Money Market Fund (one of the funds constituting State Street Institutional Investment Trust) (the “Fund”) as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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 Fund’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 Fund’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. 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 Institutional Treasury Plus Money Market Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
16
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
December 31, 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 July 1, 2016 to December 31, 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 U.S. Securities and Exchange Commission (the “SEC”) 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 Treasury Plus Money Market Fund | ||||||||||||||||||||
Premier Class | 0.12 | % | $ | 1,001.10 | $ | 0.60 | (a) | $ | 1,024.50 | $ | 0.61 | |||||||||
Investment Class | 0.34 | 1,000.00 | 1.71 | (a) | 1,023.40 | 1.73 | ||||||||||||||
Investor Class | 0.20 | 1,000.40 | 0.44 | (b) | 1,024.10 | 1.02 | ||||||||||||||
Trust Class | 0.18 | 1,000.70 | 0.61 | (c) | 1,024.30 | 0.92 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
(b) | Actual period is from commencement of operations on 10/14/2016. |
(c) | Actual period is from commencement of operations on 8/29/2016. |
17
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
December 31, 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 SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. 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 SEC at www.sec.gov.
Quarterly Portfolio Schedule
The Fund will file its complete schedule of investments with the SEC 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 SEC’s website at www.sec.gov, or (iv) at the SEC’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 SEC on Form N-MFP. The Fund’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.
18
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||
William L. Boyan(1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. |
19
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 | ||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 |
20
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | ||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 |
21
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Interested Trustee(2) | ||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
22
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Treasury Plus Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers: (continued) | ||||||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about the Fund’s directors and is available, without charge, upon request and by calling 1-877-521-4083.
23
Table of Contents
Trustees
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Michael A. Jessee
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
Annual Report
31 December 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
Annual Report
December 31, 2016
1 | ||||
2 | ||||
4 | ||||
5 | ||||
6 | ||||
7 | ||||
8 | ||||
13 | ||||
14 |
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 Treasury Plus Money Market Portfolio
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2016 | |||
Treasury Debt | 55.9 | % | ||
Treasury Repurchase Agreements | 38.3 | |||
Other Assets in Excess of Liabilities | 5.8 | |||
Total | 100.0 | % |
Maturity Ladder* | December 31, 2016 | |||
2 to 30 Days | 43.5 | % | ||
31 to 60 Days | 10.8 | |||
61 to 90 Days | 19.7 | |||
Over 90 Days | 20.2 | |||
Total | 94.2 | % | ||
Average days to maturity | 30 | |||
Weighted average life | 74 |
* | 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.
1
Table of Contents
State Street Treasury Plus Money Market Portfolio
Schedule of Investments
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY DEBT – 55.9% | ||||||||||||||||||||
U.S. Treasury Bill(a) | 0.390 | % | 01/12/2017 | 01/12/2017 | $ | 285,000,000 | $ | 284,967,642 | ||||||||||||
U.S. Treasury Bill(a) | 0.395 | % | 02/02/2017 | 02/02/2017 | 95,000,000 | 94,966,644 | ||||||||||||||
U.S. Treasury Bill(a) | 0.400 | % | 02/16/2017 | 02/16/2017 | 135,000,000 | 134,917,583 | ||||||||||||||
U.S. Treasury Bill(a) | 0.420 | % | 03/30/2017 | 03/30/2017 | 600,000,000 | 599,220,406 | ||||||||||||||
U.S. Treasury Bill(a) | 0.423 | % | 01/19/2017 | 01/19/2017 | 250,000,000 | 249,953,375 | ||||||||||||||
U.S. Treasury Bill(a) | 0.425 | % | 01/26/2017 | 01/26/2017 | 110,000,000 | 109,973,516 | ||||||||||||||
U.S. Treasury Bill(a) | 0.440 | % | 02/09/2017 | 02/09/2017 | 85,000,000 | 84,959,483 | ||||||||||||||
U.S. Treasury Bill(a) | 0.470 | % | 04/20/2017 | 04/20/2017 | 75,000,000 | 74,893,271 | ||||||||||||||
U.S. Treasury Bill(a) | 0.480 | % | 02/23/2017 | 02/23/2017 | 50,000,000 | 49,964,667 | ||||||||||||||
U.S. Treasury Bill(a) | 0.483 | % | 04/27/2017 | 04/27/2017 | 75,000,000 | 74,883,396 | ||||||||||||||
U.S. Treasury Bill(a) | 0.490 | % | 03/09/2017 | 03/09/2017 | 225,000,000 | 224,789,890 | ||||||||||||||
U.S. Treasury Bill(a) | 0.490 | % | 04/06/2017 | 04/06/2017 | 75,000,000 | 74,903,021 | ||||||||||||||
U.S. Treasury Bill(a) | 0.495 | % | 04/13/2017 | 04/13/2017 | 75,000,000 | 74,894,813 | ||||||||||||||
U.S. Treasury Bill(a) | 0.503 | % | 03/02/2017 | 03/02/2017 | 200,000,000 | 199,834,896 | ||||||||||||||
U.S. Treasury Bill(a) | 0.518 | % | 03/23/2017 | 03/23/2017 | 450,000,000 | 449,478,084 | ||||||||||||||
U.S. Treasury Bill(a) | 0.545 | % | 03/16/2017 | 03/16/2017 | 460,000,000 | 459,486,976 | ||||||||||||||
U.S. Treasury Bill(a) | 0.615 | % | 05/25/2017 | 05/25/2017 | 75,000,000 | 74,816,100 | ||||||||||||||
U.S. Treasury Bill(a) | 0.615 | % | 06/08/2017 | 06/08/2017 | 75,000,000 | 74,797,563 | ||||||||||||||
U.S. Treasury Bill(a) | 0.620 | % | 06/01/2017 | 06/01/2017 | 100,000,000 | 99,742,881 | ||||||||||||||
U.S. Treasury Bill(a) | 0.625 | % | 05/18/2017 | 05/18/2017 | 100,000,000 | 99,763,504 | ||||||||||||||
U.S. Treasury Bill(a) | 0.645 | % | 06/15/2017 | 06/15/2017 | 75,000,000 | 74,778,281 | ||||||||||||||
U.S. Treasury Note(a) | 0.385 | % | 01/15/2017 | 01/15/2017 | 75,000,000 | 75,010,380 | ||||||||||||||
U.S. Treasury Note(a) | 0.412 | % | 02/28/2017 | 02/28/2017 | 77,500,000 | 77,814,624 | ||||||||||||||
U.S. Treasury Note(a) | 0.465 | % | 01/31/2017 | 01/31/2017 | 161,000,000 | 161,348,472 | ||||||||||||||
U.S. Treasury Note(b) | 0.630 | % | 01/03/2017 | 04/30/2017 | 279,930,000 | 279,951,198 | ||||||||||||||
U.S. Treasury Note(b) | 0.633 | % | 01/03/2017 | 07/31/2017 | 309,500,000 | 309,457,508 | ||||||||||||||
U.S. Treasury Note(b) | 0.640 | % | 01/03/2017 | 01/31/2017 | 535,800,000 | 535,807,698 | ||||||||||||||
U.S. Treasury Note(b) | 0.706 | % | 01/03/2017 | 04/30/2018 | 250,836,000 | 250,944,441 | ||||||||||||||
U.S. Treasury Note(b) | 0.724 | % | 01/03/2017 | 10/31/2017 | 254,500,000 | 254,370,366 | ||||||||||||||
U.S. Treasury Note(b) | 0.730 | % | 01/03/2017 | 07/31/2018 | 96,000,000 | 96,054,974 | ||||||||||||||
U.S. Treasury Note(b) | 0.828 | % | 01/03/2017 | 01/31/2018 | 238,000,000 | 238,407,748 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY DEBT | 5,945,153,401 | |||||||||||||||||||
|
| |||||||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 38.3% | ||||||||||||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by a U.S. Treasury Bond, 8.500% due 02/15/2020, U.S. Treasury Inflation Index Bond, 1.000% due 02/15/2046, and U.S. Treasury Notes, 0.875% – 2.000% due 11/30/2017 – 08/15/2025, valued at $74,464,181); expected proceeds $73,004,056 | 0.500 | % | 01/03/2017 | 01/03/2017 | 73,000,000 | 73,000,000 |
See accompanying notes to financial statements.
2
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Schedule of Investments — (continued)
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by U.S. Treasury Notes, 0.875% – 1.375% due 07/15/2017 – 01/31/2021, and U.S. Treasury Strip, 0.000% due 05/15/2026, valued at $52,020,100); expected proceeds $51,002,833 | 0.500 | % | 01/03/2017 | 01/03/2017 | $ | 51,000,000 | $ | 51,000,000 | ||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by a U.S. Treasury Note, 1.375% due 04/30/2020, valued at $22,440,047); expected proceeds $22,001,247 | 0.510 | % | 01/03/2017 | 01/03/2017 | 22,000,000 | 22,000,000 | ||||||||||||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by U.S. Treasury Bonds, 3.125% – 3.875% due 08/15/2040 – 02/15/2043, and U.S. Treasury Note, 2.000% due 11/15/2021, valued at $3,550,197,321); expected proceeds $3,550,197,222 | 0.500 | % | 01/03/2017 | 01/03/2017 | 3,550,000,000 | 3,550,000,000 | ||||||||||||||
Agreement with Lloyds Bank PLC, dated 12/16/2016 (collateralized by a U.S. Treasury Note, 0.000% due 02/15/2026, valued at $180,838,592); expected proceeds $175,380,625(c) | 0.870 | % | 01/03/2017 | 03/16/2017 | 175,000,000 | 175,000,000 | ||||||||||||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by U.S. Treasury Bonds, 3.000% – 6.500% due 11/15/2026 – 05/15/2042, U.S. Treasury Inflation Index Note, 0.125% due 04/15/2019, and U.S. Treasury Notes, 0.625% – 1.625% due 06/30/2018 – 10/31/2023, valued at $204,011,589); expected proceeds $200,011,333 | 0.510 | % | 01/03/2017 | 01/03/2017 | 200,000,000 | 200,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS |
| 4,071,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS – 94.2%(d)(e) | 10,016,153,401 | |||||||||||||||||||
Other Assets in Excess of Liabilities – 5.8% | 612,798,573 | |||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% | $ | 10,628,951,974 | ||||||||||||||||||
|
|
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security – Interest rate shown is rate in effect at December 31, 2016. |
(c) | Illiquid security. This security represents $175,000,000 or 1.7% of net assets as of December 31, 2016. |
(d) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs. (Note 2) |
(e) | Also represents the cost for federal tax purposes. |
See accompanying notes to financial statements.
3
Table of Contents
State Street Treasury Plus Money Market Portfolio
Statement of Assets and Liabilities
December 31, 2016
Assets | ||||
Investments in securities, at value and cost (Note 2) | $ | 5,945,153,401 | ||
Repurchase agreements, at amortized cost | 4,071,000,000 | |||
|
| |||
Total Investments | 10,016,153,401 | |||
Cash | 608,049,969 | |||
Interest receivable (Note 2) | 5,399,084 | |||
Prepaid expenses and other assets | 254 | |||
|
| |||
Total assets | 10,629,602,708 | |||
Liabilities |
| |||
Advisory fee payable (Note 4) | 443,567 | |||
Administration, custodian and transfer agent fees payable (Note 4) | 74,047 | |||
Trustees’ fees and expenses payable (Note 5) | 379 | |||
Professional fees payable | 60,166 | |||
Printing fees payable | 9,227 | |||
Accrued expenses and other liabilities | 63,348 | |||
|
| |||
Total liabilities | 650,734 | |||
|
| |||
Net Assets | $ | 10,628,951,974 | ||
|
|
See accompanying notes to financial statements.
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Table of Contents
State Street Treasury Plus Money Market Portfolio
Statement of Operations
For the Year Ended December 31, 2016
Investment Income |
| |||
Interest income | $ | 15,262,095 | ||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 2,228,424 | |||
Administration, custodian and transfer agent fees (Note 4) | 564,714 | |||
Trustees’ fees and expenses (Note 5) | 47,654 | |||
Professional fees | 156,062 | |||
Printing and postage fees | 3,736 | |||
Insurance expense | 6,505 | |||
Miscellaneous expenses | 81,584 | |||
|
| |||
Total Expenses | 3,088,679 | |||
|
| |||
Net Investment Income (Loss) | 12,173,416 | |||
|
| |||
Realized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investments | 21,479 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 12,194,895 | ||
|
|
See accompanying notes to financial statements.
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Table of Contents
State Street Treasury Plus Money Market Portfolio
Statement of Changes in Net Assets
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 12,173,416 | $ | (248,077 | ) | |||
Net realized gain (loss) | 21,479 | 695 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 12,194,895 | (247,382 | ) | |||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 12,712,264,167 | 8,379,100,091 | ||||||
Proceeds in connection with Reorganization (Note 8) | 7,471,889,450 | – | ||||||
Withdrawals | (11,312,210,340 | ) | (9,399,568,878 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital transactions | 8,871,943,277 | (1,020,468,787 | ) | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | 8,884,138,172 | (1,020,716,169 | ) | |||||
|
|
|
| |||||
Net Assets at Beginning of Period | 1,744,813,802 | 2,765,529,971 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 10,628,951,974 | $ | 1,744,813,802 | ||||
|
|
|
|
See accompanying notes to financial statements.
6
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State Street Treasury Plus Money Market Portfolio
Financial Highlights
Selected data for a share outstanding throughout each period
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Total return(a) | 0.23 | % | (0.01 | )% | (0.02 | )% | 0.00 | %(b) | 0.06 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 10,628,952 | $ | 1,744,814 | $ | 2,765,530 | $ | 2,753,017 | $ | 2,298,541 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.08 | % | ||||||||||
Net investment income (loss) | 0.27 | % | (0.01 | )% | (0.02 | )% | 0.00 | %(b) | 0.06 | % |
(a) | Results represent past performance and are not indicative of future results. |
(b) | Amount is less than 0.005%. |
See accompanying notes to financial statements.
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State Street Treasury Plus Money Market Portfolio
Notes to Financial Statements
December 31, 2016
1. | Organization |
State Street Master Funds (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 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 of beneficial interest with no par value. The financial statements herein relate only to the Portfolio.
The Portfolio operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act, to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Portfolio is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Portfolio’s weekly liquid assets.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 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.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
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 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 December 31, 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 premiums and discounts are amortized/accreted for financial reporting purposes.
All of the net investment income and realized 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 series of the Trust, are applied to that series within the Trust. Other expenses which cannot be attributed to a specific series of the Trust 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 series within the Trust.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
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 December 31, 2016, the Portfolio had invested in repurchase agreements with the gross values of $4,071,000,000 and associated collateral equal to $4,083,971,830.
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”), 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 Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
Administrator, Sub-Administrator, Custodian and Transfer Agent 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 |
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
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
In December 2015, State Street, the Portolio’s custodian, announced a review of the manner in which it invoiced certain expenses to certain of its Investment Servicing clients, primarily in the United States, during an 18-year period going back to 1998 and its determination that it had incorrectly invoiced clients for certain expenses. State Street informed its clients that it will pay to them the expenses it concluded were incorrectly invoiced to them, plus interest.
The amounts in the table below represent the refunded expenses and interest credited to the Portfolio for the periods in question.
Refunded Custody Expense* | Interest* | Total | % of Net Assets at 12/31/16 | |||||||||
$2,142 | $ | 11 | $ | 2,153 | 0.00 | %** |
* | Refunded Custody Expense and Interest appear on the Statement of Operations in Administration, custody and transfer agent fees and Interest income, respectively. |
** | Amount is less than 0.005% of net assets. |
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 its 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. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the 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 December 31, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
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 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. Proceeds in Connection with Reorganization
On August 29, 2016, State Street Institutional Treasury Plus Money Market Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA U.S. Treasury Money Market Fund (“Acquired Fund”) in exchange for Trust Class shares of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board. Immediately following, the Fund transferred to the Portfolio all of the net assets received from the Acquired Fund in exchange for an interest in the Portfolio, which is disclosed in the Statements of Changes in Net Assets.
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 statement.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Owners of Beneficial Interest of
State Street Master Funds:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of the State Street Treasury Plus Money Market Portfolio (one of the portfolios constituting State Street Master Funds) (the “Portfolio”) as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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 audits.
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 December 31, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers 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 the State Street Treasury Plus Money Market Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
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State Street Treasury Plus Money Market Portfolio
Other Information
December 31, 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 Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio 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 July 1, 2016 to December 31, 2016.
The table below illustrates your Portfolio’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 Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”. |
• | Based on hypothetical 5% return – This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
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 | 0.07 | % | $ | 1,001.40 | $ | 0.35 | $ | 1,024.80 | $ | 0.36 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
December 31, 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 SEC’s website at www.sec.gov, or (iii) at the SEC’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 SEC at www.sec.gov.
Quarterly Portfolio Schedule
The Portfolio will file their complete schedules of investments with the SEC 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 SEC’s website at www.sec.gov, or (iii) at the SEC’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 SEC on Form N-MFP. The Portfolio’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.
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Table of Contents
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held | Term of Office Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships During Past Five Years | |||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||
William L. Boyan(1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. |
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State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 | ||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 |
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Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | ||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 |
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State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships During Past Five Years | |||||
Interested Trustee(2) | ||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | 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).* |
19
Table of Contents
State Street Master Funds
State Street Treasury Plus Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers: (continued) | ||||||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about the Portfolio’s directors and is available, without charge, upon request and by calling 1-877-521-4083.
20
Table of Contents
Trustees
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Michael A. Jessee
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 | STTTPAR1 |
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
Annual Report
31 December 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
Annual Report
December 31, 2016
1 | ||||
2 | ||||
3 | ||||
5 | ||||
11 | ||||
18 | ||||
19 |
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
December 31, 2016
Assets | ||||
Investment in corresponding Portfolio, at value (Note 1) | $ | 50,119,349,984 | ||
Receivable for fund shares sold | 3,053,006 | |||
Receivable from Adviser (Note 3) | 23,247 | |||
Prepaid expenses and other assets | 49,099 | |||
|
| |||
Total assets | 50,122,475,336 | |||
Liabilities | ||||
Payable for fund shares repurchased | 84,237 | |||
Administration fees payable (Note 3) | 1,960,838 | |||
Shareholder servicing fee payable (Note 3) | 754,939 | |||
Distribution fees payable (Note 3) | 212,960 | |||
Trustees’ fees and expenses payable (Note 4) | 4,645 | |||
Transfer agent fees payable (Note 3) | 32,854 | |||
Distribution payable | 1,556,373 | |||
Registration and filing fees payable | 216,151 | |||
Professional fees payable | 22,838 | |||
Printing and postage fees payable | 52,844 | |||
Accrued expenses and other liabilities | 251,351 | |||
|
| |||
Total liabilities | 5,150,030 | |||
|
| |||
Net Assets | $ | 50,117,325,306 | ||
|
| |||
Net Assets Consist of: | ||||
Paid-in Capital | $ | 50,117,249,286 | ||
Accumulated net realized gain (loss) on investments | 76,020 | |||
|
| |||
Net Assets | $ | 50,117,325,306 | ||
|
| |||
Premier Class | ||||
Net Assets | $ | 43,302,732,774 | ||
Shares outstanding | 43,302,965,244 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investment Class | ||||
Net Assets | $ | 903,049,960 | ||
Shares outstanding | 903,056,644 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Class M | ||||
Net Assets | $ | 1,675,741,370 | ||
Shares outstanding | 1,675,741,170 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Administration Class | ||||
Net Assets | $ | 3,423,654,516 | ||
Shares outstanding | 3,423,784,418 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Investor Class | ||||
Net Assets | $ | 230,155,803 | ||
Shares outstanding | 230,156,207 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.00 | ||
|
| |||
Class G | ||||
Net Assets | $ | 581,990,883 | ||
Shares outstanding | 581,999,451 | |||
|
| |||
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 Year Ended December 31, 2016
Income and Expenses Allocated from Portfolio | ||||
Interest income allocated from Portfolio (Note 2) | $ | 99,546,059 | ||
Expenses allocated from Portfolio (Note 2) | (16,818,763 | ) | ||
|
| |||
Total investment income (loss) allocated from portfolio | 82,727,296 | |||
|
| |||
Expenses | ||||
Administration fees (Note 3) | ||||
Premier Class | 11,531,640 | |||
Investment Class | 390,982 | |||
Class M | 39,503 | |||
Administration Class | 506,736 | |||
Investor Class | 25,745 | |||
Class G | 69,503 | |||
Shareholder servicing fees (Note 3) | ||||
Investment Class | 1,954,910 | |||
Administration Class | 2,026,944 | |||
Investor Class | 41,193 | |||
Distribution fees (Note 3) | ||||
Investment Class | 781,964 | |||
Administration Class | 506,736 | |||
Custodian fees (Note 3) | 18,228 | |||
Trustees’ fees and expenses (Note 4) | 27,284 | |||
Transfer agent fees (Note 3) | 116,277 | |||
Registration and filing fees | 347,929 | |||
Professional fees | 40,901 | |||
Printing and postage fees | 90,763 | |||
Insurance expense | 68,820 | |||
Miscellaneous expenses | 69,346 | |||
|
| |||
Total expenses | 18,655,404 | |||
|
| |||
Distribution fee waived (Note 3) | ||||
Investment Class | (772,397 | ) | ||
Administration Class | (5,456 | ) | ||
|
| |||
Net Expenses | 17,877,551 | |||
|
| |||
Net Investment Income (Loss) | 64,849,745 | |||
|
| |||
Realized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investment transactions allocated from Portfolio | 76,020 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 64,925,765 | ||
|
|
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
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 64,849,745 | $ | 720,256 | ||||
Net realized gain (loss) | 76,020 | 101,189 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 64,925,765 | 821,445 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | (61,763,962 | ) | (565,219 | ) | ||||
Investment Class | (24,335 | ) | – | |||||
Class M(a) | (489,149 | ) | – | |||||
Administration Class(b) | (431,978 | ) | – | |||||
Investor Class(c) | (109,902 | ) | – | |||||
Class G | (2,030,419 | ) | (155,037 | ) | ||||
|
|
|
| |||||
Total distributions from net investment income | (64,849,745 | ) | (720,256 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) from Beneficial Interest Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 173,548,501,157 | 43,034,500,814 | ||||||
Reinvestment of distributions | 53,971,307 | 492,834 | ||||||
Shares redeemed | (143,816,071,101 | ) | (40,481,619,457 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 29,786,401,363 | 2,553,374,191 | ||||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 4,647,547,163 | 4,327,886,922 | ||||||
Reinvestment of distributions | 5,800 | – | ||||||
Shares redeemed | (4,716,057,103 | ) | (3,972,047,433 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (68,504,140 | ) | 355,839,489 | |||||
|
|
|
| |||||
Class M(a) | ||||||||
Shares sold | 2,447,727,590 | – | ||||||
Reinvestment of distributions | 489,155 | – | ||||||
Shares redeemed | (772,475,575 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 1,675,741,170 | – | ||||||
|
|
|
| |||||
Administration Class(b) | ||||||||
Shares sold | 10,794,928,973 | – | ||||||
Proceeds from shares issued in connection with the tax-free transfer of assets from SSGA U.S. Government Money Market Fund (Note 7) | 2,551,637,435 | – | ||||||
Reinvestment of distributions | 112,178 | – | ||||||
Shares redeemed | (9,923,026,350 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 3,423,652,236 | – | ||||||
|
|
|
| |||||
Investor Class(c) | ||||||||
Shares sold | 431,820,425 | – | ||||||
Reinvestment of distributions | 61,257 | – | ||||||
Shares redeemed | (201,726,040 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 230,155,642 | – | ||||||
|
|
|
|
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)
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Class G | ||||||||
Shares sold | $ | 1,988,575,206 | $ | 2,487,611,939 | ||||
Reinvestment of distributions | 2,030,422 | 155,037 | ||||||
Shares redeemed | (2,141,555,405 | ) | (2,627,170,798 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (150,949,777 | ) | (139,403,822 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | 34,896,496,494 | 2,769,809,858 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 34,896,572,514 | 2,769,911,047 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 15,220,752,792 | 12,450,841,745 | ||||||
|
|
|
| |||||
Net Assets at end of Period | $ | 50,117,325,306 | $ | 15,220,752,792 | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Premier Class | ||||||||
Shares sold | 173,548,537,300 | 43,034,500,814 | ||||||
Reinvestment of distributions | 53,971,307 | 492,834 | ||||||
Shares redeemed | (143,816,071,101 | ) | (40,481,619,457 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 29,786,437,506 | 2,553,374,191 | ||||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 4,647,491,417 | 4,327,886,922 | ||||||
Reinvestment of distributions | 5,800 | – | ||||||
Shares redeemed | (4,716,057,102 | ) | (3,972,047,433 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (68,559,885 | ) | 355,839,489 | |||||
|
|
|
| |||||
Class M(a) | ||||||||
Shares sold | 2,447,727,590 | – | ||||||
Reinvestment of distributions | 489,155 | – | ||||||
Shares redeemed | (772,475,575 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 1,675,741,170 | – | ||||||
|
|
|
| |||||
Administration Class(b) | ||||||||
Shares sold | 10,795,182,861 | – | ||||||
Shares issued in connection with the tax-free transfer of assets from SSGA U.S. Government Money Market Fund (Note 7) | 2,551,637,435 | – | ||||||
Reinvestment of distributions | 112,178 | – | ||||||
Shares redeemed | (9,923,148,056 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 3,423,784,418 | – | ||||||
|
|
|
| |||||
Investor Class(c) | ||||||||
Shares sold | 431,820,990 | – | ||||||
Reinvestment of distributions | 61,257 | – | ||||||
Shares redeemed | (201,726,040 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 230,156,207 | – | ||||||
|
|
|
| |||||
Class G | ||||||||
Shares sold | 1,988,594,244 | 2,487,611,932 | ||||||
Reinvestment of distributions | 2,030,422 | 155,044 | ||||||
Shares redeemed | (2,141,555,405 | ) | (2,627,170,798 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (150,930,739 | ) | (139,403,822 | ) | ||||
|
|
|
|
(a) | For the period November 30, 2016 (inception date) through December 31, 2016. |
(b) | For the period August 23, 2016 (inception date) through December 31, 2016. |
(c) | For the period March 21, 2016 (inception date) through December 31, 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 | ||||||||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss) | 0.0025 | 0.0000 | (b)(c) | (0.0000 | )(b)(c) | 0.0001 | (b) | 0.0003 | (b) | |||||||||||
Net realized gain (loss) | (0.0000 | )(c) | 0.0000 | (c) | – | – | 0.0000 | (c) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | 0.0025 | 0.0000 | (c) | (0.0000 | )(c) | 0.0001 | 0.0003 | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | (0.0025 | ) | (0.0000 | )(c) | – | (0.0001 | ) | (0.0003 | ) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 0.25 | % | 0.00 | %(e) | 0.00 | %(e) | 0.01 | % | 0.03 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 43,302,733 | $ | 13,516,264 | $ | 10,962,800 | $ | 7,189,250 | $ | 7,114,213 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | 0.13 | % | ||||||||||
Net expenses | 0.12 | % | 0.09 | % | 0.07 | % | 0.09 | % | 0.12 | % | ||||||||||
Net investment income (loss) | 0.27 | % | 0.00 | %(e) | 0.00 | %(e) | 0.01 | % | 0.03 | % |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
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 | ||||||||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations | ||||||||||||||||||||
Net investment income (loss) | 0.0000 | (b) | 0.0000 | (b)(c) | (0.0000 | )(b)(c) | 0.0000 | (b)(c) | 0.0000 | (b)(c) | ||||||||||
Net realized gain (loss) | 0.0000 | (b) | – | – | – | 0.0000 | (b) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | 0.0000 | (b) | 0.0000 | (b) | (0.0000 | )(b) | 0.0000 | (b) | 0.0000 | (b) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions to shareholders from: | ||||||||||||||||||||
Net investment income | 0.0000 | (b) | – | – | – | – | ||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
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|
| |||||||||||
Total return(d) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 903,050 | $ | 971,551 | $ | 615,706 | $ | 691,469 | $ | 654,978 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||
Net expenses | 0.37 | % | 0.10 | % | 0.07 | % | 0.10 | % | 0.14 | % | ||||||||||
Net investment income (loss) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) |
(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) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005% per share. |
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)
Class M | ||||
For the Period 11/30/16* - 12/31/16 | ||||
Net asset value, beginning of period | $ | 1.0000 | ||
|
| |||
Income (loss) from investment operations: | ||||
Net investment income (loss) | 0.0003 | |||
Net realized gains | 0.0000 | (b) | ||
|
| |||
Total from investment operations | 0.0003 | |||
|
| |||
Distributions to shareholders from: | ||||
Net investment income | (0.0003 | ) | ||
|
| |||
Net asset value, end of period | $ | 1.0000 | ||
|
| |||
Total return(c) | 0.03 | % | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 1,675,741 | ||
Ratios to average net assets: | ||||
Total expenses | 0.10 | %(d) | ||
Net expenses | 0.10 | %(d) | ||
Net investment income (loss) | 0.37 | %(d) |
* | 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) | 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)
Administration Class | ||||
For the Period 8/23/16* - 12/31/16 | ||||
Net asset value, beginning of period | $ | 1.0000 | ||
|
| |||
Income (loss) from investment operations | ||||
Net investment income (loss) | 0.0001 | |||
Net realized gain (loss) | (0.0000 | )(b) | ||
|
| |||
Total from investment operations | 0.0001 | |||
|
| |||
Distributions to shareholders from: | ||||
Net investment income | (0.0001 | ) | ||
|
| |||
Net asset value, end of period | $ | 1.0000 | ||
|
| |||
Total return(c) | 0.01 | % | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 3,423,655 | ||
Ratios to average net assets: | ||||
Total expenses | 0.37 | %(d) | ||
Net expenses | 0.37 | %(d) | ||
Net investment income (loss) | 0.04 | %(d) |
* | 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 shown represents 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.
8
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* - 12/31/16 | ||||
Net asset value, beginning of period | $ | 1.0000 | ||
|
| |||
Income (loss) from investment operations | ||||
Net investment income (loss) | 0.0014 | |||
Net realized gain (loss) | (0.0000 | )(b) | ||
|
| |||
Total from investment operations | 0.0014 | |||
|
| |||
Distributions to shareholders from: | ||||
Net investment income | (0.0014 | ) | ||
|
| |||
Net asset value, end of period | $ | 1.0000 | ||
|
| |||
Total return(c) | 0.14 | % | ||
Ratios and Supplemental Data: | ||||
Net assets, end of period (in 000s) | $ | 230,156 | ||
Ratios to average net assets: | ||||
Total expenses | 0.20 | %(d) | ||
Net investment income (loss) | 0.21 | %(d) |
* | 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 shown represents 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 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.
9
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)
Class G | ||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | For the Period 10/5/14* - 12/31/14 | ||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||
|
|
|
|
|
| |||||||
Income (loss) from investment operations | ||||||||||||
Net investment income (loss) | 0.0029 | 0.0002 | (b) | 0.0000 | (b)(c) | |||||||
Net realized gain (loss) | 0.0000 | (c) | 0.0000 | (c) | 0.0000 | (c) | ||||||
|
|
|
|
|
| |||||||
Total from investment operations | 0.0029 | 0.0002 | 0.0000 | (c) | ||||||||
|
|
|
|
|
| |||||||
Distributions to shareholders from: | ||||||||||||
Net investment income | (0.0029 | ) | (0.0002 | ) | (0.0000 | )(c) | ||||||
|
|
|
|
|
| |||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||
|
|
|
|
|
| |||||||
Total return(e) | 0.29 | % | 0.02 | % | 0.00 | %(d) | ||||||
Ratios and Supplemental Data: | ||||||||||||
Net assets, end of period (in 000s) | $ | 581,991 | $ | 732,938 | $ | 872,335 | ||||||
Ratios to average net assets: | ||||||||||||
Total expenses | 0.08 | % | 0.08 | % | 0.09 | %(f) | ||||||
Net expenses | 0.08 | % | 0.08 | % | 0.08 | %(f) | ||||||
Net investment income (loss) | 0.29 | % | 0.02 | % | 0.00 | %(d)(f) |
* | Commencement of operations. |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(c) | Amount is less than $0.00005 per share. |
(d) | Amount is less than 0.005%. |
(e) | 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. |
(f) | Annualized. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
10
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
December 31, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2016, the Trust consists of thirty-three (33) 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. 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 fund (the “Fund”):
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 Class M | August 23, 2016 October 5, 2014 Not commenced October 17, 2007 March 21, 2016 October 25, 2007 Not commenced November 30, 2016 | 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, (98.42% at December 31, 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.
The Fund operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act, to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Fund is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Fund’s weekly liquid assets.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
11
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
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.
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.
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 December 31, 2016, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.
Investment Transactions and Income Recognition
Investment transactions are accounted 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 the Portfolio’s realized gains and losses. Net investment income consists of the Fund’s pro-rata share of the net investment income of the Portfolio less expenses of the Fund.
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. The Fund is allocated a pro-rata share of the expense of the 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
12
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
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.
The Adviser was contractually obligated until April 30, 2016, 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) exceeded 0.07% of average daily net assets on an annual basis. For the period ended December 31, 2016, SSGA FM did not reimburse or waive any expenses.
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 December 31, 2016, the Adviser 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 the 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 the 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 the 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 December 31, 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 | |
12/31/2017 | $4,726,293 | |
12/31/2018 | $3,042,069 |
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Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
Administrator, Sub-Administrator and Custodian 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 and Class M Shares, pays a fee at an annual rate of 0.05% of its average daily net assets to SSGA FM. Class G Shares and 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.
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 (the “Distributor” or “SSGM”), an affiliate of the Adviser, 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 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 0.05% and 0.10% of the Fund’s net assets attributable to its Administration Class shares and Investment Class shares, respectively. 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 December 31, 2016, the Fund was charged $1,288,700 but paid $510,847 to SSGM under the Rule 12b-1 Plan, as SSGM voluntarily agreed to waive $777,853 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 Plan. During the period ended December 31, 2016, SSGM paid $249,178 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, Administration Class shares and Investor Class shares made payments under the Shareholder Servicing Plan at an annual rate up to 0.25%, 0.20% and 0.08% of the eligible average daily net assets of the Investment Class shares, Administration Class shares and Investor Class shares, respectively. During the period ended December 31, 2016, the Fund paid SSGM $1,954,910, $2,026,944 and $41,193 for Investment Class shares, Administration Class shares and Investor Class shares, respectively, 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 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.
14
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
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. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the 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.
The tax character of distributions paid during the period ended December 31, 2016, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Institutional U.S. Government Money Market Fund | $ | 64,849,745 | $ | – | $ | – | $ | 64,849,745 |
The tax character of distributions paid during the period ended December 31, 2015, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Institutional U.S. Government Money Market Fund | $ | 720,256 | $ | – | $ | – | $ | 720,256 |
15
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
At December 31, 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 Institutional U.S. Government Money Market Fund | $ | 76,020 | $ | – | $ | – | $ | – | $ | – | $ | 76,020 |
At December 31, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
6. | Risks |
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. | Reorganization |
On August 29, 2016, State Street Institutional U.S. Government Money Market Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA U.S. Government Money Market Fund (“Acquired Fund”) in exchange for Administration Class shares of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board.
The reorganization provides shareholders of the Acquired Fund access to a larger portfolio with a similar investment objective. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Acquired Fund were carried forward to align ongoing reporting of the Fund’s realized gains and losses with amounts distributable to shareholders for tax purposes. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders.
For every one share of SSGA U.S. Government Money Market Fund N Class exchanged, a shareholder received one share of the Fund’s Administration Class.
16
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Notes to Financial Statements — (continued)
December 31, 2016
The Fund received net assets from SSGA U.S. Government Money Market Fund as the result of the tax-free reorganization as follows:
Shares of the Fund Issued | Net Assets Received from Acquired the Fund | Net Assets of the Fund Immediately Prior to Combination | Net Assets of Immediately | |||
2,551,637,435 | $2,551,626,959 | $23,019,661,313 | $25,571,288,272 |
Immediately following, the Fund transferred to the Portfolio all of the assets and liabilities received from the Acquired Fund in exchange for an interest in the Portfolio.
Assuming the acquisition had been completed on January 1, 2016, the beginning of the annual reporting period of the Acquiring Fund, the Acquiring Fund’s pro forma results of operations for the period ended December 31, 2016, are as follows:
Net Investment income (loss) | $ | 65,185,111 | ||
Total net realized gain (loss) | $ | 95,589 | ||
Net increase (decrease) in net assets resulting from operations | $ | 65,280,699 |
Because the combined investment portfolios have been managed as a single portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Fund that have been included in the Acquiring Fund’s accompanying Statement of Operations as of December 31, 2016.
The statement of operations, statement of changes in net assets and the financial highlights for the current period do not include any pre-merger activity of the Acquired Fund and prior reporting periods of the accounting survivor (the Fund) are not restated.
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.
17
Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
State Street Institutional Investment Trust:
We have audited the accompanying statement of assets and liabilities of the State Street Institutional U.S. Government Money Market Fund (one of the funds constituting State Street Institutional Investment Trust) (the “Fund”) as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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 Fund’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 Fund’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. 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 the State Street Institutional U.S. Government Money Market Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
18
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
December 31, 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 July 1, 2016 to December 31, 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 U.S. Securities and Exchange Commission (the “SEC”) 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 | % | $ | 1,001.40 | $ | 0.60 | (a) | $ | 1,024.50 | $ | 0.61 | |||||||||
Investment Class | 0.39 | 1,000.00 | 1.96 | (a) | 1,023.20 | 1.98 | ||||||||||||||
Class M | 0.10 | 1,000.30 | 0.09 | (b) | 1,024.60 | 0.51 | ||||||||||||||
Administration Class | 0.37 | 1,000.10 | 1.32 | (c) | 1,023.30 | 1.88 | ||||||||||||||
Investor Class | 0.20 | 1,001.00 | 1.01 | 1,024.10 | 1.02 | |||||||||||||||
Class G | 0.08 | 1,001.60 | 0.40 | (a) | 1,024.70 | 0.41 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
(b) | Actual period is from commencement of operations on 11/30/2016. |
(c) | Actual period is from commencement of operations on 8/23/2016. |
19
Table of Contents
State Street Institutional Investment Trust
State Street Institutional U.S. Government Money Market Fund
Other Information — (continued)
December 31, 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 SEC’s website at www.sec.gov, or (iv) at the SEC’s public reference room. Information 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 SEC at www.sec.gov.
Quarterly Portfolio Schedule
The Fund will file its complete schedule of investments with the SEC 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 SEC’s website at www.sec.gov, or (iv) at the SEC’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 SEC on Form N-MFP. The Fund’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.
20
Table of Contents
State Street Institutional Investment Trust
State Street U.S. Government Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held By Trustee During Past Five Years | |||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||
William L. Boyan (1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. |
21
Table of Contents
State Street Institutional Investment Trust
State Street U.S. Government Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held By Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 | ||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003-Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 |
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Table of Contents
State Street Institutional Investment Trust
State Street U.S. Government Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held By Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 –1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | ||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 |
23
Table of Contents
State Street Institutional Investment Trust
State Street U.S. Government Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held By Trustee During Past Five Years | |||||
Interested Trustee(2) | ||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | 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).* |
24
Table of Contents
State Street Institutional Investment Trust
State Street U.S. Government Money Market Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
Officers: (continued) | ||||||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about the Fund’s directors and is available, without charge, upon request and by calling 1-877-521-4083.
25
Table of Contents
Trustees
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Michael A. Jessee
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
Annual Report
31 December 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
Annual Report
December 31, 2016
Table of Contents
1 | ||||
2 | ||||
11 | ||||
12 | ||||
13 | ||||
14 | ||||
15 | ||||
20 | ||||
21 |
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 Statistics (Unaudited)
Portfolio Composition* | December 31, 2016 | |||
Treasury Repurchase Agreements | 38.9 | % | ||
Government Agency Debt | 35.4 | |||
Treasury Debt | 16.4 | |||
Government Agency Repurchase Agreements | 4.5 | |||
Other Assets in Excess of Liabilities | 4.8 | |||
Total | 100.0 | % |
Maturity Ladder* | December 31, 2016 | |||
2 to 30 Days | 50.1 | % | ||
31 to 60 Days | 8.2 | |||
61 to 90 Days | 7.7 | |||
Over 90 Days | 29.2 | |||
Total | 95.2 | % | ||
Average days to maturity | 27 | |||
Weighted average life | 79 |
* | 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.
1
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY DEBT – 35.4% | ||||||||||||||||||||
Federal Farm Credit Bank(a) | 0.515 | % | 01/03/2017 | 10/03/2017 | $ | 98,200,000 | $ | 98,192,507 | ||||||||||||
Federal Farm Credit Bank(a) | 0.556 | % | 01/03/2017 | 08/30/2017 | 124,900,000 | 124,891,650 | ||||||||||||||
Federal Farm Credit Bank(a) | 0.566 | % | 01/03/2017 | 11/30/2017 | 150,000,000 | 149,982,724 | ||||||||||||||
Federal Farm Credit Bank(a) | 0.571 | % | 01/03/2017 | 10/30/2017 | 125,000,000 | 124,996,861 | ||||||||||||||
Federal Farm Credit Bank(a) | 0.717 | % | 01/07/2017 | 11/07/2017 | 150,000,000 | 149,994,864 | ||||||||||||||
Federal Farm Credit Bank(b) | 0.786 | % | 01/17/2017 | 01/17/2017 | 128,434,000 | 128,444,926 | ||||||||||||||
Federal Farm Credit Bank(a) | 0.709 | % | 01/15/2017 | 05/15/2017 | 158,750,000 | 158,747,696 | ||||||||||||||
Federal Farm Credit Bank(a) | 0.765 | % | 01/04/2017 | 12/04/2017 | 125,000,000 | 125,164,643 | ||||||||||||||
Federal Farm Credit Bank(a) | 0.796 | % | 01/27/2017 | 04/27/2017 | 119,600,000 | 119,597,311 | ||||||||||||||
Federal Home Loan Bank(b) | 0.330 | % | 01/05/2017 | 01/05/2017 | 149,000,000 | 148,994,537 | ||||||||||||||
Federal Home Loan Bank(b) | 0.374 | % | 01/11/2017 | 01/11/2017 | 250,000,000 | 249,974,028 | ||||||||||||||
Federal Home Loan Bank(b) | 0.429 | % | 01/04/2017 | 01/04/2017 | 734,000,000 | 733,978,378 | ||||||||||||||
Federal Home Loan Bank(b) | 0.435 | % | 01/06/2017 | 01/06/2017 | 697,000,000 | 696,963,327 | ||||||||||||||
Federal Home Loan Bank(b) | 0.450 | % | 01/13/2017 | 01/13/2017 | 199,000,000 | 198,970,150 | ||||||||||||||
Federal Home Loan Bank(b) | 0.460 | % | 03/29/2017 | 03/29/2017 | 200,000,000 | 199,777,667 | ||||||||||||||
Federal Home Loan Bank(b) | 0.465 | % | 01/18/2017 | 01/18/2017 | 99,000,000 | 98,978,261 | ||||||||||||||
Federal Home Loan Bank(b) | 0.475 | % | 01/20/2017 | 01/20/2017 | 100,000,000 | 99,974,931 | ||||||||||||||
Federal Home Loan Bank(a) | 0.480 | % | 01/17/2017 | 07/17/2017 | 135,700,000 | 135,700,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.485 | % | 01/25/2017 | 01/25/2017 | 100,000,000 | 99,967,667 | ||||||||||||||
Federal Home Loan Bank(b) | 0.489 | % | 04/07/2017 | 04/07/2017 | 100,000,000 | 99,869,600 | ||||||||||||||
Federal Home Loan Bank(b) | 0.500 | % | 02/23/2017 | 02/23/2017 | 187,000,000 | 186,862,347 | ||||||||||||||
Federal Home Loan Bank(b) | 0.500 | % | 04/12/2017 | 04/12/2017 | 105,000,000 | 104,852,708 | ||||||||||||||
Federal Home Loan Bank(b) | 0.510 | % | 03/22/2017 | 03/22/2017 | 397,600,000 | 397,150,672 | ||||||||||||||
Federal Home Loan Bank(b) | 0.520 | % | 02/22/2017 | 02/22/2017 | 200,000,000 | 199,849,778 | ||||||||||||||
Federal Home Loan Bank(b) | 0.524 | % | 03/08/2017 | 03/08/2017 | 600,000,000 | 599,423,600 | ||||||||||||||
Federal Home Loan Bank(b) | 0.540 | % | 02/14/2017 | 02/14/2017 | 248,000,000 | 247,836,320 | ||||||||||||||
Federal Home Loan Bank(b) | 0.550 | % | 03/24/2017 | 03/24/2017 | 45,000,000 | 44,943,625 | ||||||||||||||
Federal Home Loan Bank(a) | 0.556 | % | 01/03/2017 | 10/03/2017 | 73,900,000 | 73,900,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.560 | % | 03/15/2017 | 03/15/2017 | 249,000,000 | 248,717,247 | ||||||||||||||
Federal Home Loan Bank(b) | 0.570 | % | 03/09/2017 | 03/09/2017 | 50,000,000 | 49,946,958 | ||||||||||||||
Federal Home Loan Bank(b) | 0.570 | % | 03/13/2017 | 03/13/2017 | 200,000,000 | 199,775,167 | ||||||||||||||
Federal Home Loan Bank(a) | 0.741 | % | 01/18/2017 | 05/18/2017 | 148,600,000 | 148,600,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.781 | % | 01/20/2017 | 04/20/2017 | 146,800,000 | 146,800,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.831 | % | 01/11/2017 | 01/11/2017 | 152,600,000 | 152,600,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.838 | % | 02/08/2017 | 08/08/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.863 | % | 03/08/2017 | 09/08/2017 | 275,000,000 | 275,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.887 | % | 03/20/2017 | 06/20/2017 | 28,200,000 | 28,199,263 | ||||||||||||||
Federal Home Loan Bank(a) | 0.897 | % | 03/29/2017 | 06/29/2017 | 368,350,000 | 368,350,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.561 | % | 01/19/2017 | 04/19/2017 | 68,700,000 | 68,698,967 | ||||||||||||||
Federal Home Loan Bank(a) | 0.416 | % | 01/11/2017 | 04/11/2017 | 400,000,000 | 400,000,000 |
See accompanying notes to financial statements.
2
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY DEBT – (continued) | ||||||||||||||||||||
Federal Home Loan Bank(a) | 0.615 | % | 01/14/2017 | 12/14/2017 | $ | 250,000,000 | $ | 250,000,000 | ||||||||||||
Federal Home Loan Bank(a) | 0.655 | % | 01/04/2017 | 05/04/2017 | 220,600,000 | 220,600,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.683 | % | 03/15/2017 | 12/15/2017 | 200,000,000 | 200,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.706 | % | 01/17/2017 | 08/17/2017 | 221,800,000 | 221,800,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.765 | % | 01/23/2017 | 05/23/2017 | 80,800,000 | 80,800,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.771 | % | 01/30/2017 | 11/28/2017 | 250,000,000 | 249,988,487 | ||||||||||||||
Federal Home Loan Bank(a) | 0.801 | % | 02/01/2017 | 11/01/2017 | 50,000,000 | 50,000,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.823 | % | 02/08/2017 | 02/08/2017 | 40,000,000 | 39,999,792 | ||||||||||||||
Federal Home Loan Bank(a) | 0.827 | % | 02/12/2017 | 02/10/2017 | 278,500,000 | 278,498,470 | ||||||||||||||
Federal Home Loan Bank(a) | 0.914 | % | 03/14/2017 | 06/14/2017 | 300,000,000 | 300,000,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.717 | % | 02/09/2017 | 02/09/2017 | 175,000,000 | 175,000,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.833 | % | 01/13/2017 | 01/13/2017 | 150,600,000 | 150,600,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.542 | % | 01/07/2017 | 07/07/2017 | 403,600,000 | 403,600,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.462 | % | 01/24/2017 | 07/24/2017 | 156,000,000 | 156,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.564 | % | 01/11/2017 | 08/11/2017 | 67,300,000 | 67,300,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.614 | % | 01/02/2017 | 10/02/2017 | 275,000,000 | 275,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.726 | % | 02/15/2017 | 11/15/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
Federal Home Loan Bank(b) | 0.823 | % | 02/08/2017 | 02/08/2017 | 55,700,000 | 55,699,711 | ||||||||||||||
Federal Home Loan Bank(a) | 0.600 | % | 01/13/2017 | 12/13/2017 | 148,300,000 | 148,300,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.675 | % | 01/16/2017 | 08/16/2017 | 95,000,000 | 95,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.746 | % | 01/28/2017 | 08/28/2017 | 188,500,000 | 188,500,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.418 | % | 01/19/2017 | 04/19/2017 | 68,700,000 | 68,700,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.707 | % | 02/13/2017 | 11/13/2017 | 125,000,000 | 125,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.461 | % | 01/27/2017 | 07/27/2017 | 102,000,000 | 101,936,259 | ||||||||||||||
Federal Home Loan Bank(a) | 0.637 | % | 01/07/2017 | 09/07/2017 | 181,000,000 | 181,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.468 | % | 01/13/2017 | 07/13/2017 | 387,000,000 | 387,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.566 | % | 01/18/2017 | 04/18/2017 | 170,000,000 | 170,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.624 | % | 01/15/2017 | 12/15/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.677 | % | 01/16/2017 | 08/16/2017 | 158,500,000 | 158,500,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.677 | % | 03/13/2017 | 12/13/2017 | 94,900,000 | 94,900,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.704 | % | 01/17/2017 | 08/17/2017 | 95,000,000 | 95,000,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.824 | % | 01/10/2017 | 07/10/2017 | 175,000,000 | 174,997,751 | ||||||||||||||
Federal Home Loan Bank(a) | 0.474 | % | 01/12/2017 | 07/12/2017 | 339,300,000 | 339,300,000 | ||||||||||||||
Federal Home Loan Bank(a) | 0.657 | % | 01/06/2017 | 04/06/2018 | 90,000,000 | 89,999,814 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.400 | % | 01/04/2017 | 01/04/2017 | 87,752,000 | 87,749,075 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.500 | % | 05/15/2017 | 05/15/2017 | 321,900,000 | 321,300,908 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.744 | % | 01/20/2017 | 04/20/2017 | 125,000,000 | 124,994,291 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.914 | % | 03/21/2017 | 12/21/2017 | 75,000,000 | 75,000,000 | ||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.720 | % | 01/13/2017 | 11/13/2017 | 250,000,000 | 250,000,000 |
See accompanying notes to financial statements.
3
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY DEBT – (continued) | ||||||||||||||||||||
Federal Home Loan Mortgage Corp.(a) | 0.526 | % | 01/17/2017 | 04/17/2017 | $ | 333,400,000 | $ | 333,400,000 | ||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.410 | % | 01/19/2017 | 01/19/2017 | 29,100,000 | 29,094,034 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.500 | % | 04/25/2017 | 04/25/2017 | 369,500,000 | 368,914,958 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.520 | % | 05/09/2017 | 05/09/2017 | 369,400,000 | 368,717,020 | ||||||||||||||
Federal Home Loan Mortgage Corp.(b) | 0.550 | % | 05/18/2017 | 05/18/2017 | 184,500,000 | 184,113,831 | ||||||||||||||
Federal National Mortgage Assoc.(b) | 0.480 | % | 02/14/2017 | 02/14/2017 | 276,400,000 | 276,237,845 | ||||||||||||||
Federal National Mortgage Assoc.(b) | 0.510 | % | 02/01/2017 | 02/01/2017 | 11,000,000 | 10,995,169 | ||||||||||||||
Federal National Mortgage Assoc.(b) | 0.308 | % | 01/04/2017 | 01/04/2017 | 150,000,000 | 149,996,150 | ||||||||||||||
Federal National Mortgage Assoc.(b) | 0.400 | % | 01/17/2017 | 01/17/2017 | 201,000,000 | 200,964,267 | ||||||||||||||
Federal National Mortgage Assoc.(b) | 0.510 | % | 02/08/2017 | 02/08/2017 | 57,200,000 | 57,169,207 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.645 | % | 01/05/2017 | 10/05/2017 | 75,000,000 | 74,977,788 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.717 | % | 01/16/2017 | 08/16/2017 | 300,000,000 | 299,981,197 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.846 | % | 01/11/2017 | 01/11/2018 | 125,000,000 | 125,000,000 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.944 | % | 03/21/2017 | 03/21/2018 | 250,000,000 | 250,517,740 | ||||||||||||||
Federal National Mortgage Assoc.(a) | 0.659 | % | 01/08/2017 | 09/08/2017 | 220,000,000 | 219,954,559 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY DEBT |
| 18,036,766,703 | ||||||||||||||||||
|
| |||||||||||||||||||
TREASURY DEBT – 16.4% | ||||||||||||||||||||
U.S. Treasury Bill(b) | 0.340 | % | 01/19/2017 | 01/19/2017 | 250,000,000 | 249,957,500 | ||||||||||||||
U.S. Treasury Bill(b) | 0.360 | % | 01/12/2017 | 01/12/2017 | 400,000,000 | 399,956,000 | ||||||||||||||
U.S. Treasury Bill(b) | 0.400 | % | 02/16/2017 | 02/16/2017 | 565,000,000 | 564,670,972 | ||||||||||||||
U.S. Treasury Bill(b) | 0.420 | % | 03/30/2017 | 03/30/2017 | 600,000,000 | 599,269,478 | ||||||||||||||
U.S. Treasury Bill(b) | 0.425 | % | 01/26/2017 | 01/26/2017 | 450,000,000 | 449,885,131 | ||||||||||||||
U.S. Treasury Bill(b) | 0.470 | % | 04/20/2017 | 04/20/2017 | 199,000,000 | 198,716,812 | ||||||||||||||
U.S. Treasury Bill(b) | 0.480 | % | 02/23/2017 | 02/23/2017 | 100,000,000 | 99,929,333 | ||||||||||||||
U.S. Treasury Bill(b) | 0.483 | % | 04/27/2017 | 04/27/2017 | 300,000,000 | 299,533,583 | ||||||||||||||
U.S. Treasury Bill(b) | 0.490 | % | 03/09/2017 | 03/09/2017 | 250,000,000 | 249,772,014 | ||||||||||||||
U.S. Treasury Bill(b) | 0.495 | % | 03/23/2017 | 03/23/2017 | 550,000,000 | 549,364,415 | ||||||||||||||
U.S. Treasury Bill(b) | 0.495 | % | 04/13/2017 | 04/13/2017 | 400,000,000 | 399,439,000 | ||||||||||||||
U.S. Treasury Bill(b) | 0.503 | % | 03/02/2017 | 03/02/2017 | 250,000,000 | 249,793,646 | ||||||||||||||
U.S. Treasury Bill(b) | 0.545 | % | 03/16/2017 | 03/16/2017 | 460,000,000 | 459,486,979 | ||||||||||||||
U.S. Treasury Bill(b) | 0.490 | % | 04/06/2017 | 04/06/2017 | 302,000,000 | 301,609,497 | ||||||||||||||
U.S. Treasury Bill(b) | 0.615 | % | 05/25/2017 | 05/25/2017 | 100,000,000 | 99,754,800 | ||||||||||||||
U.S. Treasury Bill(b) | 0.615 | % | 06/08/2017 | 06/08/2017 | 248,500,000 | 247,829,257 | ||||||||||||||
U.S. Treasury Bill(b) | 0.620 | % | 06/01/2017 | 06/01/2017 | 305,000,000 | 304,216,058 | ||||||||||||||
U.S. Treasury Bill(b) | 0.625 | % | 05/18/2017 | 05/18/2017 | 300,000,000 | 299,290,549 | ||||||||||||||
U.S. Treasury Note(b) | 0.412 | % | 02/28/2017 | 02/28/2017 | 378,000,000 | 379,532,048 | ||||||||||||||
U.S. Treasury Note(b) | 0.441 | % | 02/28/2017 | 02/28/2017 | 193,000,000 | 193,018,214 | ||||||||||||||
U.S. Treasury Note(b) | 0.465 | % | 01/31/2017 | 01/31/2017 | 433,100,000 | 434,037,411 | ||||||||||||||
U.S. Treasury Note(a) | 0.630 | % | 01/03/2017 | 04/30/2017 | 176,500,000 | 176,500,199 | ||||||||||||||
U.S. Treasury Note(a) | 0.633 | % | 01/03/2017 | 07/31/2017 | 229,000,000 | 228,962,140 |
See accompanying notes to financial statements.
4
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY DEBT – (continued) | ||||||||||||||||||||
U.S. Treasury Note(a) | 0.640 | % | 01/03/2017 | 01/31/2017 | $ | 55,500,000 | $ | 55,501,102 | ||||||||||||
U.S. Treasury Note(a) | 0.706 | % | 01/03/2017 | 04/30/2018 | 385,500,000 | 385,890,349 | ||||||||||||||
U.S. Treasury Note(a) | 0.724 | % | 01/03/2017 | 10/31/2017 | 150,000,000 | 149,874,452 | ||||||||||||||
U.S. Treasury Note(a) | 0.730 | % | 01/03/2017 | 07/31/2018 | 345,000,000 | 345,296,149 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY DEBT | 8,371,087,088 | |||||||||||||||||||
|
| |||||||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 4.5% | ||||||||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by a Federal Farm Credit Bank, 0.687% due 03/06/2018, and a Federal National Mortgage Association, 0.649% due 03/08/2019, valued at $196,855,564); expected proceeds $193,006,151 | 0.520 | % | 01/03/2017 | 01/03/2017 | 192,995,000 | 192,995,000 | ||||||||||||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/27/2016 (collateralized by Federal Farm Credit Banks, 0.730% – 3.300% due 10/13/2017 – 11/14/2036, Federal Home Loan Banks, 1.250% – 5.500% due 06/30/2020 – 07/15/2036, a Federal Home Loan Discount Note, 0.000% due 04/03/2017, a Federal Home Loan Mortgage Corporation, 0.971% due 03/08/2018, valued at $229,500,804); expected proceeds $225,024,063 | 0.550 | % | 01/03/2017 | 01/03/2017 | 225,000,000 | 225,000,000 | ||||||||||||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/29/2016 (collateralized by Federal Farm Credit Banks, 0.781% – 3.190% due 07/24/2017 – 10/20/2036, Federal Home Loan Banks, 0.000% – 5.000% due 03/02/2017 – 11/13/2035, Federal Home Loan Discount Notes, 0.000% due 01/19/2017 – 03/31/2017, Federal Home Loan Mortgage Corporation, 0.000% – 0.971% due 03/08/2018 – 12/11/2025, Federal National Mortgage Association 0.000% – 2.500% due 06/01/2017 – 03/21/2018, valued at $255,000,015); expected proceeds $250,026,250 | 0.540 | % | 01/05/2017 | 01/05/2017 | 250,000,000 | 250,000,000 |
See accompanying notes to financial statements.
5
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
December 31, 2016
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 12/30/2016 (collateralized by Federal Farm Credit Banks, 2.360% – 3.950% due 06/16/2025 – 08/06/2037, Federal Home Loan Banks, 2.000% – 4.000% due 04/11/2029 – 02/22/2041, Federal Home Loan Mortgage Corporations, 0.000% due 09/15/2025 – 08/22/2036, Federal National Mortgage Associations, 0.500% – 7.125% due 02/01/2019 – 01/15/2030, and Resolution Funding Strip, 8.875% due 04/15/2030, valued at $204,004,303); expected proceeds $200,011,556 | 0.520 | % | 01/03/2017 | 01/03/2017 | $ | 200,000,000 | $ | 200,000,000 | ||||||||||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/27/2016 (collateralized by a Federal Home Loan Mortgage Corporation, 0.750% due 08/28/2019, Federal National Mortgage Association, 1.125% due 09/06/2019, U.S. Treasury Bonds 3.625% – 8.125% due 05/15/2021 – 02/15/2044, U.S. Treasury Inflation Index Bonds 1.750% – 2.500% due 01/15/2028 – 01/15/2029, U.S. Treasury Inflation Index Notes 0.125% due 04/15/2020 – 07/15/2022 and U.S. Treasury Notes, 1.000% – 2.000% due 08/31/2019 – 02/15/2025, valued at $510,000,001); expected proceeds $500,051,528 | 0.530 | % | 01/03/2017 | 01/03/2017 | 500,000,000 | 500,000,000 | ||||||||||||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by a Federal Home Loan Discount Note, 0.000% due 01/17/2017, Federal Home Loan Mortgage Corporations, 0.500% – 0.750% due 01/27/2017 – 08/28/2019, a Federal National Mortgage Association, 0.875% due 05/21/2018, and a Government National Mortgage Association, 3.000% due 06/20/2046, valued at $150,960,000); expected proceeds $148,008,551 | 0.520 | % | 01/03/2017 | 01/03/2017 | 148,000,000 | 148,000,000 |
See accompanying notes to financial statements.
6
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by Federal Farm Credit Banks, 0.625% – 1.089% due 04/04/2017 – 01/22/2021, U.S. Treasury Bond, 2.875% due 05/15/2043, U.S. Treasury Inflation Index Bond, 1.375% due 02/15/2044 U.S. Treasury Inflation Index Notes, 0.125% – 0.625% due 07/15/2022 – 01/15/2024, and U.S. Treasury Note 2.000% due 02/15/2025, valued at $351,919,952); expected proceeds $345,019,550 | 0.510 | % | 01/03/2017 | 01/03/2017 | $ | 345,000,000 | $ | 345,000,000 | ||||||||||||
Agreement with Wells Fargo Bank and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by a Federal National Mortgage Associations, 3.000% – 3.500% due 12/01/2046, valued at $408,022,668); expected proceeds $400,022,222 | 0.500 | % | 01/03/2017 | 01/03/2017 | 400,000,000 | 400,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS |
| 2,260,995,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 38.9% | ||||||||||||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by a U.S. Treasury Bond, 2.500% due 05/15/2046, and a U.S. Treasury Note, 1.375% due 05/31/2020 valued at $178,509,931); expected proceeds $175,009,722 | 0.500 | % | 01/03/2017 | 01/03/2017 | 175,000,000 | 175,000,000 | ||||||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by U.S. Treasury Notes, 1.750% due 12/31/2020 – 11/30/2021, valued at $206,051,540); expected proceeds $202,011,222 | 0.500 | % | 01/03/2017 | 01/03/2017 | 202,000,000 | 202,000,000 | ||||||||||||||
Agreement with Barclays Bank PLC and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by U.S. Treasury Bonds, 3.000% – 3.750% due 08/15/2041 – 11/15/2045, U.S. Treasury Inflation Index Note, 0.125% due 04/15/2019, and U.S. Treasury Notes, 1.375% – 2.250% due 09/30/2020 – 11/15/2024, valued at $2,058,360,073); expected proceeds $2,018,112,111 | 0.500 | % | 01/03/2017 | 01/03/2017 | 2,018,000,000 | 2,018,000,000 |
See accompanying notes to financial statements.
7
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by U.S. Treasury Bonds, 2.750% – 8.875% due 08/15/2017 – 08/15/2042, a U.S. Treasury Inflation Index Note, 2.125% due 01/15/2019, and U.S. Treasury Strips, 0.000% due 02/15/2018 – 08/15/2025, valued at $75,480,037); expected proceeds $74,004,111 | 0.500 | % | 01/03/2017 | 01/03/2017 | $ | 74,000,000 | $ | 74,000,000 | ||||||||||||
Agreement with BNP Paribas Securities Corp. and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by U.S. Treasury Bond, 2.500% due 05/15/2046, U.S. Treasury Inflation Index Bonds, 0.625% – 0.750% due 02/15/2042 – 02/15/2043, U.S. Treasury Notes 0.625% – 2.500% due 05/15/2024 – 05/15/2026, and U.S. Treasury Strips, 0.000% due 08/15/2017 – 05/15/2026, valued at $286,620,026); expected proceeds $281,015,611 | 0.500 | % | 01/03/2017 | 01/03/2017 | 281,000,000 | 281,000,000 | ||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by a U.S. Treasury Note, 0.685% due 10/31/2018, valued at $255,000,054); expected proceeds $250,025,278 | 0.520 | % | 01/06/2017 | 01/06/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by U.S. Treasury Notes, 0.875% – 1.625% due 11/30/2017 – 10/31/2021, valued at $313,140,045); expected proceeds $307,018,079 | 0.530 | % | 01/03/2017 | 01/03/2017 | 307,000,000 | 307,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by a U.S. Treasury Bond, 2.875% due 11/15/2046, valued at $114,240,020); expected proceeds $112,006,347 | 0.510 | % | 01/03/2017 | 01/03/2017 | 112,000,000 | 112,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by U.S. Treasury Notes, 1.375% – 2.250% due 12/31/2018 – 11/15/2024, valued at $54,060,080); expected proceeds $53,003,062 | 0.520 | % | 01/03/2017 | 01/03/2017 | 53,000,000 | 53,000,000 |
See accompanying notes to financial statements.
8
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with Federal Reserve Bank of New York and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by a U.S. Treasury Bond, 3.125% due 02/15/2042, and U.S. Treasury Notes, 1.500% – 3.625% due 02/15/2020 – 03/31/2023, valued at $12,215,678,712); expected proceeds $12,215,678,611 | 0.500 | % | 01/03/2017 | 01/03/2017 | $ | 12,215,000,000 | $ | 12,215,000,000 | ||||||||||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by a U.S. Treasury Strip, 0.000% due 11/15/2023, valued at $11,220,000); expected proceeds $11,000,623 | 0.510 | % | 01/03/2017 | 01/03/2017 | 11,000,000 | 11,000,000 | ||||||||||||||
Agreement with Mitsubishi UFJ Securities, Inc. and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by U.S. Treasury Bills, 0.000% due 03/02/2017 – 10/12/2017, U.S. Treasury Bonds, 2.250% – 6.250% due 05/15/2030 – 11/15/2046, a U.S. Treasury Inflation Index Bond, 1.375% due 02/15/2044, U.S. Treasury Inflation Index Notes, 0.125% – 1.375% due 04/15/2018 – 07/15/2025, and U.S. Treasury Notes, 0.625% – 2.000% due 07/31/2017 – 03/31/2023, valued at $306,017,096); expected proceeds $300,016,667 | 0.500 | % | 01/03/2017 | 01/03/2017 | 300,000,000 | 300,000,000 | ||||||||||||||
Agreement with President and Fellows of Harvard College, dated 12/27/2016 (collateralized by a U.S. Treasury Inflation Index Note, 0.000% due 04/15/2017, and U.S. Treasury Notes 0.000% due 09/30/2020 – 01/31/2023, valued at $428,686,843); expected proceeds $427,143,167 | 0.580 | % | 01/03/2017 | 01/03/2017 | 427,095,000 | 427,095,000 | ||||||||||||||
Agreement with President and Fellows of Harvard College, dated 12/28/2016 (collateralized by U.S. Treasury Notes, 0.000% due 01/31/2021 – 05/15/2025, valued at $638,700,222); expected proceeds $634,076,432 | 0.620 | % | 01/04/2017 | 01/04/2017 | 634,000,000 | 634,000,000 | ||||||||||||||
Agreement with Lloyds Bank PLC, dated 11/07/2016 (collateralized by a U.S. Treasury Inflation Index Bond, 2.500% due 01/15/2029, and U.S. Treasury Notes, 2.125% – 6.000% due 08/15/2021 – 02/15/2026, valued at $510,889,649); expected proceeds $501,137,222(c) | 0.890 | % | 01/02/2017 | 02/07/2017 | 500,000,000 | 500,000,000 |
See accompanying notes to financial statements.
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Schedule of Investments — (continued)
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with Lloyds Bank PLC, dated 12/19/2016 (collateralized by a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2024, and U.S. Treasury Notes, 3.500% – 8.000% due 05/15/2020 – 02/15/2026, valued at $511,667,685); expected proceeds $500,712,500(c) | 0.900 | % | 01/02/2017 | 02/14/2017 | $ | 500,000,000 | $ | 500,000,000 | ||||||||||||
Agreement with Lloyds Bank PLC, dated 12/29/2016 (collateralized by a U.S. Treasury Inflation Index Note, 0.375% due 07/15/2025, and a U.S. Treasury Note, 7.500% due 11/15/2024, valued at $510,281,913); expected proceeds $500,052,500 | 0.540 | % | 01/05/2017 | 01/05/2017 | 500,000,000 | 500,000,000 | ||||||||||||||
Agreement with Lloyds Bank PLC, dated 12/30/2016 (collateralized by U.S. Treasury Notes, 1.000% – 7.500% due 11/15/2019 – 11/15/2024, valued at $510,223,196); expected proceeds $500,050,556 | 0.520 | % | 01/06/2017 | 01/06/2017 | 500,000,000 | 500,000,000 | ||||||||||||||
Agreement with MUFG Securities, dated 12/30/2016 (collateralized by a U.S. Treasury Bill, 0.000% due 03/02/2017, U.S. Treasury Bonds, 2.500% – 3.000% due 05/15/2045 – 05/15/2046, and U.S. Treasury Notes, 1.125% – 2.625% due 02/29/2020 – 08/15/2026, valued at $513,178,637); expected proceeds $500,531,250(c) | 0.750 | % | 01/25/2017 | 01/25/2017 | 500,000,000 | 500,000,000 | ||||||||||||||
Agreement with MUFG Securities, dated 12/30/2016 (collateralized by a U.S. Treasury Note, 2.215% due 05/15/2025, valued at $257,273,720); expected proceeds $250,192,708(c) | 0.750 | % | 01/18/2017 | 01/18/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS |
| 19,809,095,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS – 95.2%(d)(e) |
| 48,477,943,791 | ||||||||||||||||||
Other Assets in Excess of Liabilities – 4.8% |
| 2,447,283,634 | ||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% |
| $ | 50,925,227,425 | |||||||||||||||||
|
|
(a) | Variable Rate Security – Interest rate shown is rate in effect at December 31, 2016. |
(b) | Rate represents annualized yield at date of purchase. |
(c) | Illiquid security. These securities represent $1,750,000,000 or 3.4% of net assets as of December 31, 2016. |
(d) | Also represents the cost for federal tax purposes. |
(e) | Unless otherwise indicated, the values of the securities of the Portfolio are determined based on Level 2 inputs. (Note 2) |
See accompanying notes to financial statements.
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Statement of Assets and Liabilities
December 31, 2016
Assets | ||||
Investments in securities, at value and cost (Note 2) | $ | 26,407,853,791 | ||
Repurchase agreements, at amortized cost | 22,070,090,000 | |||
|
| |||
Total Investments | 48,477,943,791 | |||
Cash | 2,429,997,051 | |||
Interest receivable (Note 2) | 20,168,188 | |||
Prepaid expenses and other assets | 2,223 | |||
|
| |||
Total assets | 50,928,111,253 | |||
|
| |||
Liabilities | ||||
Advisory fee payable (Note 3) | 2,140,957 | |||
Administration, custody and transfer agent fees payable (Note 3) | 445,454 | |||
Trustees’ fees and expenses payable (Note 5) | 56,216 | |||
Professional fees payable | 65,609 | |||
Printing fees payable | 40,913 | |||
Accrued expenses and other liabilities | 134,679 | |||
|
| |||
Total liabilities | 2,883,828 | |||
|
| |||
Net Assets | $ | 50,925,227,425 | ||
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
For the Year Ended December 31, 2016
Investment Income | ||||
Interest income | $ | 102,624,033 | ||
|
| |||
Expenses | ||||
Advisory fee (Note 4) | 13,277,045 | |||
Administration, custody and transfer agent fees (Note 4) | 3,305,277 | |||
Trustees’ fees and expenses (Note 5) | 356,147 | |||
Professional fees | 176,275 | |||
Printing fees | 48,579 | |||
Insurance expense | 21,410 | |||
Miscellaneous expenses | 179,732 | |||
|
| |||
Total expenses | 17,364,465 | |||
|
| |||
Net Investment Income (Loss) | 85,259,568 | |||
|
| |||
Realized Gain (Loss) | ||||
Net realized gain (loss) on: | ||||
Investments | 79,284 | |||
|
| |||
Net realized gain (loss) | 79,284 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 85,338,852 | ||
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Statements of Changes in Net Assets
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets from Operations: | ||||||||
Net investment income (loss) | $ | 85,259,568 | $ | 4,536,527 | ||||
Net realized gain (loss) | 79,284 | 106,964 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 85,338,852 | 4,643,491 | ||||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 97,658,772,208 | 30,186,959,859 | ||||||
Proceeds in connection with Reorganization (Note 8) | 2,551,626,959 | – | ||||||
Withdrawals | (65,394,001,185 | ) | (27,375,980,364 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital transactions | 34,816,397,982 | 2,810,979,495 | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | 34,901,736,834 | 2,815,622,986 | ||||||
|
|
|
| |||||
Net assets at beginning of period | 16,023,490,591 | 13,207,867,605 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 50,925,227,425 | $ | 16,023,490,591 | ||||
|
|
|
|
See accompanying notes to financial statements.
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Selected data for a share outstanding throughout each period
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Total return(a) | 0.31 | % | 0.03 | % | 0.01 | % | 0.03 | % | 0.08 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 50,925,227 | $ | 16,023,491 | $ | 13,207,868 | $ | 8,712,920 | $ | 8,621,186 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | 0.07 | % | ||||||||||
Net investment income (loss) | 0.32 | % | 0.03 | % | 0.01 | % | 0.03 | % | 0.08 | % |
(a) | Results represent past performance and are not indicative of future results. |
See accompanying notes to financial statements.
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Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
December 31, 2016
1. | Organization |
State Street Master Funds (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 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 of beneficial interest with no par value. The financial statements herein relate only to the Portfolio.
The Portfolio operates as a “government money market fund” within the meaning of Rule 2a-7 under the 1940 Act, to comply with the amendments to Rule 2a-7 that became effective October 14, 2016. The Portfolio is not currently subject to liquidity fees or temporary suspensions of redemptions due to declines in the Portfolio’s weekly liquid assets.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 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.
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
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 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 December 31, 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 premiums and discounts are amortized/accreted for financial reporting purposes.
All of the net investment income and realized 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 series of the Trust, are applied to that series within the Trust. Other expenses which cannot be attributed to a specific series of the Trust 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 series within the Trust.
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
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 December 31, 2016, the Portfolio had invested in repurchase agreements with the gross values of $22,070,090,000 and associated collateral equal to $22,261,542,786.
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”), 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 Portfolio pays the Adviser a management fee at an annual rate of 0.05% of its average daily net assets.
Administrator, Sub-Administrator, Custodian and Transfer Agent 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
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
minimum fee will be charged to the portfolios. SSGA FM and State Street each receive a portion of the fee.
Other Transactions with Affiliates
In December 2015, State Street, the Portfolio’s custodian, announced a review of the manner in which it invoiced certain expenses to certain of its Investment Servicing clients, primarily in the United States, during an 18-year period going back to 1998 and its determination that it had incorrectly invoiced clients for certain expenses. State Street informed its clients that it will pay to them the expenses it concluded were incorrectly invoiced to them, plus interest.
The amounts in the table below represent the refunded expenses and interest credited to the Portfolio for the periods in question.
Refunded Custody Expense* | Interest* | Total | % of Net Assets at 12/31/16 | |||||||
$2,142 | $11 | $ | 2,153 | 0.00 | %** |
* | Refunded Custody Expense and Interest appear on the Statement of Operations in Administration, custody and transfer agent fees and Interest income, respectively. |
** | Amount is less than 0.005% of net assets. |
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 its 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. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the 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 December 31, 2016, the cost of investments for federal income tax purposes was substantially the same as the cost for financial reporting purposes.
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Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
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 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. | Proceeds in Connection with Reorganization |
On August 29, 2016, State Street Institutional U.S. Government Money Market Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA U.S. Government Money Market Fund (“Acquired Fund”) in exchange for Administration Class shares of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board. Immediately following, the Fund transferred to the Portfolio all of the net assets received from the Acquired Fund in exchange for an interest in the Portfolio, which is disclosed in the Statements of Changes in Net Assets.
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 statement.
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Table of Contents
Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Owners of Beneficial Interest of
State Street Master Funds:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of State Street U.S. Government Money Market Portfolio (one of the portfolios constituting State Street Master Funds) (the “Portfolio”) as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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 audits.
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 December 31, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers 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 U.S. Government Money Market Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
December 31, 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 Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio, 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 July 1, 2016 to December 31, 2016.
The table below illustrates your Portfolio’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 Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Portfolio under the heading “Expenses Paid During Period”. |
• | Based on hypothetical 5% return – This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
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 | % | $ | 1,001.70 | $ | 0.35 | $ | 1,024.80 | $ | 0.36 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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State Street Master Funds
State Street U.S. Government Money Market Portfolio
Other Information — (continued)
December 31, 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 SEC’s website at www.sec.gov, or (iii) at the SEC’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 SEC at www.sec.gov.
Quarterly Portfolio Schedule
The Portfolio will file their complete schedules of investments with the SEC 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 SEC’s website at www.sec.gov, or (iii) at the SEC’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 SEC on Form N-MFP. The Portfolio’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.
22
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected:1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||
William L. Boyan(1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. |
23
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 | ||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 |
24
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Independent Trustees (continued) | ||||||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | ||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 |
25
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships Held by Trustee During Past Five Years | |||||
Interested Trustee(2) | ||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | 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).* |
26
Table of Contents
State Street Master Funds
State Street U.S. Government Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office | Principal Occupation During Past Five Years | |||
Officers: (continued) | ||||||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). | |||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007-2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015 – present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about the Portfolio’s directors and is available, without charge, upon request and by calling 1-877-521-4083.
27
Table of Contents
Trustees
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 | STTUSGOVAR1 |
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
Annual Report
31 December 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
Annual Report
December 31, 2016
1 | ||||
2 | ||||
3 | ||||
5 | ||||
9 | ||||
17 | ||||
18 |
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
December 31, 2016
Assets |
| |||
Investment in corresponding Portfolio, at value (Note 2) | $ | 8,272,650,769 | ||
Receivable for fund shares sold | 100 | |||
Prepaid expenses and other assets | 157,965 | |||
|
| |||
Total assets | 8,272,808,834 | |||
|
| |||
Liabilities |
| |||
Administration fees payable (Note 3) | 388,296 | |||
Shareholder servicing fee payable (Note 3) | 235,357 | |||
Distribution fees payable (Note 3) | 43,355 | |||
Trustees’ fees and expenses payable (Note 4) | 18,794 | |||
Transfer agent fees payable (Note 3) | 251,812 | |||
Distribution payable | 702,643 | |||
Registration and filing fees payable | 43,511 | |||
Professional fees payable | 21,843 | |||
Printing fees payable | 69,527 | |||
Accrued expenses and other liabilities | 418,160 | |||
|
| |||
Total liabilities | 2,193,298 | |||
|
| |||
Net Assets | $ | 8,270,615,536 | ||
|
| |||
Net Assets Consist of: |
| |||
Paid-in Capital | $ | 8,269,402,611 | ||
Undistributed net investment income | 99,748 | |||
Accumulated net realized gain (loss) on investments | 312,526 | |||
Net unrealized appreciation (depreciation) on: | ||||
Investments | 800,651 | |||
|
| |||
Net Assets | $ | 8,270,615,536 | ||
|
| |||
Premier Class |
| |||
Net Assets | $ | 6,255,384,482 | ||
Shares outstanding | 6,255,060,105 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.0001 | ||
|
| |||
Investment Class |
| |||
Net Assets | $ | 5,582,032 | ||
Shares outstanding | 5,582,091 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.0000 | ||
|
| |||
Administration Class |
| |||
Net Assets | $ | 798,447,026 | ||
Shares outstanding | 798,414,247 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.0000 | ||
|
| |||
Trust Class |
| |||
Net Assets | $ | 1,211,201,996 | ||
Shares outstanding | 1,211,153,195 | |||
|
| |||
Net asset value, offering and redemption price per share | $ | 1.0000 | ||
|
| |||
Cost of Investments: | ||||
Investments in corresponding Portfolio | $ | 8,271,850,118 |
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
For the Year Ended December 31, 2016
Income and Expenses allocated from Portfolio |
| |||
Interest income allocated from Portfolio (Note 2) | $ | 198,749,149 | ||
Expenses allocated from Portfolio (Note 2) | (23,810,267 | ) | ||
|
| |||
Total investment income (loss) allocated from portfolio | 174,938,882 | |||
|
| |||
Expenses |
| |||
Administration fees (Note 3) | ||||
Premier Class | 16,619,198 | |||
Investment Class | 103,411 | |||
Class M | 356,274 | |||
Administration Class | 235,960 | |||
Trust Class | 456,326 | |||
Shareholder servicing fees | ||||
Investment Class | 517,055 | |||
Administration Class | 943,841 | |||
Trust Class | 529,338 | |||
Distribution fees (Note 3) | ||||
Investment Class | 206,822 | |||
Administration Class | 235,960 | |||
Custodian fees (Note 3) | 16,240 | |||
Trustees’ fees and expenses (Note 4) | 48,686 | |||
Transfer agent fees (Note 3) | 660,821 | |||
Registration and filing fees | 202,203 | |||
Professional fees | 41,620 | |||
Printing fees | 198,107 | |||
Insurance expense | 205,034 | |||
Miscellaneous expenses | 206,240 | |||
|
| |||
Total expenses | 21,783,136 | |||
|
| |||
Distribution fees waived | ||||
Investment Class (Note 3) | (16,230 | ) | ||
|
| |||
Net expenses | 21,766,906 | |||
|
| |||
Net Investment Income (Loss) | 153,171,976 | |||
|
| |||
Realized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investments allocated from Portfolio | 312,526 | |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments allocated from Portfolio | 800,651 | |||
|
| |||
Net realized and unrealized gain (loss) | 1,113,177 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 154,285,153 | ||
|
|
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
Statement of Changes in Net Assets
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 153,171,976 | $ | 48,666,693 | ||||
Net realized gain (loss) | 312,526 | 158,273 | ||||||
Net change in unrealized appreciation/depreciation | 800,651 | – | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 154,285,153 | 48,824,966 | ||||||
|
|
|
| |||||
Distributions to Shareholders from: | ||||||||
Net investment income | ||||||||
Premier Class | (143,145,124 | ) | (46,325,536 | ) | ||||
Investment Class | (158,048 | ) | – | |||||
Class M(a) | (5,299,279 | ) | (2,599,150 | ) | ||||
Administration Class(b) | (1,022,962 | ) | – | |||||
Trust Class(b) | (3,546,563 | ) | – | |||||
|
|
|
| |||||
Total distributions from net investment income | (153,171,976 | ) | (48,924,686 | ) | ||||
|
|
|
| |||||
Net Increase (Decrease) from Beneficial Interest Transactions: | ||||||||
Premier Class | ||||||||
Shares sold | 251,473,026,109 | 343,115,810,381 | ||||||
Reinvestment of distributions | 120,231,866 | 38,372,463 | ||||||
Shares redeemed | (290,546,116,225 | ) | (335,879,414,180 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (38,952,858,250 | ) | 7,274,768,664 | |||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 516,566,534 | 1,644,487,418 | ||||||
Reinvestment of distributions | 36,115 | – | ||||||
Shares redeemed | (996,313,730 | ) | (1,886,106,932 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (479,711,081 | ) | (241,619,514 | ) | ||||
|
|
|
| |||||
Class M(a) | ||||||||
Shares sold | 8,968,030,576 | 13,547,257,128 | ||||||
Reinvestment of distributions | 5,299,141 | 2,600,751 | ||||||
Shares redeemed | (10,428,845,893 | ) | (13,720,665,910 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | (1,455,516,176 | ) | (170,808,031 | ) | ||||
|
|
|
| |||||
Administration Class(b) | ||||||||
Shares sold | 4,071,788,298 | – | ||||||
Proceeds from shares issued in connection with the tax-free transfer of assets from SSGA Money Market Fund (Note 7) | 2,354,704,640 | – | ||||||
Reinvestment of distributions | 485,658 | – | ||||||
Shares redeemed | (5,628,620,190 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 798,358,406 | – | ||||||
|
|
|
|
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
Statement of Changes in Net Assets — (continued)
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Trust Class(b) | ||||||||
Shares sold | 2,600,335,538 | – | ||||||
Proceeds from shares issued in connection with the tax-free transfer of assets from SSGA Prime Money Market Fund (Note 7) | 6,066,320,728 | – | ||||||
Reinvestment of distributions | 3,491,765 | – | ||||||
Shares redeemed | (7,459,166,451 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 1,210,981,580 | – | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets from beneficial interest transactions | (38,878,745,521 | ) | 6,862,341,119 | |||||
|
|
|
| |||||
Net increase (decrease) in net assets during the period | (38,877,632,344 | ) | 6,862,241,399 | |||||
|
|
|
| |||||
Net assets at beginning of period | 47,148,247,880 | 40,286,006,481 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 8,270,615,536 | $ | 47,148,247,880 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 99,748 | $ | – | ||||
|
|
|
| |||||
Shares of Beneficial Interest: | ||||||||
Premier Class | ||||||||
Shares sold | 251,471,826,468 | 343,115,810,381 | ||||||
Reinvestment of distributions | 120,231,263 | 38,372,463 | ||||||
Shares redeemed | (290,544,374,626 | ) | (335,879,414,180 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (38,952,316,895 | ) | 7,274,768,664 | |||||
|
|
|
| |||||
Investment Class | ||||||||
Shares sold | 516,587,780 | 1,644,487,418 | ||||||
Reinvestment of distributions | 36,115 | – | ||||||
Shares redeemed | (996,313,195 | ) | (1,886,106,932 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (479,689,300 | ) | (241,619,514 | ) | ||||
|
|
|
| |||||
Class M(a) | ||||||||
Shares sold | 8,968,049,339 | 13,547,257,128 | ||||||
Reinvestment of distributions | 5,299,142 | 2,600,751 | ||||||
Shares redeemed | (10,428,845,893 | ) | (13,720,665,910 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from share transactions | (1,455,497,412 | ) | (170,808,031 | ) | ||||
|
|
|
| |||||
Administration Class(b) | ||||||||
Shares sold | 4,071,956,198 | – | ||||||
Shares issued in connection with the tax-free transfer of assets from SSGA Money Market Fund (Note 7) | 2,354,704,640 | – | ||||||
Reinvestment of distributions | 485,647 | – | ||||||
Shares redeemed | (5,628,732,238 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 798,414,247 | – | ||||||
|
|
|
| |||||
Trust Class(b) | ||||||||
Shares sold | 2,600,197,438 | – | ||||||
Shares issued in connection with the tax-free transfer of assets from SSGA Prime Money Market Fund (Note 7) | 6,066,320,728 | – | ||||||
Reinvestment of distributions | 3,491,629 | – | ||||||
Shares redeemed | (7,458,856,600 | ) | – | |||||
|
|
|
| |||||
Net increase (decrease) from share transactions | 1,211,153,195 | – | ||||||
|
|
|
|
(a) | Class M Shares liquidated on September 30, 2016. |
(b) | For the period August 29, 2016 (inception date) through December 31, 2016. |
See accompanying notes to financial statements and financial statements of the corresponding portfolio.
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Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Selected data for a share outstanding throughout each period(a)
Premier Class | ||||||||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations: | ||||||||||||||||||||
Net investment income (loss) | 0.0045 | 0.0012 | (b) | 0.0008 | (b) | 0.0010 | (b) | 0.0020 | (b) | |||||||||||
Net realized and unrealized gain (loss) | 0.0001 | 0.0000 | (c) | (0.0001 | ) | 0.0000 | (c) | 0.0000 | (c) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | 0.0046 | 0.0012 | 0.0007 | 0.0010 | 0.0020 | |||||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions to shareholders from: |
| |||||||||||||||||||
Net investment income | (0.0045 | ) | (0.0012 | ) | (0.0007 | ) | (0.0010 | ) | (0.0020 | ) | ||||||||||
Net realized gains | – | – | – | (0.0000 | )(c) | (0.0000 | )(c) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.0045 | ) | (0.0012 | ) | (0.0007 | ) | (0.0010 | ) | (0.0020 | ) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 1.0001 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 0.45 | % | 0.12 | % | 0.07 | % | 0.10 | % | 0.20 | % | ||||||||||
Ratios and Supplemental Data: | ||||||||||||||||||||
Net assets, end of period (in 000s) | $ | 6,255,384 | $ | 45,207,442 | $ | 37,932,781 | $ | 29,850,029 | $ | 24,408,802 | ||||||||||
Ratios to average net assets: | ||||||||||||||||||||
Total expenses | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | 0.12 | % | ||||||||||
Net investment income (loss) | 0.43 | % | 0.12 | % | 0.07 | % | 0.10 | % | 0.20 | % |
(a) | The per share amounts and percentages include the Fund’s proportionate share of income and expenses of the Portfolio. |
(b) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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. Results represent past performance and are not indicative of future results. |
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)
Investment Class | ||||||||||||||||||||
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Net asset value, beginning of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Income (loss) from investment operations | ||||||||||||||||||||
Net investment income (loss) | 0.0010 | 0.0000 | (b)(c) | 0.0000 | (b)(c) | 0.0000 | (b)(c) | 0.0000 | (b)(c) | |||||||||||
Net realized and unrealized gain (loss) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total from investment operations | 0.0010 | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | 0.0000 | (b) | |||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Distributions to shareholders from: |
| |||||||||||||||||||
Net investment income | (0.0010 | ) | – | – | (0.0000 | )(b) | (0.0000 | )(b) | ||||||||||||
Net realized gains | – | – | – | (0.0000 | )(b) | (0.0000 | )(b) | |||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total distributions | (0.0010 | ) | – | – | (0.0000 | )(b) | (0.0000 | )(b) | ||||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Net asset value, end of period | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | $ | 1.0000 | ||||||||||
|
|
|
|
|
|
|
|
|
| |||||||||||
Total return(d) | 0.10 | % | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | ||||||||||
Ratios and Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in 000s) | $ | 5,582 | $ | 485,292 | $ | 726,910 | $ | 1,013,152 | $ | 961,168 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Total expenses | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | 0.47 | % | ||||||||||
Net expenses | 0.46 | % | 0.24 | % | 0.19 | % | 0.22 | % | 0.32 | % | ||||||||||
Net investment income (loss) | 0.08 | % | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) | 0.00 | %(e) |
(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) | Per share numbers have been calculated using average shares outstanding, which more appropriately presents the per share data for the period. |
(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. Results represent past performance and are not indicative of future results. |
(e) | Amount is less than 0.005%. |
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
Financial Highlights
Selected data for a share outstanding throughout the period(a)
Administration Class | ||||
For the Period 8/29/16* - 12/31/16 | ||||
Net asset value, beginning of period | $ | 1.0000 | ||
|
| |||
Income (loss) from investment operations |
| |||
Net investment income (loss) | 0.0008 | |||
Net realized and unrealized gain (loss) | 0.0000 | (b) | ||
|
| |||
Total from investment operations | 0.0008 | |||
|
| |||
Distributions to shareholders from: |
| |||
Net investment income | (0.0008 | ) | ||
|
| |||
Net asset value, end of period | $ | 1.0000 | ||
|
| |||
Total return(c) | 0.08 | % | ||
Ratios and Supplemental Data: |
| |||
Net assets, end of period (in 000s) | $ | 798,447 | ||
Ratios to average net assets: |
| |||
Total expenses | 0.38 | %(d) | ||
Net investment income (loss) | 0.22 | %(d) |
* | 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) | 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 Liquid Reserves Fund
Financial Highlights
Selected data for a share outstanding throughout each period(a)
Trust Class | ||||
For the Period 8/29/16* - 12/31/16 | ||||
Net asset value, beginning of period | $ | 1.0000 | ||
|
| |||
Income (loss) from investment operations: |
| |||
Net investment income (loss) | 0.0015 | |||
Net realized and unrealized gain (loss) | 0.0000 | (b) | ||
|
| |||
Total from investment operations | 0.0015 | |||
|
| |||
Distributions to shareholders from: |
| |||
Net investment income | (0.0015 | ) | ||
|
| |||
Net asset value, end of period | $ | 1.0000 | ||
|
| |||
Total return(c) | 0.15 | % | ||
Ratios and Supplemental Data: |
| |||
Net assets, end of period (in 000s) | $ | 1,211,202 | ||
Ratios to average net assets: |
| |||
Total expenses | 0.19 | %(d) | ||
Net investment income (loss) | 0.39 | %(d) |
* | 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 represents 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.
8
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
December 31, 2016
1. | Organization |
State Street Institutional Investment Trust (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 2016, the Trust consists of thirty-three (33) 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. 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 fund (the “Fund”):
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 Trust Class | August 29, 2016 December 15, 2011 August 12, 2004 Not commenced Not commenced October 15, 2007 Not commenced August 29, 2016 | Diversified |
* | The Class M Shares class liquidated on September 30, 2016. |
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 (100.00% at December 31, 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.
The Fund operates as an institutional money market fund. As an institutional money market fund, the Fund (1) will not be limited to institutional investors, but will continue to be available to retail investors; (2) will utilize current market-based prices (except as otherwise generally permitted to value individual portfolio securities with remaining maturities of 60 days or less at amortized cost in accordance with Securities and Exchange Commission (SEC) guidance) to value its portfolio securities and transact at a floating net asset value (NAV) that uses four decimal-place precision ($1.0000); and (3) has adopted policies and procedures to impose liquidity fees on redemptions and/or temporary redemption gates in the event that the Fund’s weekly liquid assets were to fall below a designated threshold, if the Board determines such liquidity fees or redemption gates are in the best interest of the Fund.
On October 12, 2016, the Fund began using a floating rate net asset value (“NAV”). The NAV of the Fund is calculated multiple times each day the Fund accepts purchase orders and redemption requests. Effective October 12, 2016, the Board permitted to impose a liquidity fee of no more than 2% on the value redeemed and/or temporary suspend redemptions for up to 10 business days in a 90 day period, in the event that the Fund’s liquid assets fall below certain thresholds. The Fund will pass through to its
9
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
December 31, 2016
investors any liquidity fee or suspension of redemptions imposed by the Portfolio on the same terms and conditions as imposed by the Portfolio on the Fund.
Under the Trust’s organizational documents, its officers and trustees are indemnified against certain liabilities arising out of the performance of their duties to the Trust. Additionally, in the normal course of business, the Trust enters into contracts with service providers that contain general indemnification clauses. The Trust’s maximum exposure under these arrangements is unknown as this would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 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 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 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. 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 December 31, 2016, in valuing the Portfolio’s securities carried at fair value are discussed in Note 2 of the Portfolio’s Notes to Financial Statements.
Investment Transactions and Income Recognition
Investment transactions are accounted 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.
10
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
December 31, 2016
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. 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.
The Adviser was contractually obligated until April 30, 2016, 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) exceeded 0.07% of average daily net assets on an annual basis. For the period ended December 31, 2016, SSGA FM did not reimburse or waive any expenses.
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 year ended December 31, 2016, the Adviser 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 the 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 the 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 the Fund’s
11
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
December 31, 2016
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 December 31, 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, Sub-Administrator and Custodian 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.
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 (the “Distributor” or “SSGM”), an affiliate of the Adviser, 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 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 0.05% and 0.10%, respectively, of the Fund’s net assets attributable to its Administration Class shares and Investment Class shares, respectively. 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 December 31, 2016, the Fund was charged $442,782 but paid $426,552 to SSGM under the Rule 12b-1 Plan, as SSGM agreed to voluntarily 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 Plan. During the year ended December 31, 2016, SSGM paid $550,853 to WMS.
Under the Fund’s Shareholder Servicing Plan and other shareholder servicing arrangements, the Fund compensates financial intermediaries for providing certain services to shareholders and for maintaining shareholder accounts. The Fund’s Investment Class shares, Administration Class shares and Trust Class shares made payments for these services at an annual rate up to 0.25%, 0.20% and 0.058%, respectively, of the eligible average daily net assets of the Investment Class shares, Administration Class shares and Trust Class shares, respectively. During the year ended December 31, 2016, the Fund’s Investment Class Shares, Administration Class Shares and Trust Class Shares paid SSGM $517,055, $943,841 and $529,338, respectively, for these services which SSGM subsequently paid in part to financial intermediaries.
12
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
December 31, 2016
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, and charges related to compliance and regulatory services.
Other Transactions with Affiliates
In December 2015, State Street, the Fund’s custodian, announced a review of the manner in which it invoiced certain expenses to certain of its Investment Servicing clients, primarily in the United States, during an 18-year period going back to 1998 and its determination that it had incorrectly invoiced clients for certain expenses. State Street informed its clients that it will pay to them the expenses it concluded were incorrectly invoiced to them, plus interest.
The amounts in the table below represent the refunded expenses and interest credited to the Fund for the periods in question.
Refunded Custody Expense* | Interest* | Total | % of Net Assets at 12/31/16 | |||||||
$1,700 | $11 | $ | 1,711 | 0.00 | %** |
* | Refunded Custody Expense and Interest appear on the Statement of Operations in Custodian fees and Interest income allocated from Portfolio, respectively. |
** | Amount is less than 0.005% of net assets. |
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. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the 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.
13
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
December 31, 2016
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.
The tax character of distributions paid during the period ended December 31, 2016, was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Institutional Liquid Reserves Fund | $ | 153,171,976 | $ | – | $ | – | $ | 153,171,976 |
The tax character of distributions paid during the period ended December 31, 2015 was as follows:
Ordinary Income | Long-Term Capital Gains | Tax Return of Capital | Total | |||||||||||||
State Street Institutional Liquid Reserves Fund | $ | 48,924,686 | $ | – | $ | – | $ | 48,924,686 |
At December 31, 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 Institutional Liquid Reserves Fund | $ | 412,274 | $ | – | $ | – | $ | 800,651 | $ | – | $ | 1,212,925 |
As of December 31, 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 Institutional Liquid Reserves Fund | $ | 8,271,850,118 | $ | 800,651 | $ | – | $ | 800,651 |
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.
14
Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
December 31, 2016
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. | Reorganization |
On August 29, 2016, State Street Institutional Liquid Reserves Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA Prime Money Market Fund and SSGA Money Market Fund (“Acquired Funds”) in exchange for Trust Class shares and Administration Class shares, respectively, of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board.
The reorganization provides shareholders of the Acquired Funds access to a larger portfolio with a similar investment objective. For financial reporting purposes, assets received and shares issued by the Fund were recorded at fair value; however, the cost basis of the investments received from the Acquired Funds were carried forward to align ongoing reporting of the Fund’s realized gains and losses with amounts distributable to shareholders for tax purposes. The reorganization qualified as a tax-free reorganization for federal income tax purposes with no gain or loss recognized to the funds or their shareholders.
For every one share of SSGA Prime Money Market Fund Class N exchanged, a shareholder received one share of the Fund’s Trust Class. For every one share of SSGA Money Market Fund Class N exchanged, a shareholder received one share of the Fund’s Administration Class.
The Fund received net assets from SSGA Prime Money Market Fund and SSGA Money Market Fund as the result of the tax-free reorganization as follows:
Shares of the Fund Issued | Net Assets Received from Acquired Fund | Net Assets of the Fund Immediately Prior to Combination | Net Assets of the Fund Immediately After the | |||||
SSGA Prime Money Market Fund | 6,066,320,728 | $6,066,228,367 | $39,460,950,822 | $47,881,920,211 | ||||
SSGA Money Market Fund | 2,354,704,640 | $2,354,741,022 | $39,460,950,822 | $47,881,920,211 |
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State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Notes to Financial Statements — (continued)
December 31, 2016
Immediately following, the Fund transferred to the Portfolio all of the assets and liabilities received from the Acquired Fund in exchange for an interest in the Portfolio.
Assuming the acquisition had been completed on January 1, 2016, the beginning of the annual reporting period of the Acquiring Fund, the Acquiring Fund’s pro forma results of operations for the period ended December 31, 2016, are as follows:
Net Investment income (loss) $173,463,883
Total net realized and unrealized gain (loss) $1,139,893
Net increase (decrease) in net assets resulting from operations $174,603,776
Because the combined investment portfolios have been managed as a single portfolio since the acquisition was completed, it is not practicable to separate the amounts of revenue and earnings of the Acquired Funds that have been included in the Acquiring Fund’s accompanying Statement of Operations as of December 31, 2016.
The statement of operations, statement of changes in net assets and the financial highlights for the current period do not include any pre-merger activity of the Acquired Funds and prior reporting periods of the accounting survivor (the Fund) are not restated.
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.
16
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Shareholders of
State Street Institutional Investment Trust:
We have audited the accompanying statement of assets and liabilities of State Street Institutional Liquid Reserves Fund (one of the funds constituting State Street Institutional Investment Trust) (the “Fund”) as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein. These financial statements and financial highlights are the responsibility of the Fund’s management. Our responsibility is to express an opinion on these financial statements and financial highlights based on our audits.
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 Fund’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 Fund’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. 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 the State Street Institutional Liquid Reserves Fund (one of the funds constituting State Street Institutional Investment Trust) at December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the periods indicated therein, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
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State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
December 31, 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 July 1, 2016 to December 31, 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 U.S. Securities and Exchange Commission (the “SEC”) 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 Liquid Reserves Fund | ||||||||||||||||||||
Premier Class | 0.13 | % | $ | 1,002.40 | $ | 0.65 | (a) | $ | 1,024.50 | $ | 0.66 | |||||||||
Investment Class | 0.47 | 1,000.60 | 2.36 | (a) | 1,022.80 | 2.39 | ||||||||||||||
Administration Class | 0.38 | 1,000.90 | 1.30 | (b) | 1,023.20 | 1.93 | ||||||||||||||
Trust Class | 0.19 | 1,001.60 | 0.65 | (b) | 1,024.49 | 0.66 |
(a) | Expenses are equal to the Fund’s annualized net expense ratio, which includes the Fund’s proportionate share of the expenses of the Portfolio, multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
(b) | Actual period is from commencement of operations on 8/29/2016. |
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State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
December 31, 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 SEC’s website at www.sec.gov, or (iv) at the SEC’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 SEC at www.sec.gov.
Quarterly Portfolio Schedule
The Fund will file its complete schedule of investments with the SEC 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 SEC’s website at www.sec.gov, or (iv) at the SEC’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 SEC on Form N-MFP. The Fund’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.
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State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, and Year of Birth | Position(s) Held | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||
Independent Trustees | ||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||
William L. Boyan(1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. |
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State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||
Independent Trustees (continued) | ||||||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 | ||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 |
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State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||
Independent Trustees (continued) | ||||||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 –1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | ||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 |
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Table of Contents
State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held | Term of Office and Length of Time Served | Principal Occupation During Past Five Years and Relevant Experience | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||
Interested Trustee(2) | ||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
23
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State Street Institutional Investment Trust
State Street Institutional Liquid Reserves Fund
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, and Year of Birth | Position(s) Held with Trust | Term of Office and Length of Time Served | Principal Occupation During Past Five Years | |||
Officers: (continued) | ||||||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1973 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – Present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1976 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1983 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about the Fund’s directors and is available, without charge, upon request and by calling 1-877-521-4083.
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Table of Contents
Trustees
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Michael A. Jessee
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
Annual Report
31 December 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
Annual Report
December 31, 2016
1 | ||||
2 | ||||
6 | ||||
7 | ||||
8 | ||||
9 | ||||
10 | ||||
16 | ||||
17 |
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
Portfolio Statistics (Unaudited)
Portfolio Composition* | December 31, 2016 | |||
Certificates of Deposit | 34.9 | % | ||
Other Notes | 22.6 | |||
Financial Company Commercial Paper | 19.5 | |||
Asset Backed Commercial Paper | 8.6 | |||
Government Agency Repurchase Agreements | 7.1 | |||
Treasury Repurchase Agreements | 2.4 | |||
Other Commercial Paper | 1.1 | |||
Other Repurchase Agreements | 0.6 | |||
Other Assets in Excess of Liabilities | 3.2 | |||
Total | 100.0 | % |
Maturity Ladder* | December 31, 2016 | |||
2 to 30 Days | 60.0 | % | ||
31 to 60 Days | 11.6 | |||
61 to 90 Days | 14.9 | |||
Over 90 Days | 10.3 | |||
Total | 96.8 | % | ||
Average days to maturity | 23 | |||
Weighted average life | 33 |
* | 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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Table of Contents
State Street Master Funds
State Street Money Market Portfolio
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
ASSET BACKED COMMERCIAL PAPER – 8.6% | ||||||||||||||||||||
Antalis SA(a) | 1.000 | % | 02/06/2017 | 02/06/2017 | $ | 40,000,000 | $ | 39,970,149 | ||||||||||||
Atlantic Asset Securitization LLC(a) | 0.950 | % | 02/07/2017 | 02/07/2017 | 65,000,000 | 64,942,963 | ||||||||||||||
Bennington Stark Capital Co. LLC(a) | 0.720 | % | 01/05/2017 | 01/05/2017 | 75,000,000 | 74,993,437 | ||||||||||||||
Collateralized Commercial Paper Co. LLC(a) | 1.000 | % | 03/10/2017 | 03/10/2017 | 75,000,000 | 74,876,480 | ||||||||||||||
Collateralized Commercial Paper Co. LLC(a) | 1.050 | % | 03/01/2017 | 03/01/2017 | 70,000,000 | 69,906,653 | ||||||||||||||
Kells Funding LLC(a) | 0.860 | % | 02/07/2017 | 02/07/2017 | 25,000,000 | 24,981,583 | ||||||||||||||
Kells Funding LLC(a) | 0.980 | % | 03/08/2017 | 03/08/2017 | 75,000,000 | 74,886,241 | ||||||||||||||
Kells Funding LLC(a) | 0.980 | % | 03/10/2017 | 03/10/2017 | 75,000,000 | 74,880,854 | ||||||||||||||
Kells Funding LLC(a) | 0.980 | % | 03/15/2017 | 03/15/2017 | 50,000,000 | 49,911,459 | ||||||||||||||
LMA SA(a) | 1.030 | % | 03/07/2017 | 03/07/2017 | 75,000,000 | 74,863,627 | ||||||||||||||
Manhattan Asset Funding Company | 0.900 | % | 02/06/2017 | 02/06/2017 | 89,000,000 | 88,933,581 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL ASSET BACKED COMMERCIAL PAPER |
| 713,147,027 | ||||||||||||||||||
|
| |||||||||||||||||||
CERTIFICATES OF DEPOSIT – 34.9% | ||||||||||||||||||||
Bank of Montreal(a) | 0.900 | % | 02/16/2017 | 02/16/2017 | 112,000,000 | 112,008,511 | ||||||||||||||
Bank of Montreal(b) | 0.963 | % | 01/03/2017 | 06/01/2017 | 100,000,000 | 100,012,339 | ||||||||||||||
Bank of Montreal(a) | 1.000 | % | 04/03/2017 | 04/03/2017 | 75,000,000 | 74,982,064 | ||||||||||||||
Bank of Montreal(b) | 1.074 | % | 01/17/2017 | 05/15/2017 | 50,000,000 | 50,017,647 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 0.650 | % | 01/03/2017 | 01/03/2017 | 150,000,000 | 150,003,349 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 0.720 | % | 01/30/2017 | 01/30/2017 | 100,000,000 | 100,012,448 | ||||||||||||||
Bank of Tokyo-Mitsubishi UFJ Ltd.(a) | 1.000 | % | 01/09/2017 | 01/09/2017 | 125,000,000 | 125,018,105 | ||||||||||||||
BNP Paribas(a) | 0.960 | % | 03/02/2017 | 03/02/2017 | 100,000,000 | 100,016,796 | ||||||||||||||
Canadian Imperial Bank of Commerce(a) | 1.205 | % | 01/23/2017 | 01/23/2017 | 100,000,000 | 100,036,509 | ||||||||||||||
Canadian Imperial Bank of Commerce(a) | 1.271 | % | 01/26/2017 | 01/26/2017 | 225,000,000 | 225,100,867 | ||||||||||||||
Citibank NA(a) | 0.980 | % | 03/20/2017 | 03/20/2017 | 75,000,000 | 75,011,453 | ||||||||||||||
ING Bank NV(a) | 1.050 | % | 04/03/2017 | 04/03/2017 | 115,000,000 | 115,000,000 | ||||||||||||||
KBC Bank NV(a) | 0.610 | % | 01/04/2017 | 01/04/2017 | 255,000,000 | 254,996,529 | ||||||||||||||
Norinchukin Bank(a) | 0.900 | % | 02/15/2017 | 02/15/2017 | 100,000,000 | 100,013,186 | ||||||||||||||
Norinchukin Bank(a) | 0.950 | % | 03/10/2017 | 03/10/2017 | 125,000,000 | 125,010,265 | ||||||||||||||
Skandinaviska Enskilda Banken AB(b) | 1.194 | % | 01/12/2017 | 05/12/2017 | 86,000,000 | 86,082,760 | ||||||||||||||
Sumitomo Mitsui Banking Corp.(a) | 0.880 | % | 02/02/2017 | 02/02/2017 | 126,000,000 | 126,026,886 | ||||||||||||||
Sumitomo Mitsui Banking Corp.(a) | 0.900 | % | 03/01/2017 | 03/01/2017 | 100,000,000 | 100,025,801 | ||||||||||||||
Svenska Handelsbanken AB(a) | 0.900 | % | 03/06/2017 | 03/06/2017 | 100,000,000 | 100,024,448 | ||||||||||||||
Toronto-Dominion Bank(a) | 0.610 | % | 01/13/2017 | 01/13/2017 | 125,000,000 | 125,002,454 | ||||||||||||||
Toronto-Dominion Bank(a) | 0.670 | % | 01/20/2017 | 01/20/2017 | 100,000,000 | 100,003,874 | ||||||||||||||
Toronto-Dominion Bank(a) | 0.900 | % | 03/03/2017 | 03/03/2017 | 50,000,000 | 50,002,825 | ||||||||||||||
UBS AG(b) | 1.102 | % | 01/09/2017 | 05/08/2017 | 65,000,000 | 65,046,062 | ||||||||||||||
Wells Fargo Bank NA(a) | 1.049 | % | 01/06/2017 | 01/06/2017 | 100,000,000 | 100,008,722 | ||||||||||||||
Wells Fargo Bank NA(a) | 1.064 | % | 01/10/2017 | 01/10/2017 | 150,000,000 | 150,020,652 | ||||||||||||||
Wells Fargo Bank NA(b) | 1.075 | % | 01/04/2017 | 05/08/2017 | 75,000,000 | 75,024,210 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL CERTIFICATES OF DEPOSIT |
| 2,884,508,762 | ||||||||||||||||||
|
|
See accompanying notes to financial statements.
2
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
FINANCIAL COMPANY COMMERCIAL PAPER – 19.5% | ||||||||||||||||||||
Bank of Nova Scotia(a) | 1.306 | % | 01/26/2017 | 01/26/2017 | $ | 177,000,000 | $ | 177,084,656 | ||||||||||||
BNP Paribas(a) | 0.690 | % | 01/04/2017 | 01/04/2017 | 175,000,000 | 174,985,562 | ||||||||||||||
BNP Paribas(a) | 0.920 | % | 03/03/2017 | 03/03/2017 | 130,000,000 | 129,802,757 | ||||||||||||||
Caisse des Depots et Consignations(a) | 0.650 | % | 01/06/2017 | 01/06/2017 | 60,000,000 | 59,994,167 | ||||||||||||||
Caisse des Depots et Consignations(a) | 0.855 | % | 02/02/2017 | 02/02/2017 | 100,000,000 | 99,945,506 | ||||||||||||||
DBS Bank Ltd(a) | 0.700 | % | 01/12/2017 | 01/12/2017 | 125,000,000 | 124,976,257 | ||||||||||||||
DBS Bank Ltd.(a) | 1.000 | % | 03/17/2017 | 03/17/2017 | 68,000,000 | 67,873,464 | ||||||||||||||
DnB Bank ASA(a) | 0.580 | % | 01/06/2017 | 01/06/2017 | 100,000,000 | 99,990,919 | ||||||||||||||
Erste Abwicklungsanstalt(b) | 0.964 | % | 01/03/2017 | 04/03/2017 | 125,000,000 | 125,065,230 | ||||||||||||||
Erste Abwicklungsanstalt(a) | 1.020 | % | 01/10/2017 | 01/10/2017 | 100,000,000 | 99,985,119 | ||||||||||||||
KFW International Finance, Inc.(a) | 0.900 | % | 03/07/2017 | 03/07/2017 | 112,000,000 | 111,820,321 | ||||||||||||||
NRW.BANK(a) | 0.700 | % | 01/17/2017 | 01/17/2017 | 100,000,000 | 99,966,600 | ||||||||||||||
NRW.BANK(a) | 0.840 | % | 02/02/2017 | 02/02/2017 | 120,000,000 | 119,916,133 | ||||||||||||||
Svenska Handelsbanken AB(a) | 0.880 | % | 03/02/2017 | 03/02/2017 | 125,000,000 | 124,840,264 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL FINANCIAL COMPANY COMMERCIAL PAPER |
| 1,616,246,955 | ||||||||||||||||||
|
| |||||||||||||||||||
OTHER COMMERCIAL PAPER – 1.1% | ||||||||||||||||||||
General Electric Co.(a) | 0.600 | % | 01/05/2017 | 01/05/2017 | 90,000,000 | 89,990,730 | ||||||||||||||
|
| |||||||||||||||||||
OTHER NOTES – 22.6% | ||||||||||||||||||||
Bank of America NA(b) | 0.997 | % | 01/03/2017 | 06/02/2017 | 50,000,000 | 49,997,949 | ||||||||||||||
Bank of America NA(b) | 1.156 | % | 01/03/2017 | 06/01/2017 | 74,000,000 | 73,996,986 | ||||||||||||||
Bank of America NA(b) | 1.166 | % | 01/17/2017 | 05/17/2017 | 35,000,000 | 34,998,716 | ||||||||||||||
Canadian Imperial Bank of Commerce(a) | 0.520 | % | 01/03/2017 | 01/03/2017 | 50,000,000 | 50,000,000 | ||||||||||||||
Credit Agricole Corporate & Investment Bank (a) | 0.520 | % | 01/03/2017 | 01/03/2017 | 150,000,000 | 150,000,000 | ||||||||||||||
Lloyds Bank PLC(a) | 0.550 | % | 01/03/2017 | 01/03/2017 | 185,000,000 | 185,000,000 | ||||||||||||||
National Australia Bank Ltd(a) | 0.450 | % | 01/03/2017 | 01/03/2017 | 250,000,000 | 250,000,000 | ||||||||||||||
National Bank of Canada(a) | 0.650 | % | 01/03/2017 | 01/03/2017 | 225,000,000 | 225,000,000 | ||||||||||||||
Nordea Bank Finland PLC(a) | 0.500 | % | 01/03/2017 | 01/03/2017 | 375,000,000 | 375,000,000 | ||||||||||||||
Royal Bank of Canada(a) | 0.500 | % | 01/03/2017 | 01/03/2017 | 375,000,000 | 375,000,000 | ||||||||||||||
Skandinaviska Enskilda Banken AB(a) | 0.510 | % | 01/03/2017 | 01/03/2017 | 100,000,000 | 100,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL OTHER NOTES |
| 1,868,993,651 | ||||||||||||||||||
|
| |||||||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – 7.1% | ||||||||||||||||||||
Agreement with Bank of America and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by a Government National Mortgage Association, 4.000% due 05/20/2046, valued at $105,060,001); expected proceeds $103,005,722 | 0.500 | % | 01/03/2017 | 01/03/2017 | 103,000,000 | 103,000,000 |
See accompanying notes to financial statements.
3
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
GOVERNMENT AGENCY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with Goldman Sachs & Co. and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by Government National Mortgage Associations, 3.000% – 4.000% due 09/20/2043 – 07/20/2046, valued at $87,720,001); expected proceeds $86,004,969 | 0.520 | % | 01/03/2017 | 01/03/2017 | $ | 86,000,000 | $ | 86,000,000 | ||||||||||||
Agreement with TD Securities (USA) LLC and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by Federal Farm Credit Banks, 0.875% – 2.830% due 10/10/2017 – 12/19/2036, a Federal Home Loan Discount Note, 0.000% due 01/31/2017, Federal Home Loan Mortgage Corporations, 1.000% – 6.750% due 03/07/2018 – 07/15/2032, U.S. Treasury Inflation Index Bonds, 1.000% – 3.875% due 01/15/2027 – 02/15/2046, a U.S. Treasury Inflation Index Note, 0.125% due 07/15/2020, a U.S. Treasury Bond, 3.000% due 11/15/2044, and U.S. Treasury Notes, 0.875% – 2.000% due 04/15/2017 – 02/15/2025, valued at $408,023,598); expected proceeds $400,023,111 | 0.520 | % | 01/03/2017 | 01/03/2017 | 400,000,000 | 400,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TOTAL GOVERNMENT AGENCY REPURCHASE AGREEMENTS |
| 589,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
OTHER REPURCHASE AGREEMENTS – 0.6% | ||||||||||||||||||||
Agreement with Bank of Nova Scotia and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by various Corporate Bonds, 1.000% – 9.400% due 01/11/2017 – 04/01/2047, valued at $53,095,751); expected proceeds $50,004,500 | 0.810 | % | 01/03/2017 | 01/03/2017 | 50,000,000 | 50,000,000 | ||||||||||||||
|
| |||||||||||||||||||
TREASURY REPURCHASE AGREEMENTS – 2.4% | ||||||||||||||||||||
Agreement with Citigroup Global Markets, Inc. and Bank of New York Mellon (Tri- Party), dated 12/30/2016 (collateralized by U.S. Treasury Notes, 0.625% – 2.250% due 09/30/2017 – 11/15/2025, valued at $99,960,046); expected proceeds $98,005,771 | 0.530 | % | 01/03/2017 | 01/03/2017 | 98,000,000 | 98,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by a U.S. Treasury Note, 2.375% due 08/15/2024, valued at $24,480,078); expected proceeds $24,001,387 | 0.520 | % | 01/03/2017 | 01/03/2017 | 24,000,000 | 24,000,000 | ||||||||||||||
Agreement with Credit Agricole Corporate and Investment Bank and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by U.S. Treasury Notes, 1.375% – 2.375% due 02/28/2019 – 08/15/2024, valued at $25,500,095); expected proceeds $25,001,417 | 0.510 | % | 01/03/2017 | 01/03/2017 | 25,000,000 | 25,000,000 |
See accompanying notes to financial statements.
4
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Schedule of Investments — (continued)
December 31, 2016
Name of Issuer | Interest Rate | Next Rate Reset Date | Maturity Date | Principal Amount | Value | |||||||||||||||
TREASURY REPURCHASE AGREEMENTS – (continued) | ||||||||||||||||||||
Agreement with Societe Generale and Bank of New York Mellon (Tri-Party), dated 12/30/2016 (collateralized by U.S. Treasury Notes, 1.000% – 1.625% due 12/15/2017 – 07/31/2020, valued at $49,980,011); expected proceeds $49,002,831 | 0.520 | % | 01/03/2017 | 01/03/2017 | $ | 49,000,000 | $ | 49,000,000 | ||||||||||||
|
| |||||||||||||||||||
TOTAL TREASURY REPURCHASE AGREEMENTS |
| 196,000,000 | ||||||||||||||||||
|
| |||||||||||||||||||
TOTAL INVESTMENTS – 96.8%(c) | 8,007,887,125 | |||||||||||||||||||
Other Assets in Excess of Liabilities – 3.2% | 264,765,499 | |||||||||||||||||||
|
| |||||||||||||||||||
NET ASSETS – 100.0% | $ | 8,272,652,624 | ||||||||||||||||||
|
|
(a) | Rate represents annualized yield at date of purchase. |
(b) | Variable Rate Security – Interest rate shown is rate in effect at December 31, 2016. |
(c) | Also represents the cost for federal tax purposes. |
The following table summarizes the value of the Portfolio’s investments according to the fair value hierarchy as of December 31, 2016.
Description | Level 1 – Quoted Prices | Level 2 – Other Significant Observable Inputs | Level 3 – Significant Unobservable Inputs | Total | ||||||||||||
Assets: | ||||||||||||||||
Investments: | ||||||||||||||||
Asset Backed Commercial Paper | $ | – | $ | 713,147,027 | $ | – | $ | 713,147,027 | ||||||||
Certificates of Deposit | – | 2,884,508,762 | – | 2,884,508,762 | ||||||||||||
Financial Company Commercial Paper | – | 1,616,246,955 | – | 1,616,246,955 | ||||||||||||
Other Commercial Paper | – | 89,990,730 | – | 89,990,730 | ||||||||||||
Other Notes | – | 1,868,993,651 | – | 1,868,993,651 | ||||||||||||
Government Agency Repurchase Agreements | – | 589,000,000 | – | 589,000,000 | ||||||||||||
Other Repurchase Agreements | – | 50,000,000 | – | 50,000,000 | ||||||||||||
Treasury Repurchase Agreements | – | 196,000,000 | – | 62,865 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total Investments | $ | – | $ | 8,007,887,125 | $ | – | $ | 8,007,887,125 | ||||||||
|
|
|
|
|
|
|
|
See accompanying notes to financial statements.
5
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Statement of Assets and Liabilities
December 31, 2016
Assets |
| |||
Investments in securities, at value (Note 2) | $ | 7,172,887,125 | ||
Repurchase agreements, at value | 835,000,000 | |||
|
| |||
Total investments | 8,007,887,125 | |||
Cash | 263,134,810 | |||
Interest receivable (Note 2) | 2,702,056 | |||
Prepaid expenses and other assets | 6,462 | |||
|
| |||
Total assets | 8,273,730,453 | |||
|
| |||
Liabilities |
| |||
Advisory fee payable (Note 4) | 388,232 | |||
Administration, custody and transfer agent fees payable (Note 4) | 182,270 | |||
Trustees’ fees and expenses payable (Note 5) | 331,287 | |||
Professional fees payable | 79,138 | |||
Printing fees payable | 11,065 | |||
Accrued expenses and other liabilities | 85,837 | |||
|
| |||
Total liabilities | 1,077,829 | |||
|
| |||
Net Assets | $ | 8,272,652,624 | ||
|
| |||
Cost of Investments: | ||||
Investments in securities | $ | 7,172,086,474 | ||
Repurchase agreements | 835,000,000 | |||
|
| |||
Total investments | $ | 8,007,086,474 | ||
|
|
See accompanying notes to financial statements.
6
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
For the Year Ended December 31, 2016
Investment Income | ||||
Interest income | $ | 200,528,198 | ||
|
| |||
Expenses |
| |||
Advisory fee (Note 4) | 18,170,434 | |||
Administration, custodian and transfer agent fees (Note 4) | 4,308,774 | |||
Trustees’ fees and expenses (Note 5) | 1,079,411 | |||
Professional fees | 224,026 | |||
Printing fees | 35,727 | |||
Insurance expense | 51,462 | |||
Miscellaneous expenses | 156,816 | |||
|
| |||
Total expenses | 24,026,650 | |||
|
| |||
Net Investment Income (Loss) | 176,501,548 | |||
|
| |||
Realized Gain (Loss) |
| |||
Net realized gain (loss) on: | ||||
Investments | 313,218 | |||
|
| |||
Net change in unrealized appreciation/depreciation on: | ||||
Investments | 800,651 | |||
|
| |||
Net realized and unrealized gain (loss) | 1,113,869 | |||
|
| |||
Net Increase (Decrease) in Net Assets from Operations | $ | 177,615,417 | ||
|
|
See accompanying notes to financial statements.
7
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Statement Of Changes In Net Assets
Year Ended 12/31/16 | Year Ended 12/31/15 | |||||||
Increase (Decrease) in Net Assets From Operations: | ||||||||
Net investment income (loss) | $ | 176,501,548 | $ | 71,094,797 | ||||
Net realized gain (loss) | 313,218 | 160,294 | ||||||
Net change in unrealized appreciation/depreciation | 800,651 | – | ||||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | 177,615,417 | 71,255,091 | ||||||
|
|
|
| |||||
Capital Transactions: | ||||||||
Contributions | 62,887,835,691 | 85,345,364,590 | ||||||
Proceeds in connection with Reorganization (Note 8) | 8,420,969,389 | – | ||||||
Withdrawals | (110,897,624,155 | ) | (78,437,231,019 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets from capital transactions | (39,588,819,075 | ) | 6,908,133,571 | |||||
|
|
|
| |||||
Net Increase (Decrease) in Net Assets During the Period | (39,411,203,658 | ) | 6,979,388,662 | |||||
Net assets at beginning of period | 47,683,856,282 | 40,704,467,620 | ||||||
|
|
|
| |||||
Net Assets at End of Period | $ | 8,272,652,624 | $ | 47,683,856,282 | ||||
|
|
|
|
See accompanying notes to financial statements.
8
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Selected data for a share outstanding throughout each period
Year Ended 12/31/16 | Year Ended 12/31/15 | Year Ended 12/31/14 | Year Ended 12/31/13 | Year Ended 12/31/12 | ||||||||||||||||
Total return(a) | 0.51 | % | 0.17 | % | 0.13 | % | 0.15 | % | 0.26 | % | ||||||||||
Ratios and Supplemental Data: |
| |||||||||||||||||||
Net assets, end of period (in 000s) | $ | 8,272,653 | $ | 47,683,856 | $ | 40,704,468 | $ | 34,053,304 | $ | 27,508,762 | ||||||||||
Ratios to average net assets: |
| |||||||||||||||||||
Total expenses | 0.07 | % | 0.07 | % | 0.07 | % | 0.06 | % | 0.06 | % | ||||||||||
Net investment income (loss) | 0.49 | % | 0.17 | % | 0.13 | % | 0.15 | % | 0.25 | % |
(a) | Results represent past performance and are not indicative of future results. |
See accompanying notes to financial statements.
9
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
December 31, 2016
1. | Organization |
State Street Master Funds (the “Trust”), a Massachusetts business trust registered under the Investment Company Act of 1940, as amended (“1940 Act”), is an open-end management investment company.
As of December 31, 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 of beneficial interest with no par value. The financial statements herein relate only to the Portfolio.
The Portfolio operates as an institutional money market fund. As an institutional money market fund, the Portfolio (1) will not be limited to institutional investors, but will continue to be available to retail investors; (2) will utilize current market-based prices (except as otherwise generally permitted to value individual portfolio securities with remaining maturities of 60 days or less at amortized cost in accordance with Securities and Exchange Commission (SEC) guidance) to value its portfolio securities; and (3) has adopted policies and procedures to impose liquidity fees on redemptions and/or temporary redemption gates in the event that the Portfolio’s weekly liquid assets were to fall below a designated threshold, if the Portfolio’s Board of Trustees of the Trust (the “Board”) determines such liquidity fees or redemption gates are in the best interest 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 would involve future claims that may be made against the Trust that have not yet occurred.
2. | Summary of Significant Accounting Policies |
The following is a summary of significant accounting policies followed by the Trust in the preparation of its financial statements:
The preparation of financial statements in accordance with U.S. generally accepted accounting principles (“U.S. GAAP”) requires management to make estimates and assumptions that affect the reported amounts and disclosures in the financial statements. Actual results could differ from those estimates. 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 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. The Committee provides oversight of the valuation of investments for the Portfolio. The Board has responsibility for determining the fair value of investments.
10
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
Valuation techniques used to value the Portfolio’s investments by major category are as follows:
• | Government and municipal fixed income securities are generally valued using quotations from independent pricing services or brokers. |
• | Debt obligations (including short term investments) are valued using quotations from independent pricing services or brokers or are generally valued at the last reported evaluated bid prices. |
• | Repurchase agreements are valued at the repurchase price as of valuation date. |
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.
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 asset or liability; |
• | Level 2 – Inputs other than quoted prices included within Level 1 that are observable for the asset or liability either directly or indirectly, including quoted prices for similar assets or liabilities in active markets, quoted prices for identical or similar assets or liabilities in markets that are not considered to be active, inputs other 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 year ended December 31, 2016.
11
Table of Contents
State Street Master Funds
State Street Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 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 premiums 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 series of the Trust, are applied to that series within the Trust. Other expenses which cannot be attributed to a specific series of the Trust 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 series within the Trust.
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 December 31, 2016, the Portfolio had invested in repurchase agreements with the gross values of $835,000,000 and associated collateral equal to $853,819,581.
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”), 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 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 Master Funds
State Street Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
Administrator, Sub-Administrator, Custodian and Transfer Agent 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.
Other Transactions with Affiliates
In December 2015, State Street, the Portolio’s custodian, announced a review of the manner in which it invoiced certain expenses to certain of its Investment Servicing clients, primarily in the United States, during an 18-year period going back to 1998 and its determination that it had incorrectly invoiced clients for certain expenses. State Street informed its clients that it will pay to them the expenses it concluded were incorrectly invoiced to them, plus interest.
The amounts in the table below represent the refunded expenses and interest credited to the Portfolio for the periods in question.
Refunded Custody Expense* | Interest* | Total | % of Net Assets at 12/31/16 | |||
$2,608 | $13 | $2,621 | 0.00%** |
* | Refunded Custody Expense and Interest appear on the Statement of Operations in Administration, Custody and Transfer Agent fees and Interest income, respectively. |
** | Amount is less than 0.005% of net assets. |
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
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State Street Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
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 its 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. Generally, the federal returns are subject to examination by the Internal Revenue Service for a period of three years from date of filing, while the state returns may remain open for an additional year depending upon jurisdiction. SSGA FM has analyzed the 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 December 31, 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 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. | Proceeds in Connection with Reorganization |
On August 29, 2016, State Street Institutional Liquid Reserves Fund (“Acquiring Fund”) acquired substantially all of the assets and assumed all of the liabilities of SSGA Prime Money Market Fund and SSGA Money Market Fund (“Acquired Funds”) in exchange for Trust Class shares and Administration Class shares, respectively, of the Acquiring Fund pursuant to an Agreement and Plan of Reorganization approved by the Board. Immediately following, the Fund transferred to the Portfolio all of the net assets
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State Street Money Market Portfolio
Notes to Financial Statements — (continued)
December 31, 2016
received from the Acquired Fund in exchange for an interest in the Portfolio, which is disclosed in the Statements of Changes in Net Assets.
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 statement.
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Report of Independent Registered Public Accounting Firm
To the Board of Trustees and Owners of Beneficial Interest of
State Street Master Funds:
We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of State Street Money Market Portfolio (one of the portfolios constituting State Street Master Funds) (the “Portfolio”) as of December 31, 2016, and the related statement of operations for the year then ended, the statements of changes in net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended. 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 audits.
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 December 31, 2016, by correspondence with the custodian, brokers and others or by other appropriate auditing procedures where replies from brokers 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 Money Market Portfolio (one of the portfolios constituting State Street Master Funds) at December 31, 2016, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period then ended, and the financial highlights for each of the five years in the period then ended, in conformity with U.S. generally accepted accounting principles.
Boston, Massachusetts
February 27, 2017
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State Street Money Market Portfolio
December 31, 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 Portfolio expenses. This example is intended to help you understand your ongoing costs (in dollars) of investing in the Portfolio 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 July 1, 2016 to December 31, 2016.
The table below illustrates your Portfolio’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 Portfolio’s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the Portfolio. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period. To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for the Fund under the heading “Expenses Paid During Period”. |
• | Based on hypothetical 5% return – This section is intended to help you compare your Portfolio’s costs with those of other mutual funds. It assumes that the Portfolio had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case, because the return used is not the Portfolio’s actual return, the results do not apply to your investment. The example is useful in making comparisons because the U.S. Securities and Exchange Commission (the “SEC”) requires all mutual funds to calculate expenses based on a 5% return. You can assess your Portfolio’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds. |
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 | 0.07 | % | $ | 1,002.30 | $ | 0.35 | $ | 1,024.80 | $ | 0.36 |
(a) | Expenses are equal to the Portfolio’s annualized net expense ratio multiplied by the average account value of the period, multiplied by 184, then divided by 366. |
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State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Proxy Voting Policies and Procedures and Records
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 SEC’s website at www.sec.gov, or (iii) at the SEC’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 SEC at www.sec.gov.
Quarterly Portfolio Schedule
The Portfolio will file their complete schedules of investments with the SEC 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 SEC’s website at www.sec.gov, or (iii) at the SEC’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 SEC on Form N-MFP. The Portfolio’s Form N-MFP is available (i) on the SEC’s website at www.sec.gov, or (ii) at the SEC’s public reference room.
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State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Trustees and Officers Information
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||||
Independent Trustees | ||||||||||||
Michael F. Holland c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1944 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 7/99 | Chairman, Holland & Company L.L.C. (investment adviser) (1995 – present). | 72 | Director, the Holland Series Fund, Inc.; Director, The China Fund, Inc.; Director, The Taiwan Fund, Inc.; Director, Reaves Utility Income Fund, Inc.; and Director, Blackstone/GSO Loans (and Real Estate) Funds. | |||||||
Patrick J. Riley c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Board | Term: Indefinite Elected: 1/14 | 2002 to May 2010, Associate Justice of the Superior Court, Commonwealth of Massachusetts; 1985 to 2002, Partner, Riley, Burke & Donahue, L.L.P. (law firm); 1998 to Present, Independent Director, State Street Global Advisers Ireland, Ltd. (investment company); 1998 to Present, Independent Director, SSGA Liquidity plc (formerly, SSGA Cash Management Fund plc); January 2009 to Present, Independent Director, SSGA Fixed Income plc; and January 2009 to Present, Independent Director, SSGA Qualified Funds PLC. | 78 | Board Director and Chairman, SPDR Europe 1PLC Board (2011 – Present); Board Director and Chairman, SPDR Europe II, PLC (2013 – Present). | |||||||
William L. Boyan(1) c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1937 | Trustee and Co-Chairman of the Valuation Committee | Term: Indefinite Elected: 7/99 | President and Chief Operations Officer, John Hancock Financial Services (1959 – 1999). Mr. Boyan retired in 1999. | 78 | Chairman Emeritus, Children’s Hospital, Boston, MA (1984 – 2011); Former Trustee of Old Mutual South Africa Master Trust (investments) (1995 – 2008); Former Chairman, Boston Plan For Excellence, Boston Public Schools (1995 – 2010); Member of Advisory Board of Florida Atlantic University Lifelong Learning Society. |
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State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||
Independent Trustees (continued) | ||||||||||
William L. Marshall c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1942 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 1/14 | July 2016 to Present, Chief Executive Officer and Chief Compliance Officer, The Marshall Financial Group, Inc.; 2015 to present, Board member, The Doylestown Health Foundation Board; April 2011 to June 2016, Chairman (until April 2011, Chief Executive Officer and President), Wm. L. Marshall Associates, Inc., Wm. L. Marshall Companies, Inc. and the Marshall Financial Group, Inc. (a registered investment adviser and provider of financial and related consulting services); Certified Financial Planner; Member, Financial Planners Association. | 78 | ||||||
Richard D. Shirk c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1945 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee | Term: Indefinite Elected: 1/14 | March 2001 to April 2002, Chairman (1996 to March 2001, President and Chief Executive Officer), Cerulean Companies, Inc. (holding company) (Retired); 1992 to March 2001, President and Chief Executive Officer, Blue Cross Blue Shield of Georgia (health insurer, managed healthcare); 1998 to December 2008, Chairman, Board Member and December 2008 to Present, Investment Committee Member, Healthcare Georgia Foundation (private foundation); September 2002 to 2012, Lead Director and Board Member, Amerigroup Corp. (managed health care); 1999 to 2013, Board Member and (since 2001) Investment Committee Member, Woodruff Arts Center; and 2003 to 2009, Trustee, Gettysburg College; Board member, AeroCare Holdings (privately held healthcare services company) (February 2003 – Present); Board member, Regenesis Biomedical (health care services) (April 2012 – present), Chairman, (January 2014 – present). | 78 |
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State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||
Independent Trustees (continued) | ||||||||||
Rina K. Spence c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1948 | Trustee and Co-Chairman of the Qualified Legal and Compliance Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 7/99 | President of SpenceCare International LLC (international healthcare consulting) (1999 – present); Chief Executive Officer, IEmily.com (health internet company) (2000 – 2001); Chief Executive Officer of Consensus Pharmaceutical, Inc. (1998 – 1999); Founder, President and Chief Executive Officer of Spence Center for Women’s Health (1994 – 1998); President and CEO, Emerson Hospital (1984 – 1994); Honorary Consul for Monaco in Boston (2015 – present). | 78 | Trustee, Eastern Enterprise (utilities) (1988 – 2000); Director, Berkshire Life Insurance Company of America (1993 – 2009). | |||||
Bruce D. Taber c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1943 | Trustee and Co-Chairman of the Valuation Committee and Co-Chairman of the Governance Committee | Term: Indefinite Elected: 1/14 | 1999 to Present, Partner, Zenergy LLC (a technology company providing Computer Modeling and System Analysis to the General Electric Power Generation Division); Until December 2008, Independent Director, SSGA Cash Management Fund plc; Until December 2008, Independent Director, State Street Global Advisers Ireland, Ltd. (investment companies); and Until August 1994, President, Alonzo B. Reed, Inc., (a Boston architect-engineering firm). | 72 | ||||||
Douglas T. Williams c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1940 | Trustee and Co-Chairman of the Audit Committee | Term: Indefinite Elected: 7/99 | Retired Executive Vice President and member of Executive Committee, Chase Manhattan Bank (1987 – 1999); President, Boston Stock Exchange Depository Trust Company, 1981 – 1982; Treasurer, Nantucket Educational Trust, (2002 – 2007). | 78 | ||||||
Michael A. Jessee c/o SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1946 | Trustee | Term: Indefinite Appointed: 7/16 | Retired; formerly, President and Chief Executive Officer of the Federal Home Loan Bank of Boston (1989 – 2009); Trustee, Randolph-Macon College (2004 – 2016). | 78 |
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State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | Number of Funds in Fund Complex Overseen by Trustee† | Other Directorships | |||||
Interested Trustee(2) | ||||||||||
James E. Ross SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1965 | Trustee | Term: Indefinite Appointed: 2/07 | Executive Vice President; State Street Global Advisors (2006 – present); Chairman and Director, SSGA Funds Management, Inc. (2012 – present); Principal, State Street Global Advisors (2006 – present); President, SSGA Funds Management, Inc. (2005 – 2012). | 265 | SSGA SPDR ETFs Europe I plc (Director) (November 2016 – present); SSGA SPDR ETFs Europe II plc (Director) (November 2016 – present). |
(1) | Mr. Boyan retired as a Trustee of the Trust effective February 16, 2017. |
(2) | Mr. Ross is an Interested Trustee because of his employment by SSGA Funds Management, Inc., an affiliate of the Trust. |
† | For the purpose of determining the number of portfolios overseen by the Trustees, “Fund Complex” comprises registered investment companies for which SSGA Funds Management, Inc. serves as investment adviser. |
The following lists the principal officers for the Trust, as well as their mailing addresses and ages, positions with the Trust and length of time served, and present and principal occupations:
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | |||
Officers: | ||||||
Ellen M. Needham SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1967 | President | Term: Indefinite Elected: 10/12 | President and Director, SSGA Funds Management, Inc. (2001 – present)*; Senior Managing Director, State Street Global Advisors (1992 – present).* | |||
Bruce S. Rosenberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1961 | Treasurer | Term: Indefinite Elected: 2/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (July 2015 – present); Director, Credit Suisse (April 2008 – July 2015). | |||
Ann M. Carpenter SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1966 | Vice President and Deputy Treasurer | Term: Indefinite Elected: 10/12 Term: Indefinite Elected: 2/16 | Chief Operating Officer, SSGA Funds Management, Inc. (2005 – present)*; Managing Director, State Street Global Advisors (2005 – present).* | |||
Chad C. Hallett SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1969 | Deputy Treasurer | Term: Indefinite Elected: 2/16 | Vice President, State Street Global Advisors and SSGA Funds Management, Inc. (November 2014 – present); Vice President, State Street Bank and Trust Company (2001 – November 2014).* | |||
Darlene Anderson-Vasquez SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1968 | Deputy Treasurer | Term: Indefinite Elected: 11/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (May 2016 – present); Senior Vice President, John Hancock Investments (September 2007 – May 2016). |
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State Street Master Funds
State Street Money Market Portfolio
Other Information — (continued)
December 31, 2016 (Unaudited)
Name, Address, | Position(s) Held | Term of Office | Principal Occupation | |||
Officers: (continued) | ||||||
Sujata Upreti SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1974 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 2009 – July 2012). | |||
Daniel Foley SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111 YOB: 1972 | Assistant Treasurer | Term: Indefinite Elected: 2/16 | 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 YOB: 1973 | Chief Compliance Officer and Code of Ethics Compliance Officer | Term: Indefinite Elected: 11/13 Term: Indefinite Elected: 9/16 | Managing Director, State Street Global Advisors and SSGA Funds Management, Inc. (2013 – present)*; Senior Vice President and Global Head of Investment Compliance, BofA Global Capital Management (September 2010 to May 2013); Director of Compliance, AARP Financial Inc. (July 2008 to August 2010). | |||
Joshua A. Weinberg SSGA Funds Management, Inc. State Street Financial Center One Lincoln Street Boston, MA 02111-2900 YOB: 1978 | Chief Legal Officer | Term: Indefinite Elected: 2/15 | Vice President and Managing Counsel, State Street Global Advisors (2011 – present); Clerk, SSGA Funds Management, Inc. (2013 – present); Associate, Financial Services Group, Dechert LLP (2005 – 2011). | |||
Jesse D. Hallee State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1976 | Secretary | Term: Indefinite Elected: 9/16 | Vice President and Managing Counsel, State Street Bank and Trust Company (2013 – present); Vice President and Counsel, Brown Brothers Harriman & Co. (2007 – 2013). | |||
Khimmara Greer State Street Bank and Trust Company 100 Summer Street, 7th Floor Boston, MA 02111 YOB: 1983 | Assistant Secretary | Term: Indefinite Elected: 5/16 | Vice President and Counsel, State Street Bank and Trust Company (2015- present); Regulatory Advisor, JPMorgan (2014 – 2015); Claims Case Manager, Liberty Mutual Insurance (2012 – 2014); Contract Attorney, Various Law Firms (2011 – 2012). |
* | Served in various capacities and/or with various affiliated entities during noted time period. |
Statement of Additional Information (SAI) includes additional information about the Portfolio’s directors and is available, without charge, upon request and by calling 1-877-521-4083.
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Trustees
Michael F. Holland
William L. Marshall
Patrick J. Riley
James E. Ross
Richard D. Shirk
Rina K. Spence
Bruce D. Taber
Douglas T. Williams
Michael A. Jessee
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 | STTMMAR1 |
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
Item 2. Code of Ethics.
As of the end of the period covered by this report, State Street Institutional Investment Trust (the “Trust” or “Registrant”) has adopted a code of ethics, as defined in Item 2(b) of Form N-CSR, that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller, or persons performing similar functions, regardless of whether these individuals are employed by the registrant or a third party (the “Code”). That Code comprises written standards that are reasonably designed to deter wrongdoing and to promote: (1) honest and ethical conduct, including the ethical handling of actual or apparent conflicts of interest between personal and professional relationships; (2) full, fair, accurate, timely and understandable disclosure in reports and documents that the Registrant files with, or submits to, the U.S. Securities Exchange Commission (the “SEC”) and in other public communications made by the Registrant; (3) compliance with applicable laws and governmental rules and regulations; (4) the prompt internal reporting to an appropriate person or persons identified in the Code of violations of the Code; and (5) accountability for adherence to the Code. As of the end of the period covered by the report, the Code was combined with other mutual funds advised by SSGA Funds Management, Inc. (“SSGA FM” or the “Adviser”). The Registrant has not made any amendments to the Code that relates to any element of the code of ethics definition set forth in Item 2(b) of Form N-CSR during the covered period. The Registrant has not granted any waivers from any provisions of the Code during the covered period. A copy of the Code is filed as Exhibit 12(a)(1) to this Form N-CSR.
Item 3. Audit Committee Financial Expert.
The Trust’s Board of Trustees (the “Board”) has determined that the Trust has the following “audit committee financial experts” as defined in Item 3(b) of Form N-CSR serving on its audit committee (the “Audit Committee”): Messrs. Michael F. Holland and Richard D. Shirk. Each of the audit committee financial experts is “independent” as that term is defined in Item 3(a)(2) of Form N-CSR.
An “audit committee financial expert” is not an “expert” for any purpose, including for purposes of Section 11 of the Securities Act of 1933, as a result of being designated as an “audit committee financial expert.” Further, the designation of a person as an “audit committee financial expert” does not mean that the person has any greater duties, obligations, or liability than those imposed on the person without the “audit committee financial expert” designation. Similarly, the designation of a person as an “audit committee financial expert” does not affect the duties, obligations, or liability of any other member of the Audit Committee or the Board.
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Item 4. Principal Accountant Fees and Services.
(a) | Audit Fees |
For the fiscal years ended December 31, 2016 and December 31, 2015, the aggregate audit fees billed for professional services rendered by Ernst & Young LLP (“E&Y”), the Trust’s principal accountant, for the audit of the Trust’s annual financial statements or services normally provided by E&Y in connection with the Trust’s statutory and regulatory filings and engagements were $670,525 and $504,725, respectively.
(b) | Audit-Related Fees |
For the fiscal years ended December 31, 2016 and December 31, 2015, there were no fees for assurance and related services by E&Y reasonably related to the performance of the audit of the Trust’s financial statements that were not reported under paragraph (a) of this Item.
(c) | Tax Fees |
For the fiscal years ended December 31, 2016 and December 31, 2015, the aggregate tax fees billed for professional services rendered by E&Y for tax compliance, tax advice, and tax planning in the form of preparation of excise filings and income tax returns were $288,632 and $232,141, respectively.
(d) | All Other Fees |
For the fiscal years ended December 31, 2016 and December 31, 2015, there were no fees billed for professional services rendered by E&Y for products and services provided by E&Y to the Trust, other than the services reported in paragraphs (a) through (c).
For the fiscal years ended December 31, 2016 and December 31, 2015, the aggregate fees for professional services rendered by E&Y for products and services provided by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides ongoing services to the Trust that (i) relate directly to the operations and financial reporting of the Trust and (ii) were pre-approved by the Audit Committee were approximately $7,777,372 and $8,024,882, respectively.
(e)(1) | Audit Committee Pre-Approval Policies and Procedures |
The Trust’s Audit Committee Charter states the following with respect to pre-approval procedures:
The Audit Committee shall have the following duties and powers:
• | To pre-approve engagements by a Trust’s independent auditor for non-audit services to be rendered to the Fund’s investment adviser (not including any sub-adviser whose role is primarily portfolio management and is subcontracted with or overseen by another investment adviser), and any entity controlling, controlled by, or under common control with the investment adviser that provides ongoing services to the Fund, if the engagement relates directly to the operations and financial reporting of the Fund; |
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• | To establish, if deemed necessary or appropriate as an alternative to Audit Committee pre-approval of services to be provided by the independent auditor as required by paragraph (b) above, policies and procedures to permit such services to be pre-approved by other means, such as by action of a designated member or members of the Audit Committee, subject to the requirement that the decision of any member to whom authority is delegated to pre-approve an activity shall be presented to the full Audit Committee at its next scheduled meeting; |
Alternate Pre-Approval Procedure:
• | The Chairperson, or a Co-Chairperson, of the Audit Committee is authorized to pre-approve any engagement involving the Trust’s independent auditors to the same extent as the Audit Committee. Any pre-approval decision by the Chairperson, or a Co-Chairperson, under the foregoing authority shall be presented to the Audit Committee at its next scheduled meeting. |
(e)(2) | Percentages of Services |
None of the services described in paragraphs (b) through (d) of this Item were performed in reliance on paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X during the period of time for which such rule was effective.
(f) | Not applicable. |
(g) | Total Fees Paid By Adviser and Certain Affiliates |
For the fiscal years ended December 31, 2016 and December 31, 2015, the aggregate non-audit fees billed by E&Y for services rendered to the Trust and the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provided ongoing services to the Trust were approximately $26,000,000 and $26,000,000, respectively.
(h) | E&Y notified the Trust’s Audit Committee of all non-audit services that were rendered by E&Y to the Adviser and any entity controlling, controlled by, or under common control with the Adviser that provides services to the Trust, which services were not required to be pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X, allowing the Trust’s Audit Committee to consider whether such services were compatible with maintaining E&Y’s independence. |
Item 5. Audit Committees of Listed Registrants.
Not applicable to the Registrant.
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Item 6. Schedule of Investments.
(a) Schedule of Investments is included as part of Item 1 of this Form N-CSR.
(b) Not applicable.
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.
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Item 11. Controls and Procedures.
(a) The Trust’s principal executive officer and principal financial officer have concluded that the Trust’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as amended (the “1940 Act”)) are effective to provide reasonable assurance that information required to be disclosed by the registrant on Form N-CSR is recorded, processed, summarized and reported as of a date within 90 days of the filing date of this report, based on their evaluation of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rules 13a-15(b) or 15d-15(b) under the Securities Exchange Act of 1934.
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(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) Code of Ethics pursuant to Item 2 of Form N-CSR is attached hereto.
(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.
(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: | March 10, 2017 |
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: March 10, 2017 |
By: | /s/ Bruce S. Rosenberg | |
Bruce S. Rosenberg | ||
Treasurer (Principal Financial and Accounting Officer) | ||
Date: March 10, 2017 |